/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/100117.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, January 17, 2010, Vol. 14, No. 16 Headlines ABSPOKE 2005-X: Fitch Cuts & Withdraws Rating on JPY2BB Notes ALADDIN SYNTHETIC: S&P Downgrades Ratings on Two Notes to 'CC' ASSET-BACKED FUNDING: Fitch Takes Affirms Rating on 2001-AQ1 Notes BANC OF AMERICA: Fitch Takes Rating Actions on 2005-1 Certs. BCAP LLC: S&P Downgrades Ratings on Six 2008-IND1 Certificates BEAR STEARNS: Fitch Takes Rating Actions on 2005-Top20 Certs. BIRCH REAL: Fitch Downgrades Ratings on Five Classes of Notes C-BASS CBO: Fitch Affirms Ratings on Two Classes of Notes CAPITAL AUTO: Fitch Upgrades Ratings on Three Classes of Notes CBA COMMERCIAL: S&P Downgrades Rating on Class M-6 Cert. to 'D' CBA COMMERCIAL: S&P Downgrades Rating on Class M-6 Cert. to 'D' CREDIT GENESIS: Moody's Upgrades Rating on Class B to 'B1' CREDIT SUISSE: Moody's Reviews Ratings on 12 2004-C4 Certificates CREDIT SUISSE: S&P Downgrades Ratings on 17 2006-C1 Secutrities FORD AUTO: S&P Assigns 'BB+' Rating on Class D 2010-R1 Notes FORD CREDIT: Fitch Upgrades Ratings on Three Classes of Notes FOUNDATION RE: S&P Assigns 'BB+' Rating on Series 2010-1 Notes GE COMMERCIAL: Fitch Takes Rating Actions on 2005-C2 Certs. GMAC INC: Moody's Upgrades Ratings on 13 Classes of Notes GOLDMAN SACHS: Fitch Affirms Ratings on Four Classes of Notes GS MORTGAGE: S&P Puts Ratings on 2007-EOP Certs. on Negative Watch HEARTLAND FUNDING: S&P Downgrades Rating on 2007-2 Notes to 'CC' HELIOS FINANCE: Fitch Takes Rating Actions on 2007-S1 Notes INDEPENDENCE IV: Fitch Downgrades Ratings on Five Classes INDUSTRIAL DEVELOPMENT: Fitch Assigns 'BB+' Rating on B Bonds INDYMAC RESIDENTIAL: S&P Downgrades Ratings on 11 Securities IOWA HIGHER: Fitch Downgrades Rating on 2005A Bonds to 'BB' JP MORGAN: Fitch Corrects Rating on Class A-J 2005-CIBC13 Notes JP MORGAN: Fitch Takes Rating Actions on 2005-CIBC13 Certs. JPMORGAN AUTO: Fitch Affirms Ratings on Seven Classes of Notes JPMORGAN MORTGAGE: S&P Downgrades Ratings on 50 2007-A1 Certs. LB-UBS COMMERCIAL: Fitch Takes Rating Actions on 2005-C2 Certs. LB-UBS COMMERCIAL: Fitch Takes Rating Actions on 2005-C7 Certs. MORGAN STANLEY: Fitch Takes Rating Actions on 2005-TOP17 Certs. MORGAN STANLEY: Fitch Takes Rating Actions on 21 2005-TOP19 Certs. MORGAN STANLEY: S&P Corrects Rating on Class A-1 Certs. to 'BB' MORGAN STANLEY: S&P Downgrades Ratings on 16 2006-HQ9 Securities NEW YORK STATE DORMITORY: Fitch Puts 'BB' Rating on Bonds NEWCASTLE IV: Fitch Downgrades Ratings on Eight Classes of Notes NEWSTAR COMMERCIAL: Moody's Assigns Ratings on Three 2009-1 Notes PENNSYLVANIA ECONOMIC: S&P Cuts Rating on $34.4 Mil. Bonds to 'BB' PREFERRED TERM: Moody's Cuts Ratings on Two Classes of Notes PREFERRED TERM: Moody's Downgrades Rating on Two Classes of Notes PRIMORIS SPC: Fitch Takes Rating Actions on Various Classes REDWOOD CAPITAL: Moody's Assigns 'B1' Rating on Class A Notes REGIONAL DIVERSIFIED: Moody's Cuts Ratings on Two 2004-1 Notes REVE SPC: S&P Corrects Ratings on Two 2006-MB1 Notes to 'BB' SOLAR TRUST: Moody's Affirms Ratings on 10 2001-1 Certificates SOUTHEAST HOUSING: S&P Downgrades Ratings on Class III to 'BB' STANTON CDO: Moody's Downgrades Ratings on Six Classes of Notes WACHOVIA BANK: Fitch Takes Rating Actions on 2005-C22 Certs. * Moody's Changes Loss Projections on US Alt-A RMBS Issuances * Moody's Changes Loss Projections on US Subprime RMBS Deals * Moody's Reviews Ratings on 38 RMBS Resecuritization Tranches * S&P Downgrades Ratings on 105 Classes From 66 RMBS Transactions * S&P Downgrades Ratings on 75 Classes From 14 RMBS Transactions * S&P Downgrades Ratings on 99 Classes From Six RMBS Transactions ********* ABSPOKE 2005-X: Fitch Cuts & Withdraws Rating on JPY2BB Notes ------------------------------------------------------------- Fitch Ratings has downgraded and withdrawn the rating on the class of notes issued by ABSpoke 2005-X. This rating action is a result of the exercise of the Optional Termination. The Credit Default Swap was terminated on June 24, 2009. The principal amount of the notes redeemed was JPY0. The notes have sustained a complete loss and accordingly, the rating has been downgraded to 'D' and subsequently withdrawn. ABSpoke 2005-X was an unfunded managed synthetic collateralized debt obligation that references a portfolio of various asset backed security assets that closed on Dec. 7, 2005. The transaction was designed to provide credit protection for realized losses on the referenced portfolio through a credit default swap between the issuer and the swap counterparty. Fitch has downgraded and withdrawn this rating: -- JPY2,000,000,000 variable floating rate notes to 'D' from 'CC'. ALADDIN SYNTHETIC: S&P Downgrades Ratings on Two Notes to 'CC' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the notes from Aladdin Synthetic CDO II SPC's series B-1 and C-1 to 'CC' from 'CCC-'. The downgrades follow a number of credit events within the underlying portfolios, which S&P expects to cause the notes to incur principal losses. Ratings Lowered Aladdin Synthetic CDO II SPC Rating ------ Series To From ------ -- ---- B-1 CC CCC- C-1 CC CCC- ASSET-BACKED FUNDING: Fitch Takes Affirms Rating on 2001-AQ1 Notes ------------------------------------------------------------------ Fitch Ratings has taken this rating action on one class in Asset- Backed Funding Corporation 2001-AQ1. -- Class notes (04542JAA3) affirmed at 'C/RR6'. The rating action reflects the actual pay-down performance of the Net Interest Margin (NIM) security to date and the future projected cash flows of the underlying collateral. The rating of 'C' indicates that Fitch projects the bond will not receive enough cash flow from the underlying supporting transaction to pay off the outstanding balance of the NIM bond. In this instance the underlying transaction has suffered significant losses and there will be no additional excess cash flow available to the NIM. The Recovery Rating scale is based upon the expected relative recovery characteristics of an obligation. For structured finance, Recovery Ratings are designed to estimate recoveries on a forward-looking basis while taking into account the time value of money. The methodology used to assign Recovery Ratings is described in Fitch's Aug. 17, 2009 report, 'Criteria for Structured Finance Recovery Ratings' and Fitch's Dec. 16, 2009 report, 'U.S. RMBS Criteria for Recovery Ratings'. BANC OF AMERICA: Fitch Takes Rating Actions on 2005-1 Certs. ------------------------------------------------------------ Fitch Ratings takes various rating actions on Banc of America Commercial Mortgage, series 2005-1 commercial mortgage pass- through certificates including downgrades of 12 classes. 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 4.6% for this transaction, should market conditions not recover. The rating actions are based on the full losses of 4.6% 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 DSCR, 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 10%, 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 71.8% of the pool and, in certain cases, revised based on additional information and/or property characteristics. Approximately 89% of the mortgages mature within the next five years: 24.1% in 2010, 18.4% in 2012, 0.2% in 2013, 17.8% in 2014 and 29.6% in 2015. Fitch identified 43 Loans of Concern (36%) within the pool, seven of which (11.4%) are specially serviced. Two of the Fitch Loans of Concern (6.5%) are within the transaction's top 15 loans. Fitch expects that 12 of the top 15 loans may default at maturity based on an insufficient accrued equity position as calculated in Fitch's refinance test. While defaults are expected, additional losses are not anticipated on most of them based on derived values being higher than the current loan amounts. 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. One loan within the top 15 is expected to incur a loss at maturity, Parkway Portfolio (2.6%). The two specially serviced loans within the transaction's top 15 include Western Asset Plaza (3.9%) and Parkway Portfolio (2.6%). Western Asset Plaza consists of a 256,703 sf office property in Pasadena, CA, approximately 10 miles northeast of downtown Los Angeles. The loan recently transferred to special servicing for anticipated maturity default at the loan's expiration on Jan. 1, 2010. The sponsor, Robert Maguire, previously submitted an extension request; however, the special servicer did not accept the requested terms. The special servicer has requested that the borrower re-submit its proposal to address an equity contribution. However, the property is performing well with a DSCR of 2.07x and an occupancy of 100% as of June 2009. Fitch expects minimal losses on this loan due to the stable performance and low leverage. Fitch will continue to monitor the work out. The Parkway Portfolio consists of five cross-collateralized, cross defaulted office properties located in Charlotte, NC, and Atlanta, GA. The portfolio transferred to special servicing in November 2009 for imminent default. During the third quarter of 2009, six tenants comprising 21% of the net rentable area vacated and/or stopped paying rent. Two additional tenants comprising an additional 1.2% of NRA have given notice of intent to vacate. Property cash flows have deteriorated significantly, and annual revenue is expected to decline approximately 40% in 2010. In addition, a rent abatement and leasing costs associated with a new tenant will put additional pressure on property cash flow. The special servicer is discussing workout options with the borrower. Other significant contributors to loss include Terminal Tower (1.9%), and Ashford Perimeter (1.8%). Terminal Tower consists of a 576,620 sf office complex in Cleveland, OH. The property's occupancy has suffered as a result of the weak economy's negative impact on the Cleveland office market. Additional rollover will occur in 2010, and coupled with a reduction in asking rental rates and increase in market vacancy, cash flow is expected to experience further declines. Ashford Perimeter consists of a 288,175 sf office property in Atlanta, GA. The loan, which transferred to special servicing in June 2009 for imminent default, is under review for a modification which potentially includes an extension to the original term, bifurcation of the loan into a senior and junior component, and an additional equity investment by the sponsor. The special servicer and the sponsor are expected to reach an agreement on the terms of the modification shortly. Fitch has downgraded and assigned LS Ratings and Outlooks to these classes: -- $20.3 million Class C to 'A/LS5' from 'AA-'; Outlook Stable; -- $43.5 million Class D to 'BBB/LS5' from 'A'; Outlook Stable. In addition, Fitch has downgraded, removed from Rating Watch Negative, and assigned LS Ratings, Recovery Ratings and Outlooks to these classes as indicated: -- $20.3 million Class E to 'BBB-/LS5' from 'A-'; Outlook Stable; -- $26.1 million Class F to 'BB/LS5' from 'BBB+'; Outlook Stable; -- $20.3 million Class G to 'BB/LS5' from 'BBB'; Outlook Negative; -- $34.8 million Class H to 'B-/LS5' from 'BBB-'; Outlook Negative; -- $5.8 million Class J to 'B-/LS5' from 'BB+'; Outlook Negative; -- $8.7 million Class K to 'B-/LS5' from 'BB'; Outlook Negative; -- $8.7 million Class L to 'B-/LS5' from 'BB-'; Outlook Negative; -- $2.9 million Class M to 'B-/LS5' from 'B+'; Outlook Negative; -- $5.8 million Class N to 'B-/LS5' from 'B'; Outlook Negative; -- $11.6 million Class O to 'CCC/RR6' from 'B-'. In addition, Fitch affirms these classes and Outlooks and assigns LS ratings as indicated: -- $209.4 million class A-1A at 'AAA/LS1'; Outlook Stable; -- $386.8 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $343.1 million class A-4 at 'AAA/LS1'; Outlook Stable; -- $101.6 million class A-SB at 'AAA/LS1'; Outlook Stable; -- $381.2 million class A-5 at 'AAA/LS1'; Outlook Stable; -- $168.3 million class A-J at 'AAA/LS3'; Outlook Stable; -- Interest-only class XW at 'AAA'; Outlook Stable; -- $61 million class B at 'AA/LS4'; Outlook Stable; -- $2.1 million class SM-A at 'BB+/LS5'; Outlook Stable; -- $2.1 million class SM-B at 'BB+/LS5'; Outlook Stable; -- $6.4 million class SM-C at 'BB/LS5'; Outlook Stable; -- $2.6 million class SM-D at 'BB-/LS5'; Outlook Stable; -- $2 million class SM-E at 'BB-/LS5'; Outlook Stable; -- $4.9 million class SM-F at 'B+/LS5'; Outlook Stable; -- $4.2 million class SM-G at 'B/LS5'; Outlook Stable; -- $5.5 million class SM-H at 'B-/LS5'; Outlook Stable. Fitch does not rate the SM-J, LM, and P classes. Classes A-1, A- 2, FM-A, FM-B, FM-C, and FM-D have paid in full. BCAP LLC: S&P Downgrades Ratings on Six 2008-IND1 Certificates -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on six classes of certificates from BCAP LLC Trust 2008-IND1 and removed them from CreditWatch with negative implications. S&P's ratings on the other Standard & Poor's rated classes within this transaction remain at 'D'. Five of the downgrades reflect S&P's opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings, given its current projected loss. S&P downgraded class B-2 to 'D' as a result of a principal write-down. When projecting the loss for BCAP LLC Trust 2008-IND1, S&P applied its default curve for transactions that contain negative amortization Alternative-A mortgage loans. BCAP LLC Trust 2008- IND1, which closed in February 2008, contained negative amortization Alt-A collateral with approximately 20 months of weighted average seasoning at the close of the transaction. As a result, S&P incorporated this seasoning when applying its loss severity and default assumptions for negative amortization Alt-A mortgage loan collateral. After applying S&P's methodology and assumptions, S&P derived a projected lifetime loss for this transaction of 29.25%, as a percent of the original balance. Subordination provides credit support for this transaction, and the underlying mortgage loans are primarily adjustable-rate, negative amortization Alt-A mortgage loans secured by first-liens on residential properties. Ratings Lowered And Removed From Creditwatch Negative BCAP LLC Trust 2008-IND1 Series 2008-IND1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 05531CAA8 BB AAA/Watch Neg A-2 05531CAB6 CCC AAA/Watch Neg A-3 05531CAC4 CC AAA/Watch Neg A-X 05531CAD2 CC AAA/Watch Neg B-1 05531CAF7 CC AA/Watch Neg B-2 05531CAG5 D A/Watch Neg BEAR STEARNS: Fitch Takes Rating Actions on 2005-Top20 Certs. ------------------------------------------------------------- Fitch Ratings takes various rating actions on Bear Stearns Commercial Mortgage Securities Trust, 2005-Top20 commercial mortgage pass-through certificates, including downgrades of 13 classes. 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 losses of 2% for this transaction, should market conditions not recover. The rating actions are based on these full losses 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. That is consistent with the analysis used in Fitch's 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 DSCR, 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 12%, 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 53% of the pool and, in certain cases, revised based on additional information and/or property characteristics. Approximately 83% of the mortgages mature within the next five years: 8.2% in 2010, 6.9% in 2012, 3.2% in 2014 and 64.3% in 2015. Fitch identified 29 Loans of Concern (19.4%) within the pool, two of which (0.1%) are specially serviced. Four of the Fitch Loans of Concern (11.8%) are within the transaction's top 15 loans. Fitch expects that 14 of the top 15 loans may default at maturity based on an insufficient accrued equity position as calculated in Fitch's refinance test. While defaults are expected, additional losses are not anticipated on most of them based on derived values being higher than the current loan amounts. 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. Two loans within the top 15 are expected to incur a term loss: Park N' Fly Portfolio (2.4%), and Circuit City Headquarters (1.6%). Park N' Fly consists of a four-property portfolio of parking garages, located in Atlanta, Dallas, Cleveland, and Houston, totaling 8,818 spaces. The properties are proximate to major airports in their respective markets. In 2009, the portfolio experienced a significant decline in performance, largely due to lower demand for parking. Airline travel remains well below peak levels as the weak economy continues to influence the use of greater discretion in both business and leisure travel spending. The servicer-reported debt service coverage ratio as of June 2009 was 1.29x, compared with 2.34x at year-end 2008. It is expected the portfolio will continue to face challenges as air travel remains low, and losses are expected. Circuit City Headquarters consists of a 368,255 sf office property in Richmond, VA. The property formerly served as the headquarters to Circuit City. Following Circuit City's bankruptcy and liquidation, the property has been vacant since April 2009. The loan remains current, but there is concern with the existing operation's ability to continue to pay rent. Fitch performed a market value analysis in its determination of losses. Fitch downgrades and assigns LS Ratings and Outlooks to these classes as indicated: -- $147.7 million class A-J to 'AA/LS2' from 'AAA'; Outlook Stable; -- $15.5 million Class B to 'AA/LS4' from 'AA+'; Outlook Stable; -- $20.7 million Class C to 'A/LS3' from 'AA'; Outlook Stable; -- $15.5 million Class D to 'A/LS4' from 'AA-'; Outlook Stable; -- $18.1 million Class F to 'BBB/LS4' from 'A-'; Outlook Stable; -- $18.1 million Class G to 'BBB-/LS4' from 'BBB+'; Outlook Stable; -- $23.3 million Class H to 'BB/LS3' from 'BBB'; Outlook Stable; -- $18.1 million Class J to 'B/LS4' from 'BBB-'; Outlook Negative; -- $5.2 million Class K to 'B/LS5' from 'BB+'; Outlook Negative; -- $7.8 million Class L to 'B-/LS5' from 'BB'; Outlook Negative; -- $7.8 million Class M to 'B-/LS5' from 'BB-'; Outlook Negative; -- $2.6 million Class N to 'B-/LS5' from 'B+'; Outlook Negative; -- $2.6 million Class O to 'B-/LS5' from 'B'; Outlook Negative. In addition, Fitch affirms these classes and assigns Outlooks and LS ratings as indicated: -- $28.5 million Class E at 'A/LS3'; Outlook Stable; -- $5.2 million Class P at 'B-/LS5'; Outlook Negative; -- $20 million Class LF at 'B/LS5'; Outlook Negative. In addition, Fitch affirms these classes and Outlooks and assigns LS ratings as indicated: -- $16.2 million class A-1 at 'AAA/LS1'; Outlook Stable; -- $189.5 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $176 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $142.6 million class A-AB at 'AAA/LS1'; Outlook Stable; -- $955 million class A-4A at 'AAA/LS1'; Outlook Stable; -- $130.8 million class A-4B at 'AAA/LS1'; Outlook Stable; -- Interest-only class X at 'AAA'; Outlook Stable. Fitch does not rate class Q. BIRCH REAL: Fitch Downgrades Ratings on Five Classes of Notes ------------------------------------------------------------- Fitch Ratings has affirmed one class and downgraded five classes of notes issued by Birch Real Estate CDO I, Ltd. As of the Dec. 1, 2009 trustee report, the current balance of the portfolio is approximately $75.5 million. Approximately 21.9% of the portfolio has been downgraded since Fitch's last rating action in February 2009, resulting in approximately 43% of the portfolio with a Fitch derived rating below investment grade and 40.4% with a rating in the 'CCC' rating category or below compared to 39.2% and 25.6%, respectively, at last review. 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. These 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 Corporate CDOs - Amended' for the class A-1L and class A-1 notes. Based on this analysis, the breakeven rates for those classes are generally consistent with the ratings assigned below. The Outlook on the class A-1L notes remains Stable because Fitch expects the notes to be paid in full in the next one to two years. The class A-1L notes are amortizing due to the class A coverage tests failing their respective covenants. The class A-1 notes will begin to amortize after class A-1L has been repaid. Given the negative outlook to the performance of the underlying assets, Fitch has revised the Outlook to Negative for the class A-1 notes. Fitch does not assign Outlooks to tranches rated 'CCC' and below. The Loss Severity ratings of 'LS5' assigned to the class A-1L and class A-1 notes indicate the tranches' 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 breakeven levels were lower than a 'CCC' default expectation for the class A-2L, class A-2, class A-3L and class B-1 notes. For these classes, Fitch compared the respective credit enhancement levels to 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. While the class A-2L, class A-2 and class A-3L notes are still receiving timely interest distributions, on the most recent payment date in November 2009, a portion of the class A-2L and class A-2 accrued interest and the entire class A-3L accrued interest amounts were paid from the principal collections account because interest collections were insufficient. This shortage of interest proceeds also occurred in May 2009, and is expected to continue until the interest rate swap expires in November 2012. The ongoing erosion of the principal to pay interest combined with a high proportion of distressed assets has resulted in an increased probability of default for the class A-2L, class A-2 and class A-3L notes, and the downgrades as indicated below. The class B-1 notes are downgraded to 'C' because they are no longer receiving distributions due to the failing class A coverage tests and are unlikely to receive any payments going forward. Birch CDO I is a structured finance collateralized debt obligation (SF CDO) that closed on Dec. 20, 2002. The static portfolio of collateral was selected by Bears Stearns & Co. Inc. and is now composed of residential mortgage-backed securities (76.3%), commercial mortgage-backed securities (19.2%) and commercial asset-backed securities (4.5%). Fitch has affirmed, downgraded, assigned LS ratings and revised Rating Outlooks as indicated: -- $3,402,795 class A-1L notes affirmed at 'AAA/LS5'; Outlook Stable; -- $10,000,000 class A-1 notes downgraded to 'AA/LS5' from 'AAA'; Outlook to Negative from Stable; -- $26,000,000 class A-2L notes downgraded to 'CCC' from 'BBB-'; -- $5,000,000 class A-2 notes downgraded to 'CCC' from 'BBB-'; -- $10,000,000 class A-3L notes downgraded to 'CC' from 'B-'; -- $11,040,000 class B-1 notes downgraded to 'C' from 'CC'. C-BASS CBO: Fitch Affirms Ratings on Two Classes of Notes --------------------------------------------------------- Fitch Ratings has affirmed two and downgraded two classes of notes issued by C-BASS CBO V, Ltd./Corp. As of the December 2009 trustee report, the current balance of the portfolio is $69.2 million, of which $1.1 million consists of defaulted securities, as defined in the transaction's governing documents. Approximately 37.6% of the portfolio has been downgraded since Fitch's last rating action in May 2009, resulting in 37.7% of the portfolio with a Fitch derived rating below investment grade and 33.6% with a rating in the 'CCC' rating category or below, as compared to 25.8% and 1.8%, respectively, at last review. 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. These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs - Amended'. Based on this analysis, the class B, class C, and class D-1 and D-2 (class D) notes' breakeven rates are generally consistent with the rating assigned below. As of the December 2009 distribution date, the class A notes have been paid in full, and approximately 43.2% of the class B notes' original balance has delevered. As a result, the credit enhancement available to the class B notes increased from 14.5%, at closing, to 66.5%. Similarly, the credit enhancement for the class C notes increased from 13.1% to 59.3%. However, given the negative outlook to the performance of the underlying assets, Fitch revised the Rating Outlook to Negative for the class B and class C notes. Additionally, the class B and class C notes are assigned Loss Severity ratings of 'LS4' and 'LS5', respectively. The LS rating indicates a 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 'Criteria for Structured Finance Loss Severity Ratings'. Currently, for the class B notes this ratio falls in the range of 0.51 to 1.0, whereas for the class C notes it falls below 0.5. The LS rating should always be considered in conjunction with the probability of default for tranches. While the transaction continues to experience interest shortfall resulting in the class D notes deferring a portion of their interest payments, the class D Interest Coverage ratio has increased to 82.4% from 73.4%, at last review. Fitch projects that compensating interest and principal will ultimately be received by the class D notes. Fitch does not assign Outlooks to tranches rated 'CCC' and below. The Outlook for the class D notes was Stable prior to the downgrades. C-BASS V is a structured finance collateralized debt obligation that closed on Dec. 20, 2002 and is monitored by C-BASS Investment Management LLC. The portfolio is composed primarily of residential mortgage-backed securities 77.4%, asset-backed securities 14.5%, and CDOs 8.1%. Fitch has taken rating actions on the classes listed below. The actions include affirmations, downgrades, assignment of LS ratings and revision of Outlooks as indicated: -- $23,131,920 class B notes affirmed at 'AAA/LS4'; Outlook to Negative from Stable; -- $5,000,000 class C notes affirmed at 'AA+/LS5'; Outlook to Negative from Stable; -- $8,923,395 class D-1 notes downgraded to 'CCC' from 'BBB+'; -- $8,656,605 class D-2 notes downgraded to 'CCC' from 'BBB+'. The class A notes are paid in full. The Outlook for class D-1 and class D-2 was Stable prior to the downgrades. CAPITAL AUTO: Fitch Upgrades Ratings on Three Classes of Notes -------------------------------------------------------------- Fitch Ratings upgrades three and affirms four classes of the Capital Auto Receivables Asset Trust 2007-1 transaction as part of its ongoing surveillance process. The upgrade is a result of continued available credit enhancement in excess of stressed remaining losses. The collateral continues to perform within Fitch's base case expectations. Currently, under the credit enhancement structure, the securities can withstand stress scenarios consistent with the higher rating categories and still make full payments of interest and principal in accordance with the terms of the documents. Fitch upgraded these classes: -- Class B notes to 'AA' from 'A'; Outlook Stable; -- Class C notes to 'A' from 'BBB'; Outlook Stable; -- Class D notes to 'BBB' from 'BB'; Outlook Stable. In addition, Fitch affirms these: -- Class A-3a notes at 'AAA'; Outlook Stable; -- Class A-3b notes at 'AAA'; Outlook Stable; -- Class A-4a notes at 'AAA'; Outlook Stable; -- Class A-4b notes at 'AAA'; Outlook Stable. CBA COMMERCIAL: S&P Downgrades Rating on Class M-6 Cert. to 'D' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class M-6 commercial mortgage pass-through certificate from CBA Commercial Assets' series 2006-2 to 'D' from 'CCC-'. The downgrade of the class M-6 certificate reflects a $247,887 principal loss to the outstanding principal balance of the security due to the liquidation of three assets. The remaining principal balance of the certificate was $2,362,112 as of the Dec. 28, 2009, remittance report. Details of the three liquidated assets are: * The 317 14th Street asset had a total principal balance of $102,458 and was secured by a 2,071-sq-ft. retail property in Ambridge, Pa. According to the Dec. 28, 2009, trustee remittance report, the property was liquidated with a 100% loss severity, resulting in a $102,458 realized loss to the trust. * The 64-66 Seventh Avenue asset had a total principal balance of $323,065 and was secured by a six-unit multifamily property in Woonsocket, R.I. According to the Dec. 28, 2009, trustee remittance report, the property was liquidated with a 71.8% loss severity, resulting in a $231,929 realized loss to the trust. * The 20 North Sarnoff Drive asset had a total principal balance of $313,485 and was secured by a 2,860-sq.