/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/100124.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 24, 2010, Vol. 14, No. 23 Headlines AMAC CDO: Fitch Downgrades Ratings on All Classes of Notes ARLINGTON STREET: Moody's Upgrades Ratings on Three Note Classes ASSOCIATED BANK: S&P Downgrades Ratings on Four Bonds to 'BB+/B' BANC OF AMERICA: S&P Corrects Ratings on Various Certificates BEAR STEARNS: Fitch Takes Rating Actions on 2005-PWR10 Certs. BEAR STEARNS: S&P Corrects Ratings on Two 2006-AR1 Notes to 'CCC' BEAR STEARNS: S&P Downgrades Ratings on 15 2006-PWR11 Securities BEAR STEARNS: S&P Downgrades Ratings on 15 2006-PWR14 Securities BRAZOS RIVER: S&P Corrects Rating on 1972 Bonds to 'B-/Negative' COUNTY OF CHAUTAUQUA: Moody's Assigns Ratings on Revenue Bonds CROWN CASTLE: Fitch Affirms Ratings on Classes of 2006-1 Notes FINANSURE STUDENT: S&P Downgrades Rating on Class C-1 Notes to 'B' JUPITER HIGH-GRADE: Fitch Downgrades Ratings on Three Notes LNR CDO: S&P Downgrades Ratings on Seven Classes of Notes LONGPORT FUNDING: S&P Downgrades Ratings on Six Classes of Notes MORGAN STANLEY: S&P Cuts Ratings on 15 2006-TOP 21 Securities NEVADA DEPARTMENT: Moody's Cuts Rating on $439 Mil. Bonds to 'C' NOMURA ASSET: S&P Puts Rating on Class B-4 on CreditWatch Negative NORTH STREET: Fitch Downgrades Ratings on 2000-2 Notes NORTH STREET: Fitch Downgrades Ratings on Three Classes of Notes N-Star V: Fitch Downgrades Ratings on Six Classes of Notes OPTEUM MORTGAGE: S&P Downgrades Ratings on Seven 2006-1 Notes PACIFIC BAY: Fitch Downgrades Ratings on Two Classes of Notes PREFERREDPLUS TRUST: Moody's Raises Rating on CTR-1 Certs. to 'B3' SKYTOP CLO: Moody's Confirms Ratings on Various Classes of Notes SUMMER STREET: Fitch Downgrades Ratings on Three 2005-HG1 Notes UBS AG: Moody's Downgrades Rating on Series 2760 Notes to 'Caa2' Z-1 CDO: Fitch Downgrades Ratings on Class B Notes to 'D/RR5' * Fitch Downgrades Ratings on 25 Preferred Securities of US REIT * S&P Downgrades Ratings on 18 Classes From Five RMBS Transactions * S&P Downgrades Ratings on 36 Tranches From Seven CLO Deals * S&P Downgrades Ratings on 37 Classes From 11 RMBS Transactions * S&P Downgrades Ratings on 73 Tranches From 15 CLO Transactions * S&P Puts Ratings on Six CDO Transactions on CreditWatch Negative * S&P Puts Ratings on Three US Tranches on CreditWatch Negative ********* AMAC CDO: Fitch Downgrades Ratings on All Classes of Notes ---------------------------------------------------------- Fitch Ratings has downgraded all classes of AMAC CDO Funding I reflecting Fitch's base case loss expectation of 17.0%. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. AMAC CDO is primarily collateralized by senior commercial real estate debt (86% of total collateral is either whole loans or A- notes). A majority of this senior debt is secured by stabilized multifamily properties that are lowly levered relative to loans in other CRE collateralized debt obligation. The transaction's Fitch base case loss expectation of 17% is significantly below the average loss expectation (33%) for CRE loan CDOs that have been reviewed under Fitch's updated criteria to date. Consequently, the transaction's senior-most class maintains an investment grade rating despite its relatively low credit enhancement level of 38.5% (compared to 52.5% on average for CRE loan CDOs). The transaction currently has three defaulted assets, representing 8.1% of the pool, and another loan (5.1%) which is considered a Fitch Loan of Concern. Fitch expects significant losses on the defaulted assets and Loan of Concern. As of the December 2009 trustee report, the class C and class D/E overcollateralization tests have breached their respective covenants. Although in the December 2009 reporting period, principal amortization paid down the class A-1 enough to cure the class C OC failure, Fitch expects this test to fail again next reporting period. Furthermore, given its expectations of further defaults, Fitch considers it possible that classes below the class C OC test will not receive any further interest or principal proceeds over the life of the transaction. AMAC CDO is a $387 million CRE CDO managed by Centerline REIT Inc. The transaction has a five-year reinvestment period during which principal proceeds may be used to invest in substitute collateral. The reinvestment period ends in November 2011. As of the December 2009 trustee report and per Fitch categorizations, the CDO was substantially invested: CRE whole loan/A-notes (85.8%), B-notes (7.3%), mezzanine loans (6.4%), and one defeased CRE loan (0.5%). Under Fitch's updated methodology, approximately 48.5% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 8.9% from third-quarter 2009 cash flows. Fitch estimates that average recoveries will be high relative to other CRE loan CDOs at 64.9%, due to the majority of first mortgage loans and relatively low overall leverage. The largest component of Fitch's base case loss expectation is a defaulted mezzanine loan (4.7%) secured by ownership interests in the first phase of a three million square foot mixed-use master planned development located in Phoenix, Arizona. The initial component of this phase opened in late 2008, but has since stalled amidst the economic downturn. The loan defaulted in November 2008, and the senior lender is in the process of foreclosing. Fitch expects no recovery. The next largest component of Fitch's base case loss expectation is a whole loan (5.1%) secured by an office/industrial property located in Bethpage, New York. The property had been occupied by a single tenant, who vacated in April 2008. Subsequently, the sponsors were able to re-lease portions of the space; however, leasing momentum has stagnated and occupancy is currently 22%. Fitch is modeling a term default with a substantial loss under its modeled base case scenario. The third largest component of Fitch's base case loss expectation is an A-note (5.5%) secured by a multifamily property located in Atlanta, Georgia. The property was constructed in 1989, and the sponsors spent over $9,000 per unit for property upgrades. Currently, occupancy is 91% and performance has been stable; however, the property's cash flow does not cover debt service on the entire debt stack. As such, Fitch is modeling a term default with a sizable loss under its modeled base case scenario. This transaction was analyzed according to the 'U.S. CREL CDO Surveillance Criteria,' which applies stresses to property cash flows and uses debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs.' Based on this analysis, the breakeven rates for class A-1 are generally consistent with the 'BBB' rating category, the breakeven rates for class A-2 are generally consistent with the 'BB' rating category, and the breakeven rates for class B are generally consistent with the 'B' rating category. The ratings for classes C through F are based on a deterministic analysis which considers Fitch's base case loss expectation for the pool and the current percentage of defaulted assets factoring in anticipated recoveries relative to each class's credit enhancement, as well as the likelihood for OC tests to cure. Based on this analysis, class C is consistent with the 'CCC' rating category, meaning default is a real possibility. Fitch's base case loss expectation of 17.0% exceeds class C's current credit enhancement. Ratings for classes D-1, D-2, and E are deemed to be consistent with the 'CC' rating category, meaning default appears probable given the total of current defaulted assets and Fitch Loan of Concern of 13.2%, which is larger than these classes' respective credit enhancements. Additionally, these classes are below the class C OC test, and will thus likely continue to be cut off from interest proceeds next reporting period. The rating for class F is deemed to be consistent with the 'C' rating category, as Fitch considers a default on this class to be inevitable. Fitch's expected loss from current defaulted assets and Fitch Loan of Concern exceeds class F's credit enhancement. Classes A-1, A-2 and B were each assigned a Negative Rating Outlook reflecting Fitch's expectation of further negative credit migration of the underlying collateral. These classes were also assigned Loss Severity ratings of 'LS3' for class A-1, 'LS4' for class A-2, and 'LS5' for class B. The LS ratings indicate each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the expected loss for the collateral under the 'B' stress. LS ratings should always be considered in conjunction with probability of default indicated by a class' long-term credit rating. Fitch does not assign Rating Outlooks or LS ratings to classes rated 'CCC' or lower. Classes C through F were assigned Recovery Ratings to provide a forward-looking estimate of recoveries on currently distressed or defaulted structured finance securities. Recovery Ratings are calculated using Fitch's cash flow model, and incorporate Fitch's current 'B' stress expectation for default and recovery rates (48.5% and 64.9%, respectively), the 'B' stress US$ LIBOR up- stress, and a 24-month recovery lag. All modeled distributions are discounted at 10% to arrive at a present value and compared to the class's tranche size to determine a Recovery Rating. The assumptions for the 'B' stress US$ LIBOR up-stress scenario are found in the report, 'Fitch US$ LIBOR Stresses' (July 31, 2009), available on Fitch's web site at 'www.fitchratings.com'. The assignment of 'RR3' to class C reflects modeled recoveries of 60% of its outstanding balance. The expected recovery proceeds are broken down: -- Present value of expected principal recoveries ($5.7 million); -- Present value of expected interest payments ($3.3 million); -- Total present value of recoveries ($9 million); -- Sum of undiscounted recoveries ($21.4 million). The assignment of 'RR5' to classes D-1 and D-2 reflects modeled recoveries of 14% of their outstanding balance. The expected recovery proceeds are broken down: -- Present value of expected principal recoveries ($1.5 million); -- Present value of expected interest payments ($0.9 million); -- Total present value of recoveries ($2.4 million); -- Sum of undiscounted recoveries ($5.6 million). Classes E and F are assigned a Recovery Rating of 'RR6' as the present value of the recoveries in each case is less than 10% of each class's principal balance. Fitch has downgraded and assigned Rating Outlooks, LS and RRs to these classes, as indicated: -- $239,594,231 class A-1 to 'BBB/ LS3' from 'AAA'; Outlook Negative; -- $50,000,000 class A-2 to 'BB/LS4' from 'A'; Outlook Negative; -- $20,000,000 class B to 'B/LS5' from 'BBB'; Outlook Negative; -- $15,000,000 class C to 'CCC/RR3' from 'BBB-'; -- $12,265,369 class D-1 to 'CC/RR5' from 'B'; -- $5,364,679 class D-2 to 'CC/RR5' from 'B'; -- $6,146,167 class E to 'CC/RR6' from 'B'; -- $13,174,152 class F to 'C/RR6' from 'CCC'. Additionally, classes A-1 through E are removed from Rating Watch Negative. ARLINGTON STREET: Moody's Upgrades Ratings on Three Note Classes ---------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Arlington Street CDO (Cayman) Ltd.: -- US$124,000,000 Class A-1 Floating Rate Senior Secured Notes Due 2012 (current balance of $60,754,137), Upgraded to A1; previously on May 19, 2009 Downgraded to Baa3; -- US$50,000,000 Class A-2 Fixed Rate Senior Secured Notes Due 2012 (current balance of $24,497,636), Upgraded to A1; previously on May 19, 2009 Downgraded to Baa3; -- US$44,000,000 Class A-3 Fixed Rate Senior Secured Notes Due 2012, Upgraded to B3; previously on May 19, 2009 Downgraded to Caa3. According to Moody's, the rating actions taken on the notes are as a result of substantial delevering of the transaction over the past six months primarily from unscheduled principal proceeds. In particular, the Class A-1 and A-2 Notes were paid a total of about $37 million since the previous rating action, accounting for roughly 31% of the total Class A-1 and A-2 outstanding balance reported in May. Moody's notes that a considerable amount of the principal proceeds used to delever the Class A-1 and A-2 Notes were from unscheduled prepayments and redemptions (including redemptions at par or at a premium to par) of lower-rated bonds in the underlying portfolio as well as from workouts and restructurings of distressed bonds at better than expected recovery values. Additional delevering is accounted for by the continued failure of the Class A OC Test, which diverts excess interest proceeds to pay down the Class A-1 and A-2 Notes while deferring interest payments on the Class B and C Notes. On May 19, 2009, Moody's downgraded the Class A-1 and A-2 Notes from Aaa to Baa3 and the Class A-3 Notes from A3 to Caa3 as a result of the application of revised and updated key modeling assumptions and the deterioration in the credit quality of the transaction's underlying portfolio. Arlington Street CDO (Cayman) Ltd., issued in December 2000, is a collateralized bond obligation backed primarily by a portfolio of senior unsecured bonds. ASSOCIATED BANK: S&P Downgrades Ratings on Four Bonds to 'BB+/B' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on four bond issues supported by Associated Bank N.A. letters of credit, to 'BB+/B' from 'BBB-/A-3'. The long- and short-term components of S&P's ratings on the four affected bond issues are based on its long- and short-term issuer credit ratings on Associated Bank ('BB+/B') and address the full and timely payment of the bonds' regularly scheduled interest, principal, and purchase price upon an optional or mandatory tender according to the transaction's terms. Associated Bank provides credit and liquidity support for each bond series in the form of a letter of credit. The rating actions follow the Jan. 11, 2010, lowering of S&P's counterparty credit ratings on Associated Bank to 'BB+/B' from 'BBB-/A-3'. Rating adjustments may be precipitated by, among other things, changes in the rating assigned to any financial institution that is providing an irrevocable LOC or by amendments to the documentation governing the obligations. Ratings Lowered Howard Village, WI $4.5 mil indl dev rev bnds ser 1999A due 07/01/2020 Rating ------ CUSIP To From ----- -- ---- 44285NAA1 BB+/B BBB-/A-3 Illinois Educl Fac Auth $4.1 mil var rt dem indl dev rev bnds ser 1997 due 01/01/2018 Rating ------ CUSIP To From ----- -- ---- 451887TR4 BB+/B BBB-/A-3 $7.5 mil var rt dem rev bnds ser 2003 due 10/01/2023 Rating ------ CUSIP To From ----- -- ---- 45189FAR5 BB+/B BBB-/A-3 $2.5 mil taxable var rt dem rev bnds (Beecher Energy LLC) ser 2006 due 07/01/2026 Rating ------ CUSIP To From ----- -- ---- 45200BZG6 BB+/B BBB-/A-3 BANC OF AMERICA: S&P Corrects Ratings on Various Certificates ------------------------------------------------------------- Standard & Poor's Ratings Services corrected its ratings on the class A-4, A-1A, A-M, A-J, B, C, D, and H certificates from Banc of America Commercial Mortgage Trust 2006-4. On Dec. 21, 2009, S&P lowered its ratings on these eight classes of certificates and removed them from CreditWatch negative. The downgrades on these classes were overstated by one notch due to S&P's inadvertent use of nine month financial data that S&P assumed to be trailing-12-month. S&P re-reviewed the transaction using January 2010 remittance data provided by the master servicer, Bank of America N.A. The resulting weighted average debt service coverage and loan-to-value under S&P's 'AAA' scenario changed to 0.89x and 142.5%, respectively, from 0.84x and 157.4% in December. The resulting implied defaults and loss severity under the 'AAA' scenario improved to 86.2% and 37.1%, respectively, from 92.7% and 39.0% in December. As a result, S&P is raising each of the affected ratings by one notch. Ratings Corrected Banc of America Commercial Mortgage Trust 2006-4 Commercial mortgage pass-through certificates Rating ------ Class Current Dec. 21 Pre-Dec. 21 Credit enhancement (%) ----- ------- ------- ----------- ---------------------- A-4 AA AA- AAA/Watch Neg 30.34 A-1A AA AA- AAA/Watch Neg 30.34 A-M A- BBB+ AAA/Watch Neg 20.23 A-J BBB- BB+ AAA/Watch Neg 12.77 B BB+ BB AA+/Watch Neg 12.01 C BB BB- AA/Watch Neg 10.75 D BB- B+ AA-/Watch Neg 9.86 H B+ B BBB+/Watch Neg 5.82 BEAR STEARNS: Fitch Takes Rating Actions on 2005-PWR10 Certs. ------------------------------------------------------------- Fitch Ratings takes various actions on Bear Stearns Commercial Mortgage Securities Trust commercial mortgage pass-through certificates series 2005-PWR10. 