/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/100221.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, February 21, 2010, Vol. 14, No. 51 Headlines ANSONIA CDO: S&P Downgrades Ratings on 13 Classes of CRE CDOs BANK OF NORTH: S&P Puts 'BB+/B' Ratings on Eight Bond Issuances BARRAMUNDI CDO: S&P Downgrades Ratings on Eight Notes to 'D' BLUE BELL: Fitch Takes Rating Actions on Various Classes BRAZOS HIGHER: Fitch Maintains Ratings on Student Loans BRAZOS STUDENT: Fitch Maintains Ratings on Student Loans BRAZOS STUDENT: Fitch Maintains Ratings on Various Student Loans CABELA'S CREDIT: Fitch Rates 'BB+' Rating on Class D Notes CANADIAN REGIONAL: Moody's Downgrades Ratings on Class A Notes CAPITAL ONE: Fitch Affirms Ratings on Class C Notes at 'BB' CBRE REALTY: S&P Downgrades Ratings on 11 2007-1 CRE CDOs CITIGROUP COMMERCIAL: Moody's Reviews Ratings on 2006-FL2 Certs. CITIZENS BANK: S&P Downgrades Ratings on Two Bond Issues CITY OF FLINT: Fitch Assigns 'BB+' Rating on Hospital Bonds COMM 2006-FL12: Moody's Reviews Ratings on 44 Classes of Notes COMPUCREDIT ACQUIRED: Moody's Downgrades Ratings on Three Notes CORTS TRUST: S&P Downgrades Rating on $27 Mil. Certificates CREDIT SUISSE: Moody's Reviews Ratings on Nine Pooled Classes CREDIT SUISSE: Moody's Reviews Ratings on 13 2004-C3 Certificates CREDIT SUISSE: S&P Cuts Ratings on Two 2001-FL2 Certs. to 'D' CRESS 2008-1: S&P Downgrades Ratings on 15 Classes of CRE CDO CSFB 2006-TFL2: Moody's Reviews Ratings on 17 Classes of Notes E*TRADE ABS: Fitch Downgrades Ratings on Three Classes of Notes EMPIRE FUNDING: S&P Downgrades Ratings on Six Classes to 'D' FAIRFAX FINANCIAL: Fitch Assigns 'BB-' Rating on Preferred Shares FIRST COMMERCIAL: S&P Puts 'BB+/B' Ratings on Two Bond Issuances FMC REAL: S&P Downgrades Ratings on Nine Classes of 2005-1 CRE CDO G-STAR 2004-4: Fitch Downgrades Ratings on Six Classes of Notes GTP TOWERS: Fitch Rates Two Classes of Series 2010-1 Notes HARVEY, ILLINOIS: Fitch Cuts Rating on $30MM 2007 GO Bonds to B HOMETOWN COMMERCIAL: S&P Downgrades Ratings on Eight Certificates ILLINOIS FINANCE: Fitch Assigns 'BB-' Rating on $33.3 Mil. Bonds INA CBO: Fitch Downgrades Ratings on Two Classes of 1999-1 Notes INMOBILIARIA FUMISA: Moody's Confirms 'Ba2' Rating on Bonds JP MORGAN: Moody's Reviews Ratings on 15 2004-C3 Certificates LAKESIDE CDO: Fitch Downgrades Ratings on Four Classes of Notes LEE COUNTY: S&P Downgrades Long-Term Ratings to 'BB' MERRILL LYNCH: Fitch Affirms 'CCC/RR1' Rating on Class F Notes MERRILL LYNCH: Moody's Takes Rating Actions on 2005-MKB2 Notes MORGAN STANLEY: S&P Withdraws 'CCC-' Rating on Class II Notes MRU STUDENT: Moody's Downgrades Ratings on Four 2007-A Tranches N-STAR REL: S&P Downgrades Ratings on 12 2006-1 CRE CDOs N-STAR REL: S&P Downgrades Ratings on Seven N-Star REL CRE CDO NOMURA CRE: S&P Downgrades Ratings on 16 Classes of 2007-2 CRE CDO PROVIDENT FINANCING: Fitch Puts B+ Rating on 7.405% Jr. Securities REVE SPC: S&P Withdraws 'CCC-' Rating on Class A Notes SCOTTISH RE: S&P Withdraws Ratings on Three XXX Securitizations SENIOR ABS: Fitch Cuts Ratings on $11.6 Mil. Certs. to 'BB/LS4' SIGNUM VERMILION: S&P Withdraws 'B+' Rating on 2007-1 Notes TRINITY HIGHER: Fitch Maintains Ratings on Student Loans * Fitch Puts Ratings on 179 CDO Notes on Negative Watch * S&P Corrects Ratings on 58 Classes From 12 RMBS Transactions * S&P Downgrades Ratings on 18 Classes From Seven RMBS Deals * S&P Downgrades Ratings on 22 Classes From 12 RMBS Transactions * S&P Downgrades Ratings on 45 Classes From Three RMBS Deals * S&P Downgrades Ratings on 52 Tranches From 14 CLO Transactions * S&P Downgrades Ratings on 68 Classes From 14 RMBS Transactions * S&P Downgrades Ratings on 84 Classes From 27 RMBS Transactions * S&P Downgrades Ratings on 156 Classes From 19 RMBS Transactions * S&P Downgrades Ratings on 5,589 Classes From 830 RMBS Deals ********* ANSONIA CDO: S&P Downgrades Ratings on 13 Classes of CRE CDOs ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 13 classes from Ansonia CDO 2007-1 Ltd., a hybrid commercial real estate collateralized debt obligation transaction. Eight of the lowered ratings remain on CreditWatch with negative implications, while S&P removed the remaining five from CreditWatch negative. At the same time, S&P affirmed its ratings on four other classes from the same transaction and removed them from CreditWatch negative. The downgrades primarily reflect S&P's analysis of the transaction following its rating actions on commercial mortgage-backed securities, CRE CDO securities, and resecuritized real estate mortgage investment conduit securities that serve as underlying collateral for Ansonia 2007-1. The underlying securities are from 24 transactions and total $225 million (45% of the total asset balance). Eight ratings on Ansonia 2007-1 remain on CreditWatch negative due to the transaction's exposure to CMBS collateral with ratings on CreditWatch negative ($125 million, 25%). According to the Jan. 19, 2010, trustee report, the collateral for Ansonia 2007-1 consists of credit default swaps referencing 53 CMBS, CRE CDO, and re-REMIC classes ($450 million, 90%) from 51 distinct transactions issued between 2004 and 2007. The collateral also consists of seven CMBS and CRE CDO ($50 million, 10%) classes from seven distinct transactions issued between 2005 and 2006. Ansonia 2007-1 has exposure to these transactions that Standard & Poor's has downgraded: * Ansonia CDO 2006-1 Ltd. (class D; $10 million, 2%); * Banc of America Commercial Mortgage Trust 2006-1 (class J; $10 million, 2%); * GE Commercial Mortgage Corp. Series 2006-C1 (class H; $10 million, 2%); and * ML-CFC Commercial Mortgage Trust 2006-2 (class H; $10 million, 2%). S&P will update or resolve the CreditWatch negative placements on Ansonia 2007-1 in conjunction with S&P's CreditWatch resolutions of the reference CMBS classes. Ratings Lowered And Remaining On Creditwatch Negative Ansonia CDO 2007-1 Ltd. Rating ------ Class To From ----- -- ---- A-1 BBB/Watch Neg AA-/Watch Neg A-2 BB+/Watch Neg BBB+/Watch Neg B BB/Watch Neg BBB-/Watch Neg C B+/Watch Neg BBB-/Watch Neg D B+/Watch Neg BBB-/Watch Neg E B-/Watch Neg BB+/Watch Neg F CCC+/Watch Neg BB+/Watch Neg G CCC/Watch Neg BB/Watch Neg Ratings Lowered And Removed From Creditwatch Negative Ansonia CDO 2007-1 Ltd. Rating ------ Class To From ----- -- ---- H CCC- BB-/Watch Neg J CCC- B+/Watch Neg K CCC- B/Watch Neg L CCC- CCC+/Watch Neg M CCC- CCC/Watch Neg Ratings Affirmed And Removed From Creditwatch Negative Ansonia CDO 2007-1 Ltd. Rating ------ Class To From ----- -- ---- N CCC- CCC-/Watch Neg O CCC- CCC-/Watch Neg P CCC- CCC-/Watch Neg Q CCC- CCC-/Watch Neg BANK OF NORTH: S&P Puts 'BB+/B' Ratings on Eight Bond Issuances --------------------------------------------------------------- Standard & Poor's Ratings Services placed its 'BB+/B' ratings on eight bond issuances that are supported by Bank of North Georgia letters of credit on CreditWatch with negative implications. The ratings on the affected issues are based on the credit and liquidity support that Bank of North Georgia (BB+/Watch Neg/B) provides in the form of LOCs. The LOCs provide for the full and timely payment of interest and principal according to the transactions' terms. The rating actions reflect the Feb. 8, 2010, placement of its long- and short-term counterparty credit ratings on Bank of North Georgia on CreditWatch with negative implications. 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 Placed On Creditwatch Negative BB Auto Land of Roswell LLC $8.735 mil tax var rt secs ser 2003A due 05/01/2023 Rating ------ CUSIP To From ----- -- ---- 05527UAA4 BB+/Watch Neg/B BB+/B Chatham Centre LLC $3.96 mil taxable var rt secs ser 2002 due 03/01/2022 Rating ------ CUSIP To From ----- -- ---- 161875AA7 BB+/Watch Neg/B BB+/B Douglas Cnty $1.7 mil indl dev rev bnds ser 2003 due 11/01/2018 Rating ------ CUSIP To From ----- -- ---- 259025BS2 BB+/Watch Neg/B BB+/B The Exchange at Hammond LLC $17 mil taxable var rt dem bnds ser 2002 due 08/01/2022 Rating ------ CUSIP To From ----- -- ---- 30086RAA2 BB+/Watch Neg/B BB+/B Lock Inns Inc. $3.665 mil taxable var rt secs ser 2003 due 02/01/2023 Rating ------ CUSIP To From ----- -- ---- 53965PAA4 BB+/Watch Neg/B BB+/B Morgan Valley Properties LLC $10.5 mil var/fixed rate taxable prom nts nts ser 2006A due 08/01/2031 Rating ------ CUSIP To From ----- -- ---- 61749XAB1 BB+/Watch Neg/B BB+/B Peachtree Crest Professional Offices LLC $3.825 mil var rt dem bnds ser 2003 due 03/01/2023 Rating ------ CUSIP To From ----- -- ---- 70466SAA6 BB+/Watch Neg/B BB+/B Southeastern Partners Realty I $4.9 mil var rt dem bnds ser 2003 due 11/01/2023 Rating ------ CUSIP To From ----- -- ---- 842016AA5 BB+/Watch Neg/B BB+/B BARRAMUNDI CDO: S&P Downgrades Ratings on Eight Notes to 'D' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings to 'D' on eight classes of notes from Barramundi CDO I Ltd., Cairn High Grade ABS CDO II Ltd., and Zais Investment Grade Ltd. VIII, three hybrid collateralized debt obligation transactions. These rating actions reflect the implementation of S&P's criteria for ratings on CDO transactions that have triggered an event of default and may be subject to acceleration or liquidation. S&P has received notices from the trustees for the three affected transactions stating that the liquidation of the portfolio assets is complete and that the available proceeds were insufficient to pay the noteholders in full. Rating Actions Rating ------ Deal Name Class To From --------- ----- -- ---- Barramundi CDO I Ltd. C D CC Barramundi CDO I Ltd. D D CC Barramundi CDO I Ltd. E D CC Cairn High Grade ABS CDO II Ltd. C D CC Cairn High Grade ABS CDO II Ltd. D D CC Zais Investment Grade Ltd. VIII A-1 D CCC- Zais Investment Grade Ltd. VIII C D CC Zais Investment Grade Ltd. VIII D D CC BLUE BELL: Fitch Takes Rating Actions on Various Classes -------------------------------------------------------- Fitch Ratings has downgraded two classes, affirmed two classes and assigned ratings to one class of notes issued by Blue Bell Funding, Ltd. as a result of continued credit deterioration in the portfolio since Fitch's last rating action in September 2008. As of the Jan. 28, 2010 trustee report, the current balance of the portfolio is approximately $989.7 million. Approximately 68% of the portfolio has been downgraded since September 2008, resulting in approximately 47.4% of the portfolio with a Fitch derived rating below investment grade and 39.1% with a rating in the 'CCC' rating category or below, compared to 15.2% and 8.8%, respectively, at last review. This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Structured Finance CDOs'. The Structured Finance Portfolio Credit Model and Fitch's cash flow model were not used in this review due to the extent of deterioration in the portfolio. Based on the credit quality of the remaining portfolio, Fitch believes default is inevitable for all classes of notes issued by Blue Bell. The Jan. 28, 2010 trustee report shows that $323.8 million, or 32.7%, of the portfolio is considered defaulted by the transaction's governing documents, leaving $666 million of non- defaulted assets. Given low expected recoveries on the defaulted portion of the portfolio, the most senior class of notes, with a current balance of $923.6 million, is significantly undercollateralized. While some excess spread is being used to redeem that class, it is not sufficient to make up for the undercollateralization. Blue Bell is a structured finance collateralized debt obligation that closed on Dec. 5, 2003 and is now managed by Ventras Capital Advisors LLC, replacing Capmark Investments LP in September 2009. The portfolio is composed of residential mortgage-backed securities (58.6%), commercial mortgage-backed securities (28.9%) and SF CDOs (12.5%). The most senior class of notes was initially comprised of remarketable commercial paper notes, which were subsequently put to Citibank, N.A. as funding notes maturing in December 2038. As a result, the commercial paper notes are now marked paid in full, and a long-term rating is issued to the funding notes. Fitch has taken various rating actions on Blue Bell as indicated below: -- Commercial paper notes rated 'F1+' have been paid in full; -- $923,574,089 funding notes assigned 'C'; -- $55,000,000 class A-1 notes downgraded to 'C' from 'CCC'; -- $20,000,000 class A-2 notes downgraded to 'C' from 'CC'; -- $39,562,734 class B notes affirmed at 'C'; -- $22,693,220 class C notes affirmed at 'C'. BRAZOS HIGHER: Fitch Maintains Ratings on Student Loans ------------------------------------------------------- Fitch Ratings currently maintains ratings on student loan asset- backed securities issued by Brazos Higher Education Authority Inc., under an Amended and Restated Indenture, dated as of Feb. 1, 2007, between BHEA and U.S. Bank National Association, as Trustee. BHEA has requested that Fitch confirm its existing ratings on the securities issued under the Indenture upon the adoption and effectiveness of a supplemental indenture. Consistent with its statements on policies regarding rating confirmations in structured finance transactions (Jan. 13, 2009) and student loan confirms (May 8, 2009), Fitch is treating this request as a notification. The Supplement permits BHEA to use funds held under the Indenture that are deposited into the bond redemption fund to purchase outstanding auction rate securities issued under the Indenture at a price less than par. Bondholder participation in any such purchases is voluntary. Amounts held in the bond redemption fund are currently used to redeem securities at par plus accrued interest. Any securities purchased by BHEA at a discount with amounts held in the principal distribution fund will be required to be immediately tendered to the Trustee for cancellation. Based on the information provided, Fitch has determined that the execution and delivery of the Supplement and the changes to the Indenture contained in the Supplement will not have an impact on the existing ratings on the securities issued under the Indenture. This determination only addresses the effect of the Supplement and its changes on the current ratings assigned by Fitch to the securities issued under the Indenture and listed below. It does not address whether this change is permitted by the terms of the documents nor does it address whether it is in the best interests of, or prejudicial to, some or all of the holders of the securities listed. Based on the trust estate's balance sheet as of Sept.30, 2009, if any securities are purchased at a discount under the Supplement the result on the trust estate would likely be positive. Fitch would expect increases in the senior and total parity ratios, as well as the subordination level for the senior securities. Both the composition of the loan pool held under the Indenture and the weighted average coupon rate of the securities are not expected to change materially. The ratings assigned by Fitch are based on the documents and information provided to Fitch by BHEA and other parties and the receipt of final closing documents. Fitch relies on all these parties for the accuracy of such information and documents. Fitch did not audit or verify the truth or accuracy of such information. The student loan asset-backed securities, which include auction rate securities issued under the Indenture by BHEA, are currently rated by Fitch: Brazos Higher Education Authority. (1992-C Indenture) -- Senior series 2002 A-2 bonds 'AAA'; -- Senior series 2002 A-3 bonds 'AAA'; -- Senior series 2003 A-1 bonds 'AAA'; -- Senior series 2007 A-1 bonds 'AAA'; -- Senior series 2007 A-2 bonds 'AAA'; -- Senior series 2007 A-3 bonds 'AAA'; -- Senior series 2007 A-4 bonds 'AAA'; -- Subordinate series 2001 B-1 bonds 'BB'. BRAZOS STUDENT: Fitch Maintains Ratings on Student Loans -------------------------------------------------------- Fitch Ratings currently maintains ratings on student loan asset- backed securities issued by Brazos Student Finance Corporation under an Amended and Restated Indenture dated as of Feb. 1, 2004, between BSFC and U.S. Bank National Association as Trustee. BSFC has requested that Fitch confirm its existing ratings on the securities issued under the Indenture upon the adoption and effectiveness of a supplemental indenture. Consistent with its statements on policies regarding rating confirmations in structured finance transactions (Jan. 13, 2009) and student loan confirms (May 8, 2009), Fitch is treating this request as a notification. The Supplement permits BSFC to use funds held under the Indenture that are deposited in the principal distribution fund to be used to purchase outstanding auction rate securities issued under the Indenture at a price less than par. Bondholder participation in any such purchases is voluntary. Amounts held in the principal distribution fund are currently used to redeem securities at par plus accrued interest. Any securities purchased by BSFC at a discount with amounts held in the principal distribution fund will be required to be immediately tendered to the Trustee for cancellation. Based on the information provided, Fitch has determined that the execution and delivery of the Supplement and the changes to the Indenture contained in the Supplement will not have an impact on the existing ratings on the securities issued under the Indenture. This determination only addresses the effect of the Supplement and its changes on the current ratings assigned by Fitch to the securities issued under the Indenture and listed below. It does not address whether this change is permitted by the terms of the documents nor does it address whether it is in the best interests of, or prejudicial to, some or all of the holders of the securities listed. Based on the trust estate's balance sheet as of Dec. 31, 2009, if any securities are purchased at a discount under the Supplement, the result on the trust would likely be positive. Fitch would expect increases in the senior and total parity ratios of the trust estate, as well as the subordination level for the senior securities. Both the composition of the loan pool held under the Indenture and the weighted average coupon rate of the securities are not expected to change materially. The ratings assigned by Fitch are based on the documents and information provided to Fitch by BSFC and other parties and the receipt of final closing documents. Fitch relies on all these parties for the accuracy of such information and documents. Fitch did not audit or verify the truth or accuracy of such information. BRAZOS STUDENT: Fitch Maintains Ratings on Various Student Loans ---------------------------------------------------------------- Fitch Ratings currently maintains ratings on student loan asset- backed securities issued by Brazos Student Finance Corporation under an Indenture dated as of April 1, 2003, between BSFC and U.S. Bank National Association, as Trustee. BSFC has requested that Fitch confirm its existing ratings on the securities issued under the Indenture upon the adoption and effectiveness of a supplemental indenture. Consistent with its statements on policies regarding rating confirmations in structured finance transactions (Jan. 13, 2009) and student loan confirms (May 8, 2009), Fitch is treating this request as a notification. The Supplement permits BSFC to use funds held under the Indenture that are deposited into the principal distribution fund to be used to purchase outstanding auction rate securities issued under the Indenture at a price less than par. Bondholder participation in any such purchases is voluntary. Amounts held in the principal distribution fund are currently used to redeem securities at par plus accrued interest. Any securities purchased by BSFC at a discount with amounts held in the principal distribution fund will be required to be immediately tendered to the Trustee for cancellation. Based on the information provided, Fitch has determined that the execution and delivery of the Supplement and the changes to the Indenture contained in the Supplement will not have an impact on the existing ratings on the securities issued under the Indenture. This determination only addresses the effect of the Supplement and its changes on the current ratings assigned by Fitch to the securities issued under the Indenture and listed below. It does not address whether this change is permitted by the terms of the documents nor does it address whether it is in the best interests of, or prejudicial to, some or all of the holders of the securities listed. Based on the trust estate's balance sheet as of Sept. 30, 2009, if any securities are purchased at a discount under the Supplement, the result on the trust estate would likely be positive. Fitch would expect increases in the senior and total parity ratios, as well as the subordination level for the senior securities. Both the composition of the loan pool held under the Indenture and the weighted average coupon rate of the securities are not expected to change materially. The ratings assigned by Fitch are based on the documents and information provided to Fitch by BSFC and other parties and the receipt of final closing documents. Fitch relies on all these parties for the accuracy of such information and documents. Fitch did not audit or verify the truth or accuracy of such information. The student loan asset-backed securities, which include auction rate securities issued under the Indenture by BSFC, are currently rated by Fitch: Brazos Student Finance Corporation. (2003-1 Indenture) -- Senior series 2003 A-3 notes 'AAA'; -- Senior series 2003 A-4 notes 'AAA'; -- Subordinate series 2003 B-1 notes 'BB'. CABELA'S CREDIT: Fitch Rates 'BB+' Rating on Class D Notes ---------------------------------------------------------- Fitch rates Cabela's Credit Card Master Note Trust, series 2010-I: -- $255,000,000 class A asset-backed notes 'AAA'; -- $24,000,000 class B asset-backed notes 'A+'; -- $12,750,000 class C asset-backed notes 'BBB+'; -- $8,250,000 class D asset-backed notes 'BB+'. The Rating Outlook is Stable for all classes. Fitch's ratings are based on the underlying receivables pool, available credit enhancement, World's Foremost Bank's underwriting and servicing capabilities, and the transaction's legal and cash flow structures, which employ early redemption triggers. CANADIAN REGIONAL: Moody's Downgrades Ratings on Class A Notes -------------------------------------------------------------- Moody's has downgraded the Class A notes of the Canadian Regional Aircraft Finance Transaction No. 1 1998-A aircraft securitization from B2 to Caa1 and placed these notes on review for further possible downgrade. The action follows the January 5, 2010 Chapter 11 bankruptcy filing of Mesa Air Group Inc. and most of its subsidiaries, including Mesa Airlines, Inc. Mesa Airlines operates eleven CRJ-200 aircraft from CRAFT, which together represent approximately 27% of CRAFT's portfolio by value. Separately, Mesa Airlines also operates fifteen CRJ-900 aircraft pursuant to agreements with RASPRO Trust 2005-1, and as described further below, Moody's does not believe the Mesa bankruptcy filing will have a ratings impact on the notes issued by RASPRO Trust 2005-1 despite this substantial exposure. In its Ch. 11 filing Mesa said that the bankruptcy "will allow Mesa to eliminate excess aircraft to better match its needs and give Mesa the flexibility to align its business to the changing regional airline marketplace" Importantly, the bankruptcy filing specified 77 excess aircraft by type -- 35 Canadian Regional Jet CRJ-200, 12 Embraer Regional Jet ERJ-145, 10 Dash-8, and 20 Beechcraft-1900. The CRAFT transaction includes CRJ-200 aircraft while the RASPRO transaction has no CRJ-200s but rather CRJ-900s and the latter are not cited in Mesa's announcement. This, in brief, accounts for Moody's divergent conclusions regarding the impact of the bankruptcy on the respective transactions. The complete rating action is: Issuer: Canadian Regional Aircraft Finance Transaction No. 1 Trust 1998-A -- Class A Floating Rate Notes due May 15, 2020, downgraded to Caa1 and placed on review for possible downgrade; previously downgraded to B2 on August 17, 2009. The CRAFT transaction is backed by finance and lease cashflows and aircraft values associated with a portfolio of 45 Bombardier- manufactured Dash 8 and Canadian Regional Jet aircraft. In the wake of airline bankruptcies earlier in the deal's life, a substantial number of aircraft in the CRAFT portfolio came off their original finance leases and have spent varying periods of time off-lease, which lowered leasing revenues to date and slowed amortization, and subsequently certain of the re-marketing transactions were concluded as operating leases. Operating leases generate less certain cash flow as compared to full payout finance leases and loans. In its bankruptcy filing, Mesa announced plans to eliminate 35 out of its 48 CRJ-200 aircraft. Therefore, Moody's believe Mesa is likely to keep the 13 CRJ-200 aircraft which are most economic. This leads us to conclude that the leases and/or loan obligations relating to the CRAFT CRJ-200s operated by Mesa Airlines, nine under leveraged leases and two under loan agreements, are likely to be subject to one of these scenarios: the aircraft may be given up by Mesa; the airline may attempt to renegotiate payment terms downward; or some combination of these. The outcome of any of these scenarios will adversely affect CRAFT's future cash-flows. The Notes are currently receiving full interest payments, and have the benefit of support from a liquidity facility if needed. However the Notes are currently slightly behind their Target Balance. Based on Moody's cash flow expectations prior to Mesa Airlines' bankruptcy, in Moody's view the Notes would have remained close to their Target Balance in the near-term. Moody's now conclude the Notes will likely fall further behind and ultimately that cash flows may prove insufficient to fully repay the Notes. Moody's review will focus on refining Moody's analysis as Mesa's plans while operating under bankruptcy become clearer. No Rating Action Expected on Raspro Notes Mesa Airlines operates under leveraged lease agreements fifteen CRJ 900 aircraft from RASPRO Trust 2005-1, approximately 28% of RASPRO's portfolio by value. Nevertheless Moody's at this time does not see Mesa's bankruptcy impacting the ratings of the securities issued by RASPRO. The CRJ-900 aircraft that Mesa Airlines is leasing via RASPRO are relatively new fuel efficient aircraft and are currently in active service under revenue generating contracts with US Airways. No CRJ-900s were designated as 'excess' aircraft in Mesa's announcement and Moody's believe them to be among the most valuable and useful aircraft in Mesa's fleet. RASPRO has three classes of rated securities: Class G Certificates (Aa3), Class B Notes (Aa2) and Preferred Equity Amount (Aa3). The Class B Notes are supported by a guarantee from an affiliate of the Province of Quebec while the other ratings reflect the intrinsic credit of RASPRO's assets and expected cash flow. To date the transaction has performed according to expectations. Finally, it should be noted that the rated RASPRO securities benefits from ample liquidity facilities which in aggregate should be more than sufficient to address any liquidity issues arising as a result of the bankruptcy. Furthermore, each lessee airline, including Mesa, has its own reserve account, a feature which disincents Mesa, to some degree, against defaulting on its obligations. Nevertheless, the outcome of Mesa's reorganization cannot be predicted. Moody's will continue to monitor events for possible impact on the rated securities. CAPITAL ONE: Fitch Affirms Ratings on Class C Notes at 'BB' ----------------------------------------------------------- Fitch Ratings has completed a review of Capital One Cobalt Master Note Trust and affirmed the outstanding ratings: Series 2002-1 -- Class C at 'BB'. Series 2004-1 -- Class C at 'BB'. This review evaluates historical performance of the trust, including an examination of any changes to key metrics and trust composition, as well as an assessment of the total credit enhancement available to each deal. While Fitch does expect certain performance metrics to deteriorate given current economic conditions, Fitch believes the trust has sufficient credit enhancement and continues to perform within Fitch's expectations. Fitch will continue to monitor the state of the collateral and its potential impact on the outstanding notes closely. While Fitch's surveillance efforts are continuous and include a review of monthly servicing reports to monitor transaction performance, more detailed portfolio reviews are conducted periodically. CBRE REALTY: S&P Downgrades Ratings on 11 2007-1 CRE CDOs --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 11 classes from CBRE Realty Finance CDO 2007-1 Ltd., also known as RFC CDO 2007-1, a commercial real estate collateralized debt obligation transaction. S&P removed all 11 ratings from CreditWatch with negative implications. At the same time, S&P affirmed its ratings on three other classes from this transaction. The downgrades follow S&P's analysis of the transaction using its recently updated U.S. CRE CDO