/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/100314.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, March 14, 2010, Vol. 14, No. 72 Headlines ACA ABS: Fitch Downgrades Ratings on Five Classes of Notes ACAS CRE: Fitch Downgrades Ratings on 17 Classes of Notes ACAS CRE: Moody's Downgrades Ratings on 17 Classes of Notes ACACIA CRE: Moody's Downgrades Ratings on Six Classes of Notes ACAS CRE: S&P Downgrades Ratings on Seven Classes of CRE CDOs ADDISON CDO: Fitch Takes Various Rating Actions on Notes AUCTION PASS-THROUGH: Moody's Downgrades Ratings on Various Certs. BANC OF AMERICA: Fitch Puts Eight Note Ratings on Negative Watch BANC OF AMERICA: Moody's Reviews Ratings on 10 2002-X1 Certs. BANC OF AMERICA: S&P Downgrades Ratings on 10 2005-1 CMBS BEAR STEARNS: Fitch Puts Ratings on 2002-PBW1 Certs. on Neg. Watch BELLSOUTH TELECOMMUNICATIONS: Fitch Cuts Ratings on Notes to 'BB' BLUE HERON: Fitch Downgrades Ratings on Three Classes of Notes CAPITAL TRUST: S&P Downgrades Ratings on Four Classes of Notes CAPITAL TRUST: S&P Downgrades Ratings on Seven Classes of Notes CHASE COMMERCIAL: Fitch Takes Rating Actions on Various Classes CONCORD REAL: S&P Downgrades Ratings on Seven Classes of Notes CORONADO CDO: Fitch Downgrades Ratings on Four Classes of Notes CREDIT SUISSE: Fitch Takes Rating Actions on 2002-CP3 Certs. CREDIT SUISSE: S&P Corrects Ratings on Class M-8 Notes to 'CC' CRIIMI MAE: S&P Downgrades Ratings on 1998-C1 Notes to 'D' DAVIS SQUARE: Moody's Downgrades Ratings on Three Classes DESERT HOT: S&P Downgrades Rating on Tax Bonds to 'BB' DLJ COMMERCIAL: Fitch Reviews Ratings on Three 1999-CG3 Notes E*TRADE RV: S&P Downgrades Ratings on All Classes of Notes GMACC 2005-C1: Fitch Withdraws 'D/RR6' Rating on Class O Notes GMAC COMMERCIAL: S&P Downgrades Ratings on Eight 2004-C3 Notes GUGGENHEIM STRUCTURED: Fitch Downgrades Ratings on Eight Classes HERCULES REDEVELOPMENT: S&P Downgrades Rating on Tax Bonds to 'BB' HIGH POINT: Moody's Withdraws 'Ba2' Rating with Stable Outlook INGRESS CBO: Moody's Downgrades Ratings on Two Classes of Notes ISCHUS CDO: Fitch Downgrades Ratings on Four Classes of Notes JPMORGAN CHASE: S&P Downgrades Ratings on Six 2002-C3 Certs. LAKESIDE CDO: Moody's Downgrades Ratings on Two Classes of Notes LENOX STREET: Moody's Downgrades Ratings on Eight Classes LOUISIANA HOUSING: S&P Downgrades Rating on 2005 Bonds to 'BB' MADISON SQUARE: Fitch Downgrades Ratings on Three Classes MAGNOLIA FINANCE: Moody's Junks Ratings on $9 Mil. CDO Notes MORTGAGE CAPITAL: Fitch Takes Rating Actions on 1998-MC1 Certs. N-STAR REAL: Fitch Downgrades Ratings on Seven Classes of Notes PHILADELPHIA SCHOOL: Moody's Assigns 'Ba1' Rating on 2010 Bonds PNC MORTGAGE: S&P Downgrades Ratings on Eight 2001-C1 Securities PPLUS TRUST: S&P Downgrades Rating on $42.515 Mil. Certs. to 'BB-' PROLOGIS REIT: Fitch Assigns Ratings on Three Classes of Notes RESOURCE REAL: Fitch Downgrades Ratings on All Classes of Notes SATURNS TRUST: S&P Downgrades Rating on $30 Mil. Units to 'BB-' SIGNUM VERMILION: S&P Downgrades Ratings on Fixed Notes to 'B+' SONIC AUTOMOTIVE: S&P Assigns 'B-' Rating on $210 Mil. Notes SOUTH COAST: Fitch Downgrades Ratings on Six Classes of Notes SOUTH STREET: Fitch Downgrades Ratings on Three Classes STRUCTURED REPACKAGED: S&P Cuts Rating on $38 Mil. Certs. to 'BB' SUMMIT CBO: Fitch Downgrades Rating on Class B Notes to 'D/RR6' TIMBERSTAR TRUST: Moody's Downgrades Ratings on Various Certs. TRAINER WORTHAM: Fitch Downgrades Ratings on Three Classes WIREFREE PARTNERS: S&P Cuts Rating on $138.5 Mil. Notes to 'BB-' ZIONS FIRST: Moody's Withdraws Rating on Lockhart's ABCP Program * Fitch Affirms Ratings From Various Future Flow Issues * Moody's Downgrades Ratings on 11 Tranches From Four CDOs * S&P Downgrades Ratings on 22 Classes of Notes to 'D' * S&P Downgrades Ratings on 25 Classes From Eight RMBS Deals * S&P Downgrades Ratings on 28 Tranches From Six CLO Transactions * S&P Downgrades Ratings on 35 Tranches From 14 Hybrid CDO Deals * S&P Downgrades Ratings on 43 Tranches From Nine CLO Deals * S&P Downgrades Ratings on 144 Classes From 12 RMBS Transactions * S&P Downgrades Ratings on 203 Classes From 39 RMBS Transactions * S&P Downgrades Ratings on 634 Classes From 75 Alt-A RMBS Deals ********* ACA ABS: Fitch Downgrades Ratings on Five Classes of Notes ---------------------------------------------------------- Fitch Ratings has downgraded five and affirmed four classes of notes issued by ACA ABS 2003-2, Ltd., as a result of continued credit deterioration in the portfolio since Fitch's last rating action in July 2008. The details of the rating action