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 9.2% for this transaction, should market conditions not recover. The rating actions are based on these 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 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 87.2% of the 9.2%. Approximately 91.4% of the mortgages mature within the next five years, with 5.8% maturing within in 2010 and 82.5% in 2015. All losses associated with these loans are fully recognized in the rating actions. Fitch identified 36 Loans of Concern (27.4%) within the pool, of which 10 (12.8%) are specially serviced, two of which are current (9.7%) and eight (3.1%) which are delinquent. Fitch's analysis resulted in loss expectations for nine of the top 15 loans, including three loans that are in special servicing. Fitch expects that nine 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 three 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 achieved a 1.25x DSCR as calculated based on a 30-year amortization schedule and an 8% coupon. The largest contributors to loss are: World Market Center (8.6%), Oak Park Mall (10.9%), and Crocker Park (3.9%). World Market Center is secured by a 1,019,878 sf furniture mart located in Las Vegas, NV. The loan transferred to special servicing in September 2009 due to imminent default. As a result of economic conditions, the borrower has indicated that cash flow will be insufficient to cover debt service in early 2010. The servicer reported June 2009 DSCR and occupancy were 0.98x and 95%, respectively. Based on current performance and anticipated declines, losses are expected prior to the loan's maturity in 2015. Oak Park Mall loan is secured by a regional mall consisting of 1,562,863 sf located in Overland Park, KS. Major tenants include Macy's, Dillard's, JC Penney, and Nordstrom. The servicer reported September 2009 DSCR and occupancy were 1.22x and 96%, respectively. 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. Crocker Park is secured by a 618,817 sf mixed use property located in Westlake, OH approximately 15 miles northwest of Cleveland's central business district. The subject was built through 2003- 2005 and is comprised of 393,468 sf of retail space (64%), 84,167 sf of office space (14%) and 158 apartment units. The servicer reported June 2009 DSCR and occupancy were 0.32x and 90%, 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: -- $210.7 million class A-J to 'BB/LS4' from 'AAA'; Outlook Negative; -- $19.8 million class B to 'BB/LS5' from 'AA+'; Outlook Negative; -- $29.6 million class C to 'B/LS5' from 'AA'; Outlook Negative; -- $23 million class D to 'B/LS5' from 'AA-'; Outlook Negative; -- $16.5 million class E to 'B/LS5' from 'A+'; Outlook Negative; -- $26.3 million class F to 'B-/LS5' from 'A'; Outlook Negative; -- $26.3 million class G to 'B-/LS5' from 'A-'; Outlook Negative; -- $29.6 million class H to 'B-/LS5' from 'BBB+'; Outlook Negative; -- $26.3 million class J to 'B-/LS5' from 'BBB'; Outlook Negative. Fitch has downgraded, removed from Rating Watch Negative, and assigned Recovery Ratings: -- $36.2 million class K to 'CCC/RR6' from 'BB+'; -- $3.3 million class L to 'CCC/RR6' from 'BB'; -- $9.9 million class M to 'CCC/RR6' from 'BB-'; -- $13.2 million class N to 'CCC/RR6' from 'B+'; -- $6.6 million class O to 'CCC/RR6' from 'B'; -- $6.6 million class P to 'CCC/RR6' from 'B-'; -- $9.9 million class Q to 'CCC/RR6' from 'B-' '; Fitch has affirmed and assigned LS ratings to these classes: -- $31.3 million class A-1 at 'AAA/LS2'; Outlook Stable; -- $139.4 million class A-2 at 'AAA/LS2'; Outlook Stable; -- $59.4 million class A-3 at 'AAA/LS2'; Outlook Stable; -- $171 million class A-AB at 'AAA/LS2'; Outlook Stable; -- $1.05 billion class A-4 at 'AAA/LS2'; Outlook Stable; -- $288.1 million class A-1A at 'AAA/LS2'; Outlook Stable; -- Interest only class X-1 at 'AAA'; Outlook Stable; -- Interest only class X-2 at 'AAA'; Outlook Stable. Also, Fitch has affirmed, revised the Outlook and assigned LS rating to this class: -- $263.4 million class A-M at 'AAA/LS4'; Outlook Negative. The $32.9 million class S is not rated by Fitch. BEAR STEARNS: S&P Corrects Ratings on Two 2006-AR1 Notes to 'CCC' ----------------------------------------------------------------- Standard & Poor's Ratings Services corrected its ratings on classes I-A-1 and I-A-2 from Bear Stearns Mortgage Funding Trust 2006-AR1 by raising them to 'B+' and 'CCC' respectively, from 'D'. On Dec. 24, 2009, S&P incorrectly lowered its ratings on classes I-A-1 and I-A-2 to 'D' based on the trustee's November 2009 remittance report, which had indicated that these classes had experienced principal write-downs in a total amount of $1.38 million. However, the trustee issued a revised remittance report, which removed the realized losses previously allocated to these certificates. Therefore, S&P has corrected its ratings on these classes by restoring the previous ratings. Ratings Corrected Bear Stearns Mortgage Funding Trust 2006-AR1 Rating ------ Class CUSIP Current 12/24/09 Pre 12/24/09 ----- ----- ------- -------- ------------ I-A-1 07401LAA1 B+ D B+ I-A-2 07401LAB9 CCC D CCC BEAR STEARNS: S&P Downgrades Ratings on 15 2006-PWR11 Securities ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 15 classes of commercial mortgage-backed securities from Bear Stearns Commercial Mortgage Securities Trust 2006-PWR11 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on seven other classes from the same transaction. The rating actions follow S&P's analysis of the transaction using its U.S. conduit and fusion CMBS criteria, which was the primary driver of these actions. The downgrades of the subordinate classes also reflect credit considerations and potential losses that may occur on the specially serviced assets. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, Standard & Poor's calculated an adjusted debt service coverage of 1.43x and a loan-to-value ratio of 101.1%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average DSC of 0.93x and an LTV of 142.1%. The implied defaults and loss severity under the 'AAA' scenario were 83.2% and 36.1%, respectively. All of the adjusted DSC and LTV calculations excluded two specially serviced assets ($31.2 million, 1.7%). S&P separately estimated losses for the specially serviced assets, which S&P included in its 'AAA' scenario implied default and loss figures. The affirmations of the ratings on the principal and interest certificates reflect subordination levels that are consistent with the outstanding ratings. S&P affirmed its rating on the class X interest-only (IO) certificates based on its current criteria. S&P published a request for comment proposing changes to the IO criteria on June 1, 2009. After S&P finalize its criteria review, S&P may revise its current IO criteria, which may affect outstanding ratings, including the rating on the IO certificates S&P affirmed. Credit Considerations Three assets ($41.5 million, 2.3%) in the pool are with the special servicer, Centerline Servicing Inc. Each of these assets is more than 90 days delinquent. The Forum Center loan ($19.0 million, 1.1%) is secured by a 134,963-sq.-ft. anchored retail center in Louisville, Ky. The loan transferred to Centerline on April 7, 2009, due to monetary default following a significant decline in occupancy. The property is currently 56% occupied. Loan modifications are ongoing. Should a modification fail to materialize, the trust could experience a significant loss upon the ultimate resolution of this asset. The Sunrise Lake Village loan ($12.2 million, 0.7%) is secured by a 78,146-sq.-ft. mixed-use facility in Pearland, Texas. The loan transferred to Centerline on Aug. 27, 2009, due to monetary default. Centerline has initiated foreclosure proceedings, and S&P expects a moderate loss upon the resolution of this asset. The Courtyard by Marriott - Beachwood loan ($10.3 million, 0.6%) is secured by a 113-room limited-service hotel in Beachwood, Ohio. The loan transferred to Centerline on Nov. 10, 2009, due to monetary default. As of the nine months ended Sept. 30, 2009, DSC and occupancy were 0.48x and 56.0%, respectively, down from 1.32x and 66.0% as of Dec. 31, 2008. Transaction Summary As of the January 2010 remittance report, the aggregate trust balance was $1.80 billion, which represents 96.6% of the aggregate trust balance at issuance. There are 180 assets in the pool, down from 181 at issuance. The master servicers for the transaction are Prudential Asset Resources Inc. and Wells Fargo Bank N.A. The master servicers provided financial information for 99.6% of the pool, and 98.7% of the servicer-provided information was full-year 2008 or interim-2009 data. S&P calculated a weighted average DSC of 1.73x for the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.43x and 101.1%, respectively. S&P's adjusted figures exclude two specially serviced assets that have an aggregate balance of $31.2 million (1.7%). S&P estimated losses separately for these loans. To date, the transaction has realized $2.4 million of principal losses in connection with one loan. Thirty-seven loans ($385.2 million, 21.4%), including the largest loan in the pool, are on the master servicer's watchlist. Twenty loans ($134.2 million, 7.5%) have a reported DSC of less than 1.10x, and 10 of these loans ($72.5 million, 4.0%) have a reported DSC of less than 1.0x. Summary of Top 10 Loans The top 10 exposures have an aggregate outstanding balance of $781.2 million (43.5%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 2.02x for the top 10 loans. S&P's adjusted DSC and LTV for the top 10 loans were 1.35x and 110.5%, respectively. The largest loan in the pool is the only loan among the top 10 exposures that appears on the master servicers' watchlists. The Soho Grand/Tribeca Grand Porfolio loan ($195.0 million, 10.9%) is the largest loan in the pool and is secured by two full-service luxury hotels in Manhattan with a total of 566 rooms. The loan appears on the master servicer's watchlist due to a DSC decline. As of the nine months ended Sept. 30, 2009, reported DSC and occupancy were 1.20x and 77.0%, respectively, down from 3.55x and 82.0% as of Dec. 31, 2008. Standard & Poor's stressed the loans in the pool according to its conduit/fusion criteria. The resultant credit enhancement levels support the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative Bear Stearns Commercial Mortgage Securities Trust 2006-PWR11 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-M A+ AAA/Watch Neg 20.56 A-J BBB AAA/Watch Neg 12.41 B BBB- AA/Watch Neg 10.34 C BB+ AA-/Watch Neg 9.05 D BB A/Watch Neg 7.50 E BB- A-/Watch Neg 6.46 F B+ BBB+/Watch Neg 5.30 G B+ BBB/Watch Neg 4.26 H B BBB-/Watch Neg 2.97 J B- BB+/Watch Neg 2.58 K B- BB/Watch Neg 2.19 L CCC+ BB-/Watch Neg 1.81 M CCC+ B+/Watch Neg 1.68 N CCC B/Watch Neg 1.42 O CCC- B-/Watch Neg 1.16 Ratings Affirmed Bear Stearns Commercial Mortgage Securities Trust 2006-PWR11 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA 30.91 A-2 AAA 30.91 A-3 AAA 30.91 A-AB AAA 30.91 A-4 AAA 30.91 A-1A AAA 30.91 X AAA N/A BEAR STEARNS: S&P Downgrades Ratings on 15 2006-PWR14 Securities ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 15 classes of commercial mortgage-backed securities from Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on nine other classes from the same transaction. The ratings actions follow S&P's analysis of the transaction using its U.S. conduit and fusion CMBS criteria, which was the primary driver of these actions. The downgrades of the subordinate classes also reflect credit support erosion that S&P anticipates will occur upon the eventual resolution of the specially serviced loans, as well as S&P's concerns about two loans that S&P has determined 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, Standard & Poor's calculated an adjusted debt service coverage of 1.47x and a loan-to-value ratio of 100.2%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average DSC of 0.95x and an LTV of 136.3%. The implied defaults and loss severity under the 'AAA' scenario were 74.4% and 36.6%, respectively. All of the adjusted DSC and LTV calculations excluded eight of the 11 specially serviced assets ($54.6 million, 2.3%) and two credit-impaired loans ($27.9 million, 1.2%). S&P separately estimated losses for the specially serviced and credit- impaired assets, which S&P included in its 'AAA' scenario implied default and loss figures. The affirmations of the ratings on the principal and interest certificates reflect subordination levels that are consistent with the outstanding ratings. S&P affirmed its ratings on the class X- 1, X-2, and X-W interest-only certificates based on its current criteria. S&P published a request for comment proposing changes to the IO criteria on June 1, 2009. After S&P finalizes its criteria review, S&P may revise its current IO criteria, which may affect outstanding ratings, including the ratings on the IO certificates S&P affirmed. Credit Considerations Eleven assets ($171.2 million, 7.1%), including the seventh- largest loan in the pool, are with the special servicer, Centerline Servicing Inc. One of these assets ($6.8 million, 0.3%) is in foreclosure, six ($36.1 million, 1.5%) are more than 90 days delinquent, two ($77.5 million, 3.2%) are 60 days delinquent, and two ($51.6 million, 2.1%) are within their respective grace periods. S&P estimated losses ranging from 20.7% to 62.3% for eight ($54.6 million, 2.3%) of the 11 assets. The Philips at Sunrise Shopping Center loan ($65.0 million, 2.7%) is the seventh-largest loan in the pool and is secured by a 414,082-sq.