criteria, which was the primary driver of its rating actions. S&P's analysis included a review of the current credit characteristics of all of the collateral assets and the transaction's liability structure. According to the Dec. 30, 2009, trustee report, the transaction's current asset pool includes these: * Nineteen whole loans and senior interest loans ($482.9 million, 51.6% of the collateral pool); * Fourteen subordinate interest loans ($235.6 million, 25.2%); * Forty-two CMBS tranches ($205.9 million, 22.0%); * One CRE CDO tranche ($5.0 million, 0.53%); and * Cash ($5.8 million, 0.62%). S&P reviewed and updated its credit estimates for all of the nondefaulted loan assets. S&P based these analyses on its adjusted net cash flow, which S&P derived from the most recent financial data provided by the collateral manager, CW Capital LLC, and the trustee, Bank of America Merrill Lynch, as well as market and valuation data from third-party providers. The trustee report notes nine defaulted loans in the pool ($208.4 million, 22.3%), as well as three defaulted securities ($14.7 million, 1.6%). The amount of defaulted assets has also negatively affected the transaction's three par value and three interest coverage tests, all of which the transaction has failed since November 2009. Standard & Poor's estimated asset-specific recovery rates for the loan assets reported as defaulted, which ranged from 0.00% to 74.8%. S&P based the recovery rates on information from the collateral manager, special servicer, and third-party data providers. The defaulted assets are: * The Crossings first mortgage loan ($35.7 million, 3.8%); * The Country Club Apartments first mortgage loan ($30.7 million, 3.3%); * The Greenbriar Apartments first mortgage loan ($27.4 million, 2.9%); * The North Island Financial first mortgage loan ($24.8 million, 2.7%); * The Riverton Apartments subordinate interest loan ($25.0 million, 2.7%); * The W Hotel & Residences subordinate interest loan ($25.0 million, 2.7%); * The Primera Court I&II and University Court first mortgage loan ($15.8 million, 1.7%); * The Resorts International subordinate interest loan ($13.4 million, 1.4%); * The Motown USA first mortgage loan ($10.5 million, 1.1%); * The Wachovia Bank Commercial Mortgage Trust 2006-C28 CMBS security ($6.0 million, 0.64%); * An LNR CDO Ltd. 2002-1A CRE CDO tranche ($5.0 million, 0.53%); and * A Chase Commercial Mortgage Securities Corp. 2000-2 CMBS security ($3.7 million, 0.39%). Standard & Poor's analyzed the transaction and its underlying collateral assets in accordance with its current criteria, including its updated U.S. CRE CDO criteria. S&P's analysis is consistent with the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative CBRE Realty Finance CDO 2007-1 Collateralized debt obligation Rating ------ Class To From ----- -- ---- A-1 BB+ AAA/Watch Neg A-1R BB+ AAA/Watch Neg A-2 BB- AA-/Watch Neg A-2R BB- AA-/Watch Neg B B BBB+/Watch Neg C CCC BB+/Watch Neg D CCC- BB+/Watch Neg E CCC- BB/Watch Neg F CCC- B+/Watch Neg G CCC- B/Watch Neg H CCC- CCC+/Watch Neg Ratings Affirmed CBRE Realty Finance CDO 2007-1 Collateralized debt obligation Class Rating ----- ------ J CCC- K CCC- L CCC- CITIGROUP COMMERCIAL: Moody's Reviews Ratings on 2006-FL2 Certs. ---------------------------------------------------------------- Moody's Investors Service placed 20 commercial mortgage backed securities classes of Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-FL2 under review for possible downgrade. These include eight pooled classes due to deterioration in the overall performance of the assets in the trust and the 12 non-pooled, or rake, classes due to performance issues specific to the City National Plaza Loan, CarrAmerica National Pool Portfolio Loan, the CarrAmerica CARP Pool Loan, the Radisson Ambassador Plaza Hotel & Casino Loan, and the Snake River Lodge & Spa Loan. There are eight loans remaining in the pool. The largest loan is the City National Plaza loan representing 66% of the pooled balance. There are no loans in special servicing. Moody's review will focus on the performance of the overall pool. Moody's rating action is: -- Class D, $38,790,000, Aaa Placed Under Review for Possible Downgrade; previously on July 17, 2008 Upgraded to Aaa -- Class E, $26,855,000, Aa1 Placed Under Review for Possible Downgrade; previously on July 17, 2008 Upgraded to Aa1 -- Class F, $26,855,000, Aa2 Placed Under Review for Possible Downgrade; previously on July 17, 2008 Upgraded to Aa2 -- Class G, $23,871,000, A1 Placed Under Review for Possible Downgrade; previously on July 17, 2008 Upgraded to A1 -- Class H, $20,887,000, A3 Placed Under Review for Possible Downgrade; previously on November 14, 2006 Assigned A3 -- Class J, $22,379,000, Baa1 Placed Under Review for Possible Downgrade; previously on November 14, 2006 Assigned Baa1 -- Class K, $22,380,000, Baa3 Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Baa3 -- Class L, $23,871,082, Ba3 Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba3 -- Class CNP-1, $10,409,815, Baa3 Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Baa3 -- Class CNP-2, $19,756,741, Ba1 Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba1 -- Class CNP-3, $5,089,327, Ba2 Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba2 -- Class RAM-1, $2,000,000, B1 Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to B1 -- Class RAM-2, $2,400,000, B2 Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to B2 -- Class SRL, $1,100,000, Ba3 Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba3 -- Class CAC-1, $257,664, A3 Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to A3 -- Class CAC-2, $176,519, Baa1 Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Baa1 -- Class CAC-3, $205,253, Baa3 Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Baa3 -- Class CAN-1, $710,989, A3 Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to A3 -- Class CAN-2, $1,054,145, Baa1 Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Baa1 -- Class CAN-3, $2,067,150, Baa3 Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Baa3 CITIZENS BANK: S&P Downgrades Ratings on Two Bond Issues -------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on two bond issues supported by Citizens Bank letters of credit. The long- and short-term components of S&P's rating on Oakland County Economic Development Corp.'s series 2002 bonds are based on its long- and short-term issuer credit ratings on Citizens Bank ('B+/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. Citizens Bank provides credit and liquidity support for the bonds in the form of a LOC. The long- and short-term components of S&P's rating on Dale G. Mitchum M.D. FACS' series 2003 bonds are based on the joint credit and liquidity support that Citizens Bank and Compass Bank ('A+/A- 1') provide in the form of a fronting LOC and a confirming LOC, respectively, assuming a high correlation level. The banks jointly provide for the full and timely payment of the bonds' interest, principal, and purchase price according to the transaction's terms. The rating actions follow the Jan. 29, 2010, lowering of S&P's long-term issuer credit rating on Citizens Bank to 'B+' from 'BB+'. 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 Dale G. Mitchum M.D. FACS US$2.6 mil var/fixed rate taxable secd nts ser 2003 due 10/01/2033 Rating ------ CUSIP To From ----- -- ---- 606700AA0 A+/A-1 AA-/A-1+ Oakland Cnty Econ Dev Corp. US$5 mil var rate dem ltd oblig rev bnds ser 2002 due 08/01/2037 Rating ------ CUSIP To From ----- -- ---- 672523FM4 B+/B BB+/B CITY OF FLINT: Fitch Assigns 'BB+' Rating on Hospital Bonds ----------------------------------------------------------- Fitch Ratings has assigned a 'BB+' rating to the $35,000,000 City of Flint Hospital Building Authority, series 2010, to be issued for the benefit of Hurley Medical Center. In addition, Fitch affirms HMC's approximately $74.1 million of outstanding parity debt at 'BB+'. The Rating Outlook is Stable. The bonds are expected to be priced the week of March 15 through negotiated sale. Bond proceeds will be used to expand and renovate the emergency department, fund a debt service reserve fund, and pay the costs of issuance. Rating Rationale: -- A safety net provider serving the economically depressed Flint, MI, area, HMC continues to show improvement in operating profitability. While operating margin and operating cashflow remain below Fitch 'BBB' category medians, management's attention to revenue cycle and payer contracting has improved pro forma debt service coverage by operating EBITDA to 1.7 times for fiscal 2009 (ended June 30). Coverage has improved consistently from 2006's negative 0.2x and is now just under the 2.3x 'BBB' category median. The relative coverage strength is partly due to HMC's light debt burden. -- While operations have improved consistently over the past three and one-half years, uncertainty regarding the potential for further economic deterioration in the service area and for the continuation of current Medicaid funding levels given the state's budget distress preclude the consideration of positive rating action at this time. -- HMC held approximately $78.6 million in unrestricted cash and investments at fiscal year end, which translated into 84.5 days cash on hand, 8.3x pro forma cushion ratio and 89.4% pro forma cash to debt. All of these ratios exceed the below investment grade medians. -- HMC operates in a competitive marketplace, but has maintained a stable 42.6% market share in its primary service area. Key Rating Drivers: -- Sustained operating profitability through improved expense controls. The demonstrated ability to generate operating cash flow consistent with 'BBB' category medians through the current local and regional economic cycle would be necessary to consider positive rating action. -- Although volumes on the inpatient side continue to mildly decline, outpatient volumes have seen growth. Rating stability depends on the maintenance or growth of the overall level of business. -- Potential changes to Medicaid funding on a national and local level will play a significant role in HMC's ability to continue improving profitability. Any reductions of provider payment rates or restrictions in eligibility will need to be met by programmatic adjustments to maintain an adequate financial profile. Security: The 2010 bonds are secured by net revenues of HMC and a debt service reserve fund. Credit Summary: The 'BB+' rating is supported by HMC's continued financial improvement, adequate liquidity cushion to support HMC's status as a safety net hospital, and low debt burden. HMC has seen year- over-year improvements in operating results over the last four fiscal years, moving from negative $16.8 million in operating income (negative 5.1% operating margin and negative 0.5% operating EBITDA margin) in fiscal 2006 to $309,000 (0.1% and 4.2%, respectively) in fiscal 2009. While these ratios are much improved and generally inline with the 'BIG' medians, they remain below the 'BBB' category medians of 1.1% and 8%, respectively. The operating improvement is attributable to management's turnaround plan which started in fiscal 2007, focusing on case management, revenue cycle optimization, and improving payor contracts, amongst other areas. In the six-month interim period, based solely on the hospital's operations, operating income stood at $959,000 (0.5% and 4.5%, respectively); however, despite the continued progression, profitability has been hampered somewhat by increasing labor size and costs. The operational turnaround has helped stabilize and improve HMC's liquidity position. At fiscal year end, HMC held approximately $78.6 million in unrestricted cash and investments which, based on pro forma debt figures, equates to 84.5 days cash on hand, 8.3x cushion ratio, and 89.4% cash to debt. All of these ratios exceed the below investment grade medians, and generally exceed the 'BBB' category medians. In the interim period, unrestricted funds increased to $82.7 million, pushing these ratios slightly higher. Moreover, these ratios compare favorably, particularly for liquidity relative to debt, given the relatively light debt burden as evidenced by pro forma maximum annual debt service (MADS) of only 2.4% of total revenues, as well as pro forma debt to capitalization of 57.8% at fiscal year end. Additionally, pro forma operating EBITDA MADS coverage has steadily improved from fiscal 2007 to 2009, going from 1.1x to 1.7x. This ratio exceeds the 'BIG' category median of 1.3x, but falls short of 'BBB' category median of 2.3x. Primary credit concerns include HMC's challenging service area and payor mix, and inherent risks associated with HMC's emergency department construction project. Located in Flint, MI, HMC's service area is characterized by below-average socioeconomic indicators, highlighted by high unemployment and low income levels, and a declining population base. As a result, governmental payors comprise 64.2% of gross revenues, and Medicaid in particular accounts for 36.7%. The high Medicaid load is especially troublesome for ongoing profitability improvement, as the federal and state governments confront large fiscal deficits, which could lead to reimbursement cuts. Finally, HMC, which held a 42.6% primary service area market share in 2008, faces competition in Genesee County from McLaren Regional Medical Center (29.2% market share; revenue bonds rated 'AA-' by Fitch) and Genesys Health System (22.6%). The Stable Outlook reflects HMC's stable market share, essentiality of services, and Fitch's expectation that operating results will remain stable. HMC is a 443-bed acute care teaching hospital located in Flint, MI. HMC had approximately $386.9 million of total revenue in fiscal 2009. All financial data presented is based on the consolidated financials of HMC and Hurley Health Services (HHS), a wholly owned subsidiary that is comprised mainly of physician practices, unless otherwise noted. HMC covenants to provide annual and quarterly disclosure to the Municipal Securities Rulemaking Board's EMMA system. COMM 2006-FL12: Moody's Reviews Ratings on 44 Classes of Notes -------------------------------------------------------------- Moody's Investors Service placed 44 classes of COMM 2006-FL12 under review for possible downgrade. This includes seven pooled classes due to the deterioration in the overall performance of the assets in the trust and 37 non-pooled, or rake, classes due to performance issues specific to the Blackstone/Carr America National Portfolio Loan, the Kerzner International Portfolio Loan, the Hotel del Coronado Loan, the Four Seasons Hualalai Loan, the Blackstone/Carr America CAR Portfolio Loan, the Albertsons Portfolio Loan, the Superstition Springs Loan, the MSREF Hotel Portfolio Loan, the Legacy SoCal Portfolio Loan, the Ft. Lauderdale Grande Loan, The Avenue at Tower City Loan, the Legacy Bayside Loan, the Embassy Suites Loan and the Algonquin Hotel Loan. The certificates are collateralized by 16 floating-rate loans. The largest three loans account for 56.2% of both the trust balance and pooled balance. The pool composition includes hotel properties (59.6% of the pooled balance), office (16.7%), multifamily (13.2%) and anchored retail (10.5%). There is currently one loan in special servicing (Embassy Suites Lake Buena Vista -- 1.3% of the pooled balance). It was transferred to special servicing due to loan maturity. Moody's review will focus on the performance of the overall pool and potential losses from the specially serviced loan and loans approaching near term maturity. Moody's rating action is: -- Class A-J, $507,000,000, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Aa1 -- Class B, $93,684,442, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Aa3 -- Class C, $65,832,310, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to A1 -- Class D, $72,584,342, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to A2 -- Class E, $54,016,255, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to A3 -- Class F, $54,016,254, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Baa2 -- Class G, $51,484,243, Placed Under Review for Possible Downgrade; previously on March 4, 2009 Downgraded to Baa3 -- Class CN1, $11,367,626, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Baa1 -- Class CN2, $7,736,257, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Baa2 -- Class CN3, $7,695,114, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Baa3 -- Class KR1, $70,374,323, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba3 -- Class KR3, $61,985,331, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to B1 -- Class HDC1, $5,000,000, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba1 -- Class FSH1, $6,499,107, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Baa3 -- Class FSH2, $8,666,065, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba1 -- Class FSH3, $9,099,456, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba2 -- Class CA1, $710,904, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to A2 -- Class CA2, $1,105,851, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to A3 -- Class CA3, $1,263,830, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Baa1 -- Class CA4, $1,395,479, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Baa2 -- Class AN3, $5,328,262, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba2 -- Class MSH1, $3,300,000, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba2 -- Class MSH2, $2,900,000, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba3 -- Class MSH4, $4,000,000, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to B2 -- Class FG1, $5,900,000, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Baa1 -- Class FG2, $6,100,000, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba1 -- Class FG3, $4,300,000, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba2 -- Class FG4, $5,500,000, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to B1 -- Class FG5, $7,200,000, Placed Under Review for Possible Downgrade; previously on March 3, 2008 Downgraded to B3 -- Class LS1, $2,500,000, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba1 -- Class LS2, $2,700,000, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba2 -- Class LS3, $2,600,000, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba3 -- Class TC1, $2,900,000, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to B2 -- Class TC2, $2,400,000, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to B3 -- Class LB1, $1,704,091, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba1 -- Class LB2, $1,185,455, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba2 -- Class LB3, $1,185,455, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba3 -- Class ES1, $1,787,950, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to B1 -- Class ES2, $1,688,620, Placed Under Review for Possible Downgrade; previously on March 3, 2009 downgraded to B2 -- Class ES3, $1,489,958, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to B3 -- Class AH1, $1,300,000, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba1 -- Class AH2, $1,300,000, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba2 -- Class AH3, $1,500,000, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to Ba3 -- Class AH4, $1,900,000, Placed Under Review for Possible Downgrade; previously on March 3, 2009 Downgraded to B1 COMPUCREDIT ACQUIRED: Moody's Downgrades Ratings on Three Notes --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings on three classes of asset-backed notes issued by the CompuCredit Acquired Portfolio Business Trust. Additionally, Moody's has placed under review for downgrade four classes of notes issued by the APBT, and all five classes of rated notes issued from the CompuCredit Acquired Portfolio Voltage Master Business Trust. These notes are all backed by revolving pools of primarily sub-prime, unsecured, general purpose VISA credit card receivables. Rationale In June 2009, Moody's downgraded the notes from the APBT and the Voltage MBT citing marked collateral performance degradation and heightened concerns regarding CompuCredit Corporation's funding and liquidity profile as the firm navigated a highly challenging environment for credit card lenders. Since then, collateral performance has deteriorated further than expected and the company's ability to renew one of its key funding sources remains in question. Given the negative secular trend in collateral performance and credit conditions that remain constricted, CompuCredit's ability to obtain necessary funding to replace maturing securitization facilities is increasingly uncertain. In response, CompuCredit has curtailed growth in many areas of the business, including the closure of substantially all of its credit card accounts. For the APBT in particular, the closure of accounts has resulted in higher charge-off rates and lower principal payment rates than when these accounts remained open. Additionally, in February, CompuCredit filed WARN notices with several state labor departments, indicating the company's intention to reduce headcount across its servicing and customer service call centers. Moody's interpret these actions as a necessary response to continued erosion in cash flows from the company's core credit card business. CompuCredit is the servicer for both the APBT and Voltage MBT. Reductions in staffing or disruptions in operations may further compromise the ability of CompuCredit to collect outstanding receivables, potentially leading to higher charge-off rates and lower principal payment rates for both trusts. Continued weakness in collateral payment rates and charge-off rates are unlikely to subside under the backdrop of a weak macroeconomic environment. Beyond these secular challenges, CompuCredit's weakened balance sheet strength and liquidity position increase the vulnerability of collateral performance to an interruption in servicing, or reduced efficacy of existing servicing operations. Moody's ratings action considers the unique structures of the rated notes, doubts and uncertainty surrounding CompuCredit's ability to fund and service their card programs, and the cumulative effects of performance degradation on the likelihood of complete principal and interest repayment to noteholders prior to their legal final maturity dates. CompuCredit Acquired Portfolio Business Trust For the APBT, the closure of accounts in early 2009 contributed substantially to the mid-year spike in the charge-off rate at nearly 40%. Charge-off rates have since subsided, but remain elevated at just above 20%. In addition to higher charge-offs, the trust's payment rate steadily declined throughout the year. As of December 2009, the APBT principal payment rate was 2.4%, approximately 33% below its year-ago level. The combination of account closures eliminating cardholder utility, and the macroeconomic environment of persistently high unemployment, reduces the likelihood of a reversal in these negative performance trends. The potential for discontinuity in servicing further amplifies the downside risks to collateral performance. With the payment rate remaining weak, the current pro-rata allocation of available principal collections to the APBT Class A- 1, A-2, A-3, and A-4 notes makes the complete return of principal to these Class A noteholders prior to their January 2014 legal final maturity date increasingly uncertain. The Class A noteholders' main sources of credit protection are the Class B subordinate notes and over-collateralization. As of December, the combination of these amounts totaled 58.5% of the notes outstanding plus the over-collateralization amount. If this percentage falls below 20%, the priority of principal payments among the Class A notes will switch from pro rata to sequential. Early amortization, therefore, would increase the likelihood that the senior Class A-1 notes would be fully repaid. Principal payments to Class B noteholders, however, are subordinated to the Class A noteholders and are therefore likely to sustain significant principal losses. CompuCredit Acquired Portfolio Voltage Master Business Trust The accounts in the Voltage MBT, for which CompuCredit is one of three equal partners, have not been closed, and continue to exhibit relatively stable purchase activity. Although the accounts in Voltage MBT remain open, charge-offs rose during 2009. During January, the charge-off rate reached an all-time high of 25.6%. Current delinquency rates also remain high, and under the backdrop of persistent unemployment are likely to remain at elevated levels throughout 2010. The Voltage MBT principal payment rate has also been dropping. The January payment rate of 3.3% establishes a new all-time low point for this trust. Repayment of principal by the legal final maturity date becomes less likely if the payment rate continues to weaken, especially if it coincides with a weakening in the purchase rate, or rise in the charge-off rate. If the ongoing operation of the credit card program becomes unprofitable or unfeasible, the closure of cardholder accounts could ensue resulting in a further deleterious effect on both the charge-off rate and the payment rate of the trust. As with the APBT, CompuCredit acts as servicer on the Voltage MBT accounts, exposing the trust's collateral performance to the negative effects of potential servicing discontinuity. The Voltage MBT trust has performance-based amortization features related to deterioration in the payment rate or net yield that in many negative performance scenarios will sequentially accelerate the return of principal to Class A noteholders. As a result of structural features unique to this trust, Class B noteholders are currently receiving an outsized portion of principal collections and could be repaid within the next two years ahead of the Class A notes. However, if the transaction breaches an amortization trigger, the Class B notes fall subordinate to all Class A noteholders, jeopardizing the ultimate return of principal to Class B noteholders before the legal final maturity date. Over the past year, the transaction's cushion above these performance- based triggers has eroded. In its review of outstanding notes of both the APBT and the Voltage MBT, Moody's will assess CompuCredit's ability to address current and prospective pressures on its liquidity profile, the impact of downsized servicing operations on collections efficacy, the relative strength of each transaction's unique structural features, and the outlook for collateral performance in the context of the macroeconomic environment. The complete rating actions are: Ratings Downgraded Issuer: CompuCredit Acquired Portfolio Business Trust * (Amounts listed approximate issuance outstanding) -- $14,137,000 Class A-1 Series 2004-One Asset Backed Notes, Downgraded to Ba2 from Baa3; previously on June 5, 2009 downgraded to Baa3 from Baa2 -- $6,463,000 Class A-2 Series 2004-One Asset Backed Notes, Downgraded to B1 from Ba3; previously on June 5, 2009 downgraded to Ba3 from Ba2 -- $8,252,000 Class B Series 2004-One Asset Backed Notes, Downgraded to Ca from Caa3; previously on February 19, 2009 downgraded to Caa3 from B2 Under Review For Possible Downgrade Issuer: CompuCredit Acquired Portfolio Business Trust * (Amounts listed approximate issuance outstanding) -- $14,137,000 Class A-1 Series 2004-One Asset Backed Notes, rated Ba2 -- $6,463,000 Class A-2 Series 2004-One Asset Backed Notes, rated B1 -- $3,732,000 Class A-3 Series 2004-One Asset Backed Notes, rated B2; previously on June 5, 2009 downgraded to B2 from B1 -- $3,352,000 Class A-4 Series 2004-One Asset Backed Notes, rated Caa1; previously on June 5, 2009 downgraded to Caa1 from B3 Issuer: CompuCredit Acquired Portfolio Voltage Master Business Trust * (Amounts listed approximate issuance outstanding) -- $94,345,000 Class A-1 Series 2006-1 Asset Backed Notes, rated Ba1; previously on June 5, 2009 downgraded to Ba1 from Baa2 -- $22,410,000 Class A-2 Series 2006-1 Asset Backed Notes, rated Ba3; previously on June 5, 2009 downgraded to Ba3 from Ba2 -- $20,169,000 Class A-3 Series 2006-1 Asset Backed Notes, rated B3; previously on June 5, 2009 downgraded to B3 from B1 -- $38,096,000 Class A-4 Series 2006-1 Asset Backed Notes, rated Caa2; previously on June 5, 2009 downgraded to Caa2 from B3 -- $4,044,000 Class B Series 2006-1 Asset Backed Notes, rated Caa3; previously on February 19, 2009 downgraded to Caa3 from Ba2 CompuCredit, is an originator and servicer of sub-prime credit card receivables. CompuCredit is a wholly-owned subsidiary of CompuCredit Holdings Corporation, headquartered in Atlanta, GA. In addition to credit cards, the company provides the under-served consumer credit market with a variety of other credit and related financial services products. As of September 30, 2009, CompuCredit Holdings Corporation had reported assets of approximately $729 million. CORTS TRUST: S&P Downgrades Rating on $27 Mil. Certificates ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the $27 million corporate-backed trust securities certificates issued by CorTs Trust for Xerox Capital Trust I's series B to 'BB' from 'BB+' and removed it from CreditWatch with negative implications, where it was placed on Oct. 6, 2009. The rating on the certificates is dependent solely on the rating on the underlying security, the $27 million 8% Xerox Capital Trust I Series B capital securities due Feb. 1, 2027. The rating actions reflect the Feb. 8, 2010, lowering of the rating on the underlying security to 'BB' from 'BB+', and its removal from CreditWatch with negative implications. CREDIT SUISSE: Moody's Reviews Ratings on Nine Pooled Classes ------------------------------------------------------------- Moody's Investors Service placed the ratings of nine pooled classes and one non-pooled, or rake, class of Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2003-CK2 on review for possible downgrade. The pooled classes were placed on review due to higher expected losses for the pool resulting from realized and anticipated losses from loans in special servicing, concerns about refinancing risk associated with loans approaching maturity in an adverse environment and a decline in loan diversity. The non-pooled Class GLC, which is secured by a B-note on the Great Lakes Crossing Mall ($78.1 million A-note -- 11.5% of the pool), was placed on review for possible downgrade due to a decline in property performance. Great Lakes Crossings Mall is a 1.4 million square foot value oriented shopping center located in Auburn Hills, Michigan. Cash flow, occupancy and tenant sales have exhibited a downward trend since Moody's last review. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the January 15, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 31% to $679.5 million from $988.2 million at securitization. The Certificates are collateralized by 81 mortgage loans ranging in size from less than 1% to 11.5% of the pool, with the top ten non- defeased loans representing 45% of the pool. Fifteen loans, representing 19% of the pool, have defeased and are collateralized with U.S. Government securities. Twelve loans, representing 9% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Six loans have been liquidated from the pool, resulting in an aggregate realized loss of $8.1 million (40% loss severity on average). Four loans, representing 10% of the pool, are currently in special servicing. The largest specially serviced loan is the 2300 Imperial Building Loan ($26.5 million -- 3.9% of the pool), which is secured by a 157,225 square foot office building located in El Segundo, California. The loan was transferred to special servicing in November 2009 due to a payment default. The remaining three specially serviced loans are secured by a mix of retail and office properties. Moody's review will focus on the performance of the overall pool and potential losses from specially serviced loans. Moody's rating action is: -- Class E, $12,353,000, Aaa on review for possible downgrade; previously on September 25, 2008 upgraded to Aaa -- Class F, $12,353,000, Aa2 on review for possible downgrade; previously on September 25, 2008 upgraded to Aa2 -- Class G, $19,764,000, A2 on review for possible downgrade; previously on September 25, 2008 upgraded to A2 -- Class H, $14,824,000, Baa2 on review for possible downgrade; previously on September 25, 2008 upgraded to Baa2 -- Class J, $17,294,000, Ba1 on review for possible downgrade; previously on April 11, 2003 assigned Ba1 -- Class K, $17,294,000, Ba2 on review for possible downgrade; previously on April 11, 2003 assigned Ba2 -- Class L, $4,941,000, Ba3 on review for possible downgrade; previously on April 11, 2003 assigned Ba3 -- Class N, $6,176,000, B2 on review for possible downgrade; previously on April 11, 2003 assigned B2 -- Class O, $4,941,000, B3 on review for possible downgrade; previously on April 11, 2003 assigned B3 -- Class GLC, $3,230,863, Baa3 on review for possible downgrade; previously on April 11, 2003 assigned Baa3 CREDIT SUISSE: Moody's Reviews Ratings on 13 2004-C3 Certificates ----------------------------------------------------------------- Moody's Investors Service placed 13 classes of Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2004-C3 on review for possible downgrade due to higher expected losses for the pool resulting from anticipated losses from loans in special servicing and increased credit quality dispersion for the remainder of the pool. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the January 15, 2010 distribution date, the transaction's aggregate certificate balance has decreased by approximately 20% to $1.30 billion from $1.64 billion at securitization. The Certificates are collateralized by 157 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 34% of the pool. Twenty-four loans, representing 26% of the pool, have defeased and are secured by U.S. Government securities. Twenty-seven loans, representing 12% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Five loans have been liquidated from the pool, resulting in an aggregate $16.4 million realized loss (48% loss severity). Twenty loans, representing 13% of the pool, are currently in special servicing. At Moody's last review five loans, representing 3% of the pool, were in special servicing. Moody's review will focus on the performance of the overall pool and potential losses from specially serviced loans and other troubled loans. Moody's rating action is: -- Class B, $45,084,000, currently rated Aa2, placed on review for possible downgrade; previously assigned at Aa2 on 10/25/2004 -- Class C, $14,345,000, currently rated Aa3, placed on review for possible downgrade; previously assigned at Aa3 on 10/25/2004 -- Class D, $28,690,000, currently rated A2, placed on review for possible downgrade; previously assigned at A2 on 10/25/2004 -- Class E, $16,395,000, currently rated A3, placed on review for possible downgrade; previously assigned at A3 on 10/25/2004 -- Class F, $20,493,000, currently rated Baa1, placed on review for possible downgrade; previously assigned at Baa1 on 10/25/2004 -- Class G, $16,394,000, currently rated Baa2, placed on review for possible downgrade; previously assigned at Baa2 on 10/25/2004 -- Class H, $22,542,000, currently rated Baa3, placed on review for possible downgrade; previously assigned at Baa3 on 10/25/2004 -- Class J, $8,198,000, currently rated Ba1, placed on review for possible downgrade; previously assigned at Ba1 on 10/25/2004 -- Class K, $6,147,000, currently rated Ba2, placed on review for possible downgrade; previously assigned at Ba2 on 10/25/2004 -- Class L, $8,198,000, currently rated Ba3 placed on review for possible downgrade; previously assigned at Ba3 on 10/25/2004 -- Class M, $6,148,000, currently rated B1, placed on review for possible downgrade; previously assigned at B1 on 10/25/2004 -- Class N, $6,147,000, currently rated Caa1, placed on review for possible downgraded; previously downgraded to Caa1 from B2 on 3/10/2008 -- Class O, $2,050,000, currently rated Caa2, placed on review for possible downgrade; previously downgraded to Caa2 from B3 on 3/10/2008 CREDIT SUISSE: S&P Cuts Ratings on Two 2001-FL2 Certs. to 'D' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its 'AAA' ratings to 'D' on the class A-Y-2 and A-Y-4 interest-only commercial mortgage pass-through certificates from Credit Suisse First Boston Mortgage Securities Corp.'s series 2001-FL2, a U.S. commercial mortgage- backed securities transaction. Concurrently, S&P withdrew its 'AAA' rating on the class A-Y-3 certificates and removed its ratings on all three classes from CreditWatch with negative implications. The downgrades of the class A-Y-2 and A-Y-4 IO certificates reflect recurring and accumulated interest shortfalls. Although the sole remaining asset in the trust, the Hotel Royal Plaza, periodically generates cash flows, according to the special servicer, Archon Group L.P., excess cash flow generated by the property is being remitted to the master servicer, KeyBank Real Estate Capital, to pay down the outstanding servicer's advances, which total approximately $12.5 million. The year ended Dec. 31, 2009, financial statements and the calendar-year 2010 budget provided by Archon reported net income before taxes of approximately $197,000 and $1.1 million, respectively. Archon has indicated that the asset, which is real estate owned, will be marketed for sale in 2011. Upon liquidation, S&P believes it is likely that the accumulated interest shortfalls, currently totaling $2.1 million on the class A-Y-2 and A-Y-4 IO certificates (per the Jan. 15, 2010, trustee remittance report) will be repaid, as these IO certificates are the senior classes in the trust's cash flow waterfall. However, since S&P expects the two IO classes to incur interest shortfalls for an extended period of time, S&P lowered the ratings to 'D'. S&P withdrew its rating on the class A-Y-3 IO certificates because the class is no longer accruing interest. According to the pooling and servicing agreement dated as of Aug. 11, 2001, the A- Y-3 IO class accrues interest with respect to any whole loan that is in a prepayment lockout period. There are currently no whole loans in their prepayment lockout periods. The Hotel Royal Plaza asset, a 394-room, full-service hotel in Lake Buena Vista, Fla., has a $35.0 million trust balance and a total exposure of $47.5 million. The total exposure includes outstanding servicing advances, which consists primarily of repair costs for hurricane damage in prior years. This asset was transferred to Archon on Nov. 16, 2001, and became REO on Sept. 2, 2005. The master servicer, KeyBank, subsequently made a nonrecoverable advance determination in February 2006 on the asset. Archon has stated that it will continue to manage the property and plans to market it for sale in 2011. Archon has indicated that it is in the process of obtaining a new appraisal for the asset. The most recent appraisal valued the property at $31.7 million as of November 2008. Standard & Poor's also rates the outstanding class J, K, L, M, and N certificates from this transaction, which S&P previously lowered to 'D' due to accumulated interest shortfalls incurred by the classes. Ratings Lowered And Removed From Creditwatch Negative Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2001-FL2 Rating ------ Class To From ----- -- ---- A-Y-2 D AAA/Watch Neg A-Y-4 D AAA/Watch Neg Rating Withdrawn And Removed From Creditwatch Negative Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2001-FL2 Rating ------ Class To From ----- -- ---- A-Y-3 NR AAA/Watch Neg NR - Not rated. CRESS 2008-1: S&P Downgrades Ratings on 15 Classes of CRE CDO ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 15 classes from CRESS 2008-1 Ltd., which is a commercial real estate collateralized debt obligation transaction and removed the ratings from CreditWatch negative. The downgrades follow S&P's analysis of the transaction using its recently updated U.S. CRE CDO criteria, which was the primary driver of its rating actions. S&P's analysis included a review of the current credit characteristics of all of the collateral assets and the transaction's liability structure. According to the Jan. 29, 2010, trustee report, the transaction's current asset pool includes these: * 21 whole loans and senior interest loans ($540.4 million, 72.8% of the collateral pool); * 14 subordinate interest loans ($111.5 million, 15.0%); and * Nine commercial mortgage-backed securities tranches ($90.7 million, 12.2%). Standard & Poor's reviewed and updated credit estimates for all of the nondefaulted loan assets. S&P's analyses reflect its adjusted net cash flow, which was derived from the most recent financial data that the collateral manager, Centerline Capital Group Inc. and trustee, Wells Fargo Bank, N.A., provided as well as market and valuation data from third-party providers. There are 10 reported defaulted assets in the pool ($241.7 million, 32.6%), as well as one defaulted security ($15.0 million, 2.0%). Standard & Poor's estimated asset specific recovery rates for the defaulted loan assets, ranging from 0% to 68.4% based on information that the collateral manager, special servicer, and market data provided. The defaulted assets are: * Lembi Hotel Portfolio II whole loan ($58.9 million, 7.9%); * Lembi Marina Portfolio 2 whole loan ($54.6 million, 7.4%); * Lembi Marina Portfolio 1 whole loan ($52.9 million, 7.1%); * Wateridge Plaza A note ($45.6 million, 6.2%); * 400 South Beverly whole loan ($15.8 million, 2.1%); * Wynn Palms subordinated loan ($5.0 million, 0.7%); * 500 Davis Center subordinated loan ($3.0 million, 0.4%); * 400 South Beverly mezzanine loan ($2.8 million, 0.4%); * Foothills Glen Apartments subordinated loan ($1.5 million, 0.2%); * Rancho Vista subordinated loan ($1.5 million, 0.2%); and * MSC 2007-IQ14K security ($15.0 million, 2.0%). According to the trustee report, the deal is passing all coverage tests but failing all four overcollateralization tests. Standard & Poor's analyzed the transaction and its underlying collateral assets in accordance with its current criteria, including its updated U.S. CRE CDO criteria. S&P's analysis is consistent with the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative CRESS 2008-1 Ltd. Floating-rate notes Rating ------ Class To From ----- -- ---- A1 BBB- AAA/Watch Neg A2 BB- AAA/Watch Neg B B AA/Watch Neg C CCC+ A+/Watch Neg D CCC+ A/Watch Neg E CCC A-/Watch Neg F CCC- BBB+/Watch Neg G CCC- BBB/Watch Neg H CCC- BBB-/Watch Neg J CCC- BB+/Watch Neg K CCC- BB/Watch Neg L CCC- BB-/Watch Neg M CCC- B+/Watch Neg N CCC- B/Watch Neg O CCC- B-/Watch Neg CSFB 2006-TFL2: Moody's Reviews Ratings on 17 Classes of Notes -------------------------------------------------------------- Moody's Investors Service placed 17 classes of CSFB 2006-TFL2 under review for possible downgrade. These include nine pooled classes due to the deterioration in the overall performance of the assets in the trust and eight non-pooled, or rake, classes due to performance issues specific to the Argent Hotel Loan, the Beverly Hilton Loan, the NH Krystal Hotels Loan and the Kerzner International Loan. The pooled certificates are collateralized by nine floating-rate loans. In addition, there are two loans (the Sava Portfolio Loan and the Fundamental Portfolio Loan) secured by healthcare properties that are cross-collateralized with each other but not with the remaining nine loans in the trust. There are no loans currently in special servicing. Moody's review will focus on the performance of the overall pool and potential losses from loans approaching near term maturity. Moody's rating action is: -- Class C, $41,000,000, Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to A2 -- Class D, $33,000,000, Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Baa1 -- Class E, $25,000,000, Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Baa2 -- Class F, $19,000,000, Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Baa3 -- Class G, $19,000,000, Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Ba1 -- Class H, $19,000,000, Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Ba2 -- Class J, $20,000,000, Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Ba3 -- Class K, $22,000,000, Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to B1 -- Class L, $16,300,000, Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to B2 -- Class KER-C, $37,284,410, Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Ba1 -- Class KER-D, $45,953,035, Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Ba2 -- Class KER-E, $46,325,879, Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Ba3 -- Class KER-F, $61,612,487, Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to B1 -- Class BEV-A, $11,000,000, Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to B1 -- Class ARG-A, $7,000,000, Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Ba2 -- Class ARG-B, $5,500,000, Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Ba3 -- Class NHK-A, $4,000,000, Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to B2 E*TRADE ABS: Fitch Downgrades Ratings on Three Classes of Notes --------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed three classes of notes issued by E*Trade ABS CDO I, Ltd. as a result of continued credit deterioration in the portfolio since Fitch's last rating action in May 2009. Approximately 45% of the portfolio has been downgraded since the last review. The downgrades to the portfolio have left approximately 63.5% of the portfolio (including defaults) with a Fitch derived rating below investment grade and 35.1% with a rating in the 'CCC' rating category or lower, compared to 55% and 32.3%, 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 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 - Amended'. Based on this analysis, the class A-2 notes' breakeven rate is generally consistent with a 'BB' rating. Although the class A-2 notes have been paid down, 14.7% of the balance outstanding at Fitch's last review, the additional negative migration in the portfolio has increased the credit risk of the notes. Further, given the negative outlook for the performance of the underlying assets, Fitch has assigned a Negative Outlook to this class. Fitch has assigned a Loss Severity rating to class A-2 of 'LS4'. 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. Breakevens for the class B notes are exceeded by SF PCM 'CCC' default level, the lowest level of defaults projected by SF PCM. For this class, Fitch compared the credit enhancement level 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 B notes have a credit enhancement level of -2.7% as compared to the 35.1% of the portfolio considered distressed. Fitch believes that default is inevitable for the class B notes at or prior to maturity and therefore they have been downgraded to 'C'. The class C-1 and C-2 (together class C) notes have received payment in kind (PIK) interest payments, whereby the principal balance of the notes is written up by the amount of interest owed, regularly since the July 2007 distribution date. Fitch does not expect class C to receive any cash interest payments or any principal recovery. These notes have been affirmed at 'C'. The Composite Securities were originally composed of $1.5 million of class C-1 notes and $3.5 million of preference shares. Both of these classes are not expected to receive any future distributions. The composite notes have been affirmed at 'C'. E*Trade I is a static cash flow collateralized debt obligation which closed Sept. 26, 2002. The portfolio was initially selected by E*TRADE Global Asset Management, Inc. and is now monitored by Vertical Capital, LLC. The portfolio is primarily comprised of residential mortgage-backed securities (58.9%), CDOs (20.5%), commercial mortgage-backed securities (16.9%), and asset-backed securities (3.7%). Fitch has downgraded, assigned 'LS' ratings, and revised the Rating Outlooks for these classes as indicated: -- $11,600,000 class A-2 notes to 'BB/LS4' from 'BBB'; Outlook to Negative from Stable; -- $25,000,000 class B notes to 'C' from 'CCC/RR4. Fitch affirms and removes Recovery Ratings from these classes: -- $10,919,604 class C-1 notes at 'C'; -- $4,090,830 class C-2 notes at 'C'; -- $5,224,148 Composite Securities at 'C'. EMPIRE FUNDING: S&P Downgrades Ratings on Six Classes to 'D' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings to 'D' on six classes from three U.S. residential mortgage-backed securities transactions issued by Empire Funding Home Loan Owner Trust in 1997 and 1998. The downgrades reflect S&P's assessment of missed interest payments to certificate holders of these classes as of the October 2009 distribution date. S&P lowered all of these ratings from investment-grade categories, including two classes that S&P previously rated 'AAA'. The underlying pool of loans backing these transactions consists of fixed-rate mortgage loans secured by primarily junior (second) liens on one- to four-family residential properties, which Empire Funding Mortgage Corp. originated or purchased. Rating Actions Empire Funding Home Loan Owner Trust 1997-2 Series 1997-2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 291701AQ3 D AA+ Empire Funding Home Loan Owner Trust 1997-3 Series 1997-3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-7 291701AZ3 D AAA Empire Funding Home Loan Owner Trust 1998-2 Series 1998-2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-5 291701CN8 D AAA M-1 291701CR9 D AA+ M-2 291701CS7 D A B-1 291701CT5 D BBB- FAIRFAX FINANCIAL: Fitch Assigns 'BB-' Rating on Preferred Shares ----------------------------------------------------------------- Fitch Ratings has assigned a 'BB-' rating to Fairfax Financial Holdings Limited's cumulative five-year rate reset preferred shares, series E (CDN$200 million completed in February 2010) and series C (CDN$250 million completed in October 2009). The ratings of Fairfax's holding companies and insurance company subsidiaries are not affected by this action. The Rating Outlook is Stable. Fairfax intends to use the net proceeds to augment its cash position, to increase short-term investments and marketable securities held at the holding company level, to retire outstanding debt and other corporate obligations from time to time, and for general corporate purposes. Fitch has assigned a class D designation to the preferred shares that allocates 75% of the principal to adjusted equity in evaluating financial leverage. Fairfax's debt-to-total-capital ratio was 20.9% on Sept. 30, 2009, compared with 23.7% on Dec. 31, 2008. Pro forma for the preferred stock issuances, share repurchases since the third quarter of 2009, and acquisition of Odyssey Re (October 2009), equity credit adjusted debt-to-total capital was about 23.5% at Sept. 30, 2009, below Fitch's expected range of 25%-30%. Earnings-based interest coverage (excluding realized gains) improved to 3.1 times in the first nine months of 2009 from negative coverage in 2008. Fairfax also continues to maintain a sizable amount of holding company cash, short-term investments and marketable securities, estimated at approximately $1.5 billion, pro forma Sept. 30, 2009. Fitch assigns these ratings with a Stable Rating Outlook: Fairfax Financial Holdings Limited (Fairfax) -- CDN$250 million series C preferred shares at 'BB-'; -- CDN$200 million series E preferred shares at 'BB-'. Fitch currently rates Fairfax and subsidiaries: Fairfax -- Issuer Default Rating 'BBB-'; -- Senior debt 'BB+'; -- $182 million 7.75% due April 15, 2012 'BB+'; -- $91 million 8.25% due Oct. 1, 2015 'BB+'; -- $283 million 7.75% due June 15, 2017 'BB+'; -- $144 million 7.375% due April 15, 2018 'BB+'; -- CDN$400 million 7.5% due 2019 'BB+'; -- $92 million 8.3% due April 15, 2026 'BB+'; -- $91 million 7.75% due July 15, 2037 'BB+'. Fairfax, Inc. -- IDR 'BBB-'. Odyssey Re Holdings Corp. -- IDR 'BBB'; -- $50 million series A unsecured due March 15, 2021 'BBB-'; -- $50 million series B unsecured due March 15, 2016 'BBB-'; -- $40 million series C unsecured due Dec. 15, 2021 'BBB-'; -- $225 million 7.65% due Nov. 1, 2013 'BBB-'; -- $125 million 6.875% due May 1, 2015 'BBB-'; -- $50 million series A preferred shares 'BB'; -- $47 million series B preferred shares 'BB'. Odyssey America Reinsurance Corp. -- Insurer Financial Strength (IFS) 'A-'. Crum & Forster Holdings Corp. -- IDR 'BB+'; -- $330 million 7.75% due May 1, 2017 'BB'. Crum & Forster Insurance Group: Crum and Forster Insurance Company Crum & Forster Indemnity Company The North River Insurance Company United States Fire Insurance Company -- IFS 'BBB'. Northbridge Financial Insurance Group: Commonwealth Insurance Company Commonwealth Insurance Company of America Federated Insurance Company of Canada Lombard General Insurance Company of Canada Lombard Insurance Company Markel Insurance Company of Canada Zenith Insurance Company (Canada) -- IFS 'BBB+'. The Rating Outlook is Stable. FIRST COMMERCIAL: S&P Puts 'BB+/B' Ratings on Two Bond Issuances ---------------------------------------------------------------- Standard & Poor's Ratings Services placed its 'BB+/B' ratings on two bond issuances that are supported by First Commercial Bank, Birmingham's letters of credit on CreditWatch with negative implications. The ratings on the affected issues are based on the credit and liquidity support that First Commercial Bank, Birmingham (BB+/Watch Neg/B) provides in the form of LOCs. The LOCs provide for the full and timely payment of interest and principal according to the transactions' terms. The rating actions reflect the Feb. 8, 2010, placement of its long- and short-term counterparty credit ratings on First Commercial Bank, Birmingham on CreditWatch with negative implications. 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 Placed on Creditwatch Negative Lotus Hospitality LLC $5.05 mil taxable var/fxd rt bnds ser 2008 due 05/01/2029 Rating ------ CUSIP To From ----- -- ---- 545708AA7 BB+/Watch Neg/B BB+/B Riverchase Office Road LLC $3.46 mil var rate taxable dem nts ser 2003 due 12/01/2025 Rating ------ CUSIP To From ----- -- ---- 76858PAB3 BB+/Watch Neg/B BB+/B FMC REAL: S&P Downgrades Ratings on Nine Classes of 2005-1 CRE CDO ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on nine classes from FMC Real Estate CDO 2005-1 Ltd., which is a commercial real estate collateralized debt obligation transaction. The downgrades follow S&P's analysis of the transaction using its recently updated U.S. CRE CDO criteria, which was the primary driver of its rating actions. S&P's analysis included a review of the current credit characteristics of all of the collateral assets and the transaction's liability structure. According to the Jan. 27, 2010, trustee report, the transaction's current asset pool includes 10 whole or senior interest loans ($182.0 million, 39.3% of the collateral pool) and 22 subordinate interest loans ($262.2 million, 56.6%). Standard & Poor's reviewed and updated its credit estimates for all of the nondefaulted loan assets. S&P's analyses reflect its adjusted net cash flow, which S&P derived from the most recent financial data that the collateral manager, SCFFI GP LLC, and trustee, Bank of America Merrill Lynch provided, as well as market and valuation data from third-party providers. The trustee report indicated that the pool had nine defaulted assets ($155.2 million, 33.4%). Standard & Poor's estimated asset specific recovery rates for loans reported as defaulted, which ranged from 0% to 90.0%. S&P based its recovery rates on its assessment of information that the collateral manager, special servicers, and third-party data provided. The defaulted assets are: * Greenbriar Mall whole loan ($28.0 million, 6.0%); * Amara Resort whole loan ($20.5 million, 4.4%); * East End Avenue whole loan ($20.0 million, 4.3%); * Park Central subordinated loan ($20.0 million, 4.3%); * Saddleback Apartments whole loan ($17.3 million, 3.7%); * Grande Oasis whole loan ($16.5 million, 3.6%); * Comeau Building whole loan ($13.4 million, 2.9%); * Shops at Grand Avenue mezzanine loan ($10.0 million, 2.2%); and * Shawnee & Bravos subordinated loan ($9.4 million, 2.0%). Standard & Poor's analyzed the transaction and its underlying collateral assets in accordance with S&P's current criteria, including its updated U.S. CRE CDO criteria. S&P's analysis is consistent with the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative FMC Real Estate CDO 2005-1 Ltd. Collateralized debt obligations Rating ------ Class To From ----- -- ---- A-1 A+ AAA/Watch Neg A-2 A- AAA/Watch Neg B BBB+ AA/Watch Neg C BB+ A/Watch Neg D BB- BBB+/Watch Neg E B+ BBB/Watch Neg F B- BBB-/Watch Neg G CCC- BB/Watch Neg H CCC- B/Watch Neg G-STAR 2004-4: Fitch Downgrades Ratings on Six Classes of Notes --------------------------------------------------------------- Fitch Ratings has downgraded six classes and affirmed one class of notes issued by G-Star 2004-4 Ltd. as a result of continued credit deterioration in the portfolio since Fitch's last rating action in August 2008. As of the Jan. 4, 2010 trustee report, the current balance of the portfolio is approximately $373.2 million. Approximately 73.2% of the portfolio has been downgraded since August 2008, resulting in approximately 72.1% of the portfolio with a Fitch derived rating below investment grade and 55% with a rating in the 'CCC' rating category or below, compared to 35.3% and 14.4%, respectively, at last review. This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Structured Finance CDOs'. The Structured Finance Portfolio Credit Model (SF PCM) and Fitch's cash flow model were not used in this review due to the extent of deterioration in the portfolio. Based on the credit quality of the remaining portfolio, Fitch believes default is inevitable for all classes of notes issued by G-Star 2004-4. The Jan. 4, 2010 trustee report shows that $96.5 million, or 25.8%, of the portfolio is considered defaulted by the transaction's governing documents, leaving $276.7 million of non- defaulted assets. Expected recoveries on the defaulted portion of the portfolio are low, resulting in the class A-1 notes being undercollateralized. While there is some excess spread being used to redeem the class A-1 notes, the amount of interest proceeds the portfolio is likely to generate, even after the currently out-of- the-money interest rate swap expires at the end of 2010, would not be sufficient to cover the anticipated principal shortfall. G-Star 2004-4 is a structured finance collateralized debt obligation that closed on Aug. 12, 2004 and is now managed by