follow at the end of this release. As of the January 2010 trustee report, the current balance of the portfolio is $296 million. Approximately 69.3% of the portfolio has been downgraded since the last review. Defaulted securities, as defined in the transaction's governing documents, comprise 29.5% of the portfolio. The downgrades to the portfolio have left approximately 53.0% of the portfolio (including defaults) with a Fitch derived rating below investment grade compared to 48.8% at last review. The collateral balance had decreased by $172.2 million since last review. The notes have paid down a total of $33.9 million. The difference is a result of principal writedowns and asset sales in the portfolio. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs'. Due to the magnitude of the collateral deterioration, Fitch believes that the likelihood of default for all classes of notes can be assessed without using the Structured Finance Portfolio Credit Model or performing cash flow model analysis under the framework described in the 'Global Criteria for Cash Flow Analysis in CDOs - Amended' report. Fitch compared the respective credit enhancement levels for each rated class of notes with the amount of underlying assets considered distressed (rated 'CCC' and lower). These assets have a high probability of default and low expected recoveries upon default. The class A-1SD, A-1SU, and A-1SW (together class A-1S) pay interest and principal pro-rata. The class A-1S notes have a credit enhancement level of 18.0% compared to the 31.8% of the portfolio considered distressed. Therefore, the class A-1S notes as well as the class A-1J and A-2 notes have been downgraded to 'C' to indicate Fitch's belief that default is inevitable at or prior to maturity. In addition, the class A-1SW notes are insured by a financial guaranty insurance policy issued by CIFG Guaranty, whose Insurer Financial Strength rating was downgraded by Fitch to 'CCC' in May 2008 and subsequently withdrawn in October 2008. The credit enhancement provided by CIFG to the class A-1SW notes was not factored into this review. The class A-3, B-F and B-V notes are no longer receiving interest distributions and are not expected to receive any proceeds going forward. Therefore, these notes have been affirmed at 'C' to indicate Fitch's belief that default is inevitable at or prior to maturity. ACA ABS 2003-2 is a cash flow structured finance collateralized debt obligation that closed on Nov. 6, 2003, and was managed by ACA Management, LLC until April 2008, when management duties were transferred to Solidus Capital, LLC. The portfolio is composed of residential mortgage-backed securities (53.1%), SF CDOs (16.7%), real estate investment trusts (11.8%), asset-backed securities (8.0%), commercial mortgage-backed securities (7.0%), and other CDOs (3.4%). Fitch has downgraded or affirmed these ratings as indicated: -- $75,054,600 class A-1SD notes downgraded to 'C' from 'B'; -- $161,380,197 class A-1SU notes downgraded to 'C' from 'B'; -- $5,123,181 class A-1SW notes downgraded to 'C' from 'B'; -- $108,000,000 class A-1J notes downgraded to 'C' from 'CCC'; -- $51,000,000 class A-2 notes downgraded to 'C' from 'CC'; -- $36,000,000 class A-3 notes affirmed at 'C'; -- $7,000,000 class B-F notes affirmed at 'C'; -- $14,901,123 class B-V notes affirmed at 'C'; -- $2,980,225 class C notes affirmed at 'C'. ACAS CRE: Fitch Downgrades Ratings on 17 Classes of Notes --------------------------------------------------------- Fitch Ratings has downgraded 17 classes issued by ACAS CRE CDO 2007-1 Ltd./LLC., as a result of further negative credit migration of the commercial mortgage backed securities and increased interest shortfalls thereon. On Feb. 23, 2010, the class B through D notes did not receive their full interest distribution as a result of insufficient interest proceeds due to the continued interest shortfalls on the underlying collateral. Currently, 66.1% of the underlying collateral is experiencing full interest shortfalls. On Feb. 26, 2010, the trustee declared an event of default due to non-payment of full and timely accrued interest to the class B through D notes. Fitch rates the notes to the timely receipt of interest and has therefore downgraded these classes to 'D'. Noteholders had not given direction to accelerate the notes or liquidate the portfolio at the time of this review. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model for projecting future default levels for the underlying portfolio. Due to the significant collateral deterioration, all PCM rating loss rates exceeds the credit enhancement available to class D and below. However, the downgrade to the class A notes is based upon the likelihood that the class will face an interest shortfall in the near term. As of the most recent payment date, the class B notes received $200,000, approximately 50% of what it was owed. Given this slim margin of cushion, approximately 25% of interest coverage to the class A notes, and Fitch's outlook for increasing interest shortfalls, Fitch's view is that interest shortfalls are inevitable on class A. For classes E through N, Fitch analyzed the classes' sensitivity to the default of the distressed collateral ('CCC' category and lower) and assets that are experiencing interest shortfalls. Currently, the entire portfolio has a Fitch derived rating below investment grade and 78.8% has a rating in the 'CCC' rating category and lower. Fitch's loss expectation exceeds the credit enhancement available to classes E and below. Given the high probability of default of the underlying assets and the little to no recovery prospect upon default, classes E and below have been downgraded to 'C', indicating that default is inevitable. ACAS CRE CDO 2007-1 is a commercial real estate collateralized debt obligation that is backed by commercial mortgage-backed securities B-pieces and that closed on July 24, 2007. The portfolio is composed of 121 assets from 22 obligors from the 2005 through 2007 vintages. Fitch has downgraded these classes: -- $181,411,874 class A to 'C' from 'BB'; -- $86,330,000 class B to 'D' from 'B+'; -- $41,000,000 class C-FL to 'D' from 'B'; -- $11,850,000 class C-FX to 'D' from 'B'; -- $25,250,000 class D to 'D' from 'B-'; -- $23,785,000 class E-FL to 'C' from 'CCC'; -- $23,785,000 class E-FX to 'C' from 'CCC'; -- $32,005,000 class F-FL to 'C' from 'CCC'; -- $32,005,000 class F-FX to 'C' from 'CCC'; -- $22,185,000 class G-FL to 'C' from 'CCC'; -- $26,555,000 class G-FX to 'C' from 'CCC'; -- $64,600,000 class H to 'C' from 'CCC'; -- $41,110,000 class J to 'C' from 'CCC'; -- $42,270,000 class K to 'C' from 'CC'; -- $62,240,000 class L to 'C' from 'CC'; -- $35,230,000 class M to 'C' from 'CC'; -- $5,870,000 class N to 'C' from 'CC'. ACAS CRE: Moody's Downgrades Ratings on 17 Classes of Notes ----------------------------------------------------------- Moody's Investors Service downgraded 17 classes of Notes issued by ACAS CRE CDO 2007-1 LTD due to the deterioration in the credit quality of the underlying portfolio as evidenced by the occurrence of an Event of Default, an increase in the weighted average rating factor, and an increase in the percentage of collateral experiencing interest shortfall since Moody's last review. The rating actions are the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. ACAS CRE CDO 2007-1 LTD is a CRE CDO transaction backed by 99% commercial mortgage backed securities issued between 2005 to 2007, and 1% of CRE CDO securities. As of the February 16, 2010 Monthly Trustee Report, the collateral par amount is $1.15 billion, representing a $20.9 million decrease since securitization due to realized losses to the collateral pool. As of the February 23, 2010 payment date, interest shortfalls from the underlying collateral resulted in a default in the payment of interest on the Class B Notes, Class C Notes, and Class D Notes, the Non-PIKable classes, which caused an Event of Default on March 1, 2010, pursuant to Section 5.1(a) of the Indenture dated as of July 24, 2007. Moody's will continue monitoring the transaction as the Holders of Notes may vote to direct the Trustee to take particular action with respect to the Collateral Debt Securities and the Notes. As of the February 16, 2010 Monthly Trustee Report, approximately 75% of the collateral experienced interest shortfall, and 8% was classified as Impaired Securities. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life, WARR, and Moody's asset correlation. WARF is a primary measure of the credit quality of a CRE CDO pool. The bottom-dollar WARF is a measure of the default probability within a CUSIP collateral pool. Moody's modeled a bottom-dollar WARF of 8,820 compared to 7,966 at last review. WAL acts to adjust the probability of default of the collateral pool for time. Moody's modeled to the current WAL of 8 years compared to 9 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Due to the speculative-grade collateral, Moody's modeled a zero WARR compared to approximately 1% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 0% compared to 100% at last review. The low MAC is due to the low ratings diversity within very high risk collateral and concentrated within a small number of