-ft. anchored retail center in Massapequa, NY. The loan was transferred to Centerline on March 23, 2009, for imminent default. At the time, the borrower commenced litigation against the loan originator and the trust, challenging the basis of the initial property valuation and seeking reformation of the loan. This litigation was subsequently dismissed, and an appeal of this dismissal is now pending. As of the nine-months ended Sept. 30, 2009, the property had a DSC of 1.26x with 95.5% occupancy. Tenant bankruptcies appear to have led to increased vacancy on the property, which stood at 86.4% as of Aug. 3, 2009. The loan is 60 days delinquent, and in S&P's view, foreclosure is likely. In addition to the specially serviced assets, S&P determined two loans ($27.9 million, 1.2%) to be credit-impaired. The largest loan S&P deem to be credit-impaired, the Ramada Plaza - LaGuardia Airport loan ($22.0 million, 0.9%), is secured by a 214-unit full- service hotel in Flushing, N.Y. As of Dec. 31, 2008, it had a DSC of 0.53x; however, DSC had dropped to 0.04x as of June 30, 2009. The borrower has stated that it will no longer be able to cover debt service on the loan. Consequently, S&P has determined this loan to be at an increased risk of default and loss. Subsequent to the January 2010 remittance date, this loan was transferred to the special servicer due to payment default. The LBJ Financial Center loan ($5.9 million, 0.2%) is secured by a 89,066-sq.-ft. office building in Dallas, Texas. As of Dec. 31, 2008, the property had a DSC of 0.32x, and as of June 30, 2009, DSC had dropped to 0.06x due to a fall in occupancy. It is S&P's understanding that leasing efforts are ongoing; however, S&P believes that the continuing occupancy issues have made uncertain the sustainability of funding debt service shortfalls in the medium term. Consequently, S&P has determined this loan to be at an increased risk of default and loss. Transaction Summary As of the January 2010 remittance report, the aggregate trust balance was $2.42 billion, which represents 97.8% of the aggregate trust balance at issuance. There are 247 assets in the pool, which is down from 250 since issuance. The master servicers for the transaction are Prudential Asset Resources Inc. and Wells Fargo Bank N.A. The master servicers provided financial information for 99.9% of the pool, and 90.8% of the servicer- provided information was full-year 2008 or interim-2009 data. S&P calculated a weighted average DSC of 1.47x for the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.47x and 100.2%, respectively; however, it excludes eight specially serviced assets and two credit-impaired loans, which are included in the servicer reported DSC calculation. These loans have an aggregate balance of $82.5 million (3.4%), and S&P estimated losses separately for them. Based on the servicer-reported DSC figures, S&P calculated a weighted average DSC of 0.91x for these 10 loans. To date, the transaction has realized $3.7 million in principal losses in connection with three loans. Sixty-five loans ($705.4 million, 29.2%) are on the master servicers' watchlist, including the fourth-, eighth- and 10th-largest loans in the pool. Thirty-nine loans ($309.9 million, 12.8%) have a reported DSC of less than 1.10x, and 26 of these loans ($185.3 million, 7.7%) have a reported DSC of less than 1.0x. Summary of Top 10 Loans The top 10 exposures have an aggregate outstanding balance of $686.5 million (28.5%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.53x for the top 10 loans. S&P's adjusted DSC and LTV for the top 10 loans were 1.44x and 105.5%, respectively. The 750 Lexington Avenue loan ($74.0 million, 3.1%) is the fourth- largest loan in the pool and is secured by a 355,227-sq.-ft. office building in Manhattan. The loan appears on the master servicers' watchlist due to low DSC. As of the nine months ended Sept. 30, 2009, DSC for the property was 1.30x with 86.9% occupancy, down from 2.18x with 92.7% occupancy as of Dec. 31, 2008. The Grand Bohemian Hotel loan ($54.2 million, 2.3%) is the eighth- largest loan in the pool and is secured by a 250-room full-service hotel in Orlando, Fla. The loan appears on the master servicers' watchlist due to low DSC. As of Dec. 31, 2008, DSC for the property was 1.23x, which remained stable through June 2009. The Fountain Square loan ($32.3 million, 1.6%) is the 10th-largest loan in the pool and is secured by a 165,872-sq.-ft. anchored retail center in Brookfield, Wis. The loan appears on the master servicers' watchlist due to a tenant bankruptcy. As of Dec. 31, 2008, the property had a DSC of 1.16x with 100% occupancy. As of the six months ended June 30, 2009, DSC was 1.08x and as of Sept. 30, 2009, occupancy had declined to 67.9%. Standard & Poor's stressed the loans in the pool according to its updated conduit/fusion criteria. The resultant credit enhancement levels support the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-M A+ AAA/Watch Neg 20.30 A-J BBB AAA/Watch Neg 11.10 B BBB- AA/Watch Neg 9.18 C BB+ AA-/Watch Neg 8.16 D BB A/Watch Neg 6.62 E BB- A-/Watch Neg 5.73 F B+ BBB+/Watch Neg 4.71 G B BBB/Watch Neg 3.68 H B- BBB-/Watch Neg 2.66 J CCC+ BB+/Watch Neg 2.28 K CCC+ BB/Watch Neg 2.02 L CCC B+/Watch Neg 1.64 M CCC- B/Watch Neg 1.51 N CCC- B-/Watch Neg 1.25 O CCC- CCC+/Watch Neg 1.00 Ratings Affirmed Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA 30.53 A-2 AAA 30.53 A-3 AAA 30.53 A-AB AAA 30.53 A-4 AAA 30.53 A-1A AAA 30.53 X-1 AAA N/A X-2 AAA N/A X-W AAA N/A N/A - Not applicable. BRAZOS RIVER: S&P Corrects Rating on 1972 Bonds to 'B-/Negative' ---------------------------------------------------------------- Standard & Poor's Ratings Services corrected to 'B-/Negative' from 'CC/Negative' its rating on the Brazos River Authority, Texas' series 1972 DeCordova Bend Project revenue refunding bonds, issued for obligor Texas Competitive Electric Holdings Co. LLC. On Oct. 9, 2009, this rating was lowered to 'CC/Negative' along with the ratings on certain securities for TCEH's parent, Energy Future Holdings Corp., due to a distressed debt exchange. However, the rating on the series 1972 DeCordova Bend Project revenue refunding bonds should not have been affected, since the bonds are secured by TCEH. The correction affects approximately $1.96 million in outstanding revenue bonds. The negative outlook reflects the outlook on TCEH as obligor. COUNTY OF CHAUTAUQUA: Moody's Assigns Ratings on Revenue Bonds -------------------------------------------------------------- Moody's Investors Service assigned a Baa3 rating to $58,500,000 County of Chautauqua Industrial Developmental Agency Exempt Facility Revenue Bonds (NRG Dunkirk Power Project) Series 2009 due 2042 (the Dunkirk Power bonds). The rating is based upon the secured guaranty provided by NRG Energy, Inc. and certain of its subsidiary guarantors (NRG Grantors), which will be on parity with NRG's senior secured revolver and term loan rated Baa3. As part of this rating assignment, Moody's affirmed NRG's Corporate Family Rating at Ba3 and its speculative grade liquidity rating at SGL-1. The rating outlook is stable. Proceeds from the bond offering will be used to refinance the existing bonds, initially issued on April 14, 2009 as variable rate demand bonds. The remarketed bonds will be issued at a fixed rate through the final maturity date of April 1, 2042. The transaction was completed to finance a portion of the environmental related costs required at the Dunkirk electric generating plant, a 530 megawatt coal-fired generating plant in western NY. The refinanced Dunkirk Power bonds will be guaranteed by NRG, Dunkirk's parent, and by guarantees provided by the NRG Grantors, operating subsidiaries of NRG. The secured guarantee will rank on parity with NRG's senior secured revolver and term loan. To perfect this security interest, Moody's understand that the trustee for the Dunkirk Power bonds will be joined as a secured party under the Collateral Trust Agreement dated February 2006. While the Dunkirk Power bonds will benefit from the terms in the credit agreement for the secured revolver and term loan and will rank on parity with creditors in the secured revolver and term loan, the Dunkirk Power bondholders will have limited rights if an NRG event of a default occurs and will be reliant upon actions taken by the majority lenders under the secured revolver and term loan. Moody's also understand that the NRG guarantee and Collateral Trust Agreement may be amended without the consent of the Dunkirk Power bondholders under most circumstances; however, the NRG guarantee and Collateral Trust Agreement cannot be terminated until all obligations, including the Dunkirk Power bonds, are satisfied. NRG's Ba3 CFR reflects the ability to produce relatively consistent credit metrics through an active hedging program that also enables the company to finance all of its capital requirements from internal sources. Through September 30, 2009, Moody's calculates the ratio of cash flow (CFO pre-W/C) to debt at more than 20%, the cash flow coverage of interest expense at more than 4.0x, and the ratio of free cash flow to debt at 7.3%. These financial metrics, which incorporate all of Moody's standard adjustments, strongly position NRG in the "Ba" rating category as compared to other unregulated power companies, and may suggest a slightly higher CFR; however, the Ba3 CFR incorporates concerns about the size of the company's capital investment program relative to the company's market capitalization including its plan to participate in the multi-year construction of two nuclear plants. The Ba3 CFR also factors in management's history of regularly implementing shareholder focused strategies. In that vein, Moody's understand that during 2010 management will attempt to increase the size of the restricted payments basket in the company's bond indenture. The rating affirmation of NRG's speculative grade liquidity rating at SGL-1 reflects Moody's expectation that NRG will maintain a very good liquidity profile over the next 4-quarter period as a result of its generation of strong internal cash flows, maintenance of significant cash balances plus continued access to substantial credit availability, and ample headroom under the company's covenants. Total liquidity at September 30, 2009, exceeded $3.9 billion, including unrestricted cash on hand of nearly $2.25 billion. Moody's observe that the company's $1 billion secured revolver expires on February 2, 2011 and Moody's current expectation anticipates the company will seek to extend this facility well in advance of the February expiry date. Moody's also observe that the recent purchase of Reliant's retail supply business should reduce prospective collateral requirements. Based upon recent guidance provided by the company, Moody's calculates that NRG will generate nearly $500 -$700 million of free cash flow during 2010. Moody's understands that the company remains comfortably in compliance with the covenants in its bank facilities and continues to demonstrate an ability to enhance its liquidity profile from the sale of non-strategic assets as demonstrated by last year's Mibrag sale. The ratings for NRG's individual securities were determined using Moody's Loss Given Default methodology. Based upon NRG's Ba3 CFR and Ba3 Probability of Default Rating, the LGD methodology suggests a Baa3 rating for NRG's senior secured revolver, secured term loan and for NRG's secured guarantee of the Dunkirk Power bonds. Importantly, Moody's observes that changes to the capital structure at NRG which increases the relative amount of secured debt while decreasing the relative amount of unsecured debt could result in a lower instrument rating for the senior secured revolver, the secured term loan and the Dunkirk bonds. Moody's understands that NRG has called for redemption all of the remaining shares of its 4% Convertible Preferred Stock and that such redemption is scheduled for January 21, 2010. Consistent with Moody's withdrawal policy, Moody's will withdraw the B2 rating assigned to these securities once the securities have been fully redeemed. Please refer to Moody's Withdrawal Policy on moodys.com. These ratings are affected by this action: Rating assigned: * Dunkirk Power (guaranteed by NRG) senior secured bonds due 2042 at Baa3 (LGD2, 14%) LGD assessments revised: * NRG Energy senior unsecured notes at B1 (LGD4, 69% from LGD5, 70%) The last rating action on NRG occurred on July 23, 2009, when the ratings were confirmed with a stable outlook. Headquartered in Princeton, NRG owns approximately 24,000 MW of generating facilities, primarily in Texas and the northeast, south central and western regions of the US. NRG also owns generating facilities in Australia and Germany. CROWN CASTLE: Fitch Affirms Ratings on Classes of 2006-1 Notes -------------------------------------------------------------- Fitch Ratings has affirmed these classes of Crown Castle Towers LLC, senior secured tower revenue notes, 2006-1: -- $453,540,000 class A-FX at 'AAA'; Outlook Stable; -- $170,000,000 class A-FL at 'AAA'; Outlook Stable; -- $150,155,000 class B at 'AA'; Outlook Stable; -- $150,155,000 class C at 'A'; Outlook Stable; -- $150,150,000 class D at 'BBB'; Outlook Stable; -- $144,000,000 class E at 'BBB-'; Outlook Stable; -- $240,000,000 class F at 'BB+'; Outlook Stable; -- $83,000,000 class G at 'BB'; Outlook Stable. The affirmations are due to the stable performance of the collateral. The Rating Outlooks reflect the likely direction of the rating changes over the next one to two years. As of Nov. 23, 2009, the aggregate annualized run rate revenue increased 25% to $808.4 million from $644.5 million at issuance, and the resulting Fitch net cash flow has increased 23% since issuance. The notes have not paid down since issuance, as they are interest-only for the entire five-year period. As of January 2010, the collateral pool included 11,745 wireless communication sites owned, leased, or managed by the borrower. The tenant type concentration has remained stable with total revenue contributed by telephony tenants of 94.4% compared to 95.9% at issuance. The 2006-1 closed on Nov. 29, 2006, as additional issuance under indenture dated June 1, 2005. The corresponding notes in the two transactions were pari passu and secured by the same collateral pool. On Jan. 15, 2010, Crown Castle Senior Secured Tower Revenue Notes, series 2010-1, 2010-2 and 2010-3 were issued as additional issuance under the 2005 indenture. The proceeds from the 2010 notes were used to retire the 2005-1 series. The 2010 notes now rank pari passu with the $150.2 million class C in the 2006-1 transaction, and both are secured by the same collateral pool. FINANSURE STUDENT: S&P Downgrades Rating on Class C-1 Notes to 'B' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating on the class C-1 junior subordinate notes from FinanSure Student Loan Master Trust I's series 2007-1 to 'B' from 'BB' and placed it on CreditWatch with negative implications. The class A-1 through A-7 and class B-1 through B-3 notes are unaffected. The downgrade reflects S&P's view that there is an increased likelihood that full and timely interest payments will not be made on the class C-1 notes, on the Feb. 25, 2010, distribution date because the transaction may breach the junior subordinate note interest trigger on Feb. 1, 2010. If the transaction breaches the junior subordinate note interest trigger, interest payments for the class C-1 notes, which are currently being distributed before any principal payments on all classes, will become subordinate to principal payments in the transaction's payment waterfall. As a result, interest to class C-1 noteholders will be paid after interest is paid to all notes with a higher payment priority and after principal payments have