Cutwater Asset Management, formerly MBIA Capital Management Corp, who assumed this responsibility in November 2009. The portfolio is composed of residential mortgage-backed securities (55.7%), commercial mortgage-backed securities (33.7%), SF CDOs (5.5%) and asset-backed securities (5.1%). Fitch has downgraded and affirmed these ratings as indicated: -- $321,746,531 class A-1 notes downgraded to 'C' from 'BB'; -- $20,000,000 class A-2A notes downgraded to 'C' from 'B'; -- $10,000,000 class A-2B notes downgraded to 'C' from 'B'; -- $12,349,444 class B notes downgraded to 'C' from 'CCC'; -- $8,396,496 class C-1A notes downgraded to 'C' from 'CC'; -- $6,619,037 class C-1B notes downgraded to 'C' from 'CC'. -- $24,000,000 preferred shares affirmed at 'C'. GTP TOWERS: Fitch Rates Two Classes of Series 2010-1 Notes ---------------------------------------------------------- Fitch Ratings rates GTP Towers Issuer, LLC Secured Tower Revenue Notes, Global Tower series 2010-1: -- $200,000,000 class C 'A-'; Outlook Stable; -- $50,000,000 class F 'BB-'; Outlook Stable. HARVEY, ILLINOIS: Fitch Cuts Rating on $30MM 2007 GO Bonds to B ---------------------------------------------------------------- Fitch Ratings takes this rating action on Harvey, Illinois' series 2007 A&B general obligation refunding bonds as part of its continuous surveillance effort: -- Approximately $30 million GO bonds, series 2007A and series 2007B (taxable), downgraded to 'B' from 'BBB-'. The Rating Outlook is Stable. Rating Rationale: -- The downgrade reflects the dramatic increase in the city's already large accumulated general fund deficit and unsuccessful attempts by management to date in addressing fiscal stability. -- Fitch believes measures to eliminate operating deficits and reverse fund balance declines are now more difficult given the weakness in the economy. -- The city lacks timely, clear disclosure of financial activities. -- Recessionary pressures coupled with Harvey's manufacturing and transportation-based economy have contributed to the city's high unemployment rate and below-average wealth indicators. -- Harvey's role as a transportation hub has led to historic growth in taxable values, although Fitch expects the tax base may shrink in coming years, as the city has a high degree of subprime mortgage exposure and limited development activity. -- Overall and direct debt is high as a percent of property value. Key Rating Drivers: -- A meaningful change in the size of the accumulated deficit could result in a rating change. -- Improved financial management and disclosure could result in an improved rating. Security: The series 2007 A&B bonds are general obligation refunding bonds, backed by the city's full faith and credit pledge, payable from unlimited ad valorem taxes levied on all taxable property within the city. All collections of ad valorem property taxes levied by the city for corporate purposes, including to pay debt service on the bonds, are directly deposited by Cook County into a tax escrow account as permitted by Illinois Statute. Credit Summary: Harvey is located about 22 miles south of downtown Chicago and benefits from its position along major interstates and commuter lines. Several economic projects to expand Harvey's role as a Midwest transportation hub that may spur job creation and economic development have not yet been realized. Wealth indicators are well-below average, with per capita money income 51% of the state and 53% of the national level and the poverty rate nearly 30%. The city's unemployment rate as of December 2009 was a very high 16.4%, up from 11.5% a year ago and well-above the current state and national unemployment rates of 10.8% and 9.7%, respectively. Harvey's financial position was weak even before the current recession. Expected improvement in financial performance did not materialize; rather the city's fiscal picture has deteriorated significantly in the past several years. Poor spending controls and a history of overspending have exacerbated a growing general fund deficit. A paucity of financial expertise has resulted in late and qualified audits, limiting clarity in fiscal disclosure, which Fitch believes has reduced effective budgetary management. The city has retained a financial consultant in an effort, according to city officials, to improve accounting practices. Harvey ended fiscal 2008 with an unreserved general fund deficit of $9.1 million or -18% of spending; however, this includes bond proceeds, without which, results would have been consistent with the fiscal 2007 unreserved general fund deficit of -40% of spending. Despite nearly $2 million in expenditure reductions, unaudited fiscal 2009 estimates indicate the general fund balance again declined by about $1 million, bringing the accumulated deficit to $10 million or about -40% of spending. Year-to-date, fiscal 2010 revenues are down about 15-20% from fiscal 2009 levels, according to city management. To help offset declining tax revenues, the city is imposing several additional taxes and fees, including fuel and liquor taxes, effective Jan. 1, 2010. Additionally, the city is limiting spending, including a freeze on new hiring and capital expenditures, to attempt to better align current spending with revenue declines. According to the city's financial consultant, total expenditure cuts in fiscal 2010 are commensurate with revenue declines. However, Fitch remains concerned, as previous expectations for financial stabilization were not realized. Fitch expects the city to continue to face significant challenges as management struggles to align spending with dramatic revenue declines before even beginning to address the unsustainable accumulated deficit. The overall debt burden is moderate on a per capita basis at $2,617 but a high 8% of market value. Amortization of general obligation debt is below average with only 31% of the debt retired in the next ten years. The city is working to develop a CIP, but does not anticipate issuing additional debt in the near future. HOMETOWN COMMERCIAL: S&P Downgrades Ratings on Eight Certificates ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on eight classes of commercial mortgage pass-through certificates from Hometown Commercial Trust 2006-1 and 2007-1. In addition, S&P affirmed its rating on one additional class from series 2007-1. S&P lowered two of its ratings on Hometown Commercial Trust 2006-1 to 'D' due to recurring interest shortfalls. The other six downgrades, including those on two interest-only classes, reflect a significant reduction in the amount of interest available to the respective trusts due to poor performance. These classes may experience future liquidity interruptions. S&P affirmed its rating on class C from series 2007-1 at 'CCC-'. However, S&P will likely take negative rating actions on this class in the future due to anticipated liquidity interruptions and principal losses. Currently, $38.3 million (31.1%) of the collateral pool is in special servicing, and all of the classes subordinate to class C have experienced losses to date. Class D has lost 44.1% of its principal, and the nine classes subordinate to class D have lost 100% of their principal. Hometown Commercial Trust 2006-1's collateral pool consisted of 38 assets with an aggregate trust balance of $122.6 million as of the Feb. 11, 2010, remittance report, down from 45 loans totaling $149.2 million at issuance. Eight assets totaling $38.1 million (31.1%), including five of the top 10 exposures, are with the special servicer, Midland Loan Services Inc. There are six appraisal reduction amounts in effect on specially serviced assets totaling $23.2 million. Appraisal subordinated entitlement reductions related to the ARAs caused an interest shortfall of $144,415 on the Feb. 11, 2010, distribution date. The ASERs, combined with the trust expenses, caused interest shortfalls to classes B through N. One specially serviced asset is current ($5.3 million, 4.3%); three ($9.0 million, 7.3%) are 90-plus-days delinquent; three are in foreclosure ($19.6 million, 16.0%); and one is classified as real estate owned ($4.4 million, 3.6%). To date, the trust has experienced two losses totaling $2.0 million with an average loss severity, based on the cut-off balances, of 76%. Hometown Commercial Trust 2007-1's collateral pool consisted of 46 assets with an aggregate trust balance of $123.3 million as of the Feb. 11, 2010, remittance report, down from 51 loans totaling $147.5 million at issuance. Ten assets totaling $38.3 million (31.0%), including seven of the top 10 exposures, are with the special servicer, Midland Loan Services Inc. There are nine ARAs totaling $18.4 million in effect on specially serviced assets. One specially serviced asset is 60-days delinquent ($4.4 million, 3.5%); five ($23.3 million, 18.9%) are 90-plus-days delinquent; two are in foreclosure ($5.4 million, 4.4%); and two are classified as REO ($5.2 million, 4.2%). To date, the trust has experienced three losses totaling $12.2 million. The weighted average loss severity, based on the cut-off balances, is 72.5%. Two of the losses, totaling $9.2 million, occurred on the Feb. 11, 2010, payment date. These two principal losses reduced the current principal balances on classes E through N to zero and caused a $1.7 million principal loss to class D, reducing its current balance to $2.2 million. Standard & Poor's stressed the credit-impaired loans as part of S&P's analysis. The resultant credit enhancement levels are consistent with S&P's lowered and affirmed ratings. Ratings Lowered Hometown Commercial Trust 2006-1 Commercial mortgage pass-through certificates series 2006-1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A B BBB+ 17.39 B CCC- BB+ 14.66 C D BB- 13.29 D D B+ 10.70 X B AAA N/A Hometown Commercial Trust 2007-1 Commercial mortgage pass-through certificates series 2007-1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A CCC+ B+ 8.19 B CCC- CCC 5.49 X CCC+ AAA N/A Rating Affirmed Hometown Commercial Trust 2007-1 Commercial mortgage pass-through certificates series 2007-1 Class Rating Credit enhancement (%) ----- ------ ---------------------- C CCC- 1.76 ILLINOIS FINANCE: Fitch Assigns 'BB-' Rating on $33.3 Mil. Bonds ---------------------------------------------------------------- Fitch Ratings has assigned a 'BB-' rating to the expected issuance of $33.3 million of Illinois Finance Authority revenue refunding bonds, series 2010 (Friendship Village of Schaumburg Obligated Group) (FVS). In addition, Fitch affirms the 'BB-' rating on approximately $79.3 million of outstanding parity debt. The Rating Outlook is revised to Positive from Evolving. The series 2010 bonds are expected to be priced the week of March 8 through negotiated sale. Bond proceeds will be used to refund FVS's outstanding series 2005C variable rate demand bonds, reimburse the corporation for prior capital expenditures, fund a debt service reserve account and pay associated costs of issuance. Rating Rationale: -- The Outlook Revision to Positive reflects the significant reduction in FVS' capital structure risk by replacing conditional, bank supported debt with permanent fixed rate capital. -- FVS' liquidity indicators are light with days cash on hand, pro forma cushion and cash to debt ratios of 233, 3.1 times and 24% at Dec. 31, 2009, which are weaker than the respective 'BBB' medians of 336, 6.2x and 48%. -- Pro forma maximum annual debt service of $8.3 million is 20% higher than the $6.9 million MADS originally projected in 2005 and represents a high 20.6% of fiscal 2009 revenues. -- FVS has shown steady improvement in occupancy and operating profitability. Overall occupancy in the 631 independent living units has steadily improved to 83% at Dec. 31, 2009 from 80.8% at fiscal year-end 2009 (March 31) in spite of higher than anticipated attrition. -- The ongoing weakness in the local housing market continues to be the biggest challenge in converting sales to move-ins. Given FVS' large size, filling open units and those vacated through attrition will remain a major challenge until the economy stabilizes What Might Trigger An Upgrade: -- Sustained improvement in FVS' recent operational and census trends leading to improved liquidity measures may allow for an upward movement in the rating in spite of the increased capital costs. Security: The 2010 bonds are secured by a pledge of gross revenues, a mortgage interest in the property and improvements of the obligated group and a debt service reserve fund. Credit Summary: The 'BB-' rating reflects Friendship Village of Schaumburg's light liquidity, heavy debt burden, moderate although improving occupancy and the difficult operating environment. At Dec. 31, 2009 FVS had unrestricted cash and investments totaling $16.2 million plus $9.3 million of initial entrance which are included under master trust indenture for liquidity calculations. Thus, at Dec. 31, 2009, FVS's days cash on hand, pro forma cushion and cash to debt ratios were 233, 3.1 times and 24% which are weaker than the respective 2009 'BBB' medians of 336, 6.2x and 48%. Pro forma maximum annual debt service of $8.3 million is 20% higher than the $6.9 million MADS originally projected in 2005 and represents a high 20.6% of fiscal 2009 revenues. Historical coverage of pro forma MADS in fiscal 2009 was an adequate 1.6x. Through the nine month interim period, coverage of pro forma MADS was a solid 2.5x reflecting higher entrance fee collections. As mentioned above, FVS continues to make steady gains in occupancy in spite of higher than anticipated attrition and a very difficult operating environment. Occupancy in the new Bridgewater Place apartments improved to 85.3% at Dec. 31, 2009, from 80.6% at Dec. 31, 2008, while occupancy in the Bridgegate apartments grew to 82.2% from 79.0% over the same period. The weakness in the local residential real estate market continues to be the biggest challenge in converting sales to move-ins. The recent bankruptcy announcement by Sedgebrook and Monarch Landing (both Erickson Retirement developments) is not expected to negatively impact FVS and may help in marketing given FVS' reputation and long history of successful operations. However, due to FVS' large size, filling units vacated through attrition will remain challenging until the economy stabilizes. FVS is a Type B continuing care retirement community consisting of 631 independent living apartments, 28 independent living cottages, 100 assisted living units (including 25 dementia units) and 248 skilled nursing beds. The facility is located in Schaumburg, IL, approximately 30 miles northwest of downtown Chicago. The various financial ratios cited reflect consolidated financial statements of Friendship Senior Options (the parent) of which FVS Obligated Group constituted 96% of total assets and 99% of total revenues in fiscal 2009. Under its Continuing Disclosure Agreement, FVS is required to provide annual audited financial statements within 150 days of each fiscal years end and quarterly unaudited financial statements with 45 days of each fiscal quarter-end. Disclosure to date has been excellent and includes regularly scheduled investor calls. INA CBO: Fitch Downgrades Ratings on Two Classes of 1999-1 Notes ---------------------------------------------------------------- Fitch Ratings has downgraded two classes and affirmed one class of notes issued by INA CBO 1999-1 Ltd./Corp. This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria', 'Global Rating Criteria for Corporate CDOs', 'Global Surveillance Criteria for Corporate CDOs', 'Global Criteria for Cash Flow Analysis in CDOs - Amended', and 'Criteria for Structured Finance Recovery Ratings'. The downgrades of the class A-2 and A-2F notes is attributable to the insufficient collateral coverage available to redeem these notes at maturity. Currently, the total notional balance of the class A-2 notes is approximately $10.3 million, compared to a performing collateral balance of $8.4 million, and approximately $217,000 of principal cash. The portfolio also includes eight defaulted bonds with a total par balance of $18.4 million. Only one defaulted bond, however, is expected to have any meaningful recovery value. In 2002, INA CBO 1999-1 entered an Event of Default due to the failure to maintain all overcollateralization ratios at levels at least equal to 90% of their required triggers. The ongoing EOD prevents the collateral manager from disposing of any defaulted assets. Therefore, the issuer will not realize any value from the defaulted assets until either their ultimate recovery or their liquidation at the transaction's stated maturity in 2011, at which time the bonds would be subject to market value risk. Fitch projects that the class A-2 notes will suffer a principal impairment at maturity. However, the total recovery prospects on these notes have improved since Fitch's last review in March 2009, as principal proceeds are no longer being diverted to pay class A- 3 interest. Instead, all principal proceeds are currently being applied toward class A-2 principal repayment. Fitch has revised upward the Recovery Rating on the class A-2 notes to reflect this positive development. The class A-3 notes are not projected to receive any future distributions. Recovery Ratings are based on the total discounted future cash flows projected to be available to each class of notes in a base- case default scenario. Fitch considered the expected losses on the performing portfolio when determining ultimate recovery expectations for the notes. Recovery Ratings are designed to provide a forward-looking estimate of recoveries on currently distressed or defaulted structured finance securities. Distressed securities are defined as bonds that face a real possibility of default at or prior to maturity and by definition are rated 'CCC' or below. INA CBO 1999-1 is a cash flow collateralized debt obligation (CDO) that closed on Sept. 16, 1999. INA CBO 1999-1 entered an EOD in September 2002, and currently has a portfolio consisting primarily high yield bonds. Fitch downgrades and revises Recovery Ratings on these classes: -- $4,514,353 class A-2 notes to 'C/RR2' from 'CC/RR4'; -- $5,804,168 class A-2F notes to 'C/RR2' from 'CC/RR4'. Fitch affirms this class: -- $40,000,000 class A-3 notes affirmed 'C/RR6'. INMOBILIARIA FUMISA: Moody's Confirms 'Ba2' Rating on Bonds ----------------------------------------------------------- Moody's Investors Service has confirmed the Ba2 rating on the Inmobiliaria Fumisa, S.A. DE C.V.'s Mexico City Airport Trust US$121 million and 119 million UDI lease receivable bonds. The last rating action occurred on September 14, 2009 when the period for the review for downgrade of the ratings was extended. The decision to confirm the rating and assign a stable outlook is based on the prospects for the stabilization of lease revenues going forward and through the term of the bonds, which mature in 2013. Dufry International, a duty free merchant which already has a notable presence in Terminal 1, has taken over the space and lease of the former duty free provider that vacated T1 in the third quarter of last year. Lease revenues for this space are expected to return to roughly levels achieved prior to the change and should provide cash flows sufficient to meet debt service. Additionally, there is an existing pipeline of potential new tenants. By the first quarter of 2011, cash flows are expected to provide debt service coverage over and above the triggers (1.15x and 1.25x) that have resulted in a trapping of cash. In the last three quarters ending in May, August, and November 2009, debt service coverage ratio has been at or below 1.0x. As allowed in the transaction documents, the company received an equity injection into a coverage reserve account to bring DSCR to 1.0x in the case of the first two periods, and 1.15x for the period ending November, so as to avoid default triggers. The period that ends at the end of this month (February 2010), is expected to produce sufficient cash that the sponsor will not have to provide funds into the coverage reserve account. The structure benefits from adequate liquidity. The debt service reserve account is cash funded with 6 months of principal and interest. In addition, the presence of additional liquidity in the form of tenant security deposits and tenant prepayment accounts provides in the aggregate sufficient cash for approximately one year's worth of debt service payments. Passenger traffic at Terminal 1 of the Mexico City airport was down 13% in 2009 compared to 2008. This compares to a decline of 7.4% for the airport (Terminal 1 and 2). T1 has permanently lost about a third of its passengers with the opening of T2 and the corresponding move of SkyTeam airlines. Although passenger traffic is not related directly to the project's ability to repay debt, it does affect the relative market for current and future T1 concessionaires/tenants. The heavier the passenger traffic volumes, the more attractive is the T1 business market. Nonetheless, T1 still receives about 60% of the airports 24 million passengers. The lease receivable 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 project versus others within its industry or sector, ii) the capital structure and financial risk of the project, iii) the projected performance of the project over the near to intermediate term, and iv) the project's history of achieving consistent operating performance and meeting budget or financial plan goals. These attributes were compared against other projects both within and outside of the Airport's core peer group and the lease receivable bond ratings are believed to be comparable to ratings assigned to other projects of similar credit risk. JP MORGAN: Moody's Reviews Ratings on 15 2004-C3 Certificates ------------------------------------------------------------- Moody's Investors Service placed 15 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass- Through Certificates, Series 2004-C3 on review for possible downgrade due to higher expected losses for the pool resulting from anticipated losses from loans in special servicing, concerns about loans approaching maturity in an adverse environment and increased credit dispersion. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the January 15, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 8% to $1.4 billion from $1.5 billion at securitization. The Certificates are collateralized by 142 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten non-defeased loans representing 36% of the pool. Nine loans, representing 12% of the pool, have defeased and are collateralized with U.S. Government securities. Twenty-eight loans, representing 16% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $4.3 million (47% loss severity on average). Thirteen loans, representing 12% of the pool, are currently in special servicing. The largest specially serviced loan is the Everest Portfolio Loan ($58.9 million -- 4.2% of the pool), which is secured by six office and industrial buildings totaling 676,000 square feet in Massachusetts. This loan is currently classified as non-performing maturity balloon. The remaining 12 specially serviced loans are secured by a mix of multifamily, retail, office and manufactured home parks. Moody's review will focus on the performance of the overall pool and potential losses from specially serviced loans. Moody's rating action is: -- Class A-J, $87,251,000, Aaa on review for possible downgrade; previously assigned Aaa on 12/29/2004 -- Class B, $43,626,000, Aa2 on review for possible downgrade; previously assigned Aa2 on 12/29/2004 -- Class C, $13,277,000, Aa3 on review for possible downgrade; previously assigned Aa3 on 12/29/2004 -- Class D, $13,277,000, A1 on review for possible downgrade; previously assigned A1 on 12/29/2004 -- Class E, $15,174,000, A2 on review for possible downgrade; previously assigned A2 on 12/29/2004 -- Class F, $15,174,000, A3 on review for possible downgrade; previously assigned A3 on 12/29/2004 -- Class G, $18,968,000, Baa1 on review for possible downgrade; previously assigned Baa1 on 12/29/2004 -- Class H, $15,174,000, Baa2 on review for possible downgrade; previously assigned Baa2 on 12/29/2004 -- Class J, $20,865,000, Baa3 on review for possible downgrade; previously assigned Baa3 on 12/29/2004 -- Class K, $7,587,000, Ba1 on review for possible downgrade; previously assigned Ba1 on 12/29/2004 -- Class L, $5,690,000, Ba2 on review for possible downgrade; previously assigned Ba2 on 12/29/2004 -- Class M, $9,484,000, Ba3 on review for possible downgrade; previously assigned Ba3 on 12/29/2004 -- Class N, $3,793,000, B1 on review for possible downgrade; previously assigned B1 on 12/29/2004 -- Class P, $5,691,000, B2 on review for possible downgrade; previously assigned B2 on 12/29/2004 -- Class Q, $5,690,000, B3 on review for possible downgrade; previously assigned B3 on 12/29/2004 LAKESIDE CDO: Fitch Downgrades Ratings on Four Classes of Notes --------------------------------------------------------------- Fitch Ratings has downgraded four classes of notes issued by Lakeside CDO II, Ltd./Inc. As of the December 2009 trustee report, the current balance of the portfolio is $913.4 million, of which $158.5 million consists of defaulted securities, as defined in the transaction's governing documents. Approximately 60% of the portfolio has been downgraded since Fitch's last rating action in February 2009, resulting in 40.2% of the portfolio with a Fitch derived rating below investment grade and 26.1% with a rating in the 'CCC' rating category or below, as compared to 20.8% and 6.4%, respectively, at last review. Based on this analysis, the class A-1 notes' breakeven rates are generally consistent with the rating assigned below. As of the January 2010 distribution date, approximately 46.7% of the class A-1 notes' original principal balance has paid down. The class A- 1 notes have a credit enhancement of 31.8%. Given the negative outlook for the performance of the underlying assets, the Rating Outlook remains Negative. Additionally, the class A-1 notes are assigned a Loss Severity rating of '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'. Currently, for the class A-1 notes this ratio falls in the range of 1.1 to 4.0. The LS rating should always be considered in conjunction with the notes' long-term credit rating. Fitch does not assign LS ratings to tranches rated 'CCC' and below. Breakevens for the class A-2, B and class C notes are below SF PCM's 'CCC' default level, the lowest level of defaults projected by SF PCM. For these classes, Fitch compared the respective credit enhancement levels to the amount of underlying assets considered distressed (rated 'CCC' and lower). These assets have a high probability of default and low expected recoveries upon default. The class A-2, B and class C notes have credit enhancement levels of 1.1%, -0.5%, and -2.2%, respectively. Although, each class is still receiving their quarterly interest distributions, their ratings have been downgraded to 'C' to indicate Fitch's belief that default is inevitable at or prior to maturity. Lakeside CDO II is a cash flow collateralized debt obligation, which closed on March 31, 2004 and is managed by Vanderbilt Capital Advisors LLC. The portfolio is primarily composed of subprime residential mortgage-backed securities (30.7%), prime RMBS (33.9%), structured finance CDOs (29.6%), middle market CDOs (5.5%), and commercial asset-backed securities (0.3%). Fitch downgrades and assigns a Loss Severity rating to this class: -- $623,132,204 class A-1 notes to 'B/LS3' from 'BBB'; Outlook Negative. Fitch downgrades these classes: -- $279,900,000 class A-2 notes to 'C' from 'CCC'; -- $15,218,596 class B notes to 'C' from 'CC'; -- $14,797,265 class C notes to 'C' from 'CC'. LEE COUNTY: S&P Downgrades Long-Term Ratings to 'BB' ---------------------------------------------------- Standard & Poor's Ratings Services lowered its long-term ratings and underlying ratings to 'BB' from 'BB+' on Lee County Industrial Development Authority, Florida's various health care facilities bonds, issued for Shell Point Village, a life-care-based continuing-care retirement community in Fort Myers, Fla. In addition, Standard & Poor's affirmed its 'AA/A-1' rating on the authority's series 1999B and 2002 variable-rate demand bonds (VRDBs), issued for SPV. The downgrade reflects S&P's view of SPV's weakened credit profile, characterized by high debt, very thin and declining liquidity levels, and underlying pressure on revenue and net entrance fees related to the housing decline and weak local and regional economy. While management has responded with cost- cutting initiatives and a reduction in entry-fee prices to spur demand -- both of which have improved the overall operating results -- cash flow and adjusted coverage levels are weaker. Furthermore, the sustainability of operating with reduced entrance fees over the long-term remains a concern, while the limited liquidity for a predominately life-care senior-living facility provides limited cushion to deal with near-term operating challenges. While the negative outlook incorporates SPV's very low liquidity levels and general occupancy and operational challenges despite some improvement year to date, it also factors in SPV's exposure to variable-rate debt and other debt obligations that either contains put and renewal risk or the risk that the debt could be accelerated under a term-out scenario. "The negative rating outlook reflects S&P's expectation that SPV will likely continue to experience near-term operating and liquidity pressure," said Standard & Poor's credit analyst Stephen Infranco. "Despite a rebound in occupancy and operating results in fiscal 2009, cash flow is weaker partly due to the reduced revenue from discounted contracts," said Mr. Infranco. Management has stated that cash accumulation is its main focus as capital spending remains below historical levels for the near to intermediate term. If operating results and cash flow are not strong enough to improve SPV's liquidity position, or if the current debt structure negatively affects cash levels, a lower rating may be warranted in S&P's opinion. S&P would consider a return of the outlook to stable on an improvement in profitability and liquidity without incurring any additional debt. The obligated group is required to maintain certain financial covenants with respect to the outstanding $46.315 million series 1999B and 2002 VRDBs, the $13.6 million revolving line of credit, and the $5.2 million construction loan. If the covenant violation exceeds a threshold set forth in the applicable documents and constitutes an event of default, the financial institutions that are parties to the agreements would need to grant a waiver to SPV, or they could seek certain remedies, including an acceleration of debt or substitution of the letter-of-credit providers. MERRILL LYNCH: Fitch Affirms 'CCC/RR1' Rating on Class F Notes -------------------------------------------------------------- Fitch Ratings has affirmed, assigned distressed recovery ratings and Outlooks to Merrill Lynch Mortgage Investors, Inc.'s mortgage pass-through certificates, series 1996-C1: -- Interest-only class IO at 'AAA'; Outlook Stable; -- $20.9 million class F at 'CCC/RR1'. The affirmations are the result of stable performance of the remaining loans since Fitch's last ratings action. As of the February 2010 remittance report, the transaction has paid down 96.1% since issuance, with 12 of the original 159 loans still outstanding. There are no delinquent or specially serviced loans, although Fitch considers four loans (24.25%) to be of concern due to poor performance. Fitch stressed the cash flow of the remaining non defeased loans by applying a 10% reduction to 2008 fiscal year end net operating income and applying an adjusted market cap rate between 7.5% and 10% to determine value. Similar to Fitch's prospective analysis of recent vintage CMBS, each loan also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. Loans that could refinance to a debt service coverage ratio of 1.25 times or higher were considered to payoff at maturity. Four loans did not payoff at maturity and one loan incurred a minimal loss when compared to Fitch's stressed value. MERRILL LYNCH: Moody's Takes Rating Actions on 2005-MKB2 Notes -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of seven classes, confirmed one class and downgraded 13 classes of Merrill Lynch Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-MKB2 due to credit quality dispersion, higher expected losses for the pool resulting from anticipated losses from specially serviced and highly leveraged watch listed loans, and concerns about refinancing risk associated with loans approaching maturity in an adverse environment. Thirteen loans, representing 18% of the pool, mature over the next 36 months and six of these loans (10% of the pool) have a Moody's stressed debt service coverage ratio below 1.0X. The affirmations and confirmation are due to key rating parameters, including Moody's loan to value ratio and Moody's stressed DSCR remaining within acceptable ranges. Although the pool has experienced a decline in loan diversity, as measured by the Herfindahl Index, this has been offset by increased subordination due to amortization and loan payoffs. Moody's placed 14 classes of this transaction on review for possible downgrade on February 3, 2010 due to anticipated losses from loans in special servicing. This action concludes that review. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the January 12, 2010 statement date, the transaction's aggregate certificate balance has decreased 18% to $935 million from $1.1 billion at securitization. The 78 mortgage loans that collateralize these Certificates range in size from less than 1% to 7% of the pool, with the top ten non-defeased loans representing 42% of the pool. The pool contains one loan, representing 3% of the pool, with an underlying investment grade rating. U.S. Government securities now secure six loans or 20% of the pool due to defeasance compared to one loan or 6% of the pool at last review. Eighteen loans, representing 13% of the pool, are on the master servicer's watch list. The watch list includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watch list to assess which loans have material issues that could impact performance. To date, the pool has not experienced any losses. Six loans, representing 13% of the pool, are currently in special servicing. The largest specially serviced conduit loan is the Lodgian Portfolio 3 Loan ($45.1 million -- 4.8% of the pool), which is secured by four limited service and two full service hotels located across five states (TX, NH, MD, KY and AK) with a total of 1,039 rooms. The portfolio flags include Holiday Inn, Courtyard by Marriot, Marriot Fairfield Inn and Crowne Plaza. The Lodgian loan was transferred to special servicing in July 2009 due to a maturity default. The remaining five specially serviced loans are secured by a mix of multifamily (2), retail (2) and office properties. Moody's estimates an aggregate $32.8 million loss for all of the specially serviced loans (27% loss severity on average). The special servicer has recognized an aggregate appraisal reduction of $4.4 million for three of the specially serviced loans. In addition to recognizing losses from specially serviced loans, Moody's has assumed a high default probability on two poorly performing loans which represent 2% of the pool. Moody's has estimated an aggregate $7.1 million loss (39% loss severity on average) from these troubled loans. Moody's rating action recognizes potential uncertainty around the timing and magnitude of loss from these troubled loans. Moody's was provided with full year 2008 and partial-year 2009 operating results for 100% and 95%, respectively, of the pool. Moody's weighted average LTV for the conduit pool, excluding specially serviced and troubled loans, is 93%, essentially the same as at last review. Although the overall leverage has remained stable, the pool has experienced increased credit quality dispersion since last review. Based on Moody's analysis, 12% of the pool has an LTV in excess of 120% compared to 2% at last review. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.48X and 1.13X, respectively, compared to 1.55X and 1.09X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure loan size diversity, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple-notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool now has a Herf score of 28 compared to 38 at last review The loan with an underlying rating is the American Express Building Loan ($32.8 million -- 3.5% of the pool), which is secured by a four-story suburban office building located in the airport office submarket of Greensboro, North Carolina. The property has 389,000 square feet of net rentable area and is 100% leased to American Express Travel Related Services Co., Inc. through December 2014. The loan matures in February 2010 and the borrower has indicated that it intends to pay off the loan at maturity. Moody's underlying rating and stressed DSCR are Baa3 and 1.21X, the same as last review. The top three conduit loans represent 19% of the pool. The largest conduit loan is the DeSoto Square Mall Loan ($63.8 million -- 6.8% of the pool), which is secured by the borrower's interest in a 693,000 SF (collateral consists of 490,000 SF) non-dominant regional shopping center located in Bradenton, Florida. The center is anchored by Macy's, JC Penney (owned collateral) and Sears (unowned collateral). A fourth anchor -- Dillard's -- closed its doors in November 2009. As of June 2009, the property was 78% leased compared to 87% at last review. Comparable in-line sales for calendar year 2008 were $234 per square foot compared to $308 PSF at securitization. Cash flow, occupancy and tenant sales have all declined since last review. The loan sponsor is Simon Property Group. Moody's LTV and stressed DSCR are 124% and 0.78X, respectively, compared to 99% and 0.96X at last review. The second largest conduit loan is the Emerald Point Apartments Loan ($49.9 million -- 5.3% of the pool), which is secured by an 863-unit Class B garden style apartment complex located in Virginia Beach, Virginia. As of September 2009, the property was 93% leased, essentially the same as at last review. Performance has been stable and the loan has benefited from amortization. The loan has amortized by 4% since last review. Moody's LTV and stressed DSCR are 92% and 1.02X, respectively, compared to 108% and 0.93X at last review. The third largest conduit loan is the Sun Communities -- Indian Creek Loan ($49.3 million -- 5.3% of the pool), which is secured by a 1,532-unit manufactured housing community located in Fort Myers Beach, Florida. The property was 92% leased as of June 2009 compared to 84% at last review. The property's performance has improved since last review and the loan has benefited from amortization. The loan has amortized by 5% since last review. Moody's LTV and stressed DSCR are 83% and 1.07X, respectively, compared to 93% and 0.93X at last review. Moody's rating action is: -- Class A-1A, $195,716,477, affirmed at Aaa; previously assigned Aaa on 3/30/2005; -- Class XC, Notional, affirmed at Aaa; previously assigned Aaa on 3/30/2005; -- Class XP, Notional, affirmed at Aaa; previously assigned Aaa on 3/30/2005; -- Class A-2, $95,122,629, affirmed at Aaa; previously assigned Aaa on 3/30/2005; -- Class A-3, $40,623,000, affirmed at Aaa; previously assigned Aaa on 3/30/2005; -- Class A-SB, $42,997,000, affirmed at Aaa; previously assigned Aaa on 3/30/2005; -- Class A-4, $332,815,000, affirmed at Aaa; previously assigned Aaa on 3/30/2005; -- Class AJ, $61,128,000, confirmed at Aaa; previously assigned Aaa on 3/30/2005; -- Class B, $32,696,000, downgraded to Aa3 from Aa2; previously assigned Aa2 on 3/30/2005; -- Class C, $9,951,000, downgraded to A1 from Aa3; previously assigned Aa3 on 3/30/2005; -- Class D, $21,323,000, downgraded to Baa1 from A2; previously assigned A2 on 3/30/2005; -- Class E, $12,795,000, downgraded to Baa2 from A3; previously assigned A3 on 3/30/2005; -- Class F, $18,480,000, downgraded to Ba1 from Baa1; previously assigned Baa1 on 3/30/2005; -- Class G, $11,373,000, downgraded to Ba3 from Baa2; previously assigned Baa2 on 3/30/2005; -- Class H, $14,216,000, downgraded to B3 from Baa3; previously assigned Baa3 on 3/30/2005; -- Class J, $7,107,000, downgraded to Caa3 from Ba1; previously assigned Ba1 on 3/30/2005; -- Class K, $5,687,000, downgraded to Ca from Ba2; previously assigned Ba2 on 3/30/2005; -- Class L, $4,264,000, downgraded to C from Ba3; previously assigned Ba3 on 3/30/2005; -- Class M, $4,265,000, downgraded to C from B1; previously assigned B1 on 3/30/2005; -- Class N, $2,843,000, downgraded to C from B2; previously assigned B2 on 3/30/2005; -- Class P, $5,687,000, downgraded to C from B3C; previously assigned B3 on 3/30/2005. MORGAN STANLEY: S&P Withdraws 'CCC-' Rating on Class II Notes ------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its rating on the class II notes issued by both Morgan Stanley ACES SPC's series 2006-10 and series 2006-14, synthetic corporate investment-grade collateralized debt obligation transactions. S&P withdrew the ratings because the notes were unwound. Ratings Withdrawn Morgan Stanley ACES SPC Series 2006-10 Rating ------ Class To From ----- -- ---- II NR CCC- Morgan Stanley ACES SPC Series 2006-14 Rating ------ Class To From ----- -- ---- II NR CCC- NR - Not rated. MRU STUDENT: Moody's Downgrades Ratings on Four 2007-A Tranches --------------------------------------------------------------- Moody's has downgraded four tranches issued by MRU Student Loan Trust 2007-A, correcting an earlier rating action announced on May 22, 2009. In the earlier action, the rating agency did not account for the increased funding cost of the auction rate securities resulting from the downgrades. The underlying collateral consists of unguaranteed private student loans originated through the direct-to-consumer channel. Over 90% of the notes issued by MRU Student Loan Trust 2007-A are auction rate securities which carry a penalty rate when auctions fail, i.e., there is no clearing bid. Auctions for this trust have been failing since the first quarter of 2008. As per the trust indenture, when there is no clearing bid, the coupon on the auction rate securities is linked to the ratings of the notes. In May 2009, the notes were downgraded by Moody's due to portfolio performance deterioration to a level below A3, which resulted in the increased funding cost on the auction rate securities. However, Moody's did not take this increase into account. Moody's has now corrected its assumption, which is used in projecting excess spread per annum. As a result, Moody's expects the trust to generate negative gross (i.e. before credit losses) excess spread of 1.0% to 1.5% per annum. The higher funding cost coupled with the loan pool defaults have caused parity, i.e., the ratio of assets to liabilities, to erode since Moody's previous rating action. As of the collection period ending December 31, 2009, parity was 92.16%, a 2.96% of decline from June 2009. In February 2009, The Bank of New York Trust Company, N.A. (BNY) assumed the role of the administrator, as per the transaction documents, following the bankruptcy filing of the former administrator and sponsor, MRU Holdings, Inc. In its role as the administrator, BNY places delinquent loans with collection agencies for more rigorous collections, performs calculations related to distributions, and prepares the servicing reports. On February 10, 2010, BNY restated all the servicing reports the company has prepared since it assumed the role of administrator. Reported cumulative default rates for collection periods ending March 30, 2009, June 30, 2009 and September 31, 2009 were revised upward by 14%, 60% and 82% respectively. Additionally, it appears that principal distributions to Class A-1 and A-2 were $1.5 million greater during the reporting quarter ended September 2009 than previously stated. The current ratings rely on the accuracy of the restated servicing reports. Moody's currently expect pool cumulative net losses of 18.6% (as a percentage of the original loan pool balance plus cumulative loans added during the acquisition period) over the lifetime of the transaction. The performance expectations for a given variable indicate Moody's forward-looking view of the likely performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that significantly deviates from these estimates may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were previously downgraded. Even so, a deviation from the expected levels will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of uncertainty with regard to expected losses are the weak economic environment and in particular the high unemployment rate, which adversely impacts the income-generating ability of the borrowers. In addition, the historical loss performance data available for this pool is relatively limited, as over 70% of the borrowers were still in school when the notes were issued in 2007. As of the last reporting period, only 55% of the pool was in active repayment, i.e. not in school, grace, deferment, or forbearance. Issuer: MRU Student Loan Trust 2007-A * Pool Current Expected Cumulative Net Losses: 18.6% (as a percentage of the original loan pool balance plus cumulative loans added during acquisition period) -- Cl. A-1, Downgraded to Caa1; previously on May 22, 2009 Downgraded to Baa3 and Remained On Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa1; previously on May 22, 2009 Downgraded to Baa3 and Remained On Review for Possible Downgrade -- Cl. B, Downgraded to Ca; previously on May 22, 2009 Downgraded to Caa3 and Remained On Review for Possible Downgrade -- Cl. C, Downgraded to C; previously on May 22, 2009 Downgraded to Ca and Remained On Review for Possible Downgrade N-STAR REL: S&P Downgrades Ratings on 12 2006-1 CRE CDOs -------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 12 classes from N-Star REL CDO VI Ltd.'s series 2006-1, which is a commercial real estate collateralized debt obligation transaction. The lowered ratings remain on CreditWatch with negative implications. The downgrades follow S&P's analysis of the transaction using its recently updated U.S. CRE CDO criteria, which was the primary driver of its rating actions. S&P's analysis included a review of the current credit characteristics of all of the collateral assets and the transaction's liability structure. The ratings remain on CreditWatch negative and reflect S&P's pending assessment of certain note cancellations and the resolution of CMBS collateral with ratings on CreditWatch negative. The note cancellations occurred as reflected in the Dec. 28, 2009, trustee report. The CreditWatch placements also reflect the transaction's exposure to CMBS collateral with ratings on CreditWatch negative ($20.0 million, 4.6%). According to the Jan. 29, 2010, trustee report, the transaction's current asset pool includes: * Fifteen whole loans and senior interest loans ($194.9 million, 45.2%); * Thirteen subordinate interest loans ($161.0 million, 37.3%); * Four CRE CDO tranches ($38.6 million, 8.9%); and * Three commercial mortgage-backed securities tranches ($36.7 million, 8.5%). Standard & Poor's reviewed and updated credit estimates for all of the nondefaulted loan assets. S&P based the analyses on its adjusted net cash flow, which S&P derived from the most recent financial data provided by the collateral manager, NS Advisors LLC, the trustee, Wells Fargo Bank N.A., and market and valuation data from third-party providers. The pool includes two reported defaulted assets ($6.2 million, 1.4%). Standard & Poor's estimated that there would be no recoveries (i.e., 100% loss) upon the ultimate resolution of both of the defaulted assets, based on information provided by the collateral manager, special servicer, and market data. The defaulted assets are: * The Edgewater Village whole loan ($3.9 million, 0.9% of the collateral pool); and * The Edgewater Terrace whole loan ($2.3 million, 0.5%). Standard & Poor's analyzed the transaction and its underlying collateral assets in accordance with its current criteria, including its updated U.S. CRE CDO criteria. S&P's analysis is consistent with the lowered and affirmed ratings. Ratings Lowered And Remaining On Creditwatch Negative N-Star REL CDO VI Ltd. Collateralized debt obligations series 2006-1 Rating ------ Class To From ----- -- ---- A-1 BBB/Watch Neg AAA/Watch Neg A-R BBB/Watch Neg AAA/Watch Neg A-2 BBB-/Watch Neg AAA/Watch Neg B BB+/Watch Neg AA/Watch Neg C BB+/Watch Neg A+/Watch Neg D BB+/Watch Neg A-/Watch Neg E BB/Watch Neg BBB+/Watch Neg F BB/Watch Neg BBB/Watch Neg G BB-/Watch Neg BBB-/Watch Neg H B+/Watch Neg BB/Watch Neg J B/Watch Neg BB/Watch Neg K B-/Watch Neg B/Watch Neg N-STAR REL: S&P Downgrades Ratings on Seven N-Star REL CRE CDO -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes from N-Star REL CDO IV Ltd.'s N-Star REL, a commercial real estate collateralized debt obligation transaction. The seven lowered ratings remain on CreditWatch with negative implications. The downgrades follow S&P's analysis of the transaction using its recently updated U.S. CRE CDO criteria, which was the primary driver of its rating actions. S&P's analysis included a review of the current credit characteristics of all of the collateral assets and the transaction's liability structure. The ratings remain on CreditWatch negative pending S&P's assessment of certain note cancellations reflected in the Dec. 28, 2009, trustee report and the resolution of the CreditWatch placements of its ratings on certain underlying CMBS collateral. The CreditWatch placements also reflect the transaction's exposure to CMBS collateral with ratings on CreditWatch negative ($46.2 million, 11.3%). According to the Jan. 27, 2010, trustee report, the transaction's current asset pool includes these: * Twelve whole loans or senior interest loans ($180.6 million, 43.8%); * Ten subordinate interest loans ($128.6 million, 31.2%); * Fourteen CMBS tranches ($60.3 million, 14.7%); * Three CRE CDO or resecuritized real estate mortgage investment conduit tranches ($34.9 million, 8.5%); and * One REIT bond ($7.5 million, 1.8%). S&P reviewed and updated its credit estimates for all of the nondefaulted loan assets. S&P based these analyses on its adjusted net cash flow, which S&P derived using the most recent financial data provided by the collateral manager, NS Advisors LLC, and the trustee, Wells Fargo Bank N.A., as well as market and valuation data from third-party providers. The trustee report notes three defaulted loan assets in the pool ($27.3 million, 6.6%). Standard & Poor's estimated asset-specific recovery rates for the loan assets reported as defaulted, which ranged from 0% to 45%. S&P based the recovery rates on information from the collateral manager, special servicers, and third-party data providers. The defaulted assets are: * The Magnolia whole loan ($10.5 million, 2.6%); * The Hudson Valley b-note ($10.0 million, 2.4%); and * The Universal junior participation ($6.8 million, 1.7%). Standard & Poor's analyzed the transaction and its underlying collateral assets in accordance with its current criteria, including its updated U.S. CRE CDO criteria. its analysis is consistent with the lowered and affirmed ratings. Ratings Lowered And Remaining On Creditwatch Negative N-Star REL CDO IV Ltd. Collateralized debt obligations series 2005-1 Rating ------ Class To From ----- -- ---- A BBB+/Watch Neg AAA/Watch Neg B BBB/Watch Neg AA/Watch Neg C BBB-/Watch Neg A/Watch Neg D BB+/Watch Neg BBB/Watch Neg E BB/Watch Neg BBB-/Watch Neg F B+/Watch Neg BB/Watch Neg G B-/Watch Neg B/Watch Neg NOMURA CRE: S&P Downgrades Ratings on 16 Classes of 2007-2 CRE CDO ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 16 classes from Nomura CRE CDO 2007-2 Ltd., which is a commercial real estate collateralized debt obligation transaction. At the same time, S&P removed the ratings from CreditWatch negative. The downgrades follow S&P's analysis of the transaction using its recently updated U.S. CRE CDO criteria, which was the primary driver of its rating actions. S&P's analysis included a review of the current credit characteristics of all of the collateral assets and the transaction's liability structure. According to the Jan. 29, 2010, trustee report, the transaction's current asset pool includes these: * Twenty-two whole loans and senior interest loans ($759.5 million, 78.9% of the collateral pool); * Six subordinate interest loans ($109.9 million, 11.4%); * Five commercial mortgage-backed securities tranches ($59.0 million, 6.1%); and * Five CRE CDO and re-REMIC tranches ($34.5 million, 3.6%). Standard & Poor's reviewed and updated credit estimates for all of the nondefaulted loan assets. S&P based the analyses on its adjusted net cash flow, which S&P derived from the most recent financial data provided by the collateral manager, Centerline Capital Group Inc., and trustee, Wells Fargo Bank N.A., as well as market and valuation data from third-party providers. There are six reported defaulted loan assets in the pool ($221.1 million, 22.9%), one defaulted security ($17.5 million, 1.8%), and one defaulted CMBS rake bond ($8.0 million, 0.8%). Standard & Poor's estimated asset specific recovery rates for the loan assets, which ranged from 0% to 76.3% based upon information provided by the collateral manager, special servicer, and market data. The defaulted assets are: * The Alliance Portfolio whole loan ($110.0 million, 11.4%); * The Lembi Multifamily Portfolio whole loan ($48.6 million, 5.1%); * The Wateridge Plaza A-2 note ($22.0 million, 2.3%); * The Stadium Towers B note ($16.8 million, 1.7%); * The Aloha Beach Resort whole loan ($13.7 million, 1.4%); * The Lembi Multifamily Portfolio mezzanine loan ($10.0 million, 1.0%); * The MSC 2007-IQ14K security ($17.5 million, 1.8%); and * The Four Seasons Dallas, Texas CMBS rake bond ($8.0 million, 0.8%). According to the trustee report, the deal is passing all interest coverage tests but is failing all four overcollateralization tests. Standard & Poor's analyzed the transaction and its underlying collateral assets in accordance with S&P's current criteria, including its updated U.S. CRE CDO criteria. its analysis is consistent with the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative Nomura CRE CDO 2007-2 Ltd. Collateralized debt obligations Rating ------ Class To From ----- -- ---- A-R BBB AAA/Watch Neg A-1 BBB AAA/Watch Neg A-2 BBB- AAA/Watch Neg B BB+ AA/Watch Neg C BB+ AA-/Watch Neg D BB- A+/Watch Neg E B+ A/Watch Neg F B+ A-/Watch Neg G B- BBB+/Watch Neg H CCC+ BBB/Watch Neg J CCC- BBB-/Watch Neg K CCC- BB+/Watch Neg L CCC- BB/Watch Neg M CCC- BB-/Watch Neg N CCC- B+/Watch Neg O CCC- B-/Watch Neg PROVIDENT FINANCING: Fitch Puts B+ Rating on 7.405% Jr. Securities ------------------------------------------------------------------ Fitch Ratings has upgraded Unum Group Inc.'s holding company ratings, including the senior debt rating to 'BBB' from 'BBB-' and the Insurer Financial Strength ratings of all domestic operating subsidiaries to 'A' from 'A-'. The Rating Outlook is Stable. The upgrades reflect UNM's operating performance which has remained strong despite a weak global economy; conservative investment portfolio; solid capital and liquidity at both the insurance subsidiary and holding company levels; the company's leadership position in the U.S. employee benefits market; and increased diversification from the United Kingdom and worksite products. UNM reported net income of $853 million in 2009, up significantly from $553 million in 2008, which included $466 million in realized investment losses. While premiums were down in 2009, operating margins were at five-year highs across UNM's three operating segments (Unum US, Unum UK and Colonial Life). Over the past several years, UNM has made significant progress in addressing key challenges focused on margin expansion in the U.S. group disability segment. Despite current recessionary economic conditions, the shift in the business mix, improved claims management and focus on pricing discipline together have given rise to improvements in the benefit ratio for this segment. For the three months ending Dec. 31, 2009, the group disability income benefits ratio was 85%, down over 400 basis points from the same period in 2008, and almost 700 basis points from the same period in 2007. Additionally, persistency has remained stable in all segments and performance has been strong from targeted segments in the U.K. and Colonial and supplemental and voluntary benefits in the U.S. Based on Fitch's stress testing analysis, UNM's investment portfolio is well-positioned to ride out the credit downturn largely due to a reduction in credit exposure and better interest rate risk management over the last several years. Fitch notes the company's strategy to focus on fixed income sectors that are counter/non-cyclical and less sensitive to the U.S. and U.K. economies because they support liabilities characterized as economically sensitive (group disability) and long duration (individual disability and long-term care). UNM reported after- tax realized losses from write-downs and sales of $231 million in 2009 (compared to $174 million for the full year 2008). UNM's fixed income portfolio moved to a net unrealized gain position of $2 billion at Dec. 31, 2009 from a net unrealized loss position $2.3 billion at the prior year-end. Fitch believes statutory net operating gains will cushion capitalization from potential credit-related investment losses and continue to support improvements achieved in holding company financial flexibility. UNM reported consolidated statutory total adjusted capital on U.S. operating companies of $3.6 billion, and an NAIC RBC of 382% on Dec. 31, 2009. Equity-credit-adjusted leverage was 17.1% on Dec. 31, 2009. With the improvement in earnings and lower interest expense, the result of debt refunding in recent years, GAAP earnings-based interest coverage improved to 12.9 times in 2009, from 12.0x in 2008, and 7.4x in 2007. Holding company liquidity totaled $915 million at year-end 2009, up from $526 million in 2008. Fitch has upgraded these ratings with a Stable Outlook: Unum Group Inc. -- Issuer Default Rating to 'BBB+' from 'BBB'; -- 7.125% senior notes due Sept. 30, 2016 to 'BBB' from 'BBB-'; -- 7.625% senior notes due March 1, 2011 to 'BBB' from 'BBB-'; -- 7% senior notes due July 15, 2018 to 'BBB' from 'BBB-'; -- 7.25% senior notes due March 15, 2028 to 'BBB' from 'BBB-'; -- 6.75% senior notes due Dec. 15, 2028 to 'BBB' from 'BBB-'; -- 7.375% senior notes due June 15, 2032 to 'BBB' from 'BBB-'. Provident Financing Trust I -- 7.405% junior subordinated capital securities to 'BB+' from 'BB'. UnumProvident Finance Company plc -- 6.85% senior notes due Nov. 15, 2015 to 'BBB' from 'BBB-'. Unum Group Members: Unum Life Insurance Company of America Provident Life & Accident Insurance Company Provident Life and Casualty Insurance Company The Paul Revere Life Insurance Company The Paul Revere Variable Annuity Insurance Company First Unum Life Insurance Company Colonial Life & Accident Insurance Company -- IFS to 'A' from 'A-'. REVE SPC: S&P Withdraws 'CCC-' Rating on Class A Notes ------------------------------------------------------ Standard & Poor's Ratings Services withdrew its 'CCC-' rating on the class A notes issued by REVE SPC's series 57, a synthetic corporate investment-grade collateralized debt obligation transaction. S&P withdrew the rating at the issuer's request. Rating Withdrawn REVE SPC Series 57 Rating Balance (mil. $) ------ ---------------- Class To From Current Original ----- -- ---- ------- -------- A NR CCC- 0.000 500.000 NR - Not rated. SCOTTISH RE: S&P Withdraws Ratings on Three XXX Securitizations --------------------------------------------------------------- Standard & Poor's Ratings Services said that it withdrew its ratings on three XXX securitizations linked to Scottish Re (U.S.) Inc. at the request of the company. Standard & Poor's subsequently assigned unsolicited ratings to these same transactions. "The company requested that S&P withdraw the interactive ratings, but S&P believes there remains sufficient market interest in each securitization to maintain ratings on them," explained Standard & Poor's credit analyst Gary Martucci. "The ratings now are unsolicited." Ratings List Ratings Withdrawn Ballantyne Re plc Senior Secured Debt Rating To From -- ---- $250M Class A-1 notes NR CC $500M Class A-2 Series A notes NR CC $100M Class A-3 Series A notes NR CC $100M Class A-3 Series B notes NR CC $100M Class A-3 Series C notes NR CC $100M Class A-3 Series D notes NR CC Subordinated Debt Rating To From -- ---- $10M Class B-1 notes NR C $40M Class B-2 notes NR C Orkney Re II plc To From -- ---- Senior Secured Debt Rating $42.5M Class A-2 notes NR D Subordinated Debt Rating $30M Class B notes NR C Unsolicited Ratings Assigned Ballantyne Re plc Unsolicited Senior Secured Debt Rating $250M Class A-1 notes CC $500M Class A-2 Series A notes CC $500M Class A-2 Series B notes AAA/Negative $100M Class A-3 Series A notes CC $100M Class A-3 Series B notes CC $100M Class A-3 Series C notes CC $100M Class A-3 Series D notes CC Unsolicited Subordinated Debt Rating $10M Class B-1 notes C $40M Class B-2 notes C Orkney Holdings LLC Unsolicited Senior Secured Debt Rating $850M Series A notes BB+/Negative Orkney Re II plc Unsolicited Senior Secured Debt Rating $382.5M Class A-1 notes AAA/Negative $42.5M Class A-2 notes D Unsolicited Subordinated Debt Rating $30M Class B notes C SENIOR ABS: Fitch Cuts Ratings on $11.6 Mil. Certs. to 'BB/LS4' --------------------------------------------------------------- Fitch Ratings has downgraded, assigned an 'LS' rating, and revised the Rating Outlook for the certificates issued by Senior ABS Repack Trust, series 2002-1 (Senior ABS Repack Trust 2002-1). The rating on the certificates, which addresses timely payment of interest and ultimate payment of principal is based on the anticipated cash flow from the E*TRADE ABS CDO I, Ltd.