-ft. retail property in Tucson. According to the Dec. 28, 2009, trustee remittance report, the property was liquidated with a 58.2% loss severity, resulting in a $182,568 realized loss to the trust. As of the Dec. 28, 2009, remittance report, the collateral pool consisted of 216 loans and five real estate owned assets with an aggregate trust balance of $101.1 million, down from 294 loans totaling $130.5 million at issuance. There are currently 61 loans totaling $33.3 million (32.9%) with the special servicer. Five of the assets in the pool are REO (3.1%), 28 are in foreclosure (15.9%), five are 90-plus-days delinquent (2.4%), seven are 60- plus-days delinquent (4.1%), and six are 30-plus-days delinquent (1.6%). To date, the trust has experienced losses on 17 loans. Class M-6 experienced its first losses in December 2009. The total losses to the trust are $2.9 million. Rating Lowered CBA Commercial Assets Commercial mortgage pass-through certificates series 2006-2 Rating ------ Class To From Credit enhancement ----- -- ---- ------------------ M-6 D CCC- N/A N/A - Not applicable. CBA COMMERCIAL: S&P Downgrades Rating on Class M-6 Cert. to 'D' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class M-6 commercial mortgage pass-through certificate from CBA Commercial Assets 2005-1 to 'D' from 'CCC-'. The downgrade of the class M-6 certificate reflects a $33,004 principal loss to the outstanding principal balance of the security due to the liquidation of one asset. The remaining principal balance of the certificate was $1,306,995 as of the Dec. 28, 2009, remittance report. The liquidated asset, 5930 Preston View Boulevard, had a total principal balance of $816,138 and was secured by a 10,891-sq.-ft. office building in Dallas. According to the Dec. 28, 2009, trustee remittance report, the property was liquidated with a 45.7% loss severity, resulting in a $372,655 realized loss to the trust. As of the Dec. 28, 2009, remittance report, the collateral pool consisted of 280 loans and nine real estate owned assets with an aggregate trust balance of $104.3 million, down from 572 loans totaling $214.9 million at issuance. There are currently 63 loans totaling $21.6 million (10.1%) with the special servicer. Nine of the assets in the pool are REO (1.6%), 35 are in foreclosure (5.3%), 57 are 90-plus-days delinquent (8.8%), nine are 60-plus- days delinquent (1.8%), and three are 30-plus-days delinquent (0.3%). To date, the trust has experienced losses on 39 loans. Class M-6 experienced its first losses in December 2009. The total losses to the trust are $8.9 million. Rating Lowered CBA Commercial Assets 2005-1 Commercial mortgage pass-through certificates series 2005-1 Rating ------ Class To From Credit enhancement ----- -- ---- ------------------ M-6 D CCC- N/A N/A - Not applicable. CREDIT GENESIS: Moody's Upgrades Rating on Class B to 'B1' ---------------------------------------------------------- Moody's Investors Service announced that it has upgraded its rating of this class of notes issued by Credit Genesis CLO 2005-1 Ltd.: -- US$23,000,000 Class B Term Notes (current balance of $2,520,154), Upgraded to B1; previously on December 23, 2008 Downgraded to B3 and Remained Under Review for Possible Downgrade. Credit Genesis CLO 2005-1 Ltd. is a market value collateralized loan obligation transaction backed primarily by bank loans. Credit Genesis CLO 2005-1's debt was accelerated in January 2009 following the occurrence of an event of default caused by the failure of the transaction to comply with certain overcollateralization tests in December 2008. Class B Term Notes became the controlling class of the transaction following a redemption in full of the Class A Notes in December 2008. Under the transaction's governing documents, the controlling class has control over the timing of the liquidation of the transaction's collateral and all proceeds from the underlying assets are used to pay the notes. According to Moody's, the upgrade is a result of the liquidation of the portfolio and the deleveraging of the Class B notes. According to the trustee's report, the outstanding liability of the Class B notes decreased from $23,000,000 in January 2009 to $2,520,154 in December 2009 and the subordinated over- collateralization test level increased from 90.8% to 140.0% during the same period. 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. CREDIT SUISSE: Moody's Reviews Ratings on 12 2004-C4 Certificates ----------------------------------------------------------------- Moody's Investors Service placed 12 classes of Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2004-C4 on review for possible downgrade due to higher expected losses for the pool resulting from anticipated losses from loans in special servicing and a decline in performance of 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 December 17, 2009 distribution date, the transaction's aggregate certificate balance has decreased by 19% to $924 million from $1.1 billion at securitization. The Certificates are collateralized by 162 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten non-defeased loans representing 33% of the pool. Nine loans, representing 23% of the pool, have defeased and are collateralized with U.S. Government securities. Seventy-eight loans, representing 15% of the pool, are secured by residential co-op loans and have underlying ratings of Aaa. Twenty-two loans, representing 11% 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. Three loans have been liquidated from the pool, resulting in an aggregate realized loss of $660,000. Seven loans, representing 13% of the pool, are currently in special servicing. The largest specially serviced loan is the Village on the Parkway Loan ($45.7 million -- 4.9% of the pool), which is secured by a 381,000 square foot retail center in Addison, Texas. This loan is currently 60 days delinquent. The remaining five specially serviced loans are secured by a mix of multifamily, manufactured home parks and retail properties. Moody's review will focus on the performance of the overall pool and potential losses from specially serviced loans. Moody's rating action is: -- Class B, $39,832,000, currently rated Aa1, on review for possible downgrade; previously upgraded to Aa1 from Aa2 on 3/1/2007 -- Class C, $25,607,000, currently rated A2, on review for possible downgrade; previously assigned A2 on 11/12/2004 -- Class D, $9,958,000, currently rated A3, on review for possible downgrade; previously assigned A3 on 11/12/2004 -- Class E, $12,804,000, currently rated Baa1, on review for possible downgrade; previously assigned Baa1 on 11/12/2004 -- Class F, $8,535,000, currently rated Baa2, on review for possible downgrade; previously assigned Baa2 on 11/12/2004 -- Class G, $14,226,000, currently rated Baa3, on review for possible downgrade; previously assigned Baa3 on 11/12/2004 -- Class H, $2,845,000, currently rated Ba1, on review for possible downgrade; previously assigned Ba1 on 11/12/2004 -- Class J, $4,268,000, currently rated Ba2, on review for possible downgrade; previously assigned Ba2 on 11/12/2004 -- Class K, $5,691,000, currently rated Ba3, on review for possible downgrade; previously assigned Ba3 on 11/12/2004 -- Class L, $4,267,000, currently rated B1, on review for possible downgrade; previously assigned B1 on 11/12/2004 -- Class M, $2,846,000, currently rated B2, on review for possible downgrade; previously assigned B2 on 11/12/2004 -- Class N, $4,267,000, currently rated B3, on review for possible downgrade; previously assigned B3 on 11/12/2004 CREDIT SUISSE: S&P Downgrades Ratings on 17 2006-C1 Secutrities --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 17 classes of commercial mortgage-backed securities from Credit Suisse Commercial Mortgage Trust Series 2006-C1, and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on eight 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 on the senior classes. The downgrades of the subordinate classes also reflect credit support erosion S&P anticipate will occur upon the eventual resolution of several specially serviced loans, as well as S&P's analysis of four assets that S&P deem to be credit-impaired. 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 1.50x and a loan-to-value ratio of 98.7%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 1.00x and an LTV ratio of 135.7%. The implied defaults and loss severity under the 'AAA' scenario were 56.3% and 38.7%, respectively. S&P's weighted average DSC and LTV calculations exclude nine ($56.2 million, 1.9%) of the 17 specially serviced assets, four loans that S&P deemed to be credit-impaired ($13.2 million, 0.5%), 67 cooperative apartment loans ($137.8 million; 4.8%), and two defeased loans ($9.3 million, 0.3%). S&P separately estimated losses for the nine specially serviced and four credit-impaired assets, which S&P included in its '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 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-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. 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. Credit Considerations As of the December 2009 remittance report, 17 assets ($249.2 million, 8.6%) in the pool were with the special servicers, Helios AMC LLC and Berkadia Commercial Mortgage LLC. A breakdown of the specially serviced assets by payment status is: three are current (6.3%), one is less than 30 days delinquent (0.04%), two are 30 days delinquent (0.3%), 10 are 90-plus-days delinquent (2.0%), and one is in foreclosure (0.1%). Seven of the specially serviced assets have appraisal reduction amounts in effect totaling $17.4 million. The second-largest loan in the pool, the Saint Louis Galleria loan ($167.5 million, 5.8%), is specially serviced by Berkadia. The loan is secured by a first mortgage encumbering 470,045 sq. ft. of a two- and three-level enclosed super-regional mall in Saint Louis, Mo. The loan was transferred to the special servicer on April 20, 2009, due to the bankruptcy filing of the borrower, General Growth Properties. As of year-end 2008, the reported DSC was 2.0x and occupancy was 93%. On Dec. 15, 2009, the bankruptcy court confirmed a modification plan for 85 GGP loans, including the Saint Louis Galleria loan. The special servicer has confirmed that the maturity date of this loan was extended 78 months, until Jan. 3, 2017. The Core Club loan ($18.0 million 0.6%), is the second-largest loan in special servicing. The loan is secured by a 27,976-sq.- ft. single tenant office/retail property in Manhattan. The loan was transferred to the special servicer on April 14, 2009, due to payment default caused by the rent nonpayment from the property's sole tenant, and is now more than 90 days delinquent. S&P expects a significant loss upon the eventual resolution of this asset. The third-largest loan in special servicing is the Hilton Rialto Place Melbourne loan ($16.1 million, 0.6%). This loan was transferred to the special servicer on July 15, 2009, due to payment default and is more than 90 days delinquent. The loan is secured by a 237-room full-service hotel built in 1985 in Melbourne, Fla. Reported occupancy at the property over the past six months is averaging less than 50%. S&P expects a moderate loss upon the eventual resolution of this asset. The 14 remaining specially serviced loans ($47.6 million, 1.7%) have balances that individually represent less than 0.4% of the total pool balance. S&P estimated losses for seven of these 14 loans resulting in a weighted average loss severity of 26.2%. The four loans ($13.2 million, 0.5%) that S&P deemed to be credit- impaired are all reported delinquent and have balances that individually represent less than 0.15% of the total pool balance. S&P estimated losses for these four loans, resulting in a weighted average loss severity of 18.9%. Transaction Summary As of the December 2009 remittance report, the collateral pool had an aggregate trust balance of $2.89 billion, which is approximately 96.2% of the balance at issuance. The pool consists of 411 assets, down from 418 at issuance. The master servicers for the transaction are Berkadia, KeyCorp Real Estate Capital Markets Inc., and NCB FSB. The master servicers provided financial information for 99.4% of the pool; 96.8% of the financial information was full-year 2008 data or interim-2009 data. S&P calculated a weighted average DSC of 1.60x for the pool based on the servicer-reported figures. S&P's adjusted DSC and LTV were 1.50x and 98.7%, respectively. S&P's adjusted figures exclude nine specially serviced assets ($56.2 million, 1.9%), four loans that S&P deemed to be credit-impaired ($13.2 million, 0.5%), 67 cooperative loans ($137.8 million; 4.8%), and two defeased loans ($9.3 million, 0.3%). Ninety loans ($551.0 million, 19.1%) are on the master servicers' watchlists. Eighty-four loans ($398.4 million, 13.8%) have a reported DSC of less than 1.10x, and 60 of these loans ($287.0 million, 9.9%) 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 $990.9 million (34.3%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.68x for the top 10 loans. Two of the top 10 loans appear on the master servicers' watchlists and are discussed below. S&P's adjusted DSC and LTV for the top 10 loans are 1.65x and 87.7%, respectively. The 8201 Greensboro Drive loan ($76.0 million, 2.6%) is the fourth-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 December 2009 remittance report. The loan is secured by a 360,854'sq.-ft. class A office building in McLean, Va.; the building has an attached five-story parking garage. The loan appears on the watchlist because of a decrease in occupancy at the property. The master servicer reported occupancy at the property had dropped to 75% in November 2009 from 85.7% in September 2008, and 95.4% in September 2007. Based on net cash flow, the reported DSC was 1.31x as of June 2009, down from 1.57x as of September 2008. The Lane Portfolio loan ($41.3 million, 1.4%) is the eighth- 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 December 2009 remittance report. The loan is secured by three hotel properties in Annapolis, Md., Durham, N.C., and Kentwood, Mich. The loan appears on the watchlist due to a decrease in DSC. Based on net cash flow, the reported DSC as of September 2009 was 0.85x, down from 1.10x at year-end 2008, and 1.43x 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 Credit Suisse Commercial Mortgage Trust Series 2006-C1 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-M AA- AAA/Watch Neg 20.78 A-J A- AAA/Watch Neg 12.60 B BBB+ AA+/Watch Neg 11.95 C BBB AA/Watch Neg 10.65 D BBB- AA-/Watch Neg 9.48 E BB+ A+/Watch Neg 8.70 F BB A/Watch Neg 7.53 G BB- A-/Watch Neg 6.49 H B+ BBB+/Watch Neg 5.32 J B+ BBB/Watch Neg 4.29 K B BBB-/Watch Neg 2.99 L B BB/Watch Neg 2.47 M B- BB-/Watch Neg 2.08 N CCC+ B/Watch Neg 1.69 O CCC+ B-/Watch Neg 1.56 P CCC CCC+/Watch Neg 1.43 Q CCC- CCC/Watch Neg 1.17 Ratings Affirmed Credit Suisse Commercial Mortgage Trust Series 2006-C1 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA 31.17 A-2 AAA 31.17 A-3 AAA 31.17 A-AB AAA 31.17 A-4 AAA 31.17 A-1A AAA 31.17 A-X AAA N/A A-Y AAA N/A N/A - Not applicable. FORD AUTO: S&P Assigns 'BB+' Rating on Class D 2010-R1 Notes ------------------------------------------------------------ Standard & Poor's Ratings Services assigned its preliminary ratings to Ford Auto Securitization Trust's C$375.175 million asset-backed notes series 2010-R1. The preliminary ratings are based on information as of Jan. 12, 2010. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: * The availability of approximately 13.3%, 10.5%, 8.6%, and 6.8% credit support to the class A, B, C, and D notes, respectively, based on stressed break-even cash flow scenarios. These credit support levels provide more than 5x, 4x, 3x, and 2x coverage of S&P's expected net loss range of 2.05%-2.25% for the class A, B, C, and D notes, respectively; * The transaction's ability to withstand more than 1.5x S&P's expected net loss level in its "what-if" scenario analysis before becoming vulnerable to a negative CreditWatch action and/or a potential downgrade; * The timely interest and principal payments made under stressed cash flow modeling scenarios appropriate to the preliminary rating categories; * The characteristics of the pool being securitized; and * The transaction's legal structure. Preliminary Ratings Assigned Ford Auto Securitization Trust - Series 2010-R1 Interest Amount Expected legal final Class Rating Type rate (mil. C$)* final maturity date ----- ------ ---- -------- ---------- -------------------- A-1 AAA Senior Fixed 183.882 October 2012 A-2 AAA Senior Fixed 78.952 October 2013 A-3 AAA Senior Fixed 86.594 December 2014 B AA Subordinate Fixed 11.035 February 2015 C A Subordinate Fixed 7.356 August 2015 D BB+ Subordinate Fixed 7.356 July 2016 * The actual size of these tranches will be determined on the pricing date. FORD CREDIT: Fitch Upgrades Ratings on Three Classes of Notes ------------------------------------------------------------- Fitch Ratings upgrades three and affirms seven classes of two Ford Credit Auto Owner Trusts as part of its ongoing surveillance process. The collateral continues to perform within Fitch's base case expectations. Currently, under the credit enhancement structure, the securities can withstand stress scenarios consistent with the rating categories and still make full payments of interest and principal in accordance with the terms of the documents. As before, the ratings reflect the quality of Ford Motor Credit Co.'s retail auto loan originations, the sound financial and legal structure of the transactions, and servicing provided by FMCC. The rating actions are: 2006-A -- Class A-4 notes affirmed at 'AAA'; Outlook Stable; -- Class B notes affirmed at 'AAA'; Outlook Stable; -- Class C notes affirmed at 'AAA'; Outlook Stable; -- Class D notes affirmed at 'AA'; Outlook Positive. 2008-A -- Class A-3a notes affirmed at 'AAA'; Outlook Stable; -- Class A-3b notes affirmed at 'AAA'; Outlook Stable; -- Class A-4 notes affirmed at 'AAA'; Outlook Stable; -- Class B notes upgraded to 'AA' from 'A'; Outlook Positive; -- Class C notes upgraded to 'A' from 'BBB'; Outlook Positive; -- Class D notes upgraded to 'BBB' from 'BB'; Outlook Positive. FOUNDATION RE: S&P Assigns 'BB+' Rating on Series 2010-1 Notes -------------------------------------------------------------- Standard & Poor's Ratings Services said that it assigned its 'BB+' rating to Foundation Re III Ltd.'s proposed Series 2010-1 principal-at-risk variable-rate notes. These notes will be exposed to losses from hurricanes in the covered area. Foundation Re III is a special-purpose Cayman Islands exempted company licensed as a Class B insurer in the Cayman Islands. HSBC Bank (Cayman) Ltd., as share trustee, will hold all of Foundation Re III's issued and outstanding share capital under a declaration of trust for certain charitable purposes. The insurer financial strength ratings on Hartford Fire Insurance Co., the ceding insurer, and its intercompany pool members (collectively referred to as Hartford) reflect Hartford's strong competitive position in the property/casualty market, strong underwriting performance, and strong capitalization. Somewhat offsetting these positive factors are the group's large exposure to asbestos claims, though this risk is decreasing; reserve releases of long-tail lines of businesses that might not recur in future years and could result in lower earnings; and costs associated with runoff operations. Ratings List New Rating Foundation Re III Ltd. $100M Series 2010-1 notes BB+ GE COMMERCIAL: Fitch Takes Rating Actions on 2005-C2 Certs. ----------------------------------------------------------- Fitch Ratings takes various actions on several classes of GE Commercial Mortgage Corporation commercial mortgage pass-thru certificates, series 2005-C2. 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 5.4% for this transaction, should market conditions not recover. The rating actions are based on losses of 5.4%, 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 year-end 2007 projected over a three-year period. If the stressed cash flow would cause the loan to fall below 0.95 times, 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 54.3% 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 93% of the recognized losses. Approximately 90% of the mortgages mature within the next five years: 19.4% in 2010, 6.4% in 2011, 4.2% in 2012 and 59.9% in 2015. Fitch identified 34 Loans of Concern (26%) within the pool, 8 of which (7%) are specially serviced. Of the specially serviced loans, five (6%) are current. Losses are expected on four (6.8%%) of the Top 15: three are expected to default during the term, while one, with losses of one (1.5%) is expected to default at maturity. Loss severities associated with these loans range from 21% to 49%. The largest overall contributors to deal loss are: Lodge at Kingwood (1.5%), Extra Space Portfolio (0.8%), and Melrose (0.7%). Lodge at Kingwood is a garden-style multifamily property consisting of 312 units, located in Kingwood, TX. The property has experienced declines in performance due to weak market, and occupancy declines in 2006 and 2007. The most recent servicer reported debt-service coverage ratio as of year-end 2008 was 1.16x with occupancy of 94.2% compared to 1.32x and 95% occupancy at issuance. Fitch expects that the loan may default at the May 2010 maturity as cash flow is not expected to increase to a level that would meet Fitch's refinance criteria. Extra Space Portfolio consists of three self-storage facilities totaling 197,403 square feet located in IL, and two properties located in NJ. The portfolio performance has declined since issuance as a result of lower occupancy as well as current economic and market conditions. The most recent servicer reported DSCR as of September 2009 is 1.27x and 84% occupancy. 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. Melrose is a multifamily student-housing property consisting of 271 units, located in Urbana, IL. The property suffers from increased competition in the area as a result of new rooms built at the University of Illinois in addition to current economic conditions and a soft market. The property is 66% occupied as of Nov. 6, 2009. The most recent servicer reported DSCR as of September 2009 is 0.14x. Fitch expects that the loan may default prior to maturity given the decline in performance. Fitch downgrades, removes from Rating Watch Negative, assigns Outlooks and LS ratings: -- $149.1 million class A-J to 'AA/LS3' from 'AAA'; Outlook Stable; -- $14 million class B to 'AA/LS5' from 'AAA'; Outlook Stable; -- $30.3 million class C to 'A/LS5' from 'AA'; Outlook Stable; -- $16.3 million class D to 'BBB/LS5' from 'AA-'; Outlook Stable; -- $25.6 million class E to BB/LS5' from 'A'; Outlook Stable; -- $16.3 million class F to 'BB/LS5' from 'A-'; Outlook Stable; -- $21 million class G to 'B/LS5' from 'BBB+'; Outlook Negative; -- $16.3 million class H to 'B-/LS5' from 'BBB'; Outlook Negative; -- $21 million class J to 'B-/LS5' from 'BB+'; Outlook Negative; -- $9.3 million class K to 'B-/LS5' from 'BB'; Outlook Negative; -- $7 million class L to 'B-/LS5' from 'B+'; Outlook Negative; In addition, Fitch affirms these classes, assigns Rating Outlooks, and LS Ratings: -- $132.6 million class A-2 at 'AAA/LS1'; Outlook Negative; -- $132.4 million class A-3 at 'AAA/LS1'; Outlook Negative; -- $72.4 million class A-AB at 'AAA'/LS1; Outlook Negative; -- $445.4 million class A-4 at 'AAA/LS1'; Outlook Negative; -- $409.5 million class A-1A at 'AAA/LS1'; Outlook Negative; -- Interest-only class X-P at 'AAA'; Outlook Negative; -- Interest-only class X-C at 'AAA'; Outlook Negative; -- $9.3 million class M to 'B-/LS5' from 'BB-'; Outlook Negative. Fitch does not rate classes N, O, P and Q certificates. Class A-1 has paid off in full. GMAC INC: Moody's Upgrades Ratings on 13 Classes of Notes --------------------------------------------------------- Moody's Investors Service has upgraded the ratings of thirteen classes of notes issued from nine auto lease securitizations sponsored by GMAC Inc. The rating actions reflect the continued improvement in performance, particularly with recoveries on residual value from terminated leases. Furthermore, the ratings account for the emergence from bankruptcy of General Motors Company, the manufacturer of the underlying vehicles, and reduced uncertainty surrounding the future of GMAC, the servicer of the transactions; both lowering the potential for volatility of future performance. Weaker than expected residual value realization had motivated the previous downgrades of these transactions. The concerns centered around (1) the affect of a prolonged contentious GM bankruptcy on the recoveries of the vehicles backing the underlying lease pool and (2) the ability of GMAC, given its linkage to GM as its captive finance arm, to effectively remarket the leases without any meaningful disruption. The lack of historical precedents for a bankruptcy of such size in the industry added to the uncertainty. Positive residual value realization trends have enabled the affected securities to build substantial credit enhancement. At the same time, the financial and operational restructuring of GM and GMAC have alleviated immediate concerns about the operational risk of these entities and its impact on the performance of the transactions, though both firms continue to face longer-term operating challenges. General Motors Corporation ("Old GM") filed Chapter 11 bankruptcy on June 11, 2009. Moody's, however, did not observe any material adverse impact of the Old GM bankruptcy on residual values. Residual values experienced unprecedented volatility at various points during the last fifteen months due to the broader macroeconomic environment and the deteriorating financial condition of the auto industry. They stabilized for GM as well as the industry during first half of 2009 and improved further into the second half of the year. The swift and successful emergence of New GM from bankruptcy on July 10 through support from the U.S. government seems to have mitigated downward pressure on GM residual values. Other factors that could have contributed to the improving trends include increased consumer demand for used vehicles as a cheaper alternative to buying a new vehicle. Uncertainties relating to the role of GMAC as the servicer, particularly its ability to remarket a sizeable number of off- lease vehicles in a short period of time, were mitigated by the U.S. government's support and increasing stake in the company that have improved its liquidity and capital positions. The agreement with Chrysler LLC to provide financing to Chrysler dealers and customers further strengthened GMAC's competitive position in the market. The senior securities that were upgraded to Aaa are expected to withstand residual value loss per vehicle of approximately 50% or higher during the peak period of lease maturities. This level is roughly twice the average peak residual value loss levels experienced by the sector during the second half of 2008, when losses were at their highest. Residual value losses on turned-in vehicles fluctuated from low-to-mid single digits from the second quarter of 2008 to mid 20% range during the last quarter. The senior securities that were upgraded to Aa are expected to withstand residual value loss per vehicle of approximately 40% to 50% during the peak period of lease maturities. Moody's also took the distribution of lease maturities into consideration in deriving the final ratings. The transactions where leases are expected to mature in the near term are more likely to benefit from the current rebound in the vehicle market. Conversely, transactions where lease maturities are further out into 2011 are subject to greater uncertainty. The complete rating actions are: Issuer: Capital Auto Receivables Asset Trust 2007-SN2 -- Cl. A-3, Upgraded to Aaa; previously on 7/30/2009, Baa1 Placed on Review for Possible Upgrade -- Cl. A-4, Upgraded to Aaa; previously on 7/30/2009, Baa1 Placed on Review for Possible Upgrade -- Cl. B, Upgraded to Aa2; previously on 7/30/2009, Baa3 Placed on Review for Possible Upgrade -- Cl. C, Upgraded to A2; previously on 7/30/2009, Ba3 Placed on Review for Possible Upgrade -- Cl. D, Upgraded to Baa2; previously on 7/30/2009, B3 Placed on Review for Possible Upgrade Issuer: Capital Auto Receivables Asset Trust 2007-SNE -- Cl. A, Upgraded to Aa1; previously on 7/30/2009, Baa1 Placed on Review for Possible Upgrade Issuer: Capital Auto Receivables Asset Trust 2007-SNG -- Cl. A, Upgraded to Aa2; previously on 7/30/2009, Baa1 Placed on Review for Possible Upgrade Issuer: Capital Auto Receivables Asset Trust 2008-SNA -- Cl. A, Upgraded to Aa2; previously on 7/30/2009, Baa1 Placed on Review for Possible Upgrade Issuer: Capital Auto Receivables Asset Trust 2008-SNB -- Cl. A, Upgraded to Aa2; previously on 7/30/2009, Baa1 Placed on Review for Possible Upgrade Issuer: Capital Auto Receivables Asset Trust 2008-SND -- Cl. A, Upgraded to Aa2; previously on 7/30/2009, Baa1 Placed on Review for Possible Upgrade Issuer: Capital Auto Receivables Asset Trust 2008-SNE -- Cl. A, Upgraded to Aa3; previously on 7/30/2009, Baa1 Placed on Review for Possible Upgrade Issuer: Capital Auto Receivables