been made to the most senior class of notes. The CreditWatch placement reflects S&P's belief that S&P may need to take further rating action if the transaction breaches the junior subordinate note interest trigger when it is tested on Feb. 1, 2010. The transaction's junior subordinate note interest trigger is tested in February of each year. A trigger event occurs if a cumulative default percentage threshold is breached and the subordinate asset percentage (trust assets divided by the sum of the class A and B notes) is below 100%. If a junior subordinate note interest trigger event goes into effect in February 2010, interest payments to the class C-1 notes, due to their subordination in the payment waterfall, may be shut off until at least February 2011, at which time performance will again be measured against a new cumulative default percentage threshold and the subordinate asset percentage test. The cumulative default percentage threshold resets to a higher level on Feb. 1 of each year between 2008 and 2013. The cumulative default percentage threshold for Feb. 1, 2010, is 13.50%. As of the Nov. 30, 2009, servicing statement, the transaction's cumulative default percentage was 12.55%, and the subordinate asset percentage was 100.24%. The cumulative default percentage threshold increases to 16.50% on Feb. 1, 2011. The collateral in the FinanSure series 2007-1 transaction consists of Federal Family Education Loan Program student loans. As such, S&P expects a high level of obligor defaults, but S&P does not believe they pose much of a credit risk because of the government reimbursement guarantees for FFELP loans. However, when obligor defaults are coupled with a subordinate asset percentage that is below 100%, S&P believes the level of such defaults becomes a concern since they will likely cause the class C-1 notes to miss interest payments. S&P expects default levels to continue increasing at a pace that will likely either come close to breaching or will breach the cumulative default percentage thresholds set for each year. In addition, S&P thinks it is possible that the subordinate asset percentage, which has grown at an overall slow pace and is currently fluctuating around 100%, could possibly fall below 100%. Consequently, S&P believes that there is an increased likelihood that a junior subordinate note interest trigger event could occur in the future, possibly in February 2010. Accordingly, S&P believes the credit quality of the class C-1 notes has declined, and have downgraded the security by three notches to 'B'. S&P will continue to monitor the default levels in this transaction and will take any further rating actions that S&P considers to be appropriate. JUPITER HIGH-GRADE: Fitch Downgrades Ratings on Three Notes ----------------------------------------------------------- Fitch Ratings has downgraded three and affirmed three classes of notes issued by Jupiter High-Grade CDO II, Ltd./Inc. As of the November 2009 trustee report, the current balance of the portfolio is $712.8 million, of which $214.7 million consists of defaulted securities as defined in the transaction's governing documents. Approximately 79.3% of the portfolio has been downgraded since Fitch's last rating action in July 2008, resulting in 54% of the portfolio with a Fitch derived rating below investment grade and 43.7% with a rating in the 'CCC' rating category or below, as compared to 21% and 4.5%, 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 - Amended' 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, and B notes have the credit enhancement levels of 6.8%, 1.8% and -3.9%, respectively. While these classes are still receiving interest distributions, given the amount of distressed assets in the portfolio, Fitch believes that default is inevitable for these classes at or prior to maturity. The class C-1A, C-1B, and C-1C notes (together, 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. Jupiter II is a cash flow collateralized debt obligation, which closed on March 29, 2005. In February 2008, High Perch LLC replaced Maxim Advisory LLC as the manager of the transaction. Jupiter II has a portfolio of which currently 50.9% comprises subprime residential mortgage-backed securities, 22.5% consists of Alternative-A RMBS, and 15.2% of structured finance CDOs. Prime RMBS represents 10.5% of the portfolio. Fitch has downgraded or affirmed these ratings as indicated: -- $667,172,423 class A-1 downgraded to 'C' from 'BB-'. -- $35,436,691 class A-2 downgraded to 'C' from 'CCC'; -- $40,752,195 class B downgraded to 'C' from 'CC'; -- $10,699,583 class C-1A affirmed at 'C'; -- $3,852,791 class C-1B affirmed at 'C'; -- $8,507,088 class C-1C affirmed at 'C'. LNR CDO: S&P Downgrades Ratings on Seven Classes of Notes --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes from LNR CDO VI Ltd.'s series 2007-2 and removed them from CreditWatch with negative implications. At the same time, S&P affirmed its 'CCC-' ratings on five other classes from the same transaction. The downgrades reflect S&P's analysis of the transaction following its rating actions on 41 commercial mortgage-backed securities certificates that serve as underlying collateral for LNR CDO VI. The certificates are from 13 transactions, and the securities total $325.6 million (30% of the pool balance). S&P also analyzed S&P's outstanding credit estimates on the unrated CMBS collateral ($111.3 million, 10%). S&P lowered the majority of these credit estimates. The downgrades also reflect the termination of an interest rate swap with National Australia Bank Ltd. According to the Dec. 21, 2009, trustee report, this resulted in a $99.1 million hedge termination payment by the trust. According to the transaction's indenture and payment waterfall, the hedge termination payment follows the payment of interest and principal to the holders of classes A and B. As a result, S&P believes classes C through L will likely not receive interest payments for an extended period of time. According to the trustee report, LNR CDO VI is collateralized by 132 CMBS certificates ($1.094 billion, 100%) from 28 distinct transactions issued in 2006 and 2007. The interest proceeds amount to $2.6 million for the most recent trustee report and have steadily declined over the past six months from $3.7 million as of the July 21, 2009, trustee remittance report. LNR CDO VI has significant exposure to recently downgraded CMBS classes from these transactions: Greenwich Capital Commercial Funding Corp.'s series 2007-GG9 (classes L through S; $67.5 million, 6.2%);ML-CFC Commercial Mortgage Trust 2007-9 (classes J and K; $41.5 million, 3.8%); Wachovia Bank Commercial Mortgage Trust's series 2007-C33 (classes J and K; $40 million, 3.7%); and Wachovia Bank Commercial Mortgage Trust Series 2007-C31 (classes L, M, and N; $33.5 million, 3.1%). Standard & Poor's analyzed LNR CDO VI and its underlying collateral according to S&P's current criteria. S&P's analysis supports the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative LNR CDO VI Ltd. Series 2007-2 Rating ------ Class To From ----- -- ---- A-1 B+ A-/Watch Neg A-2 B+ A-/Watch Neg B CCC BBB-/Watch Neg C CCC- BB-/Watch Neg D CCC- B+/Watch Neg E CCC- B/Watch Neg F CCC- CCC/Watch Neg Ratings Affirmed LNR CDO VI Ltd. Series 2007-2 Class Rating ----- ------ G CCC- H CCC- J CCC- K CCC- L CCC- LONGPORT FUNDING: S&P Downgrades Ratings on Six Classes of Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on six classes of notes issued by Longport Funding Ltd., a cash flow collateralized debt obligation of residential mortgage-backed securities transaction. Delaware Investment Advisors manages the transaction. Concurrently, S&P placed two of the lowered ratings on CreditWatch with negative implications, one rating remains on CreditWatch negative, and S&P removed three ratings from CreditWatch negative. Finally, S&P affirmed its ratings on five additional classes from the same transaction. The downgrades reflect credit deterioration and spread erosion in the collateral pool since S&P's last rating action on June 16, 2009. The class A-2 interest-only notes have a smaller note balance and a shorter maturity profile than the class A-1 I/O notes, and are therefore able to support a higher rating than the class A-1 I/O notes. Rating Actions Longport Funding Ltd. Rating ------ Class To From ----- -- ---- A-1A BB+/Watch Neg AAA/Watch Neg A-1B CC BBB+/Watch Neg A-1 (i) BBB+/Watch Neg AAA A-2-I (i) AA/Watch Neg AAA A-2-P (ii) CC BBB+/Watch Neg Part. notes CC BB/Watch Neg (i) Interest only. (ii) Principal only. Ratings Affirmed Longport Funding Ltd. Class Rating ----- ------ A-3 CC B CC C CC D-1 CC D-2 CC Transaction Information ----------------------- Issuer: Longport Funding Ltd. Collateral manager: Delaware Investment Advisors Underwriter: Credit Suisse First Boston Corp. MORGAN STANLEY: S&P Cuts Ratings on 15 2006-TOP 21 Securities ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 15 classes of commercial mortgage-backed securities from Morgan Stanley Capital I Trust 2006-TOP 21 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on six 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 its rating actions. The downgrades of the subordinate classes also reflect the credit support erosion S&P anticipate will occur upon the eventual resolution of two specially serviced assets. 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 1.75x and a loan-to-value ratio of 92.6%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average DSC of 1.02x and an LTV of 128.9%. The implied defaults and loss severity under the 'AAA' scenario were 54.9% and 37.9%, respectively. The DSC and LTV calculations noted above exclude two ($10.6 million, 0.8%) of the three specially serviced assets. S&P separately estimated losses for these two assets and included them in S&P's 'AAA' scenario implied default and loss figures. S&P also excluded three cooperative apartment loans ($37.0 million, 2.7%) from all of the DSC and LTV calculations. These loans did not default under the 'AAA' scenario due to 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 rating on the class X interest-only (IO) 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 rating on the IO certificates that S&P affirmed. Credit Considerations As of the January 2010 remittance report, three assets ($20.1 million, 1.5%) in the pool were with the special servicer, Centerline Servicing Inc. The payment statuses of the specially serviced assets are: one is real estate owned ($6.3 million, 0.5%), one is 90-plus days delinquent ($4.3 million, 0.3%), and one is in its grace period ($9.5 million, 0.7%). One of the specially serviced assets has an appraisal reduction amount in effect totaling $2.9 million. The largest loan with Centerline is the Timekeeper Building loan ($9.5 million, 0.7%). The loan was transferred to the special servicer on Sept. 21, 2009, due to payment default. The loan matured Jan. 12, 2010, and the borrower is seeking an extension. The loan is secured by a 34,574-sq.-ft. office property in New York, N.Y. The reported trailing-three-month DSC and occupancy for the period ended March 31, 2009, was 1.11x and 92%, respectively, up from 1.02x and 81% as of year-end 2008. The other two specially serviced assets each account for less than 0.5% of the pool balance. S&P's estimated losses for these two assets were 49.6% and 19.9%. One asset became REO in September 2009, and Centerline expects a discounted payoff proposal to be presented for the other. Transaction Summary As of the January 2010 remittance report, the collateral pool balance was $1.366 billion, which is 97.3% of the balance at issuance. The pool includes 121 loans, unchanged from issuance. As of the January 2010 remittance report, the master servicer, Wells Fargo Bank N.A., provided financial information for 100.0% of the pool, and 99.5% of the servicer-provided information was full-year 2008 or interim-2009 data. S&P calculated a weighted average DSC of 2.11x for the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.75x and 92.6%, respectively. S&P's adjusted DSC and LTV figures exclude two of the three specially serviced assets, whose weighted averaged DSC was 1.56x. S&P estimated losses separately for these two assets. S&P also excluded three cooperative apartment loans ($37.0 million, 2.7%) from all of the DSC and LTV calculations. The transaction has not experienced any principal loss to date. Nineteen loans ($259.1 million, 19.0%) are on the master servicer's watchlist, including two of the top 10 loans. Eight loans ($42.4 million, 3.1%) have a reported DSC below 1.10x, and four of these loans ($12.8 million, 0.9%) have a reported DSC of less than 1.0x. Summary of Top 10 Loans The top 10 exposures have an aggregate outstanding balance of $709.9 million (54.0%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 2.04x for the top 10 loans. Two of the top 10 loans ($167.9 million, 12.3%) appear on the master servicer's watchlist, which S&P discuss in detail below. S&P's adjusted DSC and LTV for the top 10 loans are 1.66x and 98.9%, respectively. The Alderwood Mall loan is the third-largest loan in the pool and the largest loan on the servicer's watchlist. The loan was in its grace period for its debt service payments as of the January 2010 remittance report and has a trust balance of $101.1 million (7.4%) and a whole loan balance of $253.8 million. The loan is secured by 564,856 sq. ft. of a 1,254,997-sq.