(E*Trade I) class A-2 notes held as collateral by the Senior ABS Repack Trust 2002-1. The rating on the certificates correlates directly with the rating on the class A-2 notes of E*TRADE I. The E*TRADE I class A-2 notes were downgraded to 'BB/LS4' from 'BBB', and the Outlook was revised to Negative from Stable by Fitch. 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. Fitch will continue to monitor and review this transaction for future rating adjustments Fitch has downgraded and revised the Rating Outlook for these certificates as indicated: -- $11,600,000 certificates to 'BB/LS4' from 'BBB'; Outlook to Negative from Stable. SIGNUM VERMILION: S&P Withdraws 'B+' Rating on 2007-1 Notes ----------------------------------------------------------- Standard & Poor's Ratings Services withdrew its 'B+' rating on the notes issued by Signum Vermilion Ltd.'s series 2007-1, a synthetic corporate collateralized debt obligation transaction. The rating withdrawal follows the termination of the notes. Rating Withdrawn Signum Vermilion Ltd. Series 2007-1 Rating ------ Class To From ----- -- ---- 2007-1 NR B+ TRINITY HIGHER: Fitch Maintains Ratings on Student Loans -------------------------------------------------------- Fitch Ratings currently maintains ratings on student loan asset- backed securities issued by Trinity Higher Education Authority, Inc.'s, under an Indenture, dated as of April 1, 2004, between THEA and U.S. Bank National Association, as Trustee. THEA has requested that Fitch confirm its existing ratings on the securities issued under the Indenture upon the adoption and effectiveness of a supplemental indenture. Consistent with its statements on policies regarding rating confirmations in structured finance transactions (Jan. 13, 2009) and student loan confirms (May 8, 2009), Fitch is treating this request as a notification. The Supplement permits THEA to use funds held under the Indenture that are deposited into the principal distribution fund to be used to purchase outstanding auction rate securities issued under the Indenture at a price less than par. Bondholder participation in any such purchases is voluntary. Amounts held in the principal distribution fund are currently used to redeem securities at par plus accrued interest. Any securities purchased by THEA at a discount with amounts held in the principal distribution fund will be required to be immediately tendered to the Trustee for cancellation. Based on the information provided, Fitch has determined that the execution and delivery of the Supplement and the changes to the Indenture contained in the Supplement will not have an impact on the existing ratings on the securities issued under the Indenture. This determination only addresses the effect of the Supplement and its changes on the current ratings assigned by Fitch to the securities issued under the Indenture and listed below. It does not address whether this change is permitted by the terms of the documents nor does it address whether it is in the best interests of, or prejudicial to, some or all of the holders of the securities listed. Based on the trust estate's balance sheet as of Sept. 30, 2009, if any securities are purchased at a discount under the Supplement, the result on the trust estate would likely be positive. Fitch would expect increases in the senior and total parity ratios of the trust estate, as well as the subordination level for the senior securities. Both the composition of the loan pool held under the Indenture and the weighted average coupon rate of the securities are not expected to change materially. The ratings assigned by Fitch are based on the documents and information provided to Fitch by THEA and other parties and the receipt of final closing documents. Fitch relies on all these parties for the accuracy of such information and documents. Fitch did not audit or verify the truth or accuracy of such information. The student loan asset-backed securities, which include auction rate securities issued under the Indenture by THEA, are currently rated by Fitch: Trinity Higher Education Authority. (2004 Indenture) -- Senior series 2004 A-1 notes 'AAA'; -- Subordinate series 2004 B-1 notes 'BB'. * Fitch Puts Ratings on 179 CDO Notes on Negative Watch ------------------------------------------------------- Fitch Ratings has placed 179 notes from 72 bank trust preferred collateralized debt obligations on Rating Watch Negative to reflect the increased default and deferral activity in bank TruPS assets. In many portfolios the recent default and deferral activity has now exceeded Fitch's expectations from the portfolio review in April 2009. Consequently, 295 notes from 76 TruPS CDOs have been downgraded reflecting realized losses from defaulted assets and anticipated losses from deferring assets in the respective portfolios. The downgrades primarily impacted notes rated below investment grade with 159 of the notes downgraded previously rated 'CCC' or 'CC' and 40 notes carrying other below investment grade ratings prior to downgrade. Additionally, a majority of the notes downgraded were downgraded by one rating category or less. The level of distress for local and regional banks that financed through TruPS CDOs has resulted in $2.7 billion of new bank TruPS defaults and $2.4 billion of new deferral activity since the March 31, 2009. Further default and deferral performance information for bank collateral in TruPS CDOs is available in the report 'Fitch Bank TruPS CDO Default and Deferral Index', dated Feb. 10, 2010. Fitch loss projections in April 2009 averaged 11.6% of a transaction's portfolio. Meanwhile, realized and imminent losses from new defaults and deferrals now average approximately 20.6% of the portfolio. The Rating Watch Negative reflects Fitch's view that the loss expectations for these portfolios have exceeded expectations. Where loss expectations significantly exceeded previous assumptions, Fitch downgraded notes to reflect its current credit opinion of the quality of the notes. * S&P Corrects Ratings on 58 Classes From 12 RMBS Transactions -------------------------------------------------------------- Standard & Poor's Ratings Services corrected its ratings on 58 classes from 12 U.S. residential mortgage-backed securities transactions issued from 2003-2007. S&P lowered 41 of the corrected ratings to 'D' and removed 12 of them from CreditWatch with negative implications. S&P placed 13 additional ratings on CreditWatch with negative implications. S&P inadvertently withdrew its ratings on the I-M-3 through I-M-6 classes from American Home Mortgage Investment Trust 2006-3 on Feb. 11, 2010. S&P has corrected the ratings on these classes to 'D'. The underlying collateral for these deals consists of U.S. Alternative-A, closed-end second-lien, prime jumbo, and reperforming mortgage loans. The 45 defaulted classes experienced principal write-downs during the May 2009 through December 2009 remittance periods. However, due to a system error, S&P were not able to identify the defaulted classes or place any other applicable class rating on CreditWatch during these reporting periods. The 13 CreditWatch placements reflect the fact that the affected classes are within a group that includes a class that defaulted from a 'B-' rating or higher. These ratings will remain on CreditWatch negative until S&P completes its review of the underlying credit enhancement. Rating Actions American Home Mortgage Investment Trust 2006-2 Series 2006-2 Rating ------ Class CUSIP To From Collateral ----- ----- -- ---- ---------- I-M-3 02660YBA9 D AA-/Watch Neg Alternative-A I-M-4 02660YBB7 D A+/Watch Neg Alternative-A I-M-5 02660YBC5 D A/Watch Neg Alternative-A I-M-6 02660YBD3 D BBB/Watch Neg Alternative-A II-M-1 02660YBE1 D AA+/Watch Neg Alternative-A II-M-2 02660YBF8 D AA/Watch Neg Alternative-A II-M-3 02660YBG6 D BBB/Watch Neg Alternative-A II-M-4 02660YBK7 D BB+/Watch Neg Alternative-A III-M-2 02660YBJ0 D A+/Watch Neg Alternative-A III-M-3 02660YBM3 D A+/Watch Neg Alternative-A III-M-4 02660YBN1 D A-/Watch Neg Alternative-A American Home Mortgage Investment Trust 2006-3 Series 2006-3 Rating ------ Class CUSIP Current 02/11/10 Pre 02/11/10 Collateral ----- ----- ------- -------- ------------ ---------- I-M-3 026929AR0 D NR CC Alternative-A I-M-4 026929AS8 D NR CC Alternative-A I-M-5 026929AT6 D NR CC Alternative-A I-M-6 026929AU3 D NR CC Alternative-A Rating ------ Class CUSIP To From Collateral ----- ----- -- ---- ---------- I-M-2 026929AQ2 D CC Alternative-A II-2A-2 026929AK5 D B/Watch Neg Alternative-A II-M-1 026929AV1 D CC Alternative-A II-M-2 026929AW9 D CC Alternative-A III-M-2 026929AY5 D CC Alternative-A III-M-3 026929AZ2 D CC Alternative-A IV-M-1 026929BA6 D CC Closed-end second-lien American Home Mortgage Investment Trust 2007-A Series 2007-A Rating ------ Class CUSIP To From Collateral ----- ----- -- ---- ---------- I-M-1 026931AG0 D CCC Alternative-A Banc of America Funding 2006-7 Trust Series 2006-7 Rating ------ Class CUSIP To From Collateral ----- ----- -- ---- ---------- T2-M-1 05951KBH5 D CC Alternative-A T2-M-2 05951KBJ1 D CC Alternative-A Banc of America Funding 2007-4 Trust Series 2007-4 Rating ------ Class CUSIP To From Collateral ----- ----- -- ---- ---------- N-B-4 05953YCJ8 D CC Prime jumbo T-M-2 05953YAF8 D CC Alternative-A T-M-3 05953YAM3 D CC Alternative-A T-M-4 05953YAN1 D CC Alternative-A Bear Stearns ARM Trust 2007-4 Series 2007-4 Rating ------ Class CUSIP To From Collateral ----- ----- -- ---- ---------- I-B-1 07401CAL7 D CC Alternative-A I-B-2 07401CAM5 D CC Alternative-A Citigroup Mortgage Loan Trust 2006-AR5 Series 2006-AR5 Rating ------ Class CUSIP To From Collateral ----- ----- -- ---- ---------- 1-B2 17309FAP3 D CC Prime jumbo 1-B3 17309FAQ1 D CC Prime jumbo Credit Suisse First Boston Mortgage Securities Corp. Series 2003-8 Rating ------ Class CUSIP To From Collateral ----- ----- -- ---- ---------- V-A-1 22541NX20 AAA/Watch Neg AAA Alternative-A V-X 22541NY52 AAA/Watch Neg AAA Alternative-A D-X 22541NY78 AAA/Watch Neg AAA Alternative-A V-P 22541NY94 AAA/Watch Neg AAA Alternative-A D-B-1 22541NZ77 AAA/Watch Neg AAA Alternative-A D-B-2 22541NZ85 AA-/Watch Neg AA- Alternative-A D-B-4 22541N2E8 D BB Alternative-A CSFB Mortgage-Backed Trust Series 2005-10 Series 2005-10 Rating ------ Class CUSIP To From Collateral ----- ----- -- ---- ---------- D-B-1 225470GB3 D CC Alternative-A VI-B-4 225470GT4 D CC Prime jumbo C-B-5 225470GM9 D CC Prime jumbo CSMC Mortgage Backed Trust 2007-7 Series 2007-7 Rating ------ Class CUSIP To From Collateral ----- ----- -- ---- ---------- D-B-3 12638DAP1 D CC Alternative-A C-B-2 12638DAR7 D CC Prime jumbo Lehman XS Trust 2007-6 Series 2007-6 Rating ------ Class CUSIP To From Collateral ----- ----- -- ---- ---------- II-M4 52524PBM3 D CCC Alternative-A II-M5 52524PBN1 D CCC Alternative-A II-M6 52524PBP6 D CCC Alternative-A II-M7 52524PBQ4 D CCC Alternative-A II-M8 52524PBR2 D CCC Alternative-A Security National Mortgage Loan Trust 2007-1 Series 2007-1 Rating ------ Class CUSIP To From Collateral ----- ----- -- ---- ---------- 1-A1 81441XAA2 AAA/Watch Neg AAA Reperforming 1-A2 81441XAB0 AAA/Watch Neg AAA Reperforming 1-A3 81441XAC8 AAA/Watch Neg AAA Reperforming 2-A 81441XAD6 AAA/Watch Neg AAA Reperforming M-1 81441XAE4 AA/Watch Neg AA Reperforming M-2 81441XAF1 A/Watch Neg A Reperforming B-1 81441XAG9 BBB/Watch Neg BBB Reperforming B-2 81441XAH7 D BB Reperforming * S&P Downgrades Ratings on 18 Classes From Seven RMBS Deals ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 18 classes from seven residential mortgage-backed securities transactions backed by U.S. prime jumbo mortgage loan collateral issued during 2002. S&P affirmed its ratings on 275 classes from these seven transactions and 30 additional transactions. S&P removed 10 of the affirmed ratings from CreditWatch with negative implications. 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. S&P's loss projections were primarily driven by delinquencies and the current negative condition of the housing market. To assess the creditworthiness of each class, S&P applied its projected loss assumptions within its cash flow analysis and determined the ability of each class to withstand different stress scenarios. In order to maintain a 'B' rating on a class, S&P assessed whether, in its view, a class could absorb the base-case loss assumptions S&P used in its analysis. In order to maintain a rating higher than 'B', S&P assessed whether the class could withstand losses exceeding its base-case loss assumptions at a percentage specific to each rating category, up to 235% for an 'AAA' rating. For example, in general, S&P would assess whether one class could withstand approximately 127% of its base-case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 154% of its base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in its view, withstand approximately 235% of S&P's 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 the applicable rating levels. Subordination predominantly provides credit support for the affected transactions. The underlying collateral for these transactions consists of fixed- and adjustable-rate U.S. prime jumbo mortgage loans secured by first liens on one- to four-family residential properties. Rating Actions Banc of America Funding 2002-2 Trust Series 2002-2 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 05946XBQ5 AA- AA B-3 05946XBR3 BB- A Bank of America Mortgage 2002-10 Trust Series 2002-10 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-B-3 06050HB31 A- AAA CHL Mortgage Pass-Through Trust 2002-18 Series 2002-18 Rating ------ Class CUSIP To From ----- ----- -- ---- M 12669C7Z7 AA AAA B-1 12669C8A1 CCC AAA B-2 12669C8B9 CCC AA CHL Mortgage Pass-Through Trust 2002-19 Series 2002-19 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 12669DBX5 AA- AAA Structured Asset Securities Corp. Series 2002-13 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-AP 86358RU21 AAA AAA/Watch Neg 1-AX 86358RU39 AAA AAA/Watch Neg 1-PAX 86358RU47 AAA AAA/Watch Neg 2-A5 86358RU96 AAA AAA/Watch Neg AP 86358RV46 AAA AAA/Watch Neg AX 86358RV53 AAA AAA/Watch Neg PAX 86358RV61 AAA AAA/Watch Neg B1 86358RV79 AAA AAA/Watch Neg B2 86358RV87 AA AA/Watch Neg BX 86358RW29 AA AA/Watch Neg Structured Asset Securities Corp. Series 2002-18A Rating ------ Class CUSIP To From ----- ----- -- ---- 3-A 86358R5J2 BBB A Structured Asset Securities Corp. Series 2002-21A Rating ------ Class CUSIP To From ----- ----- -- ---- B1-I 86359ACA9 BB- BBB- B1-I-X 86359ACB7 BB- BBB- B2-I 86359ACG6 BB- BBB- B2-I-X 86359ACH4 BB- BBB- B2-II 86359ACD3 BB+ BBB- B3 86359ACE1 CC CCC Structured Asset Securities Corp. Series 2002-25A Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 86359ADT7 CCC BB B1-I 86359AEB5 CC CCC B1-I-X 86359AEC3 CC CCC 3-A1 86359ADX8 BBB- AAA Ratings Affirmed ABN AMRO Mortgage Corp. Series 2002-9 Class CUSIP Rating ----- ----- ------ A-4 00077B3U5 AAA A-30 00077B4W0 AAA A-P 00077B5A7 AAA A-X 00077B5B5 AAA M 00077B5C3 AAA B-1 00077B5D1 AA+ B-2 00077B5E9 AA Banc of America Funding 2002-2 Trust Series 2002-2 Class CUSIP Rating ----- ----- ------ A-2 05946XBG7 AAA A-3 05946XBH5 AAA A-4 05946XBJ1 AAA A-5 05946XBK8 AAA A-WIO 05946XBM4 AAA A-PO 05946XBN2 AAA B-1 05946XBP7 AAA Bank of America Mortgage 2002-10 Trust Series 2002-10 Class CUSIP Rating ----- ----- ------ 1-A-26 06050HZK7 AAA 1-A-32 06050HZR2 AAA 1-A-33 06050HZS0 AAA 1-A-34 06050HZT8 AAA 1-A-35 06050HZU5 AAA 1-A-WIO 06050HZX9 AAA 2-A-1 06050HZY7 AAA 2-A-4 06050HA32 AAA 2-A-5 06050HA40 AAA 2-A-6 06050HA57 AAA 2-A-7 06050HA65 AAA 2-A-WIO 06050HA73 AAA A-PO 06050HA81 AAA 1-B-1 06050HA99 AAA 1-B-2 06050HB23 AAA 2-B-1 06050HB49 AAA 2-B-2 06050HB56 AAA 2-B-3 06050HB64 AAA Bank of America Mortgage 2002-5 Trust Series 2002-5 Class CUSIP Rating ----- ----- ------ A-6 06050HHW1 AAA A-WIO 06050HHZ4 AAA A-PO 06050HJA7 AAA Bank of America Mortgage 2002-K Trust Series 2002-K Class CUSIP Rating ----- ----- ------ 1-A-1 06050HXK9 AAA 1-A-2 06050HXL7 AAA 1-A-3 06050HXM5 AAA 1-A-4 06050HXN3 AAA 1-A-5 06050HXP8 AAA 1-A-6 06050HXQ6 AAA 1-A-7 06050HXR4 AAA 2-A-1 06050HXW3 AAA 2-A-2 06050HXX1 AAA 3-A-1 06050HXY9 AAA B-1 06050HYC6 AAA B-2 06050HYD4 AAA B-3 06050HYE2 AA+ Cendant Mortgage Capital LLC Series 2002-8 Class CUSIP Rating ----- ----- ------ A-4 15132EBL1 AAA A-9 15132EBR8 AAA P 15132EBU1 AAA X 15132EBV9 AAA Chase Mortgage Finance Trust, Series 2002-S6 Series 2002-S6 Class CUSIP Rating ----- ----- ------ IIA-1 16162TV52 AAA A-X 16162TV60 AAA A-P 16162TV78 AAA M 16162TV94 AAA B-1 16162TW28 AAA B-2 16162TW36 AAA CHL Mortgage Pass-Through Trust 2002-18 Series 2002-18 Class CUSIP Rating ----- ----- ------ A-1 12669C7L8 AAA A-8 12669C7T1 AAA A-9 12669C7U8 AAA PO 12669C7X2 AAA CHL Mortgage Pass-Through Trust 2002-19 Series 2002-19 Class CUSIP Rating ----- ----- ------ 1-A-1 12669DBA5 AAA 1-A-13 12669DBN7 AAA 2-A-3 12669DBR8 AAA 2-A-4 12669DBS6 AAA PO 12669DBT4 AAA M 12669DBV9 AAA B-1 12669DBW7 AAA First Republic Mortgage Loan Trust 2002-FRB1 Series 2002-FRB1 Class CUSIP Rating ----- ----- ------ A 336161BJ2 AAA X 336161BK9 AAA B-1 336161BM5 AA B-2 336161BN3 AA- B-3 336161BP8 BBB+ Morgan Stanley Dean Witter Capital I Inc. Trust 2002-WL1 Series 2002-WL1 Class CUSIP Rating ----- ----- ------ 1-A-1 61746WRG7 AAA 1-A-2 61746WUT5 AAA 1-A-3 61746WUU2 AAA 1-A-4 61746WUV0 AAA 1-A-5 61746WUW8 AAA 1-A-6 61746WUX6 AAA 1-A-7 61746WUY4 AAA 2-A-1 61746WRH5 AAA 2-A-2 61746WUZ1 AAA 2-A-3 61746WVA5 AAA 2-A-4 61746WVB3 AAA B-1 61746WRJ1 AAA B-2 61746WRK8 AAA B-3 61746WRL6 AAA A-X-1 61746WRM4 AAA A-X-2 61746WVM9 AAA A-X-3 61746WVN7 AAA A-P 61746WRN2 AAA MRFC Mortgage Pass-Through Trust, Series 2002-TBC2 Series 2002-TBC2 Class CUSIP Rating ----- ----- ------ A 585525FX1 AAA X 585525FY9 AAA B-1 585525GA0 AA B-2 585525GB8 A B-3 585525GC6 BBB Residential Funding Mortgage Securities I Inc. Series 2002-S17 Class CUSIP Rating ----- ----- ------ A-1 76111JA95 AAA A-2 76111JB29 AAA A-6 76111JB60 AAA A-7 76111JB78 AAA A-P 76111JB86 AAA A-V 76111JB94 AAA M-1 76111JC44 AAA M-2 76111JC51 AA+ M-3 76111JC69 AA- RFMSI Series 2002-S11 Trust Series 2002-S11 Class CUSIP Rating ----- ----- ------ A-1 76111JVT8 AAA A-P 76111JVU5 AAA A-V 76111JVV3 AAA M-1 76111JVX9 AAA M-2 76111JVY7 AAA M-3 76111JVZ4 AAA RFMSI Series 2002-S12 Trust Series 2002-S12 Class CUSIP Rating ----- ----- ------ A-1 76111JXV1 AAA A-P 76111JYJ7 AAA A-6 76111JYA6 AAA A-7 76111JYB4 AAA A-8 76111JYC2 AAA A-9 76111JYD0 AAA A-V 76111JYK4 AAA M-1 76111JYN8 AAA M-2 76111JYP3 AAA M-3 76111JYQ1 AAA RFMSI Series 2002-S13 Trust Series 2002-S13 Class CUSIP Rating ----- ----- ------ A-7 76111JZA5 AAA A-P 76111JZB3 AAA A-V 76111JZC1 AAA M-1 76111JZF4 AAA M-2 76111JZG2 AAA M-3 76111JZH0 AA+ RFMSI Series 2002-S14 Trust Series 2002-S14 Class CUSIP Rating ----- ----- ------ A-1 76111JWW0 AAA A-P 76111JWM2 AAA A-V 76111JWN0 AAA M-1 76111JWQ3 AAA M-2 76111JWR1 AAA M-3 76111JWS9 AAA RFMSI Series 2002-S16 Trust Series 2002-S16 Class CUSIP Rating ----- ----- ------ A-1 76111JZM9 AAA A-2 76111JZN7 AAA A-3 76111JZP2 AAA A-10 76111JZW7 AAA A-P 76111JZX5 AAA A-V 76111JZY3 AAA M-1 76111JA38 AAA M-2 76111JA46 AAA M-3 76111JA53 AAA Sequoia Mortgage Trust 6 Series 6 Class CUSIP Rating ----- ----- ------ A 81743XAA7 AAA X 81743X9D5 AAA B-1 81743XAB5 AAA B-2 81743XAD1 A+ B-3 81743XAE9 BBB+ B-4 81743X9A1 BB B-5 81743X9B9 B Structured Asset Mortgage Investments Trust 2002-AR2 Series 2002-AR2 Class CUSIP Rating ----- ----- ------ A-1 86358HNH8 AAA X 86358HNJ4 AAA A-2 86358HNK1 AAA Structured Asset Mortgage Investments Trust 2002-AR3 Series 2002-AR3 Class CUSIP Rating ----- ----- ------ A-1 86358HNX3 AAA X 86358HNY1 AAA Structured Asset Mortgage Investments Trust 2002-AR4 Series 2002-AR4 Class CUSIP Rating ----- ----- ------ A-1 86358HQR3 AAA X 86358HQS1 AAA Structured Asset Securities Corp. Series 2002-8A Class CUSIP Rating ----- ----- ------ 7-A1 86358RE29 AAA 7-A2 86358RE37 AAA B3 86358RE86 BBB Structured Asset Securities Corp. Series 2002-16A Class CUSIP Rating ----- ----- ------ 1-A1 86358RX36 AAA B1-I 86358RX93 AA B1-I-X 86358RY27 AA B2-I 86358RY35 A B2-I-X 86358RY43 A 2-A1 86358RX51 AAA 3-A1 86358R2E6 AAA 4-A1 86358R2G1 AAA 4-A2 86358R2H9 AAA B1-II 86358RY50 AA B2-II 86358RY68 A B3 86358RY76 BBB Structured Asset Securities Corp. Series 2002-15 Class CUSIP Rating ----- ----- ------ A4 86358R2N6 AAA A5 86358R2P1 AAA 2-A9 86358R2Y2 AAA 3-A10 86358R3G0 AAA AP 86358R3K1 AAA AX 86358R3L9 AAA PAX 86358R3M7 AAA B1 86358R3N5 AAA B2 86358R3P0 AA+ B3 86358R3Q8 AA- Structured Asset Securities Corp. Series 2002-18A Class CUSIP Rating ----- ----- ------ 1-A1 86358R5E3 B 2-A1 86358R5G8 BB- Structured Asset Securities Corp. Series 2002-21A Class CUSIP Rating ----- ----- ------ 1-A1 86359ABP7 AAA 1-A3 86359ABR3 AAA 2-A1 86359ABS1 AAA 2-A2 86359ABT9 AAA 4-A1 86359ABW2 AAA B1-II 86359ACC5 BBB- Structured Asset Securities Corp. Series 2002-25A Class CUSIP Rating ----- ----- ------ 2-A1 86359ADV2 AAA 4-A1 86359ADZ3 AAA Structured Asset Securities Corporation Mortgage Loan Trust 2002-9 Series 2002-9 Class CUSIP Rating ----- ----- ------ A1 86358RB55 AAA A2 86358RC21 AAA WaMu Mortgage Pass-Through Certificates Series 2002-S6 Trust Series 2002-S6 Class CUSIP Rating ----- ----- ------ A-4 929227UT1 AAA A-21 929227VL7 AAA A-22 929227VM5 AAA A-23 929227VN3 AAA A-24 929227VP8 AAA A-25 929227VQ6 AAA P 929227WD4 AAA B-1 929227WE2 AAA B-2 929227WF9 AAA B-3 929227WG7 AAA WaMu Mortgage-Backed Pass-Through Certificates Series 2002-S4 Series 2002-S4 Class CUSIP Rating ----- ----- ------ A3 22540VY55 AAA A4 22540VY63 AAA X 22540VZ54 AAA P 22540VZ62 AAA B1 22540VZ88 AAA B2 22540VZ96 AAA B3 22540V2A9 AAA Washington Mutual Mortgage Securities Corp. Series 2002-S7 Class CUSIP Rating ----- ----- ------ I-A-4 929227YE0 AAA II-A-1 929227YF7 AAA III-A-1 929227YG5 AAA IV-A-4 929227YL4 AAA II-P 929227YT7 AAA IV-P 929227YU4 AAA Washington Mutual Mortgage Securities Corp. Series 2002-MS8 Class CUSIP Rating ----- ----- ------ I-A-1 939336HY2 AAA II-A-1 939336HZ9 AAA II-A-2 939336JA2 AAA II-A-3 939336JB0 AAA II-A-4 939336JC8 AAA II-A-5 939336JD6 AAA II-A-7 939336JF1 AAA II-A-8 939336JG9 AAA II-A-9 939336JH7 AAA III-A-1 939336JJ3 AAA IV-A-4 939336JN4 AAA IV-A-5 939336JP9 AAA C-X-1 939336JR5 AAA C-X-2 939336JS3 AAA C-P-1 939336JT1 AAA IV-P 939336JU8 AAA C-B-1 939336JV6 AAA C-B-2 939336JW4 AA+ C-B-3 939336JX2 AA Washington Mutual MSC Mortgage Pass-Through Certificates Series 2002-MS5 Class CUSIP Rating ----- ----- ------ I-A-4 9393353A1 AAA I-A-36 939336AD5 AAA I-A-37 939336AE3 AAA II-A-1 9393354J1 AAA III-A-1 9393354K8 AAA A-X 9393354W2 AAA II-X 9393354X0 AAA A-P 9393354Y8 AAA II-P 9393354Z5 AAA C-B-1 9393355A9 AAA C-B-2 9393355B7 AAA C-B-3 9393355C5 AAA Washington Mutual MSC Mortgage Pass-Through Certificates Series 2002-MS4 Class CUSIP Rating ----- ----- ------ I-A-4 939335U94 AAA I-A-37 939335Z24 AAA II-A-1 9393352J3 AAA III-A-1 9393352K0 AAA A-X 9393352L8 AAA II-X 9393352M6 AAA A-P 9393352N4 AAA C-B-1 9393352Q7 AAA II-P 9393352P9 AAA C-B-2 9393352R5 AAA C-B-3 9393352S3 AAA Wells Fargo Mortgage Backed Securities 2002-20 Trust Series 2002-20 Class CUSIP Rating ----- ----- ------ A-4 94979MAD3 AAA A-5 94979MAE1 AAA A-PO 94979MAF8 AAA B-1 94979MAH4 AAA B-2 94979MAJ0 AAA B-3 94979MAK7 AA+ * S&P Downgrades Ratings on 22 Classes From 12 RMBS Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 22 classes from 12 residential mortgage-backed securities transactions backed by U.S. prime jumbo and subprime mortgage loan collateral issued from 1991-2001. In addition, S&P affirmed its ratings on 48 classes from these transactions, as well as 16 additional transactions and removed one of the affirmed ratings from CreditWatch with negative implications. 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 due to increased delinquencies. The downgrades to 'D' on class M-2 from Morgan Stanley Dean Witter Capital I Inc. Trust 2001-NC4, class M-1 from Delta Funding Home Equity Loan Trust 1999-2, class M-2 from Delta Funding Home Equity Loan Trust 2000-1, class M-2 from Delta Funding Home Equity Loan Trust 2000-3, and the downgrades to 'CC' on classes IV-A-1, IV-A-2, IV-A-3, V-A-1, V-A-2, III-A-X, IV-A-X from FNT Mortgage-Backed Pass-Through Certificates Series FNT 2001-4 and class M-1 from Morgan Stanley Dean Witter Capital I Inc. Trust 2001-NC3 reflect S&P's assessment of interest shortfalls sustained on the affected classes during recent remittance periods. To assess the creditworthiness of each class, S&P reviews the respective transaction's ability to withstand additional credit deterioration and the impact that projected losses will have on each class. In order to maintain a 'B' rating on a class, S&P assesses whether the class can withstand the base-case loss assumptions S&P uses in its analysis. 