collateral names. Moody's review also incorporated updated asset correlation assumptions for the commercial real estate sector consistent with one of Moody's CDO rating models, CDOROM v2.5, which was released on April 3, 2009. These correlations were updated in light of the systemic seizure of credit markets and to reflect higher inter- and intra-industry asset correlations. The updated asset correlations, depending of vintage and issuer diversity, used for CUSIP collateral (i.e. CMBS, CRE CDOs or REIT debt) within CRE CDOs range from 30% to 60%, compared to 15% to 35% previously. The cash flow model, CDOEdge v3.2, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. The rating actions are: -- Class A, Downgraded to Caa3; previously on March 6, 2009 Downgraded to Baa3 -- Class B, Downgraded to C; previously on March 6, 2009 Downgraded to Ba2 -- Class C-FL, Downgraded to C; previously on March 6, 2009 Downgraded to Ba3 -- Class C-FX, Downgraded to C; previously on March 6, 2009 Downgraded to Ba3 -- Class D, Downgraded to C; previously on March 6, 2009 Downgraded to Ba3 -- Class E-FL, Downgraded to C; previously on March 6, 2009 Downgraded to B2 -- Class E-FX, Downgraded to C; previously on March 6, 2009 Downgraded to B2 -- Class F-FL, Downgraded to C; previously on March 6, 2009 Downgraded to B3 -- Class F-FX, Downgraded to C; previously on March 6, 2009 Downgraded to B3 -- Class G-FL, Downgraded to C; previously on March 6, 2009 Confirmed at Caa1 -- Class G-FX, Downgraded to C; previously on March 6, 2009 Confirmed at Caa1 -- Class H, Downgraded to C; previously on March 6, 2009 Confirmed at Caa3 -- Class J, Downgraded to C; previously on March 6, 2009 Confirmed at Caa3 -- Class K, Downgraded to C; previously on March 6, 2009 Confirmed at Caa3 -- Class L, Downgraded to C; previously on March 6, 2009 Confirmed at Caa3 -- Class M, Downgraded to C; previously on March 6, 2009 Confirmed at Caa3 -- Class N, Downgraded to C; previously on March 6, 2009 Confirmed at Caa3 ACACIA CRE: Moody's Downgrades Ratings on Six Classes of Notes -------------------------------------------------------------- Moody's Investors Service downgraded six classes of Notes issued by Acacia CRE CDO 1, Ltd., due to deterioration in the credit quality of the underlying portfolio as measured by deterioration in the weighted average rating factor, an increase in defaulted assets, and negative migration in the overcollateralization ratio since Moody's last review. The rating actions, which conclude Moody's current review, are the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. Acacia CRE CDO 1, Ltd., is a CRE CDO transaction backed by a portfolio of commercial mortgage backed securities (73% of the pool), CRE CDO securities (9% of the pool), and residential mortgage backed securities (18% of the pool). As of January 29, 2010, the aggregate Notes balance of the transaction, including the Subordinate Notes, has decreased to $291.4 million from $300 million at issuance, with the pay-down directed to the Class A Notes. The pay-down was triggered by the principal repayment of underlying collateral, payments of interest in respect of Defaulted Securities being classified as Principal Proceeds per the Indenture dated as of December 14, 2005, and the failure of the Class A/B, Class C/D, and Class E/F Overcollateralization Tests. Per the Indenture, the failure of any Overcollateralization Test results in all scheduled interest and principal payments being directed to pay down the most senior notes, until the failed Overcollateralization Test is satisfied. Twenty-six assets totaling approximately $94 million par amount (35% of the pool) were listed as defaulted as of January 29, 2010, compared to 18 defaulted assets totaling $57 million (19%) as of last review. Of the 26 currently defaulted collateral assets, Moody's estimates over $89 million in expected losses to the Notes (over 90% loss severity on average). Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life, weighted average recovery rate, and Moody's asset correlation. WARF is a primary measure of the credit quality of a CRE CDO pool. The bottom-dollar WARF is a measure of the default probability within a CUSIP collateral pool. Moody's modeled a bottom-dollar WARF of 6,730 compared to 4,342 at last review. Moody's have completed updating credit estimates for the entire pool and the results will be reflected in a future Trustee Report. WAL acts to adjust the probability of default of the collateral pool for time. Moody's modeled to the WAL of 5.5 years, compared to 6.5 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled the WARR of 