Asset Trust 2008-SNF -- Cl. A, Upgraded to Aa3; previously on 7/30/2009, Baa1 Placed on Review for Possible Upgrade Issuer: Capital Auto Receivables Asset Trust 2008-SNH -- Cl. A, Upgraded to Aaa; previously on 7/30/2009, A2 Placed on Review for Possible Upgrade Servicer GMAC provides wholesale, retail, and lease financing, primarily to General Motors Company and Chrysler dealers and is one of the world's largest auto finance companies. GMAC's senior unsecured rating was upgraded from C to Ca on June 10, 2009. The rating remains under review for further possible upgrade. The upgrade and the review reflect the firm's lower bankruptcy risk resulting from the U.S. government's support of the firm, including significant capital injections that have improved its liquidity and capital positions; U.S. government ownership of approximately 56% of common equity; and GMAC's role in the U.S. government's efforts to reinvigorate the U.S. domestic auto industry. General Motors Company ("New GM"), headquartered in Detroit, Michigan, is one the world's largest auto manufacturers. GOLDMAN SACHS: Fitch Affirms Ratings on Four Classes of Notes ------------------------------------------------------------- Fitch Ratings affirms Goldman Sachs Auto Loan Trust 2006-1, and revises the Outlooks. The collateral continues to perform within Fitch's base case expectations. Currently, under the credit enhancement structure, the securities can withstand stress scenarios consistent with the ratings assigned and still make full payments of interest and principal in accordance with the terms of the documents. As before, the ratings on the notes are based on their respective levels of credit. The securities are backed by a pool of prime retail installment sales contracts secured by new and used automobiles and light duty trucks from a diverse pool of manufacturers. All ratings reflect the transaction's sound legal structure and the high quality of the retail auto receivables originated by Huntington National Bank, Ford Motor Credit Co., and Ohio Savings Bank. Fitch has taken these rating actions: -- Class A-4 affirmed at 'AAA'; Outlook Stable; -- Class B affirmed at 'A+'; Outlook revised to Stable from Positive; -- Class C affirmed at 'BBB+'; Outlook revised to Stable from Positive; -- Class D affirmed at 'BB+'; Outlook revised to Stable from Positive. GS MORTGAGE: S&P Puts Ratings on 2007-EOP Certs. on Negative Watch ------------------------------------------------------------------ Standard & Poor's Ratings Services placed its ratings on eight classes of pass-through certificates from GS Mortgage Securities Corp. II's series 2007-EOP on CreditWatch with negative implications. Concurrently, the rating on the class L certificate from the same transaction remains on CreditWatch negative. The collateral for this transaction consists of one floating-rate interest-only loan. The CreditWatch placements follow S&P's preliminary analysis of the borrower's financial statements and rent rolls for the office properties that serve as collateral for the sole mortgage loan in the transaction. The financial statements S&P reviewed are for the trailing 12 months ended Sept. 30, 2009, and the rent rolls S&P reviewed are as of Sept. 30, 2009. Based on S&P's preliminary review of this information, which was provided by the master servicer, Bank of America N.A., the office properties securing this loan have, in general, experienced net cash flow declines. S&P primarily attribute these declines to lower overall occupancy for the portfolio; occupancy had fallen to 82% as of September 2009 from 92% at issuance. The September 2009 occupancy excludes certain tenants (representing 2% of the net rentable area {NRA}) that have lease expirations at the end of 2009 or early 2010. The borrower has indicated that these tenants will vacate the properties upon their lease expiration dates. S&P expects to resolve the CreditWatch placements after completing S&P's analysis of the property cash flows. According to the Jan. 6, 2010, trustee remittance report, the mortgage loan has a trust and whole-loan balance of $4.94 billion, which is currently secured by 99 office properties totaling 34.2 million sq. ft. in 10 U.S. states. Since issuance, 36 office properties have been released from the collateral pool, resulting in a $1.93 billion paydown of the senior loan balance. The floating-rate interest-only loan matures on Feb. 1, 2010. Bank of America indicated that the borrower has given notice to exercise one of its two remaining one-year extension options. In addition, the equity interests of the borrower secure five mezzanine loans totaling $2.06 billion, down from $3.94 billion at issuance. The mezzanine loans are held outside the trust. The current collateral for the loan consists of these: * First mortgage liens on 79 office properties totaling 23.1 million sq. ft.; * Cash flow pledges of the borrower's joint venture interests in 13 office properties totaling 7.5 million sq. ft.; * Equity pledges of the borrower's joint venture interests in three properties totaling 1.6 million sq. ft.; and * Other collateral including covenants to apply proceeds and collateral note assignments with respect to four properties totaling 2.0 million sq. ft. The top five geographic concentrations for the loan collateral are: * Boston (36% of NRA), Northern California (34% of NRA), Southern California (16% of NRA), Manhattan (4% of NRA), and New Orleans (4% of NRA). Ratings Placed On Creditwatch Negative GS Mortgage Securities Corp. II Pass-through certificates series 2007-EOP Rating ------ Class To From ----- -- ---- C AAA/Watch Neg AAA D AAA/Watch Neg AAA E AAA/Watch Neg AAA F AA+/Watch Neg AA+ G AA-/Watch Neg AA- H A/Watch Neg A J BBB+/Watch Neg BBB+ K BBB/Watch Neg BBB Rating Remaining On Creditwatch Negative GS Mortgage Securities Corp. II Pass-through certificates series 2007-EOP Class Rating ----- ------ L BB+/Watch Neg HEARTLAND FUNDING: S&P Downgrades Rating on 2007-2 Notes to 'CC' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the notes from Heartland Funding PLC's series 2007-2 to 'CC' from 'CCC-'. The downgrade follows a number of credit events within the underlying portfolio, which S&P expects to cause the class of notes to incur a principal loss. HELIOS FINANCE: Fitch Takes Rating Actions on 2007-S1 Notes ----------------------------------------------------------- Fitch Ratings downgrades one class and affirms six classes of asset-backed notes of HELIOS Finance Limited Partnership 2007-S1. The class B-4 notes have been downgraded because the revised lifetime cumulative net losses of the transaction would result in a principal loss for this tranche. Additionally, the class B-3 notes have been assigned a Recovery Rating of 3 (51%-70% recoveries) under Fitch's analysis. The rating action reflects the continued weaker than expected performance of 2007-S1 above Fitch's original base case expectations for cumulative net losses. Through month 21 (the December collection period), total 30+ days delinquencies stood at 6.13% and CNL were at 4.88%. Fitch expects lifetime CNL in the 5%-6% range which is approximately 25%-50% higher than Fitch's original base case CNL proxy for the transaction. Fitch's current analysis of the transaction incorporated updated stresses of the revised base case CNL assumptions, the timing of the remaining losses, and various prepayment assumptions. Based on these new expectations, Fitch believes that the current credit enhancement available supports multiples consistent with the affirmed and downgraded ratings. The rating actions are: -- Class A-1 affirmed at 'AAA'; Outlook Stable; -- Class A-2 affirmed at 'AA'; Outlook Stable; -- Class A-3 affirmed at 'A'; Outlook Stable; -- Class B-1 affirmed at 'BBB'; Outlook Stable; -- Class B-2 affirmed at 'BB'; Outlook Stable; -- Class B-3 downgraded to 'C/RR3' from 'CCC/RR3'; -- Class B-4 affirmed at 'C/RR6'. INDEPENDENCE IV: Fitch Downgrades Ratings on Five Classes --------------------------------------------------------- Fitch Ratings has downgraded five classes and affirmed one class of notes issued by Independence IV CDO Ltd./Inc. as a result of continued credit deterioration in the portfolio since Fitch's last rating action in August 2008. Approximately 74% of the portfolio has been downgraded since the last review. The details of the rating action follow at the end of this release. As of the December 2009 trustee report, the current balance of the portfolio is $132.7 million. Defaulted securities, as defined in the transaction's governing documents, now comprise 39.3% of the portfolio, compared to 16.9% at last review. The downgrades to the portfolio have left approximately 71% of the portfolio (including defaults) with a Fitch derived rating below investment grade and 48.5% with a rating in the 'CCC' rating category or lower, compared to 52.5% and 40.1%, respectively at last review. 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, A-2, A-3 and B notes have the credit enhancement levels of 28.4%, 6.9%, -13.7% and -35.2%, respectively, as compared to the 48.5% of the portfolio considered distressed. These classes all continue to receive timely interest; however, all of the interest due is being fulfilled through principal proceeds. Fitch believes that default is inevitable for these classes at or prior to maturity. Therefore, these classes have been downgraded to 'C'. The class C notes are no longer receiving interest distributions and are not expected to receive any proceeds going forward. Therefore, the class C notes have been affirmed at 'C' to indicate Fitch's belief that default is inevitable at or prior to maturity. Independence IV is a cash flow structured finance collateralized debt obligation that closed on June 26, 2003. The portfolio is monitored by Declaration Management & Research LLC. The portfolio is composed of residential mortgage-backed securities (62.8%), commercial mortgage-backed securities (17.8%), CDOs (9.7%), asset- backed securities (5.5%), real estate investment trusts (2.2%), and corporate bonds (2%). Fitch has downgraded and affirmed these ratings as indicated: -- $48,354,851 class A-1 notes (series 1) downgraded to 'C' from 'BB'; -- $48,613,920 class A-1 notes (series 2) downgraded to 'C' from 'BB'; -- $29,235,208 class A-2 notes downgraded to 'C' from 'B'; -- $27,773,448 class A-3 notes downgraded to 'C' from 'CCC'; -- $29,235,208 class B notes downgraded to 'C' from 'CC'; -- $27,922,190 class C notes affirmed at 'C'. INDUSTRIAL DEVELOPMENT: Fitch Assigns 'BB+' Rating on B Bonds ------------------------------------------------------------- Fitch Ratings has assigned a 'BB+' rating to the upcoming reoffering of The Industrial Development Authority of the County of Pima's (the Authority) $130 million industrial development revenue bonds, 2008 series B (Tucson Electric Power Co. Project) due Sept. 1, 2029. The reoffered IDRBs will be the tax-exempt, fixed-rate, senior unsecured obligations of TEP. The Rating Outlook is Positive. Since their original issuance on June 1, 2008, interest on the IDRBs has been reset on a weekly basis. The variable-rate bonds were backed by a $132 million letter of credit secured by a pledge of first mortgage bonds. TEP has exercised its right under the indenture to convert the interest rate on the bonds to a term rate through maturity in 2029. Proceeds from the anticipated reoffering will be used to pay the purchase price of the bonds due to prior holders upon the interest rate conversion. Upon completion of the $130 million bond reoffering, the $132 million LOC facility will expire. Fitch believes the reduction in TEP's variable-rate debt component as the result of this transaction is a modestly constructive credit development. Fitch affirmed TEP's ratings on Nov. 27, 2009 and revised the Rating Outlook to Positive from Stable. The Positive Outlook primarily reflects TEP's stronger and more stable prospective earnings, primarily due to an Arizona Corporation Commission (ACC)-approved rate increase and the adoption of a purchase power and fuel adjustment clause in the utility's last general rate case. A final order was issued in the fourth quarter of 2008 in the GRC. With a higher and more predictable cash flow stream, Fitch believes the need for future bank waivers to avoid violation of loan covenants, as experienced in 2008, is reduced. This combined with projected TEP debt-to-EBITDA and EBITDA-to-interest ratios of better than 4 times in 2009-2010 supports the Positive Outlook and represents a significant improvement from 2008 debt- to-EBITDA and EBITDA-to-interest ratio levels of 5.3x and 2.4x, respectively. The ratings also recognize TEP's competitive rates, relatively low-cost generating resource mix, historic, above- industry-average service territory growth and significant debt reduction in recent years. In addition to higher fuel and base rates authorized in its last GRC, TEP's year-to-date 2009 earnings have benefited from warmer- than-normal weather as evidenced by higher cooling degree days compared to its 10-year average and year ago levels. Fitch believes higher TEP fuel and base rates support prospective earnings consistent with or higher than current trailing 12 month levels and a potential future credit rating upgrade. Fitch expects TEP's operating cash flow to be sufficient to meet its capital investment and dividend requirements, reflecting higher rates and reduced capital expenditures, during 2009-2013. The ACC order in TEP's GRC increased the utility's base rates $50 million (6%) effective Dec. 1, 2008. The ACC order also authorized implementation of a PPFAC Jan. 1, 2009 that allows TEP to defer and recover 100% of the difference in the actual net power supply costs from amounts reflected in rates. Rates are to be reset annually to collect deferral balances and prospective power supply costs. In addition, the settlement includes a moratorium that effectively freezes base rates through 2012. However, the agreement does not preclude the company from filing to recover costs related to the imposition of future federal carbon emission regulations. Fitch believes the adoption of the PPFAC by the ACC is a constructive development for TEP that will result in relatively predictable earnings and cash flows and a meaningfully lower business risk profile compared to its pre-rate case business model. Credit concerns for TEP investors include: regulatory lag; frozen non-fuel rates; covenants in the company's bank facilities that limit prospective mortgage debt issuance; and, a relatively high degree of variable-rate debt. In 2008, TEP amended and restated its secured credit facilities modifying the maximum allowable leverage ratio contained therein from 4.0x to 4.50x from July 1, 2008 through Sept. 30, 2008; 4.75x from Oct. 1, 2008 through Dec. 31, 2008; 4.50x from Jan. 1, 2009 through June 30, 2009; and 4.0x after June 30, 2009. The amendment became necessary due to the negative impact of high net power supply costs in the first half of 2008 combined with the absence of a PPFAC, frozen rates and other operating factors. As the result of the implementation of the PPFAC and $50 million rate hike, Fitch expects TEP EBITDA to be reasonably stable at higher levels in 2009 and beyond compared to 2008. Maturities are manageable with no TEP long-term debt scheduled to mature in 2009-2013. As of Sept. 30, 2009, TEP had cash and cash equivalents totaling $14 million and $124 million of borrowing capacity available under its $150 million secured revolving credit facility. TEP has a total of $623 million of secured bank facilities including a $150 million revolver used to meet day-to- day working capital requirements and two secured LOC facilities totaling $473 million that support outstanding tax-exempt, variable-rate industrial revenue bonds. Upon completion of the planned $130 million IDRB reoffering, TEP's $132 million LOC facility will terminate. TEP's remaining $491 million credit facility, which is comprised of a $150 million revolver and $341 million LOC facility, matures in August 2011. The credit implications of TEP's status as a subsidiary utility operating company within the UniSource Energy corporate complex are also factored into TEP's credit ratings. Fitch notes that the amount of dividends TEP is permitted to upstream to UNS is limited under the Federal Power Act. UNS owns the much smaller, UniSource Energy Services, Inc., an intermediate holding company which owns two Arizona-based operating utility subsidiaries, UNS Gas, a wholly-owned natural gas distribution company serving 146,000 customers and UNS Electric, a wholly-owned electric distribution utility serving 90,000 customers. UNS also owns UniSource Energy Development Company and Millennium Energy Holdings, Inc. UED developed and owns a natural gas-fired combustion turbine in Northern Arizona that supplies energy to UES' electric utility subsidiary. Millennium has existing investment in unregulated businesses that represent 1% of UNS' total assets as of Dec. 31, 2008. There are no cross-defaults or guarantees between TEP and its corporate parent or affiliate companies. INDYMAC RESIDENTIAL: S&P Downgrades Ratings on 11 Securities ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 11 classes from seven residential mortgage-backed securities transactions issued by IndyMac Residential Mortgage Backed Trust and backed by U.S. residential lot loan collateral issued between 2004 and 2007 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on two classes from one additional transaction. The downgrades reflect S&P's opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings, given its current projected losses. To assess the creditworthiness of each class, S&P reviewed the individual delinquency and loss trends of each transaction for changes, if any, in risk characteristics, servicing, and the ability to withstand additional credit deterioration. In order to maintain a 'B' rating on a class, S&P assessed whether, in S&P's 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 its base-case loss assumptions at a percentage specific to each rating category, up to 150% for an '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 its base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in S&P's view, withstand approximately 150% of its base-case loss assumptions under its analysis. The affirmed ratings reflect S&P's belief that the amount of credit enhancement available for these classes is sufficient to cover losses associated with these rating levels. Subordination provides credit support for the affected transactions. In addition, some classes also benefit from overcollateralization (prior to its depletion) and excess spread. The senior classes of series 2004-L1, 2005-L2, 2005-L3, and 2006- L2 are insured by FGIC Corp. (financial strength rating: 'NR'), and the senior classes of series 2006-L1, 2006-L3, 2006-L4, and 2007-1 are insured by Ambac Assurance Corp. (financial strength rating: 'CC'). FGIC has stopped making claim payments; however, Ambac continues to pay. Although the bond-insured classes from series 2005-L3 and 2006-L2 no longer have any subordination, they can not be written down, as specified by the transaction documents. Series 2005-L3 and 2006-L2 are undercollateralized, yet they continue to receive their scheduled interest payments. The ratings on the bond-insured classes reflect the higher of (i) Standard & Poor's Underlying Rating (SPUR) and (ii) the rating on the bond insurer. The underlying pool of loans backing these transactions consists of residential lot loans, which generally have two- or five- year terms with a balloon payment due upon maturity. These loans provide financing for borrowers who intend to build a home and are secured by a parcel of land that has been improved for residential use; that is, it is legally accessible by street, and sewer, electricity, and water are available to the site. Rating Actions INDYMAC Residential Mortgage Backed Trust Series 2005-L2 Series 2005-L2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 456606HK1 CCC BBB-/Watch Neg A-2 456606HL9 CCC BBB-/Watch Neg IndyMac Residential Mortgage Backed Trust Series 2006-L1 Series 2006-L1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 456606LM2 CCC BBB-/Watch Neg A-3 456606LN0 CCC BBB-/Watch Neg IndyMac Residential Mortgage Backed Trust Series 2006-L4 Series 2006-L4 Rating ------ Class CUSIP To From ----- ----- -- ---- A 45660AAA1 CCC BBB/Watch Neg IndyMac Residential Mortgage-Backed Trust Series 2007-L1 Series 2007-L1 Rating ------ Class CUSIP To From ----- ----- -- ---- A 45668QAA8 CCC BBB-/Watch Neg IndyMac Residential Mortgage-Backed Trust Series 2005-L3 Series 2005-L3 Rating ------ Class CUSIP To From ----- ----- -- ---- A 456606JY9 CC BBB-/Watch Neg IndyMac Residential Mortgage-Backed Trust Series 2006-L2 Series 2006-L2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 45661FAB7 CCC BB/Watch Neg A-3 45661FAC5 CCC BB/Watch Neg IndyMac Residential Mortgage-Backed Trust Series 2006-L3 Series 2006-L3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 45667HAB7 CCC BBB-/Watch Neg A-3 45667HAC5 CCC BBB-/Watch Neg Ratings Affirmed IndyMac Loan Trust 2004-L1 Series 2004-L1 Class CUSIP Rating ----- ----- ------ M 45660YAJ0 BBB B 45660YAK7 BB IOWA HIGHER: Fitch Downgrades Rating on 2005A Bonds to 'BB' ----------------------------------------------------------- Fitch Ratings has downgraded the rating on the Iowa Higher Education Loan Authority's private facility revenue bonds series 2005A (Wartburg College Project) issued on behalf of Wartburg College (Wartburg) to 'BB' from 'BBB-'. The Rating Outlook is revised to Negative. Rating Rationale: -- The rating downgrade reflects a substantially weakened credit profile characterized by volatile operating margins which are becoming increasingly negative and more recent declines in available funds due to financial market turbulence. -- The Negative Outlook reflects the financial stress created by Wartburg's extremely limited ability to raise revenue sufficient to meet increasing principal and interest requirements, coupled with its materially weakened financial cushion, which cannot be relied upon indefinitely in the absence of available surpluses to meet debt service. Without stabilization of operating margins to at least break even and the gradual restoration of available funds closer to historical levels, additional negative rating action is likely. What Could Trigger A Downgrade: -- Failure to stabilize operating performance to a level sufficient to cover outstanding debt service by 1.0 times(x). -- Inability to gradually restore available funds to levels in line with historical values. Security: The series 2005A bonds are a general obligation of the college and are further secured by a lien on revenues and a mortgage on the core campus. The rate covenant for the 2005A bonds requires the college to generate net income available for debt service equal to 1.1 times (debt service coverage ratio) or maintain total cash and investments equal to or greater than 75% of total debt (liquidity ratio). The failure to meet both tests constitutes a rate covenant violation. Credit Summary: Fitch anticipated enrollment and revenue growth would stabilize operating performance and help the college meet debt service requirements. Enrollment levels have remained stable with a five- year enrollment FTE growth rate of 0.17%. While stable enrollments are essential to Wartburg's operating performance, the college has limited ability to increase tuition and fees to address financial deficits. Additionally, anticipated revenues from the Wellness Center (financed by the 2005B bonds) have not materialized as quickly as expected placing added strain on the college's operations to fund debt service. The operating margin for Wartburg was negative 17.3% in fiscal 2009 (year ended May 31) versus negative 11.6% in fiscal 2008, and has been negative since fiscal 2005. The negative operating margins were anticipated, primarily related to increased depreciation and interest expense. However, the recent results are more negative than originally expected. Fitch does not include the college's endowment draw, which is not available in the audit, for the calculation of the operating margin. If the estimated endowment draws were to be included, operations would still produce negative margins for three out of the past five years. Fitch notes, however, that the college is proactively taking steps to strengthen operating performance for fiscal 2010, reducing contribution rates for benefits and operating expenditures among other cost cutting measures. Available funds, a measure of balance sheet resources, declined sharply, to $14 million, at the end of fiscal 2009. These balance sheet resources cover total debt ($85 million) and operating expenses ($50 million) for fiscal 2009 by a weak 16.5% and 28%, respectively. The decline was due largely to a 30% market driven loss in investment value. While Fitch notes similar declines were experienced by other institutions, Wartburg's losses are exacerbated by the college's weak operating profile. The college reports that the investment market values have increased by approximately $6 million since the end of fiscal 2009. Wartburg is between capital campaigns and plans on initiating a new capital campaign in the next 18 months. Portions of the funds received through the campaign may be applied by the college to build balance sheet resources. The college's debt burden is high with pro-forma maximum annual debt service comprising 14.6% of unrestricted revenues in fiscal 2009. Debt service coverage, as calculated by Fitch, has been less than 1x for the past two fiscal years. Additionally, the college did not meet its bond rate covenant for fiscal 2009 and as a result is required to retain a consultant to make operational recommendations. Based on market improvements and other operational adjustments, the college reports that the rate covenant will be met for fiscal 2010. Wartburg is a private four-year college located in Waverly, IA and serves predominantly in-state undergraduate students. Established in 1852, the college is recognized as a liberal arts college of the Evangelical Lutheran Church in America, with a fall 2009 enrollment of 1,799. JP MORGAN: Fitch Corrects Rating on Class A-J 2005-CIBC13 Notes --------------------------------------------------------------- Fitch Ratings has published a correction to a release that went out earlier. It corrects the Rating Outlook on the class A-J to Negative. Fitch takes various actions on J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CIBC13 commercial mortgage pass-through certificates. The downgrades are the result of Fitch's loss expectations and its prospective views regarding cash flow declines and commercial real estate market values. The rating actions are based on the full losses of 9.8% 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. 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 10.0%, 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 45.9% 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 70.7% of the 9.8%. Approximately 93.5% of the mortgages mature within the next five years: 15.0% in 2010, 0% in 2011, 10.9% in 2012, 0% in 2013, 0% in 2014, and 67.6% in 2015. All losses associated with these loans are fully recognized in the rating actions. Fitch identified 44 Loans of Concern (27.3%) within the pool, 18 of which (18.3%) are specially serviced, five of which are current (3.4%). Fitch's analysis resulted in loss expectations for seven of the top 15 loans. Four of which (14.0%) are assumed to default during the loan term, as the stressed cash flow is below 0.95x DSCR. Three additional loans (10.0%) are assumed to incur losses at maturity based on their balloon loan balance being greater than the implied value of the properties. Fitch expects that eight of the top 15 loans may default at maturity based on an insufficient accrued equity position as calculated in Fitch's refinance test; however, Fitch's analysis did not result in a loss for these eight loans based on its derived values being higher than the current loan amounts. 