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 S&P's base-case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 155% of its 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. A combination of subordination, overcollateralization and excess spread provides credit support for the affected transactions. The underlying collateral for these deals consists of fixed- and adjustable-rate U.S. prime jumbo and subprime mortgage loans secured by first liens on one- to four-family residential properties. Rating Actions Delta Funding Home Equity Loan Trust 1999-2 Series 1999-2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 24763LFP0 D CCC Delta Funding Home Equity Loan Trust 2000-1 Series 2000-1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 24763LGL8 D A Delta Funding Home Equity Loan Trust 2000-3 Series 2000-3 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 24763LHJ2 D CCC EQCC Trust 2001-1F Series 2001-1F Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 26882JAB2 CCC BBB A-3 26882JAC0 CCC A FNT Mortgage-Backed Pass-Through Certificates Series FNT 2001-4 Series 2001-4 Rating ------ Class CUSIP To From ----- ----- -- ---- D-A-P 22540WFV7 CC AAA III-A-X 22540WEN6 CC AAA IV-A-X 22540WEP1 CC AAA IV-A-1 22540WED8 CC AAA IV-A-2 22540WEE6 CC AAA IV-A-3 22540WFT2 CC AAA V-A-1 22540WEF3 CC AAA V-A-2 22540WEG1 CC AAA Morgan Stanley Dean Witter Capital I Inc. Trust 2001-NC3 Series 2001-NC3 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 61746WLA6 CC AAA M-2 61746WLB4 D BB Morgan Stanley Dean Witter Capital I Inc. Trust 2001-NC4 Series 2001-NC4 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 61746WLM0 D A Norwest Asset Acceptance Corp. Series 1998-HE1 Rating ------ Class CUSIP To From ----- ----- -- ---- A 66937MAA8 BBB+ BBB+/Watch Neg Ryland Mortgage Securities Corp. Series 1991-15 Rating ------ Class CUSIP To From ----- ----- -- ---- B 783766GV4 BBB- BBB+ Ryland Mortgage Securities Corp. Series 1991-16 Rating ------ Class CUSIP To From ----- ----- -- ---- B 783766GY8 BBB- BBB+ I 783766GZ5 BBB- BBB+ Ryland Mortgage Securities Corp. Series 1991-17 Rating ------ Class CUSIP To From ----- ----- -- ---- B 783766HB7 BBB- BBB+ Ryland Mortgage Securities Corp. Series 1991-19 Rating ------ Class CUSIP To From ----- ----- -- ---- B 783766HF8 BBB- BBB+ Ryland Mortgage Securities Corp. Series 1992- 4 Rating ------ Class CUSIP To From ----- ----- -- ---- B 783766JT6 B+ BBB+ Ratings Affirmed Banc of America Funding Corporation Series 2000-1 Class CUSIP Rating ----- ----- ------ 2A-2 05946XAV5 AAA 2A-WIO 05946XAW3 AAA Credit Suisse First Boston Mortgage Securities Corp. Series 2001-4 Class CUSIP Rating ----- ----- ------ M-2 22540AZU5 BBB Credit Suisse First Boston Mortgage Securities Corp. Series 2001-3 Class CUSIP Rating ----- ----- ------ I-A-1 22540A3S5 AAA I-X 22540A3X4 AAA I-B-1 22540A3Z9 AAA I-B-2 22540A4A3 AAA I-B-3 22540A4B1 AAA Delta Funding Home Equity Loan Trust 1999-2 Series 1999-2 Class CUSIP Rating ----- ----- ------ A-6F 24763LFM7 AAA A-7F 24763LFN5 AAA A-1A 24763LFS4 AAA EQCC Trust 2001-1F Series 2001-1F Class CUSIP Rating ----- ----- ------ A-1 26882JAA4 CCC A-4 26882JAD8 A First Alliance Mortgage Loan Trust 1998-2 Series 1998-2F Class CUSIP Rating ----- ----- ------ FXD-NTS 31846LBW5 AAA First Alliance Mortgage Loan Trust 1998-2 Series 1998-2A Class CUSIP Rating ----- ----- ------ ARM-NTS 31846LBV7 AAA First Republic Mortgage Loan Trust 2000-FRB1 Series 2000-FRB1 Class CUSIP Rating ----- ----- ------ A-1 336161AA2 AAA A-1M 336161AB0 AAA A-2 336161AC8 AAA A-2M 336161AD6 AAA B-1 336161AF1 AAA B-2 336161AG9 AA+ B-3 336161AH7 A+ FNT MORTGAGE-BACKED PASS-THROUGH CERTIFICATES SERIES FNT 2001-4 Series 2001-4 Class CUSIP Rating ----- ----- ------ I-A-1 22540WCP3 AAA C-A-X 22540WEQ9 AAA C-B-1 22540WEU0 AAA C-B-2 22540WEV8 AAA C-B-3 22540WEW6 AA+ Merrill Lynch Mortgage Investors Inc. Series 1998-GN1 Class CUSIP Rating ----- ----- ------ A 589929PJ1 AAA M-1 589929PK8 AA+ M-2 589929PL6 A Merrill Lynch Mortgage Investors Inc. Series 1998-GN2 Class CUSIP Rating ----- ----- ------ A 589929RH3 AAA M-1 589929RJ9 AA+ M-2 589929RK6 A Merrill Lynch Mortgage Investors Inc. Series 1998-GN3 Class CUSIP Rating ----- ----- ------ A 589929SE9 AAA PNC Mortgage Securities Corp. Series 1999-10 Class CUSIP Rating ----- ----- ------ I-A-1 69348RSU1 AAA II-A-1 69348RSV9 AAA II-X 69348RSY3 AAA II-P 69348RTA4 AAA A-P 69348RTB2 AAA Salomon Brothers Mortgage Securities VII Inc. Series 1996-5 Class CUSIP Rating ----- ----- ------ A 79548KRF7 AAA Structured Asset Securities Corp. Series 1999-ALS3 Class CUSIP Rating ----- ----- ------ 1-PO 863572F40 AAA 2-PO 863572F65 AAA Structured Asset Securities Corp. Series 2000-1 Class CUSIP Rating ----- ----- ------ M1 863572L84 AAA M2 863572L92 AA- M3 863572M26 A Westam Mortgage Financial Corp. Series 11 Class CUSIP Rating ----- ----- ------ 11-A 957087CP2 AAA Westam Mortgage Financial Corp. Series 14 Class CUSIP Rating ----- ----- ------ 14A 957087CX5 AAA * S&P Downgrades Ratings on 45 Classes From Three RMBS Deals ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 45 classes from three residential mortgage-backed securities transactions issued between 2005-2007: one is backed by U.S. Alternative-A mortgage collateral and two are backed by prime jumbo mortgage loan collateral. At the same time, S&P removed all of the ratings from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 25 classes from two of these transactions and removed seven of the affirmed ratings from CreditWatch negative. Standard & Poor's has established revised loss projections for each transaction rated between 2005 and 2007. S&P's lifetime projected losses have changed for one of the transactions in this release. S&P's revised projected losses are: Orig. bal. Lifetime Transaction (mil. $) exp. loss (%) ----------- ---------- ------------- Lehman Mortgage Trust 2005-2 1.231 7.93 The downgrades reflect S&P's opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings, given its current projected losses in light of increased delinquencies. To assess the creditworthiness of each class, S&P reviewed the individual delinquency and loss trends of each transaction for changes, if any, in risk characteristics, servicing, and the ability to withstand additional credit deterioration. In order to maintain a 'B' rating on a class, S&P assessed whether, in its view, a class could absorb the base-case loss assumptions S&P used in its analysis. For Alt-A transactions, in order to maintain a rating higher than 'B', S&P assessed whether a 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 its base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in S&P's view, withstand approximately 150% of its base-case loss assumptions under its analysis. For prime transactions, in order to maintain an 'AAA' rating, S&P assessed whether a class could 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 assessed whether a class could 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 its 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. Alt-A and prime jumbo mortgage loans that are secured by first and second liens on one- to four- family residential properties. Rating Actions Alternative Loan Trust 2007-HY6 Series 2007-HY6 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 02151JAB7 CCC B/Watch Neg Banc of America Funding 2006-5 Trust Series 2006-5 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-4 05950NAD0 CCC B/Watch Neg 2-A-5 05950NAV0 B B/Watch Neg 2-A-6 05950NAW8 A A/Watch Neg 2-A-7 05950NAX6 BB BB/Watch Neg 2-A-10 05950NBA5 B B/Watch Neg 2-A-11 05950NBB3 B B/Watch Neg 2-A-12 05950NBC1 B B/Watch Neg 2-A-13 05950NBD9 B B/Watch Neg 3-A-1 05950NBE7 CCC B/Watch Neg 3-A-2 05950NBF4 CCC B/Watch Neg 3-A-3 05950NBG2 CCC B/Watch Neg 3-A-4 05950NBH0 AA- AAA/Watch Neg 4-A-1 05950NBJ6 B- B/Watch Neg 4-A-2 05950NBK3 AA+ AAA/Watch Neg 4-A-3 05950NBL1 B- B/Watch Neg 4-A-4 05950NBM9 BBB- BBB/Watch Neg 4-A-5 05950NBN7 B- B/Watch Neg 4-A-6 05950NBP2 A+ AA/Watch Neg 4-A-7 05950NBQ0 B- B/Watch Neg 4-A-8 05950NBR8 B- B/Watch Neg 30-IO 05950NBS6 AA+ AAA/Watch Neg Lehman Mortgage Trust 2005-2 Series 2005-2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 52520MBN2 BBB AAA/Watch Neg 1-A2 52520MBP7 BBB AAA/Watch Neg 1-A3 52520MBQ5 CCC A/Watch Neg 1-A4 52520MBR3 CCC A/Watch Neg 2-A1 52520MBS1 B AAA/Watch Neg 2-A2 52520MBT9 B AAA/Watch Neg 2-A3 52520MBU6 CCC A/Watch Neg 2-A4 52520MBV4 B AAA/Watch Neg 2-A5 52520MBW2 B AAA/Watch Neg 2-A6 52520MBX0 CCC A/Watch Neg 3-A1 52520MBY8 CCC BBB/Watch Neg 3-A2 52520MBZ5 CCC AAA/Watch Neg 3-A3 52520MCA9 CCC BBB/Watch Neg 3-A4 52520MCB7 CCC AAA/Watch Neg 3-A5 52520MCC5 CCC AAA/Watch Neg 3-A6 52520MCD3 CC BBB/Watch Neg 3-A7 52520MCE1 CC BBB/Watch Neg AP 52520MCN1 CC BBB/Watch Neg AX 52520MCP6 BBB AAA/Watch Neg PAX 52520MCQ4 BBB AAA/Watch Neg B1 (1-3) 52520MCR2 CC B/Watch Neg B2 (1-3) 52520MCS0 CC B/Watch Neg 4-A1 52520MCF8 CCC AAA/Watch Neg 4-A2 52520MCG6 CCC A/Watch Neg 5-A1 52520MCH4 CCC A/Watch Neg 5-A2 52520MCJ0 CCC A/Watch Neg 5-A3 52520MCK7 CCC A/Watch Neg 5-A4 52520MCL5 CCC A/Watch Neg 5-A5 52520MCM3 CCC A/Watch Neg B1 (4-5) 52520MCX9 CC B/Watch Neg Ratings Affirmed Alternative Loan Trust 2007-HY6 Series 2007-HY6 Class CUSIP Rating ----- ----- ------ A-1 02151JAA9 CCC A-3 02151JAC5 CCC A-4 02151JAD3 CCC A-5 02151JAE1 CCC Banc of America Funding 2006-5 Trust Series 2006-5 Class CUSIP Rating ----- ----- ------ 1-A-1 05950NAA6 CCC 1-A-2 05950NAB4 CCC 1-A-3 05950NAC2 CCC 1-A-5 05950NAE8 CCC 1-A-6 05950NAF5 CCC 1-A-7 05950NAG3 CCC 1-A-8 05950NAH1 CCC 1-A-9 05950NAJ7 CCC 1-A-10 05950NAK4 CCC 1-A-11 05950NAL2 CCC 1-A-12 05950NAM0 CCC 1-A-13 05950NAN8 CCC 1-A-14 05950NAP3 CCC 30-PO 05950NBT4 CCC * S&P Downgrades Ratings on 52 Tranches From 14 CLO Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 52 tranches from 14 U.S. collateralized loan obligation transactions and removed them from CreditWatch with negative implications. The affected tranches have a total issuance amount of $3.572 billion. At the same time, S&P affirmed its ratings on 11 tranches from five transactions and removed 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 nine 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 used in the analysis, S&P is providing the tiered recovery rate assumed for the cash flows generated for the 'AAA' liability rating for each transaction. Table 1 Tiered Recovery Rate For 'AAA' Liability Rating Transaction Recovery rate (%) ----------- ----------------- Avery Street CLO Ltd 44.7 Emerson Place CLO Ltd. 43.3 Endurance CLO I, Ltd. 45.9 Freeport Loan Trust 2006-1 45.1 Golub Capital Funding CLO-8 Ltd 44.0 GSC Partners CDO Fund VII Ltd 43.3 LCM VI Ltd 47.2 MC Funding Ltd. 40.8 Mountain Capital CLO VI Ltd 42.0 SFR Ltd 49.5 Shasta CLO I Ltd 42.1 Symphony Credit Partners II Ltd 46.8 Symphony Credit Partners III Ltd 46.8 Trimaran CLO V Ltd 42.0 S&P will continue to review the remaining transactions with ratings placed on CreditWatch following its corporate CDO criteria update and resolve the CreditWatch status of the affected tranches. Rating Actions Rating ------ Transaction Class To From ----------- ----- -- ---- Avery Street CLO Ltd A AA+ AAA/Watch Neg Avery Street CLO Ltd A-2 AA+ AAA/Watch Neg Avery Street CLO Ltd B Fixed A- AA/Watch Neg Avery Street CLO Ltd B Float A- AA/Watch Neg Avery Street CLO Ltd C BBB- A/Watch Neg Avery Street CLO Ltd D BB BBB/Watch Neg Avery Street CLO Ltd E CCC+ BB/Watch Neg Emerson Place CLO Ltd. A AA- AAA/Watch Neg Emerson Place CLO Ltd. B A- AA/Watch Neg Emerson Place CLO Ltd. C BBB- A/Watch Neg Emerson Place CLO Ltd. D B+ BBB-/Watch Neg Emerson Place CLO Ltd. E CCC+ B+/Watch Neg Endurance CLO I, Ltd. A A+ AAA/Watch Neg Freeport Loan Trust 2006-1 A-1A AAA AAA/Watch Neg Freeport Loan Trust 2006-1 A-1B AAA AAA/Watch Neg Freeport Loan Trust 2006-1 B AA AA/Watch Neg Freeport Loan Trust 2006-1 C BBB+ A/Watch Neg Freeport Loan Trust 2006-1 D BBB BBB/Watch Neg Golub Capital Funding CLO-8 Ltd A-1 Sr AA+ AAA/Watch Neg Golub Capital Funding CLO-8 Ltd A-2 Sr A+ AA/Watch Neg Golub Capital Funding CLO-8 Ltd B Def BBB+ A/Watch Neg GSC Partners CDO Fund VII Ltd A-1 AAA AAA/Watch Neg GSC Partners CDO Fund VII Ltd A-2 AAA AAA/Watch Neg GSC Partners CDO Fund VII Ltd B AA AA/Watch Neg GSC Partners CDO Fund VII Ltd C BBB+ A/Watch Neg GSC Partners CDO Fund VII Ltd D B+ BBB/Watch Neg GSC Partners CDO Fund VII Ltd E CCC- BB/Watch Neg LCM VI Ltd A AA+ AAA/Watch Neg LCM VI Ltd B AA- AA/Watch Neg LCM VI Ltd C BBB+ A/Watch Neg LCM VI Ltd D BBB- BBB/Watch Neg LCM VI Ltd E CCC+ BB/Watch Neg MC Funding Ltd. A-1 AAA AAA/Watch Neg MC Funding Ltd. A-2 AA+ AAA/Watch Neg MC Funding Ltd. B AA AA/Watch Neg MC Funding Ltd. C BBB+ A/Watch Neg MC Funding Ltd. D BB+ BBB/Watch Neg MC Funding Ltd. E B+ BB/Watch Neg Mountain Capital CLO VI Ltd A A+ AAA/Watch Neg Mountain Capital CLO VI Ltd B A- AA/Watch Neg Mountain Capital CLO VI Ltd C BBB A/Watch Neg Mountain Capital CLO VI Ltd D BB+ BBB/Watch Neg Mountain Capital CLO VI Ltd E CCC- BB/Watch Neg SFR Ltd A A+ AAA/Watch Neg Shasta CLO I Ltd A-1L AA+ AAA/Watch Neg Shasta CLO I Ltd A-1LV AA+ AAA/Watch Neg Shasta CLO I Ltd A-2L A- AA/Watch Neg Shasta CLO I Ltd A-3L BBB A/Watch Neg Shasta CLO I Ltd B-1L BB BBB/Watch Neg Shasta CLO I Ltd B-2L CCC- BB/Watch Neg Shasta CLO I Ltd X AAA AAA/Watch Neg Symphony Credit Partners II Ltd A A+ AAA/Watch Neg Symphony Credit Partners II Ltd B BBB+ AA/Watch Neg Symphony Credit Partners II Ltd C BB+ A/Watch Neg Symphony Credit Partners III Ltd A A+ AAA/Watch Neg Symphony Credit Partners III Ltd B BBB+ AA/Watch Neg Symphony Credit Partners III Ltd C BB+ A/Watch Neg Trimaran CLO V Ltd A1 AAA AAA/Watch Neg Trimaran CLO V Ltd A2 AA+ AAA/Watch Neg Trimaran CLO V Ltd B A+ AA/Watch Neg Trimaran CLO V Ltd C BBB+ A/Watch Neg Trimaran CLO V Ltd D B+ BBB/Watch Neg Trimaran CLO V Ltd E CCC+ BB/Watch Neg * S&P Downgrades Ratings on 68 Classes From 14 RMBS Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 68 classes from 14 residential mortgage-backed securities transactions backed by U.S. Alternative-A and prime jumbo mortgage loan collateral issued in 2001-2004. S&P removed 22 of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 124 classes from 12 of the downgraded transactions and seven additional transactions issued in 1998-2004 and removed 12 of the ratings from CreditWatch negative. The downgrades reflect S&P's opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings, given S&P's current projected losses. 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. To assess the creditworthiness of each class, S&P reviewed the individual delinquency and loss trends of each transaction for changes, if any, in risk characteristics, servicing, and the ability to withstand additional credit deterioration. For mortgage pools that continue to report increasing delinquencies, S&P increased S&P's cash flow stresses to account for potential increases in monthly losses. 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 Alt-A transactions, to maintain an 'AAA' rating, S&P considers whether a class is able to withstand approximately 150% of its base-case loss assumptions, subject to individual caps and qualitative factors assumed on specific transactions. When affirming a 'B' rating on a class, S&P considers whether a bond is able to withstand S&P's base-case loss assumptions. 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 150 % for a 'AAA' rating. For example, 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. For the prime jumbo transactions, S&P assessed whether a class could withstand 127% of its base-case loss assumption in order to maintain a 'BB' rating, while S&P assessed whether a different class could withstand 154% of its base-case loss assumption to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating could withstand approximately 235% of S&P's base-case loss assumptions. A combination of subordination, excess spread, and overcollateralization provide credit support for the Alt-A transactions. The prime jumbo transactions benefit from subordination only. The underlying collateral for these deals consists of fixed-rate U.S. Alt-A or prime jumbo mortgage loans. Rating Actions Citigroup Mortgage Loan Trust Series 2004-HYB2 Series 2004-HYB2 Rating ------ Class CUSIP To From ----- ----- -- ---- B-4 17307GOM5 CC CCC B-3 17307GEH7 CCC BBB Credit Suisse First Boston Mortgage Securities Corp. Series 2002-5 Rating ------ Class CUSIP To From ----- ----- -- ---- P-P 22540VZX3 CC AAA IV-B-1 22540VZZ8 CCC AAA IV-B-2 22540VA28 CC AAA IV-B-3 22540VA36 CC BB Credit Suisse First Boston Mortgage Securities Corp. Series 2002-22 Rating ------ Class CUSIP To From ----- ----- -- ---- I-M-2 22541NBU2 CC BBB II-B-1 22541NCL1 B BBB+ D-B-1 22541NBY4 CC AA Credit Suisse First Boston Mortgage Securities Corp. Series 2002-26 Rating ------ Class CUSIP To From ----- ----- -- ---- III-M-3 22541NLS6 CC A IV-B-3 22541NMC0 BB A Credit Suisse First Boston Mortgage Securities Corp. Series 2003-21 Rating ------ Class CUSIP To From ----- ----- -- ---- C-B-2 22541QQK1 A- A C-B-3 22541QQL9 B- BBB- C-B-4 22541QQV7 CCC BB C-B-5 22541QQW5 CC B III-B-4 22541QQY1 CC B D-B-3 22541QQS4 CC CCC DSLA Mortgage Loan Trust 2004-AR4 Series 2004-AR4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1A 23332UBU7 BBB AAA 2-A1B 23332UBW3 CCC AAA 2-A2B 23332UBY9 CCC AAA B-1 23332UBZ6 CC BB IndyMac INDX Mortgage Loan Trust 2004-AR10 Series 2004-AR10 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 45660N2W4 BBB AAA/Watch Neg 2-A-1 45660N2X2 BBB AAA/Watch Neg 2-A-2A 45660N2Y0 BBB AAA/Watch Neg 2-A-2B 45660N2Z7 BBB AAA/Watch Neg A-X-2 45660N3B9 BBB AAA/Watch Neg B-1 45660N3D5 CCC AA+/Watch Neg B-2 45660N3E3 CC A+/Watch Neg B-3 45660N3F0 CC BBB+/Watch Neg B-4 45660N3G8 CC BB+/Watch Neg IndyMac INDX Mortgage Loan Trust 2004-AR2 Series 2004-AR2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 45660NG66 AA- AA 2-A-1 45660NG74 AA- AA A-X-2 45660NG90 AA- AA B-2 45660NH40 CC CCC MASTR Adjustable Rate Mortgages Trust 2004-12 Series 2004-12 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 576433TN6 A AAA 2-A-1 576433TP1 B- AAA 4-A-1 576433TR7 AA AAA 5-A-1 576433UC8 A AAA A-C-1 576433TS5 A AAA B-1 576433TU0 CCC A B-2 576433TV8 CC CCC MASTR Alternative Loan Trust 2004-4 Series 2004-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 2-A-1 576434PY4 AAA AAA/Watch Neg 3-A-1 576434PZ1 AAA AAA/Watch Neg 4-A-1 576434QA5 AAA AAA/Watch Neg 5-A-1 576434QB3 AAA AAA/Watch Neg 6-A-1 576434QC1 AAA AAA/Watch Neg 7-A-1 576434QD9 AAA AAA/Watch Neg 8-A-1 576434QE7 AAA AAA/Watch Neg 15-PO 576434QK3 AAA AAA/Watch Neg 15-AX-1 576434QM9 AAA AAA/Watch Neg B-1 576434QT4 BBB- AA B-2 576434QU1 CCC A B-3 576434QV9 CC BBB B-4 576434QZ0 CC BB B-5 576434RA4 CC B B-I-1 576434QW7 AA- AA-/Watch Neg B-I-2 576434QX5 B- A-/Watch Neg B-I-3 576434QY3 CCC BBB-/Watch Neg B-I-4 576434RC0 CC BB/Watch Neg Nomura Asset Acceptance Corporation Alternative Loan Trust Series 2004-AR4 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 65535VGV4 CCC AA M-2 65535VGW2 CC CCC Nomura Asset Acceptance Corporation, Alternative Loan Trust Series 2004-AR1 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A 65535VDM7 AA AAA/Watch Neg II-A 65535VDQ8 AA AAA/Watch Neg III-A 65535VDR6 AA AAA/Watch Neg IV-A 65535VDS4 AA AAA/Watch Neg IV-X 65535VDT2 AA AAA/Watch Neg C-B-1 65535VDU9 CCC AA/Watch Neg C-B-2 65535VDV7 CC A+/Watch Neg C-B-3 65535VDW5 CC BBB/Watch Neg C-B-4 65535VED6 CC BB/Watch Neg V-A-1 65535VDX3 AAA AAA/Watch Neg V-A-3 65535VDZ8 AAA AAA/Watch Neg V-M-1 65535VEA2 CC AA/Watch Neg RAAC Series 2004-SP1 Trust Series 2004-SP1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-I-3 7609855T4 AA- AAA A-I-4 7609855U1 AA- AAA A-II 7609855V9 AA- AAA M-1 7609855X5 B- AA M-2 7609855Z0 CCC B M-3 7609855Y3 CC CCC WaMu Mortgage-Backed Pass-Through Certificates Series 2001-AR5 Series 2001-AR5 Rating ------ Class CUSIP To From ----- ----- -- ---- B-3 22540VLJ9 BB- AA- Ratings Affirmed Alternative Loan Trust 1998-4 Series 1998-12 Class CUSIP Rating ----- ----- ------ I-A-1 12669ATD6 AAA II-A-3 12669ATG9 AAA II-A-4 12669ATH7 AAA PO 12669ATK0 AAA X 12669AWR1 AAA Citigroup Mortgage Loan Trust Series 2004-HYB2 Series 2004-HYB2 Class CUSIP Rating ----- ----- ------ I-A 17307GEB0 AAA II-A 17307GEC8 AAA III-A 17307GED6 AAA IV-A 17307GEE4 AAA B-1 17307GEF1 AA B-2 17307GEG9 A Credit Suisse First Boston Mortgage Securities Corp. Series 2002-5 Class CUSIP Rating ----- ----- ------ IV-A-1 22540VZT2 AAA IV-X 22540VZV7 AAA IV-P 22540VZY1 AAA Credit Suisse First Boston Mortgage Securities Corp. Series 2002-22 Class CUSIP Rating ----- ----- ------ I-PP 22541NCF4 AAA I-M-1 22541NBT5 AA II-PP 22541NCG2 AAA II-M-1 22541NBV0 AA II-M-2 22541NBW8 A IV-A-1 22541NBQ1 AAA IV-X 22541NBR9 AAA IV-P 22541NBS7 AAA IV-PP 22541NCH0 AAA Credit Suisse First Boston Mortgage Securities Corp. Series 2002-26 Class CUSIP Rating ----- ----- ------ III-M-1 22541NLQ0 AA III-M-2 22541NLR8 A+ IV-A-1 22541NLG2 AAA IV-P 22541NLP2 AAA IV-X 22541NLL1 AAA IV-B-1 22541NMA4 AAA IV-B-2 22541NMB2 AA+ Credit Suisse First Boston Mortgage Securities Corp. Series 2003-21 Class CUSIP Rating ----- ----- ------ I-A-3 22541QPA4 AAA I-A-4 22541QPB2 AAA I-A-5 22541QPC0 AAA I-A-6 22541QPD8 AAA I-A-7 22541QPE6 AAA I-A-8 22541QPF3 AAA I-A-9 22541QPG1 AAA I-A-10 22541QPH9 AAA I-A-11 22541QPJ5 AAA I-A-12 22541QPK2 AAA I-A-13 22541QPL0 AAA I-A-14 22541QPM8 AAA I-A-15 22541QPN6 AAA I-A-16 22541QPP1 AAA I-A-17 22541QPQ9 AAA I-A-18 22541QPR7 AAA I-A-19 22541QPS5 AAA I-A-20 22541QPT3 AAA I-A-21 22541QPU0 AAA I-A-22 22541QSB9 AAA I-X 22541QQB1 AAA II-A-1 22541QPV8 AAA II-X 22541QQC9 AAA II-P 22541QQG0 AAA III-A-2 22541QPX4 AAA III-A-3 22541QPY2 AAA III-X 22541QQD7 AAA IV-A-1 22541QPZ9 AAA V-A-1 22541QQA3 AAA V-P 22541QQH8 AAA A-X 22541QQE5 AAA A-P 22541QQF2 AAA C-B-1 22541QQJ4 AA III-B-1 22541QQM7 AA III-B-2 22541QQN5 A III-B-3 22541QQP0 BBB DSLA Mortgage Loan Trust 2004-AR4 Series 2004-AR4 Class CUSIP Rating ----- ----- ------ 2-A1A 23332UBV5 AAA 2-A2A 23332UBX1 AAA X-2 23332UCG7 AAA FNT Trust Series 2000-1 Series 2000-1 Class CUSIP Rating ----- ----- ------ II-P 23321P7G7 AAA II-X-1 23321P7E2 AAA II-B-1 23321P7J1 AAA II-B-2 23321P7K8 AA Impac Secured Assets Corp. Series 2000-3 Class CUSIP Rating ----- ----- ------ A-13 45254TDU5 AAA A-14 45254TDV3 AAA IndyMac INDX Mortgage Loan Trust 2004-AR2 Series 2004-AR2 Class CUSIP Rating ----- ----- ------ B-1 45660NH32 CCC MASTR Adjustable Rate Mortgages Trust 2004-12 Series 2004-12 Class CUSIP Rating ----- ----- ------ 3-A-1 576433TQ9 AAA MASTR Alternative Loan Trust 2004-4 Series 2004-4 Class CUSIP Rating ----- ----- ------ 1-A-1 576434PX6 AAA 9-A-1 576434QF4 AAA 10-A-1 576434QG2 AAA 10-A-2 576434QH0 AAA 11-A-1 576434QJ6 AAA 30-PO 576434QL1 AAA 15-AX-2 576434QN7 AAA 30-AX-1 576434QP2 AAA 30-AX-2 576434QQ0 AAA Nomura Asset Acceptance Corporation Alternative Loan Trust Series 2004-AR4 Class CUSIP Rating ----- ----- ------ I-A-1 65535VGK8 AAA I-A-2 65535VGL6 AAA II-A-1 65535VGM4 AAA II-A-2 65535VGN2 AAA II-A-3 65535VGP7 AAA II-A-4 65535VGQ5 AAA II-A-5 65535VGR3 AAA II-A-6 65535VGS1 AAA III-A-1 65535VGT9 AAA III-A-2 65535VGU6 AAA RALI Series 2001-QS16 Trust Series 2001-QS16 Class CUSIP Rating ----- ----- ------ A-2 76110GRZ6 AAA A-P 76110GSG7 AAA A-V 76110GSH5 AAA Residential Accredit Loans Inc. Series 1999-QS4 Class CUSIP Rating ----- ----- ------ A-1 76110FG98 AAA A-V 76110FH30 AAA Residential Asset Securitization Trust 1999-A3 Series 1999-C Class CUSIP Rating ----- ----- ------ A-1 12669BAA0 AAA PO 12669BAB8 AAA X 12669BAC6 AAA B-1 12669BAE2 AAA B-2 12669BAF9 AAA B-3 12669BAG7 AA WaMu Mortgage-Backed Pass-Through Certificates Series 2001-AR5 Series 2001-AR5 Class CUSIP Rating ----- ----- ------ I-A 22540VLE0 AAA B-1 22540VLG5 AAA B-2 22540VLH3 AAA Wells Fargo Alternative Loan 2002-1 Trust Series 2002-1 Class CUSIP Rating ----- ----- ------ I-A-1 94974SAA1 AAA A-PO 94974SAC7 AAA * S&P Downgrades Ratings on 84 Classes From 27 RMBS Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 84 classes from 27 residential mortgage-backed securities transactions backed by U.S. prime jumbo mortgage loan collateral issued in 2003 and 2004. In addition, S&P affirmed its ratings on 521 classes from 26 of these transactions and nine additional transactions and removed three of the ratings from CreditWatch with negative implications. 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 due to increased delinquencies. S&P lowered its ratings on two of the classes to 'D' because they experienced principal write-downs. To assess the creditworthiness of each class, S&P review the respective transaction's ability to withstand additional credit deterioration and the impact that projected losses will have on each class. In order to maintain a 'B' rating on a class, S&P assess whether the class can withstand the base-case loss assumptions S&P uses in its analysis. 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 an '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 its 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. The underlying collateral for these deals consists of fixed- and adjustable-rate U.S. prime jumbo mortgage loans secured by first liens on one- to four-family residential properties. Rating Actions ABN AMRO Mortgage Corp. Series 2003-11 Rating ------ Class CUSIP To From ----- ----- -- ---- B-4 000780NH5 CCC B Banc of America Funding 2003-3 Trust Series 2003-3 Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 05946XFQ1 CCC B Banc of America Mortgage Trust 2004-2 Series 2004-2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-B-2 05948X5C1 BB+ A 1-B-3 05948X5D9 B- BBB 1-B-4 05948X3G4 CC BB 1-B-5 05948X3H2 CC B X-B-5 05948X3L3 CCC B 3-B-4 05948X3N9 CC BB 3-B-5 05948X3P4 CC B Bank of America Mortgage Securities Inc. Series 2004-A Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 05948XS69 A- AA+ 2-A-1 05948XS93 BBB- AA- 2-A-2 05948XT27 BBB- AA- 2-A-3 05948XT35 A AA- 2-A-4 05948XT43 BBB- AA- 3-A-1 05948XT50 AA+ AAA B-1 05948XT68 CCC B+ B-2 05948XT76 CC CCC B-3 05948XT84 CC CCC Chase Mortgage Finance Trust Series 2003-S12 Series 2003-S12 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 16162WCE7 BBB+ A B-2 16162WCF4 B- BBB B-3 16162WCG2 CC BB B-4 16162WCH0 CC B Chase Mortgage Finance Trust, Series 2003-S10 Series 2003-S10 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 16162WAT6 B+ BBB B-3 16162WAV1 CCC BB B-4 16162WAW9 CCC B Chase Mortgage Finance Trust, Series 2003-S15 Series 2003-S15 Rating ------ Class CUSIP To From ----- ----- -- ---- B-4 16162WEY1 CC CCC CHL Mortgage Pass-Through Trust 2003-56 Series 2003-56 Rating ------ Class CUSIP To From ----- ----- -- ---- M 12669FBW2 BB+ AA B-1 12669FBX0 B- A B-2 12669FBY8 CC B B-3 12669FAK9 CC CCC Citicorp Mortgage Securities Inc. Series 2003-11 Rating ------ Class CUSIP To From ----- ----- -- ---- IIA-11 172973UT4 AAA AAA/Watch Neg Citigroup Mortgage Loan Trust Inc. Series 2003-1 Rating ------ Class CUSIP To From ----- ----- -- ---- IIA3 17307GBF4 AAA AAA/Watch Neg IIIA3 17307GBS6 AAA AAA/Watch Neg B5 17307G9L4 B- B W-B3 17307GCT3 BB BBB W-B4 17307G9V4 CCC BB W-B5 17307G9W2 CC CCC First Horizon Mortgage Pass-Through Trust 2004-AR1 Series 2004-AR1 Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 32051DW57 CCC B GMACM Mortgage Loan Trust 2003-AR2 Series 2003-AR2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 36185NH29 CC BBB B-1 36185NH37 CC BB B-2 36185NH45 CC CCC GMACM Mortgage Loan Trust 2003-J5 Series 2003-J5 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 36185NZV5 CCC BBB MASTR Asset Securitization Trust 2004-1 Series 2004-1 Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 55265K7G8 B- B MASTR Asset Securitization Trust 2004-3 Series 2004-3 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 55265K8L6 BBB AA B-2 55265K8M4 B- A B-3 55265K8N2 CC BBB B-4 55265K8Q5 CC BB B-5 55265K8R3 CC B Prime Mortgage Trust 2003-2 Series 2003-2 Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 74160MCD2 CCC B RFMSI Series 2003-S19 Trust Series 2003-S19 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 76111XDB6 CCC B Salomon Brothers Mortgage Securities VII Inc. Series 2003-1 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 79549AYU7 BB- A Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1 Series 2004-1 Rating ------ Class CUSIP To From ----- ----- -- ---- B4 86359BHC8 D CC Structured Asset Securities Corp. Series 2003-34A Rating ------ Class CUSIP To From ----- ----- -- ---- B1-I 86359A5W9 BBB- AA B1-II 86359A6A6 CCC AA B2-I 86359A5Y5 CCC A B3 86359A6C2 CC BBB B4 86359A6E8 CC BB B1-I-X 86359A5X7 BBB- AA B2-I-X 86359A5Z2 CCC A B2-II 86359A6B4 CCC A Structured Asset Securities Corp. Series 2003-37A Rating ------ Class CUSIP To From ----- ----- -- ---- B1-II 86359BCT6 CCC AA B2-I 86359BCR0 CCC A B2-II 86359BCV1 CCC A B3 86359BCX7 CC BBB B4 86359BCZ2 CC BB B5 86359BDA6 D B Washington Mutual Mortgage Securities Corp. Series 2003-AR11 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 92922FJK5 BB A B-3 92922FJL3 CCC BBB B-4 92922FJN9 CC BB B-5 92922FJP4 CC CCC WaMu Mortgage Pass-Through Certificates Series 2003-AR12 Trust Series 2003-AR12 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 92922FKX5 BBB- AA B-2 92922FKY3 CCC A B-3 92922FKZ0 CC BBB B-4 92922FLA4 CC BB B-5 92922FLB2 CC B Wells Fargo Mortgage Backed Securities 2003-12 Trust Series 2003-12 Rating ------ Class CUSIP To From ----- ----- -- ---- B-3 94979FAK2 B+ BBB B-4 94979FAL0 CCC BB B-5 94979FAM8 CC B Wells Fargo Mortgage Backed Securities 2003-13 Trust Series 2003-13 Rating ------ Class CUSIP To From ----- ----- -- ---- B-3 949767AM9 B+ BBB B-4 949767AN7 CCC BB B-5 949767AP2 CCC B Wells Fargo Mortgage Backed Securities 2003-14 Trust Series 2003-14 Rating ------ Class CUSIP To From ----- ----- -- ---- B-3 94981AAL7 B+ BBB B-4 94981AAM5 CCC BB B-5 94981AAN3 CCC B Wells Fargo Mortgage Backed Securities 2003-O Trust Series 2003-O Rating ------ Class CUSIP To From ----- ----- -- ---- B-4 94979YAA3 B- BB B-5 94979YAB1 CC B Wells Fargo Mortgage Backed Securities 2004-B Trust Series 2004-B Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 94981KAG6 CCC B Ratings Affirmed ABN AMRO Mortgage Corp. Series 2003-11 Class CUSIP Rating ----- ----- ------ A-1 000780ML7 AAA A-2 000780MM5 AAA A-3 000780MN3 AAA A-4 000780MP8 AAA A-5 000780MQ6 AAA A-7 000780MS2 AAA A-8 000780MT0 AAA A-9 000780MU7 AAA A-11 000780MW3 AAA A-12 000780MX1 AAA A-13 