-ft. regional mall in Lynwood, Wash. The reported trailing-nine-month DSC for the period ended Sept. 30, 2009, was 2.05x and occupancy was 95.0%, which are in line with year-end 2008 DSC and occupancy of 2.04x and 97.0%, respectively. The loan appears on the servicer's watchlist due to the bankruptcy filing of the borrower, General Growth Properties. On Dec. 15, 2009, the bankruptcy court confirmed a modification plan for 85 GGP loans, but the plan did not include this loan. Standard & Poor's will continue to review the details of the GGP loan restructurings as they become available. The Mervyns Portfolio loan is the fifth-largest loan in the pool and the second-largest loan on the master servicer's watchlist. The loan was current in its debt service payments as of the January 2010 remittance report and has a trust balance of $66.8 million (4.9%) and a whole loan balance of $131.0 million. The loan is secured by 25 single-tenant Mervyns-occupied properties on long-term, absolute net leases. Mervyns filed for Chapter 11 bankruptcy on July 29, 2008, and then announced on Oct. 18, 2008, that it was closing all of its stores in the U.S. The reported trailing-six-month DSC for the period ended June 30, 2009, was negative 0.24x, down from 2.61x as of year-end 2008. To date, Kohl's assumed three of the leases, and the borrower is in final negotiations on 10 additional lease assumptions with other tenants. Standard & Poor's stressed the loans in the pool according to its conduit/fusion criteria. The resultant credit enhancement levels support the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative Morgan Stanley Capital I Trust 2006-TOP 21 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-M AA- AAA/Watch Neg 17.49 A-J BBB+ AAA/Watch Neg 10.54 B BBB AA/Watch Neg 8.62 C BBB- AA-/Watch Neg 7.46 D BB+ A/Watch Neg 5.91 E BB A-/Watch Neg 5.14 F BB- BBB+/Watch Neg 4.11 G B+ BBB/Watch Neg 3.34 H B BBB-/Watch Neg 2.44 J B- BB+/Watch Neg 1.80 K B- BB/Watch Neg 1.54 L CCC+ BB-/Watch Neg 1.16 M CCC B+/Watch Neg 1.03 N CCC B/Watch Neg 0.90 O CCC- B-/Watch Neg 0.64 Ratings Affirmed Morgan Stanley Capital I Trust 2006-TOP 21 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA 27.77 A-2 AAA 27.77 A-3 AAA 27.77 A-AB AAA 27.77 A-4 AAA 27.77 X AAA N/A N/A - Not applicable. NEVADA DEPARTMENT: Moody's Cuts Rating on $439 Mil. Bonds to 'C' ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings on the Nevada Department of Business and Industry Las Vegas Monorail Project's $439 million 1st Tier Series 2000 Revenue Bonds from Ca to C. The downgrade reflects the continued weak operational performance of the Monorail and Moody's opinion that the recovery value of the Monorail will be very low for the outstanding 1st Tier Series 2000 bonds. The bonds are insured by Ambac Assurance Corporation (insurance financial strength rating of Caa2). The Las Vegas Monorail Corporation filed for Chapter 11 bankruptcy protection on January 13, 2010. The filing is being disputed by Ambac, which has filed a motion to dismiss the Chapter 11 filing. Ambac believes that LVMC is a municipal entity that is not eligible to file for bankruptcy protection. Since January 2008, Wells Fargo Bank, National Association (Wells Fargo), the Trustee, has withdrawn funds from the first tier and second tier debt service reserve funds to pay debt service. This was required because operating revenues, after covering operating expenses, were not sufficient to cover the first tier and second tier debt service payments. The first and second tier debt service reserve funds have since been depleted. As of December 31, 2009, Wells Fargo, the Trustee, had received approximately $16 million from Ambac to be applied to the January 2010 debt service payment. The 1st Tier Series 2000 project revenue bond ratings were assigned by evaluating factors believed to be relevant to the credit profile of the Project such as i) the business risk and competitive position of the obligor versus others within its industry or sector, ii) the capital structure and financial risk of the obligor, iii) the projected performance of the obligor over the near to intermediate term, and iv) the obligor's history of achieving consistent operating performance and meeting budget or financial plan goals. These attributes were compared against other obligors both within and outside of the Monorail Project's core peer group and the 1st Tier Series 2000 project revenue bond ratings are believed to be comparable to ratings assigned to other obligors of similar credit risk. The last rating action was on April 29, 2009, when the 1st Tier Series 2000 bonds were downgraded from Caa2 to Ca. NOMURA ASSET: S&P Puts Rating on Class B-4 on CreditWatch Negative ------------------------------------------------------------------ Standard & Poor's Ratings Services placed its rating on class B-4 from the Nomura Asset Securities Corp. series 1998-D6 transaction on CreditWatch with negative implications. In addition, the ratings on three classes from the Commercial Mortgage Asset Trust series 1999-C1 transaction remain on CreditWatch negative. The rating actions follow the transfer of the Springfield Mall loan to the special servicer, CWCapital Asset Management LLC. The Springfield Mall loan serves as collateral in both transactions and is the second-largest loan in CMAT 1999-C1 and the largest loan in NASC 1998-D6. The loan was transferred to CWCapital on Dec. 3, 2009, due to imminent default. The rating actions reflect Standard & Poor's preliminary analysis of this loan. The Springfield Mall loan has a whole-loan balance of $160.0 million split equally among two pari passu interests included in the CMAT 1999-C1 and NASC 1998-D6 transactions. It is the second-largest (5.9%) and largest loan (6.2%) in the CMAT 1999-C1 and NASC 1998-D6 transactions, respectively. The loan is secured by a 1.4 million-sq.-ft. mall in Springfield, Va. This 15-year loan bears interest at a fixed rate of 8.5%. It amortizes on a 30-year schedule and has an anticipated repayment date of April 11, 2013. The loan was transferred to the special servicer after the sponsor notified the master servicer, Berkadia Commercial Mortgage LLC, that it would no longer fund debt service shortfalls. The collateral property is affected by low occupancy, which as of August 2009 was 67.0% for the entire property, and 39.0% for the in-line space. As of Dec. 31, 2008, debt service coverage was 0.64x. S&P believes the financial performance will continue to decline in light of the existing occupancy problems, as well as lease expirations in 2010, which encompass 16.8% of the gross leasable area. Based on the operating statements for the nine months ended September 2009, Standard & Poor's preliminary analysis indicates a significant decline in value, and that the loan is at an increased risk of loss. S&P believes that substantial capital will need to be invested in the property to increase occupancy and rental rates to levels that will generate sufficient cash flow to cover its debt service, which is approximately $16.7 million annually. Standard & Poor's will continue to monitor the situation and will update and/or resolve the CreditWatch negative placements in both transactions once more information becomes available concerning the workout strategy and appraisal of the Springfield Mall loan, and as S&P completes its analysis of this loan and the remaining loans in both transactions. Rating Placed on Creditwatch Negative Nomura Asset Securities Corp. Commercial mortgage pass-through certificates series 1998-D6 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- B-4 B+/Watch Neg B+ 3.77 Ratings Remaining On Creditwatch Negative Commercial Mortgage Asset Trust Commercial mortgage pass-through certificates series 1999-C1 Class Rating Credit enhancement (%) ----- ------ --------------------- F A-/Watch Neg 13.19 G BBB/Watch Neg 8.73 H BB+/Watch Neg 6.95 NORTH STREET: Fitch Downgrades Ratings on 2000-2 Notes ------------------------------------------------------ Fitch Ratings has downgraded one and affirmed four classes of notes issued by North Street Referenced Linked Notes 2000-2 Limited. The downgrade of class E is a direct result of the notes being written down due to realized principal losses from exposure to credit events in the residential mortgage-backed securities portion of the reference portfolio. All other classes in North Street 2000-2 have been affirmed. Fitch reviewed portfolio credit risk under alternative scenarios in addition to the standard application of the Portfolio Credit Model (PCM). In its review, Fitch considered each tranches' ability to absorb individual distressed or lowly rated obligors under various recovery scenarios. Fitch used both the PCM results and the obligor default-sensitivity analysis to assess credit risk for each class of notes. North Street 2000-2 is a partially funded synthetic collateralized debt obligation referencing a portfolio of primarily corporate obligations managed by UBS AG, with a scheduled maturity date in October 2011. At close, proceeds from the issuance of the notes were used to collateralize credit default swaps between the issuer and UBS AG, the CDS counterparty (rated 'A+/F1+' with a Stable Rating Outlook by Fitch). The corporate portion represents 68.7% of the portfolio. The remaining portion of the portfolio is composed of 13.6% RMBS, 10% commercial mortgage-backed securities and 7.7% commercial and consumer asset-backed securities. The current portfolio has a Fitch derived weighted average rating of 'BB-/B+', with 18.3% of the portfolio having a Negative Outlook. Approximately 46.1% of the portfolio carries a Fitch derived rating below investment grade, including 18.5% rated 'CCC' or below. North Street 2000-2 is scheduled to mature on Jan. 30, 2011. Credit events called prior to this date can be settled up to the legal maturity date in October 2011. Fitch has taken these rating actions: -- US$60,800,000 class A notes affirmed at 'CC/RR6'; -- US$32,600,000 class B notes affirmed at 'C/RR6'; -- US$29,000,000 class C notes affirmed at 'C/RR6'; -- US$7,500,000 class D notes affirmed at 'C/RR6'; -- US$1,526,954 class E notes downgraded to 'D' from 'C/RR6'; -- US$0 income notes remain affirmed at 'D'. NORTH STREET: Fitch Downgrades Ratings on Three Classes of Notes ---------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed two classes of notes issued by North Street Referenced Linked Notes 2000-1 Limited, affirmed two classes of notes issued by North Street Referenced Linked Notes 2002-1A Limited and affirmed one class of notes issued by REVE SPC Series 2006-NS1. The downgrades of North Street 2000-1 class C, D-1 and D-2 notes is a result of write-downs on the notes following realized principal losses from exposure to the General Motors and CIT Group credit events. All other classes in North Street 2000-1, North Street 2002-1A and REVE SPC Series 2006-NS1 have been affirmed. Fitch reviewed portfolio credit risk under alternative scenarios in addition to the standard application of the Portfolio Credit Model. In its review, Fitch considered each tranche's ability to absorb losses on individual distressed or lowly rated obligors under various recovery scenarios. Fitch used both the PCM results and the obligor default-sensitivity analysis to assess credit risk for each class of notes. North Street 2000-1, North Street 2002-1A, and REVE SPC Series 2006-NS1 are partially funded synthetic collateralized debt obligations referencing the same portfolio of primarily corporate obligations managed by UBS AG. At close, proceeds from the issuance of the notes were used to collateralize credit default swaps between the issuer and UBS AG, the CDS counterparty (rated 'A+/F1+' with a Stable Rating Outlook by Fitch). The corporate portion represents 88% of the portfolio. The remaining portion of the portfolio is composed of 10.7% commercial asset-backed securities and 1.2% consumer ABS. The current portfolio has a Fitch derived weighted average rating of 'BB/BB-', with 30% of the portfolio having a Negative Outlook. Approximately 55.4% of the portfolio carries a Fitch derived rating below investment grade, including 10.1% rated 'CCC' or below. North Street 2000-1, North Street 2002-1A and REVE SPC Series 2006-NS1 are scheduled to mature on July 30, 2010. Credit events called prior to this date can be settled up to the legal maturity date in April 2011. Fitch has taken this rating action: North Street 2002-1A -- US$50,000,000 class A notes affirmed at 'AAA/LS4'; Outlook Negative; -- US$100,000,000 class B notes affirmed at 'BB/LS3'; Outlook Negative. REVE SPC Series 2006-NS1 -- US$39,520,000 class A notes affirmed at 'B/LS5'; Outlook Negative. North Street 2000-1 -- US$36,000,000 class A notes affirmed at 'CCC/RR6'; -- US$40,000,000 class B notes affirmed at 'CC/RR6'; -- US$16,959,727 class C notes downgraded to 'D' from 'CC/RR6'; -- US$0 class D-1 notes downgraded to 'D' from 'C/RR6'; -- US$0 class D-2 notes downgraded to 'D' from 'C/RR6'; -- US$0 income notes affirmed at 'D'. N-Star V: Fitch Downgrades Ratings on Six Classes of Notes ---------------------------------------------------------- Fitch Ratings has downgraded and removed from Rating Watch Negative six classes, and affirmed one class issued by N-Star V Ltd./Corp. 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-/B+' from 'BB+/BB'; currently, 29.9% is on Rating Watch Negative by at least one rating agency. Approximately 64.9% of the portfolio has a Fitch derived rating below investment grade and 14.3% has a rating in the 'CCC' rating category or lower, compared to 24.8% and 7.1%, respectively, at last review. As of the Dec. 17, 2009 trustee report, defaulted securities, as defined in the transaction's governing documents, now comprise 4.5% of the portfolio, compared to 0% at last review. Additionally, 2.4% of non-defaulted collateral are 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'. N-Star V is currently overcollateralized by $134 million (27%), primarily as a result of $208 million in collateral purchases at an average discount of 70%. Fitch ran various scenarios to evaluate the rating sensitivity to the recoveries within the cash flow model for those assets purchased at a discount greater than 50%, approximately $164 million in par amount. Fitch used the sensitivity analysis to assess credit risk for the class A-1 through D notes. Based on this analysis, the class A-1 notes' breakeven rates are generally consistent with the 'BB' rating category and the breakeven rates for the class A-2 and B notes are generally consistent with the 'B' rating category. Similarly, the breakeven rates for the class C and D notes are generally consistent with the 'CCC' rating category. For the class E and F notes, Fitch analyzed each class' sensitivity to the default of the distressed collateral. Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class E and F notes have been assigned a 'CCC' rating, indicating that default is a real possibility. A lower rating was not assigned given the amount of cushion in the overcollateralization tests. Additionally, the class A-1 notes are assigned Loss Severity (LS) ratings of 'LS3'. Similarly, the class A-2 and B notes are assigned LS ratings of 'LS5'. 