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 to loss are: DRA-CRT Portfolio I (6.9%), The Shore Club (4.3%) and Osceola Village (0.7%). The DRA-CRT Portfolio I loan is collateralized by four office parks, consisting of 16 buildings located across three states and four submarkets. The office properties total 1.47 million square feet and are located in Orlando, FL, Jacksonville, FL, Rockville, MD, and Charlotte, NC. The loan transferred to the special servicer in November 2009 due to monetary default and is a loan of concern due to its poor performance and delinquent status (90 Days). The servicer reported September 2009 DSCR and occupancy were 0.95 times and approximately 75%, respectively. As the loan is in special servicing, Fitch assumed losses prior to the loan's maturity in 2010. The Shore Club loan is collateralized by a 322-room lodging property located in the South Beach area of Miami, FL. The loan transferred to the special servicer in September 2009 due to imminent default. The special servicer is currently in negotiations with the borrower and the loan is 90 days delinquent. The servicer reported September 2009 DSCR and RevPAR were 0.69x and $183 compared to the issuance DSCR and 2007 RevPAR of 1.34x and $284, respectively. As the loan is in special servicing, Fitch assumed losses prior to the loan's maturity in 2010. Osceola Village is a 278 unit student housing property located in Tallahassee, FL. The loan transferred to the special servicer in August 2007 and is now real estate owned. Significant losses are expected. Fitch has downgraded, removed from Rating Watch Negative and assigned Rating Outlooks and Loss Severity ratings to these classes: -- $187 million class A-J to 'BB/LS4' from 'AAA'; Outlook Negative; -- $54.4 million class B to 'BB/LS5' from 'AA'; Outlook Negative; -- $23.8 million class C to 'B/LS5' from 'AA-'; Outlook Negative; -- $44.2 million class D to 'B-/LS5' from 'A'; Outlook Negative; -- $34 million class E to 'B-/LS5' from 'A-'; Outlook Negative; -- $37.4 million class F to 'B-/LS5' from 'BBB'; Outlook Negative. Fitch has downgraded, removed from Rating Watch Negative and assigned Recovery Ratings: -- $30.6 million class G to 'CCC/RR6' from 'BBB-'; -- $34 million class H to 'CCC/RR6' from 'BB'; -- $10.2 million class J to 'CCC/RR6' from 'B+'; -- $17 million class K to 'CCC/RR6' from 'B'; -- $10.2 million class L to 'CCC/RR6' from 'B-'. Fitch has affirmed and revised Recovery Ratings: -- $6.8 million class M to 'CCC/RR6' from 'CCC'; -- $10.2 million class N to at 'CC'; RR to 'RR6' from 'RR3'. Also, Fitch affirms and assigns Rating Outlooks and LS ratings for these classes: -- $10.9 million class A-1 at 'AAA/LS2'; Outlook Stable; -- $282.9 million class A-1A at 'AAA/LS2'; Outlook Stable; -- $130.2 million class A-2 at 'AAA/LS2'; Outlook Stable; -- $250 million class A-2FL at 'AAA/LS2'; Outlook Stable; -- $206.4 million class A-3A1 at 'AAA/LS2'; Outlook Stable; -- $25 million class A-3A2 at 'AAA/LS2'; Outlook Stable; -- $751.7 million class A-4 at 'AAA/LS2'; Outlook Stable; -- $135.1 million class A-SB at 'AAA/LS2'; Outlook Stable; -- $272.1 million class A-M at 'AAA/LS4'; Outlook Negative; -- Interest only class X-1 at 'AAA'; Outlook Stable; -- Interest only class X-2 at 'AAA'; Outlook Stable; -- $6.8 million class P at 'C/RR6'. The $34 million class NR is not rated by Fitch. JP MORGAN: Fitch Takes Rating Actions on 2005-CIBC13 Certs. ----------------------------------------------------------- Fitch Ratings takes various actions on J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CIBC13 commercial mortgage pass-through certificates. The downgrades are the result of Fitch's loss expectations and its prospective views regarding cash flow declines and commercial real estate market values. The rating actions are based on the full losses of 9.8% 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. 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 10.0%, 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 45.9% 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 70.7% of the 9.8%. Approximately 93.5% of the mortgages mature within the next five years: 15.0% in 2010, 0% in 2011, 10.9% in 2012, 0% in 2013, 0% in 2014, and 67.6% in 2015. All losses associated with these loans are fully recognized in the rating actions. Fitch identified 44 Loans of Concern (27.3%) within the pool, 18 of which (18.3%) are specially serviced, five of which are current (3.4%). Fitch's analysis resulted in loss expectations for seven of the top 15 loans. Four of which (14.0%) are assumed to default during the loan term, as the stressed cash flow is below 0.95x DSCR. Three additional loans (10.0%) are assumed to incur losses at maturity based on their balloon loan balance being greater than the implied value of the properties. Fitch expects that eight of the top 15 loans may default at maturity based on an insufficient accrued equity position as calculated in Fitch's refinance test; however, Fitch's analysis did not result in a loss for these eight loans based on its derived values being higher than the current loan amounts. 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 to loss are: DRA-CRT Portfolio I (6.9%), The Shore Club (4.3%) and Osceola Village (0.7%). The DRA-CRT Portfolio I loan is collateralized by four office parks, consisting of 16 buildings located across three states and four submarkets. The office properties total 1.47 million square feet and are located in Orlando, FL, Jacksonville, FL, Rockville, MD, and Charlotte, NC. The loan transferred to the special servicer in November 2009 due to monetary default and is a loan of concern due to its poor performance and delinquent status (90 Days). The servicer reported September 2009 DSCR and occupancy were 0.95 times and approximately 75%, respectively. As the loan is in special servicing, Fitch assumed losses prior to the loan's maturity in 2010. The Shore Club loan is collateralized by a 322-room lodging property located in the South Beach area of Miami, FL. The loan transferred to the special servicer in September 2009 due to imminent default. The special servicer is currently in negotiations with the borrower and the loan is 90 days delinquent. The servicer reported September 2009 DSCR and RevPAR were 0.69x and $183 compared to the issuance DSCR and 2007 RevPAR of 1.34x and $284, respectively. As the loan is in special servicing, Fitch assumed losses prior to the loan's maturity in 2010. Osceola Village is a 278 unit student housing property located in Tallahassee, FL. The loan transferred to the special servicer in August 2007 and is now real estate owned. Significant losses are expected. Fitch has downgraded, removed from Rating Watch Negative and assigned Rating Outlooks and Loss Severity ratings to these classes: -- $187 million class A-J to 'BB/LS4' from 'AAA'; Outlook Stable; -- $54.4 million class B to 'BB/LS5' from 'AA'; Outlook Negative; -- $23.8 million class C to 'B/LS5' from 'AA-'; Outlook Negative; -- $44.2 million class D to 'B-/LS5' from 'A'; Outlook Negative; -- $34 million class E to 'B-/LS5' from 'A-'; Outlook Negative; -- $37.4 million class F to 'B-/LS5' from 'BBB'; Outlook Negative. Fitch has downgraded, removed from Rating Watch Negative and assigned Recovery Ratings: -- $30.6 million class G to 'CCC/RR6' from 'BBB-'; -- $34 million class H to 'CCC/RR6' from 'BB'; -- $10.2 million class J to 'CCC/RR6' from 'B+'; -- $17 million class K to 'CCC/RR6' from 'B'; -- $10.2 million class L to 'CCC/RR6' from 'B-'. Fitch has affirmed and revised Recovery Ratings: -- $6.8 million class M to 'CCC/RR6' from 'CCC'; -- $10.2 million class N to at 'CC'; RR to 'RR6' from 'RR3'. Also, Fitch affirms and assigns Rating Outlooks and LS ratings for these classes: -- $10.9 million class A-1 at 'AAA/LS2'; Outlook Stable; -- $282.9 million class A-1A at 'AAA/LS2'; Outlook Stable; -- $130.2 million class A-2 at 'AAA/LS2'; Outlook Stable; -- $250 million class A-2FL at 'AAA/LS2'; Outlook Stable; -- $206.4 million class A-3A1 at 'AAA/LS2'; Outlook Stable; -- $25 million class A-3A2 at 'AAA/LS2'; Outlook Stable; -- $751.7 million class A-4 at 'AAA/LS2'; Outlook Stable; -- $135.1 million class A-SB at 'AAA/LS2'; Outlook Stable; -- $272.1 million class A-M at 'AAA/LS4'; Outlook Negative; -- Interest only class X-1 at 'AAA'; Outlook Stable; -- Interest only class X-2 at 'AAA'; Outlook Stable; -- $6.8 million class P at 'C/RR6'. The $34 million class NR is not rated by Fitch. JPMORGAN AUTO: Fitch Affirms Ratings on Seven Classes of Notes -------------------------------------------------------------- Fitch Ratings upgrades one and affirms seven classes of two JPMorgan Auto Receivables Trusts. The securities issued from the owner trust structure are backed by a pool of retail installment sales contracts secured by new and used automobiles and light-duty trucks. The collateral continues to perform within Fitch's expectations. Currently under the credit enhancement structure, the securities can withstand stress scenarios consistent with the rating categories and still make full payments of interest and principal in accordance with the term of the documents. The ratings of the notes reflect the high quality of the underlying retail installment sales contracts, available credit enhancement and the sound legal and cash flow structure. The rating actions are: 2006-A -- Class A-4 affirmed at 'AAA'; Outlook Stable; -- Class B affirmed at 'A'; Outlook Stable; -- Class C affirmed at 'BBB'; Outlook Stable. 2007-A -- Class A-3 affirmed at 'AAA'; Outlook Stable; -- Class A-4 affirmed at 'AAA'; Outlook Stable; -- Class B affirmed at 'AA'; Outlook Stable; -- Class C upgraded to 'A' from 'BBB+'; Outlook Stable; -- Certificates affirmed at 'BB'; Outlook Stable. JPMORGAN MORTGAGE: S&P Downgrades Ratings on 50 2007-A1 Certs. -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 20 classes of residential mortgage-backed certificates issued by JPMorgan Mortgage Trust 2007-A1. S&P affirmed its ratings on nine classes from the same transaction. The downgrades reflect S&P's opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings, given its current projected losses in light of increased delinquencies. To assess the creditworthiness of each class, S&P reviewed the individual delinquency and loss trends of each transaction for changes, if any, in risk characteristics, servicing, and the ability to withstand additional credit deterioration. For prime jumbo transactions, 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 its base-case loss assumptions at a percentage specific to each rating category, up to 235% for an 'AAA' rating. For example, in general, S&P would assess whether one class could withstand approximately 127% of its base-case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 154% of its base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in S&P's view, withstand approximately 235% of its base-case loss assumptions under its analysis. The affirmed ratings reflect S&P's belief that the amount of credit enhancement available for these classes is sufficient to cover losses associated with these rating levels. Subordination provides credit support for the affected transaction. The underlying pool of loans backing these transactions consists of fixed- and adjustable-rate U.S. prime mortgage loans that are secured by first liens on one- to four- family residential properties. Ratings Lowered JPMorgan Mortgage Trust 2007-A1 Series 2007-A1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-2 46630GAB1 CCC BB 2-A-1 46630GAC9 BBB AAA 2-A-3 46630GAE5 CCC BB 2-A-4 46630GAF2 CCC BB 3-A-1 46630GAG0 CCC BB 3-A-2 46630GAH8 BB AAA 3-A-4 46630GAK1 CCC BB 3-A-5 46630GAL9 CCC BB 4-A-3 46630GAP0 CCC BB 4-A-4 46630GAQ8 CCC BB 5-A-1 46630GAR6 A AAA 5-A-3 46630GAT2 CCC BB 5-A-4 46630GAU9 CCC BB 5-A-6 46630GAW5 CCC BB 6-A-2 46630GAY1 CCC BB 7-A-1 46630GBB0 BBB AA 7-A-2 46630GBC8 BBB AA 7-A-3 46630GBD6 BBB AA 7-A-4 46630GBG9 CCC BB B-1 46630GBH7 CC CCC Ratings Affirmed JPMorgan Mortgage Trust 2007-A1 Series 2007-A1 Class CUSIP Rating ----- ----- ------ 1-A-1 46630GAA3 AAA 2-A-2 46630GAD7 AAA 3-A-3 46630GAJ4 AAA 4-A-1 46630GAM7 AAA 4-A-2 46630GAN5 AAA 5-A-2 46630GAS4 AAA 5-A-5 46630GAV7 AAA 6-A-1 46630GAX3 AA 7-A-3S 46630GBF1 AA LB-UBS COMMERCIAL: Fitch Takes Rating Actions on 2005-C2 Certs. --------------------------------------------------------------- Fitch Ratings takes various rating actions on all rated classes of LB-UBS Commercial Mortgage Trust 2005-C2 commercial mortgage pass- through certificates. 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 6.2% for this transaction should market conditions not recover. The rating actions are based on the full losses of 6.2% since most of the loans mature in the next five years. 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, 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 72.8% of the pool and, in certain cases, revised based on additional information and/or property characteristics. Approximately 97% of the recognized losses were from loans reviewed in detail. Approximately 91.2% of the mortgages mature within the next five years: 17.9% in 2010, 4.9% in 2011, 18.3% in 2012 and 50.1 % in 2015. Fitch identified 25 Loans of Concern (26%) within the pool, 12 of which (10.4%) are specially serviced. Of the specially serviced loans three (7.7%) are current. Five of the Fitch Loans of Concern (20.7%) are within the transaction's top 15 loans and three (7.7%) are specially serviced. Fitch's analysis resulted in losses on six of the Top 15 loans, two of which are expected to default during the term and the remainder assumed to default upon maturity. Two of the top 15 loans are expected to pay off at maturity and the remaining seven loans are expected to default at maturity, but not incur losses. Fitch calculated losses ranging from 0%-73% based on stressed values being higher than the current loan amount within the top 15. The largest overall contributors to deal loss are: Park 80 West (5.8%), the Woodbury Office Portfolio II (9.3%), and the Woodbury Office Portfolio I (3.7% of the pool). Park 80 West is a two-building office complex located in Saddle Brook, N.J. containing 490,000 square feet. Occupancy at the property had fallen to 78% as of June 2009 as compared to 91% at issuance. Additionally, approximately 25% of the net rentable area expires through 2011. Year-end 2008 DSCR based on servicer reported net operating income was 1.24x and does not include the full impact of the reduced occupancy. This loan is considered a Fitch Loan of Concern due to the drop in occupancy since issuance and the upcoming rollover, which could further pressure rents and occupancy. Additionally, the loan transferred to the special servicer in late December 2009 for imminent default. Due to the low occupancy combined with upcoming lease rollover, Fitch assumed a term default. The Woodbury Office Portfolio II is comprised of 22 office properties containing just over 1 million sf, located in Long Island, N.Y. All of the properties within the portfolio are cross-defaulted and cross-collateralized. However, they are not crossed with The Woodbury Office Portfolio I, which is discussed below. By YE 2009, occupancy was expected to drop from 97% in June, to approximately 87%, primarily due to the loss of one of the largest tenants in the portfolio, which did not renew upon its lease expiration. There is also an additional 38% of space that expires through 2011, which could further stress the property's occupancy and income depending on renewal activity. The loan is considered a Fitch Loan of Concern due to the drop in occupancy and the expected drop in NOI. Due to the low occupancy combined with upcoming lease rollover, Fitch assumed a term default for this loan. The Woodbury Office Portfolio I is comprised of 10 office properties containing 466,000 sf, located on Long Island, N.Y. All of the properties within the portfolio are cross-defaulted and cross-collateralized. However, they are not crossed with The Woodbury Office Portfolio II loan, as discussed above. The loan is currently on the servicer watchlist and is a Fitch Loan of Concern due to the loss of a portion of the space leased by the largest tenant in the portfolio, CSC, which previously occupied approximately 25% of the NRA and renewed approximately 60% of its space upon expiration in mid-2009. Occupancy across the portfolio was 78% as of June 2009, down from 89% at YE 2008. Furthermore, approximately 25% of additional space in the portfolio expires through 2011. Due to the low occupancy combined with upcoming lease rollover, Fitch assumed a term default for this loan. Fitch downgrades, removes from Rating Watch Negative, and assigns Loss Severity Ratings and Rating Outlooks to these classes: -- $38.9 million class D to 'BBB/LS5' from 'AA-'; Outlook Stable; -- $41.4 million class E to 'BB/LS5' from 'A'; Outlook Stable; -- $17 million class F to 'BB/LS5' from 'A-'; Outlook Stable; -- $17 million class G to 'B/LS5' from 'BBB+'; Outlook Negative; -- $17 million class H to 'B-/LS5' from 'BBB'; Outlook Negative; -- $29.2 million class J to 'B-/LS5' from 'BBB-'; Outlook Negative; -- $17 million class K to 'B-/LS5' from 'BB'; Outlook Negative; -- $7.3 million class L to 'B-/LS5' from 'BB-'; Outlook Negative; -- $2.4 million class M to 'B-/LS5' from 'B'; Outlook Negative. Fitch also affirms these classes and assigns LS Ratings and Outlooks as indicated: -- $390.8 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $81 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $304.7 million class A-4 at 'AAA/LS1'; Outlook Stable; -- $76 million class A-AB at 'AAA/LS1'; Outlook Stable; -- $470.7 million class A-5 at 'AAA/LS1'; Outlook Stable; -- $121.7 million class A-J at 'AAA/LS4'; Outlook Stable; -- $13.9 million class B at 'AA+/LS5'; Outlook Stable; -- $29.2 million class C at 'AA/LS5'; Outlook Stable; -- Interest-only class X-CL at 'AAA'; Outlook Stable; -- Interest-only class X-CP at 'AAA'; Outlook Stable. Class A-1 has been paid in full. Fitch did not originally rate classes N, P, Q and S. LB-UBS COMMERCIAL: Fitch Takes Rating Actions on 2005-C7 Certs. --------------------------------------------------------------- Fitch Ratings takes various actions on LB-UBS Commercial Mortgage Trust, series 2005-C7 commercial mortgage pass-through certificates. The downgrades to the pooled classes 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 6.2% for this transaction, should market conditions not recover. The rating actions are based on the full losses of 6.2% 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. 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 DSCR, 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 67.9% 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 81.9% of the 6.2%. Approximately 88.8% of the mortgages mature within the next five years, with 15% maturing within in 2010 and the remainder in 2015. All losses associated with these loans are fully recognized in the rating actions. Fitch identified 18 Loans of Concern (6%) within the pool, of which eight(3.1%) are specially serviced, one of which is current (1.6%) and seven (1.6%) which are 30+ days delinquent. Fitch's analysis resulted in loss expectations for five of the top 15 loans, including the 12th largest loan, which is in special servicing. Fitch expects that 12 of the top 15 loans may default at maturity based on an insufficient accrued equity position as calculated in Fitch's refinance test; however, Fitch's analysis resulted in a loss for only four loans based on its derived values being higher than the current loan amounts. A loan would pass the refinance test if the stressed cash flow would achieve a 1.25 times debt service coverage ratio (DSCR) as calculated based on a 30-year amortization schedule and an 8% coupon. The largest contributors to loss are: 99 High Street (8%) Courtyard Marriott Portfolio (7.5%) and Sarasota Main Plaza (1.6%). 99 High Street is secured by a 731,204 sf office building located in Boston, MA. The servicer reported June 2009 DSCR and occupancy were 1.49x and 90.1%, respectively. Approximately 16.5% of the leases roll in 2010. 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. 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 declined since issuance due to the current economic stress on the hotel sector and the declining market conditions in the properties' locations. The most recent servicer reported DSCR 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. Sarasota Main Plaza is secured by a 253,000 sf mixed use office/retail building located in downtown Sarasota, FL. This loan transferred to the special servicing in December 2008 due to imminent default. The borrower continues to work with tenants on rent concessions and lease renewals, the largest of which (24% of the NRA) expires in 2010, and was recently extended through 2014. The servicer reported June 2009 DSCR and occupancy were 1.62x and 66%, respectively. Based on current performance and anticipated declines, losses are expected prior to the loan's maturity in 2015. Fitch has downgraded, removed from Rating Watch Negative and assigned Rating Outlooks and Loss Severity ratings to these classes: -- $195.9 million class A-J to 'BBB/LS3' from 'AAA'; Outlook Negative; -- $14.2 million class B to 'BBB/LS5' from 'AA+'; Outlook Negative; -- $35.2 million class C to 'BB/LS5' from 'AA'; Outlook Negative; -- $29.3 million class D to 'BB/LS5' from 'AA-'; Outlook Negative; -- $23.5 million class E to 'B/LS5'; from 'A+'; Outlook Negative; -- $23.5 million class F to 'B-/LS5' from 'A'; Outlook Negative; -- $26.4 million class G to 'B-/LS5' from 'A'; Outlook Negative; -- $17.5 million class H to 'B-/LS5' from 'BBB+'; Outlook Negative; -- $17.5 million class J to 'B-/LS5' from 'BBB'; Outlook Negative; -- $23.4 million class K to 'B-/LS5' from 'BBB-'; Outlook Negative; -- $8.8 million class L to 'B-/LS5' from 'B+'; Outlook Negative. Fitch has downgraded, removed from Rating Watch Negative and assigned Recovery Ratings: -- $11.7 million class M to 'CCC/RR6' from 'B'; -- $2.9 million class N to 'CCC/RR6' from 'B-'. Fitch has downgraded and revised the Recovery Rating: -- $5.8 million class Q to 'CC/RR6' from 'CCC/RR2'. Fitch has affirmed and revised the Recovery Ratings: -- $2.9 million class P at 'CCC'; RR to 'RR6' from 'RR1'; -- $5.8 million class S at 'CC'; RR to 'RR6' from 'RR4'. Also, Fitch has affirmed and assigned Loss Severity ratings to these classes: -- $18.8 million class A-1 at 'AAA/LS1'; Outlook Stable; -- $345 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $48 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $126 million class A-AB at 'AAA/LS1'; Outlook Stable; -- $847.9 million class A-4 at 'AAA/LS1'; Outlook Stable; -- $166.2 million class A-1A at 'AAA/LS1'; Outlook Stable; -- $233.9 million class A-M at 'AAA/LS3'; Outlook Stable; -- Interest only class X-CP at 'AAA'; Outlook Stable; -- Interest only class X-CL at 'AAA'; Outlook Stable; Also, Fitch has affirmed and revised the Outlooks of these classes: -- $1 million class CM-1 at 'AA'; Outlook Negative; -- $5 million class CM-2 at 'A'; Outlook Negative; -- $960,000 class CM-3 at 'A-'; Outlook Negative; -- $3 million class CM-4 at 'BBB'; Outlook Negative. The $6.4 million class T is not rated by Fitch. MORGAN STANLEY: Fitch Takes Rating Actions on 2005-TOP17 Certs. --------------------------------------------------------------- Fitch Ratings takes various actions on Morgan Stanley Capital I Trust 2005-TOP17 commercial mortgage pass-through certificates. The downgrades to the pooled classes 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 1.7% for this transaction, should market conditions not recover. The rating actions are based on these full losses 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. 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 55.4% 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 99% of the 1.7%. Approximately 78% of the mortgages mature within the next five years: 1.6% in 2010, 8.2% in 2011, 0.6% in 2012, 0.2% in 2013, and 67.4% in 2014. All losses associated with these loans are fully recognized in the rating actions. Fitch identified 11 Loans of Concern (16.1%) within the pool, of which two (0.9%) are specially serviced, one (0.7%) is 90+ days delinquent and one (0.2%) is in foreclosure. Fitch's analysis resulted in loss expectations for one of the top 15 loans. Fitch expects that 13 of the top 15 loans may default at maturity based on an insufficient accrued equity position as calculated in Fitch's refinance test; however, Fitch's analysis resulted in no loss for those loans based on its derived values being higher than the current loan amounts. 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 to loss are: Travis Tower (3.9%), Butterfield Plaza Shopping Center (0.7%) and Best Western Truckee Tahoe Inn (0.6%). Travis Tower is a 507,247 square foot office building located in the central business district of Houston, TX. The property has suffered from decrease in occupancy since the largest tenant vacated. Servicer reported September 2009 DSCR and occupancy were 0.04x and 38%, respectively. Based on current performance and anticipated declines, losses are expected prior to the loan's maturity in 2014. Butterfield Plaza Shopping Center is a 91,403 sf retail center located in Benson, AZ. This loan transferred to the special servicing in February 2009 due to imminent default. The loan is now 90 days delinquent. The special servicer continues discussions with the borrower including property repair work and a potential discounted payoff. Losses are expected prior to the loan's maturity in 2015. Best Western Truckee Tahoe Inn is collateralized by a 100 room hotel located in Truckee, CA, approximately 15 miles north of Lake Tahoe. The property has suffered a decline in performance due to decreased travel in the area. Servicer reported June 2009 DSCR and occupancy were 0.61x and 44%, respectively, compared to 1.97x and 81%. Based on current performance and anticipated declines, losses are expected prior to the loan's maturity in 2012. Fitch has downgraded and assigned Rating Outlooks and Loss Severity ratings to these classes: -- $74.8 million class A-J to 'AA/LS3' from 'AAA' Outlook Stable; -- $20.8 million class B to 'A/LS3' from 'AA'; Outlook Stable; -- $7.4 million class C to 'A/LS5' from 'AA-'; Outlook Stable; -- $9.8 million class E to 'BBB/LS4' from 'A-'; Outlook Stable; -- $6.1 million class F to 'BBB-/LS5' from 'BBB+'; Outlook Stable; -- $7.4 million class G to 'BB/LS5' from 'BBB'; Outlook Stable; -- $7.4 million class H to 'B/LS5' from 'BBB-'; Outlook Negative; -- $2.5 million class J to 'B/LS5' from 'BB+'; Outlook Negative; -- $3.7 million class K to 'B-/LS5' from 'BB'; Outlook Negative; -- $3.7 million class L to 'B-/LS5' from 'BB-'; Outlook Negative; -- $1.2 million class M to 'B-/LS5' from 'B+'; Outlook Negative; -- $1.2 million class N to 'B-/LS5' from 'B'; Outlook Negative. Also, Fitch affirms and assigns Loss Severity ratings for these classes: -- $13.6 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $85.6 million class A-4 at 'AAA/LS1'; Outlook Stable; -- $58.2 million class A-AB at 'AAA/LS1'; Outlook Stable; -- $576 million class A-5 at 'AAA/LS1'; Outlook Stable; -- Interest-only classes X-1 at 'AAA'; Outlook Stable; -- Interest-only classes X-2 at 'AAA'; Outlook Stable; -- $11 million class D at 'A/LS4'; Outlook Stable; -- $2.5 million class O at 'B-/LS5'; Outlook Negative. The $6.6 million class P is not rated by Fitch. Classes A-1 and A-2 have paid in full. MORGAN STANLEY: Fitch Takes Rating Actions on 21 2005-TOP19 Certs. ------------------------------------------------------------------ Fitch Ratings has downgraded, revised and assigned Rating Outlooks, and assigned Loss Severity ratings to 21 classes of Morgan Stanley Capital I Trust commercial mortgage pass-through certificates series 2005-TOP19. The downgrades are the result of Fitch's loss expectations and its prospective views regarding cash flow declines and commercial real estate market values. The rating actions are based on the full losses of 4.1% 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, 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 10%, 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 41.8% 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 13.2% of the mortgages mature within the next five years: 8.1% in 2010, 1.7% in 2011, 2.3% in 2012, 0% in 2013, and 1.1% in 2014. All losses associated with these loans are fully recognized in the rating actions. Approximately 75.9% of the loans mature in 2015 and beyond. Fitch identified 21 Loans of Concern (10.4%) within the pool, one of which (0.5%) is specially serviced. The specially serviced loan is 60 days delinquent. Fitch expects that 13 of the top 15 loans may default at maturity based on an insufficient accrued equity position as calculated in Fitch's refinance test. While defaults are expected, additional significant losses are not anticipated on most of them based on derived values being higher than the current loan amounts. A loan would pass the refinance test if the stressed cash flow would achieve a 1.25x debt service coverage ratio as calculated based on a 30-year amortization schedule and an 8% coupon. Four loans within the top 15 are expected to incur a loss at maturity: One Buckhead (7.3%), Indian Springs Center (2.3%), Lewis crossed portfolio (1.8%) and Shops at Kalakaua (1.6%). The largest contributors to loss are: Hilton Del Mar (2.9%), Doubletree Minneapolis (1.5%) and