/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/091220.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, December 20, 2009, Vol. 13, No. 351 Headlines ABN AMRO: S&P Raises Rating on $850 Mil. Securities to 'BB' ACACIA CRE: Moody's Reviews Ratings on Six Classes of Notes ADVANTA BUSINESS: Moody's Confirms Ratings on 12 Securities AIRCRAFT CERTIFICATE: Moody's Amends PR on 2003-A Certs. AMERICREDIT FINANCIAL: Moody's Reviews Ratings on Five Deals ARBOR REALTY: Fitch Downgrades Ratings on Nine Classes of Notes AUCTION RATE: S&P Raises Ratings on $50 Mil. Certs. to 'BB' AUCTION RATE: S&P Raises Ratings on Class A Certs. to 'BB' BNY CONVERGEX: S&P Affirms 'B+' Counterparty Credit Rating BRAZOS RIVER: Bond Remarketing Won't Affect Fitch's 'CCC' Rating CAPITAL ONE: Moody's Lifts Ratings on Six Tranches From Five Deals CD 2005-CD1: Moody's Reviews Ratings on 15 Classes of Certs. CLAYTON COUNTY: Moody's Assigns 'Caa1' Rating on $125 Mil. Bonds COAST INVESTMENT: Moody's Confirms Ratings on Three 2001-1 Notes COAST INVESTMENT: Moody's Confirms Ratings on Three Classes COBALTS TRUST: Moody's Downgrades Ratings on Certs. to 'Ba3' COMM 2007-FL14: S&P Downgrades Ratings on 25 Certificates CORPORATE BACKED: Moody's Downgrades Rating on 2003-17 Certs. CREDIT SUISSE: Moody's Affirms Ratings on Nine 2006-C4 Certs. CREDIT SUISSE: Moody's Downgrades Ratings on 17 2006-C5 Certs. CREDIT SUISSE: Moody's Affirms Ratings on Eight 2007-C3 Certs. CREDIT SUISSE: S&P Downgrades Ratings on 13 2005-C3 Securities CREDIT SUISSE: S&P Downgrades Ratings on 16 2005-C2 Securities CWCAPITAL COBALT: Moody's Reviews Ratings on 11 Classes of Notes DAIMLERCHRYSLER AUTO: Fitch Affirms Ratings on All Note Classes DAVIS SQUARE: Fitch Takes Rating Actions on Various Classes DILLON READ: Fitch Downgrades Ratings on Nine Classes of Notes DIMENSIONS HEALTH: Moody's Affirms 'B3' Rating on $65 Mil. Bonds DLJ COMMERCIAL: Moody's Affirms Ratings on Four 1999-CG3 Certs. DUCHESS VI: Moody's Takes Rating Actions on Various Classes DUKE FUNDING: Moody's Junks Ratings on Class X Senior Notes EMPORIA PREFERRED: Fitch Affirms Ratings on Four Classes of Notes EMPORIA PREFERRED FUNDING: Fitch Downgrades Ratings on 3 Classes G-FORCE CDO: Moody's Reviews Ratings on Seven Classes of Notes G-FORCE CDO: S&P Downgrades Ratings on Eight 2006-1 Securities GE COMMERCIAL: Fitch Takes Rating Actions on 2005-C1 Certificates GREENPOINT MORTGAGE: S&P Corrects Rating on Class A1 to 'CC' GREENWICH CAPITAL: S&P Downgrades Ratings on 20 2007-GG9 Certs. GREENWICH CAPITAL: S&P Downgrades Ratings on Five 2006-FL4 Certs. GREENWICH CAPITAL: S&P Downgrades Ratings on Three2004-FL2 Certs. GS MORTGAGE: S&P Downgrades Ratings on 15 2006-RR3 Securities INDIANA HEALTH: Fitch Affirms 'BB+' Rating on $35 Mil. Bonds JPMORGAN CHASE: S&P Downgrades Ratings on 14 2006-LDP6 Securities KIDSPEACE INC: Moody's Affirms 'Caa2' Rating on $58.2 Mil. Bonds LAKESIDE RE: S&P Assigns 'BB-' Rating on Class A Notes LASALLE COMMERCIAL: Moody's Cuts Ratings on Eight 2006-MF3 Certs. LASALLE COMMERCIAL: Moody's Cuts Ratings on Six 2006-MF2 Certs. LB-UBS COMMERCIAL: Fitch Takes Rating Actions on 2005-C5 Notes LB-UBS COMMERCIAL: S&P Downgrades Ratings on 17 2008-C1 Securities LEHMAN BROTHERS: Moody's Withdraws Ratings on Various Notes MERRILL LYNCH: S&P Downgrades Rating on Class M 2006-1 Certs. MILLSTONE FUNDING: Moody's Withdraws Ratings on 11 Classes NOMURA CRE: Fitch Downgrades Ratings on All Classes of Notes PANIOLO CABLE: Moody's Downgrades Ratings on Series A to 'B1' PASS-THROUGH AUCTION: S&P Raises Rating on Two Certs. to 'BB' PPLUS TRUST: Moody's Downgrades Ratings on SPR-1 Certs. to 'Ba3' PPLUS TRUST: Moody's Downgrades Ratings on Two Classes of Certs. PREFERRED PASS-THROUGH: S&P Raises Ratings on Two Certs. to 'BB' PREFERREDPLUS TRUST: Moody's Cuts Ratings on LMG-2 Certs. to 'B1' PREFERREDPLUS TRUST: Moody's Downgrades Ratings on LMG-1 Certs. PREFERREDPLUS TRUST: S&P Raises Rating on $25 Mil. Certs. to 'BB' RUBY FINANCE: Moody's Withdraws 'C' Ratings on $50 Mil. Notes SALT CREEK: S&P Downgrades Rating on Class B-6$L 2005-1 Notes SAN DIEGO NATURAL: Moody's Junks Ratings on 1998 Certs. From 'B1' SASCO 2007-BHC1: S&P Downgrades Ratings on 12 Classes of Notes SATURN VENTURES: S&P Downgrades Ratings on Four Classes of Notes SATURNS SPRINT: Moody's Downgrades Ratings on Two 2003-2 Certs. SATURNS TRUST: S&P Raises Rating on $63 Mil. Units to 'BB' SIGNUM FINANCE: S&P Withdraws 'BB' Rating on Class E Notes SOLAR TRUST: Moody's Affirms Ratings on Eight 2002-1 Certificates STRUCTURED ENHANCED: Fitch Withdraws Ratings on $47.5 Mil. Notes STRUCTURED REPACKAGED: Moody's Downgrades Ratings on 2004-2 Certs. TABERNA PREFERRED: Fitch Downgrades Ratings on Four Classes TABERNA PREFERRED: Fitch Downgrades Ratings on Three Classes TRIAXX FUNDING: Moody's Downgrades Ratings on Class B-1 to 'C' TRICADIA CDO: Moody's Downgrades Ratings on Class A-1L to 'Caa3' TRICADIA CDO: Moody's Downgrades Ratings on Six 2003-1 Notes UBS COMMERCIAL: Fitch Puts Ratings on Notes on Negative Watch UBS COMMERCIAL: Moody's Downgrades Ratings on Two 2007-FL1 Certs. WACHOVIA BANK: Fitch Takes Rating Actions on Nine 2005-C19 Certs. * Moody's Reviews Ratings on Nine Series of Rental Car Notes * Moody's Takes Rating Actions on Various Structured Note Deals * S&P Downgrades Ratings on 37 Tranches From 15 CDO Transactions * S&P Downgrades Ratings on 48 Classes From 26 Subprime RMBS * S&P Downgrades Ratings on 51 Tranches From 10 CLO Transactions * S&P Downgrades Ratings on 65 Tranches From 14 CLO Transactions * S&P Downgrades Ratings on 76 Tranches From 15 CLO Transactions ********* ABN AMRO: S&P Raises Rating on $850 Mil. Securities to 'BB' ----------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on ABN AMRO North America Holding Preferred Capital Repackaging Trust I's $850 million fixed- and floating-rate noncumulative trust securities to 'BB' from 'B'. The rating on the securities is dependent on the lower of the issue credit rating assigned to the underlying securities, ABN AMRO North America Holdings Capital Funding LLC's I through XIV floating-rate noncumulative perpetual preferred securities ('BB'); and the issuer credit rating assigned to the swap counterparty, ABN AMRO Bank N.V. (A+/Stable/A-1). The rating actions reflect the Dec. 4, 2009, upgrade of the underlying securities to 'BB' from 'B'. Bank of America Corp. acquired ABN AMRO North America Holding Co. in 2007. ABN AMRO North America Holdings Capital Funding LLC's series I through XIV are indirect subsidiaries of ABN AMRO North America Holding Co. ACACIA CRE: Moody's Reviews Ratings on Six Classes of Notes ----------------------------------------------------------- Moody's Investors Service placed six classes of Notes issued by Acacia CRE CDO 1, Ltd., on review for possible downgrade due to deterioration in the credit quality of the underlying portfolio. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. Acacia CRE CDO 1, Ltd., is a CRE CDO transaction backed by a portfolio of commercial mortgage backed securities (74% of the pool), CRE CDO notes (8% of the pool), and residential mortgage backed securities (18% of the pool). As of October 30, 2009, the aggregate Notes balance of the transaction, including the Subordinate Notes, has decreased to $291.7 million from $300.2 million at issuance, with the approximately $10 million pay-down directed to the Class A Notes. The pay-down was triggered by the failure of the Class A/B, Class C/D, and Class E/F Overcollateralization Tests. Per the Indenture, the failure of any Overcollateralization Test results in all scheduled interest and principal payments being directed to pay down the most senior notes, until the failed Overcollateralization Test is satisfied. Twenty-seven assets with a par balance of over $98.3 million (35% of the pool) were listed as defaulted as of October 30, 2009, compared to eighteen defaulted assets totaling $56.7 million as of last review. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor, weighted average life, weighted average recovery rate, and Moody's asset correlation. Moody's review will focus on potential losses from defaulted collateral and the key indicators. The rating action is: -- Cl. A, Baa1 Placed Under Review for Possible Downgrade; previously on Mar 30, 2009 Downgraded to Baa1 -- Cl. B, Ba3 Placed Under Review for Possible Downgrade; previously on Mar 30, 2009 Downgraded to Ba3 -- Cl. C, B2 Placed Under Review for Possible Downgrade; previously on Mar 30, 2009 Downgraded to B2 -- Cl. D, B3 Placed Under Review for Possible Downgrade; previously on Mar 30, 2009 Downgraded to B3 -- Cl. E, Caa1 Placed Under Review for Possible Downgrade; previously on Mar 30, 2009 Downgraded to Caa1 -- Cl. F, Caa2 Placed Under Review for Possible Downgrade; previously on Mar 30, 2009 Downgraded to Caa2 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 30, 2009. ADVANTA BUSINESS: Moody's Confirms Ratings on 12 Securities ----------------------------------------------------------- Moody's Investors Service has confirmed the rating of 12 classes of senior securities issued out of the Advanta Business Card Master Trust. These notes are backed by a $2.6 billion revolving pool of unsecured credit card receivables that were marketed to small business owners and business professionals. This rating action concludes the review process initiated on May 15. Rationale The decision to confirm the Ba2 rating on the Class A notes is driven primarily by a greater level of certainty with respect to collateral performance. The performance of the trust immediately following the beginning of the early amortization in May was initially very volatile, but not altogether unexpected. In recent months, however, there have been signs of performance stabilization. Moody's believe the Class A notes will be paid in full even if performance deteriorates marginally from its present level. However, the challenges facing small business owners in the current economic environment are such that material risks to the future behavior of these cardholders remain. Six months after the Trust triggered an early amortization event and following the November payment date, Advanta Class A investors have been repaid 62.5% of their initial investment. Although the pace of repayment has slowed (investors were only paid 5.2% of their original balance in November) and will likely slow further in coming months, the payment of almost two thirds of the original balance is a significant step towards the full payment of the senior notes. The trust's collateral performance has shown signs of stabilization in recent months. For example, the principal payment rate, which fell month over month by more than 35% during the first three months of the early amortization period, has stabilized at around 4%. Moody's expect it will remain quite low as the collateral liquidates since the vast majority of remaining cardholders are paying at or near the minimum amount required. This dramatic drop in the PPR followed by an extended period of low but stable performance was observed under similar circumstances when the credit card issuer NextCard was forced to close its accounts and wind down its portfolio in 2002. Also, based on current delinquency and roll rates, Moody's expect that the charge-off rate will remain around 35% in the near term and will not likely exceed 45% in the foreseeable future. Finally, yield has proved to be resilient through the wind down of the program and has been particularly stable at an average of approximately 19%. In light of the trust performance since early amortization commenced, Moody's have adjusted Moody's ranges of performance expectations,: for charge-offs, the new range is 35% to 45 % (down from 40% to 50%); for the PPR, 2.5% to 4.5% (down from 5% to 8%); and for yield, 15% to 20% (up from 10% to 14%). Using these ranges of expectations and assuming all else being equal, one could assume all these contemporaneous, although not immediate, stresses, before senior noteholders would take a first dollar of loss: charge-offs could rise to 45%, the PPR could fall to 2.5%, and yield fall to 15%. Bankruptcy Of Advanta Corp. Advanta Corp. announced on November 8 that it filed a voluntary petition for reorganization under Chapter 11. Advanta Corp.'s wholly owned bank subsidiary, Advanta Bank Corp., is the servicer for Advanta's credit card trust and was not included in the filing. Even so, given that the bank has been below regulatory capital requirements since September, the holding company's bankruptcy filing increases the likelihood that the subsidiary bank will go into receivership and be replaced as servicer. Advanta does not have a contracted back-up servicing arrangement, but does operate on a widely used third-party platform, which should ease the transfer of servicing duties to a third party. As a result, Moody's anticipate a higher servicing fee and a potential further deterioration in performance in Moody's stressed cash flow assumptions. The receivership of NextCard's bank, which precipitated the shut down of their card program and the transfer of servicing duties to a third party, helped to inform Moody's assumptions for the Advanta credit. The complete rating actions are: Ratngs Confirmed Issuer: Advanta Business Card Master Trust, AdvantaSeries -- $225,000,000 Class A (2005-A2) Asset backed Notes, Ba2 confirmed; previously downgraded to Ba2 under review for possible downgrade from Baa2 on May 15, 2009 -- $250,000,000 Class A (2006-A3) Asset backed Notes, Ba2 confirmed; previously downgraded to Ba2 under review for possible downgrade from Baa2 on May 15, 2009 -- $300,000,000 Class A (2006-A4) Asset backed Notes, Ba2 confirmed; previously downgraded to Ba2 under review for possible downgrade from Baa2 on May 15, 2009 -- $200,000,000 Class A (2006-A5) Asset backed Notes, Ba2 confirmed; previously downgraded to Ba2 under review for possible downgrade from Baa2 on May 15, 2009 -- $250,000,000 Class A (2006-A6) Asset backed Notes, Ba2 confirmed; previously downgraded to Ba2 under review for possible downgrade from Baa2 on May 15, 2009 -- $200,000,000 Class A (2006-A7) Asset backed Notes, Ba2 confirmed; previously downgraded to Ba2 under review for possible downgrade from Baa2 on May 15, 2009 -- $200,000,000 Class A (2007-A1) Asset backed Notes, Ba2 confirmed; previously downgraded to Ba2 under review for possible downgrade from Baa2 on May 15, 2009 -- $225,000,000 Class A (2007-A2) Asset backed Notes, Ba2 confirmed; previously downgraded to Ba2 under review for possible downgrade from Baa2 on May 15, 2009 -- $200,000,000 Class A (2007-A3) Asset backed Notes, Ba2 confirmed; previously downgraded to Ba2 under review for possible downgrade from Baa2 on May 15, 2009 -- $200,000,000 Class A (2007-A4) Asset backed Notes, Ba2 confirmed; previously downgraded to Ba2 under review for possible downgrade from Baa2 on May 15, 2009 -- $400,000,000 Class A (2007-A5) Asset backed Notes, Ba2 confirmed; previously downgraded to Ba2 under review for possible downgrade from Baa2 on May 15, 2009 -- $150,000,000 Class A (2008-A3) Asset backed Notes, Ba2 confirmed; previously downgraded to Ba2 under review for possible downgrade from Baa2 on May 15, 2009 Advanta Corp., headquartered in Spring House, PA, reported approximately $7.7 billion in managed assets as of December 31, 2008. Advanta Bank Corp., a wholly owned subsidiary of Advanta, is a depositary institution subject to regulatory oversight by both the FDIC and the Utah Department of Financial Institutions. Advanta has originated and serviced credit card receivables since 1995. AIRCRAFT CERTIFICATE: Moody's Amends PR on 2003-A Certs. -------------------------------------------------------- Moody's Investors Service has revised the second paragraph of its press release on Notes and Certificates issued by Aircraft Certificate Owner Trust 2003-A, announcing that it has downgraded its ratings on the Notes and Certificates. The complete rating action is: Issuer: Aircraft Certificate Owner Trust 2003-A -- Class D, Downgraded to Ba3; previously on March 6, 2009 Baa1 Placed Under Review for Possible Downgrade -- Class E, Downgraded to Ba3; previously on March 6, 2009 Baa1 Placed Under Review for Possible Downgrade -- Certificates, Downgraded to Ba3; previously on March 6, 2009 Baa1 Placed Under Review for Possible Downgrade The Aircraft Certificate Owner Trust Notes and Certificates are backed by debt issued under three Enhanced Equipment Trust Certificate transactions. The Underlying EETC Debt has been issued by three separate pass through trusts, the obligations of which are secured by leases and loans to US Airways on various Airbus planes. Each of the Underlying EETC Debt is also supported by an insurance policy issued by MBIA (rated B3). AMERICREDIT FINANCIAL: Moody's Reviews Ratings on Five Deals ------------------------------------------------------------ Moody's has placed five transactions sponsored by AmeriCredit Financial Services, Inc., between 2005 and 2006 on review for possible upgrade. Although some of the transactions are performing weaker than originally expected, the cash reserves, due to their non-declining nature, have increased substantially relative to remaining expected losses. A significant portion of the expected lifetime losses have already been incurred as these transactions have paid down to approximately 7% to 17% of their original collateral balances. The reserve accounts, as a percentage of the current collateral balances, are expected to continue increasing as the pools pay down further. For the transactions that closed during the first half of 2005, Moody's expects performance to be within initial expectations. Earlier 2005 transactions are performing stronger than later 2005 and 2006 issuance. The AmeriCredit Automobile Receivables Trust 2005-1 and 2005-B-M transactions are expected to incur lifetime cumulative net losses between 11.25% and 12.50% as compared to original expectations of 13.25% to 13.75%. For the transactions that closed during the latter half of 2005 and first quarter of 2006, Moody's expects the CNL to be between 13.50% and 16.25% as compared to initial expectations of 12.00% to 12.75%. During its review, Moody's will continue to refine its assessment of losses relative to the credit enhancement available. Total hard credit enhancement (excluding available excess spread) for the upgraded transactions ranges from approximately 27% to 71% of the outstanding collateral pool balances. The transactions also benefit from excess spread, which ranged between 9% and 10% on an annual basis. Updated remaining expected losses range between 6% and 14% of the outstanding collateral pool balances. As stated earlier, these transactions benefit from non-declining reserve accounts which range from approximately 9% to 28% of the outstanding pool balances, are expected to continue increasing as the pools pay down further Two additional transactions, AmeriCredit Automobile Receivables Trust 2004-D-F and AmeriCredit Automobile Receivables Trust 2005- A-X, were not placed on review for upgrade although they also performed stronger than initial expectations,. This is because the company has elected to purchase the remaining collateral by exercising the call option on the January 2010 distribution date. The underlying ratings reflect the intrinsic credit quality of the notes in the absence of the transaction's guarantee from monoline bond insurer. The current ratings on the below notes are consistent with Moody's practice of rating insured securities at the higher of the guarantor's insurance financial strength rating and any underlying rating. Complete rating actions are: Issuer: AmeriCredit Automobile Receivables Trust 2005-1 -- Pool Current Expected Cumulative Net Losses: 11.25% to 11.75% (as a percentage of the original loan pool balance) -- Class Description: Class D -- Current Rating: A1 Placed on Review for Possible Upgrade, previously on 6/4/2007 Upgraded to A1 from A2 Issuer: AmeriCredit Automobile Receivables Trust 2005-B-M -- Pool Current Expected Cumulative Net Losses: 11.75 to 12.50% (as a percentage of the original loan pool balance) -- Class Description: Class A-4 -- Current Rating: A1 Placed on Review for Possible Upgrade, previously on 1/8/2009 Upgraded to A1 from A3 -- Financial Guarantor: MBIA Insurance Corporation (B3; previously on 2/18/2009 Downgraded to B3 from Baa1) -- Underlying rating: A1 Placed on Review for Possible Upgrade, previously on 1/8/2009 Upgraded to A1 from A3 Issuer: AmeriCredit Automobile Receivables Trust 2005-C-F -- Pool Current Expected Cumulative Net Losses: 13.50% to 14.75% (as a percentage of the original loan pool balance) -- Class Description: Class A-4 -- Current Rating: Aa3; previously on 11/23/2008 Downgraded to Aa3 from Aaa -- Financial Guarantor: Financial Security Assurance Inc (Aa3; previously on 11/21/2008 Downgraded to Aa3 from Aaa) -- Underlying rating: A2 Placed on Review for Possible Upgrade, previously on 1/8/2009 Upgraded to A2 from Baa2 Issuer: AmeriCredit Automobile Receivables Trust 2005-D-A -- Pool Current Expected Cumulative Net Losses: 14.00 to 15.50% (as a percentage of the original loan pool balance) -- Class Description: Class A-4 -- Current Rating: A3 Placed on Review for Possible Upgrade, previously on 1/8/2009 Upgraded to A3 from Baa2 -- Financial Guarantor: Ambac Assurance Corporation (Caa2; previously on 7/29/2009 Downgraded to Caa2 from Ba3) -- Underlying rating: A3 Placed on Review for Possible Upgrade, previously on 1/8/2009 Upgraded to A3 from Baa2 Issuer: AmeriCredit Automobile Receivables Trust 2006-1 -- Pool Current Expected Cumulative Net Losses: 14.75% to 16.50% (as a percentage of the original loan pool balance) -- Class Description: Class C -- Current Rating: A2 Placed on Review for Possible Upgrade, previously on 3/2/2006 Published A2 -- Description: Class D -- Current Rating: Baa2 Placed on Review for Possible Upgrade, previously on 3/2/2006 Published Baa2 ARBOR REALTY: Fitch Downgrades Ratings on Nine Classes of Notes --------------------------------------------------------------- Fitch Ratings downgrades nine classes of Arbor Realty Mortgage Securities series 2006-1, Ltd./LLC reflecting Fitch's base case loss expectation of 21.4%. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. A detailed list of rating actions follows at the end of this release. ARMSS 2006-1 is primarily collateralized by senior commercial real estate debt (78.7% of total collateral is either whole loans or A- notes). Given the seniority of the loans, Fitch expects lower than average losses upon default for these assets due to the high concentration of senior loans, which generally experience better recoveries than subordinate debt. Three loans (2.9%) are currently defaulted. Fitch expects significant to full losses on these loan interests. Offsetting these expected losses, the asset manager has purchased over 20 assets at discounts ranging from 30% to 98.5% of par, which has resulted in approximately $20 million of par building for the transaction. All overcollateralization and interest coverage ratios are currently in compliance. ARMSS 2006-1 is a $600 million CRE collateralized debt obligation managed by Arbor Realty Trust, Inc. The transaction has a five- year reinvestment period that ends December 2011. As of the November 2009 trustee report and per Fitch categorizations, the CDO was substantially invested: whole loans/A-notes (78.7%), B- notes (8.5%), CRE mezzanine loans (5.8%), preferred equity positions (0.3%), CRE CDOs (4.9%), and cash/uninvested proceeds (1.8%). Under Fitch's updated methodology, approximately 66.2% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 10.1% from generally either trailing 12 month (TTM) third quarter 2008, year-end 2008 or TTM first quarter 2009 cash flows. Fitch estimates that average recoveries will be 67.7%, due to the senior position of many of the assets. The largest component of Fitch's base case loss expectation consists of an A-note secured by a portfolio of San Francisco multifamily properties. While a loan modification in mid-2009 extended the loan term an additional four years, replaced the sponsor with a better-capitalized entity, converted two subordinate participations into equity, and increased the interest rate spread while removing the interest rate floor; a default still seems likely based on the fact that the property cash flow has not substantially improved. Fitch modeled a significant loss on this loan based on the remaining leverage on the property. The next largest component of Fitch's base case loss expectation is a whole loan secured by 22.8 acres of waterfront land located in Jacksonville, Florida. While conceptual approvals for the development of three residential towers, a five story parking deck, a marina, and offices and retail were approved in December 2005; the permitting process has still not been completed. The loan was recently extended through January 2010. An Arbor related entity is part of the sponsorship. Fitch assumed a 100% probability of default; and modeled a significant loss on this loan. The third largest component of Fitch's base case loss expectation is a whole loan secured by an office property located in the garment district of Manhattan. The original business plan was to increase rents by renovating and re-tenanting the property away from its base of light manufacturing users to office. However, under current market conditions, the property has not met expectations and the sponsor is reconsidering its strategy. Fitch modeled a significant loss on this loan. This transaction was analyzed according to the 'U.S. CREL CDO Surveillance Criteria', which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. Based on this analysis, the class A notes' breakeven rates are generally consistent with the 'BBB' rating category; the class B through D notes' breakeven rates are generally consistent with the 'BB' rating category and the class E and F notes' breakeven rates are generally consistent with the 'B' rating category. Ratings for classes G and H are generally based on a deterministic analysis because the notes' breakeven rates fall below the 'B' rating category default levels. The deterministic analysis considers the current percentage of defaulted and delinquent assets and any Fitch loans of concern, as well as the likelihood for OC tests to fail and/or cure. Based on this analysis, classes G and H are consistent with a 'CCC' rating, meaning default is possible given the credit enhancement to each class falls below Fitch's base case loss expectation of 21.4%. The class A through F notes were each assigned a Negative Rating Outlook reflecting Fitch's expectation of further negative credit migration of the underlying collateral. These classes were also assigned Loss Severity ratings ranging from 'LS3' to 'LS5'. The LS ratings indicate each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the expected loss for the collateral under the 'B' stress. LS ratings should always be considered in conjunction with probability of default indicated by a class' long-term credit rating. Classes G and H were assigned recovery ratings to provide a forward-looking estimate of recoveries on currently distressed or defaulted structured finance securities. The recovery ratings are calculated using Fitch's cash flow model, and incorporate Fitch's current 'B' stress expectation for default and recovery rates (66.2% and 67.7%, respectively), the 'B' stress US$ LIBOR up stress, and a 24-month recovery lag to determine the present value of all future proceeds to that class. All modeled distributions are discounted at 10% to arrive at a present value and compared to the class' tranche size to determine a recovery rating. The assignment of 'RR5' to class G reflects modeled recoveries of 30.6% of its outstanding balance. The expected recovery proceeds are broken down: -- Present value of expected principal recoveries ($4.1 million); -- Present value of expected interest payments ($1.1 million); -- Total present value of recoveries ($5.2 million); -- Sum of undiscounted recoveries ($11.7 million). The assignment of 'RR6' to class H reflects that the modeled recovery for this class is less than 10% of its principal balance. Fitch has downgraded, assigned LS ratings, RR ratings, and Rating Outlooks to these classes as indicated: -- $230,000,000 class A1A to 'BBB/LS3' from 'AAA'; Outlook Negative; -- $100,000,000 class A1R to 'BBB/LS3' from 'AAA'; Outlook Negative; -- $72,900,000 class A2 to 'BBB/LS4' from 'AAA'; Outlook Negative; -- $41,100,000 class B to 'BB/LS5' from 'AA'; Outlook Negative; -- $31,200,000 class C to 'BB/LS5' from 'A+'; Outlook Negative; -- $13,350,000 class D to 'BB/LS5' from 'A'; Outlook Negative; -- $14,250,000 class E to 'B/LS5' from 'A-'; Outlook Negative; -- $16,950,000 class G to 'CCC/RR5' from 'B'; -- $14,100,000 class H to 'CCC/RR6' from 'B'. Fitch has affirmed and assigned LS ratings and Rating Outlooks to this class: -- $13,650,000 class F at 'B/LS5'; Outlook Negative. Additionally, all classes are removed from Rating Watch Negative. AUCTION RATE: S&P Raises Ratings on $50 Mil. Certs. to 'BB' ----------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on Auction Rate Securities Trust 2007-2's $50 million class A and B trust certificates to 'BB' from 'B'. The ratings on the trust certificates are dependent on the credit rating on the underlying security, Bank of America Corp.'s noncumulative perpetual floating-rate preferred stock series E notes. The rating actions reflect the Dec. 4, 2009, upgrade of the underlying security to 'BB' from 'B'. AUCTION RATE: S&P Raises Ratings on Class A Certs. to 'BB' ---------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on Auction Rate Securities Trust 2007-1's class A auction rate trust certificates and class B leveraged trust certificates to 'BB' from 'B'. The ratings on the certificates are dependent on S&P's issue rating on the underlying security, Merrill Lynch & Co. Inc.'s noncumulative perpetual floating-rate preferred stock series 5 notes. The upgrades reflect the Dec. 4, 2009, upgrade of the rating on the underlying security to 'BB' from 'B'. BNY CONVERGEX: S&P Affirms 'B+' Counterparty Credit Rating ---------------------------------------------------------- Standard & Poor's Ratings Services said that it affirmed its ratings on BNY ConvergEx Group LLC, including its 'B+' long-term counterparty credit rating. At the same time, S&P assigned a '3' recovery rating to its first-lien secured credit facility, indicating S&P's expectation of meaningful (50%-70%) recovery for lenders in the event of a payment default. The outlook is stable. "Our ratings on ConvergEx are based on the company's low-risk, agency-only business model and good niche positioning," said Standard & Poor's credit analyst Sebnem Caglayan. The firm's very aggressive financial profile, particularly its acquisition strategy; negative tangible equity; weak interest coverage; and high debt offset the strengths. ConvergEx was formed in October 2006 in a highly leveraged transaction. As a result, the company has since carried a heavy debt load and had negative tangible equity and weak interest coverage. However, the company's financial profile has improved modestly from both its continued growth and some reduction in debt. Interest coverage has improved but remains weak at 2.1x. In November 2009, the firm completed one and announced two more acquisitions to be completed by year-end 2009. In S&P's opinion, these businesses are fairly low risk; they complement ConvergEx's service offerings and are relatively modest in size. However, financing ofthese acquisitions cumulatively has resulted in lower- than-expected debt reduction and reflecta more aggressive strategy and attitude toward debt than S&P had anticipated. There is substantial negative tangible equity, but because the balance sheet is not needed for the company's business operations, this is less of a concern. ConvergEx's liquidity profile is adequate for the rating. S&P views the agency-only broker model as of inherently lower risk as it involves no proprietary trading or even a securities inventory. The majority of ConvergEx's operating revenue (77.7%) comes from transactional business tied to highly cyclical and volatile equity and options trading. The agency-only model and expense flexibility allow the company to earn stable, relatively low-risk returns. This stability helps to alleviate some of S&P's concern about the company's aggressive financial profile and lack of tangible equity. The stable outlook reflects S&P's expectation that ConvergEx will continue to post modest interest coverage, gradually reduce debt, and maintain prudent liquidity. If ConvergEx exceeds projected debt reductions and materially improves its interest coverage, S&P could raise the ratings. Conversely, if the liquidity profile or interest coverage deteriorates, S&P could lower the ratings. BRAZOS RIVER: Bond Remarketing Won't Affect Fitch's 'CCC' Rating ---------------------------------------------------------------- Fitch Ratings' 'CCC' rating with a Negative Outlook on the Brazos River Authority's (TX) (Texas Competitive Electric Holdings) pollution control revenue refunding bonds series 1994A is unchanged following the remarketing of the bond. The bond is being reoffered at a new interest rate. With this remarketing the 1994A bond will receive a new CUSIP: -- 106213CK5 (original); -- 106213GM7 (remarketed). CAPITAL ONE: Moody's Lifts Ratings on Six Tranches From Five Deals ------------------------------------------------------------------ Moody's has upgraded six tranches from five subprime transactions sponsored by Capital One Auto Finance, Inc., in 2005 and 2006. The 2005 and the earliest 2006 subprime transactions are performing either within or stronger than original expectations. However, COAF's remaining sponsored subprime transactions, which all closed in 2007, are performing moderately weaker than Moody's original expectations. The stabilizing performance and structural features such as non-declining cash reserves have resulted in increases in credit enhancement sufficient for the upgrade. Moody's expects the Capital One Auto Finance Trust 2005-C, 2005-D, and 2006-A to incur lifetime cumulative net losses of 9.50% as compared to original expectations ranging between 9.30% and 13.00%. For Capital One Auto Finance Trust 2006-B and 2006-C transactions, Moody's expects the lifetime CNL to be 11.50% and 11.00%, respectively. Moody's originally expected these transactions to perform at 8.75% and 7.25%, respectively. The current collateral balance as a percentage of the initial balance ranges between 13% and 16% for the 2005 deals, and between 18% and 29% for the 2006 deals. Total hard credit enhancement (excluding available excess spread) for the upgraded transactions ranges from approximately 17% to 30% of the outstanding collateral pool balances. The transactions also benefit from excess spread, which ranges between approximately 6% to 8% per annum. Updated remaining expected losses range between 5% and 9.50% of the outstanding collateral pool balances. As stated earlier, these transactions benefit from non-declining reserve accounts, ranging from approximately 6% to 16% of the outstanding pool balances, that are expected to continue to increase as the pools pay down further. Finally, all the deals are more than 30 months seasoned, and therefore no longer eligible for any overcollateralization step-downs. Therefore, the OC level as a percentage of the outstanding balance is expected to remain constant. The underlying ratings reflect the intrinsic credit quality of the notes in the absence of the transaction's guarantee from monoline insurance. The current ratings on the below notes are consistent with Moody's practice of rating insured securities at the higher of the guarantor's insurance financial strength rating and any underlying rating. Complete rating actions are: Issuer: Capital One Auto Finance Trust 2005-C -- Pool Current Expected Cumulative Net Losses: 9.50% (as a percentage of the original loan pool balance) -- Class Description: Class A-4-A -- Current Rating: Aaa, previously on 12/3/2009 A2 Placed on Review for Possible Upgrade -- Financial Guarantor: FGIC (rating withdrawn; previously rated Caa3 on 3/25/2009) -- Underlying rating: Aaa, previously on 12/3/2009 A2 Placed on Review for Possible Upgrade -- Class Description: Class A-4-B -- Current Rating: Aaa, previously on 12/3/2009 A2 Placed on Review for Possible Upgrade -- Financial Guarantor: FGIC (rating withdrawn; previously rated Caa3 on 3/25/2009) -- Underlying rating: Aaa, previously on 12/3/2009 A2 Placed on Review for Possible Upgrade Issuer: Capital One Auto Finance Trust 2005-D -- Pool Current Expected Cumulative Net Losses: 9.50% (as a percentage of the original loan pool balance) -- Class Description: Class A-4 -- Current Rating: Aaa, previously on 12/3/2009 A2 Placed on Review for Possible Upgrade -- Financial Guarantor: MBIA Insurance Corporation (B3; previously on 2/18/2009 Downgraded to B3 from Baa1) -- Underlying rating: Aaa, previously on 12/3/2009 A2 Placed on Review for Possible Upgrade Issuer: Capital One Auto Finance Trust 2006-A -- Pool Current Expected Cumulative Net Losses: 9.50% (as a percentage of the original loan pool balance) -- Class Description: Class A-4 -- Current Rating: Aa2, previously on 12/3/2009 Baa2 Placed on Review for Possible Upgrade -- Financial Guarantor: Ambac Assurance Corporation (Caa2; previously on 7/29/2009 Downgraded to Caa2 from Ba3) -- Underlying rating: Aa2, previously on 12/3/2009 Baa2 Placed on Review for Possible Upgrade Issuer: Capital One Auto Finance Trust 2006-B -- Pool Current Expected Cumulative Net Losses: 11.50% (as a percentage of the original loan pool balance) -- Class Description: Class A-4 -- Current Rating: Aa2, previously on 12/3/2009 Baa2 Placed on Review for Possible Upgrade -- Financial Guarantor: MBIA Insurance Corporation (B3; previously on 2/18/2009 Downgraded to B3 from Baa1) -- Underlying rating: Aa2, previously on 12/3/2009 Baa2 Placed on Review for Possible Upgrade Issuer: Capital One Auto Finance Trust 2006-C -- Pool Current Expected Cumulative Net Losses: 11.00% (as a percentage of the original loan pool balance) -- Class Description: Class A-4 -- Current Rating: Aa2, previously on 12/3/2009 Baa2 Placed on Review for Possible Upgrade -- Financial Guarantor: FGIC (rating withdrawn; previously rated Caa3 on 3/25/2009) -- Underlying rating: Aa2, previously on 12/3/2009 Baa2 Placed on Review for Possible Upgrade CD 2005-CD1: Moody's Reviews Ratings on 15 Classes of Certs. ------------------------------------------------------------ Moody's Investors Service placed 15 classes of CD 2005-CD1 Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-CD1 on review for possible downgrade due to higher expected losses for the pool resulting from anticipated losses from loans in special servicing and increased credit quality dispersion for the remainder of the pool. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the November 18, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 4% to $3.75 billion from $3.88 billion at securitization. The Certificates are collateralized by 223 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 33% of the pool. The pool includes seven loans with underlying ratings, representing 23% of the pool. Forty-seven loans, representing 18% 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 $1.7 million realized loss (75% loss severity). Twelve loans, representing 7% of the pool, are currently in special servicing. At Moody's last review in April 2008, only one loan, representing less than 1% of the pool, was in special servicing. Moody's review will focus on the performance of the overall pool and potential losses from specially serviced loans and other troubled loans. Moody's rating action is: -- Class A-J, $305,412,000, currently rated Aaa, placed on review for possible downgrade; previously assigned at Aaa on 1/13/2006 -- Class B, $29,087,000, currently rated Aa1, placed on review for possible downgrade; previously assigned at Aa1 on 1/13/2006 -- Class C, $43,630,000, currently rated Aa2 placed on review for possible downgrade; previously assigned at Aa2 on 1/13/2006 -- Class D, $43,630,000, currently rated Aa3, placed on review for possible downgrade; previously assigned at Aa3 on 1/13/2006 -- Class E, $58,174,000, currently rated A2, placed on review for possible downgrade; previously assigned at A2 on 1/13/2006 -- Class F, $38,783,000, currently rated A3, placed on review for possible downgrade; previously assigned at A3 on 1/13/2006 -- Class G, $43,630,000, currently rated Baa1, placed on review for possible downgrade; previously assigned at Baa1 on 1/13/2006 -- Class H, $43,630,000, currently rated Baa2, placed on review for possible downgrade; previously assigned at Baa2 on 1/13/2006 -- Class J, $48,478,000, currently rated Baa3, placed on review for possible downgrade; previously assigned at Baa3 on 1/13/2006 -- Class K, $29,087,000, currently rated Ba1, placed on review for possible downgrade; previously assigned at Ba1 on 1/13/2006 -- Class L, $9,696,000, currently rated Ba2 placed on review for possible downgrade; previously assigned at Ba2 on 1/13/2006 -- Class M, $14,543,000, currently rated Ba3, placed on review for possible downgrade; previously assigned at Ba3 on 1/13/2006 -- Class N, $9,696,000, currently rated B1, placed on review for possible downgraded; previously assigned at B1 on 1/13/2006 -- Class O, $9,695,000, currently rated B2, placed on review for possible downgrade; previously assigned at B2 on 1/13/2006 -- Class P, $9,696,000, currently rated B3, placed on review for possible downgrade; previously assigned at B3 on 1/13/2006 CLAYTON COUNTY: Moody's Assigns 'Caa1' Rating on $125 Mil. Bonds ---------------------------------------------------------------- Moody's Investors Service assigned a Caa1 rating to the planned combined $125 million issuance of Development Authority of Clayton County, Georgia Series 2009A and 2009B Special Facilities Airport Revenue Bonds. The proceeds of the Airport Bonds will be loaned to Delta Air Lines, Inc., and will be used to refinance certain existing debt facilities that funded construction of facilities at Hartsfield-Jackson Atlanta International Airport. Delta's obligations under the Loan Agreement with the Development Authority represent an unsecured obligation of Delta. The Caa1 rating of the Airport Bonds reflects the application of Moody's Loss Given Default Rating Methodology. The large amount of secured debt obligations in the waterfall result in the unsecured claims being notched below the B2 corporate family rating by two notches. The 79-LGD5 Loss Given Default assessment indicates that the bondholders could receive substantially less than a full recovery in the event of a default by Delta. The B2 corporate family rating of Delta reflects the prospect that the successful execution of the company's plan to merge its operations with that of its wholly-owned subsidiary Northwest Airlines Corporation could allow Delta to improve its credit metrics profile from the current levels that are weak for the assigned ratings. Obtaining a single operating certificate from the FAA and effecting the legal merger of the two airline companies with Delta as the surviving entity are the upcoming two key milestones of the merger plan. The company's plans anticipate significant cost synergies and even larger revenue synergies. The timely and successful achievement of the plan will be an important indication of the efficacy of management's strategy for merging the two airline companies; although the question remains whether the combined operation will sustain a lower cost structure and superior credit metrics than those of its smaller legacy carrier peers. The potential of weaker than expected recoveries of yields and execution risks inherent in Delta's merger plan balance the B2 rating as do ongoing vulnerabilities to market risks and event risk until a sustained economic recovery occurs. The B2 rating also considers that Delta maintains sufficient liquidity to fund a potential investment in Japan Airlines International Co., LTD. (Caa1, on review for possible downgrade) should the SkyTeam alliance partners prevail in the current bidding for a tie up with JAL. The last rating action was on November 18, 2009 when Moody's assigned ratings to Delta's Series 2009-1 Enhanced Equipment Trust Certificates. Assignments: Issuer: Clayton County Development Authority, GA -- Senior Unsecured Revenue Bonds, Assigned Caa1, LGD5, 79% -- Senior Unsecured Revenue Bonds, Assigned Caa1, LGD5, 79% Delta Air Lines, Inc., headquartered in Atlanta, Georgia, is the world's largest airline, providing scheduled air transportation for passengers and cargo throughout the U.S. and around the world. COAST INVESTMENT: Moody's Confirms Ratings on Three 2001-1 Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has confirmed the rating of three classes of notes issued by Coast Investment Grade 2001-1, Limited. The notes affected by the rating action are: Issuer: Coast Investment Grade 2001-1, Limited -- US$303,400,000 Class A Floating Rate Senior Secured Notes, due October 10, 2016 (current balance of $58,527,312.41), Confirmed at Baa1; previously on July 21, 2009 Downgraded to Baa1 and Placed Under Review for Possible Downgrade -- US$48,700,000 Class B 1 Floating Rate Senior Secured Notes, due October 10, 2016, Confirmed at Caa3; previously on July 21, 2009 Downgraded to Caa3 and Remained On Review for Possible Downgrade -- US$5,000,000 Class B 2 Fixed Rate Senior Secured Notes, due October 10, 2016, Confirmed at Caa3; previously on July 21, 2009 Downgraded to Caa3 and Remained On Review for Possible Downgrade Coast Investment Grade 2001-1, Limited, is a collateralized debt obligation backed by a portfolio of CBO and CLO assets. The majority of the assets were originated in 2001 and 2002. Moody's explained that the ratings are confirmed as the expected losses posed to note holders are consistent with the current ratings. The rating confirmation reflects the offsetting impact of principal amortization of certain assets in the underlying collateral portfolio and deterioration in the overall 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), failure of the coverage tests, among other measures. The trustee reports that the WARF of the portfolio is 3823 as of October, 2009 compared to 3093 in July 2009. In addition, the Trustee reports that the transaction is currently failing one or more principal coverage tests, including the Class B Overcollateralization Ratio Test. However, about 12.5% of the performing par amortized since the last review. COAST INVESTMENT: Moody's Confirms Ratings on Three Classes ----------------------------------------------------------- Moody's Investors Service announced that it has confirmed the rating of 3 classes of notes issued by Coast Investment Grade 2000-1, Limited. The notes affected by the rating action are: Issuer: Coast Investment Grade 2000-1, Limited -- US$300,000,000 Class A Floating Rate Senior Secured Notes, due 2015, Confirmed at A1; previously on August 20, 2009 Downgraded to A1 and Placed Under Review for Possible Downgrade -- US$30,000,000 Class B-1 Floating Rate Senior Secured Notes, due 2015, Confirmed at Ba2; previously on August 20, 2009 Downgraded to Ba2 and Remained On Review for Possible Downgrade -- US$10,000,000 Class B-2 Fixed Rate Senior Secured Notes, due 2015, Confirmed at Ba2; previously on August 20, 2009 Downgraded to Ba2 and Remained On Review for Possible Downgrade Coast Investment Grade 2000-1, Limited, is a collateralized debt obligation backed by a portfolio of CBO and CLO assets. The majority of the assets were originated in 2000 and 2001. Moody's explained that the ratings are confirmed as the expected losses posed to note holders are consistent with the current ratings. The rating confirmation reflects the offsetting impact of principal amortization of certain assets in the underlying collateral portfolio and deterioration in the overall 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), failure of the coverage tests, among other measures. The trustee reports that the WARF of the portfolio is 4176 as of October 2009 compared to 3616 in July 2009. In addition, the Trustee reports that the transaction is currently failing one or more principal and interest coverage tests, including the Class C coverage tests. However, about 17% of the performing par amortized since the last review. COBALTS TRUST: Moody's Downgrades Ratings on Certs. to 'Ba3' ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the rating of these certificates issued by COBALTS Trust for Sprint Capital Notes: -- 1,000,000 8.125% COBALTS Trust Series Sprint Capital Certificates, Series 2002-1, Downgraded to Ba3; previously on December 23, 2008 Downgraded to Ba2 The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the Moody's rating of the Underlying Securities which are $29,686,000 6.875% Notes due 2028 issued by Sprint Capital Corporation and which were downgraded to Ba3 by Moody's on November 20, 2009. COMM 2007-FL14: S&P Downgrades Ratings on 25 Certificates --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 25 classes of commercial mortgage pass-through certificates from COMM 2007-FL14. Additionally, S&P affirmed its 'AAA' ratings on six classes from this transaction. Concurrently, S&P removed all 31 ratings from CreditWatch with negative implications. The rating actions reflect S&P's revised valuations of the commercial real estate properties that serve as collateral for the remaining loans in the pool. The pool consists of office, retail, and lodging properties. A summary of the valuation declines by property type are: Office, which makes up 77% ($749.5 million) of the pooled trust balance (according to the Nov. 16, 2009, trustee remittance report), has experienced valuation declines ranging between 9% and 45% below the levels S&P assessed at issuance. S&P generally attributes the declines to lower in-place/market rental rates and/or higher vacancy rates. Retail, which constitutes 13% ($121.1 million) of the pooled trust balance, has experienced a valuation decline of 15% since issuance due to lower occupancy. Lodging, which makes up 10% ($97.1 million) of the pooled trust balance, has experienced valuation declines ranging between 30% and 40% below S&P's issuance levels. S&P's valuations incorporated actual declines in revenue per available room and its expectations for future declines. The affirmations of the class X-2, X-3-DB, X-3-SG, X-5-DB, and X- 5-SG interest-only certificates reflect S&P's current criteria. S&P published a request for comment proposing changes to its IO criteria on June 1, 2009 (see "Request For Comment: Methodology For Rating Interest-Only Certificates," on RatingsDirect). After S&P finalizes its criteria review, S&P may revise its IO criteria, which may affect outstanding ratings, including the ratings on the IO certificates that S&P affirmed. Office Collateral Office properties secure seven loans totaling $749.5 million (77% of the pooled trust balance). The largest concentrations are in New York City (22% of the pooled trust balance), Southern California (13%), Northern California (11%), suburban Virginia (10%), and suburban New Jersey (7%). Most of the office properties have experienced lower in-place/market rental rates and/or higher vacancies since issuance. Largest Office Loan The MSREF/Glenborough Portfolio loan, the largest office loan and the largest loan in the pool, has a whole-loan balance of $526.5 million that consists of a $343.7 million senior pooled component (36% of the pooled trust balance), a $71.8 million nonpooled subordinate component that supports the 'GLB' raked certificates, and a $111.0 million nontrust junior participation interest. In addition, the equity interests in the borrower of the whole loan secure mezzanine loans totaling $310.9 million held outside the trust. This loan is currently secured by 16 office properties in various locations totaling 2.84 million sq. ft. The master servicer, Wells Fargo Bank N.A., reported a combined debt service coverage of 2.26x on the trust balance for the year ended Dec. 31, 2008, and 88% occupancy as of September 2009. S&P's adjusted valuation has declined 24% since issuance due primarily to higher vacancies. S&P's current stressed loan-to-value ratio on the trust balance is 90%. This loan matures on Dec. 9, 2010, and has one one-year extension option remaining. Office Loans With Maturities Within The Next Three Months The remaining 10 loans generally have final maturities in 2011 and in the first two months of 2012. Five office loans in the pool have maturity dates within the next three months. Details are: 1330 Avenue of the Americas, the second-largest loan in the pool, has a whole-loan balance of $240.0 million that is divided into a $187.0 million senior pooled component (19% of the pooled trust balance) and a $53.0 million subordinate nonpooled component. This loan provides the sole source of cash flow for the 'AOA' raked certificate classes. This loan is secured by a 40-story, 535,600-sq.