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 A-1 notes this ratio falls in the range of 1.1 to 4.0, whereas for the class A-2 and B notes it falls below 0.5. The LS rating should always be considered in conjunction with the probability of default for tranches. N-Star V is a revolving collateralized debt obligation which closed Sept. 22, 2005. The portfolio is composed of 67.7% commercial mortgage-backed securities; 15.7% real estate investment trust securities; 15.2% SF CDOs; and 2.3% commercial real estate loans, including single borrower 'rake' classes of CMBS. The transaction has a five-year reinvestment period, during which time proceeds from regular asset amortization can be used to purchase additional collateral up to a 35% reinvestment cap. Principal amortization proceeds above the 35% reinvestment cap are used to pay down the capital structure on a pro-rata basis. Fitch has downgraded these classes, and assigned Outlooks and LS ratings as indicated: -- $335,921,275 class A-1 to 'BB/LS3' from 'A-'; Outlook Negative; -- $46,472,397 class A-2 to 'B/LS5' from 'BBB'; Outlook Negative; -- $40,935,261 class B to 'B/LS5' from 'BB+'; Outlook Negative; -- $17,921,536 class C to 'CCC' from 'BB'; -- $15,068,922 class D to 'CCC' from 'B+'; -- $4,943,872 class E to 'CCC' from 'B'. Fitch affirmed this class: -- $12,606,874 class F at 'CCC'. In addition, the class A-1 through E notes have been removed from Rating Watch Negative. OPTEUM MORTGAGE: S&P Downgrades Ratings on Seven 2006-1 Notes ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes from Opteum Mortgage Acceptance Corp. Trust 2006-1. In addition, S&P affirmed its ratings on one class from this transaction and on three classes from series 2006-2. Both deals are residential mortgage-backed securities transactions backed by U.S. Alternative-A mortgage loan collateral. Standard & Poor's has established loss projections for Alt-A transactions rated from 2005-2007. S&P's lifetime projected losses have changed for the downgraded transaction in this release: Original Loss Transaction bal. (mil. $) proj. (%) ----------- ------------- --------- Opteum Mortgage Acceptance Corp. Trust 2006-1 934 24.21 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 its view, a class could absorb the base-case loss assumptions S&P used in S&P's analysis. In order to maintain a rating higher than 'B', S&P assessed whether the class could withstand losses exceeding the base-case assumption at a percentage specific to each rating category, up to 150% for a 'AAA' rating. For example, in general, S&P would assess whether one class could withstand approximately 110% of S&P's base-case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 120% of S&P's base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in 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, overcollateralization, and excess spread provide credit support for the affected transactions. The underlying pools of loans backing these transactions consists of conventional, fully amortizing or balloon, adjustable- and fixed- rate, Alt-A mortgage loans secured by first liens on one- to four- family residential properties. Rating Actions Opteum Mortgage Acceptance Corporation Trust 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- I-APT 68383NDT7 CC CCC I-A1B 68383NDV2 CC CCC I-A1C2 68383NDX8 CC CCC II-APT 68383NDY6 CC CCC II-A1 68383NDZ3 CCC B- II-A2 68383NEA7 CC CCC M-1 68383NEB5 CC CCC Ratings Affirmed Opteum Mortgage Acceptance Corporation Trust 2006-1 Series 2006-1 Class CUSIP Rating ----- ----- ------ I-A1C1 68383NDW0 CCC Opteum Mortgage Acceptance Corporation Trust Series 2006-2 Series 2006-2 Class CUSIP Rating ----- ----- ------ A1A 68384CAA4 CCC A1B 68384CAB2 CCC A1C 68384CAC0 CCC PACIFIC BAY: Fitch Downgrades Ratings on Two Classes of Notes ------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed three classes of notes issued by Pacific Bay CDO Ltd./Inc. as a result of continued credit deterioration in the portfolio since Fitch's last rating action in July 2009. Approximately 26.2% of the portfolio has been downgraded since the last review. The transaction entered an Event of Default on Dec. 10, 2008, due to the failure to maintain the Class A/B Overcollateralization Ratio at 100% or higher. On May 1, 2009, a majority of class A-1 notes as the controlling class directed the Trustee to declare the principal of all the notes to be immediately due and payable. Consequently, all interest and principal proceeds are being distributed to class A-1. The downgrades to the portfolio have left approximately 48.8% of the portfolio (including defaults) with a Fitch derived rating below investment grade and 36.4% with a rating in the 'CCC' rating category or lower, compared to 41% and 26.3%, 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 (SF PCM) 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 CDOs'. Based on this analysis, the class A-1 notes' breakeven rates are generally consistent with the rating assigned below. Given the negative outlook on the performance of the underlying assets, Fitch assigned a Negative Rating Outlook to this class. Due to the acceleration of maturity, the class A-2 and B notes are not receiving interest. These classes are rated to the timely receipt of interest and have defaulted on the payment of interest. Therefore these classes have been downgraded to 'D'. Fitch compared the respective credit enhancement levels for the class C notes and the preference shares 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 C notes and the preference shares have the credit enhancement levels of 10.9% and 3.3% respectively, as compared to the 36.4% of the portfolio considered distressed. Fitch believes that default is inevitable for these classes at or prior to maturity. Therefore, these classes have been affirmed at 'C'. The Loss Severity rating for class A-1 has been affirmed at 'LS3'. 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'. The LS rating should always be considered in conjunction with the probability of default for tranches. Pacific Bay is a cash flow structured finance collateralized debt obligation that closed on Nov. 4, 2003. The portfolio is monitored by Pacific Investment Management Company LLC. The portfolio is composed of residential mortgage-backed securities (74.0%), asset-backed securities (9.4%), corporate bonds (9.1%), commercial mortgage-backed securities (7.4%), and CDOs (0.1%). Fitch has downgraded, affirmed, and revised Outlooks for these ratings as indicated: -- $91,724,680 class A-1 notes affirmed at 'AA/LS3'; Outlook to Negative from Stable; -- $64,000,000 class A-2 notes downgraded to 'D' from 'BB'; -- $36,000,000 class B notes downgraded to 'D' from 'CCC'; -- $6,877,553 class C notes affirmed at 'C'; -- $17,000,000 Preference Shares affirmed at C'. Fitch does not assign Rating Outlooks to classes rated 'CCC' or lower. The Rating Outlook for class A-2 was Stable prior to the downgrade. Fitch also does not assign LS ratings to classes rated 'B' or lower. The LS rating for class A-2 was 'LS3' prior to the downgrade. PREFERREDPLUS TRUST: Moody's Raises Rating on CTR-1 Certs. to 'B3' ------------------------------------------------------------------ Moody's Investors Service announced that it has upgraded the rating of these certificates issued by PREFERREDPLUS Trust Series CTR-1: -- 1,248,000 PREFERREDPLUS 8.00% Trust Series CTR-1 Certificates; Upgraded to B3; Previously on June 23, 2009 Confirmed at Caa1 The transaction is a structured note whose rating is based on the underlying securities and the legal structure of the transaction. The rating action is a result of the change of the rating of the underlying securities which are the 8.00% Notes due 2019 issued by Cooper Tire & Rubber Company whose rating was upgraded by Moody's to B3 on January 11, 2010. SKYTOP CLO: Moody's Confirms Ratings on Various Classes of Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has confirmed the ratings of these notes issued by Skytop CLO Ltd.: -- US$23,000,000 Class A-2 Floating Rate Senior Notes Due 2018, Confirmed at A1; previously on April 16, 2009 A1 Placed Under Review for Possible Downgrade; -- US$15,000,000 Class B Fixed Rate Deferrable Senior Subordinate Notes due 2018, Confirmed at Ba2; previously on June 16, 2009 Downgraded to Ba2 and Placed Under Review for Possible Downgrade; -- US$18,000,000 Class C Floating Rate Deferrable Senior Subordinate Notes due 2018, Confirmed at Caa1; previously on June 16, 2009 Downgraded to Caa1 and Placed Under Review for Possible Downgrade. In addition, Moody's upgraded the rating of these notes: -- US$18,000,000 Class A-1 Floating Rate Senior Notes Due 2018 (current outstanding balance of $10,613,876), Upgraded to Aa3; previously on December 24, 2008 Downgraded to A1. Moody's also downgraded the rating of these notes: -- US$2,600,000 Class Q-1 Securities due 2018 (current outstanding rated balance of $651,329), Downgraded to Ca; previously on June 16, 2009 Downgraded to Caa3. According to Moody's, the rating actions taken on the Class A-2, Class B, and Class C Notes are a result of the confirmation by Moody's of the insurance financial strength rating of Financial Security Assurance Inc., which acts as guarantor under the Investment Agreement in the transaction. On November 12, 2009, Moody's confirmed the financial strength rating of Financial Security Assurance Inc. at Aa3. On June 16, 2009, Moody's downgraded the Class B Notes, the Class C Notes and the Class Q-1 Securities as a result of the application of revised and updated key modeling assumptions as well as the credit deterioration of the underlying portfolio. The Class A-2, Class B and Class C Notes remained on review for possible downgrade because Moody's placed the insurance financial strength rating of Financial Security Assurance Inc. on review for possible downgrade on May 20, 2009. The upgrade action taken on the Class A-1 Notes is a result of the continued delevering of the notes as well as the confirmation by Moody's of the insurance financial strength rating of Financial Security Assurance Inc. Since the last rating action taken on June 16, 2009, the Class A-1 Notes were paid a total of about $7 million, accounting for roughly 40% of the total Class A-1 Notes' balance reported in May. The downgrade action taken on the Class Q-1 Securities reflects Moody's assessment that there is a high likelihood that the issuer will default on its obligation to repay the current rated principal of the Class Q-1 Securities at its maturity, which may result in significant losses to Class Q-1 Securities holders. Moody's notes that the Class C overcollateralization test is currently failing, with a reported level of 93.89% versus the test level of 108.72%. As a result, no distributions are currently being made to the Income Notes, including the Income Notes component of the Class Q-1 Securities which represents $2.5 million out of the $2.6 million Class Q-1 Securities original balance. Considering the current level of collateral coverage, Moody's moreover believes that there is little prospect of receiving a return of a significant amount of principal on the Income Notes at the maturity of the deal. In such a case, it is similarly unlikely that the Class Q-1 Securities will receive significant distributions of principal with respect to its Income Notes component at the maturity of the deal. SUMMER STREET: Fitch Downgrades Ratings on Three 2005-HG1 Notes --------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed two classes of notes issued by Summer Street 2005-HG1, Ltd./LLC as a result of continued credit deterioration in the portfolio since Fitch's last rating action in August 2008. Approximately 84.5% of the portfolio has been downgraded since the last review. As of the December 2009 trustee report, defaulted securities, as defined in the transaction's governing documents, now comprise 39.9% of the portfolio, compared to 1.5% at last review. The current balance of the portfolio is $903.5 million including $360.9 million in defaulted securities. The downgrades to the portfolio have left approximately 69.1% of the portfolio (including defaults) with a Fitch derived rating below investment grade and 55.2% with a rating in the 'CCC' rating category or lower, compared to 18.8% and 5.5%, 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 - Amended' 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, and B notes have the credit enhancement levels of 10.4%, -0.5% and -2.9%, respectively. As of the December 2009 distribution date, approximately 13.1% of the class A-1 notes and 0.5% of the class A-2 notes' original balances have paid down. While a portion of the interest proceeds is used to pay down the class A-1 and A-2 notes, on a pro rata basis, considering the large outstanding amounts of these classes and the credit quality of the portfolio, default appears inevitable at or prior to maturity. Further, Fitch believes that even in the acceleration scenario, although likely to result in higher recovery to class A-1 and lower recovery to classes A-2 and B, class A-1's default is inevitable. The class C and class D notes are no longer receiving interest distributions and are not expected to receive any proceeds going forward. Therefore, the class C and class D notes have been affirmed at 'C' to indicate Fitch's belief that default is inevitable at or prior to maturity. Summer Street 2005-HG1 is a cash flow collateralized debt obligation, which closed on Dec. 15, 2005, and is managed by GE Asset Management Incorporated. The current portfolio is comprised of subprime RMBS (56.1%), Alternative-A RMBS (27.4%), prime RMBS (12.3%), commercial mortgage backed securities (2.7%), and other commercial and consumer ABS (1.4%). Fitch has taken various rating actions on these classes as indicated: -- $812,626,396 class A-1 notes downgraded to 'C' from 'BB+'; -- $99,520,380 class A-2 notes downgraded to 'C' from 'CCC'; -- $21,500,000 class B notes downgraded to 'C' from 'CC'; -- $15,896,737 class C notes affirmed at 'C'; -- $14,215,933 class D notes affirmed at 'C'. UBS AG: Moody's Downgrades Rating on Series 2760 Notes to 'Caa2' ---------------------------------------------------------------- Moody's Investors Service announced that it has downgraded its rating of UBS AG Fixed Rate Credit Linked Notes Series 2760, credit-linked notes referencing CDX.NA.IG.4, a static index of corporate entities. The rating action is: * US$10,000,000 Fixed Rate Credit Linked Notes Series 2760, Downgraded to Caa2; previously on Feb 5, 2009 Downgraded to B3 Moody's explained that the rating action taken is the result of the deterioration of the credit quality of the reference portfolio. The 10 year weighted average rating factor of the portfolio, not adjusted with forward looking measures, has deteriorated from 1149 from the last rating action to 1548, equivalent to an average rating of the current portfolio of B1. Since the last rating action on the transaction, on February 4, 2009, the subordination of the rated tranche has been reduced due to credit events on Idearc Inc., Lear Corporation, and CIT Group, Inc. These credit events led to a decrease of approximately 1.1% of the subordination of the tranche. The portfolio has the highest industry concentrations in Retail (8%), Insurance (8%), Telecommunications (6%), and Oil & Gas (6%). Z-1 CDO: Fitch Downgrades Ratings on Class B Notes to 'D/RR5' ------------------------------------------------------------- Fitch Ratings has downgraded and withdrawn the ratings on the remaining class of notes from Z-1 CDO 1996 Ltd., a collateralized bond obligation managed by Patriarch Partners, LLC. Patriarch was named replacement manager in May 2003 after the transaction entered an event of default due to insufficient overcollateralization ratios. This review was conducted under the framework described in the report 'Global Structured Finance Rating Criteria'. Recovery Ratings were assigned in compliance with Fitch's 'Criteria for Structured Finance Recovery Ratings' and 'Global Surveillance Criteria for Corporate CDOs'. The downgrade reflects the issuer's failure to redeem the full principal amount due to the class B notes at the maturity date in November 2008. The entire $21 million principal amount of the class B notes remained unpaid following the final maturity date. Since the last review, discounted interest proceeds to the class B notes represented about 13% of their outstanding principal amount, which is consistent with Fitch's 'RR5' Recovery Rating. Fitch subsequently withdraws the rating of the class B notes since the notes have matured. Fitch has taken this rating action: -- $21,000,000 class B notes downgraded to 'D/RR5' from 'C/DR5' and withdrawn. * Fitch Downgrades Ratings on 25 Preferred Securities of US REIT ---------------------------------------------------------------- Fitch Ratings has downgraded 25 preferred securities ratings among its rated U.S. real estate investment trusts following revisions to the global rating criteria for hybrid securities that Fitch recently published ('Rating Hybrid Securities', Dec. 29, 2009). The downgrades are one notch from current levels for the affected REITs. The Issuer Default Ratings