Downtown Plaza (1.1%). Hilton Del Mar is a 257 key full service hotel located in Del Mar, CA. As of June 30, 2009, the reported DSCR was 0.95x compared to 2.49x at issuance. Per the July 2009 Smith Travel Report, the property reported a trailing twelve month occupancy, average daily rate and revenue per available room of 66.8%, $134 and $89, respectively, compared to 76.4%, $105 and $81, respectively, at issuance. Although the July 2009 TTM RevPAR has increased since issuance, it does not fully reflect the significant drop in performance in 2009. The sponsor is Sunstone Hotel Investors, Inc. Doubletree Minneapolis is a 228 key full service hotel located in Minneapolis, MN. As of June 30, 2009, the reported DSCR was 0.80x compared to 2.51x at issuance. Per the November 2009 STR, the property reported a TTM occupancy, ADR and RevPAR of 59.2%, $106 and $63, respectively, compared to 68%, $116 and $79, respectively at issuance. The sponsor is Sunstone Hotel Investors, Inc. The Downtown Plaza is a 99,117 sf office located in Los Angeles, CA. As of Sept. 30, 2009, the reported DSCR and occupancy were 1.36x and 92%, respectively, compared to 2.07x and 100% as of YE 2007. The sponsor is Behringer Harvard REIT I. Fitch has downgraded, revised and/or assigned Rating Outlooks, and assigned LS ratings as indicated: -- $87.5 million class A-J to 'AA/LS3' from 'AAA'; Outlook Stable; -- $23 million class B at 'A/LS4' from 'AA'; Outlook Stable; -- $12.3 million class C to 'BBB/LS5' from 'AA-'; Outlook Stable; -- $15.4 million class D to 'BBB-/LS5' from 'A'; Outlook Stable; -- $12.3 million class E to 'BB/LS5' from 'A-'; Outlook Stable; -- $9.2 million class F to 'BB/LS5' from 'BBB+'; Outlook Stable; -- $9.2 million class G to 'B/LS5' from 'BBB'; Outlook to Negative from Stable; -- $10.7 million class H to 'B-/LS5' from 'BBB-'; Outlook to Negative from Stable; -- $3.1 million class J to 'B-/LS5' from 'BB+'; Outlook to Negative from Stable; -- $3.1 million class K to 'B-/LS5' from 'BB'; Outlook Negative; -- $6.1 million class L to 'B-/LS5' from 'BB-'; Outlook Negative; -- $1.5 million class M to 'B-/LS5' from 'B+'; Outlook Negative; -- $3.1 million class N to 'B-/LS5' from 'B'; Outlook Negative; -- $3.1 million class O to 'B-/LS5' from 'B-'; Outlook Negative. Additionally, Fitch has affirmed these classes and Rating Outlooks and assigned LS ratings as indicated: -- $20.2 million class A-1 at 'AAA/LS1'; Outlook Stable; -- $84.6 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $44.7 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $84.1 million class A-AB at 'AAA/LS1'; Outlook Stable; -- $642.8 million class A-4A at 'AAA/LS1'; Outlook Stable; -- $88.1 million class A-4B at 'AAA/LS1'; Outlook Stable; -- Interest only Class X-1 at 'AAA'; Outlook Stable; -- Interest only Class X-2 at 'AAA'; Outlook Stable. Fitch does not rate this class: -- $9.2 million class P. MORGAN STANLEY: S&P Corrects Rating on Class A-1 Certs. to 'BB' --------------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on the class A-1 senior certificates issued by Morgan Stanley Structured Trust I 2007-1 by raising it to 'BB' from 'CCC'. In addition, S&P lowered its ratings to 'CC' on classes M-2, M-3, and M-4, and to 'D' on class M-5. Lastly, S&P affirmed its ratings on classes A- 2, A-3, A-4, and M-1 from the same transaction. On Aug. 4, 2009, Standard & Poor's incorrectly downgraded the class A-1 senior certificates to 'CCC' due to an error that led us to project an overly high level of losses for this class in the event the credit support by the subordinate classes eroded. The raised rating reflects S&P's current revised projected losses for this class. The downgrades of classes M-2 through M-4 reflect S&P's belief that the projected credit support for these classes is insufficient to maintain the previous ratings, given S&P's current projected losses. The 'D' rating on class M-5 reflects a payment default for the December remittance period. The affirmations reflect S&P's belief that there is sufficient credit enhancement to support the ratings at their current levels. Subordination provides credit support for this transaction. The underlying pools of loans backing this transaction consist primarily of fixed- and adjustable-rate U.S. subprime mortgage loans that are secured by first liens on one- to four-family residential properties. Rating Corrected Morgan Stanley Structured Trust I 2007-1 Rating ------ Class CUSIP Current Aug 4 Pre-Aug 4 ----- ----- ------- ----- --------- A-1 61755FAA3 BB CCC AAA Ratings Lowered Morgan Stanley Structured Trust I 2007-1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 61755FAF2 CC CCC M-3 61755FAG0 CC CCC M-4 61755FAH8 CC CCC M-5 61755FAJ4 D CCC Ratings Affirmed Morgan Stanley Structured Trust I 2007-1 Class CUSIP Rating ----- ----- ------ A-2 61755FAB1 CCC A-3 61755FAC9 CCC A-4 61755FAD7 CCC M-1 61755FAE5 CCC MORGAN STANLEY: S&P Downgrades Ratings on 16 2006-HQ9 Securities ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 16 classes of commercial mortgage-backed securities from Morgan Stanley Capital I Trust 2006-HQ9 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 10 other classes from the same transaction and removed one 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 on the senior classes. The downgrades of the subordinate classes also reflect credit support erosion S&P anticipates will occur upon the eventual resolution of several specially serviced 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 1.59x and a loan- to-value ratio of 89.9%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 1.05x and an LTV of 121.6%. The implied defaults and loss severity under the 'AAA' scenario were 62.7% and 31.4%, respectively. All of the DSC and LTV calculations S&P noted above exclude 13 ($50.4 million, 2.0%) of the 16 specially serviced loans. S&P separately estimated losses for these 13 specially serviced loans, which S&P included in S&P's '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 and X-MP 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 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. Credit Considerations As of the December 2009 remittance report, 16 assets ($105.8 million, 4.2%) in the pool were with the special servicer, J.E. Robert Co. Inc. The specially serviced assets by payment status are: one is 60 days delinquent (0.3%); 13 are 90-plus days delinquent (3.2%); one is reported in bankruptcy (0.5%); and one is in foreclosure (0.1%). Four of the specially serviced assets have appraisal reduction amounts in effect totaling $5.0 million. Subsequent to the December remittance report, one additional loan, secured by a ground lease ($1.5 million, 0.1%), was transferred to JER for payment default. The largest loan with JER is the Center Point Complex Portfolio loan ($30.9 million, 1.2%). This loan was transferred to the special servicer on May 19, 2009, due to imminent default and is currently 90-plus days delinquent. The loan is secured by four unanchored retail properties totaling 460,681 sq. ft. in High Point, N. C. Occupancy across the portfolio has increased since the loan was transferred, and it is S&P's understanding that JER is negotiating a loan modification with the borrower. The Country Hills Plaza loan, which has a total exposure of $13.5 million (0.5%), is the second-largest loan with the special servicer. The loan is secured by a 140,097-sq.-ft. anchored retail center in Ogden, Utah. The loan was transferred to the special servicer on April 27, 2009, after the borrower, General Growth Properties, filed for bankruptcy. On Dec. 15, 2009, the bankruptcy court confirmed a modification plan for 85 GGP loans, including the Country Hills Plaza loan. The special servicer has informed us that they anticipate the maturity date for this loan will be modified to two days after the emergence of GGP from bankruptcy, with an outside maturity date of no later than March 31, 2011. The third-largest loan with JER is the Page Plaza loan ($11.0 million, 0.4%). This loan was transferred to the special servicer on May 11, 2009, due to payment default and is now more than 90 days delinquent. The loan is secured by a 41,070-sq.-ft. retail property in Hemet, Calif. There have been three lease signings at the property since September 2009, and JER is considering extending the forbearance or modifying the loan. The 13 other specially serviced loans ($50.4 million, 2.0%), which are all delinquent, have balances that individually represent less than 0.4% of the total pool balance. S&P estimated losses for these 13 loans, resulting in a weighted average loss severity of 41.4%. Transaction Summary As of the December 2009 remittance report, the collateral pool had an aggregate trust balance of $2.52 billion, which is approximately 97.0% of the balance at issuance. The pool consists of 212 assets, down from 214 at issuance. The master servicers for the transaction are Wells Fargo Inc. (Wells) and Midland Loan Services Inc. The master servicers provided financial information for 100% of the pool; 97.0% of the financial information was full- year 2008 data or interim-2009 data. S&P calculated a weighted average DSC of 1.59x for the pool based on the servicer-reported figures. S&P's adjusted DSC and LTV were 1.59x and 89.9%, respectively. S&P's adjusted figures exclude 13 of the 16 specially serviced loans. S&P estimated losses separately for these loans ($50.4 million, 2.0%), which had a weighted average servicer-reported DSC of 1.14x. The financial data for these loans, however, is outdated and may not be representative of current cash flows because all of these loans are delinquent. Fifty-seven loans ($351.4 million, 13.9%) are on the master servicer's watchlist. Thirty-six loans ($232.5 million, 9.2%) have a reported DSC of less than 1.10x, and 21 of these loans ($80.2 million, 3.2%) have a reported DSC of less than 1.0x. One loan has experienced a $2.0 million loss to date. Summary Of Top 10 Loans The top 10 exposures have an aggregate outstanding balance of $1.2 billion (49.7%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.74x for the top 10 loans. None of the top 10 loans appear on the master servicer's watchlist. S&P's adjusted DSC and LTV for the top 10 loans are 1.72x and 83.6%, respectively. Standard & Poor's stressed the loans in the pool according to its conduit/fusion criteria. The resultant credit enhancement levels are consistent with the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative Morgan Stanley Capital I Trust 2006-HQ9 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-J A AAA/Watch Neg 12.35 B A- AA+/Watch Neg 11.58 C BBB+ AA/Watch Neg 10.18 D BBB AA-/Watch Neg 9.02 E BBB- A+/Watch Neg 8.13 F BB+ A/Watch Neg 7.10 G BB A-/Watch Neg 6.08 H BB- BBB+/Watch Neg 4.93 J B+ BBB/Watch Neg 3.65 K B+ BBB-/Watch Neg 2.62 L B BB+/Watch Neg 2.24 M B- BB/Watch Neg 2.11 N CCC+ BB-/Watch Neg 1.73 O CCC+ B+/Watch Neg 1.47 P CCC B/Watch Neg 1.34 Q CCC- B-/Watch Neg 0.96 Rating Affirmed And Removed From Creditwatch Negative Morgan Stanley Capital I Trust 2006-HQ9 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-M AAA AAA/Watch Neg 20.42 Ratings Affirmed Morgan Stanley Capital I Trust 2006-HQ9 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA 30.66 A-1A AAA 30.66 A-2 AAA 30.66 A-3 AAA 30.66 A-AB AAA 30.66 A-4 AAA 30.66 A-4FL AAA 30.66 X AAA N/A X-MP AAA N/A N/A - Not applicable. NEW YORK STATE DORMITORY: Fitch Puts 'BB' Rating on Bonds --------------------------------------------------------- Fitch Ratings has placed on Rating Watch Evolving the 'BB' rating on approximately $130.5 million New York State Dormitory Authority (Lenox Hill Hospital Obligated Group) revenue bonds series 2001. The Evolving Watch reflects Lenox Hill's strategic options process that could lead to an affiliation or merger with another healthcare organization. Its board is expected to make a decision on a partner in the very near term. While the effect on Lenox Hill's long-term rating will depend on the affiliation or merger partner and the final arrangement between the two entities, Fitch believes that should Lenox Hill affiliate or merge it may result in an upgrade or affirmation of Lenox Hill's current rating. Given Lenox Hill's current credit profile, there may be negative pressure on the rating should an affiliation or merger not occur. Fitch will take further rating action when the affiliation or merger is announced and the 2009 audit is available. NEWCASTLE IV: Fitch Downgrades Ratings on Eight Classes of Notes ---------------------------------------------------------------- Fitch Ratings has downgraded eight classes issued by Newcastle IV Ltd./Corp. and removed two classes from Rating Watch Negative as a result of significant negative credit migration of the underlying collateral. Since Fitch's last rating action, the Fitch derived weighted average rating of the portfolio has deteriorated to 'BB-' from 'BB+'; currently, 26.6% is on Rating Watch Negative by at least one rating agency. Approximately 52.7% of the portfolio has a Fitch derived rating below investment grade, and 16.2% has a rating in the 'CCC' rating category or lower, compared to 32.8% and 1.8%, respectively, at last review. Defaulted securities, as defined in the transaction's governing documents, now comprise 10% of the portfolio, compared to 0% at last review. Additionally, 3.2% of non-defaulted collateral is currently experiencing interest shortfalls. 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. 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 Corporate CDOs'. Based on this analysis, the class I notes' breakeven rates are generally consistent with the 'B' rating category. For the class II notes, the breakeven rates are insufficient to warrant a 'B' rating. The credit enhancement available to the class II notes, provided by the class III notes and below, exceeds Fitch's loss expectation, but is insufficient to warrant a rating higher than 'CCC', given the negative trends of the collateral. Therefore, the class II notes have been assigned a 'CCC', indicating that default is possible. Fitch's loss expectation approximates the credit enhancement available to the class III notes and exceeds the credit enhancement available to all other junior classes. Fitch analyzed each class' sensitivity to the default of the distressed collateral compared to its credit enhancement. Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class III notes have been assigned a 'CC' rating, indicating that default is probable. For the class IV and V notes, Fitch assigned the ratings based on the amount of underlying assets experiencing interest shortfalls and assets with a Fitch derived rating of 'CC' or lower. These classes of notes have been assigned a 'C' rating indicating that default is inevitable. While the class I notes are currently receiving interest, the interest on the class II notes and below are being diverted to pay principal on the class I notes due to the class I OC failure. The class II notes and below are receiving interest paid in kind whereby the principal amount of the notes is written up by the amount of interest due. Fitch does not expect classes IV and below to receive any future payments as interest shortfalls and negative migration on the underlying collateral continue to increase. Newcastle IV is a managed collateralized debt obligation, which closed March 30, 2004. The portfolio is composed of 40.5% commercial mortgage-backed securities; 24.7% real estate investment trust securities; 21.1% commercial real estate loans, including single borrower 'rake' classes of CMBS; 12.2% residential mortgage-backed securities; and 1.5% asset backed securities. Newcastle IV ended its reinvestment period in March 2009. Fitch has downgraded and assigned Loss Severity ratings to these classes as indicated: -- $324,911,522 class I notes to 'B/LS2' from 'BBB'; Outlook remains Negative; -- $13,000,000 class II-FL notes to 'CCC' from 'BBB-'; -- $7,250,000 class II-FX notes to 'CCC' from 'BBB-'; -- $7,530,858 class III-FL notes to 'CC' from 'BB'; -- $12,239,381 class III-FX notes to 'CC' from 'BB'; -- $8,058,471 class IV-FL notes to 'C' from 'B'; -- $9,142,699 class IV-FX notes to 'C' from 'B'; -- $13,792,767 class V notes to 'C' from 'CCC'. In addition, the class IV notes have been removed from Rating Watch Negative. Fitch does not assign Outlooks to tranches rated 'CCC' and below. The Outlook for classes II-FL, II-FX, III-FL, and III-FX was Negative prior to the downgrades. NEWSTAR COMMERCIAL: Moody's Assigns Ratings on Three 2009-1 Notes ----------------------------------------------------------------- Moody's Investors Service announced that it has assigned these ratings to the notes issued by NewStar Commercial Loan Trust 2009- 1: -- US$148,500,000 Class A Floating Rate Notes due 2018, assigned Aaa -- US$42,000,000 Class B Floating Rate Notes due 2018, assigned A2 -- US$31,000,000 Class C Floating Rate Deferrable Interest Notes due 2018, assigned Ba2. Moody's ratings of the notes address the expected loss posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of loans, the transaction's legal structure, and the characteristics of the underlying assets. NewStar 2009-1 is a static cash-flow CLO with a six month ramp-up period. The transaction is collateralized primarily by small to medium enterprise first lien senior secured corporate loans. The portfolio also contains a few real estate loans and loans to financing companies. This transaction serves as a financing vehicle for NewStar Financial Inc. The Moody's rating factors for the collateral loans in this transaction are principally derived from Moody's credit estimates rather than from Moody's public ratings. All credit estimates were originally assigned or reviewed within the past six months. As part of ongoing surveillance of the transaction, Moody's will receive financial statements and data on the collateral loans at least every six months and credit estimates will be updated at least every twelve months. In addition, trustee reports will include each obligor name, the date of the last credit estimate update and limited financial data for each obligor. The Servicer and the trustee will reconcile on a daily basis certain information related to the underlying assets. Unrated subordinated notes were issued and the three tranches of rated notes will be paid interest and principal prior to any payments made to the unrated subordinated notes as per the respective payment waterfalls. Further, the transaction contains both a par coverage test and interest coverage test, which, when triggered, divert interest proceeds to pay down notes sequentially. The Servicer has the discretion, under limited circumstances, to replace collateral loans deemed to be credit impaired or materially modified with eligible performing loans. Following such substitution, the collateral pool's weighted average spread, weighted average life, Moody's weighted average rating factor and recovery rate must be maintained or improved. The substitute loan must also be of at least the same priority and at least the same market value as the loan being substituted. While the Servicer is not required to effect par-for-par substitutions, such substitutions may provide additional credit support to the notes. Solely for the purpose of WARF calculations, Moody's analysis treated ratings of the underlying collateral loans on "review for possible downgrade" as if they were two notches lower and those with a "negative outlook" as if they were one notch lower. Moody's also increased its default probability assumption by a factor of 30%. For modeling purposes, Moody's used these base--case assumptions, which in some cases differ from the transaction's covenanted levels: * Diversity of 30 * WARF (reflecting 30% default probability stress) of 4713 * Weighted Average Spread of 4.75% (exclusive of adjustments for loans with LIBOR floors) * Weighted Average Recovery Rate of 44.2% * Weighted Average Life of 4.00 years The V Score for this transaction is Medium/High. This V Score has been assigned in a manner similar to the Medium/High V score assigned for the global cash flow CLO sector, as described in the special report titled, "V Scores and Parameter Sensitivities in the Global Cash Flow CLO Sector". The underlying collateral assets for NewStar 2009-1 are primarily SME corporate loans, which receive Moody's credit estimates rather than publicly rated corporate loans. This distinction is an important factor in the determination of this transaction's V score, since loans publicly rated by Moody's are the basis for the CLO V Score Report. Several scores for sub-categories of the V score differ from the CLO sector benchmark scores. The scores for the quality of historical data for U.S. SME loans and for disclosure of collateral pool characteristics and collateral performance reflect higher volatility. This results from lack of a centralized default database for SME loans, as well as obligor-level information for SME loans being more limited and less frequently provided to Moody's than that for publicly rated companies. While this transaction's score for market value sensitivity is the same as that for the CLO benchmark, it is worth noting two key but offsetting differences between this transaction and the benchmark. On the one hand, the market value sensitivity in this transaction is reduced, as the transaction does not contain an overcollateralization trigger based event of default. On the other hand, the illiquid nature of SME loans contributes to elevated volatility. Finally, since the transaction is a static financing vehicle, a better than typical alignment of interests exists. In combination, these characteristic result in a composite V Score of "Medium/High" uncertainty, the same as that of the benchmark CLO V Score. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction, rather than individual tranches. PENNSYLVANIA ECONOMIC: S&P Cuts Rating on $34.4 Mil. Bonds to 'BB' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its long-term rating on Pennsylvania Economic Development Financing Authority's $34.4 million series 1998 bonds, issued for NHS Human Services Inc. (formerly known as Northwestern Human Services Inc.) to 'BB' from 'BB+' due to concerns regarding NHS's weakened balance sheet in fiscal 2009 and through the four months of fiscal 2010, related to state payment disruptions and an overall balance sheet that has not kept pace with the growth of the organization. Despite the balance sheet challenges related in part to the state's budget delays in 2009, NHS remained solidly profitable, and operations were sound in Standard & Poor's opinion. The 'BB' rating reflects Standard & Poor's opinion that NHS's management team continues to be strong and dedicated and that NHS provides a broad range of essential services throughout the state of Pennsylvania and beyond. Standard & Poor's considers NHS's operating profile since fiscal 2005 as solid. In addition, Standard & Poor's believes that NHS's recent $27.0 million acquisition of the Pittsburgh-area Allegheny Valley School added further depth and breadth to NHS's services and was accretive to NHS's operations. Standard & Poor's also noted NHS's maintenance of healthy operating profitability in fiscal 2009, despite reimbursement disruption at the state level. Standard & Poor's is concerned about NHS's balance sheet, which it considers very weak, characterized by 12 days' cash on hand and extremely high leverage of 89% as of June 30, 2009, though the 30% decrease in unrestricted cash was temporary, created by a payment disruption that has since been resolved by the passing of the state budget in October 2009. Standard & Poor's also considers NHS as highly dependent on Medicaid reimbursement, which renders NHS vulnerable to any state budgetary changes, particularly disruption in reimbursement payments associated with the recent state budget pressures, though the essentiality of NHS's services mitigate the reimbursement risk. The 1.7x debt service coverage in fiscal 2009 is light, though the sound operating profitability allows for adequate debt absorption in Standard & Poor's opinion. "The stable rating outlook reflects S&P's assessment of NHS's strong business position, characterized by its depth and breadth of services and geographic reach and management's recent record of translating market strength and essentiality into healthy operating profitability," said Standard & Poor's credit analyst Charlene Butterfield. "However, S&P remain concerned about the light balance sheet metrics and substantial short-term debt, as well as the vulnerability to state budgetary challenges and its effect on reimbursement revenue," said Ms. Butterfield. Standard & Poor's expects that management's continued focus on NHS's core mission and development of key service lines will allow for maintenance of operating profitability and coverage at current levels or better, and produce improvement in its weak balance sheet. A decrease in either operating profitability or liquidity could result in Standard & Poor's revising its outlook or rating during the next one to two years. PREFERRED TERM: Moody's Cuts Ratings on Two Classes of Notes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the rating of two classes of notes issued by Preferred Term XVIII, Ltd. The downgrade actions for this Trust Preferred CDO, whose underlying assets are trust preferred securities issued by small to medium sized U.S. community banks and insurance companies, are prompted by a larger than expected increase in non-performing assets since the last rating action. Moody's took its last rating action on this deal on March 27, 2009. Since then, the non-performing asset amount increased by $91.84 million. However, the WARF improved slightly. The current and last rating actions' assumed defaulted amounts and model WARF are provided in the text below. According to the trustee report dated December 23, 2009, the Senior Coverage Test was reported at 120.47% versus a test level of 128.00%, Class B Mezzanine Coverage Test was reported at 102.43% versus a test level of 115.00%, Class C Mezzanine Coverage Test was reported at 88.86% versus a test level of 107.00% and Class D Mezzanine Coverage Test was reported at 82.86% versus a test level of 100.25%. Moody's notes that the ratings actions reflect the continued pressure in this sector as the number of bank failures and interest payment deferrals continue to increase. According to FDIC data, 140 U.S. banks failed in 2009, as compared to 25 in 2008. Although U.S. banks recently benefited from a dramatic improvement in market conditions, the banking sector outlook remains negative. * Current Model WARF: 1514 * Current Assumed Defaulted Amount: 145,840,000 * Model WARF for March 2009 rating actions: 1561 * Assumed Defaulted Amount for March 2009 rating actions: 54,000,000 * US$372,100,000 Class A-1 Senior Notes (current balance of $360,213,008.79), Downgraded to Baa2; previously on March 27, 2009 Downgraded to A2 * US$78,800,000 Class B Mezzanine Notes (current balance of $78,746,030.31), Downgraded to Caa3; previously on March 27, 2009 Downgraded to B2 In concluding the rating analysis of these transactions, Moody's has used a combination of these analysis: (1) Coverage level and problem bank analysis, (2) Event of default analysis, (3) Cash- flow modeling analysis (this includes but it is not limited to interest rate hedging, recovery rate and correlation analysis), (4) Pass-through of the underlying portfolio credit analysis. PREFERRED TERM: Moody's Downgrades Rating on Two Classes of Notes ----------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the rating of two classes of notes issued by Preferred Term XXII, Ltd. The downgrade actions for this Trust Preferred CDO, whose underlying assets are trust preferred securities issued by small to medium sized U.S. community banks and insurance companies, are prompted by a larger than expected increase in non-performing assets since the last rating action. Moody's took its last rating action on this deal on March 27, 2009. Since then, the non-performing asset amount increased by $164.5 million. However, the WARF improved. The current and last rating actions' assumed defaulted amounts and model WARF are provided in the text below. According to the trustee report dated December 22, 2009, the Senior Coverage Test was reported at 114.53% versus a test level of 128.00%, Class B Mezzanine Coverage Test was reported at 98.78% versus a test level of 115.00%, Class C Mezzanine Coverage Test was reported at 86.26% versus a test level of 105.50% and Class D Mezzanine Coverage Test was reported at 79.70% versus a test level of 100.25% Moody's notes that the ratings actions reflect the continued pressure in this sector as the number of bank failures and interest payment deferrals continue to