-ft. class A office tower in Midtown Manhattan. Wells Fargo reported a 0.71x DSC on the trust balance for the year ended Dec. 31, 2008, and 66% occupancy as of October 2009. S&P's adjusted valuation has declined 41% since issuance, which primarily reflects occupancy levels that were lower than its expectations. S&P's current stressed LTV ratio on the trust balance is 124%. This loan matures on Jan. 9, 2010. The master servicer has indicated that the borrower plans to exercise one of its two remaining one-year extension options. The New Jersey Office Portfolio loan, the sixth-largest loan in the pool, has a trust balance of $63.1 million (7% of the pooled trust balance) and a whole-loan balance of $82.2 million. This loan is secured by six suburban office buildings and the Garden State exhibition center in Franklin Township, N.J., totaling 1.15 million sq. ft. Wells Fargo reported a combined DSC of 1.11x on the trust balance for the year ended Dec. 31, 2008, and 63% occupancy as of September 2009. S&P's adjusted valuation has fallen 34% since issuance due primarily to lower-than-expected occupancy. S&P's current stressed LTV ratio on the trust balance is 109%. This loan matures on Jan. 9, 2010. Wells Fargo has stated that the borrower plans to exercise its remaining one-year extension option. The Rose Orchard Technology Park loan, the eighth-largest loan in the pool, has a trust balance of $29.1 million (3% of the pooled trust balance) and a $50.0 million whole-loan balance. This loan is secured by a 310,200-sq.-ft. suburban office complex in San Jose, Calif. Wells Fargo reported a 2.30x DSC on the trust balance for the 12 months ended Sept. 30, 2009, and 84% occupancy as of October 2009. S&P's adjusted valuation has dropped 15% from S&P's issuance level due primarily to higher vacancy-related losses. S&P's current stressed LTV ratio on the trust balance is 82%. This loan matures on Jan. 9, 2010, and according to Wells Fargo, the borrower plans to exercise one of its two remaining one-year extension options. The 275 Seventh Avenue loan, the second-smallest loan in the pool, has a trust and whole-loan balance of $25.8 million (3% of the pooled trust balance). This loan is secured by a 27-story, 594,500-sq.- ft. office building in Manhattan. Wells Fargo reported a 37.0x DSC on the trust balance for the nine months ended Sept. 30, 2009, and 94% occupancy as of October 2009. S&P's adjusted valuation has increased 11% since issuance due primarily to higher rental income. S&P's current stressed LTV ratio on the trust balance is 27%. This loan matures on Jan. 9, 2010, and according to Wells Fargo, the borrower plans to exercise one of its two remaining one-year extension options. The Carr California Portfolio loan, the smallest loan in the pool, has a whole-loan balance of 27.0 million that is split into two pari passu pieces, $13.5 million of which is included in this transaction. The trust balance is divided into an $11.6 million senior pooled component (1% of the pooled trust balance) and a $1.9 million subordinate nonpooled component that supports the 'CA' raked certificates (not rated). The other pari passu piece is in the Bear Stearns Commercial Mortgage Securities Trust 2007- BBA8 transaction. In addition, the borrower's equity interests in the properties secure mezzanine loans totaling $18.2 million held outside the trust. This loan is currently secured by a 131,600- sq.-ft. suburban office property in Mountain View, California, and a 165,500-sq.-ft. suburban office/research and development property in Sunnyvale, California. The master servicer reported a 2.58x DSC on the trust balance for the year ended Dec. 31, 2008, and 48% occupancy as of June 2009. S&P's adjusted valuation has fallen 45% since issuance due primarily to lower occupancy. S&P's current stressed LTV ratio on the trust balance is 106%. This loan matures on Jan. 9, 2010, and according to Wells Fargo, the borrower plans to exercise one of its two remaining one-year extension options. Retail Collateral There is one retail exposure, the Poughkeepsie Galleria loan. This is the third-largest loan in the pool and is secured by a two-level, 692,900-sq.-ft. space within a 1.21-million-sq.-ft. enclosed super-regional mall in Poughkeepsie, N.Y. The loan has a whole-loan balance of $176.0 million; the whole-loan balance is split into a $121.1 million senior pooled component (13% of the pooled trust balance), a $21.4 million subordinate nonpooled component that is raked to the 'PG' certificates, and a $33.5 million nontrust junior participation interest. Wells Fargo reported a 2.15x DSC on the trust balance for the year ended Dec. 31, 2008, and 89% occupancy as of September 2009. S&P's adjusted valuation has declined 15% since issuance due primarily to lower occupancy. S&P's current stressed LTV ratio on the trust balance is 79%. This loan matures on Feb. 9, 2010. Wells Fargo has indicated that the borrower plans to exercise one of its two remaining one-year extension options. Lodging Collateral Hotel properties secure two loans in the pool totaling $97.1 million (10% of the pooled trust balance). S&P based its hotel analyses, in part, on a review of the available operating statements from the borrower for year-to-date 2009 and the 12 months ended Dec. 31, 2008, the borrower's 2009 budgets, and the Smith Travel Research reports, as well as current and expected local market conditions. Details on the two lodging loans are: The San Francisco Parc 55 loan, the fifth-largest loan in the pool, has a whole-loan balance of $125.0 million that consists of a $67.5 million senior pooled component (7% of the pooled trust balance), a $13.5 million subordinate nonpooled component that supports the 'PH' raked certificates, and a $44.0 million subordinate nontrust junior participation interest, $36.0 million of which has been funded to date. In addition, the equity interests in the borrower of the whole loan secure mezzanine loans totaling $88.4 million held outside the trust. This loan is secured by a 32-story, 1,009-room full-service hotel in downtown San Francisco, Calif. Wells Fargo reported a 3.19x DSC on the trust balance for the year ended Dec. 31, 2008, and 88% occupancy as of September 2009. S&P's adjusted valuation has fallen 40% since issuance. S&P's current stressed LTV ratio on the trust balance is 102%. The loan matures on Feb. 9, 2010, and according to Wells Fargo, the borrower plans to exercise one of its two remaining one-year extension options. The Sheraton Austin Hotel loan, the seventh-largest loan in the pool, has a whole-loan balance of $67.5 million that is divided into a $29.6 million senior pooled component (3% of the pooled trust balance), a $7.9 million subordinate nonpooled component that is raked to the 'SA' certificate (not rated), and a $30.0 million subordinate nontrust junior participation interest. This loan is secured by a 15-story, 365-room full-service hotel in Austin, Texas. The master servicer reported a 1.80x DSC on the trust balance for the year ended Dec. 31, 2008, and 72% occupancy as of October 2009. S&P's adjusted valuation has dropped 30% since issuance. S&P's current stressed LTV ratio on the trust balance is 105%. This loan matures on Feb. 9, 2010. Wells Fargo has indicated that the borrower plans to exercise one of its two one-year extension options. Ratings Lowered And Removed From Creditwatch Negative COMM 2007-FL14 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-J A+ AAA/Watch Neg 23.65 B BBB+ AAA/Watch Neg 18.69 C BBB- AA+/Watch Neg 14.60 D BB+ AA/Watch Neg 11.09 E BB AA-/Watch Neg 7.59 F B+ A/Watch Neg 4.09 G B A/Watch Neg 2.92 H CCC+ A-/Watch Neg 1.75 J CCC BBB-/Watch Neg 1.02 K CCC- BB/Watch Neg N/A AOA1 CCC- A/Watch Neg N/A AOA2 CCC- BBB+/Watch Neg N/A AOA3 CCC- BB+/Watch Neg N/A AOA4 CCC- BB-/Watch Neg N/A GLB1 BB A/Watch Neg N/A GLB2 BB- BBB+/Watch Neg N/A GLB3 B BBB-/Watch Neg N/A GLB4 B- BB+/Watch Neg N/A PG1 BB+ A+/Watch Neg N/A PG2 BB+ A-/Watch Neg N/A PG3 BB BBB/Watch Neg N/A PG4 BB- BBB-/Watch Neg N/A PH1 CCC BBB+/Watch Neg N/A PH2 CCC- BBB/Watch Neg N/A PH3 CCC- BBB-/Watch Neg N/A Ratings Affirmed And Removed From Creditwatch Negative COMM 2007-FL14 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-1 AAA AAA/Watch Neg 68.13 X-2 AAA AAA/Watch Neg N/A X-3-DB AAA AAA/Watch Neg N/A X-3-SG AAA AAA/Watch Neg N/A X-5-DB AAA AAA/Watch Neg N/A X-5-SG AAA AAA/Watch Neg N/A N/A - Not applicable. CORPORATE BACKED: Moody's Downgrades Rating on 2003-17 Certs. ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the rating of these certificates issued by Corporate Backed Trust Certificates, Sprint Capital Note-Backed Series 2003-17: -- US$25,000,000 Principal Amount of 7.00% Class A-1 Certificates due 2028, Downgraded to Ba3; previously on December 23, 2008 Downgraded to Ba2 The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the Moody's rating of the Underlying Securities which are $25,455,000 6.875% Notes due 2028 issued by Sprint Capital Corporation and which were downgraded to Ba3 by Moody's on November 20, 2009. CREDIT SUISSE: Moody's Affirms Ratings on Nine 2006-C4 Certs. ------------------------------------------------------------- Moody's Investors Service affirmed the ratings of nine classes and downgraded 17 classes of Credit Suisse Commercial Mortgage Trust Commercial Securities Pass-Through Certificates, Series 2006-C4. The downgrades are due to higher expected losses for the pool resulting from anticipated losses from specially serviced loans and poorly performing hotel loans. Eight loans, representing 3% of the pool, mature within the next 24 months and have a Moody's stressed debt service coverage less than 1.0X. The affirmations are primarily due to key rating parameters, including Moody's loan to value ratio, stressed DSCR and the Herfindahl Index, remaining within acceptable ranges. On August 31, 2009, Moody's placed seventeen classes on review for possible downgrade due to the bankruptcy of Babcock & Brown, Ltd., (Babcock) the sponsor of two loans (5.5% of the pool). Given the significant decline in the market value of these assets, Moody's has increased Moody's expected loss estimate for these loans. 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 November 18, 2009 distribution date, the transaction's aggregate certificate balance has decreased by 1% to $4.22 billion from $4.27 billion at securitization. The Certificates are collateralized by 360 mortgage loans ranging in size from less than 1% to 19% of the pool, with the top ten loans representing 47% of the pool. The pool includes 47 residential cooperative loans, representing 2.8% of the pool, that have Aaa underlying ratings. At last review, the 280 Park Avenue loan (7.1% of the pool) and the 828-850 Madison Avenue loan (1.4% of the pool) had investment grade underlying ratings. However, because of declines in performance these loans are now analyzed as part of the conduit. No loans have defeased. One hundred and three loans, representing 21% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's (CMSA) 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 experienced a $3 million loss since securitization. Forty-five loans, representing 15% of the pool, are currently in special servicing. The largest specially-serviced loan is the Babcock & Brown FX3 Loan ($195.1 million - 4.6% of the pool), which is secured by 14 multifamily properties located in six states. The collateral consists of older vintage Class B properties and totals 3,719 units. The largest state concentrations are Texas (46% of the allocated loan balance) and Nevada (37% of the allocated loan balance). The loan was transferred to special servicing in February 2009 due to the borrower's request for a loan modification. The loan is current. The second largest specially serviced loan is The Dream Hotel loan ($100.0 million -- 2.4% of the pool), which is secured by a 730,000 square foot retail center in Dallas, Texas. This loan transferred to special servicing in April 2009. The decline in business and tourist travel due to the economic recession has significantly impacted property performance. The loan is 90+ days delinquent. The third largest specially serviced loan is the Harwood Center loan ($80.7 million -- 1.9% of the pool), which is secured by a 220 room full-service hotel in midtown Manhattan, New York. The property was transferred to special servicing in April 2009 and is currently 90+ days delinquent. The remaining 42 specially serviced loans are secured by a mix of multifamily, hotel, office and retail properties. Moody's estimates an aggregate $228.9 million loss for the specially serviced loans (38% loss severity on average). In addition to recognizing losses from specially serviced loans, Moody's has assumed a higher probability of default on four loans (8% of the pool) and has estimated aggregate losses of $90.8 million (49% loss severity on average) from these troubled loans. Moody's rating action recognizes potential uncertainty around the timing and magnitude of loss from these troubled loans. Moody's was provided with full-year 2008 operating results for 98% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV ratio is 118% compared to 139% at Moody's prior review in February 2009. Moody's prior review was part of Moody's first quarter 2009 ratings sweep of 2006-2008 vintage conduit / fusion transactions. Excluding specially serviced and troubled loans, Moody's stressed DSCR is 0.88X, compared to 0.80X 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 Herf 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 is 40. The pool has a Herf of 20, the same as at last review. The largest loan that previously had an underlying rating is the 280 Park Avenue loan ($300.0 million -- 7.1% of the pool), which represents a pari passu interest in a $440 million loan. The loan is secured by a 1.2 million square foot Class A office building located in the Plaza District office submarket in New York City. The loan is also encumbered by a $670 million mezzanine loan. The property was 96% leased as of March 2009 compared to 98% at securitization. Major tenants include Deutsche Bank Trust Companies (28% of net rentable area; lease expiration February 2011), the National Football League (17% of NRA; lease expiration February 2014) and Credit Suisse (8% NRA; lease expiration March 2014). Performance has declined due to increased expenses. Moody's LTV and stressed DSCR are 87% and 1.06X, respectively, compared to 71% and 1.26X at Moody's last full review. The second largest loan that previously had an underlying rating is the 828-850 Madison Avenue loan ($60.0 million -- 1.4% of the pool), which represents the senior note of an $80.0 million first mortgage loan. The loan is secured by the retail component of a high-rise residential condominium located on Madison Avenue between East 69th and East 70th Streets in New York City. The collateral totals 17,300 square feet and is 100% leased. The largest tenant is Gucci, which occupies 60% of the NRA. The three top tenants, which lease 92% of the NRA, have leases that extend until at least 2016. Despite solid occupancy, performance has declined due to increased expenses. Moody's LTV and stressed DSCR are 81% and 1.06X, respectively, compared to 74% and 1.10X at Moody's last full review. The three largest conduit loans represent 26% of the pool. The largest loan is the 11 Madison Avenue loan ($806.0 million -- 19.1% of the pool), which is secured by a 2.2 million square foot Class A office building located in the East Midtown South office submarket in New York City. The property was virtually 100% leased as of June 2009. The building serves as the global headquarters location for Credit Suisse AG (Moody's senior unsecured rating Aa1, negative outlook), which leases 86% of the NRA through May 2017. The property's performance has declined due to increased operating expenses. The loan is interest-only for the entire term. Moody's LTV and stressed DSCR are 134% and 0.69X, respectively, compared to 116% and 0.76X at last review. The second largest conduit loan is The Ritz-Carlton South Beach Resort loan ($181.0 million -- 4.3% of the pool) which is secured by a 376-room full-service luxury hotel located in Miami Beach, Florida. The property has never achieved the performance originally anticipated at securitization. The 2008 net operating income (NOI) was approximately 50% less than at securitization. Moody's anticipates further performance declines through 2010 due to continuing declines in tourist and business travel resulting from the economic recession. Due to the significant decline in performance and Moody's outlook for the hotel market, Moody's utilized a floor value approach in estimating a stressed value for this property. Moody's LTV and stressed DSCR are 213% and 0.30X, respectively, compared to 120% and 0.90X at last review. The third largest conduit loan is the Carlton Hotel on Madison loan ($99.8 million -- 2.4% of the pool), which is secured by a 334 room full-service hotel located in New York, New York. The property has never achieved the performance originally anticipated at securitization. The borrower reported a negative NOI for the first six months of 2009. Through June 2009, the year-to-date occupancy and revenue per available room were 65% and $126, respectively, compared to 80% and $265 at securitization. Due to the significant decline in performance and out outlook for the hotel market, Moody's utilized a floor value approach in estimating a stressed value for this property. Moody's LTV and stressed DSCR are 180% and 0.55X, respectively, compared to 128% and 0.91X at last review. Moody's rating action is: -- Class A-1, $32,246,792, affirmed at Aaa; previously assigned at Aaa on 10/02/2006 -- Class A-1-A, $702,759,150, affirmed at Aaa; previously assigned at Aaa on 10/02/2006 -- Class A-2, $92,000,000, affirmed at Aaa; previously assigned at Aaa on 10/02/2006 -- Class A-3, $1,812,000,000, affirmed at Aaa; previously assigned at Aaa on 10/02/2006 -- Class A-4FL, $150,000,000, affirmed at Aaa; previously assigned at Aaa on 10/02/2006 -- Class A-AB, $156,000,000, affirmed at Aaa; previously assigned at Aaa on 10/02/2006 -- Class A-M, $427,309,000, downgraded to A1 from Aaa; placed on review for possible downgrade on 8/31/2009 -- Class A-SP, notional, affirmed at Aaa; previously assigned at Aaa on 10/02/2006 -- Class A-Y, notional, affirmed at Aaa; previously assigned at Aaa on 10/02/2006 -- Class A-X, notional, affirmed at Aaa; previously assigned at Aaa on 10/02/2006 -- Class A-J, $341,847,000, downgraded to Ba1 from A1; previously placed on review for possible downgrade on 8/31/2009 -- Class B, $26,707,000, downgraded to B1 from A2; previously placed on review for possible downgrade on 8/31/2009 -- Class C, $64,097,000, downgraded to B3 from A3; previously placed on review for possible downgrade on 8/31/2009 -- Class D, $37,389,000, downgraded to Caa1 from Baa1; previously placed on review for possible downgrade on 8/31/2009 -- Class E, $21,366,000, downgraded to Caa2 from Baa2; previously placed on review for possible downgrade on 8/31/2009 -- Class F, $48,072,000, downgraded to Caa3 from Baa3; previously placed on review for possible downgrade on 8/31/2009 -- Class G, $42,731,000, downgraded to Ca from Ba1; previously placed on review for possible downgrade on 8/31/2009 -- Class H, $48,072,000, downgraded to C from Ba1; previously placed on review for possible downgrade on 8/31/2009 -- Class J, $48,072,000, downgraded to C from B1; previously placed on review for possible downgrade on 8/31/2009 -- Class K, $53,414,000, downgraded to C from B3; previously placed on review for possible downgrade on 8/31/2009 -- Class L, $10,683,000, downgraded to C from Caa1; previously placed on review for possible downgrade on 8/31/2009 -- Class M, $16,024,000, downgraded to C from Caa1; previously placed on review for possible downgrade on 8/31/2009 -- Class N, $16,024,000, downgraded to C from Caa2; previously placed on review for possible downgrade on 8/31/2009 -- Class O, $5,341,000, downgraded to C from Caa2; previously placed on review for possible downgrade on 8/31/2009 -- Class P, $10,683,000, downgraded to C from Caa3; previously placed on review for possible downgrade on 8/31/2009 -- Class Q, $10,683,000, downgraded to C from Caa3; previously placed on review for possible downgrade on 8/31/2009 CREDIT SUISSE: Moody's Downgrades Ratings on 17 2006-C5 Certs. -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of seven classes and downgraded 17 classes of Credit Suisse Commercial Mortgage Trust Commercial Securities Pass-Through Certificates, Series 2006-C5. The downgrades are due to higher expected losses for the pool resulting from anticipated losses from specially serviced and highly leveraged watchlisted loans. The affirmations are primarily due to key rating parameters, including Moody's loan to value ratio, Moody's debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. On August 31, 2009, Moody's placed 17 classes on review for possible downgrade due to the bankruptcy of Babcock & Brown, Ltd., the sponsor of the largest loan in the pool, representing 5.7% of the current balance. Given the significant decline in the performance of this asset, Moody's has increased its expected loss estimate for this loan. This action concludes the review. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the November 18, 2009 distribution date, the transaction's aggregate certificate balance has decreased by 1% to $3.39 billion from $3.43 billion at securitization. The Certificates are collateralized by 305 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top ten loans representing 37% of the pool. The pool no longer has any loans with underlying ratings. At securitization, the 280 Park Avenue Loan (4.1% of the pool), W New York-Union Square Loan (3.4% of the pool) and North Ranch Mall Loan (1.1% of the pool) had investment grade underlying ratings. However, declines in property performance have resulted in increased leverage and these loans are now analyzed as part of the conduit pool. Eighty one 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. Not all loans on the watchlist are delinquent or have significant issues. One loan has been liquidated from the trust, resulting in a $2.5 million loss (39% loss severity). Twenty-four loans, representing 15% of the pool, are currently in special servicing. The largest specially-serviced loan is the Babcock & Brown FX4 Loan ($193.8 million -- 5.7% of the pool), which is secured by 20 multifamily properties located in Texas, South Carolina, and Georgia. The collateral consists of older vintage Class B properties and totals 4,958 units. The largest geographic concentrations are Houston, Dallas, and Columbia, South Carolina. The loan was transferred to special servicing in February 2009 due to the borrower's request for a loan modification. Although the portfolio has maintained a high occupancy level, performance has declined since securitization due to a decline in rental rates and increased expenses. The second largest specially serviced loan is W New York - Union Square Loan ($115.0 million -- 3.4% of the pool), which is secured by a 270-room full service luxury hotel located in New York City. The loan was transferred to special servicing in September 2009 due to imminent default. The hotel's performance has declined significantly since securitization due to a drop off in tourist and business travel. Occupancy and revenue per available room for the twelve-month period ending June 2009 were 93% and $303, respectively, compared to 86% and $360 at securitization. The remaining 22 specially serviced loans are secured by a mix of multifamily, hotel, office and retail properties. Eleven loans are either 90 days delinquent, in foreclosure or real estate owned. Moody's estimates an aggregate $153.7 million loss for the specially serviced loans (39% loss severity on average). In addition to recognizing losses from specially serviced loans, Moody's has assumed a high default probability for five loans (7% of the pool) and has estimated an aggregate loss of $71.2 million (32% loss severity on average) from these troubled loans. Moody's rating action recognizes potential uncertainty around the timing and magnitude of loss from these troubled loans. Moody's was provided with full-year 2008 operating results for 97% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV ratio is 111% compared to 131% at Moody's prior review in February 2009. Moody's prior review was part of Moody's first quarter 2009 ratings sweep of 2006 to 2008 vintage conduit / fusion transactions. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.25X and 0.95X, respectively, compared to 1.14X and 0.83X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf 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 is 40. The pool has a Herf of 52, the same as at last review. The largest performing loan that previously had an underlying rating is the 280 Park Avenue Loan ($140.0 million -- 4.1% of the pool), which represents a pari passu interest in a $440 million loan. The loan is secured by a 1.2 million square foot Class A office building located in the Plaza District office submarket in New York City. The loan is also encumbered by a $670 million mezzanine loan. The property was 96% leased as of March 2009 compared to 99% at securitization. Major tenants include Deutsche Bank Trust Companies (28% of net rentable area (NRA); lease expiration February 2011), the National Football League (17% of NRA; lease expiration February 2014) and Credit Suisse (8% of NRA; lease expiration March 2014). Although occupancy has remained relatively stable, performance has declined due to increased expenses. Moody's LTV and stressed DSCR are 87% and 1.06X, respectively, compared to 71% and 1.26X at securitization. The second largest performing loan that previously had an underlying rating is the North Ranch Mall Loan ($37.5 million -- 1.1% of the pool), which is secured by an 185,000 square foot retail center located in Westlake Village, California. The center is anchored by Ralph's Grocery and Rite Aid. The center was 95% leased as of June 2009 compared to 100% at securitization. Despite relatively stable occupancy, performance has declined due to lower revenues and higher expenses. Moody's LTV and stressed DSCR are 84% and 1.12X, respectively, compared to 77% and 1.23X at securitization. The three largest conduit loans represent 15% of the pool. The largest loan is the Queens Multifamily Portfolio Loan ($192.0 million -- 5.6% of the pool), which is secured by 31 multifamily properties located in Queens, New York. The borrower purchased the property in 2006 for $277.5 million and planned to increase its value through a comprehensive capital renovation program and conversion of rent regulated units to market rents. Progress has been slower than expected and multifamily market conditions in the New York City metropolitan area have deteriorated since securitization. In addition, operating expenses are significantly higher than originally projected. The biggest contributor to increased expenses is utilities. At securitization, a $7.0 million reserve fund was established for debt service shortfalls; currently, approximately $1.3 million of this reserve remains. The loan is interest-only for the entire term and matures in December 2013. The loan sponsors are Vantage Properties and Apollo Real Estate Advisors. Due to its weaker than expected performance, Moody's has assumed a high probability of default for this loan. Moody's LTV and stressed DSCR are 145% and 0.60X, respectively, compared to 122% and 0.81X at last review. The second largest conduit loan is the 720 Fifth Avenue Loan ($165.0 million -- 4.9% of the pool), which is secured by a 121,108 square foot mixed use property located in Manhattan, New York. The property was 92% leased as of June 2009 compared to 70% at securitization. The largest tenant is Abercrombie & Fitch (54% of NRA; various lease expirations from 2013 through 2021). Property performance is inline with Moody's original expectations. Moody's LTV and stressed DSCR are 114% and 0.78X, respectively, compared to 126% and 0.79X at last review. The third largest conduit loan is the HGSI Headquarters Loan ($147.0 million -- 4.3% of the pool), which is secured by a 635,000 square foot office property located in Rockville, Maryland. The property is 100% leased to Human Genome Sciences Corporation through May 2026 and serves as its corporate headquarters. Property performance is inline with Moody's original projections. Moody's LTV and stressed DSCR are 109% and 0.93X, respectively, compared to 125% and 0.85X at last review. Moody's rating action is: -- Class A-1, $26,957,795, affirmed at Aaa; previously assigned at Aaa on 12/22/2006 -- Class A-2 $220,000,000, affirmed at Aaa; previously assigned at Aaa on 12/22/2006 -- Class A-AB, $149,203,000, affirmed at Aaa; previously assigned at Aaa on 12/22/2006 -- Class A-3, $1,200,000,000, affirmed at Aaa; previously assigned at Aaa on 12/22/2006 -- Class A-1A, $776,590,967, affirmed at Aaa; previously assigned at Aaa on 12/22/2006 -- Class A-SP, notional, affirmed at Aaa; previously assigned at Aaa on 12/22/2006 -- Class A-X, notional, affirmed at Aaa; previously assigned at Aaa on 12/22/2006 -- Class A-MFL, $100,000,000, downgraded to Aa1 from Aaa; previously placed on review for possible downgrade on 8/31/2009 -- Class A-M, $242,977,000, downgraded to Aa1 from Aaa; previously placed on review for possible downgrade on 8/31/2009 -- Class A-J, $287,244,000, downgraded to Baa1 from Aa3; previously placed on review for possible downgrade on 8/31/2009 -- Class B, $12,861,000, downgraded to Baa2 from A1; previously placed on review for possible downgrade on 8/31/2009 -- Class C, $60,021,000, downgraded to Ba1 from A2; previously placed on review for possible downgrade on 8/31/2009 -- Class D, $38,585,000, downgraded to B2 from A3; previously placed on review for possible downgrade on 8/31/2009 -- Class E, $38,585,000, downgraded to B3 from Baa2; previously placed on review for possible downgrade on 8/31/2009 -- Class F, $34,298,000, downgraded to Caa2 from Baa3; previously placed on review for possible downgrade on 8/31/2009 -- Class G, $42,872,000, downgraded to Caa3 from Ba2; previously placed on review for possible downgrade on 8/31/2009 -- Class H, $34,298,000, downgraded to Ca from B1; previously placed on review for possible downgrade on 8/31/2009 -- Class J, $42,872,000, downgraded to C from B3; previously placed on review for possible downgrade on 8/31/2009 -- Class K, $4,287,000, downgraded to C from Caa1; previously placed on review for possible downgrade on 8/31/2009 -- Class L, $12,862,000, downgraded to C from Caa1; previously placed on review for possible downgrade on 8/31/2009 -- Class M, $12,862,000, downgraded to C from Caa2; previously placed on review for possible downgrade on 8/31/2009 -- Class N, $8,574,000, downgraded to C from Caa2; previously placed on review for possible downgrade on 8/31/2009 -- Class O, $4,287,000, downgraded to C from Caa3; previously placed on review for possible downgrade on 8/31/2009 -- Class P, $12,862,000, downgraded to C from Caa3; previously placed on review for possible downgrade on 8/31/2009 CREDIT SUISSE: Moody's Affirms Ratings on Eight 2007-C3 Certs. -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of eight classes and downgraded 18 classes of Credit Suisse Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007- C3. The downgrades are due to higher expected losses for the pool resulting from anticipated losses from specially serviced and highly leveraged watchlisted loans. The affirmations are due to key rating parameters, including Moody's loan to value ratio, Moody's debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Moody's placed 15 classes of this transaction on review for possible downgrade on August 11, 2009 due to anticipated losses from loans in special servicing. On November 19, 2009, the review was continued and three additional classes were placed on review for possible downgrade due to higher anticipated losses than originally projected. This action concludes the review. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the November 18, 2009 distribution date, the transaction's aggregate certificate balance has decreased by less than 1% to $2.67 billion from $2.68 billion at securitization. The Certificates are collateralized by 241 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top ten loans representing 31% of the pool. At securitization, the Mandarin Oriental Loan ($135 million -- 5.1% of the pool) had an investment grade underlying rating. However, due to a decline in performance resulting in increased leverage, this loan is now analyzed as part of the conduit pool. Forty-four loans, representing 26% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. One loan has been liquidated from the trust, resulting in a $1.5 million loss (47% loss severity). There are 24 loans, representing 11% of the pool, currently in special servicing. The largest specially serviced loan is the Koger Center Office Park Portfolio ($83.0 million -- 3.1% of the pool), which is a portfolio of 15 cross-collateralized and cross-defaulted office properties located in Saint Petersburg, Florida. The loan was transferred to special servicing on May 29, 2009 due to imminent default. The remaining 23 specially serviced loans are secured by a mix of retail (13), multifamily (4), office (3) mixed-use (2) and hospitality (1) properties. Moody's has estimated a $165 million aggregate loss for all of the specially serviced loans (58% loss severity on average). The servicer has recognized a $78.3 million aggregate appraisal reduction for 15 of the specially serviced loans. In addition to recognizing losses from specially serviced loans, Moody's has assumed a high probability of default on seven loans (3% of the pool) and has estimated an aggregate loss of $31.6 million (41% loss severity on average) from these troubled loans. Moody's rating action recognizes potential uncertainty around the timing and magnitude of loss from these troubled loans. Moody's was provided with year-end 2008 and partial year 2009 operating results for 82% of the pool. Moody's weighted average LTV for the pool, excluding specially serviced and troubled loans, is 131% compared to 152% at Moody's last review in February 2009. Moody's prior review was part of the first quarter 2009 ratings sweep of 2006-2008 vintage conduit and fusion CMBS transactions. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.21X and 0.83X, respectively, compared to 1.05X and 0.71X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf 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 score of 63, essentially the same as last review. The top three loans represent 15% of the pool. The largest loan is the Main Plaza Loan ($160.7 million -- 6.0% of the pool), which is secured by two 12-story office buildings totaling 583,000 square feet of net rentable area (NRA). The property is located in Irvine, California. At securitization, the property was owned by Maguire Properties; it was subsequently sold to Shorenstein Properties in 2008. Due to softening of the Irvine office market, current market rents are lower and market vacancy is higher than at securitization. As of June 30, 2009, the property was 65% leased compared to 79% at securitization. The loan is on the servicer's watchlist. The loan is interest-only for its entire term. Moody's LTV and stressed DSCR are 184% and 0.53X, respectively, compared to 166% and 0.60X at last review. The second largest loan is the Mandarin Oriental Loan ($135.0 million -- 5.1% of the pool), which is secured by a 248- key luxury hotel located at Columbus Circle in New York City. The loan's performance has declined significantly since securitization due to a decline in tourist and business travel. Occupancy and revenue per available room were 60% and $460, respectively, compared to 76% and $647 at securitization. The borrower is Istithimar Building FZE, which has been funding debt service shortfalls for approximately one year. The loan is interest-only for its entire term and matures in March 2012. Moody's LTV and stressed DSCR are 121% and 0.89X, respectively, compared to 70.4% and 1.41X at securitization. The third largest loan is the Westwood Complex Loan ($95.0 million -- 3.6% of the pool), which is secured by a six building mixed-use complex located in Bethesda, Maryland. The six buildings consist of two apartment buildings, a retail center, a mixed-use space, an assisted living facility and a bowling alley. The properties were 99% leased as of June 2009, essentially the same as securitization. Moody's LTV and stressed DSCR are 138% and 0.65X, respectively, compared to 154% and 0.63X at last review. Moody's rating action is: -- Class A-1, $14,180,505, affirmed at Aaa; previously assigned Aaa on 7/30/2007 -- Class A-1-A1, $507,855,441, affirmed at Aaa; previously assigned Aaa on 7/30/2007 -- Class A-1-A2, $200,000,000, affirmed at Aaa; previously assigned Aaa on 7/30/2007 -- Class A-2, $392,000,000, affirmed at Aaa; previously assigned Aaa on 7/30/2007 -- Class A-3, $48,588,000, affirmed at Aaa; previously assigned Aaa on 7/30/2007 -- Class A-AB, $61,628,000, affirmed at Aaa; previously assigned Aaa on 7/30/2007 -- Class A-4, $643,000,000, affirmed at Aaa; previously assigned Aaa on 7/30/2007 -- Class A-X, Notional, affirmed at Aaa; previously assigned Aaa on 7/30/2007 -- Class A-M, $268,479,000, downgraded to Aa3 from Aaa; previously Aaa, on review for possible downgrade on 11/19/2009 -- Class A-J, $201,359,000, downgraded to Ba1 from A1; previously A1, on review for possible downgrade on 11/19/2009 -- Class B, $16,780,000, downgraded to Ba3 from A2; previously A2, on review for possible downgrade on 11/19/2009 -- Class C, $40,272,000, downgraded to B2 from A3; previously A3, on review for possible downgrade on 11/19/2009 -- Class D, $26,847,000, downgraded to Caa1 from Baa1; previously Baa1, on review for possible downgrade on 11/19/2009 -- Class E, $20,136,000, downgraded to Caa2 from Baa2; previously Baa2, on review for possible downgrade on 11/19/2009 -- Class F, $23,492,000, downgraded to Caa3 from Baa3; previously Baa3, on review for possible downgrade on 11/19/2009 -- Class G, $30,204,000, downgraded to Ca from Ba2; previously Ba2, on review for possible downgrade on 11/19/2009 -- Class H, $33,560,000, downgraded to Ca from B1; previously B1, on review for possible downgrade on 11/19/2009 -- Class J, $30,204,000, downgraded to C from B3; previously B3, on review for possible downgrade on 11/19/2009 -- Class K, $30,204,000, downgraded to C from Caa1; previously Caa1, on review for possible downgrade on 11/19/2009 -- Class L, $10,068,000, downgraded to C from Caa2; previously Caa2, on review for possible downgrade on 11/19/2009 -- Class M, $6,712,000, downgraded to C from Caa2; previously Caa2, on review for possible downgrade on 11/19/2009 -- Class N, $10,068,000, downgraded to C from Caa3; previously Caa3, on review for possible downgrade on 11/19/2009 -- Class O, $6,712,000, downgraded to C from Caa3; previously Caa3, on review for possible downgrade on 11/19/2009 -- Class P, $6,712,000, downgraded to C from Caa3; previously Caa3, on review for possible downgrade on 11/19/2009 -- Class Q, $10,068,000, downgraded to C from Ca; previously Ca, on review for possible downgrade on 11/19/2009 -- Class S, $6,712,000, downgraded to C from Ca; previously Ca, on review for possible downgrade on 11/19/2009 CREDIT SUISSE: S&P Downgrades Ratings on 13 2005-C3 Securities -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 13 classes of commercial mortgage-backed securities from Credit Suisse First Boston Mortgage Securities Corp.'s series 2005-C3 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 11 classes from the same transaction and removed two of them from CreditWatch with negative implications. The downgrades follow S&P's analysis of the transaction using its U.S. conduit and fusion CMBS criteria, which was the primary driver of the rating actions. The downgrades of the subordinate and mezzanine classes also reflect the credit support erosion S&P anticipate will occur upon the eventual resolution of five specially serviced loans, as well as S&P's analysis of one loan that S&P consider credit-impaired. S&P downgraded the class O certificates to 'D' following interest shortfalls due to appraisal subordinate entitlement reductions and special servicing fees related to the four specially serviced assets. Class O has experienced shortfalls for the past six months, and S&P expects the shortfalls to recur for an extended period of time. The cumulative shortfalls to class O amount to $133,600. Classes K, L, M, and N are currently experiencing interest shortfalls primarily due to special servicing fees and ASERs. However, a portion of the related appraisal reduction amounts are not based on final appraisals and are subject to change. A change in the resulting ASERs could affect the future cash flow amounts available to each class. S&P will continue to monitor the shortfalls, and will lower the ratings on these classes to 'D' if S&P determine that the shortfalls will continue for the foreseeable future. 