000780MY9 AAA A-14 000780MZ6 AAA A-P 000780NA0 AAA M 000780NC6 AA B-1 000780ND4 A+ B-2 000780NE2 BBB+ B-3 000780NG7 BB Banc of America Funding 2003-3 Trust Series 2003-3 Class CUSIP Rating ----- ----- ------ 1-A-2 05946XDF7 AAA 1-A-4 05946XDH3 AAA 1-A-5 05946XDJ9 AAA 1-A-6 05946XDK6 AAA 1-A-7 05946XDL4 AAA 1-A-8 05946XDM2 AAA 1-A-9 05946XDN0 AAA 1-A-10 05946XDP5 AAA 1-A-11 05946XDQ3 AAA 1-A-12 05946XDR1 AAA 1-A-13 05946XDS9 AAA 1-A-14 05946XDT7 AAA 1-A-15 05946XDU4 AAA 1-A-16 05946XDV2 AAA 1-A-17 05946XDW0 AAA 1-A-18 05946XDX8 AAA 1-A-19 05946XDY6 AAA 1-A-20 05946XDZ3 AAA 1-A-21 05946XEA7 AAA 1-A-22 05946XEB5 AAA 1-A-23 05946XEC3 AAA 1-A-24 05946XED1 AAA 1-A-25 05946XEE9 AAA 1-A-26 05946XEF6 AAA 1-A-27 05946XEG4 AAA 1-A-28 05946XEH2 AAA 1-A-29 05946XEJ8 AAA 1-A-30 05946XEK5 AAA 1-A-31 05946XEL3 AAA 1-A-32 05946XEM1 AAA 1-A-33 05946XEN9 AAA 1-A-34 05946XEP4 AAA 1-A-35 05946XEQ2 AAA 1-A-36 05946XER0 AAA 1-A-37 05946XES8 AAA 1-A-38 05946XET6 AAA 1-A-39 05946XEU3 AAA 1-A-40 05946XEV1 AAA 1-A-41 05946XEW9 AAA 1-A-42 05946XEX7 AAA 1-A-43 05946XEY5 AAA 1-A-44 05946XEZ2 AAA 1-A-WIO 05946XFD0 AAA 2-A-1 05946XFE8 AAA 2-A-2 05946XFF5 AAA 2-A-WIO 05946XFG3 AAA A-PO 05946XFH1 AAA B-1 05946XFJ7 AA B-2 05946XFK4 A B-3 05946XFL2 BBB B-4 05946XFP3 BB Banc of America Mortgage Trust 2004-2 Series 2004-2 Class CUSIP Rating ----- ----- ------ 1-A-1 05948X3V1 AAA 1-A-2 05948X3W9 AAA 1-A-3 05948X3X7 AAA 1-A-4 05948X3Y5 AAA 1-A-5 05948X3Z2 AAA 1-A-6 05948X4A6 AAA 1-A-7 05948X4B4 AAA 1-A-8 05948X4C2 AAA 1-A-9 05948X4D0 AAA 1-A-10 05948X4E8 AAA 1-A-11 05948X4F5 AAA 1-A-12 05948X4G3 AAA 1-A-13 05948X4H1 AAA 2-A-1 05948X4M0 AAA 2-A-2 05948X4N8 AAA 2-A-3 05948X4P3 AAA 2-A-4 05948X4Q1 AAA 2-A-5 05948X4R9 AAA 2-A-6 05948X4S7 AAA 2-A-7 05948X4T5 AAA 3-A-1 05948X4U2 AAA 4-A-1 05948X4V0 AAA 5-A-1 05948X4W8 AAA 5-A-IO 05948X4X6 AAA A-PO 05948X4Y4 AAA 15-IO 05948X4Z1 AAA 30-IO 05948X5A5 AAA 1-B-1 05948X5B3 AA X-B-1 05948X5E7 AA X-B-2 05948X5F4 A X-B-3 05948X5G2 BBB X-B-4 05948X3K5 BB 5-B-1 05948X5L1 AA+ 5-B-2 05948X5M9 AA- 5-B-3 05948X5N7 BBB+ 5-B-4 05948X3R0 BB 5-B-5 05948X3S8 CCC Chase Mortgage Finance Trust Series 2003-S12 Series 2003-S12 Class CUSIP Rating ----- ----- ------ IA-1 16162WBV0 AAA IA-2 16162WBW8 AAA IA-3 16162WBX6 AAA IA-P 16162WBY4 AAA IIA-1 16162WBZ1 AAA IIA-P 16162WCA5 AAA A-X 16162WCB3 AAA M 16162WCD9 AA Chase Mortgage Finance Trust, Series 2003-S10 Series 2003-S10 Class CUSIP Rating ----- ----- ------ A-1 16162WAL3 AAA A-2 16162WAM1 AAA A-3 16162WAN9 AAA A-P 16162WAP4 AAA A-X 16162WAU3 AAA M 16162WAR0 AA B-1 16162WAS8 A Chase Mortgage Finance Trust, Series 2003-S15 Series 2003-S15 Class CUSIP Rating ----- ----- ------ IA-2 16162WFB0 AAA IA-3 16162WFC8 AAA IA-4 16162WFD6 AAA IA-X 16162WFE4 AAA IIA-1 16162WFF1 AAA IIA-2 16162WFG9 AAA IIA-3 16162WFH7 AAA IIA-4 16162WFJ3 AAA IIA-5 16162WFK0 AAA IIA-6 16162WFL8 AAA IIA-7 16162WFM6 AAA IIA-8 16162WFN4 AAA IIA-9 16162WFP9 AAA IIA-10 16162WFQ7 AAA IIA-11 16162WFR5 AAA IIA-12 16162WFS3 AAA IIA-13 16162WFT1 AAA IIA-14 16162WFU8 AAA IIA-15 16162WFV6 AAA IIA-16 16162WFW4 AAA IIA-17 16162WFX2 AAA IIA-18 16162WFY0 AAA A-P 16162WFZ7 AAA IIA-X 16162WGA1 AAA M 16162WGC7 AA B-1 16162WGD5 A- B-2 16162WGE3 BBB- B-3 16162WEX3 BB CHL Mortgage Pass-Through Trust 2003-50 Series 2003-50 Class CUSIP Rating ----- ----- ------ A-1 12669E5B8 AAA PO 12669E5C6 AAA CHL Mortgage Pass-Through Trust 2003-56 Series 2003-56 Class CUSIP Rating ----- ----- ------ 1-A-1 12669FAR4 AAA 2-A-5 12669FAZ6 AAA 2-X 12669FBA0 AAA 3-A-7A 12669FBL6 AAA 3-A-7B 12669FAU7 AAA 3-A-7C 12669FAX1 AAA 3-X 12669FBM4 AAA 4-A-1 12669FBN2 AAA 4-A-2 12669FBP7 AAA 5-A-1 12669FBQ5 AAA 5-X 12669FES8 AAA 6-A-1 12669FBR3 AAA 7-A-1 12669FBS1 AAA 7-X 12669FET6 AAA 8-A-1 12669FBT9 AAA 9-A-1 12669FBU6 AAA Citicorp Mortgage Securities Inc. Series 2003-11 Class CUSIP Rating ----- ----- ------ IA-1 172973TY5 AAA IA-2 172973TZ2 AAA IA-3 172973UA5 AAA IA-4 172973UB3 AAA IA-5 172973UC1 AAA IA-6 172973UD9 AAA IA-7 172973UE7 AAA IA-8 172973UF4 AAA IA-PO 172973UG2 AAA IA-IO 1729736J3 AAA IIA-IO 1729736K0 AAA IIA-1 172973UH0 AAA IIA-2 172973UJ6 AAA IIA-3 172973UK3 AAA IIA-4 172973UL1 AAA IIA-5 172973UM9 AAA IIA-6 172973UN7 AAA IIA-7 172973UP2 AAA IIA-9 172973UR8 AAA IIA-10 172973US6 AAA IIA-8 172973UQ0 AAA IIA-12 172973UU1 AAA IIA-13 172973UV9 AAA IIA-14 172973UW7 AAA Citigroup Mortgage Loan Trust Inc. Series 2003-1 Class CUSIP Rating ----- ----- ------ IA1 17307GAZ1 AAA XS1 17307GBB3 AAA PO1 17307GBC1 AAA IIA1 17307GBD9 AAA IIA2 17307GBE7 AAA IIA4 17307GBG2 AAA IIA5 17307GBH0 AAA IIA6 17307GBJ6 AAA IIA7 17307GBK3 AAA IIA8 17307GBL1 AAA XS2A 17307GBM9 AAA XS2B 17307GBN7 AAA PO2 17307GBP2 AAA IIIA1 17307GBQ0 AAA IIIA2 17307GBR8 AAA IIIA4 17307GBT4 AAA IIIA5 17307GBU1 AAA IIIA6 17307GBV9 AAA IIIA7 17307GBW7 AAA IIIA8 17307GBX5 AAA IIIA9 17307GBY3 AAA XS3 17307GBZ0 AAA PO3 17307GCA4 AAA B1 17307GCB2 AA B2 17307GCC0 A B3 17307GCD8 BBB B4 17307G9K6 BB W-A1 17307GCE6 AAA W-IOA 17307GCG1 AAA W-XSI 17307GCH9 AAA W-PO1 17307GCJ5 AAA W-B1 17307GCR7 AA W-B2 17307GCS5 A W-A2 17307GCK2 AAA W-IOB 17307GCL0 AAA W-XS2 17307GCM8 AAA W-PO2 17307GCN6 AAA Citigroup Mortgage Loan Trust Series 2003-UST1 Series 2003-UST1 Class CUSIP Rating ----- ----- ------ A-1 17307GAJ7 AAA IO-1 17307GAK4 AAA PO-1 17307GAL2 AAA A-2 17307GAM0 AAA IO-2 17307GAN8 AAA PO-2 17307GAP3 AAA A-3 17307GAQ1 AAA IO-3 17307GAR9 AAA PO-3 17307GAS7 AAA B-1 17307G9E0 AA B-2 17307G9F7 A B-3 17307G9G5 BBB B-4 17307G9H3 BB B-5 17307G9I1 B First Horizon Mortgage Pass-Through Trust 2004-AR1 Series 2004-AR1 Class CUSIP Rating ----- ----- ------ 1-A-1 32051DV33 AAA II-A-1 32051DV41 AAA III-A-1 32051DV74 AAA III-A-2 32051DV82 AAA B-1 32051DV90 AA+ B-2 32051DW24 AA- B-3 32051DW32 A- B-4 32051DW40 BB GMACM Mortgage Loan Trust 2003-AR2 Series 2003-AR2 Class CUSIP Rating ----- ----- ------ A-I-1 36185NF39 AAA A-II-4 36185NF70 AAA A-III-4 36185NG38 AAA A-III-5 36185NG46 AAA A-IV-1 36185NG53 AAA X-III 36185NG79 AAA M-1 36185NG87 AA M-2 36185NG95 A GMACM Mortgage Loan Trust 2003-J5 Series 2003-J5 Class CUSIP Rating ----- ----- ------ A-1 36185NZL7 AAA A-2 36185NZM5 AAA A-3 36185NZN3 AAA IO 36185NZQ6 AAA M-1 36185NZT0 AA M-2 36185NZU7 A B-1 36185NB90 CCC GMACM Mortgage Loan Trust 2003-J8 Series 2003-J8 Class CUSIP Rating ----- ----- ------ A 36185NH78 AAA PO 36185NH86 AAA IO 36185NH94 AAA JPMorgan Mortgage Trust 2003-A2 Series 2003-A2 Class CUSIP Rating ----- ----- ------ I-A-1 466247AS2 AAA 1-A-2 466247AT0 AAA 2-A-2 466247AV5 AAA 2-A-3 466247AW3 AAA 2-A-4 466247AX1 AAA 2-A-5 466247AY9 AAA 3-A-1 466247AZ6 AAA 4-A-1 466247BA0 AAA 4-A-2 466247BB8 AAA 5-A-1 466247BC6 AAA B-1 466247BE2 AA B-2 466247BF9 A B-3 466247BG7 BBB B-4 466247BH5 BB B-5 466247BJ1 B MASTR Asset Securitization Trust 2004-1 Series 2004-1 Class CUSIP Rating ----- ----- ------ 1-A-1 55265K5B1 AAA 1-A-6 55265K5G0 AAA 1-A-7 55265K5H8 AAA 1-A-8 55265K5J4 AAA 1-A-9 55265K5K1 AAA 1-A-10 55265K5L9 AAA 1-A-11 55265K5M7 AAA 1-A-12 55265K5N5 AAA 2-A-1 55265K5P0 AAA 3-A-1 55265K5Q8 AAA 3-A-2 55265K5R6 AAA 3-A-3 55265K5S4 AAA 3-A-4 55265K5T2 AAA 3-A-5 55265K5U9 AAA 3-A-6 55265K5V7 AAA 3-A-7 55265K5W5 AAA 3-A-8 55265K5X3 AAA 4-A-1 55265K5Y1 AAA 4-A-2 55265K5Z8 AAA 5-A-4 55265K6E4 AAA 5-A-8 55265K6J3 AAA 5-A-13 55265K6P9 AAA 5-A-14 55265K6Q7 AAA 5-A-15 55265K6R5 AAA 5-A-16 55265K6S3 AAA 5-A-17 55265K6T1 AAA 5-A-18 55265K6U8 AAA 5-A-19 55265K6V6 AAA 5-A-20 55265K7J2 AAA 15-PO 55265K6W4 AAA 30-PO 55265K6X2 AAA 15-A-X 55265K6Y0 AAA 30-A-X 55265K6Z7 AAA B-1 55265K7C7 AA B-2 55265K7D5 A B-3 55265K7E3 BBB B-4 55265K7F0 BB MASTR Asset Securitization Trust 2004-3 Series 2004-3 Class CUSIP Rating ----- ----- ------ 1-A-1 55265K7K9 AAA 1-A-2 55265K7L7 AAA 1-A-3 55265K7M5 AAA 2-A-1 55265K7N3 AAA 3-A-1 55265K7P8 AAA 3-A-2 55265K7Q6 AAA 4-A-3 55265K7T0 AAA 4-A-4 55265K7U7 AAA 4-A-5 55265K7V5 AAA 4-A-6 55265K7W3 AAA 4-A-7 55265K7X1 AAA 4-A-8 55265K7Y9 AAA 4-A-9 55265K7Z6 AAA 4-A-10 55265K8A0 AAA 4-A-11 55265K8B8 AAA 4-A-12 55265K8C6 AAA 4-A-13 55265K8D4 AAA 4-A-14 55265K8E2 AAA 4-A-15 55265K8F9 AAA 5-A-1 55265K8P7 AAA PO 55265K8G7 AAA 5-A-X 57643MAA2 AAA 15-A-X 55265K8J1 AAA 30-A-X 55265K8K8 AAA MASTR Asset Securitization Trust 2004-P2 Series 2004-P2 Class CUSIP Rating ----- ----- ------ A-1 55265K4Q9 AAA A-I-IO 55265K4R7 AAA A-2 55265K4S5 AAA B-1 55265K4V8 AA B-2 55265K4W6 A B-3 55265K4X4 BBB B-4 55265K4Y2 BB B-5 55265K4Z9 B Prime Mortgage Trust 2003-2 Series 2003-2 Class CUSIP Rating ----- ----- ------ I-A-1 74160MBE1 AAA I-A-2 74160MBF8 AAA I-A-3 74160MBG6 AAA I-A-4 74160MBH4 AAA I-A-5 74160MBJ0 AAA I-A-6 74160MBK7 AAA I-A-7 74160MBL5 AAA I-A-8 74160MBM3 AAA I-A-9 74160MBN1 AAA I-A-10 74160MBP6 AAA I-A-11 74160MBQ4 AAA I-PO 74160MBR2 AAA II-A-1 74160MBS0 AAA II-A-2 74160MBT8 AAA II-PO 74160MBU5 AAA II-IO 74160MBV3 AAA B-1 74160MBZ4 AA B-2 74160MCA8 A B-3 74160MCB6 BBB B-4 74160MCC4 BB Prime Mortgage Trust 2003-3 Series 2003-3 Class CUSIP Rating ----- ----- ------ A-1 74160MCJ9 AAA A-2 74160MCK6 AAA A-3 74160MCL4 AAA A-4 74160MCM2 AAA A-5 74160MCN0 AAA A-6 74160MCP5 AAA A-7 74160MCQ3 AAA A-8 74160MCR1 AAA A-9 74160MCS9 AAA PO 74160MCT7 AAA B-1 74160MCX8 AA B-2 74160MCY6 A B-3 74160MCZ3 BBB B-4 74160MDA7 BB B-5 74160MDB5 CCC RFMSI Series 2003-S19 Trust Series 2003-S19 Class CUSIP Rating ----- ----- ------ A-1 76111XCF8 AAA A-2 76111XCG6 AAA A-3 76111XCH4 AAA A-4 76111XCJ0 AAA A-5 76111XCK7 AAA A-7 76111XCM3 AAA A-8 76111XCN1 AAA A-9 76111XCP6 AAA A-10 76111XCQ4 AAA A-11 76111XCR2 AAA A-12 76111XCS0 AAA A-P 76111XCT8 AAA A-V 76111XCU5 AAA M-1 76111XCX9 AA M-2 76111XCY7 A M-3 76111XCZ4 BBB B-1 76111XDA8 BB Salomon Brothers Mortgage Securities VII Inc. Series 2003-1 Class CUSIP Rating ----- ----- ------ A-1 79549AYP8 AAA A-2 79549AYQ6 AAA S 79549AYR4 AAA IO 79549AYS2 AAA PO 79549AYT0 AAA Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1 Series 2004-1 Class CUSIP Rating ----- ----- ------ 1-A 86359BFY2 AAA 2-A 86359BFZ9 AAA 2-AX 86359BGA3 AAA 3-A1 86359BGB1 AAA 3-A2 86359BGC9 AAA 3-A3 86359BGD7 AAA 4-A1 86359BGF2 AAA 4-A2 86359BGG0 AAA 4-A3 86359BGH8 AAA 4-A5 86359BGK1 AAA 5-A 86359BGN5 AAA 6-A 86359BGQ8 AAA B1-I 86359BGS4 A- B1X-I 86359BGT2 A- B1-II 86359BGW5 CCC B1X-II 86359BGX3 CCC B2-I 86359BGU9 CCC B2X-I 86359BGV7 CCC B2-II 86359BGY1 CCC 4-A4 86359BGJ4 AAA 6-AX 86359BGR6 AAA Structured Asset Mortgage Investments II Trust 2003-AR4 Series 2003-AR4 Class CUSIP Rating ----- ----- ------ A-1 86359LAA7 AAA A-2 86359LAB5 AAA X 86359LAC3 AAA Structured Asset Mortgage Investments Trust 2003-AR3 Series 2003-AR3 Class CUSIP Rating ----- ----- ------ A-1 86358HUT4 AAA A-2 86358HUU1 AAA X 86358HUV9 AAA Structured Asset Securities Corp. Series 2003-34A Class CUSIP Rating ----- ----- ------ 1-A 86359A4U4 AAA 2-A1 86359A4V2 AAA 2-A2 86359A4W0 AAA 2-A3 86359A4X8 AAA 3-A1 86359A4Z3 AAA 3-A2 86359A5A7 AAA 3-A3 86359A5B5 AAA 3-A4 86359A5C3 AAA 3-A5 86359A5D1 AAA 3-A6 86359A5E9 AAA 4-A 86359A5G4 AAA 5-A4 86359A5M1 AAA 5-A5 86359A5N9 AAA 6-A 86359A5V1 AAA Structured Asset Securities Corp. Series 2003-37A Class CUSIP Rating ----- ----- ------ 1A 86359BBR1 AAA 2-A 86359BBS9 AAA 3-A6 86359BBY6 AAA 3-A7 86359BBZ3 AAA 4-A 86359BCD1 AAA 5-A 86359BCF6 AAA 5-AX 86359BCG4 AAA 5-PAX 86359BCH2 AAA 6-A 86359BCJ8 AAA 7-A 86359BCK5 AAA 8-A1 86359BCL3 AAA 8-A2 86359BCM1 AAA B1-I 86359BCP4 AA B1-I-X 86359BCQ2 AA Washington Mutual Mortgage Securities Corp. Series 2003-AR11 Class CUSIP Rating ----- ----- ------ A-6 92922FJF6 AAA B-1 92922FJJ8 AA WaMu Mortgage Pass-Through Certificates Series 2003-AR12 Trust Series 2003-AR12 Class CUSIP Rating ----- ----- ------ A-6 92922FKU1 AAA X 92922FKW7 AAA Wells Fargo Mortgage Backed Securities 2003-12 Trust Series 2003-12 Class CUSIP Rating ----- ----- ------ A-1 94979FAA4 AAA A-2 94979FAB2 AAA A-3 94979FAC0 AAA A-PO 94979FAF3 AAA B-1 94979FAH9 AA B-2 94979FAJ5 A Wells Fargo Mortgage Backed Securities 2003-13 Trust Series 2003-13 Class CUSIP Rating ----- ----- ------ A-1 949767AA5 AAA A-2 949767AB3 AAA A-3 949767AC1 AAA A-4 949767AD9 AAA A-5 949767AE7 AAA A-6 949767AF4 AAA A-7 949767AG2 AAA A-PO 949767AH0 AAA B-1 949767AK3 AA B-2 949767AL1 A Wells Fargo Mortgage Backed Securities 2003-14 Trust Series 2003-14 Class CUSIP Rating ----- ----- ------ I-A-1 94981AAA1 AAA I-A-2 94981AAB9 AAA I-A-3 94981AAC7 AAA I-A-4 94981AAD5 AAA II-A-1 94981AAF0 AAA II-A-2 94981AAG8 AAA A-PO 94981AAH6 AAA B-1 94981AAJ2 AA B-2 94981AAK9 A Wells Fargo Mortgage Backed Securities 2003-O Trust Series 2003-O Class CUSIP Rating ----- ----- ------ I-A-1 94979YAD7 AAA I-A-2 94979YAE5 AAA I-A-3 94979YAF2 AAA I-A-4 94979YAG0 AAA I-A-5 94979YAH8 AAA I-A-6 94979YAJ4 AAA I-A-7 94979YAK1 AAA I-A-9 94979YAM7 AAA I-A-10 94979YAN5 AAA I-A-11 94979YAP0 AAA II-A-1 94979YAT2 AAA II-A-2 94979YAU9 AAA II-A-3 94979YAV7 AAA III-A-2 94979YAX3 AAA III-A-3 94979YAY1 AAA IV-A-1 94979YAZ8 AAA IV-A-2 94979YBA2 AAA V-A-1 94979YBB0 AAA B-1 94979YBC8 AA B-2 94979YBD6 A B-3 94979YBE4 BBB Wells Fargo Mortgage Backed Securities 2004-B Trust Series 2004-B Class CUSIP Rating ----- ----- ------ A-1 94981KAA9 AAA B-1 94981KAC5 AA B-2 94981KAD3 A B-3 94981KAE1 BBB B-4 94981KAF8 BB * S&P Downgrades Ratings on 156 Classes From 19 RMBS Transactions ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 156 classes from 19 residential mortgage-backed securities transactions backed by U.S. prime jumbo mortgage loan collateral issued in 2004 and removed 14 of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 250 classes from these transactions, as well as seven additional transactions, and removed seven of them from CreditWatch negative. The downgrades reflect S&P's opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings, given S&P's current projected losses due to increased delinquencies. The downgrade to 'D' of class B-4 from CHL Mortgage Pass-Through Trust Series 2004-10 reflects a principal write-down experienced during the January 2010 remittance period. To assess the creditworthiness of each class, S&P review the respective transaction's ability to withstand additional credit deterioration and the impact that projected losses will have on each class. In order to maintain a 'B' rating on a class, S&P assesses whether the class can withstand the base-case loss assumptions S&P uses in its analysis. To maintain an 'AAA' rating, S&P assess 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 S&P's base-case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 155% of its 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. The underlying collateral for these deals consists of fixed- and adjustable-rate U.S. prime jumbo mortgage loans secured by first liens on one- to four-family residential properties. Rating Actions Banc of America Mortgage 2004-E Trust Series 2004-E Rating ------ Class CUSIP To From ----- ----- -- ---- 2-A-6 05949AHA1 BBB AAA 2-A-7 05949AHB9 BBB AAA 2-A-8 05949AHC7 BBB+ AAA 2-A-10 05949AHE3 BBB AAA 3-A-1 05949AHG8 BBB AAA B-1 05949AHJ2 CCC AA B-2 05949AHK9 CC A B-3 05949AHL7 CC BBB B-4 05949AHN3 CC BB B-5 05949AHP8 CC B Banc of America Mortgage 2004-F Trust Series 2004-F Rating ------ Class CUSIP To From ----- ----- -- ---- 2-A-6 05949AJA9 A+ AAA 2-A-7 05949AJB7 A+ AAA 3-A-1 05949AJD3 A+ AAA B-1 05949AJF8 B- AA B-2 05949AJG6 CCC A B-3 05949AJH4 CC BBB B-4 05949AJJ0 CC BB B-5 05949AJK7 CC CCC Banc of America Mortgage Trust 2004-4 Series 2004-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-12 05949AEN6 AAA AAA/Watch Neg 30-B-2 05949AFM7 BBB A 30-B-3 05949AFN5 B BBB 15-B-3 05949AFU9 B BBB 30-B-4 05949AFW5 CC BB X-B-4 05949AFZ8 CCC BB 15-B-4 05949AGC8 CCC BB 30-B-5 05949AFX3 CC B X-B-5 05949AGA2 CC B 15-B-5 05949AGD6 CCC B Banc of America Mortgage Trust 2004-5 Series 2004-5 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-2 05948X6G1 AA AAA 1-A-3 05948X6H9 AA AAA 1-A-4 05948X6J5 AA AAA 1-A-5 05948X6K2 AA AAA 1-A-6 05948X6L0 AA AAA 1-A-7 05948X6M8 AA AAA 1-A-8 05948X6N6 AA AAA 1-A-9 05948X6P1 AA AAA 1-A-PO 05948X7C9 AA AAA 30-B-1 05948X7F2 B AA X-B-1 05948X7J4 BBB+ AA 15-B-1 05948X7M7 BB+ AA 30-B-2 05948X7G0 CCC A X-B-2 05948X7K1 B+ A 15-B-2 05948X7N5 B- A 30-B-3 05948X7H8 CC BBB X-B-3 05948X7L9 CCC BBB 15-B-3 05948X7P0 CCC BBB 30-B-4 05949AGF1 CC BB X-B-4 05949AGM6 CC BB 15-B-4 05949AGJ3 CC BB 30-B-5 05949AGG9 CC B X-B-5 05949AGN4 CC B 15-B-5 05949AGK0 CC B Banc of America Mortgage Trust 2004-6 Series 2004-6 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-B-1 05949AKK5 BB- AA 1-B-2 05949AKL3 CCC A 1-B-3 05949AKM1 CCC BBB 2-B-3 05949AKQ2 B+ BBB 1-B-4 05949AKR0 CC BB 2-B-4 05949AKU3 CCC BB 1-B-5 05949AKS8 CC CCC 2-B-5 05949AKV1 CC B Banc of America Mortgage Trust 2004-7 Series 2004-7 Rating ------ Class CUSIP To From ----- ----- -- ---- 2-A-1 05949AQB9 A- AAA 2-A-2 05949AQC7 A- AAA 2-A-3 05949ANV8 A- AAA 2-A-4 05949ANW6 A- AAA 2-30-IO A- AAA 2-X-PO A- AAA 3-A-1 05949AQD5 B+ AA 6-A-1 05949APN4 A- AA 6-A-2 05949APP9 A- AA 6-A-3 05949APQ7 BBB+ AA 7-A-1 05949APR5 B+ AA 3-15-IO B+ AAA 6-15-IO A- AAA 7-15-IO B+ AAA 3-X-PO B+ AAA 6-X-PO BBB+ AAA 7-X-PO B+ AAA 3-15-PO B+ AAA 6-15-PO BBB+ AAA 7-15-PO B+ AAA X-B-1 05949APS3 CCC BB 15-B-1 05949AQP8 CCC B 15-B-2 05949AQQ6 CC CCC X-B-3 05949APU8 CC CCC Bear Stearns ARM Trust 2004-4 Series 2004-4 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 07384MV33 BB- A B-3 07384MV41 CCC BBB B-4 07384MV90 CC BB B-5 07384MW24 CC B CHL Mortgage Pass-Through Trust 2004-10 Series 2004-10 Rating ------ Class CUSIP To From ----- ----- -- ---- A-4 12669FC43 A+ AAA A-8 12669FC84 A+ AAA A-9 12669FC92 A+ AAA PO 12669FD34 A+ AAA M 12669FD59 B AA B-1 12669FD67 CCC A B-2 12669FD75 CC BBB B-3 12669FB69 CC CCC B-4 12669FB77 D CC Fannie Mae REMIC Trust 2004-W6 Series 2004-W6 Rating ------ Class CUSIP To From ----- ----- -- ---- M 31393YY41 BB+ AA/Watch Neg B-1 31393YY58 CCC A/Watch Neg B-2 31393YY66 CC BBB/Watch Neg B-3 31393YY74 CC BB/Watch Neg GMACM Mortgage Loan Trust 2004-AR1 Series 2004-AR1 Rating ------ Class CUSIP To From ----- ----- -- ---- I-1-A 36185NX21 AAA AAA/Watch Neg I-2-A 36185NX39 AAA AAA/Watch Neg I-3-A 36185NX47 AAA AAA/Watch Neg I-4-A 36185NX54 AAA AAA/Watch Neg I-M-1 36185NY38 BB+ AA/Watch Neg II-M-1 36185NY61 B+ AA I-M-2 36185NY46 B- A/Watch Neg II-M-2 36185NY79 CCC A I-M-3 36185NY53 CC BBB/Watch Neg II-M-3 36185NY87 CC BBB I-B-1 36185NY95 CC BB/Watch Neg II-B-1 36185NZ45 CC BB GSR Mortgage Loan Trust 2004-4 Series 2004-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A1 36228FD29 BBB+ AAA 2A1 36228FD37 BBB+ AAA 2A2 36228FD45 BBB+ AAA 2A3 36228FD52 BBB+ AAA 2A4 36228FD60 BBB+ AAA 2A5 36228FD78 BBB+ AAA 3A1 36228FD86 BBB+ AAA 3A2 36228FD94 BBB+ AAA 3A3 36228FE28 BBB+ AAA B1 36228FE44 CC AA+ B2 36228FE51 CC BBB B3 36228FE69 CC B MASTR Adjustable Rate Mortgages Trust 2004-5 Series 2004-5 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 576433NH5 A- AA+ B-2 576433NJ1 B+ BB Mortgage Pass-Through Trust 2004-HYB3 Series 2004-HYB3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A 12669FYX5 BB+ AAA/Watch Neg 2-A 12669FYY3 BB+ AAA/Watch Neg 3-A 12669FYZ0 BB+ AAA/Watch Neg M 12669FZA4 B- AA/Watch Neg B-1 12669FZB2 CCC A/Watch Neg B-2 12669FZC0 CC BBB/Watch Neg RFMSI Series 2004-S2 Trust Series 2004-S2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-6 76111XFY4 AAA AAA/Watch Neg M-1 76111XGG2 A- AA M-2 76111XGH0 B A M-3 76111XGJ6 CC BBB B-1 76111XGK3 CC BB B-2 76111XGL1 CC CCC RFMSI Series 2004-S3 Trust Series 2004-S3 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 76111XGV9 B- BB B-2 76111XGW7 CCC B RFMSI Series 2004-S4 Trust Series 2004-S4 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-3 76111XHA4 AAA AAA/Watch Neg I-M-2 76111XJA2 BB- A I-M-3 76111XJB0 CCC BBB I-B-1 76111XJF1 CC BB I-B-2 76111XJG9 CC B Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2 Series 2004-2 Rating ------ Class CUSIP To From ----- ----- -- ---- B1-I 86359BLL3 B AA B1X-I 86359BLM1 B AA B1-II 86359BLQ2 B AA B2-I 86359BLN9 CCC BBB B2X-I 86359BLP4 CCC BBB B2-II 86359BLS8 CCC BBB B3 86359BLT6 CC B WaMu Mortgage Pass-Through Certificates Series 2004-AR7 Trust Series 2004-AR7 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 92922FTF5 A- AA B-2 92922FTG3 B- A B-3 92922FTH1 CCC BBB B-4 92922FTT5 CC BB B-5 92922FTU2 CC B WaMu Mortgage Pass-Through Certificates Series 2004-AR9 Trust Series 2004-AR9 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 92922FWM6 A AA B-2 92922FWN4 B+ A B-3 92922FWP9 CCC BBB B-4 92922FWR5 CC BB B-5 92922FWS3 CC B Ratings Affirmed Banc of America Mortgage 2004-E Trust Series 2004-E Class CUSIP Rating ----- ----- ------ 1-A-1 05949AGR5 AAA 2-A-5 05949AGZ7 AAA 4-A-1 05949AHH6 AAA Banc of America Mortgage 2004-F Trust Series 2004-F Class CUSIP Rating ----- ----- ------ 1-A-1 05949AHR4 AAA 2-A-5 05949AHZ6 AAA 2-A-IO 05949AJC5 AAA 4-A-1 05949AJE1 AAA Banc of America Mortgage Trust 2004-4 Series 2004-4 Class CUSIP Rating ----- ----- ------ 1-A-1 05949AEB2 AAA 1-A-2 05949AEC0 AAA 1-A-3 05949AED8 AAA 1-A-4 05949AEE6 AAA 1-A-5 05949AEF3 AAA 1-A-6 05949AEG1 AAA 1-A-7 05949AEH9 AAA 1-A-8 05949AEJ5 AAA 1-A-9 05949AEK2 AAA 1-A-10 05949AEL0 AAA 1-A-11 05949AEM8 AAA 2-A-1 05949AEU0 AAA 2-A-2 05949AEV8 AAA 2-A-3 05949AEW6 AAA 2-A-5 05949AEY2 AAA 2-A-6 05949AEZ9 AAA 3-A-1 05949AFA3 AAA 3-A-2 05949AFB1 AAA 3-A-3 05949AFC9 AAA 3-A-4 05949AFD7 AAA 4-A-1 05949AFE5 AAA 4-A-2 05949AFF2 AAA 5-A-1 05949AFG0 AAA 15-IO 05949AFJ4 AAA 30-IO 05949AFK1 AAA A-PO 05949AFH8 AAA 30-B-1 05949AFL9 AA X-B-1 05949AFP0 AA 15-B-1 05949AFS4 AA X-B-2 05949AFQ8 A 15-B-2 05949AFT2 A X-B-3 05949AFR6 BBB Banc of America Mortgage Trust 2004-5 Series 2004-5 Class CUSIP Rating ----- ----- ------ 1-A-1 05948X6F3 AAA 1-30-IO 05948X7E5 AAA 2-A-1 05948X6S5 AAA 2-A-2 05948X6T3 AAA 2-A-3 05948X6U0 AAA 2-A-4 05948X6V8 AAA 2-A-PO AAA 2-30-IO AAA 3-A-1 05948X6W6 AAA 3-A-2 05948X6X4 AAA 3-A-3 05948X6Y2 AAA 3-A-4 05948X6Z9 AAA 3-A-5 05948X7A3 AAA 3-A-6 05948X7B1 AAA 3-A-PO AAA 3-15-IO AAA 4-A-1 05948X7Q8 AAA 4-A-PO AAA 4-15-IO AAA Banc of America Mortgage Trust 2004-6 Series 2004-6 Class CUSIP Rating ----- ----- ------ 1-A-1 05949AJM3 AAA 1-A-2 05949AJN1 AAA 1-A-3 05949AJP6 AAA 1-A-4 05949AJQ4 AAA 1-A-5 05949AJR2 AAA 1-A-6 05949AJS0 AAA 1-A-7 05949AJT8 AAA 1-A-8 05949AJU5 AAA 1-A-9 05949AJV3 AAA 1-A-10 05949AJW1 AAA 1-A-11 05949AJX9 AAA 1-A-12 05949AJY7 AAA 1-A-PO 05949AKH2 AAA 1-30-IO 05949AKJ8 AAA 2-A-1 05949AKA7 AAA 2-A-2 05949AKB5 AAA 2-A-3 05949AKC3 AAA 2-A-4 05949AKD1 AAA 2-A-5 05949AKE9 AAA 2-A-6 05949AKF6 AAA 2-A-7 05949AKG4 AAA 2-A-PO AAA 2-30-IO AAA 2-B-1 05949AKN9 AA 2-B-2 05949AKP4 A Banc of America Mortgage Trust 2004-7 Series 2004-7 Class CUSIP Rating ----- ----- ------ 1-A-5 05949ANE6 AAA 1-A-6 05949ANF3 AAA 1-A-12 05949ANM8 AAA 1-A-16 05949ANR7 AAA 1-A-17 05949ANS5 AAA 1-A-18 05949ANT3 AAA 1-A-19 05949ANU0 AAA 5-A-1 05949AQF0 AAA 5-A-2 05949ANX4 AAA 5-A-3 05949ANY2 AAA 5-A-4 05949ANZ9 AAA 5-A-5 05949APA2 AAA 5-A-6 05949APB0 AAA 5-A-7 05949APC8 AAA 5-A-8 05949APD6 AAA 5-A-9 05949APE4 AAA 5-A-10 05949APF1 AAA 5-A-11 05949APG9 AAA 5-A-12 05949APH7 AAA 5-A-13 05949APJ3 AAA 5-A-14 05949APK0 AAA 5-A-15 05949APL8 AAA 5-A-16 05949APM6 AAA 1-30-IO AAA 5-30-IO AAA 1-X-PO AAA 5-X-PO AAA 4-A-1 05949AQE3 AAA 4-30-IO AAA 4-X-PO AAA 4-15-PO AAA X-B-2 05949APT1 CCC Bear Stearns ARM Trust 2004-4 Series 2004-4 Class CUSIP Rating ----- ----- ------ A-6 07384MU42 AAA A-7 07384MU59 AAA B-1 07384MV25 AA CHL Mortgage Pass-Through Trust 2004-10 Series 2004-10 Class CUSIP Rating ----- ----- ------ A-1 12669FB93 AAA A-3 12669FC35 AAA A-5 12669FC50 AAA A-6 12669FC68 AAA A-7 12669FC76 AAA A-10 12669FD26 AAA Citicorp Mortgage Securities Inc. Series 2004-3 Class CUSIP Rating ----- ----- ------ A-1 172973WV7 AAA A-2 172973WW5 AAA A-3 172973WX3 AAA A-4 172973WY1 AAA A-5 172973WZ8 AAA A-6 172973XA2 AAA A-7 172973XB0 AAA A-8 172973XC8 AAA A-9 172973XD6 AAA A-10 172973XE4 AAA A-11 172973XF1 AAA A-12 172973XG9 AAA A-PO 172973XH7 AAA GMACM Mortgage Loan Trust 2004-AR1 Series 2004-AR1 Class CUSIP Rating ----- ----- ------ II-1-A 36185NX62 AAA II-2-A 36185NX70 AAA II-3-A 36185NX88 AAA II-4-A 36185NX96 AAA GSR Mortgage Loan Trust 2004-4 Series 2004-4 Class CUSIP Rating ----- ----- ------ 4A1 36228FE36 AAA MASTR Adjustable Rate Mortgages Trust 2004-5 Series 2004-5 Class CUSIP Rating ----- ----- ------ 1-A-1 576433MT0 AAA 2-A-1 576433MU7 AAA 2-A-X 576433MV5 AAA 3-A-1 576433MW3 AAA 4-A-1 576433MX1 AAA 5-A-1 576433MY9 AAA 6-A-1 576433MZ6 AAA 6-A-X 576433NA0 AAA 7-A-1 576433NB8 AAA 9-A-2 576433NP7 AAA 9-A-X 576433NE2 AAA B-3 576433NK8 CCC Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B Series MLCC2004-B Class CUSIP Rating ----- ----- ------ A-1 59020UBU8 AAA A-2 59020UBV6 AAA A-3 59020UBW4 AAA X-A 59020UBX2 AAA X-B 59020UBZ7 AAA B-1 59020UCB9 AAA B-2 59020UCC7 AA+ B-3 59020UCD5 AA- B-4 59020UCE3 A- B-5 59020UCF0 BB RFMSI Series 2004-S2 Trust Series 2004-S2 Class CUSIP Rating ----- ----- ------ A-1 76111XFT5 AAA A-3 76111XFV0 AAA A-4 76111XFW8 AAA A-5 76111XFX6 AAA A-7 76111XFZ1 AAA A-8 76111XGA5 AAA A-9 76111XGB3 AAA A-P 76111XGC1 AAA A-V 76111XGD9 AAA RFMSI Series 2004-S3 Trust Series 2004-S3 Class CUSIP Rating ----- ----- ------ A-1 76111XGN7 AAA A-P 76111XGP2 AAA A-V 76111XGQ0 AAA M-1 76111XGS6 AA M-2 76111XGT4 A M-3 76111XGU1 BBB RFMSI Series 2004-S4 Trust Series 2004-S4 Class CUSIP Rating ----- ----- ------ I-A-1 76111XGY3 AAA I-A-2 76111XGZ0 AAA I-A-4 76111XHB2 AAA I-A-5 76111XHC0 AAA I-A-6 76111XHD8 AAA I-A-7 76111XHE6 AAA I-A-8 76111XHF3 AAA I-A-P 76111XHR7 AAA I-A-V 76111XHS5 AAA II-A-1 76111XHG1 AAA II-A-2 76111XHH9 AAA II-A-3 76111XHJ5 AAA II-A-4 76111XHL0 AAA II-A-5 76111XHM8 AAA II-A-6 76111XHN6 AAA II-A-7 76111XHP1 AAA II-A-8 76111XHQ9 AAA II-A-P 76111XHT3 AAA II-A-V 76111XHU0 AAA I-M-1 76111XHZ9 AA II-M-1 76111XJC8 AA II-M-2 76111XJD6 A II-M-3 76111XJE4 BBB II-B-1 76111XJJ3 BB II-B-2 76111XJK0 B Sequoia Mortgage Trust 2004-3 Series 2004-3 Class CUSIP Rating ----- ----- ------ A-1 81744FAZ0 AAA M-1 81744FBA4 AA Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2 Series 2004-2 Class CUSIP Rating ----- ----- ------ 1-A1 86359BKY6 AAA 1-A2 86359BKZ3 AAA 1-AX 86359BLA7 AAA 2-A 86359BLB5 AAA 3-A 86359BLC3 AAA 4-A1 86359BLE9 AAA 4-A2 86359BLF6 AAA 4-A3 86359BMC2 AAA 5-A 86359BLJ8 AAA 5-AX 86359BLK5 AAA Structured Asset Mortgage Investments II Trust 2004-AR1 Series 2004-AR1 Class CUSIP Rating ----- ----- ------ I-A-1 86359LAP4 AAA I-A-2 86359LAQ2 AAA I-A-3 86359LAR0 AAA II-A-1 86359LAS8 AAA X 86359LAT6 AAA Structured Asset Mortgage Investments II Trust 2004-AR2 Series 2004-AR2 Class CUSIP Rating ----- ----- ------ I-A 86359LBL2 AAA II-A 86359LBM0 AAA III-A 86359LBN8 AAA X 86359LBP3 AAA Structured Asset Mortgage Investments II Trust 2004-AR3 Series 2004-AR3 Class CUSIP Rating ----- ----- ------ I-A-1 86359LBX6 AAA I-A-2 86359LBY4 AAA I-A-3 86359LBZ1 AAA II-A-1 86359LCA5 AAA X 86359LCB3 AAA Thornburg Mortgage Securities Trust 2004-1 Series 2004-1 Class CUSIP Rating ----- ----- ------ I-1A 885220ET6 AAA I-2A 885220EU3 AAA II-1A 885220EV1 AAA II-2A 885220EW9 AAA II-3A 885220EX7 AAA II-4A 885220EY5 AAA I-M 885220EZ2 AA II-M 885220FA6 AA WaMu Mortgage Pass-Through Certificates Series 2004-AR7 Trust Series 2004-AR7 Class CUSIP Rating ----- ----- ------ A-5 92922FTA6 AAA A-6 92922FTB4 AAA WaMu Mortgage Pass-Through Certificates Series 2004-AR9 Trust Series 2004-AR9 Class CUSIP Rating ----- ----- ------ A-1 92922FWE4 AAA A-6 92922FWK0 AAA A-7 92922FWL8 AAA * S&P Downgrades Ratings on 5,589 Classes From 830 RMBS Deals ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 5,589 classes from 830 residential mortgage-backed securities transactions backed by U.S. Alternative-A mortgage loan collateral issued in 2005, 2006, and 2007. S&P removed 1,709 of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 4,387 classes from 646 of the transactions with lowered ratings and from 139 additional transactions, and removed 731 of the affirmed ratings from CreditWatch negative. The downgrades reflect S&P's opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings, given its current projected losses. To assess the creditworthiness of each class, S&P reviewed the individual delinquency and loss trends of each transaction for changes, if any, in risk characteristics, servicing, and the ability to withstand additional credit deterioration. In order to maintain a 'B' rating on a class, S&P assessed whether, in S&P's view, a class could absorb the base-case loss assumptions S&P used in its analysis. In order to maintain a rating higher than 'B', S&P assessed whether the class could withstand losses exceeding 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 its base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in S&P's view, withstand approximately 150% of its base-case loss assumptions under its analysis. S&P also lowered the ratings on certain senior classes due to principal shortfalls or write-downs in the final period of particular cash flow scenarios. These classes may not have experienced any principal shortfalls or write-downs in any of the prior periods of the particular stress scenario; however, the structural mechanics of the transactions created circumstances in which one or more classes within a transaction may have relied on principal proceeds to satisfy interest amounts due in earlier periods, thus resulting in a write-down in the final period. The 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 benefit from overcollateralization and excess spread. The underlying pools of loans backing these transactions consists of different combinations of fixed- and adjustable-rate, hybrid, and option adjustable-rate mortgage (ARM) Alt-A mortgage loans. ********* 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 ***