increase. According to FDIC data, 140 U.S. banks failed in 2009, as compared to 25 in 2008. Although U.S. banks recently benefited from a dramatic improvement in market conditions, the banking sector outlook remains negative. * Current Model WARF: 966 * Current Assumed Defaulted Amount: 322,500,000 * Model WARF for March 2009 rating action: 1266 * Assumed Defaulted Amount for March 2009 rating action: 158,000,000 * US$762,500,000 Class A-1 (current balance of $721,396,853.03), Downgraded to Baa1; previously on 3/27/2009 Assigned A2 * US$65,000,000 Class B-1 (current balance of $64,504,145.55), Downgraded to Caa2; previously on 3/27/2009 Assigned B3 * US$50,000,000 Class B-2 (current balance of $50,536,455.31), Downgraded to Caa2; previously on 3/27/2009 Assigned B3 * US$30,300,000 Class B-3 (current balance of $31,389,209.01), Downgraded to Caa2; previously on 3/27/2009 Assigned B3 In concluding the rating analysis of these transactions, Moody's has used a combination of these analysis: (1) Coverage level and problem bank analysis, (2) Event of default analysis, and (3) Cash-flow modeling analysis (this includes but it is not limited to interest rate hedging, recovery rate and correlation analysis). PRIMORIS SPC: Fitch Takes Rating Actions on Various Classes ----------------------------------------------------------- Fitch Ratings has downgraded one class of notes issued by Primoris SPC Ltd. and simultaneously withdrawn the outstanding ratings on all Primoris notes. Following final settlement of credit events, aggregate losses have exceeded the class B2-10-2 subordination amount, and the tranche was written down in full in December 2009. Fitch simultaneously withdraws the rating on all classes of Primoris notes. Fitch notes that while the short component of the reference portfolio offers a possibility of additional returns to noteholders, payments under this scenario would be minimal and insufficient to affect the ratings. Primoris is a synthetic securitization that consists of a long portfolio (long component), which initially referenced mostly investment-grade corporates, and a short portfolio (short component), which initially referenced mostly senior-secured bank loans at 10% of the notional amount of the long component. Currently, the short portfolio is 9.6% of the long notional amount and consists of senior unsecured investment grade bonds. At closing, the issuer entered into a portfolio credit default swap with Deutsche Bank AG, the swap counterparty, (rated 'F1+/AA-', Outlook Negative by Fitch), which bought protection from the issuer on the long component of the reference portfolio and sold protection to the issuer on the short component in exchange for a net periodic premium. Under the swap agreement, losses from defaults in the long portfolio and losses from trading activity reduce the credit enhancement of the tranches, while losses from defaults in the short portfolio and gains from trading activity increase the credit enhancement of the tranches. Fitch has taken this rating action: -- EUR20,000,000 series B2-10-2 downgraded to 'D' from 'C/RR6'; withdrawn; -- US$160,000,000 series A1-7 rated 'D'; withdrawn; -- US$30,000,000 series A1-7-2 rated 'D'; withdrawn; -- US$50,000,000 series AS1-7-2 rated 'D'; withdrawn; -- EUR17,500,000 series A2-7 rated 'D'; withdrawn; -- JPY2,000,000,000 series A3-7 rated 'D'; withdrawn; -- CHF10,000,000 series A5-7 rated 'D'; withdrawn; -- GBP10,000,000 series A6-7 rated 'D'; withdrawn; -- US$5,000,000 series B1-7 rated 'D'; withdrawn; -- US$10,000,000 series B1-7-2 rated 'D'; withdrawn; -- EUR300,000 series B2-7 rated 'D'; withdrawn; -- JPY4,100,000,000 series B3-7 rated 'D'; withdrawn; -- JPY500,000,000 series C3-7 rated 'D'; withdrawn; -- US$10,000,000 series D1-7-2 rated 'D'; withdrawn; -- US$10,000,000 series D1-10 rated 'D'; withdrawn; -- JPY1,000,000,000 series D3-10 rated 'D'; withdrawn; -- JPY1,000,000,000 series E3-7 rated 'D'; withdrawn; -- US$30,000,000 series F1-10 rated 'D'; withdrawn. REDWOOD CAPITAL: Moody's Assigns 'B1' Rating on Class A Notes ------------------------------------------------------------- Moody's Investors Service announced that it has assigned a rating to notes issued by Redwood Capital XI Ltd., a Cayman Islands exempted company. This rating was assigned: * B1 to the $150,000,000 Series 2009-1 Class A Principal At-Risk Variable Rate Notes due January 7, 2011 This transaction is a single issuance sponsored by Swiss Reinsurance Company Ltd. offering notes that are linked to the occurrence of certain earthquakes in California during the specified risk period of one year. The transaction is structured as a catastrophe bond with index-triggered losses tied to the PCS index. Potential losses to noteholders are incurred based on cumulative industry estimated losses due to the earthquakes, including those from resulting fires following the earthquakes. Moody's rating addresses the ultimate cash receipt of all required interest and principal payments as provided by the governing documents and is based on the expected loss posed to the note holders relative to the promise of receiving the present value of such payments. The rating is based on Moody's analysis of the probability of occurrence of qualifying Events, their timing and the severity of losses experienced by investors should these events occur during the risk period. The rating also addresses the effectiveness of the documentation in conveying the risks inherent in the structure as well as the credit strength of the Counterparty and the collateral. Moody's evaluation included extensive review of the technical basis, methodology and historical data used to develop the probabilistic risk model used by EQECAT, Inc., the Modeling Agent, for the analysis of potential losses and for its sensitivity analysis of critical parameters of the model. The risk analysis developed by the Modeling Agent is expressed as an annualized exceedance curve for the defined industry losses, which is used to calculate potential losses resulting from Events covered by the transaction. In its rating analysis, Moody's used the risk analysis results developed by EQECAT and, in addition, applied stresses to capture uncertainties in the modeling and examine the robustness of the ratings. By creating a simplified model of the transaction and using the modified results provided by the Modeling Agent as an input, Moody's can simulate the occurrence of multiple scenarios throughout the life of the transaction. In addition, counterparty and collateral default risks were included in the model and evaluated. The proceeds from the sale of the Notes were used to purchase $150,000,000 in shares of U.S. Treasury Money Market Funds. These Directed Investments must meet specific criteria, including but not limited to investing solely in direct government obligations and holding principal stability ratings of Aaa or Aaa/MR1+, as applicable. This transaction is the first Moody's-rated catastrophe bond to utilize this specific form of collateral in lieu of a total return swap structure. This approach substantially mitigates the third party credit risk present in total return swap structures. Issuer and Counterparty entered into a Counterparty Contract, which will provide for the payment by the Issuer to Counterparty of cash settlement amounts following certain conditions to settlement being satisfied with regard to one or more Events. The Counterparty payments made by Swiss Reinsurance Company Ltd. along with the proceeds from the Directed Investments are designed to meet the anticipated cash flows under the Notes. REGIONAL DIVERSIFIED: Moody's Cuts Ratings on Two 2004-1 Notes -------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the rating of two classes of notes issued by Regional Diversified Funding 2004-1 Ltd. The downgrade actions for this Trust Preferred CDO, whose underlying assets are trust preferred securities issued by small to medium sized U.S. community banks, are prompted by a larger than expected increase in non-performing assets and an Event of Default notice received since the last rating action. Moody's took its last rating action on this deal on March 27, 2009. Since then, the non-performing asset amount increased by $52 million, although the WARF improved slightly. The current and last rating actions' assumed defaulted amounts and model WARF are provided in the text below. According to the trustee report dated November 1, 2009, the Senior Overcollateralization Test was reported at 123.85% versus a test level of 125.0%, and the Senior Subordinate Overcollateralization Test was reported at 75.28% versus a test level of 105.57%. Further, an Event of Default notice was received on November 16, 2009, due to non-payment of interest on the Class B-1 and Class B-2 Notes. Due to the continued credit crisis and weak economic conditions, Moody's assumes that the controlling class would rather elect to accelerate cash flows from the underlying performing securities. Moody's notes that the ratings actions reflect the continued pressure in this sector as the number of bank failures and interest payment deferrals continue to increase. According to FDIC data, 140 U.S. banks failed in 2009, as compared to 25 in 2008. Although U.S. banks recently benefited from a dramatic improvement in market conditions, the banking sector outlook remains negative. * Current Model WARF: 2116 * Current Assumed Defaulted Amount: 118,000,000 * Model WARF for March 2009 rating action: 2347 * Assumed Defaulted Amount for March 2009 rating action: 66,000,000 * US$144,000,000 Class A-1 Floating Rate Senior Notes Due 2034 Notes, Downgraded to Ba1; previously on March 27, 2009 Downgraded to Baa1 * US$62,000,000 Class A-2 Floating Rate Senior Notes Due 2034 Notes, Downgraded to B1; previously on March 27, 2009 Downgraded to Ba3 In concluding the rating analysis of these transactions, Moody's has used a combination of these analysis: (1) Coverage level and problem bank analysis, (2) Event of default analysis, and (3) Cash-flow modeling analysis (this includes but it is not limited to interest rate hedging, recovery rate and correlation analysis). REVE SPC: S&P Corrects Ratings on Two 2006-MB1 Notes to 'BB' ------------------------------------------------------------ Standard & Poor's Ratings Services corrected its ratings on REVE SPC's series 2006-MB1 $2.062 million class A and B notes by lowering them to 'BB' from 'A+' and removing them from CreditWatch, where they were placed with negative implications on Aug. 19, 2009. The ratings on the class A and B notes are dependent on the rating on the underlying security, ELM B.V.'s class A floating-rate notes due June 20, 2013 ('BB'). On Nov. 25, 2009, S&P lowered its rating on the underlying security to 'BB' from 'A+' and removed it from CreditWatch with negative implications. The rating actions did not occur contemporaneously with the rating action on the underlying security due to an administrative error. SOLAR TRUST: Moody's Affirms Ratings on 10 2001-1 Certificates -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of ten classes of Solar Trust Commercial Mortgage Pass-Through Certificates, Series 2001-1 due to overall stable pool performance and key rating parameters, including Moody's loan to value ratio, Moody's debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. The decline in the pool's diversity, as measured by Herf, has been largely offset by increased credit subordination due to loan payoffs and amortization. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the December 15, 2009 distribution date, the transaction's aggregate certificate balance has decreased by 44% to $134.5 million from $241.2 million at securitization. The Certificates are collateralized by 32 mortgage loans ranging in size from less than 1% to 21% of the pool, with the top ten loans representing 79% of the pool. Nine loans, representing 15% 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. Currently there are no loans that are delinquent or in special servicing. All of the loans in the pool mature within the next 24 months. Moody's is particularly concerned about the refinancing risk associated with two loans which represent 5% of the pool. Both loans are secured by hotel properties that have exhibited a decline in performance since last review. Moody's has assumed a high default probability for these loans and has estimated an aggregate $1.5 million loss (20% loss severity on average) from these troubled loans. Moody's was provided with partial or full-year 2008 operating results for 82% of the pool. Excluding troubled loans, Moody's weighted average LTV ratio is 58% compared to 63% at Moody's prior review. Excluding troubled loans, Moody's actual and stressed DSCRs are 1.49X and 1.90X. 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 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 11. The three largest loans represent 40% of the pool. The largest conduit loan is the Bayview Glen Retail Centre Loan ($28.0 million -- 21% of the pool), which is secured by a 300,000 square foot retail center located in the Richmond Hill suburb of Toronto, Ontario. The property was 100% leased as of October 2008. The center is anchored by Famous Players, The Brick Warehouse and Sears and is shadow anchored by Home Depot. Performance has been stable and the loan has benefited from principal amortization. The property has high lease rollover exposure in 2010 with the scheduled lease expirations of The Brick Warehouse and Sears in March and April 2010. The loan matures in July 2010. Moody's LTV and stressed DSCR are 57% and 1.75X, respectively, compared to 62% and 1.58X at last review. The second largest loan is the Windsor Outlet Mall Loan ($15.2 million -- 11% of the pool), which is secured by a 150,000 square foot retail center located in Windsor, Ontario. The property was 84% leased as of December 2008. Performance has been stable since securitization and the loan has benefited from principal amortization. The loan matures in July 2011. Moody's LTV and stressed DSCR are 68% and 1.51X, respectively, compared to 73% and 1.41X at last review. The third largest loan is the Royal Host Portfolio ($10.7 million -- 8% of the pool), which is secured by eight limited service hotels containing a total of 657 rooms located in Alberta (4), Ontario (3) and Saskatchewan (1). The hotels are flagged by Super8 (6) and Travelodge (2). Performance has declined since last review due to a drop in tourist and business travel, although the decline has been partially offset by principal amortization. The loan matures in November 2010. Moody's LTV and stressed DSCR are 58% and 2.38X, respectively, compared to 52% and 2.47X at last review. Moody's rating action is: -- Class A-2, $ 93,526,822, affirmed at Aaa; previously assigned at Aaa on 8/8/2001 -- Class IO, Notional, affirmed at Aaa; previously assigned at Aaa on 8/8/2001 -- Class B, $ 6,632,766, affirmed at Aaa; previously upgraded to Aaa on 4/3/2006 -- Class C, $ 7,838,723, affirmed at Aaa; previously upgraded to Aaa on 11/8/2007 -- Class D, $ 9,044,681, affirmed at A2; previously upgraded to A2 on 11/8/2007 -- Class E, $ 2,411,915, affirmed at Baa1; previously upgraded to Baa1 on 11/8/2007 -- Class F, $ 6,029,787, affirmed at Ba2; previously assigned at Ba2 on 8/8/2001 -- Class G, $ 1,205,957, affirmed at Ba3; previously assigned at Ba3 on 8/8/2001 -- Class H, $ 3,014,894, affirmed at B2; previously assigned at B2 on 8/8/2001 -- Class J, $ 1,205,957, affirmed at B3; previously assigned at B3 on 8/8/2001 SOUTHEAST HOUSING: S&P Downgrades Ratings on Class III to 'BB' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its underlying ratings on Southeast Housing LLC, Del.'s series 2007 class I bonds to 'A-' from 'AA-', its SPUR on the class II bonds to 'BBB-' from 'A-', and its SPUR on the class III bonds to 'BB' from 'BBB'. In S&P's view, the rating changes reflect these factors: high vacancy rate of 12% as of October 2009, which has led to lower- than-expected rental revenues; higher-than-expected utility, maintenance, and insurance expenses at the project; suspension of planned construction in some locations at these bases: NWS Charleston, NAS Jacksonville, Naval Station Mayport, NAS Key West, NAS Pensacola, NAS Whiting Field, NAS Gulfport and Meridian; and projected debt service coverage in 2009 of 1.14x, 1.05x, and 1.02x on the class I, II, and III bonds, respectively, based on year-to- date financial statements. In S&P's view, the ratings also reflect these strengths: moderate- to-high essentiality of the military installations involved in the financing; the high quality of the assets supporting the bonds, including the federally appropriated revenue stream and the real estate collateral; and diverse locations of the bases, which helps to mitigate declines in basic allowance housing at any given base. "If the project's debt service coverage continues to decrease, the project's high vacancy rates and the suspension of construction at eight of the project's bases may result in further negative rating action on the bonds," said Standard & Poor's credit analyst Mikiyon Alexander. Southeast Housing LLC previously issued bonds for demolition, rehabilitation, and/or construction of units of family housing located at 11 naval bases in the southeast (Navy Southeast). The project is expected to consist of 5,269 end-state units upon completion of construction in 2013. STANTON CDO: Moody's Downgrades Ratings on Six Classes of Notes --------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of six classes of notes issued by STANTON CDO I S.A.: -- US$132,285,000 Class A-1 US$ Senior Secured Floating Rate Notes due 2018 (current balance of $126,402,196), Downgraded to Caa2; previously on March 27, 2009 Downgraded to Ba2 and Remained on Review for Possible Downgrade -- EUR15,000,000 Class A-1 EUR Senior Secured Floating Rate Notes due 2018 (current balance of $16,927,202), Downgraded to Caa2; previously on March 27, 2009 Downgraded to Ba2 and Remained on Review for Possible Downgrade -- US$150,000,000 Class A-1U Senior Secured Floating Rate Notes due 2018 (current balance of $143,329,398), Downgraded to Caa2; previously on March 27, 2009 Downgraded to Ba2 and Remained on Review for Possible Downgrade -- EUR25,000,000 Class A-2 EUR Senior Secured Fixed Rate Notes due 2018, Downgraded to Ca; previously on March 27, 2009 Downgraded to Caa3 and Remained on Review for Possible Downgrade -- EUR8,000,000 Class A-2 EUR Senior Secured Floating Rate Notes due 2018, Downgraded to Ca; previously on March 27, 2009 Downgraded to Caa3 and Remained on Review for Possible Downgrade -- US$56,027,000 Class A-2 US$ Senior Secured Floating Rate Notes due 2018, Downgraded to Ca; previously on March 27, 2009 Downgraded to Caa3 and Remained on Review for Possible Downgrade STANTON CDO I S.A. is a collateralized debt obligation issuance backed primarily by a portfolio of CLOs. According to Moody's, the rating downgrade actions are the result of deterioration in the credit quality of the underlying portfolio. Credit deterioration is observed through numerous factors, including a decline in the average credit rating of the portfolio (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. The weighted average rating factor, as reported by the trustee, has increased from 786 in December 2008 to 2477 as of November 2009. During the same time, defaulted securities in the underlying portfolio increased from $12.7 million to $72.7 million, and the Class A Overcollateralization ratio decreased from 111.51% to 77.06%. Moody's also notes than on May 7, 2009, the Issuer reported an Event of Default pursuant to Condition 10(a)(iii) of the Conditions in the Trust Deed dated October 28, 2003 due to a failure to maintain the Class A Overcollateralisation Ratio above 100 per cent. 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. Moody's notes that approximately 68% of the underlying assets are rated Ba2 or below and approxiamtely $81mm in underlying assets are rated B3 and below. The actions consider the risk that liquidation of the Collateral may be selected as the post-Event of Default remedy. The severity of losses of certain tranches may be different depending on the timing and outcome of a liquidation. In deriving its ratings, Moody's uses the collateral instrument's current rating-based expected loss, Moody's recovery rate table, and the original rating of the instrument along with its average life to infer an unadjusted default probability. 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, and specific documentation features. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. WACHOVIA BANK: Fitch Takes Rating Actions on 2005-C22 Certs. ------------------------------------------------------------ Fitch Ratings takes various rating actions on Wachovia Bank Commercial Mortgage Trust series 2005-C22, commercial mortgage pass-through certificates. 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 9.2% for this transaction should market conditions not recover. The rating actions are based on the full losses of 9.2% 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. That is consistent with the analysis used in its review of recent vintage transactions whereby cash flow was assumed to decline 10% from year-end 2008 projected over a three-year period. If the stressed cash flow would cause the loan to fall below 0.95 times (x) 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 10%, 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 70% 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 89% of the 9.2%. Approximately 97.5% of the mortgages mature within the next five years: 1.9% in 2010, 6.6% in 2012 and 88.9% in 2015. Fitch identified 26 Loans of Concern (28.5%) within the pool, 11 of which (12.1%) are specially serviced. Of the specially serviced loans, four (5.9%) are current. Six of the Fitch Loans of Concern (15.2%) are within the transaction's top 15 loans, and three (5.3%) are specially serviced. Five of the Loans of Concern (13.6%) within the top 15 loans are assumed to default during the term with loss severities ranging from 22% to 50%. The largest contributors to loss are: Westin Casuarina Hotel & Spa (6.2%), Birtcher Portfolio (2.1%), and Britannia Business Center (1.7%). Fitch expects that the remaining top 15 loans may default at maturity based on an insufficient accrued equity position as calculated in Fitch's refinance test. 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 Westin Casuarina Hotel and Spa loan is collateralized by an 826 room full-service hotel located a quarter of a mile east of the Las Vegas Strip. The property was constructed in 1977 and underwent an extensive repositioning and a $90 million renovation in 2002, when it was reopened under the Westin flag. As of the trailing 12 months ended June 2009 occupancy was 61.5% and DSCR was 1.03x compared to issuance underwriting of 75.5% and 1.66x. As of the TTM June 2009 ADR, Occupancy and RevPAR were $118.67, 61.5% and $72.98, respectively. This represents a RevPar decline of 26% since YE 2008. The borrower has requested a modification due to the decline in performance of the hotel, and it is likely that the loan will transfer to special servicing in the near future. Fitch considers the loan to have a higher probability of defaulting during the term due to the significant decline in property performance over the last 12 months. The partial interest-only Britcher Portfolio loan is collateralized by a portfolio of six office properties located in Phoenix and Tempe, AZ. The loan will begin to amortize on a 30- year schedule in October 2010. Major tenants include TriWest Healthcare Alliance (31.5% of NRA, expiring 2011), AIG (28%, 2015), and Garmin International (2%, 2011). Approximately 3% of the space rolls in 2010 and 35% in 2011. Fitch considers the loan to be a Fitch Loan of Concern due to the decline in occupancy, which has been especially acute over the last year. As of September 2009 occupancy was 68% compared to 98% at issuance. Two of the buildings have been completely vacant since their single tenants vacated in mid 2007 and mid 2008 respectively. Another building had occupancy drop from 92% to 26% when the largest tenant vacated upon lease expiration in early 2009. As of June 2009 DSCR remained at 1.31x compared to 1.30x at issuance, however, this figure does not take into account the recently vacated space. DSCR based on the leases in-place is approximately 0.79x on an interest-only basis and 0.65x on an amortizing basis. Fitch considers the loan to have a higher probability of defaulting during the term due to the significant increase in vacancy and the lack of progress in leasing previously vacated space. The partial interest-only Brittania Business Center loan is collateralized by a 276,210 office property located in Pleasanton, CA. The property was built in 1993. The loan begins to amortize on a 30-year schedule in October 2010. The loan transferred to the special servicer in May 2009 due to imminent default when the largest tenant (51% of NRA) vacated its space at YE 2008 leaving the property 43% occupied. The borrower has indicated that due to a soft leasing market they are having difficulty leasing the vacant space. The loan is delinquent and the special servicer is pursuing foreclosure. Major tenants include Robert Half International (34% of NRA, expiring June 2010), Microchip Biotechnologies (6%, 2014) and Chrysler Motors, LLC (5%, 2011). There is significant near-term lease rollover 34% expiring in 2010 and 5% expiring in 2011 in addition to the 51% of the space that is already vacant. Robert Half International has indicated that it will be vacating all of its space in an adjacent property when the lease expires in 2010, but has not stated its intentions for the space at the subject property. The loan defaulted during the term and remains with the special servicer. Losses are calculated based on a recent appraised value. Fitch has downgraded, removed from Rating Watch Negative, and assigned Rating Outlooks and Loss Severity ratings to these classes: -- $152 million class A-J to 'BBB/LS4' from 'AAA'; Outlook Stable; -- $22.2 million class B to 'BB/LS5' from 'AA+'; Outlook Negative; -- $31.7 million class C to 'BB/LS5' from 'AA'; Outlook Negative; -- $25.3 million class D to 'BB/LS5' from 'AA-'; Outlook Negative; -- $47.5 million class E to 'B/LS5' from 'A'; Outlook Negative; -- $31.7 million class F to 'B-/LS5' from 'A-'; Outlook Negative; -- $28.5 million class G to 'B-/LS5' from 'BBB+'; Outlook Negative; -- $28.5 million class H to 'B-/LS5' from 'BBB'; Outlook Negative; -- $34.8 million class J to 'B-/LS5' from 'BBB-'; Outlook Negative; -- $15.8 million class K to 'B-/LS5' from 'BB'; Outlook Negative; -- $12.7 million class L to 'CCC/RR6' from 'BB-'; Outlook Negative; -- $12.7 million class M to 'CCC/RR6' from 'B+'; Outlook Negative; -- $6.3 million class N to 'CCC/RR6' from 'B'; Outlook Negative; -- $6.3 million class O to 'CCC/RR6' from 'B-'; Outlook Negative. Fitch has revised the Recovery Rating on this class: -- $9.5 million class P to 'CCC/RR6' from 'CCC/RR1'. Fitch also has affirmed these classes and assigned LS ratings as indicated: -- $56.7 million class A-2 at 'AAA/LS2'; Outlook Stable; -- $164.6 million class A-3 at 'AAA/LS2'; Outlook Stable; -- $148.5 million class A-PB at 'AAA/LS2'; Outlook Stable; -- $941 million class A-4 at 'AAA/LS2'; Outlook Stable; -- $374.3 million class A-1A at 'AAA/LS2'; Outlook Stable; -- $253.4 million class A-M at 'AAA/LS4'; Outlook Stable; -- Interest-only class IO at 'AAA'; Outlook Stable; Class A-1 has paid in full. Fitch does not rate the $41.2 million class Q. * Moody's Changes Loss Projections on US Alt-A RMBS Issuances ------------------------------------------------------------- Moody's Investors Service has revised its loss projections for US Alternative-A residential mortgage backed securities issued from 2005 through 2007. On average, Moody's is now projecting cumulative losses of 14% for 2005 securitizations, 29% for 2006 securitizations and 35% for 2007 securitizations, reported as a percentage of original balance. As a result of the revision, Moody's has now placed 10,330 tranches of Alt-A RMBS with an original balance of $572.7 billion and current outstanding balance of $330.1 billion, on review for possible downgrade. Moody's has already taken widespread rating actions on deals backed by Alt-A collateral from the 2005-2007 vintages in the first quarter of 2009. The updated loss projections will have the greatest impact on senior securities issued in 2005. On October 29, 2009, Moody's announced that it would update certain assumptions underlying loss projections for each of the major RMBS sectors. The continued deterioration in performance of Alt-A pools in conjunction with macroeconomic conditions that remain under duress prompted