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 1.54x and a loan-to-value ratio of 102.6%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 0.97x and an LTV of 132.5%. The implied defaults and loss severity under the 'AAA' scenario were 60.4% and 32.4%, respectively. The weighted average DSC and LTV calculations exclude five specially serviced assets ($83.1 million; 5.3%), one loan that S&P deemed to be credit- impaired ($13.0 million; 0.8%), 53 cooperative loans ($177.3 million; 11.4%), and nine defeased loans ($103.3 million, 6.7%). S&P separately estimated losses for the specially serviced and credit-impaired assets, which were included in S&P's 'AAA' scenario implied default and loss severity figures. S&P excluded the cooperative apartment loans, as they did not default under the 'AAA' scenario due to extremely low leverage. The affirmations of the principal and interest certificates reflect subordination levels that are consistent with the outstanding ratings. S&P affirmed its ratings on the class A-X, A-SP, and A-Y interest-only certificates based on its current criteria. S&P published a request for comment proposing changes to its IO criteria on June 1, 2009. Once S&P finalize the criteria review, S&P may revise its current IO criteria, which may affect outstanding ratings, including the ratings on the A-X, A- SP, and A-Y certificates that S&P affirmed. Credit Considerations As of the Nov. 18, 2009, remittance date, seven assets ($192.3 million; 12.4%) in the pool were with the special servicer, LNR Partners Inc. (LNR). The payment status of the assets is: one is real estate owned (REO) ($6.0 million; 0.4%), two are in foreclosure ($24.1 million; 1.6%), two are 90-plus-days delinquent ($53.0 million, 3.4%), one is less than 30 days delinquent ($0.9 million, 0.1%), and one is current ($107.6 million, 6.9%). Two of the specially serviced assets are top 10 loans ($159.8 million; 10.3%), which S&P discuss below, and four of the specially serviced assets have ARAs in effect totaling $16.2 million. S&P separately estimated losses for five of the seven specially serviced assets ($83.1 million; 5.3%). For the five assets, losses ranged from 22% to 64%. The Southland Center loan, the largest loan in the pool, was transferred to the special servicer on April 23, 2009, due to imminent default. The loan has a $107.6 million trust and whole- loan balance and is secured by 639,575 sq. ft. of a 931,952-sq.- ft. regional mall in Taylor, Mich., which is a Detroit suburb. The property was constructed in 1970 and renovated in 2000. Approximately 18 months ago, the asset underwent a reconfiguration and expansion to accommodate a Best Buy (45,000 sq. ft.). The expansion is now complete, and the tenant is occupying the space. For year-end 2008, the occupancy and DSC were 88% and 1.43x, respectively. The borrower, General Growth Properties, filed for bankruptcy on April 16, 2009, and the proposed plan of reorganization calls for extending the loan from its current March 5, 2010, maturity date. S&P will continue to monitor developments relating to this loan and will take rating actions on this transaction as necessary. The Everest MBC Portfolio Tower loan, the second-largest loan in special servicing and the fifth-largest loan in the pool, was transferred to the special servicer on May 29, 2009, due a monetary default and is currently 90-plus-days delinquent. The loan has a trust and whole-loan balance of $52.1 million and consists of six cross-collateralized and cross-defaulted notes, which are secured by industrial warehouse, flex, and office properties in Billerica, Boston, and Chicopee, Mass. For year-end 2008, the DSC was 1.05x. Based on June 2009 rent rolls, S&P estimates, currently, a significant deterioration in DSC. S&P expects a moderate loss upon the eventual resolution of this loan. In addition to the specially serviced assets, S&P deemed one loan, the Summer Bend Apartments loan ($13.0 million; 0.8%), to be credit-impaired. The loan appears on the master servicer's watchlist due to low occupancy and a low DSC. In S&P's view, the loan is at increased risk of default over its term. The payment status of this loan is less than 30 days delinquent. The loan is secured by a 300-unit multifamily property built in 1985 in Irving, Texas. For year-end 2008, the occupancy and DSC were 67% and 0.34x, respectively. S&P expects a moderate loss upon the eventual resolution of this loan. Transaction Summary As of the Nov. 18, 2009, remittance report, the aggregate trust balance was $1.55 billion (181 loans), which is 95.0% of the issuance balance. The pool is secured by 195 assets, down from 198 at issuance. The two master servicers for the transaction, Midland Loan Services Inc. and NCB FSB, reported financial information for over 99% of the nondefeased loans ($103.3 million; 6.6%). Ninety-four percent of the financial information was either full-year 2008 or partial-year 2009 data. S&P calculated a weighted average DSC of 1.60x for the pool based on the master servicer's reported figures. S&P's adjusted DSC and LTV were 1.54x and 102.6%, respectively. Standard & Poor's adjusted DSC and LTV calculations exclude five specially serviced assets ($83.1 million; 5.3%), one loan that S&P deem to be credit- impaired ($13.0 million; 0.8%), 53 cooperative loans ($177.3 million; 11.4%), and nine defeased loans ($103.3 million, 6.6%). S&P separately estimated losses for five specially serviced assets and one credit-impaired asset in S&P's analysis. Year-end 2008 data was available for five of the six loans, from which S&P calculated a weighted average DSC of 0.9x. The transaction has realized two principal losses totaling $6.2 million to date. Twenty-four loans are on the master servicers' watchlist ($147.3 million; 9.5%), including one of the top 10 loans, which S&P discussed above. Nine loans ($91.7 million, 5.9%) have a reported DSC between 1.0x and 1.1x, and 14 loans ($95.0 million, 6.1%) have a reported DSC of less than 1.0x. Summary of Top 10 Loans The top 10 loans have an aggregate outstanding balance of $607.5 million (39.1%). Using servicer-reported information, S&P calculated a weighted average DSC of 1.43x for the top 10 loans, which excludes the Square-Arch Realty cooperative loan. S&P's adjusted DSC and LTV figures for the top 10 loans were 1.29x and 113.1%, respectively. Standard & Poor's adjusted DSC and LTV figures exclude the cooperative loan and the specially serviced Everest MBC Portfolio Tower loan ($52.1 million; 3.4%). S&P separately estimated a loss for the specially serviced loan in its analysis. One of the top 10 loans appears on the master servicers' watchlist, and S&P discusses it below. The Villages at Montpelier loan, the sixth-largest loan in the pool, has a $42.5 million (2.7% of the pool balance) trust and whole-loan balance. Midland placed the loan on the watchlist due to low DSC. The loan is secured by a 48-building, 520-unit garden-style apartment complex built in 1969 and renovated in 2003 in Laurel, Md., equidistant between the Washington, D.C., central business district and downtown Baltimore. According to an October 2009 rent roll, the occupancy was 94%, and DSC was 0.97x for year- end 2008. Standard & Poor's stressed the loans with the special servicer and the remaining loans in the pool according to S&P's conduit/fusion criteria. The resultant credit enhancement levels support the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-C3 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-J BBB+ AAA/Watch Neg 11.98 B BBB AA/Watch Neg 9.74 C BBB- A+/Watch Neg 8.69 D BB+ A/Watch Neg 7.77 E BB A-/Watch Neg 6.71 F B+ BBB+/Watch Neg 5.40 G B BBB/Watch Neg 4.35 H B- BB/Watch Neg 3.16 J CCC BB-/Watch Neg 2.77 K CCC- B-/Watch Neg 2.24 L CCC- CCC+/Watch Neg 1.85 M CCC- CCC/Watch Neg 1.58 O D CCC-/Watch Neg 0.92 Ratings Affirmed And Removed From Creditwatch Negative Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-C3 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-M AAA AAA/Watch Neg 20.66 N CCC- CCC-/Watch Neg 1.32 Ratings Affirmed Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-C3 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA 31.19 A-2 AAA 31.19 A-3 AAA 31.19 A-AB AAA 31.19 A-4 AAA 31.19 A-1-A AAA 31.19 A-X AAA N/A A-SP AAA N/A A-Y AAA N/A N/A -- Not applicable. CREDIT SUISSE: S&P Downgrades Ratings on 16 2005-C2 Securities -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 16 classes of commercial mortgage-backed securities from Credit Suisse First Boston Mortgage Securities Corp.'s series 2005-C2 and removed them from CreditWatch with negative implications. S&P lowered six of the ratings to 'D'. In addition, S&P affirmed its ratings on eight classes from the same transaction. The downgrades of classes J, K, L, M, N, and O to 'D' reflect recurring interest shortfalls resulting primarily from appraisal subordinate entitlement reduction amounts related to five assets currently with the special servicer, J.E. Robert Co. Inc. As of the Nov. 18, 2009, remittance report, the total ASERs were $155,529, and the outstanding cumulative ASERs were $918,804. S&P expects the interest shortfalls to continue for an extended period of time. The remaining downgrades are largely due to credit support erosion S&P anticipate will occur upon the eventual resolution of seven specially serviced loans ($329.4 million; 22.0%). The seven loans include the largest and third-largest loans in the pool. S&P expects losses averaging 56% upon the eventual resolution of these seven loans. 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 1.41x and a loan-to-value ratio of 98.8%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average DSC of 0.98x and an LTV of 126.8%. The implied defaults and loss severity under the 'AAA' scenario were 72.3% and 37.2%, respectively. All of the DSC and LTV calculations S&P noted above exclude seven of the eight specially serviced loans ($329.4 million; 22.0%) and 15 loans that have been defeased ($145.1 million, 9.7%). S&P separately estimated losses for the seven specially serviced loans, which S&P included in its implied default and loss severity figures. The affirmations of S&P's ratings on the principal and interest certificates reflect subordination levels that are consistent with the outstanding ratings. S&P affirmed its ratings on the class A- X and A-SP interest-only certificates based on its current criteria. S&P published a request for comment proposing changes to its IO criteria on June 1, 2009. Once S&P finalize the criteria review, S&P may revise its current IO criteria, which may affect outstanding ratings, including the ratings on the class X and A-SP certificates S&P affirmed. Credit Considerations As of the November 2009 remittance report, eight assets ($330.8 million; 22.1%) in the pool were with JER. The payment status of these assets is: one is real estate owned ($5.6 million; 0.4%), one is in foreclosure ($106.0 million; 7.1%), four are 90- plus-days delinquent ($73.8 million, 4.9), one is less than 30 days delinquent ($144.0 million, 9.6%), and one is a matured balloon loan ($1.3 million; (0.1%). Three of the specially serviced assets are top 10 loans ($285.5 million; 19.1%), which S&P discuss below, and five of the specially serviced assets have appraisal reduction amounts in effect totaling $33.3 million. S&P separately estimated losses for seven of the eight specially serviced assets ($329.4 million; 22.0%). For these seven assets, losses ranged from 38% to 65%. Details of the three top 10 loans that are with the special servicer are: The Tri County Mall loan, the largest loan in the pool, has a $144.0 million (9.6% of the pool balance) trust balance and a $152.8 million whole-loan balance. This loan was transferred to special servicing on Aug. 13, 2009, due to imminent default and is currently less than 30 days delinquent. The whole loan consists of a $144.0 million senior A note that is included in the trust and an 8.8 million nonpooled junior participation that is not rated by Standard & Poor's. The loan is secured by 1,108,087 sq. ft. of a 1,335,087-sq.-ft. regional mall in Springdale, Ohio, which is a suburb of Cincinnati. The subject was constructed in 1960 and 1992. The special servicer reported that there is insufficient cash flow to pay property-related expenses, and the special servicer has made advances to cover these expenses. According to the special servicer, the borrower is either unwilling or unable to contribute additional equity. S&P estimated a valuation for the property that is significantly less than the outstanding loan balance. The estimate considered, among other things, the subject's leverage per sq. ft., local market information, and a recent sales comparable. The Washington Mutual Irvine Campus loan, the third-largest loan in the pool, has a $106 million (7.1%) trust and whole-loan balance. This loan was transferred to special servicing on May 26, 2009, due to imminent default, and the loan is currently in foreclosure. The loan is secured by low-rise office buildings in a campus-like setting, encompassing 414,597 sq. ft. in four buildings. The subject was constructed in phases between 1989 and 2004 in Irvine, Calif., and was originally wholly leased to Washington Mutual. For year-end 2008, the occupancy and DSC were 100% and 1.62x, respectively. Since year-end 2008, the occupancy has deteriorated to 40%, and S&P expects it to fall further (to 32%) in February 2010 due to an upcoming lease expiration. S&P estimate a DSC of 0.23x based on servicer reporting and leasing status. S&P expects a significant loss upon the eventual resolution of the loan based on current cash flows, sales comparables, and current market conditions. The Indigo on Forest Apartments loan, the seventh-largest loan in the pool, has a $35.5 million (2.4%) trust and whole-loan balance. This loan was transferred to special servicing on Dec. 31, 2008, due to a monetary default and is currently 90-plus-days delinquent. The loan is secured by a 1,217-unit apartment complex built in 1984 and renovated in 1996 in Dallas, Texas. For year- end 2008, the occupancy and DSC were 74% and 0.80x, respectively. An appraisal from April 2009 valued the property at $19,000 per unit. S&P also expects a substantial loss upon the eventual resolution of this loan. Transaction Summary As of the November 2009 remittance report, the aggregate trust balance was $1.50 billion, which is 92.8% of the issuance balance. The pool is secured by 162 assets, down from 168 at issuance. KeyCorp Real Estate Capital Markets Inc., the master servicer, reported financial information for 99.9% of the nondefeased loans ($145.1 million; 9.7%). All of the financial information was either full-year 2008 or partial-year 2009 data. S&P calculated a weighted average DSC of 1.38x for the pool based on the master servicer's reported figures. S&P's adjusted DSC and LTV were 1.41x and 98.8%, respectively. Standard & Poor's adjusted DSC and LTV calculations exclude seven specially serviced loans ($329.4 million; 22.0%). S&P separately estimated losses for these loans in its analysis. Year-end 2008 data was available for six of these seven loans, from which S&P calculated a weighted average DSC of 1.26x. The DSCs for the two largest specially serviced loans have deteriorated significantly since year-end, however. The transaction has realized $4.0 million in principal losses to date. Forty-three loans ($267.7 million; 17.9%) are on the master servicer's watchlist, including three of the top 10 loans. Eight loans ($27.4 million, 1.8%) have a reported DSC between 1.0x and 1.1x, and 17 loans ($156.3 million, 10.4%) have a reported DSC of less than 1.0x. Summary of Top 10 Loans The top 10 loans have an aggregate outstanding balance of $675.7 million (45.1%). Using servicer-reported information, S&P calculated a weighted average DSC of 1.40x. S&P's adjusted DSC and LTV figures were 1.41x and 96.5%, respectively, for the top 10 loans. These figures exclude the Tri-County Mall ($144.0 million; 9.6%), Washington Mutual Irvine Campus ($106.0 million; 7.1%), and Indigo on Forest Apartments ($35.5 million; 2.4%) loans, which are with the special servicer and discussed above. S&P estimated losses for these loans separately. Three of the top 10 loans appear on the master servicer's watchlist ($80.3 million; 5.36%). The Spectrum Portfolio loan, the fourth-largest loan in the pool, has an $83.8 million (5.6%) trust and whole-loan balance. The loan consists of six cross-collateralized and cross-defaulted notes. The master servicer placed the $17.8 million note on the watchlist due to a decrease in net cash flow. The note is secured by a 152,569-sq.-ft. office building in downtown Chicago that was built in 1919 and renovated in 1998. S&P's adjusted DSC for the portfolio is approximately 1.34x. The Yorktown Apartments-Bluff of Berkshire Apartments loan, the sixth-largest loan, was placed on the master servicer's watchlist due to a fire that damaged 15 units at the property (less than 2% of total units). Restoration work is currently 85% complete. The loan has a trust and whole-loan balance of $41.9 million (2.8%) and is secured by two multifamily housing communities totaling 947 units. The Yorktown Apartments complex is in Houston, was built in 1973 and renovated in 1998, and consists of 565 units. The Bluffs of Berkshire complex is in Austin, Texas, was built in 1996, and consists of 382 units. For year-end 2008, the overall occupancy and DSC were 86.8% and 1.25x, respectively. The Newport Apartments, Sunchase Apartments, and Benchmark Apartments loan, the fourth-largest loan in the pool, has a $28.6 million (1.9%) trust and whole-loan balance. The loan consists of three cross-collateralized and cross-defaulted notes. The master servicer placed two of these notes, which aggregate $20.5 million (1.4%), on its watchlist due to low DSCs. The Newport Apartments note has a balance of $12.3 million and is secured by a 320-unit apartment complex built in 1985 and renovated in 1998 in Tampa, Florida. The Sunchase Apartments note has a balance of $8.2 million and is secured by a 168-unit apartment complex built in 1986 and renovated in 2002 in Bradenton, Florida. For year-end 2008, the blended occupancy and DSC for the three notes were 78% and 0.98x, respectively. Standard & Poor's stressed the loans with the special servicer and the remaining loans in the pool according to its conduit/fusion criteria. The resultant credit enhancement levels support the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-C2 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-MFL A- AAA/Watch Neg 21.28 A-MFX A- AAA/Watch Neg 21.28 A-J B AAA/Watch Neg 13.87 B CCC+ AA/Watch Neg 11.85 C CCC AA-/Watch Neg 10.78 D CCC- A/Watch Neg 8.89 E CCC- A-/Watch Neg 7.68 F CCC- BBB+/Watch Neg 6.33 G CCC- BBB/Watch Neg 5.25 H CCC- BBB-/Watch Neg 3.91 J D BB+/Watch Neg 3.37 K D BB/Watch Neg 2.83 L D B+/Watch Neg 2.29 M D B/Watch Neg 2.16 N D B-/Watch Neg 1.75 O D CCC+/Watch Neg 1.35 Ratings Affirmed Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-C2 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA 32.06 A-2 AAA 32.06 A-3 AAA 32.06 A-AB AAA 32.06 A-4 AAA 32.06 A1-A AAA 32.06 A-X AAA N/A A-SP AAA N/A N/A -- Not applicable. CWCAPITAL COBALT: Moody's Reviews Ratings on 11 Classes of Notes ---------------------------------------------------------------- Moody's Investors Service placed 11 classes of Notes issued by CWCapital Cobalt I Ltd. on review for possible downgrade due to deterioration in the credit quality of the underlying portfolio. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. CWCapital Cobalt I Ltd. is a revolving CRE CDO transaction backed by a portfolio of whole loan debt (25% of the pool), B-note debt (1% of the pool), mezzanine debt (4% of the pool), commercial mortgage backed securities (63% of the pool), and CRE CDOs (7% of the pool). As of November 18, 2009, the aggregate Notes balance of the transaction, including the Preferred Share, has decreased to $441.4 million from $450.9 million at issuance, with the approximately $11 million pay-down directed to the Class A1 Notes. The pay-down was triggered by the failure of the Class A/B, Class C/D, and Class E/F/G Overcollateralization Tests. Per the Indenture, the failure of any Overcollateralization Test results in all scheduled interest and principal payments being directed to pay down the most senior notes, until the failed Overcollateralization Test is satisfied. Twenty-one assets totaling with a par balance of over $154.8 million (37% of the pool) were listed as defaulted as of November 18, 2009, compared to nine defaulted assets totaling $39.7 million as of last review. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor, weighted average life, weighted average recovery rate, and Moody's asset correlation. Moody's review will focus on potential losses from defaulted collateral and the key indicators listed above. The rating action is: -- Cl. A-1, Aa3 Placed Under Review for Possible Downgrade; previously on Mar 30, 2009 Downgraded to Aa3 -- Cl. A-2, Baa2 Placed Under Review for Possible Downgrade; previously on Mar 30, 2009 Downgraded to Baa2 -- Cl. B-1, Ba2 Placed Under Review for Possible Downgrade; previously on Mar 30, 2009 Downgraded to Ba2 -- Cl. B-2, Ba2 Placed Under Review for Possible Downgrade; previously on Mar 30, 2009 Downgraded to Ba2 -- Cl. C, B2 Placed Under Review for Possible Downgrade; previously on Mar 30, 2009 Downgraded to B2 -- Cl. D, Caa1 Placed Under Review for Possible Downgrade; previously on Mar 30, 2009 Downgraded to Caa1 -- Cl. E-1, Caa2 Placed Under Review for Possible Downgrade; previously on Mar 30, 2009 Downgraded to Caa2 -- Cl. E-2, Caa2 Placed Under Review for Possible Downgrade; previously on Mar 30, 2009 Downgraded to Caa2 -- Cl. F-1, Caa3 Placed Under Review for Possible Downgrade; previously on Mar 30, 2009 Downgraded to Caa3 -- Cl. F-2, Caa3 Placed Under Review for Possible Downgrade; previously on Mar 30, 2009 Downgraded to Caa3 -- Cl. G, Caa3 Placed Under Review for Possible Downgrade; previously on Mar 30, 2009 Downgraded to Caa3 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 30, 2009. DAIMLERCHRYSLER AUTO: Fitch Affirms Ratings on All Note Classes --------------------------------------------------------------- Fitch Ratings has affirmed all classes of DaimlerChrysler Auto Trust 2006-D and Chrysler Financial Auto Securitization Trust 2007-A, 2008-A and 2008-B transactions as part of its on going surveillance process. Current loss performance for all the transactions is worse than originally expected and the future, projected performance for the transactions has been revised accordingly. Despite higher than expected cumulative net losses and delinquencies, the cash flows available to service the outstanding debt in the transactions currently continues to allow credit enhancement to build on a nominal basis for the transactions. Fitch analyzed the transactions incorporating stresses of the revised base case CNL assumptions, the timing of the remaining losses, and various prepayment assumptions. Based on the analysis, Fitch concluded that CE is currently adequate to support the existing ratings under Fitch's revised assumptions and therefore affirms all classes of outstanding notes for the transactions. The securities are backed by a pool of new and used automobile and light-duty truck installment loans originated by Chrysler Financial. Fitch has affirmed these: DaimlerChrysler Auto Trust 2006-D -- Class A-3 at 'AAA'; Outlook Stable; -- Class A-4 at 'AAA'; Outlook Stable; -- Class B at 'A+'; Outlook Stable. Chrysler Financial Auto Securitization Trust 2007-A -- Class A-2a at 'AAA'; Outlook Stable; -- Class A-2b at 'AAA'; Outlook Stable; -- Class A-3a at 'AAA'; Outlook Stable; -- Class A-3b at 'AAA'; Outlook Stable; -- Class A-4 at 'AAA'; Outlook Negative; -- Class B at 'A-'; Outlook Negative; -- Class C at 'BBB-'; Outlook Negative. Chrysler Financial Auto Securitization Trust 2008-A -- Class A-3a at 'AAA'; Outlook Stable; -- Class A-3b at 'AAA'; Outlook Stable; -- Class A-4 at 'AAA'; Outlook Negative; -- Class B at 'A'; Outlook Negative; -- Class C at 'BBB'; Outlook Negative. Chrysler Financial Auto Securitization Trust 2008-B -- Class A-2a at 'AAA'; Outlook Stable; -- Class A-2b at 'AAA'; Outlook Stable; -- Class A-3a at 'AAA'; Outlook Stable; -- Class A-3b at 'AAA'; Outlook Stable; -- Class A-4a at 'AA'; Outlook Negative; -- Class A-4b at 'AA'; Outlook Negative; -- Class B at 'BBB'; Outlook Negative; -- Class C at 'BB'; Outlook Negative. DAVIS SQUARE: Fitch Takes Rating Actions on Various Classes ----------------------------------------------------------- Fitch Ratings has downgraded three, affirmed one, and withdrawn the ratings on several classes of notes issued by Davis Square Funding II Ltd./Corp. as a result of continued credit deterioration in the portfolio since Fitch's last rating action in March 2009. Approximately 53.6% of the portfolio has been downgraded since the last review. The details of the rating action follow at the end of this press release. As of the November 2009 trustee report, the current balance of the portfolio is $917.7 million. Defaulted securities, as defined in the transaction's governing documents, now comprise 23.8% of the portfolio, compared to 9.4% at last review. The downgrades to the portfolio have left approximately 39.9% of the portfolio (including defaults) with a Fitch derived rating below investment grade and 28.6% with a rating in the 'CCC' rating category or lower, compared to 23.9% and 14.0%, respectively at last review. Davis Square II was structured to have three subclasses of class A-1 notes. The subclasses are money market, medium term, and long-term notes. The class A-1 MT notes and class A-1 MM notes benefited from a put agreement with Wachovia Bank, NA. The puts could be exercised on the remarketing date or put date of any A-1 MT or A-1 MM notes. Accordingly, the MM and MT ratings were linked to the short-term and long-term ratings of Wachovia Bank, NA. Class A-1 LT notes were to be issued upon the exercise or termination of the put agreements, under specific conditions. Fitch has maintained a standby rating on class A-1 LT throughout the life of the transaction should class A-1 LT be issued. The long-term credit rating of such notes is based on the credit profile of the portfolio and the structure of Davis Square II. Since the last review, all A-1 MT and A-1 MM classes were converted into class A-1A LT and A-1B LT (together class A-1 LT). This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model for projecting future default levels for the underlying portfolio. Due to the significant collateral deterioration, credit enhancement levels available to all classes of notes are exceeded by the 'CCC' rating loss rate, the lowest rating level loss projected by SF PCM. Given this, Fitch believes that the likelihood of default for all classes of notes in this transaction can be assessed without performing cash flow model analysis under the framework described in the 'Global Criteria for Cash Flow Analysis in CDOs' report. Fitch compared the respective credit enhancement levels for each rated class of notes with the amount of underlying assets considered distressed (rated 'CCC' and lower). These assets have a high probability of default and low expected recoveries upon default. The class A-1 LT and A-2 notes have the credit enhancement levels of 9.6% and 5%, respectively, as compared to the 28.6% of the portfolio considered distressed. Although both classes continue to receive timely interest, Fitch believes that default is inevitable for these classes at or prior to maturity. The class B notes are not receiving any interest payments and are not expected to receive any principal. Davis Square II is a structured finance collateralized debt obligation that closed on May 6, 2004 and is monitored by TCW Asset Management Company. The portfolio is composed of residential mortgage-backed securities (63.2%), SF CDOs (21.8%), corporate CDOs (6.2%), commercial mortgage-backed securities (5.0%), asset-backed securities (3.5%), and other CDOs (0.3%) Fitch has downgraded and affirmed these ratings as indicated: -- $425,907,936 class A-1A LT notes downgraded to 'C' from 'CCC'; -- $404,146,216 class A-1B LT notes downgraded to 'C' from 'CCC'; -- $41,683,510 class A-2 notes downgraded to 'C' from 'CC'; -- $55,670,525 class B notes affirmed at 'C'. In addition, the ratings have been withdrawn on these classes of notes: -- $0 class A-1B MM notes; -- $0 class A-1C MM notes; -- $0 class A-1D MM notes; -- $0 class A-1F MM notes; -- $0 class A-1C MT notes; -- $0 class A-1C MT notes; -- $0 class A-1C MT notes; -- $0 class A-1E MT notes; -- $0 class A-1F MT notes. DILLON READ: Fitch Downgrades Ratings on Nine Classes of Notes -------------------------------------------------------------- Fitch Ratings has downgraded nine classes issued by Dillon Read CMBS CDO 2006-1 Ltd./Corp. and removed eight of those classes from Rating Watch Negative as a result of significant negative credit migration of the recent vintage commercial mortgage backed securities collateral within the portfolio. A complete list of rating actions follows at the end of this press release. Since Fitch's last rating action in January 2009, approximately 54.8% of the portfolio has been downgraded, and 60.6% was placed on Rating Watch Negative. Approximately 86.8% of the portfolio has a Fitch derived rating below investment grade and 26.7% has a rating in the 'CCC' rating category or lower, compared to 20.1% and 0% at last review. Further, all overcollateralization tests are failing their respective triggers. One asset (1.8%) is experiencing a credit event whereby the principal of the asset is currently being written down. Subsequently, loss protection payments are being made using proceeds from the Reserve Account. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model for projecting future default levels for the underlying portfolio. Fitch's loss expectation approximates the credit enhancement available to the class A-S1VF notes, indicating a real possibility for default. The class A- S1VF notes have been assigned a 'CCC' rating. Due to the significant collateral deterioration, Fitch's expected losses exceeds the credit enhancement available to classes A-1 and below. For these classes, Fitch analyzed the classes' sensitivity to the default of the distressed collateral ('CCC' category and lower). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, these classes have been assigned a 'C' rating, indicating that default is inevitable. The class A-S1VF through A-2 notes are currently receiving timely interest distributions. Classes A-3 through B-4 are not receiving any interest distributions due to the A-2 OC test failure. All interest and principal proceeds are being diverted to defease the unfunded A-S1VF notes by depositing proceeds into the Reserve Account and writing down the unfunded portion by the corresponding amount. The proceeds of the Reserve Account will then be used to make loss protection payments. Fitch does not expect classes A-3 through B-4 to receive any further payments due to the expectation of further collateral deterioration. Dillon Read CMBS CDO 2006-1 is a hybrid revolving collateralized debt obligation transaction that combines the use of synthetic and cash assets, as well as unfunded and funded liabilities. Dillon Read CMBS CDO 2006-1 closed on Nov. 2, 2006 and is managed by UBS Global Asset Management. The portfolio is composed of 84.9% CMBS assets from the 2005 and 2006 vintage, 9.6% of real estate investment debt securities, and the remaining 5.5% are commercial real estate CDOs. Fitch has downgraded these classes as indicated: -- $650,000,000 Class A-S1VF Notes downgrade to 'CCC' from 'BBB- '; -- $150,000,000 class A-1 notes to 'C' from 'BB+'; -- $60,000,000 class A-2 notes to 'C' from 'BB'; -- $41,250,000 class A-3 notes to 'C' from 'B+'; -- $12,500,000 class A-4 notes to 'C' from 'B+'; -- $28,750,000 class B-1 notes to 'C' from 'B-'; -- $11,250,000 class B-2 notes to 'C' from 'B-'; -- $8,750,000 class B-3 notes to 'C' from 'B-'; -- $10,000,000 class B-4 notes to 'C' from 'CCC'. In addition, classes A-S1VF through B-3 have been removed from Rating Watch Negative. The ratings of the class A1 and A2 notes address the likelihood that investors will receive full and timely payments of interest, as per the governing documents, as well as the stated balance of principal by the legal final maturity date. The ratings of the class A3, A4, B1, B2, B3 and B4 notes address the likelihood that investors will receive ultimate and compensating interest payments, as per the governing documents, as well as the stated balance of principal by the legal final maturity date. DIMENSIONS HEALTH: Moody's Affirms 'B3' Rating on $65 Mil. Bonds ---------------------------------------------------------------- Moody's Investors Service affirms the B3 bond rating assigned to $65 million of Series 1994 fixed rate bonds issued by Dimensions Health Corporation through the Prince George's County, MD. The rating outlook remains negative. Legal Security: The bonds are secured by a pledge of "receipts" derived from the health care operations and an assignment of the lease in the health care facilities. The actual health care buildings are owned by Prince George's County, MD and are leased to DHC through 2042. The Master Trustee can terminate the lease by virtue of an event of default by DHC and assign the lease and operation of the facilities to another operator. As of October 31, 2009, a debt service fund in the amount of $2.4 million and a separate debt service reserve fund in the amount of $6.6 million for a total of approximately $9.0 million existed for the protection of the Series 1994 bondholders Interest Rate Derivatives: None Strengths * Fully funded debt service reserve fund on all fixed rate debt outstanding; track-record of making monthly debt service payments and semi-annual bond payments in full and on time; expected to make next semi-annual bond payment and quarterly pension payment in January 2010 * In early January 2010 the independent Prince George's County Hospital Authority is expected to make its recommendation at the start of the General Assembly session as to who the Authority has accepted as the new buyer(s) from the three or four entities who submitted binding proposals in September 2009 (from the nine entities who expressed interest in May 2009) to purchase all or parts of the system. As mandated by the legislation, the Authority before transferring any assets must find buyers for all parts of the system * State of Maryland (Aaa rated) and Prince George's County, MD (Aa1 rated) have demonstrated historical support to keep DHC in operation by providing operating grants totaling approximately $112 million over the last eight years; Under the legislation, the State and County has agreed to offer a new owner(s) total of $150 million ($75 million each) over five years (FY 2011-FY 2015); the State also has agreed to provide an additional $24 million for capital improvements. To keep the system in operation until a new owner(s) is found, the State and County also agreed to provide $12 million each in FY 2009 and FY 2010, though due to budget constraints, the County has indicated it will reduce its financial support to $9 million from $12 million in FY 2010 Challenges * In the event a new buyer(s) is not found, State and County guaranteed operating grants under the legislation will end after June 30, 2010 * Continued very thin liquidity; As of October 31, 2009, unrestricted liquidity measured $15.4 million (15 days cash on hand) * $65 million of outstanding fixed rate bonds and $76.7 million unfunded defined benefit pension plan as of June 30, 2009; DHC is expected to contribute approximately $8.8 million to the pension plan in FY 2010 pending response from the IRS on its request for a waiver for plan year 2007 contributions * Continued large operating losses and negative operating cash flow; In FY 2009, DHC recorded a larger operating loss of $27.7 million (-7.6% margin) and operating cash flow deficit of $14.9 million (-4.1% margin) (excluding State, County, and Magruder Memorial Hospital Trust operating grants), very weak financial performance continues through the first four months of FY 2010 * Very modest capital spending over last the last ten years (less than one times depreciation expense) resulting in a steadily increased 20 years average age of plant as of FY 2009 * Serves a high Medicaid and Self Pay population (measured by 39% of gross revenues in FY 2009) Recent Developments/Results Dimensions Health Corporation, located in Prince George's County, MD, continues to face significant financial challenges. Cash continues to remain very thin. As of October 31, 2009, unrestricted liquidity declined to $15.4 million, 15 days cash on hand, from $18.3 million (17 days cash on hand) at FYE 2009. DHC is expected to make its next required $3.3 million semi-annual bond payment and quarterly pension payment of $1.8 million in January 2010. The debt service reserve fund is fully funded. In early January 2010, the independent Prince George's County Hospital Authority, formed under the 2008 legislation to find a new owner(s) for the system, is expected to recommend at the start of the General Assembly, which entities it has accepted as the new buyer(s) of the system. In May 2009, nine organizations expressed interest to purchase all or part of the systems and in September 2009 three or four of these entities submitted binding proposals to the Authority. The legislation mandates the Authority must find buyer(s) for all parts of the system before any asset transfer transaction can be completed. The timing and process after the Authority's recommendation is submitted to the State for approval is currently unknown as well management's plans in the event a new buyer(s) is not found and guaranteed operating grants from the State and County end after June 30, 2010. DHC's maintains a large and increased unfunded defined benefit pension plan (frozen in December 31, 2007). As of June 30, 2009, DHC recorded an increased pension liability of $76.7 million. DHC is expected to contribute approximately $8.8 million to the pension plan in FY 2010 ($4.6 million has already been contributed). DHC has not received a response from the IRS on its request for a waiver for plan year 2007 contributions. As of June 30, 2009, if the waiver is not granted, DHC faces significant financial risk in the event the system is expected to contribute in addition to the FY 2010 contributions, the requested waiver amount of $14.8 million including potential interest expense for plan year 2007. DHC's continues to generate large operating losses excluding State, County, and Magruder Memorial Hospital Trust Operating Grants. At FYE 2009, DHC posted an operating loss of $27.7 million (-7.6% margin) from an operating loss of $20.9 million (-5.6% margin) in FY 2008. Operating cash flow deficit increased to $14.9 million (-4.1% margin) from a deficit of $8.8 million (-2.5% margin) in FY 2008; Through the first four- months of FY 2009, DHC continues to generate an operating loss and cash flow deficit. DHC has received through October 31, 2009, $11.4 million of operating grants. DHC is expected to receive the $12 million operating grant agreed upon under the legislation from the State; however, the County has indicated given budget constraints it will reduce its financial support from $12 million to $9 million in FY 2010. Management is focusing on expenses controls and reductions to help offset the shortfall in financial support. In the absence of finding a new owner(s) and securing government and other external finding to help support operations, Moody's believe this will significantly increase the likelihood of DHC's inability to make future bond and pension payments and maintain long-term viability. Outlook The negative outlook reflects Moody's concerns with DHC's ability to meet operating cash needs with continued large operating losses, increased unfunded pension obligation, and very thin liquidity coupled with the uncertainties related to successfully finding a new owner(s) for all parts of the system, management's plan in the event a new owner(s) is not identified and is unable to secure permanent external funding to remain financially viable in the longer-term. What could change the rating -- UP A rating upgrade is unlikely in the short-term; over the longer- term, a rating upgrade would be considered if DHC secures stable and permanent external funding, demonstrates and sustains substantial operating improvement; rebuilds cash to demonstrate long-term viability What could change the rating -- DOWN Inability to find a solution to financial challenges and failure to secure long-term external funding; further erosion of operating performance and liquidity; payment default on bonds and pension plan payments and/or bankruptcy filing Key Indicators Assumptions & Adjustments: -- Based on financial statements for Dimensions Health Corporation and Subsidiaries -- First number reflects audit year ended June 30, 2008 -- Second number reflects audit year ended June 30, 2009 -- Excludes operating grants from County, State, Federal and Magruder Memorial Hospital Trust of $17.3 million FY 2008 and $26.6 million in FY 2009 - Investment returns normalized at 6% unless otherwise noted * Inpatient admissions: 20,685; 20,696 * Total operating revenues: $351.6 million; $363.3 million * Moody's-adjusted net revenue available for debt service: ($5.9) million; ($12.0) million * Total debt outstanding: $73.0 million; $71.8 million * Maximum annual debt service (MADS): $7.2 million; $7.2 million * MADS Coverage with reported investment income: negative * Moody's-adjusted MADS Coverage with normalized investment income: negative * Debt-to-cash flow: negative * Days cash on hand: 17.6 days; 17.5 days * Cash-to-debt: 24.0%; 25.0% * Operating margin: -5.9%; -7.6% * Operating cash flow margin: -2.5%; -4.1% Rated Debt (debt outstanding as of June 30, 2009) -- Series 1994 fixed rate ($65.0 million outstanding); rated B3 The last rating action was on December 1, 2008, when the B3 rating of Dimensions Health Corporation was confirmed and removed from watchlist for possible downgrade and the outlook was negative. DLJ COMMERCIAL: Moody's Affirms Ratings on Four 1999-CG3 Certs. --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of four classes and downgraded two classes of DLJ Commercial Mortgage Corp., Commercial Mortgage Pass-Through Certificates, Series 1999-CG3. The downgrades are due to higher expected losses for the pool resulting from concerns about refinancing risk associated with loans approaching maturity, anticipated losses from specially serviced loans and interest shortfalls. The affirmations are due to increased credit subordination resulting from loan payoffs and principal amortization. The rating action is the result of Moody's on-going surveillance of commercial backed securities transactions. As of the October 30, 2009 distribution date, the transaction's aggregate certificate balance has decreased by 88% to $105.2 million from $899.3 million at securitization. The Certificates are collateralized by 29 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 57% of the pool. Two loans, representing 5.2% of the pool, have defeased and are collateralized with U.S. Government securities. Approximately 79% of the pool has matured or will mature within the next 24 months. Three loans, representing 5% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. To date, 18 loans have been liquidated from the pool, resulting in an aggregate loss of $22.2 million (24% loss severity on average). These losses have resulted in the elimination of Classes C through D and a 75% principal loss for Class B-8. Currently, there are 19 loans, representing 74% of the pool, in special servicing. Thirteen loans, representing 49% of the pool, were transferred to special servicing due to imminent maturity default. Many of these loans are located in weak markets and have experienced performance declines since Moody's prior review. Moody's has estimated an aggregate $33.1 million loss for the specially serviced loans (43% loss severity on average). The pool has experienced interest shortfalls totaling $1.01 million which have impacted Classes B-6 through B-8. Moody's rating action is: -- Class B-1, $17,567,820, affirmed at Aaa; previously upgraded to Aaa on 6/19/2008 -- Class B-2, $15,737,000, affirmed at Aa3; previously upgraded to Aa3 on 6/19/2008 -- Class S, Notional, affirmed at Aaa; previously assigned at Aaa on 10/12/1999 -- Class B-4, $13,489,000, downgraded to Ca from Ba2; previously assigned at Ba2 on 10/12/1999 -- Class B-7, $8,993,000, downgraded to C from Ca; previously downgraded to Ca on 1/3/2006 -- Class B-8, $2,241679, affirmed at C; previously downgraded to C on 1/3/2006 DUCHESS VI: Moody's Takes Rating Actions on Various Classes ----------------------------------------------------------- Moody's Investors Service announced these rating actions on notes issued by Duchess VI: -- EUR215,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes due 2022, Downgraded to Aa1; previously on August 18, 2006 Assigned Aaa; -- EUR125,000,000 Revolving Loan Facility, Downgraded to Aa1; previously on August 18, 2006 Assigned Aaa; -- EUR35,000,000 Class B Second Priority Deferrable Secured Floating Rate Notes due 2022, Downgraded to Baa2; previously on March 4, 2009 Aa2 Placed Under Review for Possible Downgrade; -- EUR25,000,000 Class C Third Priority Deferrable Secured Floating Rate Notes due 2022, Downgraded to Ba1; previously on March 19, 2009 Downgraded to Baa3 and Placed Under Review for Possible Downgrade; -- EUR32,500,000 Class D Fourth Priority Deferrable Secured Floating Rate Notes due 2022, Confirmed at B1; previously on March 19, 2009 Downgraded to B1 and Placed Under Review for Possible Downgrade; -- EUR15,000,000 Class E Fifth Priority Deferrable Secured Floating Rate Notes due 2022, Downgraded to Caa2; previously on March 19, 2009 Downgraded to Caa1 and Placed Under Review for Possible Downgrade. This transaction is a managed cash leveraged loan collateralized loan obligation with exposure to predominantly European senior secured loans, as well as about 17% mezzanine loan exposure. The rating actions reflect Moody's revised assumptions with respect to default probability and the calculation of the diversity score as described in the press release dated February 4, 2009, titled "Moody's updates key assumptions for rating CLOs." These revised assumptions have been applied to all corporate credits in the underlying portfolio, the revised assumptions for the treatment of ratings on "Review for Possible Downgrade", "Review for Possible Upgrade", or with a "Negative Outlook" being applied to those corporate credits that are publicly rated. Moody's also notes that a material proportion of the collateral pool consists of debt obligations whose credit quality has been assessed through Moody's credit estimates. As credit estimates do not carry credit indicators such as ratings reviews and outlooks, a stress of a quarter notch-equivalent assumed downgrade was applied to each of these estimates. According to Moody's, the rating actions taken on the notes are also a result of credit deterioration of the underlying portfolio. This is observed through a decline in the average credit rating as measured through the portfolio weighted average rating factor 'WARF' (currently 2686), an increase in the amount of defaulted securities (currently about 7% of the portfolio), an increase in the proportion of securities from issuers rated Caa1 or CCC+ and below (currently 11.8% of the portfolio), and a failure of Class E overcollateralization test. These measures were taken from the recent trustee report dated 26 October 2009. Moody's also performed a number of sensitivity analyses, including consideration of a further decline in portfolio WARF quality combined with a decrease in the expected recovery rates. Due to the impact of all the 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 trustee's reported numbers. DUKE FUNDING: Moody's Junks Ratings on Class X Senior Notes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the rating of one class of notes issued by Duke Funding High Grade VI, Ltd. The notes affected by the rating action are: -- US$13,500,000 Class X Senior Secured Floating Rate Notes due 2014 (current balance of $11,250,000), Downgraded to Caa3, previously on December 11, 2008 Downgraded to B1 and Placed Under Review for Possible Downgrade. Duke Funding High Grade VI, Ltd., issued on November 16, 2007, is a collateralized debt obligation backed by a portfolio of ABS Securities. The rating downgrade action reflects 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 failure of the coverage tests, among other measures. The trustee reports that the WARF of the portfolio is 9782 as of November 6, 2009 and also reports defaulted assets in the amount of $118 million. 