and senior debt ratings for each of these REITs are unaffected. The new criteria apply to hybrid instruments issued by companies in all sectors including banks, insurers, non-bank financial institutions and all non- financial corporate entities. The new criteria also provide guidance on how Fitch will rate and notch hybrid securities at different stages in the 'life cycle' of an instrument. Given the performing nature of nearly all of these securities, all but one of the affected REIT preferred stock instruments are considered to be in Stage 1 of their life cycle. In the REIT sector, preferred securities are generally uniform in nature, in that they are perpetual and have cumulative coupon deferral options exercisable by the issuer. Therefore, they have readily triggered loss-absorption provisions in a going concern (i.e. without triggering a general corporate default and without effect upon senior obligations). These instruments will also typically, though not always, have low recovery prospects in liquidation or bankruptcy given the deeply subordinated nature of these securities. Despite these elements, rated REIT preferred securities do not have mandatory loss-absorption triggers such as permanent write-down of principal or contingent conversion into common equity. Therefore, Fitch will typically rate performing REIT preferred securities two notches below the IDR. The new criteria does provide for wider notching relative to the IDR if Fitch believes that the probability of the activation of loss-absorbing features has materially increased or if future preferred stock issuances contain mandatory loss-absorption triggers. For issuers with IDRs of 'B+' or lower, Fitch undertakes a bespoke analysis of instrument recovery prospects and thus overrides the generic notching set forth above. In conjunction with this criteria revision, Fitch has downgraded the preferred securities ratings for these issuers: AMB Property Corp. -- Preferred stock to 'BBB-' from 'BBB'. Boston Properties, Inc. -- Preferred stock (indicative) to 'BB+' from 'BBB-'. BRE Properties, Inc. -- Preferred stock to 'BB+' from 'BBB-'. Camden Property Trust -- Preferred stock (indicative) to 'BB+' from 'BBB-'. Digital Realty Trust, Inc. -- Preferred stock to 'BB+' from 'BBB-' -- Convertible preferred stock to 'BB+' from 'BBB-'. Duke Realty Corporation -- Preferred stock to 'BB+' from 'BBB-'. EastGroup Properties, Inc. -- Preferred stock (indicative) to 'BB+' from 'BBB-'. Equity Residential -- Preferred stock to 'BBB' from 'BBB+' -- Convertible preferred stock to 'BBB' from 'BBB+'. Federal Realty Investment Trust -- Preferred stock to 'BBB-' from 'BBB'. HCP, Inc. -- Preferred stock to 'BB+' from 'BBB-'. Health Care REIT -- Preferred stock to 'BB+' from 'BBB-'. Healthcare Realty Trust -- Preferred stock (indicative) to 'BB+' from 'BBB-'. Highwoods Properties, Inc. -- Preferred stock to 'BB' from 'BB+'. Home Properties, Inc. -- Preferred stock (indicative) to 'BB+' from 'BBB-'. Liberty Property Limited Partnership -- Preferred operating units to 'BBB-' from 'BBB'. Mack-Cali Realty Corp. -- Preferred stock to 'BB+' from 'BBB-'. Nationwide Health Properties -- Preferred stock to 'BB+' from 'BBB-'. ProLogis -- Preferred stock to 'BB+' from 'BBB-'. Realty Income Corporation -- Preferred stock to 'BBB-' from 'BBB'. Regency Centers Corp. -- Preferred stock to 'BBB-' from 'BBB'. Simon Property Group, Inc. -- Preferred stock to 'BBB' from 'BBB+'. Ventas, Inc. -- Preferred stock (indicative) to 'BB+' from 'BBB-'. Vornado Realty Trust -- Preferred stock to 'BB+' from 'BBB-'. The preferred stock rating of this issuer has already been downgraded as part of an issuer-specific review process: -- National Retail Properties, Inc. preferred stock downgraded on Jan. 8, 2010 to 'BB+' from 'BBB-'. In addition, the 'A-' preferred stock rating of Public Storage and 'BBB-' preferred stock rating of PS Business Parks, Inc. are unaffected. The capital structures of these two issuers consist primarily of preferred stock and common equity, with limited amounts of debt. Because of the limited debt in each issuer's capital structure and Fitch's expectation that these issuers will not incur substantial amounts of debt in the future due to their financing strategies, preferred stock recoveries are likely to be significantly higher. Therefore, a one-notch difference between the IDR and preferred stock rating for these two issuers remains consistent with Fitch's criteria. However, Fitch may consider future preferred stock rating changes for these issuers if they were to incur higher amounts of debt. These preferred stock ratings remain unchanged, as these ratings are currently two notches below each respective issuer's IDR and are therefore consistent with current criteria: Apartment Investment and Management Company -- Preferred stock at 'BB-'. Brandywine Realty Trust -- Preferred Stock at 'BB-'. Colonial Properties Trust -- Preferred stock at 'BB-'. Colonial Realty Limited Partnership -- Preferred units at 'BB-'. Developers Diversified Realty Corporation -- Preferred stock at 'B+'. First Industrial Realty Trust, Inc. -- Preferred stock at 'B'. Host Hotels & Resorts, Inc. -- Preferred stock at 'B'. SL Green Realty Corp. -- Preferred stock at 'BB-'. The preferred stock ratings of these issuers were not affected by any change in standardized notching, due to their IDRs of 'B+' or lower: -- GGP Limited Partnership preferred stock at 'C/RR6' -- iStar Financial preferred stock at 'C/RR6'. * S&P Downgrades Ratings on 18 Classes From Five RMBS Transactions ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 18 classes from five residential mortgage-backed securities transactions backed by U.S. subprime, Alternative-A, and prime jumbo mortgage loan collaterals issued between 1996 and 2004. In addition, S&P affirmed its ratings on 47 classes from these transactions and 11 additional deals. 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. For subprime and Alt-A transactions, 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 its base-case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 120% of S&P's base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in its view, withstand approximately 150% of its base-case loss assumptions under its analysis. For the prime transactions in order to maintain an 'AAA' rating, S&P assesses whether the class can withstand approximately 235% of its base-case loss assumptions, subject to individual caps and qualitative factors applied to specific transactions. To maintain a rating in categories between 'B' (the base case) and 'AAA', S&P assesses whether the class can withstand losses exceeding the base-case assumption at a percentage specific to each rating category, up to 235% for a 'AAA' rating. For example, S&P would assess whether one class could withstand approximately 130% of its base-case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 155% of S&P's base-case loss assumptions to maintain a 'BBB' rating. 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 Chase Funding Loan Acquisition Trust Series 2003-C2 Series 2003-C2 Rating ------ Class CUSIP To From ----- ----- -- ---- B-3 161542DH5 B BBB+ B-4 161542DJ1 CC BB+ B-5 161542DK8 CC B+ NovaStar Mortgage Funding Trust Series 2002-3 Series 2002-3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 66987XBU8 CCC AAA M-1 66987XBW4 CC AA+ M-2 66987XBX2 CC A M-3 66987XBY0 CC B P 66987XCA1 CCC AAA Renaissance Home Equity Loan Trust 2003-3 Series 2003-3 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2A 759950BH0 A- A M-2F 759950BJ6 A- A M-3 759950BK3 B+ A- M-4 759950BL1 B- BBB+ M-5 759950BM9 CC BBB Southern Pacific Secured Assets Corp. Series 1997-2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1F 843590BQ2 BBB AA M-2F 843590BS8 B A- Structured Asset Securities Corp. Series 2004-9XS Rating ------ Class CUSIP To From ----- ----- -- ---- 1-M1 86359BRF0 CCC BB- 2-M2 86359BRQ6 B BB+ 1-M2 86359BRG8 CC CCC Ratings Affirmed Chase Funding Loan Acquisition Trust Series 2003-C2 Series 2003-C2 Class CUSIP Rating ----- ----- ------ IA 161542CY9 AAA IIA 161542DB8 AAA IA-X 161542CZ6 AAA IIA-X 161542DC6 AAA IA-P 161542DA0 AAA IIA-P 161542DD4 AAA B-1 161542DF9 AA+ B-2 161542DG7 A+ Chase Mortgage Finance Trust, Series 2003-S2 Series 2003-S2 Class CUSIP Rating ----- ----- ------ A-1 16162T3Q7 AAA A-2 16162T3R5 AAA A-3 16162T3S3 AAA A-4 16162T3T1 AAA A-X 16162T3U8 AAA A-P 16162T3V6 AAA M 16162T3X2 AA+ B-1 16162T3Y0 AA B-2 16162T3Z7 BBB+ B-3 16162T4A1 BB+ B-4 16162T4B9 B First Matrix RM Trust Series 2003-A Class CUSIP Rating ----- ----- ------ A 32082HAB2 AAA X 32082HAA4 AAA Home Equity Loan Trust 1997-B Series 1997-B Class CUSIP Rating ----- ----- ------ B-1 393505UL4 AA+ Home Equity Loan Trust 1998-C Series 1998-C Class CUSIP Rating ----- ----- ------ B-1 393505H54 AA Home Improvement & Home Equity Loan Trust 1996-C Series 1996-C Class CUSIP Rating ----- ----- ------ HE:B-1 393505NU2 AA Home Improvement & Home Equity Loan Trust 1996-D Series 1996-D Class CUSIP Rating ----- ----- ------ HE:B-1 393505QF2 A Home Improvement & Home Equity Loan Trust 1996-F Series 1996-F Class CUSIP Rating ----- ----- ------ HE:B-1 393505SB9 AA+ Home Improvement & Home Equity Loan Trust 1997-C Series 1997-C Class CUSIP Rating ----- ----- ------ HE B-1 393505VP4 AA Home Improvement & Home Equity Loan Trust 1997-D Series 1997-D Class CUSIP Rating ----- ----- ------ HE: B-1 393505WL2 A+ NovaStar Mortgage Funding Trust Series 2002-3 Series 2002-3 Class CUSIP Rating ----- ----- ------ A-2 66987XBV6 AAA AIO 66987XBZ7 AAA Renaissance Home Equity Loan Trust 2003-3 Series 2003-3 Class CUSIP Rating ----- ----- ------ A 759950BD9 AAA M-1 759950BG2 AA Southern Pacific Secured Assets Corp. Series 1997-2 Class CUSIP Rating ----- ----- ------ A-4 843590BL3 AAA A-5 843590BM1 AAA Structured Asset Securities Corp. Series 1998-8 Class CUSIP Rating ----- ----- ------ A-3 863572UX9 AAA M-1 863572UU5 AA M-2 863572UV3 A Structured Asset Securities Corp. Series 2004-9XS Class CUSIP Rating ----- ----- ------ 1-A4A 86359BRB9 AAA 1-A4B 86359BRH6 AAA 1-A4C 86359BRJ2 AAA 1-A4D 86359BRK9 AAA 1-A5 86359BRC7 AAA 1-A6 86359BRD5 AAA 2-A1 86359BRE3 AAA 2-M1 86359BRP8 AA+ WMC Mortgage Loan Trust 1998-1 Series 1998-1 Class CUSIP Rating ----- ----- ------ M-1 92928XAB9 AAA B 92928XAD5 B * S&P Downgrades Ratings on 36 Tranches From Seven CLO Deals ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 36 tranches from seven U.S. collateralized loan obligation transactions and removed them from CreditWatch with negative implications. The affected tranches have a total issuance amount of $2.275 billion. S&P also affirmed its ratings on seven tranches from three transactions and removed five of them from CreditWatch negative. The downgrades reflect two primary factors: * The application of S&P's updated corporate collateralized debt obligation criteria; and * Deterioration in the credit quality of certain CLO tranches due to increased exposure to obligors that have either defaulted or experienced downgrades into the 'CCC' range. The downgrades of five classes from four transactions resulted from S&P's application of the largest-obligor default test, which is one of the supplemental stress tests S&P introduced as part of S&P's criteria update. The affirmations reflect S&P's view that the tranches have adequate credit support to maintain the current ratings according to S&P's updated criteria. S&P's analysis incorporated the asset recovery assumptions in S&P's new CDO criteria. To provide additional transparency into the assumptions S&P used in this analysis, S&P is providing the tiered recovery rates S&P assumed for the cash flows generated for the 'AAA' liability rating for each transaction (see table 1). Table 1 Tiered Recovery Rate For 'AAA' Liability Rating Transaction Recovery rate (%) ----------- ----------------- Archimedes Funding IV (Cayman) Ltd. 49.1 Dryden VII-Leveraged Loan CDO 2004 44.2 Duane Street CLO II Ltd. 42.4 Four Corners CLO II Ltd. 45.8 Gale Force 1 CLO Ltd. 41.8 Gale Force 4 CLO Ltd. 41.5 Marquette Park CLO Ltd. 44.1 sssVenture III CDO Ltd. 42.9 S&P will continue to review the remaining transactions with ratings placed on CreditWatch following S&P's corporate CDO criteria update and resolve the CreditWatch status of the affected tranches. Rating Actions Rating ------ Transaction Class To From ----------- ----- -- ---- Archimedes Funding IV A-2 AA+ AA+/Watch Neg (Cayman) Ltd. Dryden VII-Leveraged Loan A-1LA AAA AAA/Watch Neg CDO 2004 Dryden VII-Leveraged Loan A-2L AA AA/Watch Neg CDO 2004 Dryden VII-Leveraged Loan A-3F A A/Watch Neg CDO 2004 Dryden VII-Leveraged Loan A-1L AA+ AAA/Watch Neg CDO 2004 Dryden VII-Leveraged Loan A-1LB AA+ AAA/Watch Neg CDO 2004 Dryden VII-Leveraged Loan B-1L BBB- BBB/Watch Neg CDO 2004 Dryden VII-Leveraged Loan B-2L B+ BB/Watch Neg CDO 2004 Duane Street CLO II Ltd. A1 Term AA+ AAA/Watch Neg Duane Street CLO II Ltd. A2 Revolv AA+ AAA/Watch Neg Duane Street CLO II Ltd. B A+ AA/Watch Neg Duane Street CLO II Ltd. C BB+ A/Watch Neg Duane Street CLO II Ltd. D B+ BBB/Watch Neg Duane Street CLO II Ltd. E CCC- BB/Watch Neg Four Corners CLO II Ltd. A AA+ AAA/Watch Neg Four Corners CLO II Ltd. B AA AA/Watch Neg Four Corners CLO II Ltd. C BBB+ A/Watch Neg Four Corners CLO II Ltd. D BB+ BBB/Watch Neg Four Corners CLO II Ltd. E CCC- BB/Watch Neg Gale Force 1 CLO Ltd. A1 AA+ AAA/Watch Neg Gale Force 1 CLO Ltd. A2 AA+ AAA/Watch Neg Gale Force 1 CLO Ltd. B1 A+ AA/Watch Neg Gale Force 1 CLO Ltd. B2 A+ AA/Watch Neg Gale Force 1 CLO Ltd. C BBB+ A/Watch Neg Gale Force 1 CLO Ltd. D1 BB+ BBB/Watch Neg Gale Force 1 CLO Ltd. D2 BB+ BBB/Watch Neg Gale Force 1 CLO Ltd. E CCC+ BB/Watch Neg Gale Force 4 CLO Ltd. A-1A AA+ AAA/Watch Neg Gale Force 4 CLO Ltd. A-1B A+ AAA/Watch Neg Gale Force 4 CLO Ltd. B A AA/Watch Neg Gale Force 4 CLO Ltd. C BBB- A/Watch Neg Gale Force 4 CLO Ltd. D BB BBB/Watch Neg Gale Force 4 CLO Ltd. E B BB/Watch Neg Marquette Park CLO Ltd. A AA AAA/Watch Neg Marquette Park CLO Ltd. B BBB+ A/Watch Neg Marquette Park CLO Ltd. C BB+ BBB/Watch Neg Marquette Park CLO Ltd. D CCC+ BB/Watch Neg Venture III CDO Ltd. A-1 AA+ AAA/Watch Neg Venture III CDO Ltd. A-2 A- AA/Watch Neg Venture III CDO Ltd. C B+ BBB/Watch Neg Venture III CDO Ltd. Def B BB+ A/Watch Neg Ratings Affirmed Transaction Class Rating ----------- ----- ------ Archimedes Funding IV (Cayman) Ltd. A-1 AAA Dryden VII-Leveraged Loan CDO 2004 U Combo AAA * S&P Downgrades Ratings on 37 Classes From 11 RMBS Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 37 classes from 11 residential mortgage-backed securities transactions backed by U.S. first-lien high loan-to-value mortgage loan collateral issued from 2002-2007. In addition, S&P affirmed its ratings on 91 classes from 10 of the downgraded transactions and nine other transactions. 