the announcement. Since the first quarter of 2009, when Moody's last announced a revision to its Alt-A loss projections, serious delinquencies (loans that are 60 or more days delinquent, including loans in foreclosure and homes that are held for sale) on Alt-A mortgage pools backing 2005 to 2007 securitizations have increased markedly. Since March 2009, serious delinquencies for the 2005, 2006 and 2007 vintages have increased to 18.9% from 15.0%, 32.6% from 26.6% and 32.5% from 25.5% respectively (reported as a percentage of outstanding pool balance). In the meantime, cumulative losses realized on the pools have more than doubled from 1.4% to 2.8%, 3.1% to 6.4% and 2.2% to 5.7% for the 2005, 2006 and 2007 vintages respectively. Even though the Case-Shiller index in recent months has reported very modest home price gains, Moody's believes the overhang of impending foreclosures will impact home prices negatively in the coming months. Moody's Economy.com expects home prices to fall by an additional 11% to reach a peak-to-trough decline of approximately 37%. Adding to borrowers' financial pressure, unemployment is now projected to peak at around 10.5%. Both measures are expected to reach their peaks in the second half of 2010, after which recovery is expected to be slow. Estimation of Losses To estimate losses, Moody's first projected delinquencies through the second half of 2010. Moody's estimated that the proportion of contractually current or 30-day delinquent loans that will become seriously delinquent by the second half of 2010 will be 10.1%, 19.7% and 21.6% for the 2005, 2006 and 2007 vintages, respectively. Growth in new delinquency levels beyond the second half of 2010 is expected to decline with improving economic and housing conditions. To estimate delinquencies beyond 2010, Moody's applied a reduction to the new delinquency rates of 20% for 2011, 35% for 2012 and 45% for 2013 and beyond. This deceleration reflects home price and unemployment projections by MEDC for years beyond 2010. To calculate the default rate on the projected delinquencies, Moody's assumed an average roll rate (probability of transition from delinquency into default) of 95%. The loss on the loan upon default (severity of loss) is expected to be around 60% on average, in line with recently observed severities. The updated loss estimates incorporate a less that 2% benefit to projected losses across vintages to reflect the government's effort to curb loan defaults and foreclosures through loan modification. The minimal modification benefit reflects the limited success of modification efforts to date in general as well as the smaller universe of eligible loans in Alt-A pools given the high investor concentration. Moody's will release a special report in the coming weeks that will detail its methodology for determining revised loss projections for Alt-A transactions issued from 2005 to 2007. Rating Actions To assess the rating implications of the updated loss levels on Alt-A RMBS, Moody's will analyze each transaction through a variety of scenarios in the Structured Finance Workstation, the cash flow engine provided by Moody's Wall Street Analytics. The scenarios incorporate ninety-six different combinations of loss levels, default timing and prepayment curves. On senior securities, the extent of rating actions due to the revised loss projections will vary by vintage. Currently, over 30% of the senior securities issued in 2005 maintain investment grade ratings. Moody's anticipates a majority of these ratings to migrate to B/Caa rating levels. However, over 95% of the senior securities issued in 2006 and 2007 are already rated below investment grade and 85% are rated Caa or lower. Consequently, the ratings migration for the 2006 and 2007 vintages is expected to be smaller. In general, bonds that have a short estimated life or are adequately supported by other senior securities will likely be confirmed or see smaller rating transitions. The majority of rated subordinated tranches from 2005 to 2007 vintages have already been downgraded to impairment ratings. Moody's rates securities B2 or higher if they are likely to be paid off under an expected scenario. If a security is likely to take a loss under an expected scenario, it will typically be rated B3 or lower. Securities with expected recoveries of 65% to 95% are rated in the Caa range. Securities with expected recoveries of 35% to 65% are rated Ca, while securities with expected recoveries below 35% are rated C. * Moody's Changes Loss Projections on US Subprime RMBS Deals ------------------------------------------------------------ Moody's Investors Service has revised its loss projections for US subprime residential mortgage backed securities issued between 2005 and 2007. On average, Moody's is now projecting cumulative losses of 18.7% for 2005 securitizations, 38.4% for 2006 securitizations, and 48.1% for 2007 securitizations, reported as a percentage of original balance. As a result of the revision, Moody's has now placed 5,698 tranches of subprime RMBS with an original balance of $584 billion and outstanding balance of $319 billion, on review for possible downgrade. On October 29, 2009, Moody's announced that it would update certain assumptions underlying loss projections for each of the major RMBS sectors. Since March 2009, when Moody's last announced a revision to its subprime loss projections, serious delinquencies (loans that are 60 or more days delinquent, including loans in foreclosure and homes that are held for sale) in subprime pools from 2005, 2006, and 2007 have increased to 48% from 43%, 56% from 51%, and 55% from 47%, respectively (reported as a percentage of outstanding pool balance). Even though the Case-Shiller index in recent months has reported very modest home price gains, Moody's believes the overhang of impending foreclosures will impact home prices negatively in the coming months. Moody's Economy.com expects home prices to fall by an additional 11% to reach a peak-to-trough decline of approximately 37%. Adding to borrowers' financial pressure, unemployment is now projected to peak at around 10.5%. Both measures are expected to reach their peaks sometime in the second half of 2010, after which recovery is expected to be slow. Estimation of Losses To estimate losses, Moody's first projected delinquencies through the second half of 2010. Moody's estimated that the proportion of contractually current or 30-day delinquent loans that will become seriously delinquent by the second half of 2010 will be 23%, 35%, and 35%, for the 2005, 2006, and 2007 vintages, respectively. Growth in new delinquency levels beyond the second half of 2010 is expected to decline with improving economic and housing conditions. To estimate delinquencies beyond 2010, Moody's applied a reduction to the new delinquency rate of 25% for 2011, 40% for 2012, 50% for 2013, and 50% for 2014 and beyond. This deceleration reflects home price and unemployment projections by MEDC for years beyond 2010. To calculate the default rate on the projected delinquencies, Moody's assumed an average roll rate (probability of transition from delinquency into default) of 95%. The loss on the loan upon default (severity of loss) is expected to be around 70% on average. In addition, the government's effort to curb loan defaults and foreclosures through loan modification has failed to gain traction; prompting Moody's to reduce the average modification benefit to projected losses across vintages from 15% in March to less than 5% going forward. Moody's will release a special report in the coming weeks that will detail its methodology for determining revised loss projections for subprime transactions issued from 2005 to 2007. Rating Actions To assess the rating implications of the updated loss levels on subprime RMBS, Moody's will analyze each transaction through a variety of scenarios in the Structured Finance Workstation, the cash flow engine provided by Moody's Wall Street Analytics. The scenarios incorporate ninety-six different combinations of loss levels, loss timing and prepayment curves. The announced review impacts all securities within the subprime RMBS sector issued from 2005 to 2007 and currently rated Ca and above, excluding well-enhanced bonds expected to pay off in the next few months. The anticipated actions will vary, and certain bonds placed on review may have their rating confirmed to the extent credit support and/or payment priority offer sufficient protection against updated loss projections to maintain their current ratings. Moody's expects that upon conclusion of this review, a large majority of 2006 and 2007 senior bonds will be rated Caa or lower, although transitions for most of these bonds will be muted since over 40% are already at these rating levels. Ratings on 2005 vintage senior bonds are expected to see substantial downgrades but will maintain generally higher ratings relative to the 2006 and 2007 vintages. Moody's rates securities B2 or higher if they are likely to be paid off under an expected scenario. If a security is likely to take a loss under an expected scenario, it will typically be rated B3 or lower. Securities with expected recoveries of 65% to 95% are rated in the Caa range. Securities with expected recoveries of 35% to 65% are rated Ca, while securities with expected recoveries below 35% are rated C. * Moody's Reviews Ratings on 38 RMBS Resecuritization Tranches -------------------------------------------------------------- Moody's Investors Service has placed 38 RMBS resecuritization tranches with current outstanding balance of $1.8 billion, on watch for possible downgrade. The rating is triggered by a downgrade watch on the underlying ratings of the securities backing these resecuritization tranches. The resecuritization bonds are backed by jumbo RMBS bonds issued between 2005 and 2008. On Dec 17, 2009, Moody's placed 4474 tranches of jumbo RMBS issued between 2005 and 2008 on review for possible downgrade due to an upward revision of loss projections on collateral backing these transactions. On average, Moody's is now projecting cumulative losses of 3.8% for 2005 jumbo securitizations, 8.0% for 2006 jumbo securitizations, 10.9% for 2007 jumbo securitizations and 12.3% for 2008 jumbo securitizations reported as a percentage of original balance. Most resecuritization deals are structured as pass-through structures with payments received on the underlying certificates passed through to the resecuritization bonds. However, the resecuritization deals typically build-in additional support for the senior bonds issued in the transaction with certain junior bonds taking losses ahead of the senior bonds. Increased losses on the underlying certificates are thus likely to affect the principal recovery on the junior resecuritization bonds and some senior resecuritization bonds as well. As such, in assigning ratings on the notes in the resecuritization, Moody's evaluates: (i) The updated expected loss of the pool of loans backing the underlying securities portfolio and the updated ratings on the underlying securities portfolio given credit enhancement available to them, and (ii) The structure of the resecuritization transaction, including the cashflow allocation and the loss allocation amongst the bonds issued. Because the ratings on the notes in the resecuritization are linked to the ratings on the underlying securities and their mortgage pool performance, any rating action on the underlying securities may trigger a further review of the ratings on the notes in the resecuritization. Complete Rating Actions are: Issuer: BCAP 2006-RR1 -- Cl. PA, Aaa Placed Under Review for Possible Downgrade; previously on Jan 4, 2007 Assigned Aaa -- Cl. PB, Aa1 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Aa1 -- Cl. PC, Aa2 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Aa2 -- Cl. PD, Aa3 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Aa3 -- Cl. PE, Aa3 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Aa3 -- Cl. TA, Aa2 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Aa2 -- Cl. WZ, Aa2 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Aa2 -- Cl. CF, Aa2 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Aa2 -- Cl. CS, Aa2 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Aa2 Issuer: Bear Stearns ARM Trust 2006-3 -- Cl. A-1, A3 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to A3 -- Cl. A-2, B2 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to B2 Issuer: Bear Stearns Structured Products Inc. Trust 2007-R6 -- Cl. II-A-1, Caa1 Placed Under Review for Possible Downgrade; previously on May 29, 2009 Downgraded to Caa1 Issuer: CSMC Resecuritization Trust 2006-1R -- Cl. 1-A-1, Baa1 Placed Under Review for Possible Downgrade; previously on Jun 22, 2009 Downgraded to Baa1 -- Cl. 1-A-2, Baa1 Placed Under Review for Possible Downgrade; previously on Jun 22, 2009 Downgraded to Baa1 Issuer: CSMC Series 2008-3R -- Cl. 2-A-1, Aa3 Placed Under Review for Possible Downgrade; previously on Jun 2, 2009 Downgraded to Aa3 Issuer: Citigroup Mortgage Loan Trust Inc. Re-REMIC Trust Certificates, Series 2006-8 -- Cl. A-1, Baa1 Placed Under Review for Possible Downgrade; previously on Jul 15, 2009 Downgraded to Baa1 -- Cl. A-2, Baa1 Placed Under Review for Possible Downgrade; previously on Jul 15, 2009 Downgraded to Baa1 -- Cl. A-3, Baa1 Placed Under Review for Possible Downgrade; previously on Jul 15, 2009 Downgraded to Baa1 -- Cl. A-4, Baa1 Placed Under Review for Possible Downgrade; previously on Jul 15, 2009 Downgraded to Baa1 Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust Certificates, Series 2005-WF1 -- Cl. I-A-2, B3 Placed Under Review for Possible Downgrade; previously on Jul 13, 2009 Downgraded to B3 -- Cl. I-A-3, Caa1 Placed Under Review for Possible Downgrade; previously on Jul 13, 2009 Downgraded to Caa1 -- Cl. I-A-4, A3 Placed Under Review for Possible Downgrade; previously on Jul 13, 2009 Downgraded to A3 -- Cl. I-A-X, A3 Placed Under Review for Possible Downgrade; previously on Jul 13, 2009 Downgraded to A3 -- Cl. II-A-1, B3 Placed Under Review for Possible Downgrade; previously on Jul 13, 2009 Downgraded to B3 Issuer: GSMSC Pass-Through Trust 2008-2R -- Cl. 1A-1, B3 Placed Under Review for Possible Downgrade; previously on Jul 15, 2009 Downgraded to B3 -- Cl. 2A-1, B3 Placed Under Review for Possible Downgrade; previously on Jul 15, 2009 Downgraded to B3 Issuer: J.P. Morgan Mortgage Trust, Series 2008-R1 -- Cl. 1-A-1, B3 Placed Under Review for Possible Downgrade; previously on Jun 22, 2009 Downgraded to B3 Issuer: J.P. Morgan Mortgage Trust, Series 2008-R3 -- Cl. 1-A-1, B1 Placed Under Review for Possible Downgrade; previously on Jul 22, 2009 Downgraded to B1 Issuer: J.P. Morgan Mortgage Trust, Series 2008-R4 -- Cl. 1-A-1, B2 Placed Under Review for Possible Downgrade; previously on Jul 15, 2009 Downgraded to B2 -- Cl. 1-A-2, Caa2 Placed Under Review for Possible Downgrade; previously on Jul 15, 2009 Downgraded to Caa2 -- Cl. 2-A-1, B3 Placed Under Review for Possible Downgrade; previously on Jul 15, 2009 Downgraded to B3 Issuer: MASTR Adjustable Rate Mortgages Trust 2005-4 -- Cl. A-1, Aaa Placed Under Review for Possible Downgrade; previously on Jun 27, 2005 Assigned Aaa -- Cl. A-2, Aa2 Placed Under Review for Possible Downgrade; previously on Jul 30, 2009 Downgraded to Aa2 -- Cl. A-3, Ba3 Placed Under Review for Possible Downgrade; previously on Jul 30, 2009 Downgraded to Ba3 -- Cl. A-X, Aaa Placed Under Review for Possible Downgrade; previously on Jun 27, 2005 Assigned Aaa Issuer: Residential Mortgage Securities Funding 2008-3, Ltd. -- Notes, Baa3 Placed Under Review for Possible Downgrade; previously on Jul 13, 2009 Downgraded to Baa3 Issuer: Residential Mortgage Securities Funding 2008-6, Ltd. -- The Notes, Ba2 Placed Under Review for Possible Downgrade; previously on Jun 22, 2009 Downgraded to Ba2 Issuer: Residential Mortgage Securities Funding 2008-7, Ltd. -- Secured Floating Rate Notes, Caa1 Placed Under Review for Possible Downgrade; previously on Jun 22, 2009 Downgraded to Caa1 * S&P Downgrades Ratings on 105 Classes From 66 RMBS Transactions ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 105 classes from 66 residential mortgage-backed securities transactions backed by U.S. closed-end second-lien, home equity line of credit, and second-lien high combined loan to value mortgage loan collateral issued from 1997-2007, and removed 42 of them from CreditWatch negative. S&P lowered nine of these ratings to 'D' due to interest shortfall amounts that have not been recovered. In addition, S&P affirmed its ratings on 314 classes from 134 transactions and removed 97 of them from CreditWatch negative. The downgrades reflect S&P's opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings, given its current projected losses, because of increased delinquencies. 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 its 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 its base-case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 120% of its base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in S&P's view, withstand approximately 150% of its base-case loss assumptions under its analysis. The affirmed ratings reflect S&P's belief that the amount of credit enhancement available for these classes is sufficient to cover losses associated with these rating levels. A combination of subordination, excess spread, and overcollateralization provide credit support for the affected transactions. The underlying pool of loans backing these transactions consist of fixed- and adjustable-rate mortgage loans that are secured by second liens on one- to four-family residential properties. Rating Actions ACE Securities Corp. Home Equity Loan Trust Series 2005-SL1 Series 2005-SL1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 004421RV7 AA AA/Watch Neg Ace Securities Corp. Home Equity Loan Trust Series 2006-ASL1 Series 2006-ASL1 Rating ------ Class CUSIP To From ----- ----- -- ---- A 00442AAA1 CCC B ACE Securities Corp. Home Equity Loan Trust Series 2006-SL3 Series 2006-SL3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 004423AA7 CCC B A-2 004423AB5 CCC B Alliance Bancorp Trust 2007-S1 Series 2007-S1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 01853GAA8 D CCC A-2 01853GAB6 D CCC A-3 01853GAC4 D CCC A-4 01853GAD2 D CC C-BASS 2006-SL1 Series 2006-SL1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 14983AAA7 CCC B A-2 14983AAB5 CCC B A-3 14983AAC3 CCC B CWABS Master Trust Series 2002-E Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 126671RJ7 BBB BBB/Watch Neg CWABS Master Trust Series 2002-F Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 126671SX5 BBB BBB/Watch Neg CWABS Master Trust Series 2002-G Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 126671TH9 BBB- BBB-/Watch Neg CWABS Master Trust Series 2002-H Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 126671TX4 BBB- BBB-/Watch Neg CWABS Master Trust Series 2003-A Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 126671XC5 BBB- BBB-/Watch Neg CWABS Master Trust Series 2003-B Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 1266719F0 BBB- BBB-/Watch Neg CWABS Master Trust Series 2003-C Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 126671YH3 BBB- BBB-/Watch Neg CWABS Master Trust Series 2003-D Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 126671ZJ8 BBB BBB/Watch Neg CWABS Inc. Series 2002-S2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-5 126671QN9 AAA AAA/Watch Neg A-IO 126671QP4 AAA AAA/Watch Neg M-1 126671QQ2 CC AA/Watch Neg CWABS Inc. Series 2003-S1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 126671ZT6 CC A CWABS Inc. Series 2003-SC1 Rating ------ Class CUSIP To From ----- ----- -- ---- B 126671V45 B BBB- CWABS Inc. Series 2004-S1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-3 126673TD4 AAA AAA/Watch Neg A-IO 126673TE2 AAA AAA/Watch Neg M-1 126673TF9 BBB- AA/Watch Neg M-2 126673TG7 CC A/Watch Neg CWHEQ Revolving Home Equity Loan Trust Series 2006-A Series 2006-A Rating ------ Class CUSIP To From ----- ----- -- ---- A 126685CE4 CC B M-1 126685CG9 CC B- FFMLT Trust 2005-FFA Series 2005-FFA Rating ------ Class CUSIP To From ----- ----- -- ---- M-4 362341HG7 CC BBB Fifth Third Home Equity Loan Trust 2003-1 Series 2003-1 Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 31678UAA7 BBB BBB/Watch Neg First Franklin Mortgage Loan Trust 2003-FFC Series 2003-FFC Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 32027NCP4 CC AA M-2 32027NCQ2 CC A M-3 32027NCR0 CC BBB+ First Franklin Mortgage Loan Trust 2004-FFB Series 2004-FFB Rating ------ Class CUSIP To From ----- ----- -- ---- M-4 22541SRC4 A A/Watch Neg M-5 22541SRD2 CC A- First Franklin Mortgage Loan Trust 2004-FFC Series 2004-FFC Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 32027NPX3 A A/Watch Neg B-2 32027NPY1 BBB BBB/Watch Neg B-3 32027NQA2 BBB- BBB-/Watch Neg First-Citizens HELOC Trust 2005-1 Series 2005-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A 31959AAA1 A A/Watch Neg GMACM Home Equity Loan Trust 2001-HE3 Series 2001-HE3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 361856BR7 B- BBB/Watch Neg A-2 361856BS5 CCC BBB/Watch Neg GMACM Home Equity Loan Trust 2004-HE1 Series 2004-HE1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-3 361856CV7 CC CCC VPRN 76112B3V0 CC CCC GMACM Home Equity Loan Trust 2004-HE2 Series 2004-HE2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 361856DE4 BB+ AA- GMACM Home Equity Loan Trust 2007-HE3 Series 2007-HE3 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 36186MAA9 B- BB I-A-2 36186MAB7 CCC BB II-A-1 36186MAC5 B BB II-A-2 36186MAD3 CCC BB M-2 36186MAF8 CC CCC GreenPoint Home Equity Loan Trust 2004-2 Series 2004-2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 395385AT4 CC BBB/Watch Neg A-2 395385AU1 CC BBB/Watch Neg GreenPoint Home Equity Loan Trust 2004-3 Series 2004-3 Rating ------ Class CUSIP To From ----- ----- -- ---- A 395385AW7 CCC BB/Watch Neg Greenpoint Mortgage Funding Trust 2005-HE1 Series 2005-HE1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-4 39538WAJ7 BB- BBB M-5 39538WAK4 CC BB Greenpoint Mortgage Funding Trust 2005-HE4 Series 2005-HE4 Rating ------ Class CUSIP To From ----- ----- -- ---- M3 39538WDK1 CC B M4 39538WDL9 CC B- GSAA Home Equity Trust 2006-S1 Series 2006-S1 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 40051CAA5 CCC BB/Watch Neg II-M-1 40051CAR8 AA+ AA+/Watch Neg II-M-2 40051CAS6 A- AA-/Watch Neg II-M-3 40051CAT4 B- A/Watch Neg GSR Trust 2005-HEL1 Series 2005-HEL1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 362341N39 CCC B/Watch Neg Home Equity Mortgage Loan Asset-Backed Trust Series INDS 2006-A Series 2006-A Rating ------ Class CUSIP To From ----- ----- -- ---- A 43709UAA5 CCC B Home Equity Mortgage Trust 2004-1 Series 2004-1 Rating ------ Class CUSIP To From ----- ----- -- ---- B 22541Q5X6 B- BBB Home Equity Mortgage Trust 2004-2 Series 2004-2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 22541SES3 A A/Watch Neg B-1 22541SET1 BBB+ BBB+/Watch Neg B-2 22541SEU8 B- BBB/Watch Neg Home Equity Mortgage Trust 2004-3 Series 2004-3 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 22541SLU0 A+ A+/Watch Neg M-4 22541SLV8 A A/Watch Neg M-5 22541SLW6 A- A-/Watch Neg Home Equity Mortgage Trust 2004-4 Series 2004-4 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 22541SYL6 AA- AA-/Watch Neg M-4 22541SYM4 A+ A+/Watch Neg M-5 22541SYN2 A A/Watch Neg M-6 22541SYP7 B- A-/Watch Neg B-1 22541SYQ5 CC BBB+/Watch Neg Home Equity Mortgage Trust 2004-5 Series 2004-5 Rating ------ Class CUSIP To From ----- ----- -- ---- P 22541SK64 AAA AAA/Watch Neg M-1 22541SJ90 AA+ AA+/Watch Neg M-2 22541SK23 A A/Watch Neg B-1 22541SK31 CC BBB+/Watch Neg Home Equity Mortgage Trust 2004-6 Series 2004-6 Rating ------ Class CUSIP To From ----- ----- -- ---- P 22541S3J5 AAA AAA/Watch Neg M-2 22541S3C0 A+ A+/Watch Neg M-3 22541S3D8 B BBB+/Watch Neg M-4 22541S3E6 CC BBB/Watch Neg Home Equity Mortgage Trust 2005-1 Series 2005-1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-5 225458CW6 A A/Watch Neg M-6 225458CX4 A- A-/Watch Neg M-7 225458CY2 BBB+ BBB+/Watch Neg Home Equity Mortgage Trust 2005-4 Series 2005-4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-3 2254584V7 AAA AAA/Watch Neg A-4 2254584W5 AAA AAA/Watch Neg M-1 2254584D7 AA+ AA+/Watch Neg Home Equity Mortgage Trust 2005-5 Series 2005-5 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1A 225470QV8 AAA AAA/Watch Neg A-1F1 225470QW6 AAA AAA/Watch Neg A-1F2 225470RR6 AAA AAA/Watch Neg A-2A 225470QX4 CCC AAA/Watch Neg A-2F 225470QY2 CCC AAA/Watch Neg Home Equity Mortgage Trust 2005HF-1 Series 2005-HF1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 2254W0LE3 AAA AAA/Watch Neg A-2B 2254W0MB8 AAA AAA/Watch Neg A-3B 2254W0MC6 AAA AAA/Watch Neg G 2254W0LW3 AAA AAA/Watch Neg M-1 2254W0LH6 AA+ AA+/Watch Neg M-2 2254W0LJ2 B+ AA/Watch Neg M-3 2254W0LK9 CC AA-/Watch Neg Home Equity Mortgage Trust 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1A2 225470XG3 AA AA/Watch Neg A-1B 225470XH1 AA AA/Watch Neg A-1F 225470XJ7 AA AA/Watch Neg A-2 225470XK4 AA AA/Watch Neg A-3 225470XL2 CCC AA/Watch Neg Home Equity Mortgage Trust 2006-6 Series 2006-6 Rating ------ Class CUSIP To From ----- ----- -- ---- 2A-1 43709YAB5 D CC 2A-2 43709YAC3 D CC 2A-3 43709YAD1 D CC Home Loan Trust 2002-HI5 Series 2002-HI5 Rating ------ Class CUSIP To From ----- ----- -- ---- B 76110VLR7 B- B Home Loan Trust 2003-HI1 Series 2003-HI1 Rating ------ Class CUSIP To From ----- ----- -- ---- B 76110VML9 CC BB Home Loan Trust 2006-HI1 Series 2006-HI1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-8 76110VUE6 BBB- BBB M-9 76110VUF3 B- BBB- IndyMac Residential Asset-Backed Trust Series 2004-LH1 Series 2004-LH1 Rating ------ Class CUSIP To From ----- ----- -- ---- A 456606GK2 B B/Watch Neg MASTR Second Lien Trust 2005-1 Series 2005-1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 57644DAB9 B- BBB Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-A Series 2007-A Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 59025QAB5 CCC B A-3 59025QAC3 CCC B M-1 59025QAD1 CC CCC Merrill Lynch Mortgage Investors Trust Series 2006-SL1 Rating ------ Class CUSIP To From ----- ----- -- ---- A 59020U2N4 AAA AAA/Watch Neg Merrill Lynch Mortgage Investors Trust Series 2004-SL2 Series 2004-SL2 Rating ------ Class CUSIP To From ----- ----- -- ---- B-3 59020UKK0 CC BBB- Merrill Lynch Mortgage Investors Trust Series 2005-NCA Series 2005-NCA Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 59020UZU2 A A/Watch Neg Merrill Lynch Mortgage Investors Trust Series 2005-NCB Series 2005-NCB Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 59020UT88 CC A/Watch Neg Merrill Lynch Mortgage Investors Trust Series 2005-SL3 Series 2005-SL3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 59020UK38 AAA AAA/Watch Neg A-2B 59020UN76 AAA AAA/Watch Neg M-1 59020UK46 BBB+ A/Watch Neg Merrill Lynch Mortgage Investors Trust Series 2007-SL1 Series 2007-SL1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 59025AAA2 D CC Morgan Stanley Mortgage Loan Trust 2005-8SL Series 2005-8SL Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 61748HQK0 D BB Morgan Stanley Mortgage Loan Trust 2006-10SL Series 2006-10SL Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 61749TAA2 CCC BB/Watch Neg Morgan Stanley Mortgage Loan Trust 2006-4SL Series 2006-4SL Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 61748HYC9 CCC BB MSCC HELOC Trust 2007-1 Series 2007-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A 55352RAA6 BBB BBB/Watch Neg MSDWCC HELOC Trust 2003-1 Series 2003-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A 55353WAA4 BBB BBB/Watch Neg MSDWCC HELOC Trust 2003-2 Series 2003-2 Rating ------ Class CUSIP To From ----- ----- -- ---- A 55353WAB2 A- A-/Watch Neg MSDWCC HELOC Trust 2005-1 Series 2005-1 Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 55353WAC0 BBB BBB/Watch Neg Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2005-S3 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 65535VNS3 CC B Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2005-S4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 65535VQN1 A A/Watch Neg A-2 65535VQP6 BBB A/Watch Neg A-3 65535VQQ4 BBB A/Watch Neg Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2006-S1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 65535VTN8 BB BB/Watch Neg A-2 65535VTP3 CCC BB/Watch Neg A-3 65535VTQ1 CCC BB/Watch Neg SACO I Trust 2005-5 Series 2005-5 Rating ------ Class CUSIP To From ----- ----- -- ---- I-M-1 785778FZ9 CC BBB- SACO I Trust 2005-8 Series 2005-8 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 785778LA7 AA AA/Watch Neg A-3 785778LC3 AA AA/Watch Neg M-1 785778LD1 CC BBB/Watch Neg SACO I Trust 2005-9 Series 2005-9 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 785778MN8 CC BB SACO I Trust 2005-GP1 Series 