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. EMPORIA PREFERRED: Fitch Affirms Ratings on Four Classes of Notes ----------------------------------------------------------------- Fitch Ratings has affirmed four and downgraded three classes of notes issued by Emporia Preferred Funding I Ltd./Corp. This review was conducted under the framework described in the report 'Global Structured Finance Rating Criteria.' Cash flow and portfolio default modeling were conducted in accordance with Fitch's 'Global Criteria for Cash Flow Analysis in CDOs - Amended' and 'Global Rating Criteria for Corporate CDOs'. The affirmations are the result of the credit enhancement available to the classes A, B-1, B-2, and C notes relative to the observed and expected performance of the underlying loan portfolio. Currently there are six defaulted obligors in the portfolio, one of which remains current on interest. The defaulted obligors comprise 3.1% of the portfolio, up from a level of 1.5% at Fitch's last review in September 2008. Additionally, obligors considered 'CCC+' or below now represent about 27% of the performing portfolio, compared to about 16% at the last review. Finally, approximately 12.5% of the underlying portfolio ratings have a Negative Rating Outlook, indicating the possibility of further negative rating migration. The deterioration in the loan portfolio has led to prior failures of the class D overcollateralization test and the class E OC test, as well as the failure of the interest diversion test. To date, failure of these OC tests has led to the application of about $5.4 million of excess interest to redeem the class A notes to offset principal losses, while failure of the interest diversion test has resulted in about $6.2 million of excess interest being applied toward reinvestment in additional loans. As of the Nov. 2, 2009 trustee report, only the interest diversion test was out of compliance at a level of 102.2% versus a trigger of 104.1%. Another enhancement to these structural protection features for the senior notes is the significant amount of excess spread generated by the portfolio of primarily middle market loans. If collateral deterioration persists, the senior notes should continue to benefit from the diversion of interest proceeds from either OC or interest diversion test failures. Fitch believes that these structural features, in addition to the credit enhancement provided by note subordination, provide adequate protection to the classes A, B-1, B-2, and C notes to maintain their current ratings. The effect of collateral deterioration, however, has been more pronounced at the bottom of the capital structure, reducing the credit quality of the asset coverage to the classes D and E notes. The recent OC test failures, and the overall decline in the OC ratios since Fitch's last review, indicate the reduced collateral coverage available for these notes. Furthermore, future OC test failures may result in missed interest payments to these classes if interest proceeds are diverted earlier in the interest waterfall to redeem senior notes. In addition, these notes will be particularly negatively affected if recovery rates continue to trail below their longer term historical averages. In its review, Fitch analyzed the structure's sensitivity to ongoing softness in U.S. corporate recoveries. To accomplish this, Fitch reduced its average recovery rate assumptions for each asset type by 30% in one sensitivity scenario and by 50% in a second sensitivity scenario where explicit Recovery Ratings were not available. The class A notes displayed solid performance in both of these scenarios and have therefore been assigned a Stable Outlook. The remainder of the capital structure displayed greater degrees of sensitivity to lower recovery rates. This sensitivity, in addition to the sizeable portion of underlying portfolio credits with Negative Outlooks, has led Fitch to assign Negative Outlooks to all classes of notes with the exception of the class A notes. All classes of notes were assigned a Loss Severity rating. The LS ratings indicate each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the base- case loss expectation for the collateral, as explained in Fitch's 'Criteria for Structured Finance Loss Severity Ratings'. The LS rating should always be considered in conjunction with the notes' long-term credit rating. Fitch does not assign LS ratings to tranches rated 'CCC' and below. Emporia I is a cash flow collateralized loan obligation that closed on Oct. 12, 2005 and is managed by Allied Capital Corporation, which acquired the management contracts from Emporia Capital Management, LLC in March 2009. Emporia I has a revolving portfolio primarily composed of U.S. middle market loans, approximately 90% of which are senior secured positions and approximately 10% of which are second lien loans. The transaction's reinvestment period is scheduled to end in October 2011. Fitch has taken these rating actions on these notes. Rating actions include affirmations, downgrades, assignment of LS ratings and Rating Outlooks. -- $274,713,721 class A notes affirmed at 'AAA/LS2'; Outlook Stable; -- $36,615,000 class B-1 notes affirmed at 'AA/LS4'; Outlook Negative; -- $5,000,000 class B-2 notes affirmed at 'AA/LS4'; Outlook Negative; -- $24,360,000 class C notes affirmed at 'A/LS5'; Outlook Negative; -- $24,360,000 class D notes downgraded to 'BB/LS5' from 'BBB'; Outlook Negative; -- $8,000,000 class E-1 notes downgraded to 'B/LS5' from 'BB'; Outlook Negative; -- $5,195,000 class E-2 notes downgraded to 'B/LS5' from 'BB'; Outlook Negative. EMPORIA PREFERRED FUNDING: Fitch Downgrades Ratings on 3 Classes ----------------------------------------------------------------- Fitch Ratings has affirmed four and downgraded three classes of notes issued by Emporia Preferred Funding II Ltd./Corp. This review was conducted under the framework described in the report 'Global Structured Finance Rating Criteria'. Cash flow and portfolio default modeling were conducted in accordance with Fitch's 'Global Criteria for Cash Flow Analysis in CDOs - Amended' and 'Global Rating Criteria for Corporate CDOs'. Recovery Ratings were assigned in compliance with Fitch's 'Criteria for Structured Finance Recovery Ratings' and 'Global Surveillance Criteria for Corporate CDOs'. The affirmations are the result of the credit enhancement available to the class A-1, A-2 and A-3 notes (collectively, the class A notes), and the class B notes relative to the observed and expected performance of the underlying loan portfolio. Currently there are seven defaulted obligors in the portfolio, one of which remains current on interest. The defaulted obligors comprise 4.9% of the portfolio, up from a level of 1% at Fitch's last review in September 2008. Additionally, obligors considered 'CCC+' or below now represent about 27% of the performing portfolio, compared to about 19% at the last review. Finally, approximately 11.4% of the underlying portfolio ratings have a Negative Rating Outlook, indicating the possibility of further negative rating migration. The deterioration in the loan portfolio has led to the failure of the class D overcollateralization test and the class E OC test, as well as the failure of the interest diversion test as of the Nov. 2, 2009 trustee report. At the last payment date in October 2009, failure of the class D OC test led to the application of about $3.2 million of excess interest to redeem the class A notes to offset principal losses. Additionally, previous failures of the interest diversion test have resulted in about $4.3 million of excess interest being applied toward reinvestment in additional loans. Another enhancement to these structural protection features for the senior notes is the significant amount of excess spread generated by the portfolio of primarily middle market loans. If collateral deterioration persists, the senior notes should continue to benefit from the diversion of interest proceeds from either OC test or interest diversion test failures. Fitch believes that these structural features, in addition to the credit enhancement provided by note subordination, provide adequate protection to the classes A and B notes to maintain their current ratings. The effect of collateral deterioration, however, has been more pronounced at the bottom of the capital structure, reducing the magnitude and credit quality of the asset coverage to the class C, D, and E notes. Since the last review, several defaulted loans have been removed from the portfolio with particularly low recoveries, while other credit risk loans have been sold at significant discounts to par. Further, the total expected recoveries on the defaulted assets currently in the portfolio are low, especially for the defaulted second lien loans. These factors have all contributed to the decreasing par coverage available to the junior notes, ultimately leading to the failure of the class D and class E OC tests. Because of the failing class D OC test, the class E notes did not receive their scheduled interest payment at the October 2009 payment date. Future credit deterioration may result in additional OC test failures, which in turn could result in additional classes deferring interest payments. In its review, Fitch analyzed the structure's sensitivity to ongoing softness in U.S. corporate recoveries. To accomplish this, Fitch reduced its average recovery rate assumptions for each asset type by 30% in one sensitivity scenario and by 50% in a second sensitivity scenario where explicit Recovery Ratings were not available. The class A notes displayed solid performance in both of these scenarios and have therefore been assigned a Stable Outlook. The remainder of the capital structure displayed greater degrees of sensitivity to lower recovery rates. This sensitivity, in addition to the sizeable portion of underlying portfolio credits with Negative Outlooks, has led Fitch to assign Negative Outlooks on all classes of notes with the exception of the class A notes. All classes of notes, with the exception of the class E notes, were assigned a Loss Severity rating. The LS ratings indicate each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the base-case loss expectation for the collateral, as explained in Fitch's 'Criteria for Structured Finance Loss Severity Ratings'. The LS rating should always be considered in conjunction with the notes' long-term credit rating. Fitch does not assign LS ratings to tranches rated 'CCC' and below. The class E notes were assigned a Recovery Rating in this rating review based on the total expected future cash flows projected to be available to these bonds in a base case default scenario. Recovery Ratings are designed to provide a forward-looking estimate of recoveries on currently distressed or defaulted structured finance securities. Distressed securities are defined as bonds that face a real possibility of default at or prior to maturity and by definition are rated 'CCC' or below. For further detail on Recovery Ratings, please see Fitch's report 'Global Surveillance Criteria for Corporate CDOs'. Emporia II is a cash flow collateralized loan obligation that closed on June 21, 2006 and is managed by Allied Capital Corporation, which acquired the management contracts from Emporia Capital Management, LLC in March 2009. Emporia II has a revolving portfolio primarily composed of U.S. middle market loans, approximately 89% of which are senior secured positions and approximately 11% of which are second lien loans. The transaction's reinvestment period is scheduled to end in July 2012. Fitch Ratings has taken various rating actions on these notes including affirmations, downgrades, and assignments of Loss Severity ratings, Recovery Ratings, and Rating Outlooks as indicated: -- $89,795,548 class A-1 notes affirmed at 'AAA/LS2'; Outlook Stable; -- $29,602,928 class A-2 notes affirmed at 'AAA/LS2'; Outlook Stable; -- $118,411,711 class A-3 notes affirmed at 'AAA/LS2'; Outlook Stable; -- $30,000,000 class B notes affirmed at 'AA/LS4'; Outlook Negative; -- $22,000,000 class C notes downgraded to 'BBB/LS5' from 'A'; Outlook Negative; -- $22,000,000 class D notes downgraded to 'B/LS5' from 'BBB'; Outlook Negative; -- $14,500,000 class E notes downgraded to 'CCC/RR2' from 'BB'. G-FORCE CDO: Moody's Reviews Ratings on Seven Classes of Notes -------------------------------------------------------------- Moody's Investors Service placed seven classes of Notes issued by G-Force CDO 2006-1 Ltd. under review for possible downgrade due to an Event of Default caused by the non-payment of interest on a non-PIKable class, increased interest shortfalls and the uncertainty surrounding potential collateral liquidation in the current distressed environment. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. On November 30, 2009, a default in the payment of Class E Notes occurred. On December 4, 2009, after the default in the payment of Class E was not cured within four business days, an Event of Default occurred, pursuant to Section 5.1(a) of the Indenture. G-Force CDO 2006-1 Ltd. is a collateralized debt obligation backed by commercial mortgage backed securities (CMBS), CRE CDOs and B- Notes. As of the November 30, 2009 payment date, the collateral par amount is $766.2 million, representing a $112.0 million decrease since securitization due mostly to $70.2 million in realized losses to the collateral pool. As of the November 30, 2009 payment date, interest shortfalls for the pay period totaled $717,050 compared to $300,919 during the pay period at last review. This resulted in the non-payment of interest to Class E. Nineteen pieces of collateral are currently experiencing interest shortfalls. As provided in Article V of the Indenture, during the occurrence and continuance of an Event of Default, the Controlling Class of 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 CMBS and CRE CDO assets, a significant portion of which have low speculative-grade ratings. These types of assets have shown depressed market valuations recently which could lead to extremely low recovery rates should a liquidation of the collateral occur. The action reflects the increased expected loss associated with classes due to the non-payment of interest and the diminished credit quality on the underlying portfolio. Moody's rating action is: -- Cl. A-2, Aa1, Placed Under Review for Possible Downgrade; previously on March 9, 2009 Downgraded to Aa1 -- Cl. A-3, Baa2, Placed Under Review for Possible Downgrade; previously on March 9, 2009 Downgraded to Baa2 -- Cl. SSFL, Aaa, Placed Under Review for Possible Downgrade; previously on March 9, 2009 Confirmed at Aaa -- Cl. JRFL, Aa3, Placed Under Review for Possible Downgrade; previously on March 9, 2009 Downgraded to Aa3 -- Cl. B, Ba2, Placed Under Review for Possible Downgrade; previously on March 9, 2009 Downgraded to Ba2 -- Cl. C, B1, Placed Under Review for Possible Downgrade; previously on March 9, 2009 Downgraded to B1 -- Cl. D, B2, Placed Under Review for Possible Downgrade; previously on March 9, 2009 Downgraded to B2 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 9, 2009. G-FORCE CDO: S&P Downgrades Ratings on Eight 2006-1 Securities -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on eight classes from G-Force CDO 2006-1 Ltd., a commercial real estate collateralized debt obligation transaction. Five of the lowered ratings remain on CreditWatch with negative implications, and S&P removed the remaining three from CreditWatch negative. In addition, S&P affirmed two other ratings and removed them from CreditWatch negative, and three other ratings remain on CreditWatch negative. The rating actions reflect S&P's analysis of the transaction following an event of default resulting from interest shortfalls to the transaction and its underlying collateral. Class E, a nondeferrable interest class, did not receive full interest according to the trustee remittance report dated Nov. 25, 2009; as a result, S&P lowered the rating to 'D' in accordance with its revised criteria for CDO transactions that have triggered an EOD and may be subject to acceleration or liquidation. The ratings remaining on CreditWatch negative primarily reflect the transaction's exposure to underlying collateral with ratings on CreditWatch negative (amounting to $210 million, or 27% of the transaction's collateral balance). The trustee, Bank of America N.A., delivered an EOD notice on Dec. 4, 2009, which noted that G-Force 2006-1 had experienced an EOD under section 5.1 (a) of its indenture. The notice indicates that an EOD "shall occur upon a default for four business days in the payment, when due and payable, of any interest on any class A note, any class SSFL note, any class JRFL note, any class B note, any class C note, any class D note, or any class E note. As of December 4, 2009, a default in the payment of interest on the class E note has continued for a period of four business days." It is S&P's understanding that the liquidity interruption resulted from the failure of the underlying commercial mortgage-backed securities and CMBS resecuritization collateral for G-Force 2006-1 to produce sufficient interest proceeds to pay the full interest amount due to class E. According to the most recent trustee remittance report, $2.9 million in interest proceeds was available. However, the amount available each period has steadily declined in each of the past six months (from $3.3 million in interest proceeds available as of the May 26, 2009, trustee remittance report). According to the Nov. 25, 2009, trustee report, the transaction's current assets included 81 classes ($640.2 million, 83.6%) of CMBS pass-through certificates from 38 distinct transactions issued between 1997 and 2006. The current assets also included seven classes ($108.9 million, 14.2%) from G-FORCE 2005-RR2 Trust, which is a CMBS resecuritization, and two commercial real estate loans ($17.2 million, 2.2%). The aggregate principal balance of the assets totaled $766.2 million. In the event that S&P receive a notice indicating that the controlling noteholders intend to proceed with acceleration or liquidation of the transaction following the EOD, S&P may lower all of the ratings on this transaction in accordance with its aforementioned EOD criteria. Ratings Lowered And Remaining On Creditwatch Negative G-Force CDO 2006-1 Ltd. Collateralized debt obligations Rating ------ Class To From ----- -- ---- A-3 AA/Watch Neg AAA/Watch Neg JRFL AA/Watch Neg AA+/Watch Neg B BBB+/Watch Neg A+/Watch Neg C BBB/Watch Neg A/Watch Neg D BB+/Watch Neg BBB/Watch Neg Ratings Lowered And Removed From Creditwatch Negative G-Force CDO 2006-1 Ltd. Collateralized debt obligations Rating ------ Class To From ----- -- ---- E D BB+/Watch Neg F CCC- BB/Watch Neg G CCC- B-/Watch Neg Ratings Affirmed And Removed From Creditwatch Negative G-Force CDO 2006-1 Ltd. Collateralized debt obligations Rating ------ Class To From ----- -- ---- H CCC- CCC-/Watch Neg J CCC- CCC-/Watch Neg Ratings Remaining On Creditwatch Negative G-Force CDO 2006-1 Ltd. Collateralized debt obligations Class Rating ----- ------ A-1 AAA/Watch Neg A-2 AAA/Watch Neg SSFL AAA/Watch Neg GE COMMERCIAL: Fitch Takes Rating Actions on 2005-C1 Certificates ----------------------------------------------------------------- Fitch Ratings has downgraded, removed from Rating Watch Negative, and assigned Rating Outlooks and Loss Severity ratings to 24 classes of commercial mortgage pass-through certificates from GE Commercial Mortgage Corporation commercial mortgage pass-through certificates series 2005-C1. A detailed list of rating actions follows at the end of this release. The downgrades are the result of Fitch's loss expectations and its prospective views regarding cash flow declines and commercial real estate market values. Fitch forecasts potential losses of 4.8% for this transaction, should market conditions not recover. The rating actions are based on the full losses of 4.8% as a majority of loans mature in the next five years. The bonds with Negative Outlooks indicate classes that may be downgraded in the future. To determine potential defaults for each loan Fitch assumed cash flow would decline by 10% from year-end 2008, which is consistent with the analysis used in its review of recent vintage transactions whereby cash flow was assumed to decline 15% from year-end 2007 projected over a three-year period. If the stressed cash flow would cause the loan to fall below 0.95 times (x), Fitch assumed the loan would default during the term. To determine losses, Fitch used the above stressed cash flow, and applied a market cap rate, ranging between 7.5% and 11%, for each specific property type. If the loan balance at default is less than the stressed cash flow the loan would realize that loss. These loss estimates were reviewed in more detail for loans representing 55.1% of the pool and, in certain cases, revised based on additional information and/or property characteristics. Approximately 95% of the recognized losses were from loans reviewed in detail. Approximately 42.5% of the mortgages mature within the next five years: 16.8% in 2010, 2.2% in 2011, 5.8% in 2012, 0% in 2013, and 17.7% in 2014. All losses associated with these loans are fully recognized in the rating actions. Approximately 47.1% of the loans mature in 2015 and beyond. Fitch identified 24 Loans of Concern (31.2%) within the pool, 12 of which (22.3%) are specially serviced. Of the specially serviced loans, eight (17.2%) are current. Of the current loans, two loans are sponsored by General Growth Properties, Inc. Five (18.4%) of the specially serviced loans are within the transaction's top 15 loans (45.8%) by unpaid principal balance. Four of the loans (7.4%) within the top 15 are expected to default during the term, with loss severities ranging from 24% to 50%. The largest contributors to loss are: Washington Mutual Buildings (2.9%), Folly Hill Apartments (1.4%) and Oak Park Office Center (1.3%). The Washington Mutual Buildings are fee and leasehold interest in a total of 257,336 sf of office space. The loan transferred to special servicing September 2009 due to imminent default. The properties were 100% leased to Washington Mutual, and a formal notice of lease rejection was received by the Federal Depository Insurance Corp. The properties are fully vacant and REO following the foreclosure sale in September 2009, in which the Trust was the only bidder. CB Richard Ellis was named as the new property manager. Folly Hill Apartments is a 252 unit multifamily property located in Beverly, MA. The property was transferred to special servicing in October 2009 for imminent default. The borrower has been unable to refinance the loan, which matures in January 2010. The borrower is seeking an extension of the loan. As of March 31, 2009 the reported debt service coverage ratio and occupancy were 0.97x and 90.5%, respectively, compared to 1.24x and 90.5% at issuance, respectively. Oak Park Office Center is a 173,400 sf office building located in Houston, TX. As of June 30, 2009, the reported DSCR and occupancy were 1.64x and 100%, respectively, compared to 1.37x and 100% respectively at issuance. However, approximately 36% of the space was vacated upon lease expiration of the second largest tenant in August 2009. The building in now 64% occupied by Quest Diagnostics, with a lease expiration in January 2014. 3Q DSCR and occupancy will be impacted due to the increased vacancy. The loan was structured as full interest only and matures in December 2010. The sponsor is Triple Net Properties, LLC. Fitch has downgraded, removed from Rating Watch Negative and assigned Rating Outlooks, LS and Recovery Ratings as indicated: -- $16.7 million class C to 'A/LS5' from 'AA-'; Outlook Stable; -- $27.2 million class D to 'BBB/LS5' from 'A'; Outlook Stable; -- $14.6 million class E to 'BBB-/LS5' from 'A-'; Outlook Stable; -- $23 million class F to 'BB/LS5' from 'BBB+'; Outlook Stable; -- $14.6 million class G to 'BB/LS5' from 'BBB'; Outlook Stable; -- $25.1 million class H to 'B-/LS5' from 'BBB-'; Outlook Negative; -- $4.2 million class J to 'B-/LS5' from 'BB+'; Outlook Negative; -- $8.4 million class K to 'B-/LS5' from 'BB'; Outlook Negative; -- $10.5 million class L to 'CCC/RR6' from 'BB-'; -- $2.1 million class M to 'CCC/RR6' from 'B+'; -- $6.3 million class N to 'CCC/RR6' from 'B'; -- $4.2 million class O to 'CCC/RR6' from 'B-'. Additionally, Fitch has affirmed these classes and Rating Outlooks and assigned LS ratings as indicated: -- $371.6 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $155 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $36.8 million class A-4 at 'AAA/LS1'; Outlook Stable; -- $48.2 million class A-AB at 'AAA/LS1'; Outlook Stable; -- $457.9 million class A-5 at 'AAA/LS1'; Outlook Stable; -- $86.9 million class A-1A at 'AAA/LS1'; Outlook Stable; -- $110.9 million class A-J at 'AAA/LS3'; Outlook Stable; -- Interest only Class XC at 'AAA'; Outlook Stable; -- Interest only Class XP at 'AAA'; Outlook Stable; -- $41.9 million class B at 'AA/LS4'; Outlook Stable. Fitch does not rate this class: -- $24.9 million class P. GREENPOINT MORTGAGE: S&P Corrects Rating on Class A1 to 'CC' ------------------------------------------------------------ Standard & Poor's Ratings Services corrected its rating on class A1 from Greenpoint Mortgage Funding Trust 2005-HE3 by raising it to 'CC' from 'D'. On Nov. 25, 2009, S&P lowered its rating on class A1 to 'D' as part of a larger U.S. RMBS default review. Class A1 is insured by Ambac Assurance Corp. ('CC'); however, S&P did not take the bond insurance into account during its earlier review due to an administrative error. According to S&P's criteria, the rating on an insured class is the higher of (i) its rating on the bond insurer and (ii) Standard & Poor's underlying rating (SPUR) on the class, which is based on S&P's analysis of the class' stand-alone credit support. Therefore, S&P has corrected its rating on class A1 to 'CC' to reflect the current rating of the insurer. Rating Corrected Greenpoint Mortgage Funding Trust 2005-HE3 Rating ------ Class CUSIP Current 11/25/09 Pre-11/25/09 ----- ----- ------- -------- ------------ A1 39538WCZ9 CC D A GREENWICH CAPITAL: S&P Downgrades Ratings on 20 2007-GG9 Certs. --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 20 classes of commercial mortgage-backed securities from Greenwich Capital Commercial Funding Corp.'s series 2007-GG9 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on five other classes from the same transaction. The downgrades follow S&P's analysis of the transaction using its U.S. conduit and fusion CMBS criteria, which was the primary driver of S&P's rating actions. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. The downgrades of the mezzanine and subordinate classes also reflect credit support erosion S&P anticipate will occur upon the eventual resolution of several of the transaction's specially serviced assets and loans S&P deem to be credit-impaired. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.37x and a loan-to-value ratio of 118.9%. 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 166.6%. The implied defaults and loss severity under the 'AAA' scenario were 91.4% and 46.1%, respectively. The DSC and LTV calculations S&P noted above exclude four ($41.4 million, 0.6%) of the eight specially serviced loans, as well as four credit- impaired loans ($434.8 million, 6.6%). S&P separately estimated losses for these loans, which S&P included in its 'AAA' scenario implied default and loss figures. The affirmations of the ratings on the principal and interest certificates reflect subordination levels that are consistent with the outstanding ratings. S&P affirmed its rating on the class X interest-only certificates based on its current criteria. S&P published a request for comment proposing changes to its IO criteria on June 1, 2009 (see "Request For Comment: Methodology For Rating Interest-Only Certificates," on RatingsDirect). After S&P finalize its criteria review, S&P may revise its IO criteria, which may affect outstanding ratings, including the rating on the IO certificates that S&P affirmed. Credit Considerations As of the November 2009 remittance report, eight loans ($169.6 million, 2.6%) in the pool were with the special servicer, LNR Partners Inc. A breakdown of the specially serviced loans by payment status is: two are in foreclosure ($21.9 million, 0.33%); two are 90-plus days delinquent ($6.9 million, 0.11%); one is 60 days delinquent ($16.0 million, 0.24%); two are late, but less than 30 days delinquent ($85.6 million, 1.31%); and one is current ($39.2 million, 0.6%). Five of the specially serviced loans have appraisal reduction amounts in effect totaling $19.5 million. Three of the specially serviced loans have balances that represent more than 0.5% of the total pool balance, and S&P discuss two of these in detail below. The District II loan ($44.7 million, 0.7%) is the largest loan with LNR. The loan is secured by a 171,485-sq.-ft. retail property constructed in 2006 in Henderson, Nev. The loan was transferred to LNR on Oct. 22, 2009, due to imminent default and is currently late, but less than 30 days delinquent. It is S&P's understanding that the borrower is requesting debt service relief. The DSC was 0.66x as of year-end 2008, and occupancy was 82.3% as of June 30, 2009. There is a $13.5 million earnout letter of credit, originally put in place at issuance because the property was newly constructed and had not yet stabilized. S&P has been informed that the letter of credit is now being applied to the outstanding loan amount. The Baybrook Gateway loan ($41.0 million, 0.6%) is the second- largest loan with LNR. The loan was transferred to the special servicer on Dec. 10, 2008, due to imminent default and is currently late, but less than 30 days delinquent. The loan is secured by a 236,854-sq.-ft. retail property in Webster, Texas. Linens 'N Things and Circuit City were formerly tenants at the property and had occupied approximately 25% of the net rentable area. The borrower has been making payments on the loan, and LNR has indicated that it is continuing to monitor the situation. In addition to the specially serviced loans, S&P determined four loans ($434.8 million, 6.6%) to be credit-impaired. The largest credit-impaired loan, the Schron Industrial Portfolio ($305.0 million, 4.7%), is the third-largest loan in the pool and the second-largest loan on the watchlist. The loan is secured by 36 industrial/flex properties with a total of 3.5 million sq. ft. in Long Island, N.Y. The loan appears on the watchlist due to a decline in DSC since issuance. As of June 30, 2009, the DSC was 0.88x. At issuance, Standard & Poor's performed a stabilized analysis with the expectation that occupancy and rents would improve. However, conditions have not improved and occupancy had declined to 86% as of June 30, 2009, from 89% at issuance. In addition, expenditures for repairs, maintenance, and advertising have also increased, which has caused a decline in the property's net cash flow. Given the decline in DSC and occupancy, S&P determined the loan to be credit-impaired due to an increased risk of default. Transaction Summary As of the November 2009 remittance report, the collateral pool balance was $6.552 billion, which is 99.6% of the aggregate trust balance at issuance. The pool consists of 201 loans, which is unchanged since issuance. As of the November 2009 remittance report, the master servicer, Wachovia Bank N.A., provided financial information for 99.6% of the pool, and 98.4% of the servicer-provided information was full-year 2008 or interim-2009 data. S&P calculated a weighted average DSC of 1.40x for the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.37x and 118.9%, respectively. S&P's adjusted DSC and LTV figures exclude four of the eight specially serviced loans and four loans that S&P deemed to be credit-impaired. S&P estimated losses separately for these loans ($476.2 million, 7.3%). Seven of these loans ($461.1 million, 7.0%) had servicer-reported DSC figures. The weighted average DSC for these seven loans was 1.01x. The transaction has not experienced any principal losses to date. Forty-six loans ($2.19 billion, 33.5%) are on the master servicer's watchlist, including three of the top 10 loans. Twenty-nine loans ($985.7 million, 15.0%) have a reported DSC below 1.10x, and 19 of these loans ($486.9 million, 7.4%) have a reported DSC of less than 1.0x. Summary of Top 10 Loans The top 10 exposures have an aggregate outstanding balance of $2.69 billion (41.0%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.47x for the top 10 loans. Three of the top 10 loans ($1.15 billion, 17.6%) appear on the master servicer's watchlist. Excluding the credit-impaired loan, S&P's adjusted DSC and LTV for the top 10 loans are 1.41x and 120.0%, respectively. Apart from the Schron Industrial Portfolio loan, which S&P determined to be credit-impaired and discuss in the credit considerations section above, details of the remaining two top 10 loans that appear on the watchlist are: The John Hancock Tower & Garage at Clarendon loan is the largest loan in the pool. The loan was current in its debt service payments as of the November 2009 remittance report and has a trust balance of $640.5 million (9.8%). The loan is secured by a 1,728,550-sq.-ft., 62-story class A office building and a parking garage containing 2,013 spaces and 28,024 sq. ft. of retail space in Boston. The loan appears on the watchlist due to the October 2009 lease expiration of Deloitte Consulting, which vacated the 76,319 sq. ft. of space it had occupied. The property is now 79% occupied, but S&P understand that negotiations are underway for a tenant to take 28,582 sq. ft. of the former Deloitte Consulting space. As of June 30, 2009, the reported DSC was 1.10x, down from 1.21x as of year-end 2008. The reported DSC from June 30, 2009, includes rent from Deloitte Consulting. With the Deloitte Consulting rent taken out of the servicer-reported cash flow, the DSC will likely fall to approximately 1.00x. The Peachtree Center loan is the sixth-largest loan in the pool and the third-largest loan on the watchlist. The loan has a trust balance of $207.6 million (3.2%) and is secured by four class B office buildings totaling 1.5 million sq. ft., two class A/B office towers totaling 946,115 sq. ft., three parking garages, and a 134,024-sq.-ft. retail center in Atlanta. The loan appears on the watchlist due to a DSC below 1.10x. For the trailing 12 months ended March 31, 2009, the DSC was 0.72x. Occupancy has been approximately 66% since issuance. Deloitte Consulting vacated its 127,221-sq.-ft. space prior to its lease expiration in 2012. However, Deloitte Consulting is obligated to pay rent through its entire lease term. SunTrust has executed a lease for 252,822 sq. ft., and the 10-year lease term will begin Jan. 1, 2011. There is a debt service reserve with a current balance of $8.8 million. Standard & Poor's stressed the loans in the pool according to its updated conduit/fusion criteria. The resultant credit enhancement levels support the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2007-GG9 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-4 A AAA/Watch Neg 30.11 A-1-A A AAA/Watch Neg 30.11 A-M BBB- AAA/Watch Neg 20.07 A-MFL BBB- AAA/Watch Neg 20.07 A-J B+ AAA/Watch Neg 11.29 B B+ AA+/Watch Neg 10.79 C B+ AA/Watch Neg 9.28 D B AA-/Watch Neg 8.66 E B A+/Watch Neg 8.03 F B A/Watch Neg 7.15 G B- A-/Watch Neg 6.27 H B- BBB+/Watch Neg 5.02 J CCC+ BBB/Watch Neg 4.01 K CCC BBB-/Watch Neg 3.01 L CCC- BB+/Watch Neg 2.51 M CCC- BB-/Watch Neg 2.26 N CCC- B+/Watch Neg 1.88 O CCC- B/Watch Neg 1.63 P CCC- B-/Watch Neg 1.38 Q CCC- CCC+/Watch Neg 1.25 Ratings Affirmed Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2007-GG9 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA 30.11 A-2 AAA 30.11 A-3 AAA 30.11 A-AB AAA 30.11 X AAA N/A N/A - Not applicable. GREENWICH CAPITAL: S&P Downgrades Ratings on Five 2006-FL4 Certs. ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on five classes of commercial mortgage pass-through certificates from Greenwich Capital Commercial Funding Corp.'s series 2006-FL4. At the same time, S&P removed the ratings on these five classes from CreditWatch with negative implications, where they were placed on Oct. 6, 2009. The downgrades of the class D, E, F, and G certificates reflect ongoing interest shortfalls primarily resulting from appraisal subordinate entitlement reduction amounts and special servicing fees associated with three of the five specially serviced assets. If the interest shortfalls persist for an extended period of time, S&P may lower the ratings on these classes to 'D'. S&P lowered the rating on the class C certificate to 'BB+' from 'BBB+' because of the class' heightened susceptibility of liquidity interruptions. Almost all of the accrued certificate interests have not been distributed to the subordinate classes due to the aforementioned ASER amounts and special servicing fees. Details of the three specially serviced assets are: The Northwest Plaza Shopping Center asset, which became real estate owned on Sept. 1, 2009, has a whole-loan exposure of $29.3 million that consists of a $24.7 million senior pooled component and a $4.6 million subordinate nonpooled component that is raked to the "NW" certificates (not rated). The master servicer, Wachovia Bank N.A., has advanced $1.4 million to date on the asset. The property comprises a 1.7 million-sq.-ft. super- regional mall and an attached 12-story, 152,600-sq.-ft. class B office building in St. Ann, Mo., that were 48% and 56% occupied as of February 2009, respectively. Wachovia is the special servicer for this asset. This asset was transferred to Wachovia on Oct. 8, 2008, due to imminent default. It is S&P's understanding that the borrower had planned to redevelop and reposition the mall but was unable to fund the development. A $26.8 million appraisal reduction amount is in effect on the whole-loan exposure, which is based on a Dec. 16, 2008, appraisal value of $10.0 million. According to the Dec. 7, 2009, trustee remittance report, the related December ASER amount for this asset was $64,308. Wachovia indicated that it has received an offer for sale from the City of St. Ann in lieu of a condemnation lawsuit. Wachovia is currently negotiating the offer. The Mondrian-Scottsdale loan has a $26.0 million whole-loan balance that consists of a $23.4 million senior pooled component and a $2.6 million subordinate nonpooled component that provides the sole source of cash flow for the "MON" raked certificates. In addition, the equity interests in the borrower of the whole loan secure a $14.0 million mezzanine loan held outside the trust. This loan, secured by a 194-room full-service boutique hotel in Scottsdale, Ariz., was transferred to the special servicer on May 20, 2009, due to imminent maturity default. The 90-plus-days delinquent loan did not meet the debt yield test as specified in the loan documents for the borrower to exercise its June 1, 2009, maturity extension option, which was one of the two remaining options available. The borrower reported negative cash flow at the property, and 51% occupancy for the year ended Dec. 31, 2008. An ARA of $7.2 million is in effect on the whole-loan balance, which is based on a July 8, 2009, appraisal value of $21.7 million. As per the Dec. 7, 2009, trustee remittance report, the related December ASER amount for this asset was $10,998. The special servicer, Wachovia, is pursuing receivership and has filed for foreclosure. The two 'CCC-' rated "MON" raked certificates are currently experiencing ongoing interest shortfalls from ASER amounts and specially servicing fees. S&P may lower the ratings on these classes to 'D' if the interest shortfalls continue for a prolonged time period. The Galleria Sheraton-Metairie loan has a whole-loan balance of $17.0 million that consists of an $8.5 million senior pooled component, a $2.0 million subordinate nonpooled component that supports the "GSM" raked certificates, and a $6.5 million nontrust junior participation interest. This loan, which is in foreclosure, is secured by a seven-story, 182-room hotel in Metairie, La. This loan was transferred to the special servicer on June 2, 2009, after the borrower failed to pay off the loan upon its June 1, 2009, maturity. The reported DSC was 0.25x and occupancy was 73% for the year ended Dec. 31, 2008. The special servicer for this loan, Situs Asset Management (Situs), is currently exploring workout options, including pursuing foreclosure proceedings. An ARA of $2.6 million is in effect, which is based on an Aug. 27, 2009, appraisal value of $9.1 million. As per the Dec. 7, 2009, trustee remittance report, the related December ASER amount for this asset was $4,366. The two 'CCC-' rated "GSM" raked certificates are currently incurring ongoing interest shortfalls from ASER amounts and specially servicing fees. S&P may lower the ratings on these classes to 'D' if the interest shortfalls occur for an extended time period. Details on the two other specially serviced loans in the transaction are: The Greenwich Residential loan has a $25.9 million senior trust balance and a $40.9 million whole-loan balance. Although a $1.9 million ARA is in effect, which is based on an Aug. 11, 2009, appraisal value of $26.8 million, the subordinate junior participation interest is absorbing the ASER amount since the borrower is current with payments on the whole loan. Situs is currently discussing workout terms with the borrower. The 2600 West Olive Avenue loan consists of a $15.7 million senior pooled component, a $6.4 million subordinate nonpooled component that supports the "2600" raked certificates (not rated), and a $14.6 million nontrust junior participation interest. Situs is currently discussing workout strategies with the borrower on this 90-plus-days delinquent loan. Ratings Lowered And Removed From Creditwatch Negative Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2006-FL4 Rating ------ Class To From ----- -- ---- C BB+ BBB+/Watch Neg D B- BBB-/Watch Neg E CCC- BB/Watch Neg F CCC- BB-/Watch Neg G CCC- B/Watch Neg GREENWICH CAPITAL: S&P Downgrades Ratings on Three2004-FL2 Certs. ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on three classes of commercial mortgage pass-through certificates from Greenwich Capital Commercial Funding Corp.'s series 2004-FL2. Concurrently, S&P placed two of the lowered ratings on CreditWatch with negative implications, as well as the ratings on two other classes from this transaction. The downgrade of class L certificate to 'D' reflects accumulated interest shortfalls of $63,185 (as of the Dec. 7, 2009, trustee remittance report) resulting from legal expenses from an ongoing trust litigation. S&P does not expect the class to recover the accumulated interest shortfall amount. S&P lowered and placed on CreditWatch negative its ratings on the class J and K certificates due to anticipated interest shortfalls associated with additional legal expenses ($128,903 incurred as of October 2009) that are expected to be passed through to the trust. The expenses could appear on future trustee remittance reports as early as on the Jan. 8, 2010, trustee remittance report. S&P placed its ratings on the class G and H certificates on CreditWatch negative due to these classes' heightened susceptibility of liquidity interruption due to additional legal expenses that may be incurred in future periods. The trust is involved in litigation surrounding the Mervyn's Portfolio loan, which was paid off in full on Dec. 6, 2005. According to a Sept. 14, 2009, notice from the master servicer, Wachovia Bank N.A., "a fraudulent conveyance action has been filed in the Mervyn's Chapter 11 bankruptcy case. The lawsuit alleges, among other things, that Mervyn's real estate assets were transferred by the company's buyers to newly formed companies that, in turn, imposed a substantial hike in rents upon the debtor, contributing to the bankruptcy filing in July 2008." The trustee, LaSalle Bank N.A., is among the named defendants in this lawsuit. Wachovia, as the master servicer, is defending the Trust's interests. S&P will update or resolve the CreditWatch placements upon further dialogue with Wachovia regarding the litigation and related legal expenses. According to Wachovia, a motion to dismiss hearing is scheduled on Jan. 14, 2010. S&P will evaluate the potential impact of these legal expenses on the transaction's payment waterfall. S&P's analysis will include an estimation of how long the rated classes may be affected by interest shortfalls, as well as the susceptibility of other classes to liquidity interruptions. GS MORTGAGE: S&P Downgrades Ratings on 15 2006-RR3 Securities ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 15 classes of from GS Mortgage Securities Corp. II's series 2006-RR3, a U.S. commercial mortgage-backed securities re-securitized real estate mortgage investment conduit transaction. All of these ratings remain on CreditWatch with negative implications. At the same time, S&P affirmed one other rating from the same transaction and removed it from CreditWatch negative. The downgrades reflect S&P's analysis of the transaction following its downgrades to 20 CMBS certificates that serve as underlying collateral for GSMS 2006-RR3. The certificates are from 12 transactions and have a total balance of $260 million (35.8% of the GSMS 2006-3 pool balance). The lowered ratings remain on CreditWatch negative due to the transaction's exposure to CMBS collateral with ratings on CreditWatch negative ($187.5 million, 26%). The affirmation of the rating on the class X interest-only certificates reflects S&P's current criteria. S&P published a request for comment proposing changes to its IO criteria on June 1, 2009. Once the criteria review is finalized, S&P may revise its current IO criteria, which may affect outstanding ratings, including the rating on the class X certificates. According to the Nov. 19, 2009, trustee report, 58 CMBS certificates ($727.8 million, 100%) from 34 distinct transactions issued between 2004 and 2006 collateralize GSMS 2006-RR3. GSMS 2006-RR3 has significant exposure to CMBS certificates that Standard & Poor's has recently downgraded from these transactions: * Wachovia Bank Commercial Mortgage Trust's series 2006-C28 (classes E through J; $85 million, 11.7%); * JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP8 (classes D and E; $47.5 million, 6.5%); * Banc of America Commercial Mortgage Trust 2006-5 (classes D, E, and F; $29.8 million, 4.1%); and * Wachovia Bank Commercial Mortgage Trust's series 2006-C23 (class G; $24.9 million, 3.4%). S&P will update or resolve its CreditWatch negative placements on GSMS 2006-RR3's certificates in conjunction with its CreditWatch resolutions of the underlying CMBS assets. Ratings Lowered And Remaining on Creditwatch Negative GS Mortgage Securities Corp. II Commercial mortgage-backed securities pass-through certificates series 2006-RR3 Rating ------ Class To From ----- -- ---- A-1 AA+/Watch Neg AAA/Watch Neg A-1-S AA+/Watch Neg AAA/Watch Neg A-2 BBB-/Watch Neg A-/Watch Neg B BB+/Watch Neg BBB+/Watch Neg C BB/Watch Neg BBB/Watch Neg D BB/Watch Neg BBB-/Watch Neg E B+/Watch Neg BB+/Watch Neg F B/Watch Neg BB+/Watch Neg G B/Watch Neg BB+/Watch Neg H B-/Watch Neg BB+/Watch Neg J CCC/Watch Neg BB-/Watch Neg K CCC-/Watch Neg B+/Watch Neg L CCC-/Watch Neg B/Watch Neg M CCC-/Watch Neg CCC+/Watch Neg N CCC-/Watch Neg CCC/Watch Neg Rating Affirmed And Removed From Creditwatch Negative GS Mortgage Securities Corp. II Commercial mortgage-backed securities pass-through certificates series 2006-RR3 Rating ------ Class To From ----- -- ---- X AAA AAA/Watch Neg INDIANA HEALTH: Fitch Affirms 'BB+' Rating on $35 Mil. Bonds ------------------------------------------------------------ Fitch Ratings has affirmed its 'BB+' rating on the approximately $35 million outstanding Indiana Health Facilities Financing Authority revenue bonds, series 1998 and 2006A, issued on behalf of Greenwood Village South. The Rating Outlook is Stable. For the variable rate 2006A bonds, the rating is an underlying rating, given without consideration of the enhancement provided by a confirming letter of credit. Fitch was not asked to provide ratings based on bank support. Rating Rationale: -- Greenwood Village South continues to improve upon its operating performance since the downgrade in 2006 and reported its best operating year in 2009. -- Improved operations serve to buoy its liquidity position. -- Life Care Service Corp. (LCS) is a highly respected management company that has been at the helm of GVS since its founding in 1981, which Fitch believes is a credit strength. -- GVS benefits from a low cost position relative to the competition in the market, which is a major factor leading to its strong utilization. Key Rating Drivers: -- Successful renewal or replacement of the confirming letter of credit backing the 2006A bonds, which expires in June 2011, or conversion of those bonds to a fixed rate mode; -- Continued and sustained positive operating performance that leads to improved liquidity and stronger debt service coverage; -- Improvement in GVS' occupancy and utilization metrics; -- The combined effects of a prolonged recession, especially the impact of a sluggish housing market that may persist over the near term, suppressing expected operating gains and thus preventing GVS from materially improving its credit standing. Rating Outlook: The Stable Outlook is based on Fitch's expectation that GVS will continue to produce strong operating results over the near term that should serve to further buoy its liquidity position and debt service coverage. Security: Bondholders are secured by a lien on and security interest in the gross revenues of the corporation. In addition, bondholders have been granted a first mortgage lien on the facility of the corporation. Credit Summary: GVS' credit strengths continue to include solid occupancy in the independent living units, the presence of a reputable management company, and GVS' low cost positioning in its market. Occupancy rates of the independent living apartments have remained high, averaging 93.4% over the last four fiscal years. The presence of Life Care Service Corp. as the facility's manager allows GVS access to a unique array of in-depth services that provide a significant value-added benefit to GVS and a distinct competitive advantage in the marketplace. Operating in a market with limited competition that exhibits sound socioeconomic characteristics, GVS' positioning as an affordable provider of senior housing lends support to future occupancy stability. One of the principle factors contributing to the downgrade in February 2006 was GVS' weak liquidity relative to expenses (93 days), which has dramatically improved to 196 days as of the fiscal year ending June 30, 2009. Fitch notes that at Dec. 31, 2008 GVS was in technical violation of its days cash on hand covenant under terms of its letter of credit with Santander. GVS received a waiver, but the covenant was raised to 200 DCOH as of Dec. 1, 2010 (tested semiannually). Additional covenants were placed on GVS and include an aggregate average occupancy threshold of 85% that is tested quarterly. Fitch notes that GVS reported it was in compliance of all covenants as of June 30, 2009. GVS' current debt structure is a credit concern. Successful renewal or replacement of the confirming letter of credit backing the 2006A bonds, which expires in June 2011, or conversion of those bonds to a fixed rate mode will be a critical rating factor over the near term. Further, GVS has a fixed payer swap with a notional amount of $22 million associated with the 2006A bonds that matures in 2019. As of June 30, 2009, this swap had a negative valuation of $2.278 million. There are no collateral postings required on the swap. Fitch expects GVS' liquidity indicators will continue to strengthen especially relative to Fitch's 'BBB' medians. Weak capital related ratios present some credit concern and were especially relevant to the downgrade. Although still light, GVS' debt service coverage has improved to 1.4 times (x) at the close of FY09, which is nearly double the coverage demonstrated in fiscal 2007. Fitch expects the coverage to grow stronger over the near term. Another concern leading to the downgrade was weaker occupancy in the skilled nursing facility and assisted living units. At June 30, 2009, the occupancy in the SNF improved to 89.1% from 83% in FY 2006. Furthermore, the occupancy of the ALU's improved to 87.5% from 67% over the same time period. The occupancy in the ILU's has dipped some to 89.2% from 93%. The combined effects of a prolonged recession, specifically the effects of a sluggish housing market may persist and therefore impede the overall strengthening of GVS credit quality in the near term. According to Fitch's structured real estate analysts, the existing negative equity position of many performing borrowers combined with a further rise in unemployment is expected to prevent any material improvements in delinquency rates in 2010. Independent data sources list Indiana ranked near 20th in the nation for the number of foreclosures, which appears to have declined slightly in the third quarter of 2009. Fitch will continue to monitor the effects of the housing market on utilization and turnover at GVS and comment accordingly as it relates to material changes to GVS's credit quality. JPMORGAN CHASE: S&P Downgrades Ratings on 14 2006-LDP6 Securities ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 14 classes of commercial mortgage-backed securities from JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP6, three of which S&P set to 'D', and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on nine other classes from the same transaction. The downgrades follow S&P's analysis of the transaction using its U.S. conduit and fusion CMBS criteria, which was the primary driver of the rating actions. The downgrades of the subordinate and mezzanine classes also reflect credit support erosion S&P anticipate will occur upon the eventual resolution of several specially serviced loans. S&P lowered its ratings on the class L, M, and N certificates to 'D' following interest shortfalls due to appraisal subordinate entitlement reductions related to seven specially serviced assets. S&P expects the interest shortfalls to recur for an extended period of time. 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 1.67x and a loan-to-value ratio of 95.4%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average DSC of 1.05x and an LTV of 130.7%. The implied defaults and loss severity under the 'AAA' scenario were 78.5% and 34.8%, respectively. All of the DSC and LTV calculations S&P noted above exclude 13 ($140.7 million, 6.7%) of the 18 specially serviced loans and one defeased loan ($2.6 million, 0.1%). S&P separately estimated losses for the specially serviced loans, which S&P included in its 'AAA' scenario implied default and loss figures. The affirmations of the ratings on the principal and interest certificates reflect subordination levels that are consistent with the outstanding ratings. S&P affirmed its ratings on the class X- 1 and X-2 interest-only certificates based on its current criteria. S&P published a request for comment proposing changes to its IO criteria on June 1, 2009. After S&P finalize its criteria review, S&P may revise its IO criteria, which may affect outstanding ratings, including the ratings on the IO certificates that S&P affirmed. Credit Considerations As of the November 2009 remittance report, 18 assets ($196.7 million, 9.4%) in the pool were with the special servicer, LNR Partners Inc. A breakdown of the specially serviced assets by payment status is: three are current (2.2%); one is in its grace period (0.6%); two are 60 days delinquent (1.3%); one is 90-plus days delinquent (0.7%); 10 are in foreclosure (4.3%); and one is real estate owned (REO; 0.3%). The largest loan with LNR is the Bigg's Place loan ($29.1 million, 1.4%). This loan was transferred to the special servicer on June 29, 2009, due to imminent default. The loan is secured by a 402,634-sq.-ft. anchored retail center in Cincinnati, Ohio. LNR has indicated that it is currently reviewing a deed-in-lieu for the property. S&P expects a significant loss upon the eventual resolution of this loan. The second-largest loan with LNR is the Lake Worth Plaza Shopping Center loan ($24.7 million, 1.2%). This loan was transferred to the special servicer on Jan. 28, 2009, due to payment default and is in foreclosure. The loan is secured by a 234,651-sq.-ft. anchored retail center in Palm Beach, Fla. S&P expects a significant loss upon the eventual resolution of this loan. The third-largest loan with LNR is the Richland Centre loan ($19.5 million, 0.9%). This loan was transferred to the special servicer on Aug. 11, 2008, due to payment default and is in foreclosure. The loan is secured by a 231,455-sq.-ft. anchored retail center in North Richland Hills, Texas. LNR has appointed a receiver to take control of this asset. S&P expects a significant loss upon the eventual resolution of this asset. Each of the remaining 15 specially serviced assets account for less than 0.9% of the pool balance. S&P estimated losses for 10 ($67.2 million, 3.2%) of these 15 assets, resulting in an average loss severity of 38.6%. Of the remaining five assets, one is undergoing renovations and remains current, two are in discussion for possible loan modifications, and two are recent transfers. Transaction Summary As of the November 2009 remittance report, the collateral pool had an aggregate trust balance of $2.1 billion, which is approximately 98.1% of the balance at issuance. The pool consists of 162 assets, which is unchanged since issuance. The master servicers for the transaction are Midland Loan Services Inc. and Berkadia Commercial Mortgage LLC. The master servicers provided financial information for 97.9% of the pool, excluding one defeased loan ($2.6 million, 0.1%); 90.1% of the financial information was full-year 2008 data or interim-2009 data. S&P calculated a weighted average DSC of 1.68x for the pool based on the servicer-reported figures. S&P's adjusted DSC and LTV were 1.67x and 95.4%, respectively. S&P's adjusted figures exclude 13 of the 18 specially serviced loans. S&P estimated losses separately for these loans ($140.7 million, 6.7%), which had a weighted average servicer-reported DSC of 0.98x. Thirty-four loans ($366.4 million, 17.4%) are on the master servicers' watchlists, including two of the top 10 loans. Twenty-six loans ($262.0 million, 12.5%) have a reported DSC of less than 1.10x, and 19 of these loans ($151.0 million, 7.2%) have a reported DSC of less than 1.0x. The transaction has not experienced any losses to date. Summary of Top 10 Loans The top 10 exposures have an aggregate outstanding balance of $938.8 million (44.7%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.97x for the top 10 loans. Two of the top 10 loans ($142.6 million, 6.8%) appear on the master servicers' watchlists. S&P's adjusted DSC and LTV for the top 10 loans are 1.85x and 87.5%, respectively. The 30 Broad Street loan ($82.7 million, 3.9%) is the fifth- largest loan in the pool and the largest loan on the master servicers' watchlists. Debt service payments on the loan were current as of the November 2009 remittance report. The loan is secured by a 427,568-sq.-ft., class B, multitenant office building in downtown New York City. The loan appears on the watchlist because a lease expiration (12.9% of the net rentable area, expiring in October 2010) triggered the springing of a lockbox. Based on net cash flow, the reported DSC was 1.39x at year-end 2008, up from 1.20x at issuance. The Millennium Industrial Portfolio loan ($62.9 million, 2.9%) is the seventh-largest loan in the pool and the second-largest loan on the master servicers' watchlists. Debt service payments on the loan are current as of the November 2009 remittance report. The loan is secured by a cross-collateralized and cross-defaulted portfolio of five industrial properties, totaling 584,044 sq. ft., near Los Angeles' LAX, Chicago's O'Hare, and Boston's Logan Airports. The loan appears on the watchlist due to increased vacancies in the portfolio. Based on net cash flow, the reported DSC was 1.03x at year-end 2008, down from 1.21x at issuance. Standard & Poor's stressed the loans in the pool according to its updated conduit/fusion criteria. The resultant credit enhancement levels are consistent with the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP6 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-M A AAA/Watch Neg 20.38 A-J BBB+ AAA/Watch Neg 12.61 B BBB- AA/Watch Neg 10.32 C BB+ AA-/Watch Neg 9.43 D BB A/Watch Neg 7.77 E BB- A-/Watch Neg 6.75 F B BBB+/Watch Neg 5.35 G B- BBB/Watch Neg 4.33 H CCC BBB-/Watch Neg 3.31 J CCC- BB/Watch Neg 2.80 K CCC- BB-/Watch Neg 2.29 L D B+/Watch Neg 2.04 M D B-/Watch Neg 1.78 N D CCC/Watch Neg 1.53 Ratings Affirmed JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP6 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA 30.57 A-2 AAA 30.57 A-3FL AAA 30.57 A-3B AAA 30.57 A-4 AAA 30.57 A-SB AAA 30.57 A-1A AAA 30.57 X-1 AAA N/A X-2 AAA N/A N/A - Not applicable. KIDSPEACE INC: Moody's Affirms 'Caa2' Rating on $58.2 Mil. Bonds ---------------------------------------------------------------- Moody's Investors Service has affirmed the Caa2 long-term bond ratings assigned to KidsPeace Inc.'s $58.2 million of Series 1998 and Series 1999 outstanding bonds issued by the Lehigh County General Purpose Authority, PA. The rating outlook remains negative. Legal Security: The bonds are secured by a gross revenues pledge of the obligated group members consisting of KidsPeace Corp, KidsPeace National Centers for Kids, Inc., KidsPeace National Centers for Kids of Pennsylvania, Inc., and KidsPeace National Hospital, Inc. Violation of 1.1 times rate covenant requires a consultant, and violation of a 1.0 times rate covenant is an event of default. Interest Rate Derivatives: None. Strengths * National human service provider with expanding geographic and service line diversification, with operations in twelve states, including Maine, Georgia, Pennsylvania, Indiana, New Jersey and Minnesota and most recently Nevada * New strategic focus moving program model away from a behavioral focus to a clinical focus, expanding foster care services (41 offices operating in fiscal year 2009), diversifying programming to potentially include some adult services and pursuing services that are supported by third party payors * Changes in senior management following operational issues in fiscal year (FY) 2007 and FY 2008; new management has taken actions to improve safety, admission criteria, training, and best clinical practices * Operating cash flow margin has improved through 10 months of FY 2009 (7.2%) to 2007 levels after a steep drop off in FY 2008 (- 1.9%); improved operating performance due to a hiring freeze, pension plan freeze, staff reductions, salary rollbacks and reduction of operating costs Challenges * Strained operational performance in the last two years (FY 2008 and ten months of FY 2009 ending October 31, 2009) as operational revenue declined 22% in FY 2008 and 24% through ten months of FY 2009 largely due to payment delays caused by the state budget impasse in Pennsylvania budget impasse and county holdbacks; highlights dependence on particular revenue streams and lack of diversity in revenue sources * Continued residential census decline and resulting operational performance decline in FY 2008 due to the impact of a temporary hold on admissions in 2007, and in FY 2009 due to a slowdown in residential referrals; temporary hold on admissions highlights the increased headline risk facing KidsPeace although strategies have been put in place by management to mitigate * Materially weakened liquidity measures (18 days and 8.7% cash to debt) due to continued decline of unrestricted cash and investments to $5.7 million through ten months of FY 2009 ending October 31, 2009, caused by economic conditions and reduction in operations due to program closures Recent Developments/Results The rating affirmation is attributed to recent turnaround initiatives in FY 2008 and FY 2009 including a reduction in work force and freezing of the pension plan that is expected to generate $4.0 million in cost savings at fiscal year end 2009, as well as an asset monetization and sale-lease back plan during FY 2008 and FY 20009. These positive developments are mitigated by continued operating losses, lower residential census numbers and continued stress on liquidity measures. Operating results in FY 2008 reflect a downturn in program operations following a temporary hold on admissions from a client incident. KidsPeace recorded a steep loss from operations of -$11.6 million (-8.7% margin) and operating cash flow of -$2.6 million (-1.9% margin) in FY 2008 compared to operating income of $3.4 million (2.1% margin) and operating cash flow of $12.7 million (7.7% margin) in FY 2007. Operations have improved from the previous year through ten months of FY 2009 ending October 31, 2009, although at lower than historic levels with operating income of $7,000 (0% margin) and operating cash flow of $3.86 million (3.8% margin). The Human Service Provider industry is characterized by low margins that make it difficult to generate and retain operating surpluses. Operating profitability is therefore dependent on management's ability to control expenses and maintain relatively high census numbers. KidsPeace offers nation-wide treatment programs for children and adolescents with emotional and behavioral issues through a combination of hospital, residential, diagnostic, educational, therapeutic and day treatment services in addition to foster care services. KidsPeace generates approximately 48.5% of its revenue through its residential treatment programs, followed by foster care which contributes 30.7% to operations. KidsPeace's broad array of services and geographic reach is viewed as a credit strength. KidsPeace continues to experience census declines in its residential business and as a result, operational performance decline. A 41% year over year decline in census occurred at two of KidsPeace's residential facilities after a ten-week hold on admissions imposed by the Pennsylvania Department of Welfare in 2007 and the closure of a dual diagnosis program in March, 2008, following a client incident, and resulted in a total loss of $11 million for 2008. Overall census numbers declined 26% in FY 2008 and 24% through ten months of FY 2009 partly due to lower number of referrals following the hold on admissions and management's decision to close some programs and reduce residential beds (76 in FY 2008 and FY 2009 respectively). Currently, all Pennsylvania residential programs are now fully licensed by the Pennsylvania Department of Welfare and accredited by the Joint Commission. Census decline has since stabilized as of ten months of FY 2009, despite stagnancy during the summer months, and growth is difficult due to economic factors facing governmental customers. Through ten months of FY 2009, KidsPeace's cash levels thinned to $5.7 million down from $8.9 million at FYE 2008 due to challenges with census, county holdbacks and state payors. Continued operational challenges and state budget issues in Pennsylvania will continue to temper liquidity growth although management has devised a new strategy to diversify programs and payor base that can alleviate concentration risk. Outlook The negative outlook reflects Moody's belief that KidsPeace's weakened balance sheet and liquidity, despite operational turnaround in FY 2009, continues to remain at concerning levels to meeting debt covenants and obligations. What could change the rating -- UP Future upward rating movement will largely depend on a material increase in unrestricted liquidity; significant increase in operating cash flow allowing KidsPeace to grow the balance sheet What could change the rating -- DOWN Operating losses resulting in weakening of balance sheet and leverage measures; violation of a 1.0 times rate covenant, leading to further declines in liquidity. Key Indicators Assumptions & Adjustments: -- Based on financial statements for KidsPeace Inc -- First number reflects audit year ended December 31, 2008 -- Second number reflects ten months FY 2009 annualized -- Investment returns normalized at 6% unless otherwise noted * Inpatient admissions: 12,342; 11,232 * Total operating revenues: $133.7 million; $102.1 million * Moody's-adjusted net revenue available for debt service: $(1.7) million; $8.3 million * Total debt outstanding: $65.2 million; $65.5 million * Maximum annual debt service (MADS): $6.4 million; $6.4 million * MADS Coverage with reported investment income: -0.4 times; 1.1 times * Moody's-adjusted MADS Coverage with normalized investment income: -0.3 times; 1.3 times * Debt-to-cash flow: -11.4 times; 13.7 times * Days cash on hand: 23.1 days; 17.7 days * Cash-to-debt: 13.6%; 8.7% * Operating margin: -8.7%; 0.0% * Operating cash flow margin: -1.9%; 7.2% Rated Debt (debt outstanding as of December 31, 2008): -- Series 1998, 1999 ($62.2 million outstanding) rated Caa2 The last rating action was on December 23, 2008, when the rating of KidsPeace Inc. was confirmed at Caa2 with a Negative outlook. KidsPeace's rating was assigned by evaluating factors believed to be relevant to the credit profile of KidsPeace such as i) the business risk and competitive position of KidsPeace versus others within its sector, ii) the capital structure and financial risk of KidsPeace, iii) the projected performance of KidsPeace over the near to intermediate term, iv) KidsPeace's history of achieving consistent operating performance and meeting budget or financial plan goals, v) the nature of the dedicated revenue stream pledged to the bonds, vi) the debt service coverage provided by such revenue stream, vii) the legal structure that documents the revenue stream and the source of payment, and viii) and KidsPeace's management and governance structure related to payment. These attributes were compared against other issuers both within and outside of KidsPeace's core peer group and KidsPeace's ratings are believed to be comparable to ratings assigned to other issuers of similar credit risk. LAKESIDE RE: S&P Assigns 'BB-' Rating on Class A Notes ------------------------------------------------------ Standard & Poor's Ratings Services said it assigned its 'BB-' issue-level rating to the notes exposed to losses from earthquakes in California to be issued by Lakeside Re II Ltd. Lakeside Re II is a special-purpose Cayman Islands exempted company licensed as a Class B insurer in the Cayman Islands. All of its issued and outstanding share capital will be held under a declaration of trust for certain charitable purposes by Wilmington Trust (Cayman), as share trustee. Zurich American Insurance Co., Zurich Insurance Co. Ltd., or any other affiliated entity that might be added as a ceding insurer from time to time will be the insurance company ceding the covered risks to Lakeside Re II. Ratings List Lakeside Re II Ltd. Class A Notes 'BB-' LASALLE COMMERCIAL: Moody's Cuts Ratings on Eight 2006-MF3 Certs. ----------------------------------------------------------------- Moody's Investors Service downgraded eight classes of LaSalle Commercial Mortgage Securities, Inc., Commercial Mortgage Pass- Through Certificates, Series 2006-MF3 due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced loans and interest shortfalls. The rating action is the result of Moody's on-going surveillance of commercial backed securities transactions. This transaction is classified as a small balance CMBS transaction. The largest loan is $4.2 million, which represents 1.2% of the outstanding pool balance. Small balance transactions, which represent approximately 1% of the Moody's rated conduit / fusion universe, have generally experienced higher defaults and losses than traditional conduit and fusion transactions. As of the November 20, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 28% to $354 million from $493 million at securitization. The Certificates are collateralized by 347 mortgage loans ranging in size from less than 1% to 1.2% of the pool, with the top ten loans representing 10% of the pool. One hundred and fifty two loans, representing 41% 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. To date, 33 loans have been liquidated from the pool, resulting in an aggregate loss of $20.7 million (52% loss severity on average). These losses have resulted in the elimination of Classes H through N and a 84% principal loss for Class G. Currently, there are 55 loans, representing 18% of the pool, in special servicing. Moody's has estimated an aggregate $37.7 million loss for the specially serviced loans (50% loss severity on average). The pool has experienced interest shortfalls totaling $356,000 which have impacted Classes D through G. Moody's rating action is: -- Class A, $315,698,291, downgraded to B1 from A2; previously on 2/9/2009 downgraded to A2 from Aaa -- Class X, Notional, downgraded to B1 from A2; previously on 2/9/2009 downgraded to A2 from Aaa -- Class B, $8,019,000, downgraded to Ca from Baa1; previously on 2/9/2009 downgraded to Baa1 from Aa2 -- Class C, $12,953,000, downgraded to C from Ba1; previously on 2/9/2009 downgraded to Ba1 from A2 -- Class D, $8,018,000, downgraded to C from B1; previously on 2/9/2009 downgraded to B1 from Baa1 -- Class E, $3,701,000, downgraded to C from Caa2; previously on 2/9/2009 downgraded to Caa2 from Baa2 -- Class F, $4,935,000, downgraded to C from Caa2; previously on 2/9/2009 downgraded to Caa2 from Baa3 -- Class G, $1,051,801, downgraded to C from Caa3; previously on 2/9/2009 downgraded to Caa3 from Ba2 LASALLE COMMERCIAL: Moody's Cuts Ratings on Six 2006-MF2 Certs. --------------------------------------------------------------- Moody's Investors Service downgraded six classes of LaSalle Commercial Mortgage Securities, Inc., Commercial Mortgage Pass- Through Certificates, Series 2006-MF2 due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced loans and interest shortfalls. The rating action is the result of Moody's on-going surveillance of commercial backed securities transactions. This transaction is classified as a small balance CMBS transaction. The largest loan is $4.1 million, which represents 1.2% of the outstanding pool balance. Small balance transactions, which represent approximately 1% of the Moody's rated conduit / fusion universe, have generally experienced higher defaults and losses than traditional conduit and fusion transactions. As of the November 20, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 32% to $336 million from $496 million at securitization. The Certificates are collateralized by 372 mortgage loans ranging in size from less than 1% to 1.2% of the pool, with the top ten loans representing 9% of the pool. One hundred and sixteen loans, representing 29% 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. To date, 30 loans have been liquidated from the pool, resulting in an aggregate loss of $21.4 million (55% loss severity on average). These losses have resulted in the elimination of Classes F through N and a 5% principal loss for Class E. Currently, there are 58 loans, representing 17% of the pool, in special servicing. Moody's has estimated an aggregate $28 million loss for the specially serviced loans (50% loss severity on average). The pool has experienced interest shortfalls totaling approximately $638,000 which have impacted Classes D and E. Moody's rating action is: -- Class A, $303,294,355, downgraded to Caa3 from A3; previously on 2/10/2009 downgraded to A3 from Aaa -- Class X, Notional, downgraded to Caa3 from A3; previously on 2/10/2009 downgraded to A3 from Aaa -- Class B, $8,745,000, downgraded to C from Ba1; previously on 2/10/2009 downgraded to Ba1 from Aa2 -- Class C, $12,493,000, downgraded to C from Ba2; previously on 2/10/2009 downgraded to Ba2 from A2 -- Class D, $8,120,000, downgraded to C from Caa1; previously on 2/10/2009 downgraded to Caa1 from Baa1 -- Class E, $3,561,704, downgraded to C from Caa2; previously on 2/10/2009 downgraded to Caa2 from Baa2 LB-UBS COMMERCIAL: Fitch Takes Rating Actions on 2005-C5 Notes -------------------------------------------------------------- Fitch Ratings takes various actions on several classes of LB-UBS Commercial Mortgage Trust, series 2005-C5. 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 6.6% for this transaction, should market conditions not recover. The rating actions are based on losses of 6.6%, as a majority of the loans mature in the next five years. The bonds with Negative Outlooks indicate classes that may be downgraded in the future should full potential losses be realized. To determine potential defaults for each loan Fitch assumed cash flow would decline by 10% from year-end 2008, which is consistent with the analysis used in its review of recent vintage transactions whereby cash flow was assumed to decline 15% from YE 2007 projected over a three year period. If the stressed cash flow would cause the loan to fall below 0.95 times (x), Fitch assumed the loan would default during the term. To determine losses, Fitch used the above stressed cash flow, and applied a market cap rate, ranging between 7.5% and 9.5%, to derive a value. If the loan balance at default is less than Fitch's derived value, the loan would realize that amount of loss. These loss estimates were reviewed in more detail for loans representing 69.4% of the pool and, in certain cases, revised based on additional information and/or property characteristics. Loss expectations attributed to loans reviewed in detail represent approximately 80% of the recognized losses. Approximately 91.9% of the mortgages mature within the next five years: 10.6% in 2010, 1.5% in 2011, and 79.8% in 2015. Fitch identified 17 Loans of Concern (12%) within the pool, three of which (11.8%) are specially serviced. Of the specially serviced loans, one (11.4%) is current. Losses are expected on six (27.9%) of the top 15: two are expected to default during the term, while losses on four (23.2%) are expected to default at maturity. Loss severities associated with these loans range from 5% to 41%. The largest overall contributors to deal loss are: Courtyard by Marriott Portfolio (7.6%), TAG Portfolio (2.3%), and the Palmolive Retail Building (2.3%). Courtyard by Marriott Portfolio is comprised of 64 Courtyard by Marriott limited-service hotel properties consisting of 9,443 rooms located in 29 different states. Portfolio performance has decline since issuance due to the current economic stress of the hotel sector and the declining markets the properties are located in. The most recent servicer reported debt service coverage ratio as of YE 2008 was 1.73x down from 2.09x YE 2007. As of YE 2008, the average daily rate has increased to $115.05 from $95.55 at issuance and revenue per available room has increased to $76.14 from $66.43 at issuance. Fitch expects that the loan may default at maturity as cash flow is not expected to increase to a level that would meet Fitch's refinance criteria. TAG Portfolio consists of two Class A office buildings located in Downers Grove, IL and Loudon County. As of September 2009, occupancy for the portfolio has declined to 70% from 87% at issuance. The decline in the portfolio's performance is mainly attributed to a decline in occupancy at one of the properties resulting from tenant vacancies. The servicer reported DSCR for the portfolio as of YE 2008 declined to 1.13x from 1.58x at issuance. Fitch modeled the loan with a higher probability of defaulting during the loan term due to the decline in performance and low portfolio occupancy. Palmolive Retail Building is a 37-story, 565 million square foot Art Deco building located at N. Michigan Avenue in Chicago, IL. As of 2001, the property was undergoing a renovation and expansion of the retail space and conversion of offices to ultra-luxury condominiums. The most recent servicer provided DSCR as of June 2009 is 1.18x. The servicer was not able to provide an updated rent roll or condo sales. Fitch modeled the loan with a higher probability of defaulting during the loan term due to property performance not reaching stabilization expectations at issuance. Fitch downgrades, removes from Rating Watch Negative, assigns Outlooks and Loss Severity ratings: -- $187.5 million class A-J to 'BBB/LS3' from 'AAA'; Outlook Stable; -- $20.5 million class B to 'BBB-/LS5' from 'AA+'; Outlook Stable; -- $32.2 million class C to 'BB/LS5' from 'AA'; Outlook Stable; -- $29.3 million class D to 'BB/LS5' from 'AA-'; Outlook Negative; -- $23.4 million class E to 'B/LS5' from 'A+'; Outlook Negative; -- $29.3 million class F to 'B-/LS5' from 'A'; Outlook Negative Outlook; -- $26.4 million class G to 'B-/LS5' from 'BBB+'; Outlook Negative; -- $23.4 million class H to 'B-/LS5' from 'BBB'; Outlook Negative; -- $14.7 million class J to 'B-/LS5' from 'BBB-'; Outlook Negative; -- $20.5 million class K to 'B-/LS5' from 'BB+'; Outlook Negative; -- $8.8 million class L to 'B-LS5' from 'BB'; Outlook Negative; -- $5.9 million class M to 'B-/LS5' from 'B+'; Outlook Negative; -- $8.8 million class N to 'B-/LS5' from 'B'; Outlook Negative. In addition, Fitch affirms and assigns Rating Outlooks to these classes: -- $10.9 million class A-1 at 'AAA/LS1'; Outlook Stable; -- $347 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $158 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $76 million class A-AB at 'AAA/LS1'; Outlook Stable; -- $809.5 million class A-4 at 'AAA/LS1'; Outlook Stable; -- $169.3 million class A-1A at 'AAA/LS1'; Outlook Stable; -- Interest-only class X-CL at 'AAA'; Outlook Stable; -- Interest-only class X-CP at 'AAA'; Outlook Stable; -- $234.4 million class A-M at 'AAA/LS3'; Outlook Stable. Fitch does not rate the $2.9 million class P, $5.9 million class Q, $5.9 million class S and $23.4 million class T certificates. LB-UBS COMMERCIAL: S&P Downgrades Ratings on 17 2008-C1 Securities ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 17 classes of commercial mortgage-backed securities from LB-UBS Commercial Mortgage Trust 2008-C1 and removed them from CreditWatch with negative implications. Concurrently, S&P affirmed its ratings on five classes from this transaction. The downgrades follow S&P's analysis of the transaction using its U.S. conduit and fusion CMBS criteria, which was the primary driver of the rating actions. The downgrades of the subordinate classes also reflect credit support erosion S&P anticipates will occur upon the eventual resolution of several specially serviced assets. In addition, interest shortfalls due to an appraisal subordinate entitlement reduction amount related to the 13th-largest asset in the pool, the Best Western - Clearwater loan, prompted us to downgrade class S to 'D'. S&P expects the interest shortfalls to recur for an extended period of time. 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 1.35x and a loan-to-value ratio of 104.4%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 0.90x and an LTV of 154.3%. The implied defaults and loss severity under the 'AAA' scenario were 66.3% and 47.8%, respectively. All of the DSC and LTV calculations S&P noted above exclude the two ($46.9 million, 4.7%) specially serviced assets. S&P separately estimated losses for these two loans and included them in its 'AAA' scenario implied default and loss figures. The affirmations of the ratings on the principal and interest classes reflect subordination levels that are consistent with the outstanding ratings through various stress scenarios. S&P affirmed its rating on the class IO interest-only certificates based on its current criteria. S&P published a request for comment proposing changes to the IO criteria on June 1, 2009 (see "Request For Comment: Methodology For Rating Interest-Only Certificates," on RatingsDirect). After S&P finalizes its criteria review, S&P may revise its current IO criteria, which may affect outstanding ratings, including the rating on the IO certificates S&P affirmed. Credit Considerations Two assets ($46.9 million, 4.7%) in the pool are with the special servicer, CWCapital Asset Management LLC (CWCapital). A breakdown of the specially serviced assets by payment status is: one ($19.1 million, 1.9%) asset is more than 90 days delinquent, and one ($27.8 million, 2.8%) is more than 60 days delinquent. One of the specially serviced loans has an appraisal reduction amount in effect totaling $8.5 million. The larger specially serviced loan, the Kettering Tower loan ($27.8 million, 2.8%), is a top 10 loan that S&P discuss below in the top 10 loan section. The other specially serviced loan is the Best Western-Clearwater loan. The Best Western-Clearwater loan ($19.1 million, 1.9%) is secured by a 110-room beachfront hotel in Clearwater, Fla. The asset was transferred to CWCapital on Feb. 19, 2009, due to monetary default and is now 90-plus-days delinquent. An ARA totaling $8.5 million is in effect for this asset based on an appraisal of $12.5 million from April 1, 2009. The reported monthly ASER amount on the Nov. 18, 2009, remittance report was $49,648 and the cumulative ASER reported was $333,986. Standard & Poor's expects a significant loss upon the resolution of this asset. There is also one loan ($11.0 million, 1.1%) that S&P determined to be credit-impaired. The Best Western - Harrisburg loan is secured by an 174-room, six-story, full-service lodging property in Lower Swatara Township, Pa. For the 12-month period ended June 30, 2009, the property reported a DSC of 0.70x, down from 1.04x for the 12-month period ended Dec. 31, 2008. The loan is 60-plus-days delinquent. Consequently, S&P has determined this loan to be at an increased risk of loss. Transaction Summary As of the November 2009 remittance report, the collateral pool has an aggregate trust balance of $1.88 billion, which is approximately 99.5% of the issuance balance. The collateral pool consists of 62 loans, which has not changed since issuance. The master servicer for the transaction is Wachovia Bank N.A. Wachovia provided financial information for 94.9% of the loans in the pool, and 100% of the servicer-provided information was full- year 2008 or interim-2009 data. S&P calculated a weighted average DSC of 1.37x for loans based on the reported figures. S&P's adjusted DSC and LTV were 1.35x and 104.4%, respectively. S&P's adjusted DSC and LTV figures exclude two (4.7%) specially serviced loans, which S&P stressed separately. To date, the transaction has not experienced principal losses. Nineteen loans ($223.6 million, 22.4%) are on the master servicer's watchlist, including two of the top 10 loans, which S&P discuss below. Seven loans ($77.9 million, 7.8%) have reported DSC between 1.0x and 1.10x, and seven loans ($74.3 million, 7.5%) have reported DSC of less than 1.0x. Summary of Top 10 Loans The top 10 exposures have an aggregate outstanding balance of $633.2 million (63.5%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.40x for the top 10 loans. S&P's adjusted DSC and LTV were 1.38x and 98.9%, respectively, for the top 10 loans. One of these loans is with CWCapital, and three are on Wachovia's watchlist. The Kettering Tower loan ($27.8 million, 2.8%) is the seventh- largest loan in the pool and largest loan with the special servicer. The loan is secured by a 484,265-sq.-ft. office property in Dayton, Ohio. The loan was transferred to CWCapital on April 15, 2009, due to a violation of the cash management agreement and is now 60-plus-days delinquent. The loan reported a DSC of 1.05x and 68.7% occupancy for the 12-month period ended Dec. 31, 2008, down from 1.24x and 80.3% at issuance. A May 2009 appraisal valued the property at $37.00 per sq. ft. The Westin-Charlotte loan ($74.5 million, 7.5%) is the fourth- largest loan in the pool and the largest loan on the watchlist. The loan is secured by a 26-story, 700-room, lodging property in downtown Charlotte. The loan reported a DSC of 1.10x and 61.5% occupancy for the 12-month period ended June 30, 2009, down from 1.25x and 72.8%, respectively, at issuance. The master servicer has sprung the lockbox and is monitoring the performance. However, at this time, the borrower does not foresee an issue making future debt service payments. The Memphis Retail Portfolio loan ($25.6 million, 2.6%) is the ninth-largest loan in the pool and the second-largest loan on the watchlist. The loan is secured by five retail properties totaling 145,531-sq.-ft. in Memphis and Collierville, Tenn. The loan reported a DSC of 1.08x and 79.4% occupancy for the six-months ended June 30, 2009, down from 1.26x and 86.7%, respectively, at year-end 2008. The decreases are due to declines in base rent and increased vacancy. The master servicer is in the process of reviewing a loan modification request. The Chicago Hotel Portfolio loan ($24.6 million, 2.5%) is the 10th-largest asset in the pool and the third-largest exposure on the servicer's watchlist. The exposure consists of three cross- collateralized and cross-defaulted loans on three independent boutique hotels in Chicago with a total of 152 rooms. The hotels were built between 1926 and 1929 and renovations were completed on all three properties in 1999. The loan is on the watchlist due to a decline in DSC from 1.26x at issuance. The reported DSC for the 12 months ended June 30, 2009, was 0.75x and occupancy was 64.7%. Management has indicated that it is not concerned with making future debt service payments at this time. Standard & Poor's stressed the loans in the pool according to its conduit/fusion criteria. The resultant credit enhancement levels support the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative LBUBS Commercial Mortgage Trust 2008-C1 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- --------------------- A-M A AAA/Watch Neg 20.20 A-J BBB AAA/Watch Neg 13.26 B BBB- AA+/Watch Neg 11.87 C BB+ AA/Watch Neg 10.73 D BB AA-/Watch Neg 9.97 E BB- A+/Watch Neg 9.09 F B+ A/Watch Neg 8.33 G B+ A-/Watch Neg 7.20 H B+ BBB+/Watch Neg 6.06 J B BBB/Watch Neg 4.80 K B- BBB-/Watch Neg 3.91 L CCC BB+/Watch Neg 3.03 M CCC- BB/Watch Neg 2.53 N CCC- BB-/Watch Neg 2.27 P CCC- B+/Watch Neg 2.15 Q CCC- B/Watch Neg 1.89 S D B-/Watch Neg 1.64 Ratings Affirmed LBUBS Commercial Mortgage Trust 2008-C1 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA 30.30 A-AB AAA 30.30 A-2 AAA 30.30 A-2FL AAA 30.30 X AAA N/A N/A - Not applicable. LEHMAN BROTHERS: Moody's Withdraws Ratings on Various Notes ----------------------------------------------------------- Moody's Investors Service announced that it has withdrawn the ratings of notes issued by certain structured notes transactions listed below that have exposure to Lehman Brothers Holding Inc. Moody's explained that Lehman Brothers Finance S.A. acts as a guarantor of principal in the Transactions and the rating assigned to the Transactions is directly linked to the rating of the Lehman Brothers Holdings Inc., the guarantor of Lehman Brothers Finance S.A. Moody's ratings assigned to LBHI were withdrawn following a bankruptcy filing by that entity. The rating actions are: Anthracite Rated Investments (Cayman) Limited Series 20 (1) First Tranche EUR10,000,000 Capital Protected Notes due 2022; Withdrawn; Previously on December 17, 2008 downgraded to C (2) Second Tranche EUR9,800,000 Capital Protected Notes due 2022; Withdrawn; Previously on December 17, 2008 downgraded to C (3) Third Tranche EUR15,200,000 Capital Protected Notes due 2022; Withdrawn; Previously on December 17, 2008 downgraded to C Anthracite Rated Investments (Cayman) Limited Series 22 (1) Capital Protected Notes due 2018/21 linked to a Portfolio of Funds; Withdrawn; Previously on December 17, 2008 downgraded to C Anthracite Rated Investments (Cayman) Limited Series 24 (1) Principal Protected Notes due 2015 linked to a Portfolio of Funds; Withdrawn; Previously on December 17, 2008 downgraded to C Anthracite Rated Investments (Cayman) Limited Series 25 (1) Minimum Redemption Amount Notes due 2019/22 linked to a Portfolio of Funds; Withdrawn; Previously on December 17, 2008 downgraded to C Anthracite Rated Investments (Cayman) Limited Series 26 (1)Principal Protected Notes due 2023 linked to a Portfolio of Funds; Withdrawn; Previously on December 17, 2008 downgraded to C Anthracite Rated Investments (Jersey) Limited Series 15 (1) Series 15 Principal Protected Bonds due 2013; Withdrawn; Previously on December 17, 2008 downgraded to C Anthracite Rated Investments (Jersey) Limited Series 38 (1) Capital Protected Bonds due 2017 linked to a Portfolio of Funds; Withdrawn; Previously on December 17, 2008 downgraded to C Anthracite Rated Investments (Jersey) Limited Series 52; Withdrawn; Previously on December 17, 2008 downgraded to C (1) Principal Protected Bonds due 2017 linked to a Basket of Hedge Funds Anthracite Rated Investments (Jersey) Limited Series 58 (1) Principal Protected Bonds due 2012 linked to a Basket of Hedge funds; Withdrawn; Previously on December 17, 2008 downgraded to C Anthracite Rated Investments (Jersey) Series 54 (1) Principal Protected Bonds due 2017 linked to a Basket of Hedge Funds; Withdrawn; Previously on December 17, 2008 downgraded to C MERRILL LYNCH: S&P Downgrades Rating on Class M 2006-1 Certs. ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class M commercial mortgage pass-through certificates from Merrill Lynch Floating Trust's series 2006-1. At the same time, S&P affirmed its ratings on 16 other classes from the same transaction and removed all 17 ratings from CreditWatch with negative implications. The downgrade of the class M certificates primarily reflects S&P's concerns about the ability to refinance the loans in the pool, all of which mature in 2011. The downgrade also reflects S&P's revised valuations of the remaining loans in the pool. The affirmations of the principal and interest certificates also reflect S&P's revised valuations of the remaining loans in the pool, as well as increased credit enhancement levels resulting from loan payoffs and paydowns. The affirmations of the class X- 1B, X-3A, X-3B, and X-3C interest-only certificates reflect S&P's current criteria. S&P published a request for comment proposing changes to its IO criteria on June 1, 2009. After S&P finalize its criteria review, S&P may revise its IO criteria, which may affect outstanding ratings, including the ratings on the IO certificates that S&P affirmed. The two largest loans in the pool ($1.2 billion aggregate pooled balance) account for 79.8% of the pooled trust balance. The largest loan in the pool, the Lord & Taylor Portfolio loan, has a whole-loan and trust balance of $651.6 million (44.9% of the pooled trust balance). In addition, the equity interests in the borrower of the whole loan secure $225.0 million of mezzanine debt held outside the trust. The loan is secured by the fee and leasehold interests in a pool of 36 Lord & Taylor stores and one warehouse distribution facility located in eight states and Washington, D.C., as well as the Lord & Taylor corporate offices, which are located at the flagship Fifth Avenue store in Manhattan. The properties are cross-collateralized and cross-defaulted with construction dates between 1915 and 2000. They range in size from 79,420 sq. ft. to 676,042 sq. ft. and aggregate 5.95 million total sq. ft. The master servicer, KeyBank N.A., reported a 5.44x debt service coverage and 100% occupancy for the 12 months ended Aug. 31, 2009. S&P's adjusted valuation is down 11% since issuance due primarily to increased operating expenses, resulting in a loan-to-value ratio of 66.0%. However, the decline in Standard & Poor's adjusted value was offset by a $130.3 million reduction in the whole-loan balance, which occurred in January 2009. At that time, reserve funds were released and applied to the principal balance at the request of the borrower. The loan matures in October 2010 and has one one-year extension option remaining. The second-largest loan, the Trizec Portfolio, has a trust balance of $505.8 million (34.9% of the pooled trust balance) and a whole- loan balance of $595.0 million. The whole loan consists of two pari passu pieces: a $505.8 million component that is included in this transaction and an $89.2 million component that is part of the COMM 2007-FL14 transaction. In addition, the equity interests in the borrower of the whole loan secure $3.1 billion of mezzanine debt held outside the trust. The senior portion of the mezzanine debt ($470.2 million) secures the nonpooled "TM" raked certificate classes, which Standard & Poor's does not rate. The loan is secured by the fee and leasehold interests in 21 cross- collateralized and cross-defaulted office properties totaling 8 million sq. ft. in California, Washington, D.C., New Jersey, Virginia, and Texas. The master servicer, KeyBank N.A., reported a 5.18x DSC as of December 2008 and 84% occupancy as of July 2009. S&P's adjusted valuation is comparable to its level at issuance and results in an LTV of 49.8%. The loan matures in October 2010 and has one one- year extension option remaining. According to the November 2009 trustee remittance report, the pool statistics were: * There were nine loans in the pool, including senior participation interests in five floating-rate mortgage loans and four floating-rate whole-mortgage loans; * There were mortgages on 37 retail properties, 35 office properties, 26 hotel properties, and five health-care properties; and * All of the loans were indexed to one-month LIBOR. Rating Lowered And Removed From Creditwatch Negative Merrill Lynch Floating Trust Commercial mortgage pass-through certificates series 2006-1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- M BB- BB/Watch Neg N/A Ratings Affirmed And Removed From Creditwatch Negative Merrill Lynch Floating Trust Commercial mortgage pass-through certificates series 2006-1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-1 AAA AAA/Watch Neg 70.49 A-2 AAA AAA/Watch Neg 34.12 B AAA AAA/Watch Neg 30.31 C AAA AAA/Watch Neg 26.94 D AAA AAA/Watch Neg 24.69 E AA+ AA+/Watch Neg 19.50 F AA- AA-/Watch Neg 16.29 G A+ A+/Watch Neg 13.24 H A A/Watch Neg 10.44 J A- A-/Watch Neg 7.96 K BBB+ BBB+/Watch Neg 5.46 L BBB BBB/Watch Neg 3.32 X-1B AAA AAA/Watch Neg N/A X-3A AAA AAA/Watch Neg N/A X-3B AAA AAA/Watch Neg N/A X-3C AAA AAA/Watch Neg N/A N/A - Not applicable. MILLSTONE FUNDING: Moody's Withdraws Ratings on 11 Classes ---------------------------------------------------------- Moody's Investors Service announced that it has withdrawn the ratings of 11 classes of notes issued 2 SF CDOs that have completed liquidation of collateral following an Event of Default. In each case Moody's was notified that the Trustee was directed to liquidate the collateral as a post-event-of-default remedy. Moody's has been notified by the respective Trustee that a final distribution of liquidation proceeds has taken place (except for retention of a small amount of residual funds). Issuer: Millstone Funding, Ltd./Millstone Funding Corp. -- US$40,000,000 Cl. A-1 Notes, Withdrawn; previously on April 24, 2009 Downgraded to Ca -- US$10,000,000 Cl. A-2 Notes, Withdrawn; previously on April 24, 2009 Downgraded to C -- US$65,000,000 Cl. B Notes, Withdrawn; previously on December 22, 2008 Downgraded to C Issuer: Alpha Mezz CDO 2007-I, Ltd -- US$325,000,000 Supersenior Swap Notes, Withdrawn; previously on September 23, 2008 Downgraded to Ca -- US$70,000,000 Class II Senior Floating Rate Notes, Withdrawn; previously on September 23, 2008 Downgraded to C -- US$30,000,000 Class III Senior Floating Rate Notes, Withdrawn; previously on September 23, 2008 Downgraded to C -- US$5,000,000 Class IV Senior Floating Rate Notes, Withdrawn; previously on September 23, 2008 Downgraded to C -- US$23,000,000 Class V Mezzanine Floating Rate Deferrable Notes, Withdrawn; previously on May 7, 2008 Downgraded to C -- US$22,500,000 Class VI Mezzanine Floating Rate Deferrable Notes, Withdrawn; previously on May 7, 2008 Downgraded to C -- US$7,000,000 Class VII Mezzanine Floating Rate Deferrable Notes, Withdrawn; previously on May 7, 2008 Downgraded to C -- US$10,000,000 Principal Protected Notes, Withdrawn; previously on April 2, 2008 Aa3 Placed Under Review for Possible Downgrade NOMURA CRE: Fitch Downgrades Ratings on All Classes of Notes ------------------------------------------------------------ Fitch Ratings downgrades all classes of Nomura CRE CDO 2007-2 reflecting Fitch's base case loss expectation of 35.8%. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. A detailed list of rating actions follows at the end of this release. Nomura 2007-2 is primarily collateralized by senior commercial real estate debt (79% of total collateral is either whole loans or A-notes). However, many of these assets are secured by transitional properties that are lagging behind their original business plans. To date, the transaction has an above-average default rate with eight assets currently defaulted, representing 25.4% of the pool. Fitch expects significant losses on the defaulted assets. Offsetting the par haircuts associated with the defaulted assets, the asset manager has purchased 10 assets at discounts ranging from 30% to 98% of par. These discounted purchases have resulted in approximately $22 million of par building for the CDO. Even so, as of the November 2009 trustee report, all overcollateralization tests have breached their respective covenants. As a result, classes D and below are no longer receiving any proceeds. All excess interest proceeds (after class C) and any principal proceeds are currently being redirected to redeem classes A-1 and A-R. Given its expectations of further defaults, Fitch considers it unlikely that classes below the A/B/C OC test will receive any further proceeds over the life of the transaction. Nomura 2007-2 is a $947 million CRE collateralized debt obligation managed by Centerline Capital Group Inc. The transaction has a six-year reinvestment period during which principal proceeds may be used to invest in substitute collateral. The reinvestment period ends in February 2013. As of the November 2009 trustee report and per Fitch categorizations, the CDO was substantially invested: CRE whole loan/A-notes (79.3%), B-notes (10.7%), mezzanine loans (1.5%), commercial mortgage-backed securities (CMBS; 4.9%), and CRE CDOs (3.5%). Under Fitch's updated methodology, approximately 63.4% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 11.9% from third-quarter 2009 trailing-12- month cash flows. Fitch estimates that average recoveries will be low at 43.5%, due to the highly leveraged and transitional nature of the assets. The largest component of Fitch's base case loss expectation is a whole loan (11.3%) secured by an eight-property multifamily portfolio located in Texas, Indiana, Florida, North Carolina, and Tennessee. The sponsor defaulted on the original mezzanine component of the loan in the fourth quarter of 2008, and the mezzanine lender, which is an affiliate of the collateral manager, assumed title to the property. The remaining whole loan matured in October 2009 and was not repaid. This multifamily portfolio is being marketed for sale, and substantial losses are expected. The next largest component of Fitch's base case loss expectation is a whole loan (10.3%) secured by a retail center located in Los Angeles, California. The property underwent a $30 million renovation; however, leasing of the improved property has been slower than expected. The loan's final maturity is in July 2012, but Fitch assumes this loan defaults before maturity under the modeled base case scenario. The third largest component of Fitch's base case loss expectation is class H (3.1%) of MSC 2007-IQ 14, a $4.8 billion conduit CMBS transaction. MSC 2007-IQ 14 is collateralized by 423 commercial real estate loans; its highest property type concentration is office at 38.0%, and its highest geographic concentration is California at 12.8%. Defaulted loans currently total 7.7% of the pool. This transaction was analyzed according to the 'U.S. CREL CDO Surveillance Criteria,' which applies stresses to property cash flows and uses debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs.' Based on this analysis, the breakeven rates for classes A-1 and A-R are generally consistent with the 'BB' rating category, and the breakeven rates for class A-2 are generally consistent with the 'B' rating category. The ratings for classes B through O are based on a deterministic analysis which considers Fitch's base case loss expectation for the pool and the current percentage of defaulted assets factoring in anticipated recoveries relative to each class's credit enhancement, as well as the likelihood for OC tests to cure. Based on this analysis, classes B and C are consistent with the 'CCC' rating category, meaning default is a real possibility given Fitch's base case loss expectation of 35.8%, which is higher than these classes' current credit enhancements. Ratings for classes D through F are deemed to be consistent with the 'CC' rating category, meaning default appears probable given current defaulted assets of 25.4%, which is higher, but proximate to these classes' current credit enhancements. Ratings for classes G through O are deemed to be consistent with the 'C' rating category, as Fitch considers a default on these classes to be inevitable. The current percentage of defaulted assets, factoring in Fitch's anticipated recoveries, either exceeds or is close to each of these classes' respective credit enhancement. Classes A-1, A-R and A-2 were each assigned a Negative Rating Outlook reflecting Fitch's expectation of further negative credit migration of the underlying collateral. These classes were also assigned Loss Severity ratings of 'LS3' for classes A-1 and A-R, and 'LS5' for class A-2. The LS ratings indicate each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the expected loss for the collateral under the 'B' stress. LS ratings should always be considered in conjunction with probability of default indicated by a class' long-term credit rating. Fitch does not assign Rating Outlooks or LS ratings to classes rated 'CCC' or lower. Classes B through O were assigned Recovery Ratings to provide a forward-looking estimate of recoveries on currently distressed or defaulted structured finance securities. Recovery Ratings are calculated using Fitch's cash flow model, and incorporate Fitch's current 'B' stress expectation for default and recovery rates (63.4% and 43.5%, respectively), the 'B' stress US$ LIBOR up- stress, and a 24-month recovery lag. All modeled distributions are discounted at 10% to arrive at a present value and compared to the class's tranche size to determine a Recovery Rating. The assumptions for the 'B' stress US$ LIBOR up-stress scenario are found in the report, 'Fitch US$ LIBOR Stresses' (July 31, 2009), available on Fitch's web site at 'www.fitchratings.com'. The assignment of 'RR5' to class B reflects modeled recoveries of 25% of its outstanding balance. The expected recovery proceeds are broken down: -- Present value of expected principal recoveries ($10.3 million); -- Present value of expected interest payments ($7.2 million); -- Total present value of recoveries ($17.5 million); -- Sum of undiscounted recoveries ($36.1 million). Classes C through O are assigned a Recovery Rating of 'RR6' as the present value of the recoveries in each case is less than 10% of the principal balance of the security. Fitch has downgraded and assigned Rating Outlooks, LS and Recovery ratings to these classes: -- $471,131,250 class A-1 to 'BB/LS3' from 'AAA'; Outlook Negative; -- $75,000,000 class A-R to 'BB/LS3' from 'AAA'; Outlook Negative; -- $60,681,250 class A-2 to 'B/LS5' from 'AAA'; Outlook Negative; -- $70,537,500 class B to 'CCC/RR5' from 'AA'; -- $26,600,000 class C to 'CCC/RR6' from 'AA-'; -- $27,075,000 class D to 'CC/RR6' from 'A+'; -- $20,425,000 class E to 'CC/RR6' from 'A'; -- $21,612,500 class F to 'CC/RR6' from 'A-'; -- $24,937,500 class G to 'C/RR6' from 'BBB+'; -- $20,187,500 class H to 'C/RR6' from 'BBB'; -- $25,175,000 class J to 'C/RR6' from 'BBB-'; -- $22,800,000 class K to 'C/RR6' from 'B'; -- $8,787,500 Class L to 'C/RR6' from 'B'; -- $5,700,000 Class M to 'C/RR6' from 'B'; -- $8,075,000 Class N to 'C/RR6' from 'B'; -- $12,825,000 Class O to 'C/RR6' from 'B-'. Additionally, all classes are removed from Rating Watch Negative. PANIOLO CABLE: Moody's Downgrades Ratings on Series A to 'B1' ------------------------------------------------------------- Moody's Investors Service has downgraded the Baa3 and Ba2 ratings of Paniolo Cable Company, LLC's Senior Secured Series A and Second Lien Series B Notes to B1 and B3 respectively. The ratings remain under review with direction uncertain. The downgrades consider that unless the Federal Communications Commission's reverses the National Exchange Carrier Association's decision to deny the request by Sandwich Isles Communications, Inc., the lessee of Paniolo's fiber optic network, for recovery of costs associated with the lease, the notes are very likely to default. Paniolo's notes are secured by lease payments from SIC as well as a lien on the network itself. The uncertain direction of the watchlist reflects the possibility that the bonds could be upgraded if the FCC ultimately directs NECA to fulfill SIC's request for cost recovery. Depending upon the portion of its costs that SIC is able to recover, the rating could potentially return to investment grade. If the FCC upholds NECA's determination, however, the ratings are likely to be downgraded by several more notches because of the very high probability of default that would result and the relatively low recovery prospects given the high cost of the network coupled with excess capacity and low level of demand. Though SIC hopes to be able to let some of the capacity from Paniolo, it is almost entirely dependent upon reimbursements from NECA to recover its lease costs. All of SIC's claims related to the $15 million in annual Paniolo lease expense have been rejected by NECA, including those expected to be covered by both Interstate Access Charges and the Universal Service Fund High Cost Loop Support. (NECA continues to reimburse SIC in full for its other expenses not related to Paniolo and there is no expectation that it will cease doing so.) If SIC does not receive reimbursement in full from NECA, it is likely to have great difficulty fulfilling its obligations to Paniolo and meeting its other financing obligations in Moody's view. SIC's obligations under the Paniolo lease are significantly larger than all of its other debt obligations combined and the payments from NECA associated with the lease were expected to constitute a substantial portion of its total revenues. As of the end of 2008, SIC had just $137 million in debt outstanding, compared to the $214 million in debt associated with the Paniolo lease. SIC has limited financial flexibility and resources available to it and it cannot cancel or reduce its obligation to Paniolo as a result of the NECA determination. Even in the scenario developed by SIC's financial consultant, in which SIC recovers approximately $10-11 million annually from NECA (based upon reimburseability rather than cost recovery), SIC's net income would fall to just $1.4 million in 2010. NECA formed its operating budget for 2009 based upon requests from participating RLECs before its tariff was approved for the year. As a result, the costs associated with Paniolo were included in the 2009 budget prior to NECA's determination not to support them. The next debt service payment is due February 20. NECA reportedly makes payments to SIC on a quarterly basis. It is not clear when the FCC will rule in this case. Paniolo has a debt service reserve equal to $8 million, or maximum quarterly debt service (quarterly debt service is currently approximately $4.2 million), and a business interruption reserve equal to $4 million. On their own, the reserves are not quite sufficient to cover three quarters of debt service on the notes. This could forestall a default in the event that payments from NECA are temporarily interrupted pending the FCC's ruling. If the FCC delivers an adverse ruling as a result of which SIC is unable to make its lease payments, however, Moody's believes that both SIC and Paniolo could potentially file for bankruptcy before the reserves are exhausted. Regardless, the reserves will not be sufficient to prevent a default for long under such a circumstance. Paniolo is 100% levered and equity does not get compensated until the debt has been fully repaid, providing the company's sponsors little incentive to provide it support. Regardless, the sponsors do not appear to have the ability to provide significant support. Though SIC may have access to current cash balances of its parent, the Waimana Group, in the event that reimbursements from NECA are reduced, these total just $14 million. The two-notch distinction between the ratings assigned to the senior and subordinated notes reflects the lower recovery prospects for the subordinated notes in the event of a default. Beyond rights to their dedicated debt service reserve fund, subordinated noteholders have no rights in the event of a payment default. However, SIC's obligation to Paniolo is to make a single lease payment, which is intended to be sufficient to service both the senior and subordinated notes. As a result, it is unlikely that Paniolo would default on just the subordinated notes, which in any case represent a relatively small portion of its capital structure. The last rating action on Paniolo was on September 17, 2009, when ratings on the Senior Secured Series A Notes and the Second Lien Series B Notes were downgraded to Baa3 and Ba2 respectively from A3 rating Baa2. Paniolo's rating was assigned by evaluating factors believed to be relevant to the credit profile of the issuer. These attributes were compared against other issuers both within and outside of Paniolo's core peer group and Paniolo's rating is believed to be comparable to ratings assigned to other issuers of similar credit risk. Paniolo Cable Company, LLC, is a limited liability company, formed under the laws of the State of Delaware, specifically to undertake the Hawaiian submarine telecommunication system project. PASS-THROUGH AUCTION: S&P Raises Rating on Two Certs. to 'BB' ------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on Pass- Through Auction Market Preferred Securities Series 2007-1's class A and B certificates to 'BB' from 'B'. The ratings on the notes are dependent on the lower of S&P's issue ratings on the two underlying securities: (i) the Merrill Lynch & Co. Inc.'s noncumulative perpetual floating-rate preferred series 5 notes ('BB'); and (ii) the Merrill Lynch & Co. Inc.'s noncumulative perpetual floating-rate preferred series 2 notes ('BB'). The upgrades reflect the Dec. 4, 2009, upgrade of S&P's ratings on the two underlying securities to 'BB' from 'B'. PPLUS TRUST: Moody's Downgrades Ratings on SPR-1 Certs. to 'Ba3' ---------------------------------------------------------------- Moody's Investors Service announced that it has downgraded its rating of these certificates issued by PPLUS Trust Series SPR-1: -- US$42,515,000 PPLUS Trust Series SPR-1 7.00% Trust Certificates, Downgraded to Ba3; previously on December 23, 2008 Downgraded to Ba2 The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the Moody's rating of the Underlying Securities which are $43,297,000 6.875% Notes due 2028 issued by Sprint Capital Corporation and which were downgraded to Ba3 by Moody's on November 20, 2009. PPLUS TRUST: Moody's Downgrades Ratings on Two Classes of Certs. ---------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the rating of these certificates issued by PPLUS Trust Series LMG-3: -- PPLUS Class A 7.00% Trust Certificates Series LMG-3, Downgraded to B1; previously on September 18, 2008 Ba2 Placed Under Review for Possible Downgrade -- PPLUS Class B 1.25% Trust Certificates Series LMG-3, Downgraded to B1; previously on September 18, 2008 Ba2 Placed Under Review for Possible Downgrade The transaction is a structured note whose ratings are based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the Moody's rating of the Underlying Securities which are 8.25% Senior Debentures due 2030 issued by Liberty Media Corporation and which were downgraded to B1 by Moody's on November 20, 2009. PREFERRED PASS-THROUGH: S&P Raises Ratings on Two Certs. to 'BB' ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on Preferred Pass-Through Trust 2006-B's class A and B certificates to 'BB' from 'B'. The ratings on the class A and B certificates are dependent on the credit rating on the underlying security, Bank of America Corp.'s noncumulative perpetual floating-rate preferred stock series E notes. The rating actions reflect the Dec. 4, 2009, upgrade of the underlying security to 'BB' from 'B'. PREFERREDPLUS TRUST: Moody's Cuts Ratings on LMG-2 Certs. to 'B1' ----------------------------------------------------------------- Moody's Investors Service announced that it has downgraded these certificates issued by PREFERREDPLUS Trust Series LMG-2: -- $31,000,000 PREFERREDPLUS 8.50% Trust Certificates, Downgraded to B1; previously on September 18, 2008 Ba2 Placed Under Review for Possible Downgrade The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of 8.50% Debentures due 2029 issued by Liberty Media Corporation which was downgraded to B1 by Moody's on November 20, 2009. PREFERREDPLUS TRUST: Moody's Downgrades Ratings on LMG-1 Certs. --------------------------------------------------------------- Moody's Investors Service announced that it has downgraded these certificates issued by PREFERREDPLUS Trust Series LMG-1: -- $125,875,000 PREFERREDPLUS 8.75% Trust Certificates, Downgraded to B1; previously on September 18, 2008 Ba2 Placed Under Review for Possible Downgrade The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of 8.25% Senior Debentures due 2030 issued by Liberty Media Corporation which were downgraded to B1 by Moody's on November 20, 2009. PREFERREDPLUS TRUST: S&P Raises Rating on $25 Mil. Certs. to 'BB' ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on PreferredPlus Trust Series CCR-1's $25 million trust certificates to 'BB' from 'B'. The rating on the certificates is dependent solely on S&P's issue rating on the underlying security, Countrywide Capital III's 8.05% subordinated capital income securities series B due June 15, 2027. The upgrade reflects the Dec. 4, 2009, upgrade of the rating on the underlying security to 'BB' from 'B'. RUBY FINANCE: Moody's Withdraws 'C' Ratings on $50 Mil. Notes ------------------------------------------------------------- Moody's Investors Service announced that it has withdrawn the rating of these notes issued by Ruby Finance Public Limited Company Series 2007-4: -- US$50,000,000 Partly Paid Notes due 2019, Withdrawn; previously on December 17, 2008 Downgraded to C The transaction is a structured note whose rating is based on the underlying securities and legal structure of the transaction. The rating action is a result of the withdrawal of the Moody's rating of the underlying securities, which are the $50,000,000 Aspen Noah, Limited Notes. Aspen Noah, a structured note, is exposed to Lehman Brothers International (Europe), guaranteed by Lehman Brothers Holding Inc., which acts as a swap counterparty in the Aspen Noah transaction. The ratings for Lehman Brothers Holding Inc. were withdrawn following its bankruptcy filing. SALT CREEK: S&P Downgrades Rating on Class B-6$L 2005-1 Notes ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class B-6$L note issued by Salt Creek High Yield CSO 2005-1 Ltd., a synthetic collateralized debt obligation of high-yield corporate bonds transaction. S&P also withdrew its 'AAA' rating on the A- 1EL notes and its 'AA' rating on the A-3 notes from this deal. The ratings were previously on CreditWatch with negative implications. The downgrade follows a number of write-downs of underlying reference entities, which have caused the class of notes to incur principal losses. The rating withdrawals follow the complete paydown of the notes. Rating Lowered Salt Creek High Yield CSO 2005-1 Rating Balance (mil.) ------ -------------- Class To From Current Previous ----- -- ---- ------- -------- B-6$L CC CCC- 0.932 2.000 Ratings Withdrawn Salt Creek High Yield CSO 2005-1 Rating Balance (mil.) ------ -------------- Class To From Current Previous ----- -- ---- ------- -------- A-1EL NR AAA/Watch Neg 0.00 33.0 A-3 NR AA/Watch Neg 0.00 19.5 NR - Not rated. SAN DIEGO NATURAL: Moody's Junks Ratings on 1998 Certs. From 'B1' ----------------------------------------------------------------- Moody's Investors Service has downgraded to Caa2 from B1, the rating on San Diego Natural History Museum's Series 1998 Certificates of Participation issued through the County of San Diego and has revised the outlook to negative from stable. The downgrade and outlook revision reflects Moody's ongoing concerns about the financial health of the Museum. Despite optimism that recently successful visiting exhibits might stabilize operating margins and boost liquidity, forecasts for FY2009 have not been met and operations remains weaker than expected. The Museum has also been reliant upon an operating line of credit which is fully drawn and expired on October 31, 2009. The Museum is currently negotiating terms for repayment. Should the Museum be unable to negotiate favorable terms, more significant financial pressure could be realized leading to additional pressure on the rating. The legal structure of the bonds is also relatively weak, with no mortgage or deed of trust on the land or building occupied by the Museum, but a security interest in gross revenues of the Museum's operations. There is a debt service reserve fund. Legal Security: The bonds are secured by certificates of participation issued by the County of San Diego. Payments on the certificates are secured by the general obligation of the Museum, with a security interest in gross revenues, as defined in the sublease agreement. There is a debt service reserve fund. There is no mortgage or deed of trust on the land or building occupied by the Museum. Debt-Related Derivatives: None Following significant success with two visiting exhibits in fiscal 2008, the Museum has not been able to meet operating projections given weaker than expected admissions and membership revenues along with limited fundraising. Due in part to current economic challenges, the Museum's most recent visiting exhibit Bodyworlds, which ran from April 2008 to October 2009, did not reach expected admission goals. In particular, visitorship fell 40-50% short of projections for the summer months. In total, the Museum had 378,087 visitors in FY2009 compared to 674,309 in FY2008. Management notes membership levels have also been trending downward as expected, but have fallen below budget with 6,345 members as of September 30, 2009, compared to a high of 11,444 at the end of June 30, 2008. The Museum has planned for several exhibits in FY2010 and 2011 that are more closely aligned to its mission of promoting natural history of the Southwest region. An exhibit on Darwin is set to run from November 2009 through February 2010 and an exhibit on Baja California will run from September 2009 to January 2010. Management expects visitor-ship similar to FY2007 levels of approximately 70,000 visitors per quarter. At this time, attendance is tracking slower than expected. Given the lower than expected attendance and limited gift revenues, FY2009 results were weaker than anticipated, with an operating margin (as calculated by Moody's) measuring at negative 22%. FY2009 operations also relied on a maximum draw of $2.57 million on an operating line of credit with Bank of America to prepare for the Bodyworld's exhibit. At this time, the Museum maintains a $2 million draw on the operating line which has had its maximum limit reduced to the current balance. Management has made several major expenditure reductions for the FY2010 budget including the elimination of 15 positions, ending the 401K match to employees and mandatory salary reductions. With these reductions, management expects break-even operations; however the budget also assumes that no repayment is required on the outstanding line of credit and an estimated 300,000 of admissions. At this time, it appears admissions and gift revenues remain below targeted amounts and Moody's remain concerned the Museum will not be able to meet budgeted goals. The Museum does receive annual support of approximately $400,000 from the City of San Diego through tourism related sales tax revenues and $100,000 from the County of San Diego through discretionary funds, however it is unlikely that the City or County will provide extraordinary support to the Museum. Unexpected extraordinary support from the City or County would could significantly impact the rating positively. Due to the Museum's heavy reliance on the operating line, the Museum's liquidity continues to remain a serious concern. The Museum has a $2 million outstanding draw on its line of credit which officially expired on October 31, 2009. Should the Museum be unable to negotiate favorable terms for repayment of this line, more significant financial pressure could be realized leading to additional pressure on the rating given limited liquidity. In FY2009, unrestricted financial resources measured at negative $3.5 million and total cash measured at a limited $1.9 million. Management notes liquidity has weakened further since the end of the fiscal year. Thus, Moody's remains very concerned as the Museum expects to pay the scheduled debt service payment of $750,450 on January 1, 2010, leaving very minimal cash to fund operations. Management notes December is typically a strong month for fundraising, which should provide some liquidity for January operations; however fundraising overall continues to remain weak given the current economy. At the end of FY2009, the Museum also maintained $7.5 million of investments although the majority of investments are permanently restricted. Due to investment volatility, the Museum endowment experienced a negative 22% investment return in FY2009, but management notes a positive 20% fiscal year to date return as of September 30th. The current asset allocation of the endowment is 58% domestic equities, 15% international equities and 27% fixed income. Outlook The rating has been revised to negative from stable reflecting Moody's ongoing concerns about financial operations of the Museum and its ability to maintain adequate operating cash flow to meet monthly expenditures. The outlook also incorporates uncertainty surrounding the Museum's ability to negotiate a favorable repayment plan for the Museum's outstanding operating line of credit. What could change the rating-UP Robust growth in financial resources and liquidity, coupled with trend of more stabilized and balanced operating performance with no declining on operating lines What could change the rating - DOWN Continued shortfalls in operating performance or attendance; failure to negotiate favorable repayment of outstanding operating line balance. Key Indicators (Fiscal year 2009 audited financial data - 6/30/2009): * Total Direct Debt: $16.6 million * Total Cash and Investments: $10.6 million * Total Financial Resources: $8.3 million * Expendable Financial Resources: - $1.7 million * Expendable Resources to Debt: -0.12 times * Expendable Resources to Operations: - 0.10 times * Operating Margin: -21.8% * Operating Cash Flow Margin: -4.2% Rated Debt: * Series 1998 Certificates of Participation: Caa2 The last rating action with respect to San Diego Natural History Museum was on December 23, 2008, when the B1 rating was affirmed and the outlook was revised to stable from positive. SASCO 2007-BHC1: S&P Downgrades Ratings on 12 Classes of Notes -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 12 classes from SASCO 2007-BHC1 Trust, a re-REMIC transaction. At the same time, S&P affirmed one rating and removed it from CreditWatch with negative implications, and 14 ratings remain on CreditWatch with negative implications. The downgrades reflect S&P's analysis of the transaction following its rating actions on 33 commercial mortgage-backed securities certificates that serve as underlying collateral for SASCO 2007- BHCI. The certificates are from 17 transactions and the securities have total balance of $201.6 million (40.2% of the pool balance). The downgrades to 'D' on classes P and Q reflect interest shortfalls to the classes over the last nine months, which S&P expects to continue for the foreseeable future. The ratings remaining on CreditWatch negative reflect the transaction's exposure to CMBS collateral with ratings on CreditWatch negative ($204.6 million, 41%). S&P affirmed the rating on the class X interest-only certificates based on S&P's current criteria. S&P published a request for comment proposing changes to its IO criteria on June 1, 2009. Once the criteria review is finalized, S&P may revise its current IO criteria, which may affect outstanding ratings, including the rating on the class X certificates from SASCO 2007-BHCI. According to the Nov. 23, 2009, trustee report, SASCO 2007-BHCI is collateralized by 88 CMBS certificates ($501.3 million, 100%) from 42 distinct transactions issued between 2004 and 2006. SASCO 2007-BHCI has significant exposure to Standard & Poor's downgraded CMBS includes: * JPMorgan Chase Commercial Mortgage Securities Trust series 2006- LDP7 (classes G and H; $30 million, 6%); * LB-UBS Commercial Mortgage Trust series 2006-C7 (classes G, H, J, and K; $25 million, 5%); * LB-UBS Commercial Mortgage Trust series 2006-C3 (classes G, J, and K; $17 million, 3.4%); * Credit Suisse Commercial Mortgage Trust series 2006-C3 (class G; $15.7 million, 3.1%); and * GS Mortgage Securities Trust series 2006-GG6 (classes G, J, and K; $15 million, 3.0%). S&P will update or resolve the CreditWatch negative placements on SASCO 2007-BHCI in conjunction with S&P's CreditWatch resolutions of the underlying CMBS assets. Ratings Lowered And Remaining On Creditwatch Negative SASCO 2007-BHC1 Trust Commercial mortgage-backed securities pass-through certificates Rating ------ Class To From ----- -- ---- A-2 BB+/Watch Neg BBB-/Watch Neg B BB/Watch Neg BB+/Watch Neg C B+/Watch Neg BB/Watch Neg D B+/Watch Neg BB/Watch Neg E B/Watch Neg BB-/Watch Neg F B-/Watch Neg B+/Watch Neg G CCC+/Watch Neg B+/Watch Neg H CCC-/Watch Neg B-/Watch Neg J CCC-/Watch Neg CCC+/Watch Neg K CCC-/Watch Neg CCC/Watch Neg Ratings Lowered And Removed From Creditwatch Negative SASCO 2007-BHC1 Trust Commercial mortgage-backed securities pass-through certificates Rating ------ Class To From ----- -- ---- P D CCC-/Watch Neg Q D CCC-/Watch Neg Rating Affirmed And Removed From Creditwatch Negative SASCO 2007-BHC1 Trust Commercial mortgage-backed securities pass-through certificates Rating ------ Class To From ----- -- ---- X AAA AAA/Watch Neg Ratings Remaining On Creditwatch Negative SASCO 2007-BHC1 Trust Commercial mortgage-backed securities pass-through certificates Class Rating ----- ------ A-1 A+/Watch Neg L CCC-/Watch Neg M CCC-/Watch Neg N CCC-/Watch Neg SATURN VENTURES: S&P Downgrades Ratings on Four Classes of Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on four classes of notes from Saturn Ventures II Ltd., a cash flow collateralized debt obligation transaction, and on one class of notes from Zais Investment Grade Ltd. VIII, a hybrid CDO transaction. At the same time, S&P removed these ratings from CreditWatch with negative implications. In addition, S&P affirmed its 'CC' ratings on two other classes from Zais Investment Grade Ltd.. These transactions are backed predominantly by mezzanine tranches of residential mortgage-backed securities. The rating actions follow S&P's receipt of notices from the trustees that a majority of the controlling class of noteholders has directed the trustees to proceed with the liquidations of the collateral backing the rated notes. The rating actions are consistent with the criteria S&P use to assess ratings on CDO transactions subject to acceleration or liquidation after an event of default has occurred. S&P previously received notices that the transactions had experienced EODs according to the transactions' indentures. Rating Actions Rating ------ Transaction Class To From ----------- ----- -- ---- Zais Investment Grade Ltd. VIII A-1 CCC- BB/Watch Neg Saturn Ventures II Ltd. A-1 CCC- BB/Watch Neg Saturn Ventures II Ltd. A-2 CC CCC/Watch Neg Saturn Ventures II Ltd. A-3 CC CCC/Watch Neg Saturn Ventures II Ltd. B CC CCC/Watch Neg Ratings Affirmed Transaction Class Rating ----------- ----- ------ Zais Investment Grade Ltd. VIII C CC Zais Investment Grade Ltd. VIII D CC SATURNS SPRINT: Moody's Downgrades Ratings on Two 2003-2 Certs. --------------------------------------------------------------- Moody's Investors Service announced that it has downgraded its rating of these certificates issued by SATURNS Sprint Capital Corporation Debenture Backed Series 2003-2: -- US$30,000,000 of 8.625% Callable Units due March 15, 2032, Downgraded to Ba3; previously on December 23, 2008 Downgraded to Ba2 -- US$30,000,000 Notional Amount of Interest-Only 0.0816% Class B Callable Units Due March 15, 2032, Downgraded to Ba3; previously on December 23, 2008 Downgraded to Ba2 The transaction is a structured note whose ratings are based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the Moody's rating of the Underlying Securities which are $30,000,000 8.750% debentures due March 15, 2032 issued by Sprint Capital Corporation and which were downgraded to Ba3 by Moody's on November 20, 2009. SATURNS TRUST: S&P Raises Rating on $63 Mil. Units to 'BB' ---------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on SATURNS Trust Series 2001-6's $63 million units to 'BB' from 'B'. The rating on the units is dependent on the lower of the issue credit rating on the underlying security, BankAmerica Institutional Capital A's 8.07% preferred capital securities series A notes due Nov. 30, 2026 ('BB'); and the issuer credit rating on the swap guarantor, Morgan Stanley (A/Negative/A-1). The rating action reflects the Dec. 4, 2009, upgrade of the underlying security to 'BB' from 'B'. SIGNUM FINANCE: S&P Withdraws 'BB' Rating on Class E Notes ---------------------------------------------------------- Standard & Poor's Ratings Services withdrew its 'BB' rating on the class E notes issued by Signum Finance II PLC's series 2005-5, a synthetic emerging market collateralized debt obligation transaction. The rating withdrawal follows the termination of the transaction, as stated in the termination deed S&P received. SOLAR TRUST: Moody's Affirms Ratings on Eight 2002-1 Certificates ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of eight classes and downgraded three classes of Solar Trust Commercial Mortgage Pass-Through Certificates, Series 2002-1. The downgrades are due to higher expected losses for the pool resulting from increased leverage of the conduit component, anticipated losses from several highly leveraged watchlisted loans and refinancing risk associated with loans approaching maturity in an adverse environment. Four loans, representing 10% of the pool, mature within the next 36 months and have a Moody's stressed debt service coverage less than 1.0X. The affirmations are primarily due to key rating parameters, including Moody's loan to value ratio, Moody's DSCR and the Herfindahl Index, remaining within acceptable ranges. In addition, the pool has benefited from increased credit subordination due to loan payoffs and amortization as well as increased defeasance. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the November 30, 2009 distribution date, the transaction's aggregate certificate balance has decreased by 29% to $190.6 million from $266.6 million at securitization. The Certificates are collateralized by 49 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans representing 58% of the pool. The pool contains one loan, representing 8% of the pool, with an investment grade underlying rating. At last review, the Hotel Novotel Loan, which represents 9% of the pool, also had an underlying rating. However, because of a decline in performance which resulted in increased leverage, the loan is now analyzed as part of the conduit. Eleven loans, representing 11% of the pool, have defeased and are now collateralized by U.S. Government securities, compared to 4% at last review. Eight loans, representing 13% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. The pool has not experienced any losses since securitization and currently there are no loans in special servicing. Moody's has identified three troubled loans, representing 3% of the pool, with a high default probability and has estimated an aggregate $1.0 million loss (17% loss severity on average) from these troubled loans. Moody's rating action recognizes potential uncertainty around the timing and magnitude of loss from these troubled loans. Moody's was provided with full-year 2008 operating results for 93% of the pool. Excluding troubled loans, Moody's weighted average LTV ratio is 80% compared to 73% at Moody's prior review. Excluding troubled loans, Moody's actual and stressed DSCRs are 1.81X and 1.98X, respectively, compared to 1.55X and 1.54X at last review. Moody's stressed DSCR is based on Moody's net cash flow (NCF) and a 9.25% stressed rate applied to the loan balance. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's uses a variation of Herf 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 is 40. The pool has a Herf of 19 compared to 27 at last review. The loan with an underlying rating is the Chateaugay Centre Loan ($15.7 million -- 8% of the pool), which is secured by a 211,000 square foot enclosed retail center located Chateaugay, Quebec, a submarket of Montreal. The property was 96% leased as of February 2009. The center is anchored by Super C and Hart. Performance has been stable. Moody's current underlying rating and stressed DSCR are Aa3 and 2.14X, respectively, compared to Aa3 and 2.02X at last review. The three largest conduit loans represent 24% of the pool. The largest conduit loan is the Hotel Novotel Loan ($16.9 million -- 9% of the pool), which is secured by a 62-room full service hotel located in downtown Toronto, Ontario. Performance has declined since last review due to a drop off in tourist and business travel. Occupancy and revenue per available room for year-to-date ending October 2009 were 68% and $89, respectively, compared to 80% and $118 in 2008. Moody's LTV and stressed DSCR are 100% and 1.25X, respectively, compared to 57% and 2.17X at last review. The second largest conduit loan is the Langley Gate Shopping Centre Loan ($14.9 million -- 8% of the pool), which is secured by a 152,000 square foot retail center located in the Langley suburb of Vancouver, British Columbia.. The property was 100% leased as of February 2009. The center is anchored by Sears Home and Home Sense. Performance has improved due to increase in rental revenues and loan amortization. Moody's LTV and stressed DSCR are 56% and 1.78X, respectively, compared to 80% and 1.25X at last review. The third largest loan is the Parkland Mall Loan ($12.9 million -- 7% of the pool), which is secured by a 268,000 square foot enclosed retail center located in Yorkton, Saskatchewan. The property was 80% leased as of February 2009. The center is anchored by Zellers, IGA and Shoppers Drug Mart. Moody's LTV and stressed DSCR are 78% and 1.42X, respectively, compared to 80% and 1.39X at last review. Moody's rating action is: -- Class A-1, $23,983,875, affirmed at Aaa; previously assigned at Aaa on 12/11/2002 -- Class A-2, $127,959,000, affirmed at Aaa; previously assigned at Aaa on 12/11/2002 -- Class IO, Notional, affirmed at Aaa; previously assigned at Aaa on 12/11/2002 -- Class B, $8,665,000, affirmed at Aaa; previously upgraded to Aaa on 4/6/2006 -- Class C, $7,999,000, affirmed at A1; previously upgraded to A1 on 4/6/2006 -- Class D, $6,665,000, affirmed at Baa1; previously upgraded to Baa1 on 4/6/2006 -- Class E, $2,667,000, affirmed at Baa2; previously upgraded to Baa2 on 4/6/2006 -- Class F, $3,999,000, affirmed at Ba2; previously assigned at Ba2 on 12/11/2002 -- Class G, $1,333,000, downgraded to B1 from Ba3; previously assigned at Ba3 on 12/11/2002 -- Class H, $2,667,000, downgraded to Caa1 from B2; previously assigned at B2 on 12/11/2002 -- Class J, $665,000, downgraded to Caa2 from B3; previously assigned at B3 on 12/11/2002 STRUCTURED ENHANCED: Fitch Withdraws Ratings on $47.5 Mil. Notes ---------------------------------------------------------------- Fitch Ratings has withdrawn its rating on the $47,500,000 of notes issued by Structured Enhanced Return Vehicle Trust, series 2004-1. On Dec. 3, 2009, Fitch downgraded the rating of SERVES 2004-1 from 'CCC' to 'C'. Fitch's downgrade was based on the lower indicative rating of the market value risk and the credit risk of the portfolio. For more information regarding the recent downgrade, please see the press release titled 'Fitch Downgrades SERVES 2004- 1', dated Dec. 3, 2009. Subsequently, on Dec. 9, 2009, Fitch received an amendment to the indenture which removed Fitch from the transaction documents as per the request of the sole Class A noteholder. Therefore, the decision to withdraw the rating is driven by a lack of investor interest and Fitch's expectation that it will no longer receive ongoing transaction information. SERVES 2004-1 is a synthetic total rate of return collateralized loan obligation with a market value termination trigger. The transaction closed on Nov. 10, 2004, and is managed by PPM America, Inc. STRUCTURED REPACKAGED: Moody's Downgrades Ratings on 2004-2 Certs. ------------------------------------------------------------------ Moody's Investors Service announced that it has downgraded these certificates issued by Structured Repackaged Asset-Backed Trust Securities Trust for Sprint Capital Corporation Securities, Series 2004-2: -- $38,000,000 6.500% STRATS, Series 2004-2, Class A-1 Certificates, Downgraded to Ba3; previously on December 23, 2008 Downgraded to Ba2 The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of $38,000,000 6.875% Notes due 2028 issued by Sprint Capital Corporation which were downgraded to Ba3 by Moody's on November 20, 2009. TABERNA PREFERRED: Fitch Downgrades Ratings on Four Classes ----------------------------------------------------------- Fitch Ratings has downgraded four classes of notes and affirmed six classes of notes from Taberna Preferred Funding III, Ltd./Inc., following a payment default on scheduled interest due. A full list of rating actions follows at the end of this press release. The downgrades incorporate the transaction's non-payment of the full interest due to the class A-1A, A-1C, A-2A and A-2B notes (collectively, the class A notes) on the Nov. 9, 2009 payment date. In addition, the class B-1 and B-2 notes (together, the class B notes) missed their scheduled interest distribution for the second consecutive payment date. Available interest proceeds were insufficient to pay the $5 million interest rate hedge payment, causing $1.1 million to be diverted from principal proceeds in the priority of payments. The class A-1A notes received only 74.2% of their $823,811 interest due. This partial interest payment, along with the non-payment to the remaining class A and B notes are considered payment defaults. Taberna III entered into an Event of Default as a result of the partial non-payment of interest to the class B notes on Aug. 5, 2009. Fitch received a notice of an event of default as of Aug. 11, 2009, followed by a notice of acceleration as of Sept. 3, 2009. These notes are backed by $740.6 million of trust preferred securities and subordinated debt issued by subsidiaries of real estate investment trusts, real estate operating companies, homebuilders and specialty finance companies, as well as commercial mortgage-backed securities. The important factor for Fitch's downgrade is the failure to make timely payments to classes whose rating addresses the ability of the issuer to make timely interest payments. Fitch has taken these actions: -- $369,730,731 class A-1A downgraded to 'D' from 'BB'; -- $9,278,061 class A-1C downgraded to 'D' from 'BB'; -- $38,500,000 class A-2A downgraded to 'D' from 'B'; -- $15,000,000 class A-2B downgraded to 'D' from 'B'; -- $91,250,000 class B-1 affirmed at 'D'; -- $7,500,000 class B-2 affirmed at 'D'; -- $38,921,840 class C-1 affirmed at 'C'; -- $57,653,254 class C-2 affirmed at 'C'; -- $48,435,453 class D affirmed at 'C'; -- $37,342,197 class E affirmed at 'C'. In addition, the class A notes have been removed from Rating Watch Negative. TABERNA PREFERRED: Fitch Downgrades Ratings on Three Classes ------------------------------------------------------------ Fitch Ratings has downgraded three classes and affirmed eight classes of notes from Taberna Preferred Funding IV, Ltd./Inc. following a payment default. On the Nov. 5, 2009 payment date, the class A-1 notes received partial accrued interest, while the class A-2 and A-3 notes did not receive any interest payments. The downgrades incorporate the non-payment of the full interest due to the class A-1, A-2 and A-3 notes (collectively, the class A notes). All available interest proceeds were exhausted when paying requisite transaction expenses, the hedge counterparty and approximately 68.4% of the $629,011 of periodic interest due to the class A-1 notes. This partial payment to the A-1 notes and non-payment to the A-2 and A- 3 notes is considered a payment default. During October 2009, two obligors representing $54.8 million of collateral defaulted on their interest payments, decreasing available interest proceeds to the transaction. On the Nov. 5, 2009 payment date, 83.8% of the available interest proceeds were paid to the hedge counterparty. Interest rate hedging strategies employed at the onset of the deal have moved into deep 'out-of- the-money' positions as three-month LIBOR has remained at historically low levels. The combined impact of decreased interest proceeds from portfolio securities, as well as increased payments to the swap counterparty led to an interest shortfall to the senior-most notes in Taberna IV as of the Nov. 5, 2009 payment date. Taberna IV entered into an Event of Default on Aug. 11, 2009 as a result of the partial non-payment of interest to the class B notes. Fitch subsequently received notice from the Trustee on Sept. 3, 2009 that the majority of the controlling class voted to accelerate the maturity of the transaction. These notes are backed by $639 million of trust preferred securities and subordinated debt issued by subsidiaries of real estate investment trusts, real estate operating companies, homebuilders and specialty finance companies, as well as senior debt securities and commercial mortgage-backed securities. The important factor for Fitch's downgrade is the failure to make timely payments to classes whose rating addresses the ability of the issuer to make timely interest payments. Fitch has taken these actions: -- $292,363,212 class A-1 notes downgraded to 'D' from 'BBB', removed from Rating Watch Negative; -- $50,000,000 class A-2 notes downgraded to 'D' from 'BB', removed from Rating Watch Negative; -- $20,000,000 class A-3 notes downgraded to 'D' from 'B', removed from Rating Watch Negative -- $81,450,000 class B-1 notes affirmed at 'D'; -- $7,000,000 class B-2 notes affirmed at 'D'; -- $47,859,377 class C-1 notes affirmed at 'C'; -- $21,661,028 class C-2 notes affirmed at 'C'; -- $39,041,229 class C-3 notes affirmed at 'C'; -- $23,225,722 class D-1 notes affirmed at 'C'; -- $15,145,176 class D-2 notes affirmed at 'C'; -- $27,863,358 class E notes affirmed at 'C'. TRIAXX FUNDING: Moody's Downgrades Ratings on Class B-1 to 'C' -------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Triaxx Funding High Grade I, Ltd.: -- US$80,000,000 Class B-1 Mezzanine Floating Rate Notes Due 2047, Downgraded to C; previously on March 2, 2009 Downgraded to Ca. Moody's rating actions reflect the further deterioration in the market value and credit quality of the Issuer's portfolio, which consists of prime RMBS with a preponderance of Alt A mortgages. The rating actions also reflect increased concerns about the uncertainties arising from the potential for acceleration of the Notes or liquidation of the collateral should the current Event of Default continue. As provided in Section 5 of the Indenture, during the occurrence and continuance of an Event of Default, a majority of the Controlling Class may vote to accelerate the payments on the Notes by declaring the principal of all the Notes to be immediately due and payable. Although the Repurchase Counterparty (also the Controlling Class) has agreed to forbear from exercising certain of its rights and remedies under the Master Repurchase Agreement and Indenture until January 25, 2010, upon the expiration of the forbearance period, it may take possession of the collateral under the Master Repurchase Agreement as a result of the Issuer's missed margin payments and the cross default caused by the Issuer's failure of the Portfolio Coverage Ratio 3% threshold, and or exercise its right under the Indenture to accelerate the transaction. In addition, after acceleration and if the trustee determines that the anticipated net proceeds of a liquidation of collateral will not be sufficient to discharge the full amounts then due and unpaid on the Notes, administrative expenses and amounts due under the Master Repurchase Agreement and certain loan and hedge agreements, 66 2/3% of the Controlling Class and 66 2/3% of each of the Class B, C and D Notes may direct the trustee to proceed with the sale and liquidation of the collateral. The severity of any potential losses to the Notes may depend on the timing and choice of these remedies following an Event of Default. As a result of these uncertainties and the portfolio deterioration mentioned in the previous paragraph, the Class B-1 Notes was downgraded. In concluding its review, Moody's performed a liquidation sensitivity analysis based on the current market value of the portfolio provided by the trustee monthly report, the result of which formed the basis for the rating actions. Triaxx Funding High Grade I, Ltd., is a Structured Investment Vehicle - Lite managed by ICP Asset Management LLC. TRICADIA CDO: Moody's Downgrades Ratings on Class A-1L to 'Caa3' ---------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of one class of notes issued by Tricadia CDO 2005-3, Ltd.: -- US$155,000,000 Class A-1L Floating Rate Notes Due June 2041 (current balance of $131,574,419), Downgraded to Caa3; previously on Jul 21, 2009 Downgraded to Caa1 and Remained On Review for Possible Downgrade Additionally, Moody's has confirmed the ratings of this class of notes: -- US$5,000,000 Class X Notes Due June 2010 (current balance of $824,690), Confirmed at Ba1; previously on Jul 21, 2009 Downgraded to Ba1 and Remained On Review for Possible Downgrade Tricadia CDO 2005-3, Ltd., is a collateralized debt obligation issuance backed primarily by a portfolio of CLOs. CLOs comprise approximately 89% of the portfolio. The rating downgrade actions take into consideration deterioration in the credit quality of the underlying portfolio as reflected in the recent rating actions taken with respect to underlying 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 July 2009. The Trustee reports that the WARF of the portfolio is 3444 as of November 17, 2009, and also reports defaulted assets in the amount of $62.9 million. Moody's has been notified that the Issuer, as reported by the Trustee on June 29, 2009, experienced an event of default because the A-1L and A-2 L Overcollateralization ratio 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 Debt Securities and the Notes, including liquidation. The Issuer is exposed to a significant concentration 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 a sale and liquidation of the Collateral. The actions consider the risk that liquidation of the Collateral may be selected as the post-Event of Default remedy and may cause the change of payment priority of certain classes. According to Section 11.1(d) of the Indenture, if liquidation and final distribution occur before the scheduled maturity of the Class X Notes, the payment of interest and principal to Class X and Class A-1L will proceed on a pro rata basis, thus lowering Class X's payment priority in the Issuer's capital structure. 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 on Class X Notes. The rating on the Class X Notes is confirmed at its current level due to the approaching scheduled maturity date of the tranche in June 2010. TRICADIA CDO: Moody's Downgrades Ratings on Six 2003-1 Notes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of six classes of notes issued by Tricadia CDO 2003-1, Ltd. The notes affected by the rating action are: -- US$76,500,000 Class A-1LA Floating Rate Notes Due February 2016, Downgraded to B2; previously on Jul 17, 2009 Downgraded to Baa3 and Remained On Review for Possible Downgrade -- US$8,500,000 Class A-1LB Floating Rate Notes Due February 2016, Downgraded to Caa3; previously on Jul 17, 2009 Downgraded to Ba3 and Remained On Review for Possible Downgrade -- US$85,000,000 Class A-2L Floating Rate Notes Due February 2016, Downgraded to Caa1; previously on Jul 17, 2009 Downgraded to Ba1 and Remained On Review for Possible Downgrade -- US$35,000,000 Class A-3L Floating Rate Notes Due February 2016, Downgraded to Ca; previously on Jul 17, 2009 Downgraded to B3 and Remained On Review for Possible Downgrade -- US$12,000,000 Class A-4L Floating Rate Notes Due February 2016, Downgraded to C; previously on Jul 17, 2009 Downgraded to Caa2 and Remained On Review for Possible Downgrade -- US$20,000,000 Class B-1L Floating Rate Notes Due February 2016, Downgraded to C; previously on Jul 17, 2009 Downgraded to Caa3 and Remained On Review for Possible Downgrade Tricadia CDO 2003-1, Ltd., is a collateralized debt obligation issuance backed primarily by a portfolio of collateralized loan obligations. CLOs comprise approximately 92% of the portfolio, of which a majority are from the 2003 vintage. The rating downgrade actions take into consideration the deterioration in the credit quality of the underlying portfolio as evidenced by the recent rating actions taken with respect to underlying 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 39% of the underlying assets have been downgraded since Moody's last review of the transaction in July 2009. The trustee reports that the WARF of the portfolio is 3922 as of November 19, 2009, and also reports defaulted assets in the amount of $38.7 million. Moody's also observes that the transaction is exposed to a significant concentration of mezzanine and junior CLO tranches in the underlying portfolio. Since the last review of this transaction in July 2009, Moody's has completed its two-stage review of U.S. CLOs. Some of the underlying securities in the portfolio experienced more severe rating action than was anticipated at the time of last review. Due to the recent completion by Moody's of Stage II of the U.S. CLO review, ratings assigned to notes issued by the Issuer that were on review for possible downgrade will no longer remain on review for possible downgrade. 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. UBS COMMERCIAL: Fitch Puts Ratings on Notes on Negative Watch ------------------------------------------------------------- Fitch Ratings has placed 20 classes of UBS Commercial Mortgage Trust series 2007-FL1, commercial mortgage pass-through certificates on Rating Watch Negative. A detailed list of rating actions follows at the end of this press release. The Negative Watch is due to the deteriorating performance of many loans in the pool. The pool has a high concentration of hotel loans at approximately 45% which have been severely affected by the economic downturn. Many of the loans were made based on business plans which have become have become less feasible in the current economic climate. These include four loans (16%) secured by land intended for development (one of which is in foreclosure), four loans (13%) secured by office properties with significant vacancies, two loans (11%) secured by under-performing multi- family properties and one loan (2%) secured by a portfolio of skilled nursing facilities. Additionally, the largest loan sponsor in the pool, Dubai Holdings (2 loans, 16% of the pool), has recently defaulted on other securitized loans and has had a significant deterioration in financial condition. Fitch will resolve the Rating Watch Negative when current financial information becomes available. It is expected that classes B through O will have ratings downgrades of at lease one category. Fitch Ratings has placed these classes on Rating Watch Negative: -- $901.2 million class A-1 'AAA' -- Interest-only class X 'AAA' -- $309.5 million class A-2 'AA'; -- $57.3 million class B 'A+'; -- $31 million class C 'A'; -- $27.2 million class D 'A-'; -- $27.2 million class E 'BBB'; -- $27.2 million class F 'BB+'; -- $27.2 million class G 'BB-'; -- $29.1 million class H 'B+'; -- $27.1 million class J 'B'; -- $27.1 million class K 'B-' -- $35 million class L 'CCC/RR1'; -- $6.7 million class M-MP'B-'; -- $7 million class N-MP 'B-'; -- $16.3 million class O-MP 'B-'; -- $5 million class O-HW 'BBB-'; -- $1.9 million class O-MD 'BBB-'; -- $4.5 million class O-WC 'BB-'; -- $3 million class O-BH 'BB-'. UBS COMMERCIAL: Moody's Downgrades Ratings on Two 2007-FL1 Certs. ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings of two pooled classes of UBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-FL1. Pooled classes E and F had been placed on review for possible downgrade on September 3, 2009 due to concerns about potential interruption in operations of the Maui Prince Hotel which is the collateral for the second largest loan in the pool. Since then, the transition to a new management company at the property has occurred and other operational issues are being addressed without any interruption to the operations of the hotel. However, since the September 3, 2009 rating action, new credit concerns have arisen relating to sponsor exposure to subsidiaries of Dubai World. On November 26, 2009, Moody's downgraded the ratings of six government-related issuers in Dubai and left them on review for possible downgrade. This rating action was in response to the announcement by the Dubai government of a restructuring of Dubai World, including a requested standstill of all financings to Dubai World and its subsidiary, Nakheel. Neither Dubai World nor Nakheel are rated by Moody's. However, the restructuring of the parent company creates uncertainty for subsidiaries. As a result, the default risk for the two loans in the pool with exposure to Dubai World, both of which are underperforming, has increased prompting the downgrades. This action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. The affected loans in this pool are the Essex House and W Hotel Washington DC which together represent approximately 16% of the trust balance. Furthermore, these two properties are not generating sufficient net cash flow from operations to service their respective trust debt amount. Both loans have significant subordinate non-trust debt which Moody's expect will significantly limit the loss given default on the trust debt based on Moody's sustainable value. As of the November 14, 2009 remittance report both loans are current. Moody's also affirmed ten pooled and five non-pooled or "rake" classes. This concludes Moody's review of this transaction. The largest loan in the pool is secured by a fee interest in Jumeirah Essex House ($186.5 million, or 12% of the trust balance) located in Midtown Manhattan on Central Park South. The sponsor for the 515-room full-service hotel and ten condominium units is Dubai Investment Group Limited and Dubai Holdings LLC. The property completed a $91 million renovation ($176,700 per room) in the fourth quarter of 2007. This is a flagship property for the Jumeirah brand in the US. The loan is scheduled to mature on September 9, 2010, and the final maturity date including extension options is September 9, 2012. There is an additional $117 million of non-trust junior component and $32 million of mezzanine debt. The property's net cash flow for the first six months of 2009 was negative and experienced a significant decline from that of the same period last year. Moody's believes that the current net cash flow performance is not reflective of the inherent value of this asset. Trophy assets such as the Essex House, located in a high barrier to entry market are highly desirable to hotel operators and owners. However, Moody's also recognize that the sponsor must come out of pocket to "carry" the asset until cash flow recovers along with improving market conditions. The ability to carry the property becomes more doubtful given the potentially weaker financial strength of the sponsor. Moody's values remains unchanged from last review at $179 million. The W Washington DC Hotel Loan ($65 million pooled balance plus a $5 million non-pooled or 'rake' bond) is the ninth largest loan (4% of the trust balance) in the pool. The loan is secured by fee simple interest in 317-full service hotel built in 1988 and renovated between 2007 and 2008 at a cost of $62 million, or $182,000 per key. The hotel is located two blocks form the White House and has unobstructed views of the White House, Ellipse and Washington Monument. There is an additional $70 million of non- trust junior component and a mezzanine loan of $20 million. The sponsor is Istithmar Building FZE, a subsidiary of Dubai World. Moody's value is $72 million, down 30% from a value of $103 million at securitization. The hotel re-opened after a major renovation in July 2009. Although Washington DC's lodging market outperformed those of other major gateway cities in the US, the property is not expected to generate positive net cash flow in the foreseeable future unless there is an immediate and significant improvement in lodging demand. The loan was structured with debt service reserve of $17.7 million at securitization which is almost depleted. As of the November 16, 2009 distribution date, the transaction's aggregate certificate balance has decreased by approximately 2% to $1.56 billion from securitization. The Certificates are collateralized by 27 mortgage loans ranging in size from 1% to 12% of the pool, with the top three loans representing 31% of the pool. Hotels account for 55% of the trust balance. There is additional exposure to volatile property types such as land (3% of the trust balance) and healthcare (2% of the trust balance). Moody's weighted average pooled loan to value ratio remains at 88% same as last review. Moody's weighted average trust debt service coverage ratio is 1.00X compared to 1.12X at last review. The pool has not experienced any losses since securitization. There are two loans totaling $214 million, or approximately 14% of the trust balance, currently in special servicing. The Maui Prince Hotel Loan, the second largest loan in the pool ($162.5 million of pooled balance plus $30 million of rake bonds), accounts for approximately 12% of the trust balance. The loan transferred to special servicing on June 18, 2009, and a foreclosure with the appointment of a receiver was filed on September 8, 2009. A new management company was hired effective September 16, 2009, and is currently in the process of addressing operational issues. Moody's value for this asset is $195 million. Moody's does not rate the three rake bonds associated with this loan (Classes M-MP, N-MP and O-MP). The second loan in special servicing, Altantic Towers Loan ($21.6 million, or 1% of the trust balance), was transferred to special servicing on May 1, 2009. The loan is secured by two acres of land located in Washington, D.C., which was slated for a multifamily development. The final maturity date for this loan was May 9, 2009. The new appraised value as of July 2009 was $15.8 million, 78% below the appraised value at securitization. This has resulted in appraisal reduction amount of $7.2 million. The special servicer is pursuing the appointment of a receiver. Moody's rating action is: -- Class A-1, $891,562,394, Affirmed at Aaa; previously on January 15, 2008 Assigned Aaa -- Class X, Notional, Affirmed at Aaa; previously on January 15, 2008 Assigned Aaa -- Class A-2, $309,526,000, Affirmed at Aa1; previously on March 5, 2009 Downgraded to Aa1 -- Class B, $57,309,000, Affirmed at A1; previously on March 5, 2009 Downgraded to A1 -- Class C, $31,074,000, Affirmed at A3; previously on March 5, 2009 Downgraded to A3 -- Class D, $27,190,000, Affirmed at Baa1; previously on March 5, 2009 Downgraded to Baa1 -- Class E, $27,191,000, Downgraded to Baa3; previously on September 3, 2009 Baa2 Placed Under Review for Possible Downgrade -- Class F, $27,190,000, Downgraded to Ba1; previously on September 3, 2009 Baa3 Placed Under Review for Possible Downgrade -- Class G, $27,190,000, Affirmed at Ba2; previously on September 3, 2009 Downgraded to Ba2 -- Class H, $29,132,000, Affirmed at B1; previously on September 3, 2009 Downgraded to B1 -- Class J, $27,190,000, Affirmed at B3; previously on September 3, 2009 Downgraded to B3 -- Class K, $27,190,000, Affirmed at Caa1; previously on September 3, 2009 Downgraded to Caa1 -- Class O-HW, $5,000,000, Affirmed at B1; previously on September 3, 2009 Downgraded to B1 -- Class O-MD, $1,900,000, Affirmed at Ba3; previously on September 3, 2009 Downgraded to Ba3 -- Class O-WC, $4,500,000, Affirmed at B2; previously on September 3, 2009 Downgraded to B2 -- Class O-SA, $2,000,000, Affirmed at B3; previously on September 3, 2009 Downgraded to B3 -- Class O-HA, $1,500,000, Affirmed at Caa1; previously on September 3, 2009 Downgraded to Caa1 WACHOVIA BANK: Fitch Takes Rating Actions on Nine 2005-C19 Certs. ----------------------------------------------------------------- Fitch Ratings takes various rating actions on nine classes of Wachovia Bank Commercial Mortgage Trust, series 2005-C19, commercial mortgage pass-through certificates including downgrades of eight classes. A detailed list of rating actions follows at the end of this press release. The downgrades are the result of Fitch's loss expectations and its prospective views regarding cash flow declines and commercial real estate market values. Fitch forecasts potential losses of 3.1% for this transaction, should market conditions not recover. The rating actions are based on the full losses of 3.1% as a majority of loans mature in the next five years. The bonds with Negative Rating Outlooks indicate classes that may be downgraded in the future. To determine potential defaults for each loan, Fitch assumed cash flow would decline by 10% from year-end 2008. That is consistent with the analysis used in its review of recent vintage transactions whereby cash flow was assumed to decline 15% from year-end 2007 projected over a three-year period. If the stressed cash flow would cause the loan to fall below 0.95 times debt service coverage ratio, Fitch assumed the loan would default during the term. To determine losses, Fitch used the above stressed cash flow and applied a market cap rate by property type, ranging between 7.5% and 9.5%, to derive a value. If the loan balance at default is less than Fitch's derived value, the loan would realize that amount of loss. These loss estimates were reviewed in more detail for loans representing 64.2% of the pool and, in certain cases, revised based on additional information and/or property characteristics. Loss expectations attributed to loans reviewed in detail represent approximately 95% of the 3.1%. Approximately 45.6% of the mortgages mature within the next five years: 20.7% in 2010, 11.4% in 2011, 13% in 2012, none in 2013 and 0.5% in 2014. An additional 54.2% are scheduled to mature in 2015. Fitch identified nine Loans of Concern (17.1%) within the pool, two of which (6%) are in the top 15 loans (60.8%). One of the Loans of Concern in the top 15 is specially serviced (2.7%) and the other is a portfolio of cross-collateralized and cross- defaulted retail property loans (3.3%). Of the top 15 loans, the two Loans of Concern are assumed to default during the term. Twelve of the remaining top 15 loans may default at based on an insufficient accrued equity position as calculated in Fitch's refinance test; however, no losses are expected at this time on eight of the twelve loans. A loan would pass the refinance test if the stressed cash flow would achieve a 1.25x DSCR as calculated based on a 30-year amortization schedule and an 8% coupon. The largest contributors of term and maturity loss are: 50 West 23rd Street (4.8% of the pool); the O'Fallon Walk, Valparaiso Walk, and Valley Walk crossed portfolio (3.3%); and 240 West 40th Street (0.6%). The 50 West 23rd Street loan is secured by a 333,959 square foot, 13-story office building located between Fifth Avenue and Avenue of the Americas in the Chelsea area of Manhattan. The reported occupancy is 96.9% as of the October 2009 rent roll and the reported debt service coverage ratio as of June 2009 was 1.52x on an interest-only basis. The Midtown South submarket has continued to see vacancies increase with average rents decreasing, according to CBRE's third quarter 2009 office market report for Manhattan. The sponsor is Joseph Moinian. The O'Fallon Walk, Valparaiso Walk, and Valley Walk crossed loan portfolio comprises over 300,000 sf of retail space located in O'Fallon, MO, Valparaiso, IN and Aurora, IL. The largest crossed property is O'Fallon Walk, located 30 miles west of St. Louis, which had a reported occupancy as of June 2009 of 79.2%, compared to 83.3% at issuance. The property lost its second largest tenant, Linens 'N Things, and its third largest tenant, Old Navy, which is vacating under a co-tenancy clause prior to its lease expiring in 2010. All three properties reported a June 2009 DSCR at or below 1.0x. The loans began amortizing in 2008 after an initial 36 month interest-only period. As of the November 2009 remittance, the loan is greater is 30 days delinquent. The 240 West 40th Street loan is secured by the land and improvements located at 240 West 40th Street in Midtown Manhattan. The reported occupancy is 98.6% as of the June 2009 rent roll. The largest tenant, Donna Karan New York, which represents approximately 91.9% of the net rentable area, has lease expiration in 2016. The loan began amortizing in 2008 after an initial 36 month interest-only period. The loan sponsor is Sitt Asset Management. The only loan in special servicing is Centennial Tower (2.7%), a 638,363-sf office building located in downtown Atlanta, GA. The asset transferred to special servicing in November 2009 for imminent default. The loan is scheduled to mature in June 2010, and the borrower is seeking a loan extension in order to lease up the building. Per the September 2009 rent roll, occupancy is 78.8% with 60% of the lease expected to expire in the next four years. Occupancy at issuance was 73%. There is a $20.5 million B-note held outside of the trust. Fitch has downgraded, removed from Rating Watch Negative, and assigned Loss Severity ratings and Rating Outlooks to these classes as indicated: -- $20.2 million class F to 'BBB-/LS5' from 'BBB+'; Outlook Stable; -- $16.1 million class G to 'BB/LS5' from 'BBB'; Outlook Stable; -- $20.2 million class H to 'BB/LS5' from 'BBB-'; Outlook Stable; -- $8.1 million class J to 'B/LS5' from 'BB+'; Outlook Negative; -- $8.1 million class K to 'B-/LS5' from 'BB'; Outlook Negative; -- $6.1 million class L to 'B-/LS5' from 'BB-'; Outlook Negative; -- $4 million class M to 'B-/LS5' from 'B+'; Outlook Negative; -- $2 million class N to 'B-/LS5' from 'B'; Outlook Negative. Fitch has affirmed, removed from Rating Watch Negative, assigned a LS rating and Rating Outlook to this class as indicated: -- $4 million class O at 'B-/LS5'; Outlook Negative. Fitch also affirms these classes and assigns LS ratings and Rating Outlooks as indicated: -- $220.9 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $75 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $179 million class A-4 at 'AAA/LS1'; Outlook Stable; -- $202.2 million class A-5 at 'AAA/LS1'; Outlook Stable; -- $52.6 million class A-PB at 'AAA/LS1'; Outlook Stable; -- $237.3 million class A-6 at 'AAA/LS1'; Outlook Stable; -- $115.4 million class A-1A at 'AAA/LS1'; Outlook Stable; -- $80.7 million class A-FL at 'AAA/LS3'; Outlook Stable; -- $80.7 million class A-M at 'AAA/LS3'; Outlook Stable; -- $100.9 million class A-J at 'AAA/LS3'; Outlook Stable; -- Interest only class X-P at 'AAA'; Outlook Stable; -- Interest only class X-C at 'AAA'; Outlook Stable; -- $40.4 million class B at 'AA/LS4'; Outlook Stable; -- $20.2 million class C at 'AA-/LS5'; Outlook Stable; -- $32.3 million class D at 'A/LS4'; Outlook Stable; -- $16.1 million class E at 'A-/LS5'; Outlook Stable. Fitch does not rate the $24.2 million class P. Class A-1 is paid in full. * Moody's Reviews Ratings on Nine Series of Rental Car Notes ------------------------------------------------------------ Moody's places select rental car asset backed securities on review for possible upgrade. Moody's has placed on review for possible upgrade nine series of rental car asset backed notes issued by three different sponsors. These reviews for possible upgrades reflect, to varying degrees according to the related sponsor, improved rental car fleet diversification, improved outlook for the Detroit 3 vehicle manufacturers, shorter remaining life of the transactions, and, in the case of Dollar Thrifty, an upgrade in the corporate rating of the sponsor. The underlying ratings reflect the intrinsic credit quality of the notes in the absence of the transaction's guarantee from monoline insurance. The current ratings on the below notes are consistent with Moody's practice of rating insured securities at the higher of the guarantor's insurance financial strength rating and any underlying rating. Complete Rating Actions: Issuer: Avis Budget Rental Car Funding (AESOP) LLC * Series Description: Series 2003-4 Rental Car Asset-Backed Notes -- Class Description: Class A-4 -- Current Rating: Ba3 Placed Under Review for Possible Upgrade; previously on Jun 16, 2009 Upgraded to Ba3 -- Underlying Rating: Ba3 Placed Under Review for Possible Upgrade; previously on Jun 16, 2009 Upgraded to Ba3 -- Financial Guarantor: Syncora Guarantee Inc., formerly XL Capital Assurance (Ca; previously on 3/9/2009 Downgraded to Ca from Caa1) * Series Description: Series 2005-4 Rental Car Asset-Backed Notes -- Class Description: Class A-1, A-2 and A-3 -- Current Rating: Ba3 Placed Under Review for Possible Upgrade; previously on Apr 13, 2009 Downgraded to Ba3 -- Financial Guarantor: Ambac Assurance Corporation (Caa2; previously on 7/29/2009 Downgraded to Caa2 from Ba3) * Series Description: Series 2006-1 Rental Car Asset-Backed Notes -- Current Rating: Ba1 Placed Under Review for Possible Upgrade; previously on Jun 16, 2009 Upgraded to Ba1 -- Financial Guarantor: MBIA Insurance Corporation (B3; previously on 2/18/2009 Downgraded to B3 from Baa1) * Series Description: Series 2007-2 Rental Car Asset-Backed Notes -- Current Rating: Ba1 Placed Under Review for Possible Upgrade; previously on Jun 16, 2009 Upgraded to Ba1 -- Financial Guarantor: Ambac Assurance Corporation (Caa2; previously on 7/29/2009 Downgraded to Caa2 from Ba3) Issuer: Hertz Vehicle Financing LLC * Series Description: Series 2005-1 Rental Car Asset-Backed Notes -- Class Description: Class A-1, A-2, A-3, A-4 and A-5 -- Current Rating: Baa2 Placed Under Review for Possible Upgrade; previously on Feb 18, 2009 Downgraded to Baa2 -- Financial Guarantor: MBIA Insurance Corporation (B3; previously on 2/18/2009 Downgraded to B3 from Baa1) * Series Description: Series 2005-2 Rental Car Asset-Backed Notes -- Class Description: Class A-1, A-2, A-3, A-4, A-5 and A-6 -- Current Rating: Baa2 Placed Under Review for Possible Upgrade; previously on Apr 13, 2009 Downgraded to Baa2 -- Financial Guarantor: Ambac Assurance Corporation (Caa2; previously on 7/29/2009 Downgraded to Caa2 from Ba3) Issuer: Rental Car Finance Corp. * Series Description: Series 2005-1 Rental Car Asset-Backed Notes -- Class Description: Class A-1 and A-2 -- Current Rating: Caa2 Placed Under Review for Possible Upgrade; previously on Mar 9, 2009 Downgraded to Caa2 -- Underlying Rating: Caa2 Placed Under Review for Possible Upgrade; previously on Jan 27, 2009 Downgraded to Caa2 -- Financial Guarantor: Syncora Guarantee Inc., formerly XL Capital Assurance (Ca; previously on 3/9/2009 Downgraded to Ca from Caa1) * Series Description: Series 2006-1 Rental Car Asset-Backed Notes -- Class Description: Class A -- Current Rating: Caa1 Placed Under Review for Possible Upgrade; previously on Jul 29, 2009 Downgraded to Caa1 -- Underlying Rating: Caa1 Placed Under Review for Possible Upgrade; previously on Jan 27, 2009 Downgraded to Caa1 -- Financial Guarantor: Ambac Assurance Corporation (Caa2; previously on 7/29/2009 Downgraded to Caa2 from Ba3) * Series Description: Series 2007-1 Rental Car Asset-Backed Notes -- Class Description: Class A -- Current Rating: Caa1 Placed Under Review for Possible Upgrade; previously on Jan 27, 2009 Downgraded to Caa1 -- Underlying Rating: Caa1 Placed Under Review for Possible Upgrade; previously on Jan 27, 2009 Downgraded to Caa1 -- Financial Guarantor: Financial Guaranty Insurance Company (rating withdrawn; previously rated Caa3 on 3/25/2009) The primary asset backing the notes is the monthly lease payments owed by the related sponsoring rental car company under an operating lease, as well as a pool of vehicles comprising the bulk of the sponsor's daily rental car fleet, including both program vehicles (acquired vehicles subject to repurchase, or guaranteed a minimum depreciation or resale value, by the related auto manufacturer at pre-set prices) and non-program vehicles (acquired vehicles that do not benefit from such repurchase or guaranteed depreciation agreements). The vehicles are owned by a bankruptcy- remote entity, referred to as the lessor, which may also be the issuer or be an affiliate of the issuer. The sponsor and/or operating affiliates act as lessees. The key factors in Moody's rating analysis include the probability of default of the sponsor, the likelihood of a bankruptcy or default by the auto manufacturers providing vehicles to the rental car fleet owned by the lessor, and the recovery rate on the rental car fleet in case the rental car sponsor defaults. Monte Carlo simulation modeling was used to assess the impact on bondholders of these variables. The default probability of the sponsor is simulated based on its current corporate probability of default rating and Moody's idealized default rates. For surveillance purposes, in the event that an upgrade above the initial rating is being considered, Moody's stress the rating of the sponsor as lessee to provide a limited degree of de-linkage of the rated ABS from the corporate rating of the sponsor, otherwise, the current rating of the sponsor is used. All of the sponsoring rental car companies fleets include both program vehicles and non-program vehicles (also known as 'risk' vehicles). Under the terms of the simulation, in cases where the related sponsor does not default it is assumed that bondholders are repaid in full and no liquidation of the lessor's rental car fleet is necessary. In cases where the sponsor does default, the lessor's fleet must be liquidated in order to repay their secured loans to the Issuer, and ultimately the bondholders. In those cases, the default probability of the related auto manufacturers must also be simulated. Due to the Detroit Three's current highly uncertain credit status, their defaults were simulated based on estimates for probability of default provided by Moody's corporate analysts that incorporated the likelihood of both Chapter 7 and Chapter 11 bankruptcies. The default probability of other manufacturers is derived from their respective ratings. For each manufacturer simulated to be in Chapter 11, Moody's further simulate whether each such manufacturer will honor its obligation with respect to program vehicles or default on that obligation. In simulating liquidation of the rental car fleet following a sponsor default, it is assumed that the portion of the program vehicle fleet associated with non-defaulting manufacturers (both non-bankrupt manufacturers and bankrupt Chapter 11 manufacturers honoring their program obligations) is returned to the related manufacturer at full book value. For the non-program (risk) fleet, as well as the portion of the program fleet associated with defaulting manufacturers not honoring obligations on their program vehicles, it is assumed the vehicles will be sold in the open market. For vehicles sold in the open market, the market value of a vehicle at time of liquidation before any haircuts are applied is estimated using market depreciation data from the National Automobile Dealers Association (NADA) for each manufacturer with vehicles in the collateral pool. In making this calculation Moody's generally assume a purchase price for program and non- program (risk) vehicles which is 10% below MSRP, to give credit to the volume discounts typically achieved by rental car companies. However, in the case of Avis Budget, Moody's assume the discount for non-program (risk) vehicles is 15% to reflect both the terms required under the transaction documentation and historic performance. In addition, Moody's assume a delay in sale of six months and therefore net an additional six months of depreciation. This six month delay in fleet liquidation following the sponsor's default contemplates potential legal challenges to obtaining control of the fleet and the potential difficulties of marshaling and selling such a large quantity of vehicles. The base liquidation value of sold vehicles is determined by applying a base haircut to this estimated depreciated market value. The base haircut is simulated using a triangular distribution (i.e., minimum, mode, maximum) with values of (5%, 15%, 30%). The resulting calculation provides the base liquidation value. Additional haircuts may be applied to the base liquidation value depending on the manufacturer's simulated status: non-bankrupt, bankrupt Chapter 11 or bankrupt Chapter 7. No further haircuts are applied to either (i) non-program (risk) and program vehicles from non-bankrupt manufacturers or (ii) program vehicles from bankrupt Chapter 11 manufacturers who are assumed to honor their program obligations. However, in all other cases, the base liquidation value is further reduced. For bankrupt Chapter 11 manufacturers, Moody's reduce the base liquidation of their non- program (risk) vehicles and their program vehicles whose obligations are assumed not to be honored by multiplying the base liquidation value by a haircut, which is simulated using a triangular distribution with input parameters (14%, 18%, 19%). For manufacturers assumed to be in Chapter 7, Moody's reduce base liquidation value of their vehicles by multiplying the base liquidation value by a haircut, which is simulated using a triangular distribution with input parameters (25%, 35%, 50%). * Moody's Takes Rating Actions on Various Structured Note Deals --------------------------------------------------------------- Moody's Investors Service announced that it has taken rating action on these structured note transactions listed below. Moody's explains that these Transactions are structured as direct pass-throughs of underlying securities each of which have experienced recent rating actions due to the revision to Moody's methodology for rating bank hybrid and subordinate debt announced by Moody's on November 18, 2009. The rating actions are: Deal: $45,548,550 8.20% Corporate-Backed Trust Securities Certificates issued by CorTS Trust for First Union Institutional Capital I -- Tranche: $1,821,942 8.20% Corporate-Backed Trust Securities Certificates; Downgraded to Baa2; Previously on April 23, 2009 Downgraded to A3 -- Underlying security: 8.04% Capital Securities due December 1, 2026 issued by First Union Institutional Capital I Deal: ABN AMRO North America Holding Preferred Capital Repackaging Trust I -- Tranche: $850,000,000 6.523% Fixed/Floating Noncumulative Trust Securities; Upgraded to Ba3; Previously on August 21, 2009 B3, Placed on review for upgrade -- Underlying security: Floating Rate Non-Cumulative Company Preferred Securities each issued by an indirect subsidiary of ABN AMRO North America Holding Company Deal: Auction Pass-Through Trust 2006-1 -- Tranche: $50,600,000 Class A Certificates; A3, Placed on review for downgrade; Previously on June 17, 2009 Downgraded to A3 -- Tranche: $12,650,000 Class B Certificates; A3, Placed on review for downgrade; Previously on June 17, 2009 Downgraded to A3 -- Underlying security: Series F Floating Rate Preferred Stock and Series G Floating Rate Preferred Stock issued by HSBC USA Inc. Deal: Auction Pass-Through Trust 2006-3 -- Tranche: $120,000,000 Class A Certificates; Upgraded to Ba3; Previously on August 21,2009 B3, Placed on review for upgrade -- Tranche: $30,000,000 Class B Certificates; Upgraded to Ba3; Previously on August 21,2009 B3, Placed on review for upgrade -- Underlying security: Series 4 Floating Rate Non-Cumulative Preferred Stock issued by Merrill Lynch Deal: Auction Pass-Through Trust 2006-4 -- Tranche: $120,000,000 Class A Certificates; Upgraded to Ba3; Previously on August 21,2009 B3, Placed on review for upgrade -- Tranche: $30,000,000 Class B Certificates; Upgraded to Ba3; Previously on August 21,2009 B3, Placed on review for upgrade -- Underlying security: Series 4 Floating Rate Non-Cumulative Preferred Stock issued by Merrill Lynch Deal: Auction Pass-Through Trust 2006-5 -- Tranche: $120,000,000 Class A Certificates; A2, Placed on review for downgrade; Previously on April 14, 2009 Downgraded to A2; -- Tranche: $30,000,000 Class B Certificates; A2, Placed on review for downgrade; Previously on April 14, 2009 Downgraded to A2; -- Underlying security: Non-Cumulative Perpetual Preferred Stock, Series 4 issued by U.S Bancorp Deal: Auction Pass-Through Trust 2006-6 -- Tranche: $120,000,000 Class A Certificates; A2, Placed on review for downgrade; Previously on April 14, 2009 Downgraded to A2; -- Tranche: $30,000,000 Class B Certificates; A2, Placed on review for downgrade; Previously on April 14, 2009 Downgraded to A2; -- Underlying security: Non-Cumulative Perpetual Preferred Stock, Series 4 issued by U.S Bancorp Deal: Auction Pass-Through Trust 2006-7 -- Tranche: $96,000,000 Class A Certificates; A3, Placed on review for downgrade; Previously on January 9, 2009 Downgraded to A3; -- Tranche: $24,000,000 Class B Certificates; A3, Placed on review for downgrade; Previously on January 9, 2009 Downgraded to A3; -- Underlying security: Floating Rate Non-Cumulative Preferred Stock, Series A, C, and D issued by Goldman, Sachs Group, Inc. Deal: Auction Pass-Through Trust 2006-8 -- Tranche: $96,000,000 Class A Certificates; A3, Placed on review for downgrade; Previously on January 9, 2009 Downgraded to A3; -- Tranche: $24,000,000 Class B Certificates; A3, Placed on review for downgrade; Previously on January 9, 2009 Downgraded to A3; -- Underlying security: Floating Rate Non-Cumulative Preferred Stock, Series A, C, and D issued by Goldman, Sachs Group, Inc. Deal: Auction Pass-Through Trust 2006-10 -- Tranche: $96,000,000 Class A Certificates; Baa1, Placed on review for downgrade; Previously on January 9, 2009 Downgraded to Baa1 -- Tranche: $24,000,000 Class B Certificates; Baa1, Placed on review for downgrade; Previously on January 9, 2009 Downgraded to Baa1 -- Underlying security: Floating Rate Non-Cumulative Preferred Stock, Series A issued by Morgan Stanley Deal: Auction Pass-Through Trust 2006-11 -- Tranche: $96,000,000 Class A Certificates; Baa1, Placed on review for downgrade; Previously on January 9, 2009 Downgraded to Baa1 -- Tranche: $24,000,000 Class B Certificates; Baa1, Placed on review for downgrade; Previously on January 9, 2009 Downgraded to Baa1 -- Underlying security: Floating Rate Non-Cumulative Preferred Stock, Series A issued by Morgan Stanley Deal: Auction Pass-Through Trust 2006-12 -- Tranche: $70,000,000 Class A Certificates; Upgraded to Ba3; Previously on August 21, 2009 B3, placed on review for upgrade -- Tranche: $35,000,000 Class B Certificates, Upgraded to Ba3; Previously onAugust 21, 2009 B3, placed on review for upgrade -- Underlying security: Non-Cumulative Preferred Stock, Series D issued by Bank of America Deal: Auction Pass-Through Trust 2007-2 -- Tranche: $120,000,000 Class A Certificates; Upgraded to Ba3; Previously on August 21, 2009 B3, placed on review for upgrade -- Tranche: $30,000,000 Class B Certificates; Upgraded to Ba3; Previously on August 21, 2009 B3, placed on review for upgrade -- Underlying security: Floating Rate Non-Cumulative Preferred Stock, Series 5 issued by Merrill Lynch & Co, Inc. Deal: Auction Pass-Through Trust 2007-3 -- Tranche: $120,000,000 Class A Certificates; Upgraded to Ba3; Previously on August 21, 2009 B3, placed on review for upgrade -- Tranche: $30,000,000 Class B Certificates; Upgraded to Ba3; Previously on August 21, 2009 B3, placed on review for upgrade -- Underlying security: Floating Rate Non-Cumulative Preferred Stock, Series 5 issued by Merrill Lynch & Co, Inc. Deal: Auction Pass-Through Trust 2007-4 -- Tranche: $120,000,000 Class A Certificates; Upgraded to Ba3; Previously on August 21, 2009 B3, placed on review for upgrade -- Tranche: $30,000,000 Class B Certificates; Upgraded to Ba3; Previously on August 21, 2009 B3, placed on review for upgrade -- Underlying security: Floating Rate Non-Cumulative Preferred Stock, Series 5 issued by Merrill Lynch & Co, Inc. Deal: Auction Pass-Through Trust 2007-5 -- Tranche: $112,000,000 Class A Certificates; Upgraded to Ba3; Previously on August 21, 2009 B3, placed on review for upgrade -- Tranche: $28,000,000 Class B Certificates; Upgraded to Ba3; Previously on August 21, 2009 B3, placed on review for upgrade -- Underlying security: Floating Rate Non-Cumulative Preferred