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, 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 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 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 its 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 first liens on one- to four-family residential properties. Rating Actions RAMP Series 2002-RZ3 Trust Series 2002-RZ3 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 760985NE7 CC BB RAMP Series 2004-RZ1 Trust Series 2004-RZ1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 760985U58 BB BBB+ M-4 760985U66 CCC BBB M-5 760985U74 CC BBB- RAMP Series 2004-RZ3 Trust Series 2004-RZ3 Rating ------ Class CUSIP To From ----- ----- -- ---- M-I-2 76112BBC3 BB- A M-I-3 76112BBD1 CCC BBB+ M-I-4 76112BBE9 CC BBB M-II-4 76112BBM1 B- BBB RAMP Series 2005-RZ3 Trust Series 2005-RZ3 Rating ------ Class CUSIP To From ----- ----- -- ---- M-7 76112BA83 CC CCC RAMP Series 2006-RZ1 Trust Series 2006-RZ1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 76112BZ37 AA- AA+ M-4 76112BZ52 B BB M-5 76112BZ60 CCC B M-6 76112BZ78 CCC B- M-7 76112BZ86 CC CCC RAMP Series 2006-RZ2 Trust Series 2006-RZ2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 75156UAB3 BB+ AA A-3 75156UAC1 BB A M-1 75156UAD9 CCC B M-2 75156UAE7 CCC B- M-3 75156UAF4 CC CCC RAMP Series 2006-RZ5 Trust Series 2006-RZ5 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 749239AD1 BBB AAA A-3 749239AE9 BBB AAA RAMP Series 2007-RZ1 Trust Series 2007-RZ1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 74923PAB9 B- AAA A-3 74923PAC7 B- AAA M-1S 74923PAD5 CCC BB M-2S 74923PAE3 CCC B+ M-3S 74923PAF0 CCC B M-4 74923PAG8 CC B- M-5 74923PAH6 CC CCC Structured Asset Securities Corp. Series 2003-7H Rating ------ Class CUSIP To From ----- ----- -- ---- A1-III 86359ANL3 AA- AAA A-IO-III 86359ANM1 AA- AAA Structured Asset Securities Corp. Series 2004-5H Rating ------ Class CUSIP To From ----- ----- -- ---- B2 86359BJF9 BB- A B3 86359BJG7 CC BBB B4 86359BJJ1 CC BB B5 86359BJK8 CC B Structured Asset Securities Corporation Series 2004-18H Rating ------ Class CUSIP To From ----- ----- -- ---- B1 86359BF30 CCC AA B2 86359BF48 CC A B3 86359BF55 CC BBB Ratings Affirmed RAMP Series 2002-RZ2 Trust Series 2002-RZ2 Class CUSIP Rating ----- ----- ------ M-2 760985KX8 A RAMP Series 2002-RZ3 Trust Series 2002-RZ3 Class CUSIP Rating ----- ----- ------ M-1 760985NC1 AA+ M-2 760985ND9 A RAMP Series 2004-RZ1 Trust Series 2004-RZ1 Class CUSIP Rating ----- ----- ------ A-I-6 760985T84 AAA A-I-7 760985T92 AAA A-II 760985U25 AAA M-1 760985U33 AA M-2 760985U41 A RAMP Series 2004-RZ3 Trust Series 2004-RZ3 Class CUSIP Rating ----- ----- ------ A-I-4 76112BAY6 AAA A-I-5 76112BAZ3 AAA A-I-6 76112BBA7 AAA M-I-1 76112BBB5 AA M-II-1 76112BBJ8 AA M-II-2 76112BBK5 A M-II-3 76112BBL3 BBB+ RAMP Series 2004-RZ4 Trust Series 2004-RZ4 Class CUSIP Rating ----- ----- ------ A-3 76112BHF0 AAA M-1 76112BHG8 AA+ M-2 76112BHH6 AA- M-3 76112BHJ2 A M-4 76112BHK9 A- M-5 76112BHL7 BBB+ M-6 76112BHM5 BBB M-7 76112BHN3 BBB- B 76112BHQ6 BB RAMP Series 2005-RZ1 Trust Series 2005-RZ1 Class CUSIP Rating ----- ----- ------ A-3 76112BLX6 AAA M-1 76112BLY4 AA+ M-2 76112BLZ1 AA M-3 76112BMA5 AA- M-4 76112BMB3 A+ M-5 76112BMC1 A M-6 76112BMD9 A- M-7 76112BME7 BBB+ M-8 76112BMF4 BB M-9 76112BMG2 B+ B-1 76112BMH0 CCC RAMP Series 2005-RZ2 Trust Series 2005-RZ2 Class CUSIP Rating ----- ----- ------ A-I-4 76112BWE6 AAA A-II 76112BWF3 AAA M-1 76112BWG1 AA+ M-2 76112BWH9 AA M-3 76112BWJ5 AA- M-4 76112BWK2 BBB- M-5 76112BWL0 BB- M-6 76112BWM8 CCC RAMP Series 2005-RZ3 Trust Series 2005-RZ3 Class CUSIP Rating ----- ----- ------ A-2 76112BZY9 AAA A-3 76112BZZ6 AAA M-1 76112BA26 AA+ M-2 76112BA34 AA+ M-3 76112BA42 BBB M-4 76112BA59 BB M-5 76112BA67 BB- M-6 76112BA75 B- RAMP Series 2005-RZ4 Trust Series 2005-RZ4 Class CUSIP Rating ----- ----- ------ A-2 76112BM72 AAA A-3 76112BM80 AAA M-1 76112BM98 AA+ M-2 76112BN22 BBB M-3 76112BN30 BB M-4 76112BN48 B M-5 76112BN55 B- RAMP Series 2006-RZ1 Trust Series 2006-RZ1 Class CUSIP Rating ----- ----- ------ A-2 76112BY87 AAA A-3 76112BY95 AAA M-1 76112BZ29 AA+ M-3 76112BZ45 BBB RAMP Series 2006-RZ3 Trust Series 2006-RZ3 Class CUSIP Rating ----- ----- ------ A-2 75156MAB1 AAA A-3 75156MAC9 AAA RAMP Series 2006-RZ4 Trust Series 2006-RZ4 Class CUSIP Rating ----- ----- ------ A-2 75156XAB7 AAA A-3 75156XAC5 AAA RAMP Series 2006-RZ5 Trust Series 2006-RZ5 Class CUSIP Rating ----- ----- ------ A-1 749239AA7 AAA A-1A 749239AB5 AAA A-1B 749239AC3 AAA RAMP Series 2007-RZ1 Trust Series 2007-RZ1 Class CUSIP Rating ----- ----- ------ A-1 74923PAA1 AAA Structured Asset Securities Corp. Series 2002-4H Class CUSIP Rating ----- ----- ------ 1-A 86358RWY9 AAA 1-AP 86358RWZ6 AAA 1-AX 86358RXA0 AAA 2-AX 86358RXD4 AAA Structured Asset Securities Corp. Series 2002-10H Class CUSIP Rating ----- ----- ------ 1-A 86358RJ57 AAA 1-AP 86358RJ65 AAA 1-AX 86358RJ73 AAA Structured Asset Securities Corp. Series 2003-7H Class CUSIP Rating ----- ----- ------ A1-I 86359ANG4 AAA A1-II 86359ANH2 AAA A-IO-F 86359ANJ8 AAA A-OP-F 86359ANK5 AAA Structured Asset Securities Corp. Series 2004-5H Class CUSIP Rating ----- ----- ------ A3 86359BHZ7 AAA A4 86359BJA0 AAA A-PO 86359BJD4 AAA A-IO1 86359BJB8 AAA A-IO2 86359BJC6 AAA B1 86359BJE2 AA Structured Asset Securities Corporation Series 2004-18H Class CUSIP Rating ----- ----- ------ A-4 86359BE72 AAA A-5 86359BG54 AAA A-IO1 86359BE80 AAA A-I02 86359BE98 AAA * S&P Downgrades Ratings on 73 Tranches From 15 CLO Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 73 tranches from 15 U.S. collateralized loan obligation transactions and removed them from CreditWatch with negative implications. The affected tranches have a total issuance amount of $4.827 billion. S&P also affirmed its ratings on 15 tranches from six transactions and removed 13 of them from CreditWatch negative. The downgrades reflect two primary factors: * The application of S&P's updated corporate collateralized debt obligation criteria; and * Deterioration in the credit quality of certain CLO tranches due to increased exposure to obligors that have either defaulted or experienced downgrades into the 'CCC' range. The downgrades of 15 classes from 10 transactions resulted from S&P's application of the largest-obligor default test, which is one of the supplemental stress tests S&P introduced as part of its criteria update. S&P's analysis incorporated the asset recovery assumptions in its new CDO criteria. To provide additional transparency into the assumptions S&P used in its analysis, S&P is providing the tiered recovery rates S&P assumed for the cash flows generated for the 'AAA' liability rating for each transaction (see table). Table 1 Tiered Recovery Rate For 'AAA' Liability Rating Transaction Recovery rate (%) ----------- ----------------- ACA CLO 2006-2 Ltd. 42.9 Baker Street CLO II Ltd. 46.3 Black Diamond CLO 2005-2 Ltd. 52.1 Emporia Preferred Funding III Ltd. 41.6 Gale Force 3 CLO Ltd. 41.1 HarbourView CLO 2006-1 45.6 Hillmark Funding Ltd. 47.2 JFIN CLO 2007 Ltd. 42.6 Landmark V CDO Ltd. 43.0 LCM IV Ltd. 48.4 Loomis Sayles CLO I Ltd. 41.9 NYLIM Flatiron CLO 2003-1 Ltd. 47.3 OWS CLO I Ltd. 44.5 Rampart CLO 2007 Ltd. 44.8 Tralee CDO I Ltd. 44.4 S&P will continue to review the remaining transactions with ratings placed on CreditWatch following S&P's corporate CDO criteria update and resolve the CreditWatch status of the affected tranches. Rating Actions Rating ------ Transaction Class To From ----------- ----- -- ---- ACA CLO 2006-2 Ltd. A-1 AA+ AAA/Watch Neg ACA CLO 2006-2 Ltd. A-2 A+ AA/Watch Neg ACA CLO 2006-2 Ltd. B BBB+ A/Watch Neg ACA CLO 2006-2 Ltd. C BB+ BBB/Watch Neg ACA CLO 2006-2 Ltd. D B+ BB/Watch Neg Baker Street CLO II Ltd. A-1 AA+ AAA/Watch Neg Baker Street CLO II Ltd. A-2 AA+ AAA/Watch Neg Baker Street CLO II Ltd. B A+ AA/Watch Neg Baker Street CLO II Ltd. C BBB+ A/Watch Neg Baker Street CLO II Ltd. D B+ BB+/Watch Neg Baker Street CLO II Ltd. E CCC- B+/Watch Neg Black Diamond CLO 2005-2 Ltd. A AAA AAA/Watch Neg Black Diamond CLO 2005-2 Ltd. B AA AA/Watch Neg Black Diamond CLO 2005-2 Ltd. C A A/Watch Neg Black Diamond CLO 2005-2 Ltd. D BB+ BBB/Watch Neg Black Diamond CLO 2005-2 Ltd. E-1 CCC- BB/Watch Neg Black Diamond CLO 2005-2 Ltd. E-2 CCC- BB/Watch Neg Emporia Preferred Funding III Ltd. A-1 AA+ AAA/Watch Neg Emporia Preferred Funding III Ltd. A-2 AA+ AAA/Watch Neg Emporia Preferred Funding III Ltd. A-3 AA+ AAA/Watch Neg Emporia Preferred Funding III Ltd. B AA- AA/Watch Neg Emporia Preferred Funding III Ltd. C BBB+ A/Watch Neg Emporia Preferred Funding III Ltd. D BB+ BBB/Watch Neg Emporia Preferred Funding III Ltd. E B+ BB/Watch Neg Gale Force 3 CLO Ltd. A-1 AA AAA/Watch Neg Gale Force 3 CLO Ltd. A-2 AA AAA/Watch Neg Gale Force 3 CLO Ltd. B-1 A AA/Watch Neg Gale Force 3 CLO Ltd. B-2 A AA/Watch Neg Gale Force 3 CLO Ltd. C BBB+ A/Watch Neg Gale Force 3 CLO Ltd. D BB+ BBB/Watch Neg Gale Force 3 CLO Ltd. E CCC- BB/Watch Neg HarbourView CLO 2006-1 A-1 AA AAA/Watch Neg HarbourView CLO 2006-1 A-2 A+ AA/Watch Neg HarbourView CLO 2006-1 B BBB+ A/Watch Neg HarbourView CLO 2006-1 C B+ BBB/Watch Neg HarbourView CLO 2006-1 D CCC- BB/Watch Neg Hillmark Funding Ltd. A-1 AA+ AAA/Watch Neg Hillmark Funding Ltd. A-2 A+ AA/Watch Neg Hillmark Funding Ltd. B BBB+ A/Watch Neg Hillmark Funding Ltd. C B+ BBB-/Watch Neg Hillmark Funding Ltd. D CCC+ BB/Watch Neg JFIN CLO 2007 Ltd. A-1A AAA AAA/Watch Neg JFIN CLO 2007 Ltd. B AA AA/Watch Neg JFIN CLO 2007 Ltd. A-1B AA+ AAA/Watch Neg JFIN CLO 2007 Ltd. A-2 AA+ AAA/Watch Neg JFIN CLO 2007 Ltd. C BBB+ A/Watch Neg JFIN CLO 2007 Ltd. D BB+ BBB-/Watch Neg Landmark V CDO Ltd. A-1L AA+ AAA/Watch Neg Landmark V CDO Ltd. A-2L A+ AA/Watch Neg Landmark V CDO Ltd. A-3L BBB+ A-/Watch Neg Landmark V CDO Ltd. B-1L BB+ BBB/Watch Neg Landmark V CDO Ltd. B-2L CCC- BB/Watch Neg LCM IV Ltd. A-1 AA+ AAA/Watch Neg LCM IV Ltd. A-2 AA+ AAA/Watch Neg LCM IV Ltd. B AA AA/Watch Neg LCM IV Ltd. C BBB+ A/Watch Neg LCM IV Ltd. D B+ BBB-/Watch Neg Loomis Sayles CLO I Ltd. A A+ AAA/Watch Neg Loomis Sayles CLO I Ltd. B A- AA/Watch Neg Loomis Sayles CLO I Ltd. C BBB- A/Watch Neg Loomis Sayles CLO I Ltd. D B+ BBB/Watch Neg Loomis Sayles CLO I Ltd. E CCC- BB/Watch Neg NYLIM Flatiron CLO 2003-1 Ltd. A-1 AA+ AAA/Watch Neg NYLIM Flatiron CLO 2003-1 Ltd. A-2 AA+ AAA/Watch Neg NYLIM Flatiron CLO 2003-1 Ltd. B AA AA/Watch Neg NYLIM Flatiron CLO 2003-1 Ltd. C BBB+ A+/Watch Neg NYLIM Flatiron CLO 2003-1 Ltd. D-1 BB+ BBB/Watch Neg NYLIM Flatiron CLO 2003-1 Ltd. D-2 BB+ BBB/Watch Neg OWS CLO I Ltd. A-2 A+ AA-/Watch Neg OWS CLO I Ltd. A-1 AA+ AA+/Watch Neg OWS CLO I Ltd. B B B/Watch Neg OWS CLO I Ltd. C CCC CCC/Watch Neg OWS CLO I Ltd. D CCC- CCC-/Watch Neg OWS CLO I Ltd. X-1 BB+ BB+/Watch Neg OWS CLO I Ltd. X-2 BB+ BB+/Watch Neg Rampart CLO 2007 Ltd. A AA AAA/Watch Neg Rampart CLO 2007 Ltd. B A+ AA/Watch Neg Rampart CLO 2007 Ltd. C BBB+ A/Watch Neg Rampart CLO 2007 Ltd. D BB+ BBB/Watch Neg Rampart CLO 2007 Ltd. E CCC+ BB/Watch Neg Tralee CDO I Ltd. A-1 AA+ AAA/Watch Neg Tralee CDO I Ltd. A-2a A+ AA/Watch Neg Tralee CDO I Ltd. A-2b A+ AA/Watch Neg Tralee CDO I Ltd. B BBB+ A/Watch Neg Tralee CDO I Ltd. C BB+ BBB/Watch Neg Tralee CDO I Ltd. D CCC- BB/Watch Neg Ratings Affirmed Transaction Class Rating ----------- ----- ------ Black Diamond CLO 2005-2 Ltd. X AAA Landmark V CDO Ltd. X AAA * S&P Puts Ratings on Six CDO Transactions on CreditWatch Negative ------------------------------------------------------------------ Standard & Poor's Ratings Services placed 12 ratings on six synthetic collateralized debt obligation transactions on CreditWatch with negative implications and lowered two ratings on one transaction. All seven deals are U.S. synthetic CDO transactions. The CreditWatch negative placements reflect negative rating migration in the respective portfolios and synthetic rated overcollateralization ratios that had fallen below 100% as of the December month-end run. The downgrades -- which affected a synthetic CDO backed by residential mortgage-backed securities -- reflected SROC ratios below 100% as of the December month-end run and at a 90-day forward run. Ratings Lowered ABACUS 2005-2 Ltd. Rating ------ Class To From ----- -- ---- A-1 BB- BB+ A-2 CCC- CCC Ratings Placed On Creditwatch Negative Archstone Synthetic CDO II SPC Rating ------ Class To From ----- -- ---- A-1 BBB/Watch Neg BBB A-2 BBB/Watch Neg BBB B-1 BBB-/Watch Neg BBB- B-3 BBB-/Watch Neg BBB- D-2 B+/Watch Neg B+ Newport Waves CDO Series 2 Rating ------ Class To From ----- -- ---- A3-$LMS BB-/Watch Neg BB- A7-$LS CCC+/Watch Neg CCC+ Newport Waves CDO Series 4 Rating ------ Class To From ----- -- ---- A3-YLS BB/Watch Neg BB Newport Waves CDO Series 5 Rating ------ Class To From ----- -- ---- A3-$LMS BB/Watch Neg BB Newport Waves CDO Series 7 Rating ------ Class To From ----- -- ---- A1-ELS BB/Watch Neg BB A3-ELS B-/Watch Neg B- Newport Waves CDO Series 9 Rating ------ Class To From ----- -- ---- A1-GLS BB/Watch Neg BB * S&P Puts Ratings on Three US Tranches on CreditWatch Negative --------------------------------------------------------------- Standard & Poor's Ratings Services placed its ratings on three tranches from two U.S. corporate-backed synthetic collateralized debt obligation transactions on CreditWatch with negative implications. At the same time, S&P lowered its ratings on 23 tranches from 13 U.S. synthetic CDO transactions backed by residential mortgage-backed securities. In addition, S&P lowered its rating on one tranche from one U.S. synthetic CDO transaction backed by commercial mortgage-backed securities, and it remains on CreditWatch negative. S&P affirmed its rating on one tranche from one corporate-backed synthetic CDO transaction and removed it from CreditWatch negative. The CreditWatch placements and downgrades followed S&P's monthly review of U.S. synthetic CDO transactions. The CreditWatch negative placements reflect negative rating migration in the respective portfolios and synthetic rated overcollateralization ratios that had fallen below 100% as of the December month-end run. The downgrades affecting RMBS-backed synthetic CDOs had SROC ratios below 100% as of the December month-end run and at a 90-day forward run. Rating Actions ABACUS 2004-3, Ltd. Rating ------ Class To From ----- -- ---- Class B A- AA- Class C CCC- BB- ABSpoke 2005-IA, Ltd. Rating ------ Class To From ----- -- ---- ABSpoke B+ BB+ ABSpoke 2005-VA, Ltd. Rating ------ Class To From ----- -- ---- ABSpoke CCC- CCC ABSpoke 2005-VIA, Ltd. Rating ------ Class To From ----- -- ---- VFRN CCC+ BB+ Aphex Capital NSCR 2007-5, Ltd. Rating ------ Class To From ----- -- ---- A-1FX BBB+/Watch Neg AA/Watch Neg Dublin Bay Limited Rating ------ Class To From ----- -- ---- A B- B-/Watch Neg Eirles Two Ltd. 210 Rating ------ Class To From ----- -- ---- Series 210 CCC- B- Eirles Two Ltd. 209 Rating ------ Class To From ----- -- ---- Series 209 CCC- B+ Eirles Two Ltd. 208 Rating ------ Class To From ----- -- ---- Series 208 CCC+ BB+ Eirles Two Ltd. 211 Rating ------ Class To From ----- -- ---- 211 CCC- CCC+ High Grade Structured Credit 2004-1 Limited Rating ------ Class To From ----- -- ---- C BBB BBB+ D CCC+ B+ Ixion PLC 33 Rating ------ Class To From ----- -- ---- Notes CCC+ B+ Newport Waves CDO 1 Rating ------ Class To From ----- -- ---- A1-$LS BB/Watch Neg BB A3-$LMS BB-/Watch Neg BB- North Street Referenced Linked Notes 2005-8 Limited Rating ------ Class To From ----- -- ---- A CCC CCC+ North Street Referenced Linked Notes, 2003-5 Limited Rating ------ Class To From ----- -- ---- A-1 AA+ AAA A-2 AA+ AAA B-1 AA+ AAA B-2 AA+ AAA STACK LTD Rating ------ Class To From ----- -- ---- B-USD BBB- A B-EUR BBB- A C-USD CCC+ BB C-JPY CCC+ BB D-USD CCC- CCC+ D-JPY CCC- CCC+ UBS AG US$25 mil AMP A CLO 2007-2 Notes Rating ------ Class To From ----- -- ---- Notes B+/Watch Neg B+ ********* 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 ***