2005-GP1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 785778JK8 CC AAA SACO I Trust 2005-7 Series 2005-7 Rating ------ Class CUSIP To From ----- ----- -- ---- A 785778KL4 AA AA/Watch Neg M-1 785778KM2 CC BB/Watch Neg Sequoia HELOC Trust 2004-1 Series 2004-1 Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 817419AA2 BBB BBB/Watch Neg Soundview Home Loan Trust 2005-B Series 2005-B Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 83611MHL5 AA+ AA+/Watch Neg M-2 83611MHM3 AA AA/Watch Neg M-3 83611MHN1 B A-/Watch Neg M-4 83611MHP6 CC BBB-/Watch Neg M-5 83611MHQ4 CC BB/Watch Neg Structured Asset Securities Corp. Series 2003-S2 Rating ------ Class CUSIP To From ----- ----- -- ---- M2-A 86359BBN0 BB+ A M2-F 86359BBP5 BB+ A Structured Asset Securities Corp. Series 2004-S2 Rating ------ Class CUSIP To From ----- ----- -- ---- M6 86359BSX0 B- B M7 86359BSY8 CC CCC Structured Asset Securities Corp. Series 2004-S3 Rating ------ Class CUSIP To From ----- ----- -- ---- M4 86359BB91 B+ BB M5 86359BC25 CC B M6 86359BC33 CC CCC Structured Asset Securities Corporation Series 2004-S4 Rating ------ Class CUSIP To From ----- ----- -- ---- M4 86359BM40 A- A-/Watch Neg M5 86359BM57 BBB+ BBB+/Watch Neg M6 86359BM65 BBB BBB/Watch Neg Structured Asset Securities Corp. 2005-S1 Series 2005-S1 Rating ------ Class CUSIP To From ----- ----- -- ---- M3 86359B4E8 AA- AA-/Watch Neg M4 86359B4F5 B A/Watch Neg M5 86359B4G3 CC BBB-/Watch Neg Structured Asset Securities Corp. Mortgage Loan Trust 2005-S5 Series 2005-S5 Rating ------ Class CUSIP To From ----- ----- -- ---- A2 86359DPN1 AAA AAA/Watch Neg M1 86359DPP6 AA+ AA+/Watch Neg M-2 86359DPQ4 CC AA/Watch Neg Structured Asset Securities Corp. Mortgage Loan Trust 2005-S6 Series 2005-S6 Rating ------ Class CUSIP To From ----- ----- -- ---- M2 86359DTS6 CC B Structured Asset Securities Corp. Mortgage Loan Trust 2006-S2 Series 2006-S2 Rating ------ Class CUSIP To From ----- ----- -- ---- A2 86359FAB8 BBB- AAA Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-S3 Rating ------ Class CUSIP To From ----- ----- -- ---- A 86359WAA3 CCC BBB Terwin Mortgage Trust 2004-16SL Series 2004-16SL Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 881561LA0 BB+ BBB- Terwin Mortgage Trust 2004-23HELOC Series 2004-23 Rating ------ Class CUSIP To From ----- ----- -- ---- A 881561PM0 CC B/Watch Neg Terwin Mortgage Trust 2005-11 Series 2005-11 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1b 881561YB4 AAA AAA/Watch Neg I-G 881561YU2 AAA AAA/Watch Neg 1-M-1a 881561YD0 BBB BBB/Watch Neg I-M-1b 881561YE8 CC BBB/Watch Neg II-A-2 881561C69 AAA AAA/Watch Neg II-G 881561B86 AAA AAA/Watch Neg Terwin Mortgage Trust 2005-1SL Series 2005-1SL Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 881561QJ6 AA AA/Watch Neg M-2 881561QK3 A A/Watch Neg Terwin Mortgage Trust 2005-3SL Series 2005-3SL Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 881561SU9 AA AA/Watch Neg M-2 881561SV7 A A/Watch Neg M-3 881561SW5 B- A-/Watch Neg Terwin Mortgage Trust 2005-5SL Series 2005-5SL Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 881561RQ9 A A/Watch Neg M-3 881561RR7 A- A-/Watch Neg Terwin Mortgage Trust 2005-9HGS Series 2005-9HGS Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 881561WQ3 AAA AAA/Watch Neg A-X 881561WR1 AAA AAA/Watch Neg M-1 881561WS9 AA AA/Watch Neg M-2 881561WT7 BBB+ AA-/Watch Neg Terwin Mortgage Trust 2006-HF-1 Series 2006-HF-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1b 881561R55 AA AA/Watch Neg G 881561T20 AA AA/Watch Neg Wachovia Asset Securitization Issuance LLC 2003-HE3 Trust Series 2003-HE3 Rating ------ Class CUSIP To From ----- ----- -- ---- A 92975TAA2 BBB BBB/Watch Neg Wachovia Asset Securitization Inc. 2002-HE1 Trust Series 2002-HE1 Rating ------ Class CUSIP To From ----- ----- -- ---- A 929759AA6 BBB+ BBB+/Watch Neg Wachovia Asset Securitization Inc. 2003-HE1 Trust Series 2003-HE1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 92975QAA8 BBB+ BBB+/Watch Neg A-2 92975QAB6 BBB+ BBB+/Watch Neg Wachovia Asset Securitization Inc. 2003-HE2 Trust Series 2003-HE2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-I-1 92975RAA6 BBB+ BBB+/Watch Neg A-II-1 92975RAB4 BBB+ BBB+/Watch Neg A-II-2 92975RAC2 BBB+ BBB+/Watch Neg Ratings Affirmed ACE Home Equity Loan Trust Series 2006-GP1 Series 2006-GP1 Class CUSIP Rating ----- ----- ------ A 004406AA2 AAA ACE Securities Corp. Home Equity Loan Trust Series 2006-SL1 Series 2006-SL1 Class CUSIP Rating ----- ----- ------ A 004421VE0 B Bond Securitization Trust 2003-1 Series 2003-1 Class CUSIP Rating ----- ----- ------ B-1 09788RAE9 BBB B-2 09788RAF6 BBB- CWABS Revolving Home Equity Loan Trust Series 2004-U Series 2004-U Class CUSIP Rating ----- ----- ------ 1-A Notes 126673VD1 CCC CWABS Inc. Series 2002-SC1 Class CUSIP Rating ----- ----- ------ A-IO 126671SC1 B M-2 126671SE7 B CWABS Inc. Series 2003-S1 Class CUSIP Rating ----- ----- ------ A-5 126671ZP4 AAA A-IO 126671ZQ2 AAA M-1 126671ZS8 AA CWABS Inc. Series 2003-S2 Class CUSIP Rating ----- ----- ------ A-4 126671P34 AAA A-5 126671P42 AAA M-1 126671P67 AA M-2 126671P75 A B-1 126671P83 BBB CWABS Inc. Series 2003-SC1 Class CUSIP Rating ----- ----- ------ M-1 126671U79 AA+ M-2 126671U87 A+ M-3 126671U95 A M-4 126671V29 A- M-5 126671V37 BBB CWHEQ Revolving Home Equity Loan Trust Series 2007-A Series 2007-A Class CUSIP Rating ----- ----- ------ A 126682AA1 AAA CWHEQ Revolving Home Equity Loan Trust Series 2006-E Series 2006-E Class CUSIP Rating ----- ----- ------ 1-A 23242QAD4 BB+ 2-A 23242QAE2 BB+ CWHEQ Revolving Home Equity Loan Trust Series 2006-G Series 2006-G Class CUSIP Rating ----- ----- ------ 1-A 23243JAA5 BB+ 2-A 23243JAB3 BB+ CWHEQ Revolving Home Equity Loan Trust Series 2006-I Series 2006-I Class CUSIP Rating ----- ----- ------ 1-A 12668FAA2 AAA 2-A 12668FAB0 AAA CWHEQ Revolving Home Equity Loan Trust Series 2007-B Series 2007-B Class CUSIP Rating ----- ----- ------ A 12669XAE4 AAA CWHEQ Revolving Home Equity Loan Trust Series 2007-D Series 2007-D Class CUSIP Rating ----- ----- ------ A 12670PAA6 AAA CWHEQ Revolving Home Equity Loan Trust Series 2007-E Series 2007-E Class CUSIP Rating ----- ----- ------ A 12670TAA8 BB+ DLJ ABS Trust Series 2000-6 Series 2000-6 Class CUSIP Rating ----- ----- ------ M-2 23324VAC6 AA B-1 23324VAD4 BBB- FFMLT Trust 2005-FFA Series 2005-FFA Class CUSIP Rating ----- ----- ------ M-2 362341HE2 A+ M-3 362341HF9 A First Franklin Mortgage Loan Trust 2003-FFB Series 2003-FFB Class CUSIP Rating ----- ----- ------ M2 32027NCJ8 A GMACM Home Equity Loan Trust 2004-HE2 Series 2004-HE2 Class CUSIP Rating ----- ----- ------ A-3 361856DA2 AAA A-4 361856DB0 AAA M-1 361856DD6 AA GMACM Home Equity Loan Trust 2007-HE3 Series 2007-HE3 Class CUSIP Rating ----- ----- ------ M-1 36186MAE1 CCC Greenpoint Mortgage Funding Trust 2005-HE1 Series 2005-HE1 Class CUSIP Rating ----- ----- ------ M-1 39538WAF5 AA M-2 39538WAG3 AA- M-3 39538WAH1 A Greenpoint Mortgage Funding Trust 2005-HE4 Series 2005-HE4 Class CUSIP Rating ----- ----- ------ IA-1 39538WDC9 AAA IIA-1a 39538WDD7 AAA IIA-1b 39538WDW5 AAA IIIA-3c 39538WDF2 AAA IIIA-4c 39538WDG0 AAA M1 39538WDH8 AA M2 39538WDJ4 BBB GSAMP Trust 2006-S2 Series 2006-S2 Class CUSIP Rating ----- ----- ------ A-2 362334HL1 CCC A-3 362334JF2 CCC GSAMP Trust 2006-S4 Series 2006-S4 Class CUSIP Rating ----- ----- ------ A-1 36244MAA9 CCC A-2 36244MAB7 CCC A-3 36244MAC5 CCC GSAMP Trust 2006-S6 Series 2006-S6 Class CUSIP Rating ----- ----- ------ A-1B 36245CAB8 CCC A-1C 36245CAC6 CCC A-2 36245CAD4 CCC A-3 36245CAE2 CCC GSR Trust 2007-HEL1 Series 2007-HEL1 Class CUSIP Rating ----- ----- ------ A 36245HAA9 BB+ HLTV Mortgage Loan Trust 2004-1 Series 2004-1 Class CUSIP Rating ----- ----- ------ A 404227AA8 BBB Home Equity Loan Trust 2006-HSA4 Series 2006-HSA4 Class CUSIP Rating ----- ----- ------ A 43709WAA1 BB+ Home Equity Mortgage Trust 2003-6 Series 2003-6 Class CUSIP Rating ----- ----- ------ M-2 22541QG97 A B-1 22541QH21 BBB B-2 22541QH39 BBB P 22541QH47 AAA Home Equity Mortgage Trust 2004-4 Series 2004-4 Class CUSIP Rating ----- ----- ------ P 22541SYT9 AAA Home Equity Mortgage Trust 2005-1 Series 2005-1 Class CUSIP Rating ----- ----- ------ P 225458DD7 CCC Home Equity Mortgage Trust 2005-4 Series 2005-4 Class CUSIP Rating ----- ----- ------ P 2254584Q8 AAA Home Equity Mortgage Trust 2005-5 Series 2005-5 Class CUSIP Rating ----- ----- ------ P 225470RM7 AAA Home Loan Trust 2002-HI4 Series 2002-HI4 Class CUSIP Rating ----- ----- ------ A-6 76110VLA4 AAA M-1 76110VLB2 AA M-2 76110VLC0 A M-3 76110VLD8 BBB Home Loan Trust 2002-HI5 Series 2002-HI5 Class CUSIP Rating ----- ----- ------ A-7 76110VLM8 AAA M-1 76110VLN6 AA M-2 76110VLP1 A M-3 76110VLQ9 BBB Home Loan Trust 2003-HI1 Series 2003-HI1 Class CUSIP Rating ----- ----- ------ A-7 76110VMG0 AAA M-1 76110VMH8 AA M-2 76110VMJ4 A M-3 76110VMK1 BBB Home Loan Trust 2005-HI2 Series 2005-H12 Class CUSIP Rating ----- ----- ------ A-4 76110VRH3 AAA A-5 76110VRJ9 AAA M-1 76110VRK6 AA+ M-2 76110VRL4 AA M-3 76110VRM2 AA- M-4 76110VRN0 AA- M-5 76110VRP5 A+ M-6 76110VRQ3 A- M-7 76110VRR1 BBB+ M-8 76110VRS9 BBB M-9 76110VRT7 BBB- Home Loan Trust 2005-HI3 Series 2005-HI3 Class CUSIP Rating ----- ----- ------ A-3 76110VSC3 AAA A-4 76110VSD1 AAA A-5 76110VSE9 AAA M-1 76110VSF6 AA+ M-2 76110VSG4 AA M-3 76110VSH2 AA- M-4 76110VSJ8 A+ M-5 76110VSK5 A M-6 76110VSL3 A- M-7 76110VSM1 BBB+ M-8 76110VSN9 BBB M-9 76110VSP4 BBB- Home Loan Trust 2006-HI1 Series 2006-HI1 Class CUSIP Rating ----- ----- ------ A-2 76110VTU2 AAA A-3 76110VTV0 AAA A-4 76110VTW8 AAA M-1 76110VTX6 AA+ M-2 76110VTY4 AA M-3 76110VTZ1 AA- M-4 76110VUA4 A+ M-5 76110VUB2 A M-6 76110VUC0 A- M-7 76110VUD8 BBB+ IndyMac Home Equity Loan Trust 2004-2 Series 2004-2 Class CUSIP Rating ----- ----- ------ A 45661AAC6 CCC IndyMac Home Equity Mortgage Loan Asset Backed Trust Series 2006-H4 Class CUSIP Rating ----- ----- ------ Notes 45660JAD6 BB+ IndyMac Home Equity Mortgage Loan Asset Backed Trust Series 2007-H1 Class CUSIP Rating ----- ----- ------ Note 45669DAA6 AAA Irwin Home Equity Loan Trust 2003-1 Series 2003-1 Class CUSIP Rating ----- ----- ------ M-2 464126CD1 A B-1 464126CE9 BBB B-2 464126CF6 BBB- Irwin Whole Loan Home Equity Trust 2003-A Series 2003-A Class CUSIP Rating ----- ----- ------ M-1 464187AM5 AA+ M-2 464187AN3 A B 464187AP8 BBB Irwin Whole Loan Home Equity Trust 2003-C Series 2003-C Class CUSIP Rating ----- ----- ------ M-1 464187BA0 AA M-2 464187BB8 A B-1 464187BC6 BBB B-2 464187BD4 BBB- Irwin Whole Loan Home Equity Trust 2003-D Series 2003-D Class CUSIP Rating ----- ----- ------ M-1 464187BL6 AA M-2 464187BM4 A B-1 464187BN2 BBB B-2 464187BP7 BBB- Irwin Whole Loan Home Equity Trust 2004-A Series 2004-A Class CUSIP Rating ----- ----- ------ M-1 464187BV4 AA M-2 464187BW2 A B-1 464187BX0 BBB B-2 464187BY8 BBB- Irwin Whole Loan Home Equity Trust 2005-B Series 2005-B Class CUSIP Rating ----- ----- ------ 1A-1 464187CP6 AAA 1M-1 464187CR2 AA 1M-2 464187CS0 A 1M-3 464187CT8 BBB 1M-4 464187CU5 BBB- 1B-1 464187DB6 BB+ 1B-2 464187DC4 BB 2M-1 464187CV3 AA 2M-2 464187CW1 A 2M-3 464187CX9 BBB+ 2M-4 464187CY7 BBB 2B-1 464187CZ4 BBB- Irwin Whole Loan Home Equity Trust 2005-C Series 2005-C Class CUSIP Rating ----- ----- ------ 1A-1 464187DH3 AAA 1M-1 464187DK6 AA 1M-2 464187DL4 A 1M-3 464187DM2 BBB 1M-4 464187DN0 BBB- 1B-1 464187DZ3 BB+ 1B-2 464187EA7 BB+ 2M-1 464187DP5 AA 2M-2 464187DQ3 A 2M-3 464187DR1 BBB 2M-4 464187DS9 BBB- 2B-1 464187DT7 BB+ MASTR Second Lien Trust 2005-1 Series 2005-1 Class CUSIP Rating ----- ----- ------ A 57644DAA1 AAA Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-A Series 2007-A Class CUSIP Rating ----- ----- ------ A-1 59025QAA7 B Merrill Lynch Mortgage Investors Trust Series 2004-SL2 Series 2004-SL2 Class CUSIP Rating ----- ----- ------ B-1 59020UKH7 BBB+ B-2 59020UKJ3 BBB Morgan Stanley Mortgage Loan Trust 2005-8SL Series 2005-8SL Class CUSIP Rating ----- ----- ------ A-1 61748HQG9 BBB A-2b 61748HQJ3 BBB Morgan Stanley Mortgage Loan Trust 2006-14SL Series 2006-14SL Class CUSIP Rating ----- ----- ------ A-1 61749SAC0 CCC MSDWCC HELOC TRUST 2002-1 Series 2002-1 Class CUSIP Rating ----- ----- ------ A 62474BAA0 AAA Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2005-S2 Class CUSIP Rating ----- ----- ------ M-1 65535VLU0 BB Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2005-S1 Class CUSIP Rating ----- ----- ------ M-1 65535VJT6 AA M-2 65535VJU3 BBB- Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2005-S3 Class CUSIP Rating ----- ----- ------ A-2 65535VNR5 BBB A-3 65535VPQ5 BBB PSB Lending Home Loan Owner Trust 1997-3 Series 1997-3 Class CUSIP Rating ----- ----- ------ certs 69360QAV3 BBB- RFMSII Series 2002-HS1 Trust Series 2002-HS1 Class CUSIP Rating ----- ----- ------ M-1 76110VJA7 AAA RFMSII Series 2002-HS2 Trust Series 2002-HS2 Class CUSIP Rating ----- ----- ------ M-1 76110VKG2 AA+ SACO I Trust 2004-2 Series 2004-2 Class CUSIP Rating ----- ----- ------ M-2 785778CY5 AA B-1 785778CZ2 BBB SACO I Trust 2005-5 Series 2005-5 Class CUSIP Rating ----- ----- ------ I-A 785778FY2 AAA SACO I Trust 2005-9 Series 2005-9 Class CUSIP Rating ----- ----- ------ A-1 785778MK4 A A-3 785778MM0 A SACO I Trust 2005-GP1 Series 2005-GP1 Class CUSIP Rating ----- ----- ------ A-1 785778JJ1 AAA M-1 785778JL6 AAA SACO I Trust 2006-5 Series 2006-5 Class CUSIP Rating ----- ----- ------ II-A-2 785811AC4 B SACO I Trust 2005-WM3 Series 2005-WM3 Class CUSIP Rating ----- ----- ------ A-1 785778LS8 B A-3 785778LU3 B SBI HELOC Trust 2005-1 Series 2005-1 Class CUSIP Rating ----- ----- ------ A 80585DAA4 AAA Structured Asset Securities Corp. Series 2003-S1 Class CUSIP Rating ----- ----- ------ B 86359AV75 BB+ Structured Asset Securities Corp. Series 2003-S2 Class CUSIP Rating ----- ----- ------ M1-A 86359BBL4 AA M1-F 86359BBM2 AA Structured Asset Securities Corp. Series 2004-S2 Class CUSIP Rating ----- ----- ------ M4 86359BSV4 A- M5 86359BSW2 BBB+ Structured Asset Securities Corp. Series 2004-S3 Class CUSIP Rating ----- ----- ------ M1 86359BB67 AA+ M2 86359BB75 AA M3 86359BB83 BBB Structured Asset Securities Corp. Mortgage Loan Trust 2005-S6 Series 2005-S6 Class CUSIP Rating ----- ----- ------ A2 86359DTQ0 A M1 86359DTR8 BB Structured Asset Securities Corp. Mortgage Loan Trust 2006-S4 Series 2006-S4 Class CUSIP Rating ----- ----- ------ A 86363AAA5 CCC Terwin Mortgage Trust 2003-3SL Series 2003-3SL Class CUSIP Rating ----- ----- ------ B-1 881561BC7 A+ Terwin Mortgage Trust 2003-7SL Series 2003-7SL Class CUSIP Rating ----- ----- ------ B-2 881561CU6 BBB- Terwin Mortgage Trust 2004-16SL Series 2004-16SL Class CUSIP Rating ----- ----- ------ B-1 881561KZ6 BBB Terwin Mortgage Trust 2004-18SL Series 2004-18SL Class CUSIP Rating ----- ----- ------ 1-B-2 881561MX9 BBB 1-B-3 881561MY7 BBB- 2-B-1 881561NG5 BBB 2-B-2 881561NH3 BBB- Terwin Mortgage Trust 2004-2SL Series 2004-2SL Class CUSIP Rating ----- ----- ------ B-1 881561DV3 BBB B-2 881561DW1 BB+ Terwin Mortgage Trust 2004-6SL Series 2004-6SL Class CUSIP Rating ----- ----- ------ B-1 881561HE7 BBB B-2 881561HF4 BBB- Terwin Mortgage Trust 2004-8HES Series 2004-8HES Class CUSIP Rating ----- ----- ------ B-2 881561GH1 BB+ Terwin Mortgage Trust Series TMTS 2004-22SL Series 2004-22SL Class CUSIP Rating ----- ----- ------ B-1 881561MN1 BBB B-2 881561MP6 BB Terwin Mortgage Trust Series TMTS 2003-5SL Series 2003-5SL Class CUSIP Rating ----- ----- ------ B-1 881561BM5 BBB B-2 881561BP8 BBB- United National Home Loan Owner Trust 1999-1 Series 1999-1 Class CUSIP Rating ----- ----- ------ A 91103PAA7 AAA M-1 91103PAB5 AAA M-2 91103PAC3 AA- Wachovia Asset Securitization Inc. 2002-HE2 Trust Series 2002-HE2 Class CUSIP Rating ----- ----- ------ A 92975PAA0 A * S&P Downgrades Ratings on 75 Classes From 14 RMBS Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 75 classes from 14 residential mortgage-backed securities transactions backed by U.S. subprime mortgage loan collateral issued in 2004. S&P removed 17 of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 43 classes from 12 of the downgraded transactions and removed two of the affirmed ratings from CreditWatch negative. The downgrades reflect S&P's opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings, given S&P's current projected losses in light of increased delinquencies. 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 S&P's 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 its base-case loss assumptions at a percentage specific to each rating category, up to 150% for an '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 its base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in S&P's view, withstand approximately 150% of its base-case loss assumptions under its analysis. The affirmed ratings reflect S&P's belief that the amount of credit enhancement available for these classes is sufficient to cover losses associated with these rating levels. Subordination provides credit support for the affected transactions. In addition, some classes also benefit from overcollateralization (prior to its depletion) and excess spread. The underlying pool of loans backing these transactions consists of fixed- and adjustable-rate U.S. subprime mortgage loans that are secured by first and second liens on one- to four-family residential properties. Rating Actions ACE Securities Corp. Home Equity Loan Trust, Series 2004-RM1 Series 2004-RM1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 004421FU2 A AA M-4 004421FV0 BBB- AA- M-5 004421FW8 B+ A+ M-6 004421FX6 B- A B-1 004421FY4 CCC B B-2 004421FZ1 CC CCC B-3 004421GA5 CC CCC Ameriquest Mortgage Securities Inc. Series 2004-R8 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 03072SUB9 B+ AA- M-4 03072SUC7 CCC A+ M-5 03072SUD5 CCC A M-6 03072SUE3 CC BBB M-7 03072SUF0 CC BB- M-8 03072SUG8 CC B M-9 03072SUH6 CC CCC Carrington Mortgage Loan Trust Series 2004-NC1 Series 2004-NC1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 144531AF7 BB- A M-3 144531AG5 B- A- M-4 144531AH3 CCC BBB+ M-5 144531AJ9 CC BBB M-6 144531AK6 CC BBB- Centex Home Equity Loan Trust 2004-D Series 2004-D Rating ------ Class CUSIP To From ----- ----- -- ---- MV-1 152314LQ1 A+ AA/Watch Neg MV-2 152314LR9 BB+ AA-/Watch Neg MV-3 152314LS7 B+ A+/Watch Neg MV-4 152314LT5 CCC A/Watch Neg MV-5 152314LU2 CCC A-/Watch Neg MF-3 152314LP3 B BBB+/Watch Neg MV-6 152314LV0 CC BBB+/Watch Neg BF 152314LW8 CCC BBB CWABS Asset-Backed Certificates Trust 2004-BC5 Series 2004-BC5 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 126673PQ9 AA- AA M-4 126673PR7 BB A+ M-5 126673PS5 CCC A+ M-6 126673PT3 CCC A- M-7 126673PU0 CCC BBB+ M-8 126673PV8 CCC BBB B 126673PW6 CC BBB- Fieldstone Mortgage Investment Trust, Series 2004-4 Series 2004-4 Rating ------ Class CUSIP To From ----- ----- -- ---- M5 31659TCF0 CCC B M6 31659TCG8 D CCC Fieldstone Mortgage Investment Trust, Series 2004-5 Series 2004-5 Rating ------ Class CUSIP To From ----- ----- -- ---- M-5 31659TCT0 CC B M-6 31659TCU7 D CCC Long Beach Mortgage Loan Trust 2004-5 Series 2004-5 Rating ------ Class CUSIP To From ----- ----- -- ---- A-6 542514HC1 BBB AAA M-1 542514HD9 B+ AA M-2 542514HE7 CCC A+ M-3 542514HF4 CCC A M-4 542514HG2 CCC A- M-5 542514HH0 CC BBB+ M-6 542514HJ6 CC BB- M-7 542514HK3 CC B B-2 542514HM9 CC CCC Merrill Lynch Mortgage Investors Trust Series 2004-FM1 Series 2004-FM1 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 59020UFY6 BBB A B-2 59020UFZ3 CCC BBB+ B-3 59020UGA7 D BBB B-4 59020UGB5 D CCC RASC Series 2004-KS4 Trust Series 2004-KS4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-I-4 76110WXQ4 CCC BBB/Watch Neg A-I-5 76110WXR2 CCC BBB/Watch Neg A-I-6 76110WXS0 CCC BBB/Watch Neg RASC Series 2004-KS7 Trust Series 2004-KS7 Rating ------ Class CUSIP To From ----- ----- -- ---- A-I-3 76110WA71 A A/Watch Neg A-I-4 76110WA89 CC A/Watch Neg A-I-5 76110WA97 CC A/Watch Neg A-I-6 76110WB21 CC A/Watch Neg A-II-A 76110WB88 CC CCC A-II-B3 76110WB54 CC CCC RASC Series 2004-KS9 Trust Series 2004-KS9 Rating ------ Class CUSIP To From ----- ----- -- ---- A-I-4 76110WE51 CCC A/Watch Neg A-I-5 76110WE69 CCC A/Watch Neg A-I-6 76110WE77 CCC A/Watch Neg A-II-3 76110WF27 CC CCC A-II-4 76110WF35 CC CCC Renaissance Home Equity Loan Trust 2004-4 Series 2004-4 Rating ------ Class CUSIP To From ----- ----- -- ---- MV-1 759950ED6 AA AA/Watch Neg MV-2 759950EE4 BB+ A/Watch Neg MF-8 759950EW4 BB+ BBB MF-9 759950EX2 CCC BBB- Saxon Asset Securities Trust 2004-2 Series 2004-2 Rating ------ Class CUSIP To From ----- ----- -- ---- MF-2 805564QB0 A- A+ MF-3 805564QC8 BB+ A MF-4 805564QD6 B+ A- MF-5 805564QE4 B BBB+ MF-6 805564QF1 B- BBB MV-4 805564QN4 BBB A- MV-5 805564QP9 BB BBB+ MV-6 805564QQ7 B+ BB Ratings Affirmed ACE Securities Corp. Home Equity Loan Trust, Series 2004-RM1 Series 2004-RM1 Class CUSIP Rating ----- ----- ------ M-1 004421FS7 AA+ M-2 004421FT5 AA Ameriquest Mortgage Securities Inc. Series 2004-R8 Class CUSIP Rating ----- ----- ------ A-1 03072STU9 AAA M-1 03072STZ8 AA+ M-2 03072SUA1 AA Carrington Mortgage Loan Trust Series 2004-NC1 Series 2004-NC1 Class CUSIP Rating ----- ----- ------ M-1 144531AE0 AA Centex Home Equity Loan Trust 2004-D Series 2004-D Class CUSIP Rating ----- ----- ------ AF-3 152314LC2 AAA AF-4 152314LD0 AAA AF-5 152314LE8 AAA MF-1 152314LM0 AA AF-6 152314LF5 AAA MF-2 152314LN8 A CWABS Asset-Backed Certificates Trust 2004-BC5 Series 2004-BC5 Class CUSIP Rating ----- ----- ------ M-1 126673PN6 AA+ M-2 126673PP1 AA Fieldstone Mortgage Investment Trust, Series 2004-4 Series 2004-4 Class CUSIP Rating ----- ----- ------ M2 31659TCC7 AA M3 31659TCD5 A M4 31659TCE3 BB Fieldstone Mortgage Investment Trust, Series 2004-5 Series 2004-5 Class CUSIP Rating ----- ----- ------ M-2 31659TCQ6 A+ M-3 31659TCR4 A M-4 31659TCS2 A- Long Beach Mortgage Loan Trust 2004-5 Series 2004-5 Class CUSIP Rating ----- ----- ------ A-1 542514GW8 AAA A-5 542514HB3 AAA Merrill Lynch Mortgage Investors Trust Series 2004-FM1 Series 2004-FM1 Class CUSIP Rating ----- ----- ------ M-2 59020UFW0 AA M-3 59020UFX8 A+ Renaissance Home Equity Loan Trust 2004-4 Series 2004-4 Class CUSIP Rating ----- ----- ------ AF-4 759950EL8 AAA AF-5 759950EM6 AAA AF-6 759950EN4 AAA MF-1 759950EP9 AA+ MF-2 759950EQ7 AA MF-3 759950ER5 AA- MF-4 759950ES3 A+ MF-5 759950ET1 A MF-6 759950EU8 A- MF-7 759950EV6 BBB+ Saxon Asset Securities Trust 2004-2 Series 2004-2 Class CUSIP Rating ----- ----- ------ AF-3 805564PX3 AAA AF-4 805564PY1 AAA AF-5 805564PZ8 AAA MF-1 805564QA2 AA MV-1 805564QK0 AA MV-2 805564QL8 A+ MV-3 805564QM6 A * S&P Downgrades Ratings on 99 Classes From Six RMBS Transactions ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 99 classes from six residential mortgage-backed securities transactions backed by U.S. subprime, Alternative-A, and prime jumbo mortgage loan collateral issued between 2005 and 2007. S&P removed 42 of the lowered ratings from CreditWatch with negative implications. S&P downgraded 15 of the affected classes to 'D'. In addition, S&P affirmed its ratings on 31 classes from four of the affected transactions and removed two of the affirmed ratings from CreditWatch negative. Standard & Poor's has established loss projections for each transaction rated between 2005 and 2007. S&P's lifetime projected losses have changed for one of the transactions in this release. S&P's revised projected losses are: Orig. bal. Lifetime Transaction (mil. $) exp. loss (%) ----------- ---------- ------------- HSI Asset Loan Obligation Trust 2007-WF1 296 30.14 The downgrades reflect S&P's opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings, given its current projected losses. S&P downgraded 15 classes to 'D' due to interest shortfall amounts that have not been recovered. 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 S&P's 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 an 'AAA' rating for subprime and Alt-A transactions, and up to 235% for prime jumbo transactions. For example for subprime and Alt-A, 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 S&P's view, withstand approximately 150% (or 235% for prime jumbo) of its base-case loss assumptions under its analysis. The affirmed ratings reflect S&P's belief that the amount of credit enhancement available for these classes is sufficient to cover losses associated with these rating levels. Subordination provides credit support for the affected transactions. In addition, some classes also benefit from overcollateralization (prior to its depletion) and excess spread. The underlying pool of loans backing these transactions consists of fixed- and adjustable-rate U.S. subprime, Alt-A, and prime jumbo mortgage loans that are secured by first and second liens on one- to four-family residential properties. Rating Actions Banc of America Funding 2006-5 Trust Series 2006-5 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 05950NAA6 CCC BB 1-A-2 05950NAB4 CCC BB 1-A-3 05950NAC2 CCC B 1-A-4 05950NAD0 B AAA 1-A-5 05950NAE8 CCC B 1-A-6 05950NAF5 CCC B 1-A-7 05950NAG3 CCC B 1-A-8 05950NAH1 CCC B 1-A-9 05950NAJ7 CCC B 1-A-10 05950NAK4 CCC B 1-A-11 05950NAL2 CCC B 1-A-12 05950NAM0 CCC B 1-A-13 05950NAN8 CCC B 1-A-14 05950NAP3 CCC B 30-PO 05950NBT4 CCC B Home Loan Mortgage Loan Trust 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 43718UAA4 B B/Watch Neg A-2 43718UAB2 B B/Watch Neg A-3 43718UAC0 CCC B/Watch Neg HSI Asset Loan Obligation Trust 2007-WF1 Series 2007-WF1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 40431KAA8 CCC BB/Watch Neg A-2 40431KAB6 CCC AAA/Watch Neg A-3 40431KAC4 CCC AAA/Watch Neg A-4 40431KAD2 CCC BB/Watch Neg A-5 40431KAE0 CCC BB/Watch Neg A-6 40431KAF7 CCC BB/Watch Neg M-1 40431KAG5 CCC B/Watch Neg M-2 40431KAH3 CC CCC M-3 40431KAJ9 CC CCC M-4 40431KAK6 CC CCC M-5 40431KAL4 CC CCC Structured Asset Mortgage Investments II Trust 2005-AR7 Series 2005-AR7 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 86359LPY9 CCC AAA/Watch Neg I-A-2 86359LPZ6 CCC AAA/Watch Neg I-X-1 86359LQA0 CCC AAA/Watch Neg 2-A-1 86359LQB8 CCC AAA/Watch Neg 2-A-2 86359LQC6 CCC AAA/Watch Neg 2-A-3 86359LQD4 CC AAA/Watch Neg 2-X-1 86359LQE2 CCC AAA/Watch Neg 2-X-2 86359LQF9 CCC AAA/Watch Neg 3-A-1 86359LQG7 CCC AAA/Watch Neg 3-A-2 86359LQH5 CC AAA/Watch Neg 3-A-3 86359LQJ1 CC AAA/Watch Neg 3-X-1 86359LQK8 CCC AAA/Watch Neg 3-X-2 86359LQL6 CC AAA/Watch Neg 4-A-1 86359LQM4 CCC AAA/Watch Neg 4-A-2 86359LQN2 CCC AAA/Watch Neg 4-A-3 86359LQP7 CC AAA/Watch Neg 4-X-1 86359LQQ5 CCC AAA/Watch Neg 4-X-2 86359LQR3 CCC AAA/Watch Neg 5-A-1 86359LQS1 CCC AAA/Watch Neg 5-A-2 86359LQT9 CC AAA/Watch Neg 5-X-1 86359LRU5 CCC AAA/Watch Neg 5-X-2 86359LRV3 CC AAA/Watch Neg 6-A-1 86359LQU6 CCC AAA/Watch Neg 6-A-2 86359LQV4 CC AAA/Watch Neg 6-X-1 86359LQW2 CCC AAA/Watch Neg 6-X-2 86359LQX0 CC AAA/Watch Neg 1-M-X 86359LRB7 CC AA+/Watch Neg 1-B-1 86359LRC5 D AA+/Watch Neg M-X 86359LRF8 CC AA+/Watch Neg B-1 86359LRG6 CC AA+/Watch Neg 1-B-2 86359LRD3 D AA/Watch Neg 1-B-3 86359LRE1 D A/Watch Neg 1-B-4 86359LRK7 D BBB/Watch Neg 1-B-5 86359LRL5 D BB/Watch Neg Structured Asset Mortgage Investments II Trust 2006-AR3 Series 2006-AR3 Rating ------ Class CUSIP To From ----- ----- -- ---- I-1A-1 86360KAA6 B- AAA I-1A-2 86360KAB4 CCC B+ I-1A-3 86360KAC2 CCC B I-2A-1 86360KAE8 B- AAA I-2A-2 86360KAF5 B- AAA I-2X 86360KAJ7 B- AAA II-1A-1 86360KAW8 CCC B II-2A-1 86360KAX6 CCC B II-2X 86360KBX5 CCC B II-3A-1 86360KAY4 CCC B II-3X 86360KBY3 CCC B II-4A-1 86360KAZ1 CCC B II-4X 86360KBZ0 CCC B II-X 86360KBA5 CCC B III-A-1 86360KBJ6 CCC B+ III-A-2 86360KBK3 CCC B+ III-A-3 86360KBL1 CCC B III-X 86360KBM9 CCC B+ III-MX 86360KBN7 D CC III-B-1 86360KBP2 D CC III-B-3 86360KBR8 D CC III-B-4 86360KBS6 D CC III-B-2 86360KBQ0 D CC Structured Asset Mortgage Investments II Trust 2006-AR5 Series 2006-AR5 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-2 86360JAB7 B- B+ 1-A-3 86360JAC5 CCC B 2-A-2 86360JAF8 CCC B+ 2-A-3 86360JAG6 CCC B 3-A-2 86360JAK7 CCC B+ 3-A-3 86360JAL5 CC B 4-A-1 86360JAN1 A+ AAA 4-A-2 86360JAP6 CCC B+ 4-A-3 86360JAQ4 CC B 4-X 86360JAR2 A+ AAA M-X 86360JAS0 D CCC B-1 86360JAT8 D CCC B-2 86360JAU5 D CCC B-3 86360JAV3 D CCC B-4 86360JAW1 D CCC Ratings Affirmed Banc of America Funding 2006-5 Trust Series 2006-5 Class CUSIP Rating ----- ----- ------ 2-A-4 05950NAU2 B 2-A-5 05950NAV0 B 2-A-6 05950NAW8 A 2-A-7 05950NAX6 BB 2-A-10 05950NBA5 B 2-A-11 05950NBB3 B 2-A-12 05950NBC1 B 2-A-13 05950NBD9 B 3-A-1 05950NBE7 B 3-A-2 05950NBF4 B 3-A-3 05950NBG2 B 3-A-4 05950NBH0 AAA 4-A-1 05950NBJ6 B 4-A-2 05950NBK3 AAA 4-A-3 05950NBL1 B 4-A-4 05950NBM9 BBB 4-A-5 05950NBN7 B 4-A-6 05950NBP2 AA 4-A-7 05950NBQ0 B 4-A-8 05950NBR8 B 30-IO 05950NBS6 AAA Structured Asset Mortgage Investments II Trust 2006-AR3 Series 2006-AR3 Class CUSIP Rating ----- ----- ------ I-1A-4 86360KAD0 CCC I-2A-3 86360KAG3 CCC Structured Asset Mortgage Investments II Trust 2006-AR5 Series 2006-AR5 Class CUSIP Rating ----- ----- ------ 1-A-1 86360JAA9 AAA 1-X 86360JAD3 AAA 2-A-1 86360JAE1 AAA 2-X 86360JAH4 AAA 3-A-1 86360JAJ0 AAA 3-X 86360JAM3 AAA ********* 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 2010. 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 ***