Stock, Series E issued by Bank of America Deal: Auction Pass-Through Trust 2007-T1 -- Tranche: $95,000,000 Class A Certificates; A1, Placed on review for downgrade; Previously on January 30, 2009 Downgraded to A1 -- Tranche: $19,000,000 Class B Certificates; A1, Placed on review for downgrade; Previously on January 30, 2009 Downgraded to A1 -- Underlying security: JP Morgan Chase Capital XXI Floating Rate Capital Securities Deal: Auction Pass-Through Trust 2007-T2 -- Tranche: $60,000,000 Class A Certificates; Baa2, Placed on review for downgrade; Previously on April 23, 2009 Downgraded to Baa2 -- Tranche: $20,000,000 Class B Certificates; Baa2, Placed on review for downgrade; Previously on April 23, 2009 Downgraded to Baa2 -- Underlying security: Non-Cumulative Callable Dollar Preference Shares, Series 1 issued by Barclays Bank Plc Deal: Auction Pass-Through Trust 2007-T4 -- Tranche: $45,000,000 Class A Certificates; Baa2, Placed on review for downgrade; Previously on April 23, 2009 Downgraded to Baa2 -- Tranche: $15,000,000 Class B Certificates; Baa2, Placed on review for downgrade; Previously on April 23, 2009 Downgraded to Baa2 -- Underlying security: Non-Cumulative Callable Dollar Preference Shares, Series 1 issued by Barclays Bank Plc Deal: Auction Pass-Through Trust 2007-T5 -- Tranche: $72,000,000 Class A Certificates; A1, Placed on review for downgrade; Previously on January 30, 2009 Downgraded to A1 -- Tranche: $18,000,000 Class B Certificates; A1, Placed on review for downgrade; Previously on January 30, 2009 Downgraded to A1 -- Underlying security: JP Morgan Chase Capital XXIII Floating Rate Capital Securities, Series W Deal: Auction Rate Securities Trust 2007-1 -- Tranche: $60,000,000 Class A Auction Rate Trust Certificates; Upgraded to Ba3; Previously on August 21, 2009 B3, placed on review for upgrade -- Tranche: $15,000,000 Class B Leveraged Trust Certificates; Upgraded to Ba3; Previously on August 21, 2009 B3, placed on review for upgrade -- Underlying security: Floating Rate Non-Cumulative Preferred Stock, Series 5 issued by Merrill Lynch Deal: Auction Rate Securities Trust 2007-2 -- Tranche: $40,000,000 Class A Auction Rate Trust Certificates; Upgraded to Ba3; Previously on August 21, 2009 B3, placed on review for upgrade -- Tranche: $10,000,000 Class B Leveraged Trust Certificates; Upgraded to Ba3; Previously on August 21, 2009 B3, placed on review for upgrade -- Underlying security: Floating Rate Non-Cumulative Preferred Stock, Series E issued by Bank of America Deal: CABCO Series 2004-1 Trust (Goldman Sachs Capital I) -- Tranche: $62,500,000 Certificate Principal Balance, Class A-1 Callable Certificates 6.00% Pass-Through Rate; A2, Placed on review for downgrade; Previously on December 23, 2008 Downgraded to A2 -- Underlying security: 6.345% Guaranteed Capital Securities issued by Goldman Sachs Capital I Deal: CABCO Series 2004-101 Trust (Goldman Sachs Capital I) -- Tranche: $150,000,000 Floating Rate Callable Certificates; A2, Placed on review for downgrade; Previously on December 23, 2008 Downgraded to A2 -- Underlying security: 6.345% Guaranteed Capital Securities issued by Goldman Sachs Capital I Deal: Corporate Backed Trust Certificates, Goldman Sachs Capital I Securities-Backed Series 2004-7 Trust -- Tranche: US$30,000,000 Class A-1 Certificates due February 15, 2034; A2, Placed on review for downgrade; Previously on December 23, 2008 Downgraded to A2 -- Underlying security: 6.345% Guaranteed Capital Securities issued by Goldman Sachs Capital I Deal: Corporate Backed Trust Certificates, Series 2004-4, Goldman Sachs Capital I Securities-Backed -- Tranche: US$85,000,000 6.00% Class A-1 Certificates due February 15, 2034; A2, Placed on review for downgrade; Previously on December 23, 2008 Downgraded to A2 -- Tranche: US$3,656,000 7.00% Class A-2 Certificates Due 02/15/2034; A2, Placed on review for downgrade; Previously on December 23, 2008 Downgraded to A2 -- Underlying security: 6.345% Guaranteed Capital Securities issued by Goldman Sachs Capital I Deal: Corporate-Backed Trust Certificates, Goldman Sachs Capital I Securities-Backed Series 2004-6 Due 2034 -- Tranche: US$25,000,000 Floating Rate Certificates due February 15, 2034; A2, Placed on review for downgrade; Previously on December 23, 2008 Downgraded to A2 -- Underlying security: 6.345% Guaranteed Capital Securities issued by Goldman Sachs Capital I Deal: CorTS Trust for Goldman Sachs Capital I -- Tranche: Class A Corporate-Backed Trust Securities due February 15, 2034; A2, Placed on review for downgrade; Previously on December 23, 2008 Downgraded to A2 -- Tranche: Class B Corporate-Backed Trust Securities due February 15, 2034; A2, Placed on review for downgrade; Previously on December 23, 2008 Downgraded to A2 -- Underlying security: 6.345% Guaranteed Capital Securities issued by Goldman Sachs Capital I Deal: CorTS Trust II for Goldman Sachs Capital I -- Tranche: Class A Corporate-Backed Trust Securities due February 15, 2034; A2, Placed on review for downgrade; Previously on December 23, 2008 Downgraded to A2 -- Tranche: Class B Corporate-Backed Trust Securities due February 15, 2034; A2, Placed on review for downgrade; Previously on December 23, 2008 Downgraded to A2 -- Underlying security: 6.345% Guaranteed Capital Securities issued by Goldman Sachs Capital I Deal: Fixed Income Pass-Through Trust 2007-C -- Tranche: US$110,000,000 Class A Auction Rate Trust Certificates; A1, Placed on review for downgrade; Previously on January 30, 2009 Downgraded to A1 -- Tranche: US$22,000,000 Class B Leveraged Trust Certificates; A1, Placed on review for downgrade; Previously on January 30, 2009 Downgraded to A1 -- Underlying security: JPMorgan Chase Capital XXIII, Floating Rate Capital Securities, Series W Deal: HSBC - STARS & STRIPES Custodial Receipts (Merrill Series 2) -- Tranche: $36,400,000 Structured Auction Rate Securities Stock Custodial Receipts, Merrill Series 2; Upgraded to Ba3; Previously on August 21, 2009 B3 placed on review for upgrade -- Tranche: $19,600,000 Structured Residual Interest Preferred Enhanced Securities Stock Custodial Receipts, Merrill Series 2; Upgraded to Ba3; Previously on August 21, 2009 B3 placed on review for upgrade -- Underlying security: Floating Rate Non-Cumulative Preferred Stock, Series 2 issued by Merrill Lynch & Co., Inc. Deal: HSBC - STARS/STRIPES Custodial Receipts (Goldman Series D) -- Tranche: $52,000,000 Structured Auction Rate Securities Stock Custodial Receipts, Goldman Series D; A3, Placed on review for downgrade; Previously on December 23, 2008 Downgraded to A3 -- Tranche: $28,000,000 Structured Residual Interest Preferred Enhanced Securities Stock Custodial Receipts, Goldman Series D; A3, Placed on review for downgrade; Previously on December 23, 2008 Downgraded to A3 -- Underlying security: Floating Rate Non-Cumulative Preferred Stock, Series D issued by Goldman, Sachs Group, Inc. Deal: Landmark Primary Trust Series A Interest Certificates -- Tranche: US $20,000,000 aggregate face amount of Principal Certificates, Series A; Baa1, Placed on review for downgrade; Previously on April 23, 2009 downgraded to Baa1 -- Underlying security: $20,000,000 face amount of Undated Subordinated Floating Rate Primary Capital Notes, Series 1 issued by Barclays Bank Plc. Deal: Landmark Primary Trust Series C Interest Certificates -- Tranche: US $16,000,000 aggregate face amount of Principal Certificates, Series C; Aa3, Placed on review for downgrade; Previously on December 17, 2008 upgraded to Aa3 -- Underlying security: US$16,000,000 face amount of Undated Subordinated Floating Rate Primary Capital Notes issued by Societe Generale Deal: BAC AAH Capital Funding LLC X -- Tranche: $70,000,000 Money Market Preferred Stock Custodial Receipts, Bank of America Corporation, Series X; Upgraded to Ba3; Previously on August 21, 2009 B3, Placed on review for upgrade -- Underlying security: Floating Rate Noncumulative Company Preferred Securities X issued by BAC AAH Capital Funding LLC X Deal: BAC AAH Capital Funding LLC XI -- Tranche: $70,000,000 Money Market Preferred Stock Custodial Receipts, Bank of America Corporation, Series XI; Upgraded to Ba3; Previously on August 21, 2009 B3, Placed on review for upgrade -- Underlying security: Floating Rate Noncumulative Company Preferred Securities XI issued by BAC AAH Capital Funding LLC XI Deal: Pass-Through Auction Market Preferred Securities, Series 2007-1 -- Tranche: $65,000,000 Class A Certificates; Upgraded to Ba3; Previously on August 21, 2009 B3, Placed on review for upgrade -- Tranche: $16,250,000 Class B Certificates; Upgraded to Ba3; Previously on August 21, 2009 B3, Placed on review for upgrade -- Underlying security: Floating Rate Non-Cumulative Preferred Stock, Series 2 and Series 5 issued by Merrill Lynch & Co., Inc. Deal: PPLUS Trust Series GSC-1 -- Tranche: PPLUS Class A 6.25% Trust Certificates; A2, Placed on review for downgrade, Previously on December 23, 2008 Downgraded to A2 -- Tranche: PPLUS Class B 0.095% Trust Certificates Series GSC- 1; A2, Placed on review for downgrade, Previously on December 23, 2008 Downgraded to A2 -- Underlying security: 6.345% Guaranteed Capital Securities issued by Goldman Sachs Capital I Deal: PPLUS Trust Series GSC-3 -- Tranche: PPLUS Class A 6.00% Trust Certificates; A2, Placed on review for downgrade; Previously on December 23, 2008 Downgraded to A2 -- Tranche: PPLUS Class B 0.345% Trust Certificates Series GSC- 3; A2, Placed on review for downgrade; Previously on December 23, 2008 Downgraded to A2 -- Underlying security: 6.345% Guaranteed Capital Securities issued by Goldman Sachs Capital I Deal: PPLUS Trust Series GSC-4 -- Tranche: PPLUS Class A 6.00% Trust Certificates; A2, Placed on review for downgrade; Previously on December 23, 2008 Downgraded to A2 -- Tranche: PPLUS Class B 0.345% Trust Certificates Series GSC- 4; A2, Placed on review for downgrade; Previously on December 23, 2008 Downgraded to A2 -- Underlying security: 6.345% Guaranteed Capital Securities issued by Goldman Sachs Capital I Deal: Saguaro Issuer Trust -- Tranche: US $15,000,000 aggregate face amount of Principal Units, Series A; Baa1, Placed on review for downgrade; Previously on April 23, 2009 downgraded to Baa1 -- Underlying security: $15,000,000 face amount of Undated Subordinated Floating Rate Notes issued by Barclays Bank Plc -- Tranche: US $10,000,000 aggregate face amount of Principal Units, Series B; Baa1, Placed on review for downgrade; Previously on April 23, 2009 downgraded to Baa1 -- Underlying security: $10,000,000 face amount of Undated Subordinated Floating Rate Notes issued by Barclays Bank Plc -- Tranche: US $13,000,000 aggregate face amount of Principal Units, Series C; Baa1, Placed on review for downgrade; Previously on April 23, 2009 downgraded to Baa1 -- Underlying security: $13,000,000 face amount of Undated Subordinated Floating Rate Notes issued by Barclays Bank Plc -- Tranche: US $11,000,000 aggregate face amount of Principal Units, Series D; A1, Placed on review for downgrade; Previously on September 18, 2009 downgraded to A1; -- Underlying security: US$11,000,000 face amount of Perpetual Floating Rate Subordinated Notes of Den Norske Creditbank -- Tranche: US$7,000,000 aggregate face amount of Principal Units, Series E; A1, Placed on review for downgrade; Previously on September 18, 2009 downgraded to A1; -- Underlying security: US$7,000,000 face amount of Floating Rate Capital Notes of Den Norske Creditbank. -- Tranche: US $20,000,000 aggregate face amount of Principal Units, Series F; Downgraded to Ba2; Previously on September 18, 2009 Downgraded to Ba1 and Placed on review for downgrade; -- Underlying security: US$20,000,000 face amount of Primary Capital Undated Floating Rate Notes of Lloyds Bank Plc -- Tranche: US $20,000,000 aggregate face amount of Principal Units, Series G; Downgraded to Ba2; Previously on September 18, 2009 Downgraded to Ba1 and Placed on Review for downgrade; -- Underlying security: US$20,000,000 face amount of Undated Capital Floating Rate Notes, Series 2 of Lloyds Bank Plc -- Tranche: US $14,550,000 aggregate face amount of Principal Units, Series H; A2, Placed on review for downgrade; Previously on April 30,2009 Downgraded to A2; -- Underlying security: US$14,550,000 face amount of Undated Floating Rate Primary Capital Notes of Midland Bank Plc -- Tranche: US $20,800,000 aggregate face amount of Principal Units, Series I; A2, Placed on review for downgrade; Previously on April 30,2009 Downgraded to A2; -- Underlying security: US$20,800,000 face amount of Undated Floating Rate Primary Capital Notes of Midland Bank Plc Deal: SATURNS Goldman Sachs Capital I Debenture Backed Series 2004-4 -- Tranche: US $81,000,000 of 6.00% Deferrable Class A Callable Units due February 15, 2034; A2, Placed on review for downgrade; Previously on December 23, 2008 Downgraded to A2 -- Tranche: US $3,615,000 Initial Notional Amortizing Balance of Interest-Only 7.43% Deferrable Rate Class B Callable Units Due February 15, 2034; A2, Placed on review for downgrade; Previously on December 23, 2008 Downgraded to A2 -- Underlying security: 6.345% Guaranteed Capital Securities issued by Goldman Sachs Capital I Deal: SATURNS Goldman Sachs Capital I Debenture Backed Series 2004-6 -- Tranche: US $80,000,000 of 6.00% Deferrable Class A Callable Units due February 15, 2034; A2, Placed on review for downgrade; Previously on December 23, 2008 Downgraded to A2 -- Tranche: US $3,564,000 Initial Notional Amortizing Balance of Interest-Only 7.44% Deferrable Rate Class B Callable Units Due February 15, 2034; A2, Placed on review for downgrade; Previously on 12/23/2008 Downgraded to A2 -- Underlying security: 6.345% Guaranteed Capital Securities issued by Goldman Sachs Capital I Deal: SATURNS Goldman Sachs Capital I Debenture Backed Series 2005-1 -- Tranche: US $60,000,000 of 6.25% Deferrable Class A Callable Units due February 15, 2034; A2, Placed on review for downgrade; Previously on December 23, 2008 Downgraded to A2 -- Tranche: US $1,574,000 Initial Notional Amortizing Balance of Interest-Only 7.69% Deferrable Rate Class B Callable Units Due February 15, 2034; A2, Placed on review for downgrade; Previously on December 23, 2008 Downgraded to A2 -- Underlying security: 6.345% Guaranteed Capital Securities issued by Goldman Sachs Capital I Deal: Spyglass Trust-1 -- Tranche: $70,000,000 Face Amount of Principal Units Due January 28, 2019; Baa1, Placed on review for downgrade; Previously on June 17, 2009 downgraded to Baa1 -- Underlying security: Undated Subordinated Floating Rate Notes issued by Barclays Bank Plc Deal: Spyglass Trust-4 -- Tranche: $70,000,000 Face Amount of Principal Units Due January 28, 2019; Downgraded to Ba2; Previously on September 18, 2009 downgraded to Ba1 and placed on review for downgrade -- Underlying security: Primary Capital Undated Floating Rate Notes (Series 3) of Lloyds Bank Pl Deal: Spyglass Trust-6 -- Tranche: $40,000,000 Face Amount of Principal Units Due 2018; Aa3, Placed on review for downgrade; Previously on May 22, 2009 upgraded to Aa3 -- Underlying security: Undated Subordinated Floating Rate Primary Capital Notes issued by Societe Generale Deal: Wachovia Fixed Income Pass-Through Trust 2007-B (LeNS) -- Tranche: $30,600,000 Class A Auction Rate Trust Certificates; A1, Placed on review for downgrade; Previously on January 30, 2009 downgraded to A1 -- Tranche: $6,800,000 Class B Leveraged Trust Certificates; A1, Placed on review for downgrade; Previously on January 30, 2009 downgraded to A1 -- Underlying security: JP Morgan Chase Capital XXI Floating Rate Underlying Securities, Series U Deal: Wachovia Preferred Pass Through Trust 2006-A -- Tranche: $50,000,000 Class A Auction Rate Preferred Trust Certificates; A3, Placed on review for downgrade; Previously on December 23, 2008 downgraded to A3 -- Tranche: $25,000,000 Class B Leveraged Preferred Trust Certificates; A3, Placed on review for downgrade; Previously on December 23, 2008 downgraded to A3 -- Underlying security: Floating Rate Non-Cumulative Preferred Stock, Series D issued by Goldman, Sachs Group, Inc. Deal: Wachovia Preferred Pass-Through Trust 2006-B -- Tranche: $124,000,000 Class A Money Market Preferred Trust Certificates; Upgraded to Ba3; Previously on September 21, 2009 B3 placed on review for upgrade -- Tranche: $31,000,000 Class B Leveraged Preferred Trust Certificates; Upgraded to Ba3; Previously on September 21, 2009 B3 placed on review for upgrade -- Underlying security: Floating Rate Non-Cumulative Preferred Stock, Series E issued by Bank of America Corporation * S&P Downgrades Ratings on 37 Tranches From 15 CDO Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 37 tranches from 15 U.S. cash flow and hybrid collateralized debt obligation transactions and removed one rating from CreditWatch with negative implications. The ratings on 36 of the downgraded tranches are on CreditWatch with negative implications, indicating a significant likelihood of further downgrades. All of the tranches S&P downgraded come from CDO transactions that have triggered an EOD. The rating actions are consistent with S&P's criteria for CDO transactions that have triggered an event of default and which may be subject to acceleration or liquidation. The U.S. cash flow and hybrid tranches S&P downgraded have a total issuance amount of $4.003 billion and are categorized: * Two mezzanine structured finance CDOs of asset-backed securities collateralized in large part by mezzanine tranches of residential mortgage-backed securities and other SF securities; * Two high-grade SF CDOs of ABS collateralized in large part by senior tranches of RMBS and other SF securities; * Three CDO of CDO transactions collateralized primarily by tranches from CDOs of ABS and other SF securities; * Three CDO of CDO transactions collateralized primarily by tranches from corporate CDOs; * Two CDOs of commercial mortgage-backed securities collateralized by tranches from CMBS transactions and other commercial real estate assets; * One collateralized loan obligation transaction collateralized primarily by loan obligations; * One CDO of trust preferred CDO transaction collateralized by trust preferred securities; and * One collateralized bond obligation transaction collateralized primarily by bond obligations. S&P will continue to monitor the CDO transactions S&P rate and will take rating actions, including CreditWatch placements, when S&P believes appropriate. Rating Actions Rating ------ Transaction Class To From ----------- ----- -- ---- Acacia CDO 6 Ltd A-1 BB/Watch Neg A/Watch Neg Acacia CDO 6 Ltd C CCC/Watch Neg B/Watch Neg Acacia CDO 6 Ltd D CCC/Watch Neg B-/Watch Neg Ambassador Structured Finance CDO A-1 BB/Watch Neg BB+/Watch Neg Class V Funding, Ltd. A1 BB/Watch Neg BBB-/Watch Neg Connecticut Valley Structured B-1 B/Watch Neg BBB-/Watch Neg Credit CDO II LTD Connecticut Valley Structured B-2 B/Watch Neg BBB-/Watch Neg Credit CDO II LTD High Grade Structured Credit CDO A-1 BB/Watch Neg BBB+/Watch Neg 2005-1 LTD. MMCapS Funding XIX Ltd A-1 BB/Watch Neg BBB-/Watch Neg MMCapS Funding XIX Ltd A-2 CCC/Watch Neg BB+/Watch Neg Nova CDO 2001 Ltd B BB/Watch Neg BBB+/Watch Neg Premium Loan Trust I Ltd X B/Watch Neg BB+/Watch Neg Premium Loan Trust I Ltd B B/Watch Neg BB/Watch Neg Saturn Ventures II, Ltd. A-1 BB/Watch Neg AA/Watch Neg Saturn Ventures II, Ltd. A-2 CCC/Watch Neg BBB/Watch Neg Saturn Ventures II, Ltd. A-3 CCC/Watch Neg BB/Watch Neg Sheffield CDO II, Ltd. S BBB-/Watch Neg AAA/Watch Neg Sheffield CDO II, Ltd. A-2 CCC/Watch Neg B-/Watch Neg Slate CDO 2007-1 Ltd A1SA BB/Watch Neg BBB/Watch Neg Slate CDO 2007-1 Ltd A1SB CCC/Watch Neg BBB/Watch Neg Slate CDO 2007-1 Ltd A3 CCC/Watch Neg B-/Watch Neg Slate CDO 2007-1 Ltd B1 CCC/Watch Neg CCC+/Watch Neg Stone Tower CDO II Ltd X BBB/Watch Neg AAA Stone Tower CDO II Ltd A-1LA BB/Watch Neg BBB/Watch Neg Stone Tower CDO II Ltd A-1LB CCC/Watch Neg B/Watch Neg Stone Tower CDO II Ltd A-2L D CCC-/Watch Neg Tricadia CDO 2005-3 Ltd A-1L BB/Watch Neg BB+/Watch Neg Tricadia CDO 2005-3 Ltd A-2L CCC/Watch Neg B+/Watch Neg Vertical CRE CDO 2006-1, Ltd. A BB/Watch Neg BBB+/Watch Neg Vertical CRE CDO 2006-1, Ltd. B CCC/Watch Neg BBB-/Watch Neg Vertical CRE CDO 2006-1, Ltd. C CCC/Watch Neg BB/Watch Neg Vertical CRE CDO 2006-1, Ltd. D CCC/Watch Neg BB-/Watch Neg Vertical CRE CDO 2006-1, Ltd. E CCC/Watch Neg B/Watch Neg Vertical CRE CDO 2006-1, Ltd. F CCC/Watch Neg B-/Watch Neg Zais Investment Grade Limited V A-1 BB/Watch Neg BBB/Watch Neg Zais Investment Grade Limited V B-1 CCC/Watch Neg B-/Watch Neg Zais Investment Grade Limited V B-2 CCC/Watch Neg B-/Watch Neg * S&P Downgrades Ratings on 48 Classes From 26 Subprime RMBS ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 48 classes from 26 U.S. subprime residential mortgage-backed securities transactions from 1993-2001. S&P removed seven of the lowered ratings from CreditWatch with negative implications. Additionally, S&P affirmed its ratings on 81 classes from these transactions, as well as 20 additional transactions, and removed 19 of the affirmed ratings from CreditWatch with negative implications. The downgrades and affirmations incorporate S&P's current and projected losses based on the dollar amounts of loans currently in the transactions' delinquency, foreclosure, and real estate owned pipelines, as well as S&P's projection of future defaults. S&P also incorporated cumulative losses to date in its analysis when assessing rating outcomes. For information on how S&P derives its loss assumptions, its 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, its assessment of the risk profile of the underlying mortgage pools influences S&P's default projections, while its 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. 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 its 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 assess the creditworthiness of each class, S&P reviewed the individual delinquency and loss trends of each transaction for changes, if any, in risk characteristics, servicing, and the ability to withstand additional credit deterioration. In order to maintain a 'B' rating on a class, S&P assessed whether, in its view, a class could absorb the base-case loss assumptions S&P used in its analysis. In order to maintain a rating higher than 'B', S&P assessed whether the class could withstand losses exceeding S&P's base-case loss assumptions at a percentage specific to each rating category, up to 150% for a 'AAA' rating. For example, in general, S&P would assess whether one class could withstand approximately 110% 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 120% of S&P's base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in its view, withstand approximately 150% of S&P's base-case loss assumptions under its analysis. The collateral backing these deals originally consisted predominantly of subprime 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 Aames Mortgage Trust 2001-4 Series 2001-4 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 00253CHK6 B- BB M-2 00253CHL4 CC CCC ABFS Mortgage Loan Trust 2000-4 Series 2000-4 Rating ------ Class CUSIP To From ----- ----- -- ---- A 00079CAA7 CC CCC AFC Mortgage Loan Asset Backed Certificates Series 1999-2 Series 1999-2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A 00105HDZ6 CC BB/Watch Neg 2A 00105HEA0 CC CCC AFC Trust Series 1999-3 Series 1999-3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A 00105HEB8 CC BBB+ Ameriquest Mortgage Securities Inc. Series 2001-2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 03072SBE4 BB- BBB Amortizing Residential Collateral Trust Series 2001-BC5 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 86358RHD2 AA AAA Amortizing Residential Collateral Trust 2001-BC6 Series 2001-BC6 Rating ------ Class CUSIP To From ----- ----- -- ---- M1 86358RNA1 CC BBB M2 86358RNB9 CC B Asset Backed Securities Corporation Home Equity Loan Trust Series 1999-LB1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1F 04541GAD4 AA+ AA+/Watch Neg A-2F 04541GAE2 AA+ AA+/Watch Neg A-3A 04541GAF9 AA+ AA+/Watch Neg A-5A 04541GAH5 AA+ AA+/Watch Neg Asset Backed Securities Corporation Home Equity Loan Trust Series 2001-HE2 Rating ------ Class CUSIP To From ----- ----- -- ---- M1 04541GBR2 BBB- AAA M2 04541GBS0 B- A Asset Backed Securities Corporation Home Equity Loan Trust Series 2001-HE3 Rating ------ Class CUSIP To From ----- ----- -- ---- M1 04541GBW1 CCC AA M2 04541GCC4 CCC A B 04541GBX9 CC BBB Chase Funding Trust, Series 2001-4 Series 2001-4 Rating ------ Class CUSIP To From ----- ----- -- ---- IM-1 161551FF8 B- AA IM-2 161551FG6 CCC A IB 161551FH4 CC BB IIM-1 161551FK7 CCC B IIM-2 161551FL5 CCC B- CSFB ABS Trust Series 2001-HE16 Series 2001-HE16 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 22540A3N6 CC CCC CSFB ABS Trust Series 2001-HE17 Series 2001-HE17 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 22540A7E2 CC B CSFB ABS Trust Series 2001-HE22 Series 2001-HE22 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 22540VCT7 CC BB CSFB ABS Trust Series 2001-HE25 Series 2001-HE25 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 22540VHE5 B- A M-2 22540VHF2 CC CCC CSFB ABS Trust Series 2001-HE30 Series 2001-HE30 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 22540VMH2 CCC BBB M-F-1 22540VMK5 BBB+ AA+ M-F-2 22540VML3 CC B CWABS, Inc. Series 2001-BC3 Rating ------ Class CUSIP To From ----- ----- -- ---- A 126671NA0 B- AAA/Watch Neg A-IO 126671NF9 B- AAA/Watch Neg M-1 126671NB8 CC A/Watch Neg M-2 126671NC6 CC BBB/Watch Neg B-1 126671ND4 CC BB/Watch Neg Delta Funding Home Equity Loan Trust 1999-1 Series 1999-1 Rating ------ Class CUSIP To From ----- ----- -- ---- B 24763LFF2 D CC Delta Funding Home Equity Loan Trust 1999-3 Series 1999-3 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 24763LFY1 D CC Delta Funding Home Equity Loan Trust 2000-4 Series 2000-4 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 24763LHN3 D AA DLJ ABS Trust Series 2000-5 Series 2000-5 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 23323CBX2 AAA AAA/Watch Neg DLJ ABS Trust Series 2000-7 Series 2000-7 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 23323CCL7 AAA AAA/Watch Neg A-3 23323CCN3 AAA AAA/Watch Neg M-1 23323CCQ6 CCC BBB M-2 23323CCR4 CCC BBB First Alliance Mortgage Loan Trust 1999-1 Series 1999-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 31846LCD6 AA+ AA+/Watch Neg A-2 31846LCE4 A A/Watch Neg First Alliance Mortgage Loan Trust 1999-2 Series 1999-2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 31846LCF1 AA AA/Watch Neg A-2 31846LCG9 A A/Watch Neg First Alliance Mortgage Loan Trust 1999-3 Series 1999-3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 31846LCJ3 AA AA/Watch Neg A-1 31846LCH7 AA AA/Watch Neg First Alliance Mortgage Loan Trust 1999-4 Series 1999-4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 31846LCK0 AA AA/Watch Neg A-2 31846LCL8 AA AA/Watch Neg First Franklin Mortgage Loan Trust 2001-FF2 Series 2001-FF2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 32027NAK7 B- A/Watch Neg Fremont Home Loan Trust 1999-3 Series 1999-3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 35729BAE1 BB BB/Watch Neg A-2 35729BAF8 BB BB/Watch Neg Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2000-C Series SPMD 2000C Rating ------ Class CUSIP To From ----- ----- -- ---- MF-1 456606BJ0 CC CCC MV-1 456606BN1 CC B- Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2001-C Series SPMD2001-C Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 456606DD1 CC B Lehman Home Equity Loan Trust 2001-1 Series 2001-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 525180CA1 CC AA Provident Bank Home Equity Loan Trust 1999-3 Series 1999-3 Rating ------ Class CUSIP To From ----- ----- -- ---- X-1 743844IN3 CC BBB X-2 743844IO0 CC BBB X-3 743844IP8 CC AA+ Residential Asset Securities Corp. Series 1999-RS1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-I-3 76110WFW1 A A/Watch Neg A-II 76110WFX9 A A/Watch Neg Saxon Asset Securities Trust 2001-2 Series 2001-2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 805564JR3 CCC BBB M-2 805564JS1 CC CCC Ratings Affirmed Aames Mortgage Trust 2001-4 Series 2001-4 Class CUSIP Rating ----- ----- ------ A-4 00253CHH3 AAA ABFS Mortgage Loan Trust 2001-1 Series 2001-1 Class CUSIP Rating ----- ----- ------ A-1 000759BU3 BB+ ABFS Mortgage Loan Trust 2001-4 Series 2001-4 Class CUSIP Rating ----- ----- ------ A 000759CA6 BB+ ACE Securities Corp. Home Equity Loan Trust, Series 2001-HE1 Series 2001-HE1 Class CUSIP Rating ----- ----- ------ M-1 004427AL4 AAA M-2 004427AM2 BB M-3 004427AN0 CCC Amortizing Residential Collateral Trust 2001-BC6 Series 2001-BC6 Class CUSIP Rating ----- ----- ------ A 86358RMY0 AAA Asset Backed Securities Corporation Home Equity Loan Trust Series 2001-HE2 Class CUSIP Rating ----- ----- ------ A1 04541GBN1 AAA A2 04541GBP6 AAA Asset Backed Securities Corporation Home Equity Loan Trust Series 2001-HE3 Class CUSIP Rating ----- ----- ------ A1 04541GBU5 AAA Bear Stearns Asset Backed Securities, Inc. Series 2000-2 Class CUSIP Rating ----- ----- ------ M-2 07383GBN5 A+ B 07383GBP0 BBB Chase Funding Trust, Series 2001-4 Series 2001-4 Class CUSIP Rating ----- ----- ------ IA-5 161551FD3 AAA IA-6 161551FE1 AAA IIA-1 161551FJ0 AAA ContiMortgage Home Equity Loan Trust 1999-2 Series 1999-2 Class CUSIP Rating ----- ----- ------ A-6 21075WKJ3 A A-7 21075WKK0 A A-8 21075WKL8 A CSFB ABS Trust Series 2001-HE16 Series 2001-HE16 Class CUSIP Rating ----- ----- ------ A 22540A3L0 AAA CSFB ABS Trust Series 2001-HE17 Series 2001-HE17 Class CUSIP Rating ----- ----- ------ A-1 22540A7A0 AAA A-2 22540A7B8 AAA A-IO 22540A7C6 AAA CSFB ABS Trust Series 2001-HE22 Series 2001-HE22 Class CUSIP Rating ----- ----- ------ A-1 22540VCP5 AAA A-IO 22540VCR1 AAA CSFB ABS Trust Series 2001-HE25 Series 2001-HE25 Class CUSIP Rating ----- ----- ------ A-1 22540VHA3 AAA A-IO 22540VHC9 AAA CSFB ABS Trust Series 2001-HE30 Series 2001-HE30 Class CUSIP Rating ----- ----- ------ A-2 22540VMB5 AAA A-3 22540VMC3 AAA A-F 22540VME9 AAA Delta Funding Home Equity Loan Trust 1999-1 Series 1999-1 Class CUSIP Rating ----- ----- ------ A-5F 24763LFA3 A A-6F 24763LFB1 A A-1A 24763LFD7 A Delta Funding Home Equity Loan Trust 1999-3 Series 1999-3 Class CUSIP Rating ----- ----- ------ A-1F 24763LFU9 AAA A-2F 24763LFV7 AAA A-1A 24763LFX3 AAA Delta Funding Home Equity Loan Trust 2000-2 Series 2000-2 Class CUSIP Rating ----- ----- ------ M-2 24763LGX2 CCC DLJ ABS Trust Series 2000-5 Series 2000-5 Class CUSIP Rating ----- ----- ------ A-1 23323CBW4 AAA A-3 23323CBY0 AAA A-IO 23323CBZ7 AAA M-1 23323CCA1 BBB DLJ ABS Trust Series 2000-7 Series 2000-7 Class CUSIP Rating ----- ----- ------ A-4 23323CCP8 AAA First Alliance Mortgage Loan Trust 1993-2 Series 1993- 2 Class CUSIP Rating ----- ----- ------ A-1 31846LAC0 A First Franklin Mortgage Loan Trust 2001-FF2 Series 2001-FF2 Class CUSIP Rating ----- ----- ------ A-1 32027NAH4 AAA Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2000-C Series SPMD 2000C Class CUSIP Rating ----- ----- ------ AF-5 456606BF8 AAA AF-6 456606BG6 AAA AV 456606BM3 AAA Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2001-C Series SPMD2001-C Class CUSIP Rating ----- ----- ------ AF-A 456606CY6 AAA M-1 456606DC3 AA HomeGold Home Equity Loan Trust 1999-1 Series 1999-1 Class CUSIP Rating ----- ----- ------ A-1 43740CAB4 AAA A-2 43740CAA6 AAA Long Beach Mortgage Loan Trust 2001-4 Series 2001-4 Class CUSIP Rating ----- ----- ------ II-A1 542514BQ6 AAA II-A3 542514BS2 AAA Morgan Stanley Dean Witter Capital I Inc. Trust 2001-NC2 Series 2001-NC2 Class CUSIP Rating ----- ----- ------ M-1 61746WHY9 CCC Mortgage Lenders Network Home Equity Loan Trust 1999-1 Series 1999-1 Class CUSIP Rating ----- ----- ------ A-1 61913JAE6 BB+ A-2 61913JAF3 BB+ Option One Mortgage Loan Trust 2000-5 Series 2000-5 Class CUSIP Rating ----- ----- ------ A 68389FBH6 AAA Provident Bank Home Equity Loan Trust 1999-3 Series 1999-3 Class CUSIP Rating ----- ----- ------ A-1 743844CU4 BB+ A-2 743844CV2 BB+ A-3 743844CW0 BB+ Saxon Asset Securities Trust 2001-2 Series 2001-2 Class CUSIP Rating ----- ----- ------ AF-5 805564JL6 AAA AF-6 805564JM4 AAA X-IO 805564JU6 AAA * S&P Downgrades Ratings on 51 Tranches From 10 CLO Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 51 tranches from 10 U.S. collateralized loan obligation transactions and removed them from CreditWatch with negative implications. The affected tranches have a total issuance amount of $3.132 billion. S&P also affirmed S&P's ratings on eight tranches from four of the same CLO transactions and removed six of them from CreditWatch negative. The downgrades reflect two primary factors: * The application of S&P's new corporate collateralized debt obligation criteria; and * Deterioration in the credit quality of certain CLO tranches due to increased exposure to obligors that have either defaulted or experienced downgrades into the 'CCC' range. The downgrades of six classes from four transactions resulted from S&P's application of the largest-obligor default test, which is one of the supplemental stress tests S&P introduced as part of its criteria update. S&P's analysis incorporates the asset recovery assumptions in its new CDO criteria. To provide additional transparency into the assumptions used in the analysis, S&P is providing the tiered recovery rate assumed for the cash flows generated for the 'AAA' liability rating for each transaction. Table 1 Tiered Recovery Rate For 'AAA' Liability Rating Transaction Recovery Rate (%) ----------- ----------------- AMMC CLO III Ltd. 46.8 BlueMountain CLO Ltd. 44.0 Celerity CLO Ltd. 48.1 Granite Ventures I Ltd. 45.4 Halcyon Loan Investors CLO I Ltd. 41.2 Landmark VIII CLO Ltd. 42.7 Octagon Investment Partners V Ltd. 40.6 Regatta Funding Ltd. 45.9 Stanfield Carrera CLO Ltd. 44.2 Symphony CLO V Ltd. 39.8 S&P will continue to review the remaining transactions placed on CreditWatch following S&P's corporate CDO criteria update and resolve the CreditWatch status of the affected tranches. Rating Actions Rating ------ Transaction Class To From ----------- ----- -- ---- AMMC CLO III Ltd. A AA+ AAA/Watch Neg AMMC CLO III Ltd. Brevolving BB+ A+/Watch Neg AMMC CLO III Ltd. C B+ A+/Watch Neg AMMC CLO III Ltd. D CCC- BBB/Watch Neg BlueMountain CLO Ltd. A-1 AA+ AAA/Watch Neg BlueMountain CLO Ltd. A-1 Rev AA+ AAA/Watch Neg BlueMountain CLO Ltd. A-2 AA AAA/Watch Neg BlueMountain CLO Ltd. B A+ AA/Watch Neg BlueMountain CLO Ltd. C BBB+ A/Watch Neg BlueMountain CLO Ltd. D BB+ BBB-/Watch Neg Celerity CLO Ltd. C BBB+ A/Watch Neg Celerity CLO Ltd. D CCC- BB+/Watch Neg Celerity CLO Ltd. E CCC- B+/Watch Neg Granite Ventures I Ltd. A-1 AA+ AAA/Watch Neg Granite Ventures I Ltd. B A- A/Watch Neg Granite Ventures I Ltd. C BB+ BBB/Watch Neg Granite Ventures I Ltd. D CCC+ BB/Watch Neg Halcyon Loan Investors CLO A-1A AA+ AAA/Watch Neg I Ltd. Halcyon Loan Investors CLO A-1B A+ AAA/Watch Neg I Ltd. Halcyon Loan Investors CLO A-2 A- AA/Watch Neg I Ltd. Halcyon Loan Investors CLO B BBB A/Watch Neg I Ltd. Halcyon Loan Investors CLO C BB+ BBB/Watch Neg I Ltd. Halcyon Loan Investors CLO D CCC+ BB/Watch Neg I Ltd. Landmark VIII CLO Ltd. A-2 AA+ AAA/Watch Neg Landmark VIII CLO Ltd. B AA- AA/Watch Neg Landmark VIII CLO Ltd. C A- A/Watch Neg Landmark VIII CLO Ltd. D BBB- BBB/Watch Neg Landmark VIII CLO Ltd. E BB- BB/Watch Neg Octagon Investment Partners A-1 A+ AAA/Watch Neg V Ltd. Octagon Investment Partners A-2 A+ AAA/Watch Neg V Ltd. Octagon Investment Partners B BBB- A/Watch Neg V Ltd. Octagon Investment Partners C-1 BB- BBB/Watch Neg V Ltd. Octagon Investment Partners C-2 BB- BBB/Watch Neg V Ltd. Octagon Investment Partners D B+ BB/Watch Neg V Ltd. Regatta Funding Ltd. A-1L AA+ AAA/Watch Neg Regatta Funding Ltd. A-1LV AA+ AAA/Watch Neg Regatta Funding Ltd. A-2L AA- AA/Watch Neg Regatta Funding Ltd. A-3L A- A/Watch Neg Regatta Funding Ltd. B-1L BBB- BBB/Watch Neg Stanfield Carrera CLO Ltd. A AA+ AAA/Watch Neg Stanfield Carrera CLO Ltd. B-1 BBB+ A+/Watch Neg Stanfield Carrera CLO Ltd. B-2 BBB+ A+/Watch Neg Stanfield Carrera CLO Ltd. C-1 CCC+ BBB/Watch Neg Stanfield Carrera CLO Ltd. C-2 CCC+ BBB/Watch Neg Stanfield Carrera CLO Ltd. D-1 CCC- BB/Watch Neg Stanfield Carrera CLO Ltd. D-2 CCC- BB/Watch Neg Symphony CLO V Ltd. A-1 A- AAA/Watch Neg Symphony CLO V Ltd. A-2 BBB+ AA/Watch Neg Symphony CLO V Ltd. B BB+ A/Watch Neg Symphony CLO V Ltd. C B+ BBB/Watch Neg Symphony CLO V Ltd. D CCC+ BB/Watch Neg Ratings Affirmed And Removed From Creditwatch Negative Rating ------ Transaction Class To From ----------- ----- -- ---- Celerity CLO Ltd. A Funded AAA AAA/Watch Neg Granite Ventures I Ltd. A-2 AA AA/Watch Neg Landmark VIII CLO Ltd. A-1 AAA AAA/Watch Neg Landmark VIII CLO Ltd. Comp Nts BBB- BBB-/Watch Neg Regatta Funding Ltd. B-2L BB BB/Watch Neg Regatta Funding Ltd. X AAA AAA/Watch Neg Ratings Affirmed Transaction Class Rating ----------- ----- ------ Celerity CLO Ltd. A Revolvin AAA Celerity CLO Ltd. B AAA * S&P Downgrades Ratings on 65 Tranches From 14 CLO Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 65 tranches from 14 U.S. collateralized loan obligation transactions and removed them from CreditWatch with negative implications. The affected tranches have a total issuance amount of $4.601 billion. S&P also affirmed its ratings on 24 tranches from nine transactions and removed 19 of them from CreditWatch negative. The downgrades reflect two primary factors: * The application of S&P's new corporate collateralized debt obligation criteria; and * Deterioration in the credit quality of certain CLO tranches due to increased exposure to obligors that have either defaulted or experienced downgrades into the 'CCC' range. The downgrades of nine classes from seven transactions resulted from S&P's application of the largest-obligor default test, which is one of the supplemental stress tests S&P introduced as part of its criteria update. S&P will continue to review the remaining transactions placed on CreditWatch following its corporate CDO criteria update and resolve the CreditWatch status of the affected tranches. Rating Actions Rating ------ Transaction Class To From ----------- ----- -- ---- Atlantis Funding Ltd A-1 A+ AAA/Watch Neg Atlantis Funding Ltd A-2 A+ AA/Watch Neg Atlantis Funding Ltd B BBB- A/Watch Neg Atlantis Funding Ltd C B+ BBB/Watch Neg Avenue CLO Fund, Ltd. A-1L AA+ AAA/Watch Neg Avenue CLO Fund, Ltd. A-2L BBB+ AA/Watch Neg Avenue CLO Fund, Ltd. A-3L BB+ A-/Watch Neg Avenue CLO Fund, Ltd. B-1F CCC- BB+/Watch Neg Avenue CLO Fund, Ltd. B-1L CCC- BB+/Watch Neg Avenue CLO Fund, Ltd. B-2L CCC- BB-/Watch Neg Avery Point CLO Ltd. A-1 AA+ AAA/Watch Neg Avery Point CLO Ltd. A-3 AA+ AAA/Watch Neg Avery Point CLO Ltd. B AA- AA/Watch Neg Avery Point CLO Ltd. C-1 BBB+ A/Watch Neg Avery Point CLO Ltd. C-2 BBB+ A/Watch Neg Avery Point CLO Ltd. D-1 BB+ BBB/Watch Neg Avery Point CLO Ltd. D-2 BB+ BBB/Watch Neg Avery Point CLO Ltd. E B+ BB/Watch Neg BlackRock Senior Income Series II A-1 AA+ AAA/Watch Neg BlackRock Senior Income Series II A-2 AA+ AAA/Watch Neg BlackRock Senior Income Series II C BBB+ A/Watch Neg BlackRock Senior Income Series II D-1 CCC+ BBB-/Watch Neg BlackRock Senior Income Series II D-2 CCC+ BBB-/Watch Neg Emporia Preferred Funding I Ltd A AA+ AAA/Watch Neg Emporia Preferred Funding I Ltd B-1 AA- AA/Watch Neg Emporia Preferred Funding I Ltd B-2 AA- AA/Watch Neg Emporia Preferred Funding I Ltd C A- A/Watch Neg Emporia Preferred Funding I Ltd D BB+ BBB/Watch Neg Flagship CLO VI A-1a AA+ AAA/Watch Neg Flagship CLO VI A-1b A+ AAA/Watch Neg Flagship CLO VI A-2 A+ AAA/Watch Neg Flagship CLO VI B A- AA/Watch Neg Flagship CLO VI C BBB- A/Watch Neg Flagship CLO VI D BB BBB/Watch Neg Flagship CLO VI E CCC- BB/Watch Neg Galaxy X CLO Ltd A AA+ AAA/Watch Neg Hamlet II, Ltd. A-1 AA+ AAA/Watch Neg Hamlet II, Ltd. A-2b AA+ AAA/Watch Neg Hewett's Island CLO IV, Ltd. A AA AAA/Watch Neg Hewett's Island CLO IV, Ltd. B A- AA/Watch Neg Hewett's Island CLO IV, Ltd. C BBB A/Watch Neg Hewett's Island CLO IV, Ltd. D-1 BB+ BBB/Watch Neg Hewett's Island CLO IV, Ltd. E CCC- BB/Watch Neg LightPoint Pan-European CLO 2006 plc A AA AAA/Watch Neg LightPoint Pan-European CLO 2006 plc B A AA/Watch Neg LightPoint Pan-European CLO 2006 plc C BBB- A-/Watch Neg LightPoint Pan-European CLO 2006 plc D B+ BBB-/Watch Neg LightPoint Pan-European CLO 2006 plc E CCC- BB-/Watch Neg NACM CLO I A-1 AA+ AAA/Watch Neg NACM CLO I B A- A/Watch Neg NACM CLO I C BBB- BBB/Watch Neg NACM CLO I D B+ BB/Watch Neg Oak Hill Credit Partners II Limited C-1 BB+ BBB/Watch Neg Oak Hill Credit Partners II Limited C-2 BB+ BBB/Watch Neg Oak Hill Credit Partners II Limited D-1 CCC+ BB/Watch Neg Oak Hill Credit Partners II Limited D-2 CCC+ BB/Watch Neg Oak Hill Credit Partners II Limited D-3 CCC+ BB/Watch Neg Pacifica CDO IV, Ltd. B-1L BB+ BBB-/Watch Neg Pacifica CDO IV, Ltd. B-2L CCC+ BB-/Watch Neg Telos CLO 2007-2 Ltd A-1 AA+ AAA/Watch Neg Telos CLO 2007-2 Ltd A-2 AA AAA/Watch Neg Telos CLO 2007-2 Ltd B A+ AA/Watch Neg Telos CLO 2007-2 Ltd C BBB+ A/Watch Neg Telos CLO 2007-2 Ltd D BB+ BBB/Watch Neg Telos CLO 2007-2 Ltd E B+ BB/Watch Neg Ratings Affirmed And Removed From Creditwatch Negative Rating ------ Transaction Class To From ----------- ----- -- ---- Avenue CLO Fund, Ltd. X AAA AAA/Watch Neg Avery Point CLO Ltd. A-2 AAA AAA/Watch Neg BlackRock Senior Income Series II B AA AA/Watch Neg Emporia Preferred Funding I Ltd E-1 BB BB/Watch Neg Emporia Preferred Funding I Ltd E-2 BB BB/Watch Neg Galaxy X CLO Ltd B AA AA/Watch Neg Galaxy X CLO Ltd C A A/Watch Neg Galaxy X CLO Ltd D BBB BBB/Watch Neg Hamlet II, Ltd. B A A/Watch Neg NACM CLO I A-2 AA AA/Watch Neg Oak Hill Credit Partners II Limited A-1a AAA AAA/Watch Neg Oak Hill Credit Partners II Limited A-1b AAA AAA/Watch Neg Oak Hill Credit Partners II Limited A-2a AA AA/Watch Neg Oak Hill Credit Partners II Limited A-2b AA AA/Watch Neg Oak Hill Credit Partners II Limited B A A/Watch Neg Pacifica CDO IV, Ltd. A-1L AAA AAA/Watch Neg Pacifica CDO IV, Ltd. A-2L AA AA/Watch Neg Pacifica CDO IV, Ltd. A-3L A- A-/Watch Neg Pacifica CDO IV, Ltd. X AAA AAA/Watch Neg Ratings Affirmed Transaction Class Rating ----------- ----- ------ Avenue CLO Fund, Ltd. P1 AAA Hamlet II, Ltd. A-2a AAA Pacifica CDO IV, Ltd. PN1 Com Se AAA Pacifica CDO IV, Ltd. PN2 Com Se AAA Pacifica CDO IV, Ltd. PN3 Com Se AAA * S&P Downgrades Ratings on 76 Tranches From 15 CLO Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 76 tranches from 15 U.S. collateralized loan obligation transactions and removed 75 of them from CreditWatch with negative implications. The affected tranches have a total issuance amount of $5.497 billion. S&P also affirmed its ratings on 12 tranches from six transactions and removed them from CreditWatch negative. The downgrades reflect two primary factors: * The application of S&P's new corporate collateralized debt obligation criteria; and * Deterioration in the credit quality of certain CLO tranches due to increased exposure to obligors that have either defaulted or experienced downgrades into the 'CCC' range. The downgrades of 15 classes from 10 transactions resulted from S&P's application of the largest-obligor default test, which is one of the supplemental stress tests S&P introduced as part of its criteria update. S&P will continue to review the remaining transactions placed on CreditWatch following S&P's corporate CDO criteria update and resolve the CreditWatch status of the affected tranches. Rating Actions Rating ------ Transaction Class To From ----------- ----- -- ---- Babson CLO Ltd. 2003-I A-1 AA+ AAA/Watch Neg Babson CLO Ltd. 2003-I A-2B AA+ AAA/Watch Neg Babson CLO Ltd. 2003-I B A+ AA/Watch Neg Babson CLO Ltd. 2003-I C BBB+ A/Watch Neg Babson CLO Ltd. 2003-I D B+ BBB-/WatchNeg Babson CLO Ltd. 2003-I E CCC- B+/Watch Neg Babson CLO Ltd. 2003-I SPref Shrs CCC- B+/Watch Neg Clydesdale CLO 2003 Ltd. A AA- AAA/Watch Neg Clydesdale CLO 2003 Ltd. B BBB A/Watch Neg Clydesdale CLO 2003 Ltd. C CCC+ BBB/Watch Neg Clydesdale CLO 2003 Ltd. D CCC- B/Watch Neg Denali Capital CLO VII Ltd. A-1L AA AAA/Watch Neg Denali Capital CLO VII Ltd. A-1LR AA AAA/Watch Neg Denali Capital CLO VII Ltd. A-2L A+ AA/Watch Neg Denali Capital CLO VII Ltd. A-3L BBB+ A/Watch Neg Denali Capital CLO VII Ltd. B-1L BB+ BBB/Watch Neg First 2004-II CLO Ltd. A-1 AA+ AAA/Watch Neg First 2004-II CLO Ltd. A-2 AA+ AAA/Watch Neg First 2004-II CLO Ltd. B BBB+ A/Watch Neg First 2004-II CLO Ltd. C B+ BB+/Watch Neg GoldenTree Capital D-1 BB+ BBB/Watch Neg Opportunities GoldenTree Capital D-2 BB+ BBB/Watch Neg Opportunities GoldenTree Capital E B+ BB/Watch Neg Opportunities Katonah III Inc. A AA+ AAA/Watch Neg Katonah III Inc. B-1 BBB+ A-/Watch Neg Katonah III Inc. B-2 BBB+ A-/Watch Neg Katonah III Inc. C-1 B+ BBB/Watch Neg Katonah III Inc. C-2 B+ BBB/Watch Neg Katonah III Inc. D-1 CCC- BB/Watch Neg Katonah III Inc. D-2 CCC- BB/Watch Neg Landmark III CDO Ltd. A-1L AA- AAA/Watch Neg Landmark III CDO Ltd. A-1LB AA- AAA/Watch Neg Landmark III CDO Ltd. A-2L BBB+ AA/Watch Neg Landmark III CDO Ltd. A-3L BB+ A-/Watch Neg Landmark III CDO Ltd. B-1L CCC- BBB/Watch Neg Landmark III CDO Ltd. B-2L CCC- BB/Watch Neg LightPoint CLO V Ltd. A-1 AA+ AAA/Watch Neg LightPoint CLO V Ltd. A-2 A+ AA/Watch Neg LightPoint CLO V Ltd. B BBB+ A/Watch Neg LightPoint CLO V Ltd. C BB+ BBB/Watch Neg LightPoint CLO V Ltd. D CCC+ BB/Watch Neg LightPoint CLO VII Ltd. A-1 AA+ AAA/Watch Neg LightPoint CLO VII Ltd. A-2 AA- AA/Watch Neg LightPoint CLO VII Ltd. B BBB+ A/Watch Neg LightPoint CLO VII Ltd. C BBB- BBB/Watch Neg LightPoint CLO VII Ltd. D CCC- BB/Watch Neg Madison Park Funding V Ltd. A-1a AA+ AAA/Watch Neg Madison Park Funding V Ltd. A-1b AA- AAA/Watch Neg Madison Park Funding V Ltd. A-2 A+ AA/Watch Neg Madison Park Funding V Ltd. B BBB- A/Watch Neg Madison Park Funding V Ltd. C BB+ BBB/Watch Neg Madison Park Funding V Ltd. D B+ BB/Watch Neg Merritt Funding Trust A-2 AA+ AAA Series 2005-2 Merritt Funding Trust B BBB+ A/Watch Neg Series 2005-2 Merritt Funding Trust C BB+ BBB/Watch Neg Series 2005-2 Merritt Funding Trust Com Tr Cer CC BB/Watch Neg Series 2005-2 Mountain View CLO II Ltd. A-1 AA AAA/Watch Neg Mountain View CLO II Ltd. A-2 AA AAA/Watch Neg Mountain View CLO II Ltd. A-3 AA AAA/Watch Neg Mountain View CLO II Ltd. B A+ AA/Watch Neg Mountain View CLO II Ltd. C BBB+ A/Watch Neg Mountain View CLO II Ltd. D BB+ BBB/Watch Neg Mountain View CLO II Ltd. E CCC- BB/Watch Neg Mountain View CLO III Ltd. A-2 AA AAA/Watch Neg Mountain View CLO III Ltd. B A+ AA/Watch Neg Mountain View CLO III Ltd. C BBB+ A/Watch Neg Mountain View CLO III Ltd. D BB+ BBB/Watch Neg Mountain View CLO III Ltd. E CCC+ BB/Watch Neg Nantucket CLO I Ltd. A AA+ AAA/Watch Neg Nantucket CLO I Ltd. C A- A/Watch Neg Nantucket CLO I Ltd. D BB+ BBB/Watch Neg Nantucket CLO I Ltd. E CCC- BB/Watch Neg Northwoods Capital VI Ltd. A-1 AA+ AAA/Watch Neg Northwoods Capital VI Ltd. A-2 A+ AA/Watch Neg Northwoods Capital VI Ltd. B BBB A/Watch Neg Northwoods Capital VI Ltd. C CCC+ BBB-/Watch Neg Ratings Affirmed And Removed From Creditwatch Negative Rating ------ Transaction Class To From ----------- ----- -- ---- Babson CLO Ltd. 2003-I A-2A AAA AAA/Watch Neg Denali Capital CLO VII Ltd. B-2L BB BB/Watch Neg GoldenTree Capital A-1 AAA AAA/Watch Neg Opportunities GoldenTree Capital A-2 AAA AAA/Watch Neg Opportunities GoldenTree Capital A-3 AAA AAA/Watch Neg Opportunities GoldenTree Capital B-1 AA AA/Watch Neg Opportunities GoldenTree Capital B-2 AA AA/Watch Neg Opportunities GoldenTree Capital C-1 A A/Watch Neg Opportunities GoldenTree Capital C-2 A A/Watch Neg Opportunities Landmark III CDO Ltd. A-1LA AAA AAA/Watch Neg Mountain View CLO III Ltd. A-1 AAA AAA/Watch Neg Nantucket CLO I Ltd. B AA AA/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. Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Howard C. Tolentino, 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 ***