5%, compared to 9% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 100% compared to 32% at last review. The high MAC reflects the low credit quality and lack of diversity within the collateral pool. Moody's review also incorporated updated asset correlation assumptions for the commercial real estate sector consistent with one of Moody's CDO rating models, CDOROM v2.5, which was released on April 3, 2009. These correlations were updated in light of the systemic seizure of credit markets and to reflect higher inter- and intra-industry asset correlations. The updated asset correlations, depending of vintage and issuer diversity, used for CUSIP collateral (i.e. CMBS, CRE CDOs or REIT debt) within CRE CDOs range from 30% to 60%, compared to 15% to 35% previously. The cash flow model, CDOEdge v3.2, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. The rating actions are: -- Class A, Downgraded to Caa3; previously on December 11, 2009 Baa1 Placed Under Review for Possible Downgrade -- Class B, Downgraded to C; previously on December 11, 2009 Ba3 Placed Under Review for Possible Downgrade -- Class C, Downgraded to C; previously on December 11, 2009 B2 Placed Under Review for Possible Downgrade -- Class D, Downgraded to C; previously on December 11, 2009 B3 Placed Under Review for Possible Downgrade -- Class E, Downgraded to C; previously on December 11, 2009 Caa1 Placed Under Review for Possible Downgrade -- Class F, Downgraded to C; previously on December 11, 2009 Caa2 Placed Under Review for Possible Downgrade Moody's monitors transactions on both a monthly basis through a review of the available Trustee Reports and a periodic basis through a full review. Moody's prior full review is summarized in a press release dated December 11, 2009. ACAS CRE: S&P Downgrades Ratings on Seven Classes of CRE CDOs ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes from ACAS CRE CDO 2007-1 Ltd., a commercial real estate collateralized debt obligation transaction. At the same time, S&P affirmed its 'CCC-' ratings on seven other classes from the same transaction. The rating actions reflect S&P's analysis of the transaction following interest shortfalls to several nondeferrable classes, which caused an event of default. Classes B, C-FL, C-FX, and D experienced interest shortfalls according to the Feb. 23, 2010, trustee remittance report, and S&P subsequently lowered its ratings on these classes to 'D'. S&P lowered its rating on class A to 'B-' from 'BB+' due to the class' susceptibility to a future liquidity interruption, while its 'CCC-' ratings on the deferrable E-FL through K classes reflect continued liquidity interruptions. The trustee, Wells Fargo Bank N.A., delivered an EOD notice on March 1, 2010, which noted that ACAS 2007-1 had experienced an EOD under section 5.1 (a) of its indenture. The notice indicates that there was a default in the payment of interest accrued on the class B, C, and D notes. This default in payment continued for a period of three business days, which resulted in an EOD. The liquidity interruption resulted from the failure of the underlying commercial mortgage-backed securities and CMBS resecuritization collateral for ACAS 2007-1 to produce sufficient interest proceeds to pay the full interest amount due to the nondeferrable interest classes. According to the trustee's remittance reports, the amount of interest available each month from the collateral has steadily declined in each of the past six months, from $3.5 million in September 2009 to $1.4 million in February 2010. According to the most recent trustee report, ACAS 2007-1 was collateralized by 117 classes of CMBS ($1.14 billion, 99%) from 21 distinct transactions issued from 2005 through 2007 and four classes ($11.8 million, 1%) from JPMorgan-CIBC Commercial Mortgage-Backed Securities Trust 2006-RR1, which is a resecuritized real estate mortgage investment conduit (re-REMIC) transaction. The aggregate principal balance of the assets totaled $1.15 billion. In the event that S&P receive a notice indicating that the controlling noteholders intend to proceed with acceleration or liquidation of the transaction following the EOD, S&P may lower all of its ratings on this transaction in accordance with its aforementioned EOD criteria. Ratings Lowered ACAS CRE CDO 2007-1 Ltd. Rating ------ Class To From ----- -- ---- A B- BB+ B D BB- C-FL D B+ C-FX D B+ D D B E-FL CCC- CCC+ E-FX CCC- CCC+ Ratings Affirmed ACAS CRE CDO 2007-1 Ltd. Class Rating ----- ------ F-FL CCC- F-FX CCC- G-FL CCC- G-FX CCC- H CCC- J CCC- K CCC- ADDISON CDO: Fitch Takes Various Rating Actions on Notes -------------------------------------------------------- Fitch Ratings has affirmed two and downgraded three classes of notes issued by Addison CDO, Ltd./Corp. Fitch also affirms one combination note and downgrades one combination note created by notes issued by Addison. This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria', 'Global Rating Criteria for Corporate CDOs', 'Global Criteria for Cash Flow Analysis in CDOs - Amended', 'Global Surveillance Criteria for Corporate CDOs', 'Criteria for Structured Finance Loss Severity Ratings', and 'Criteria for Structured Finance Recovery Ratings'. The affirmations are the result of continued amortization of the liabilities since the last rating review, and the projected amortization of the liabilities with principal cash currently held in the portfolio. The class II and class III notes were paid in full at the November 2009 payment date, leaving the class IVa and class IVb (collectively, class IV) notes as the senior-most remaining classes. As of the Jan. 31, 2010 trustee report, approximately $8.9 million was held in the principal collection account. After this report date, another loan paid in full adding approximately $1.9 million to the principal collection account. There are 16 performing obligors with a par balance of $26.8 million remaining in the portfolio. Due to the significant principal redemption of the liabilities, the class III/IV overcollateralization ratio has increased to 135.4% relative to a trigger of 102% as of the latest trustee report. This marks an improvement in collateral coverage for the class IV notes since the last rating review in July 2008, when the class III/IV OC ratio was reported at 124%. There were insufficient interest proceeds at the last payment date to fulfill class IV interest payments, leading to the use of principal proceeds for this purpose. Although additional diversions of principal to fulfill interest coupons are expected in the future, Fitch believes that the collateral coverage available to the class IV notes remains adequate to support their current rating and revise the Outlook on these notes to Stable. The class Va and Vb (collectively, class V) notes are paid principal and interest pro rata with a $6 million notional amount of the class VIb notes, effectively increasing the amount of collateral coverage needed to pay principal on the class V notes. Due to increased defaults in the portfolio and the sales of several defaulted or distressed assets at significant discounts to par, coverage to the class V and class VIb notes has decreased since the last review. Currently, the class V/VI OC test is reported at 95.9%, below its required level of 100%. The OC ratio under 100% indicates that there is insufficient collateral to pay the class V and VIb their required principal amounts by maturity. Potential future credit deterioration in the portfolio and diversions of principal to pay interest coupons will further reduce coverage to these notes. Fitch believes that the class V notes will suffer a principal shortfall at maturity. The class VIb participation notes are rated to the ultimate receipt of their initial $10 million principal balance and an internal rate of return on the original investment of 4%. Fitch calculates the total payments received by the class VIb notes to date at $9.3 million. Due to insufficient interest proceeds, the class VIb notes received only partial interest payments at the November 2008 and May 2009 payments dates, and did not receive any payments at the last payment date in November 2009. Depending on amortization of the underlying portfolio and future availability of interest proceeds, the class VIb notes may not receive any further payments until the class IV notes are paid in full, which may not occur until the final payment date in November 2012. The interruption in payments and the uncertainty of future cash flows have resulted in a decreased likelihood of the class VIb notes achieving a 4% IRR on top of their initial principal balance. The class A combination notes receive 15.2% of proceeds to the class IVa notes, 100% of proceeds to the class Va notes, and 6% of proceeds to the equity. The class A combination notes are rated to the ultimate receipt of their initial $5 million principal balance and an IRR of 4%, and to date have received $4.8 million in total proceeds. Based on the principal cash currently available, the remaining portfolio composition, and the expected performance of the class IVa notes, the class A combination notes appear likely to achieve at least a 4% IRR on their rated balance by the final maturity date. The class C combination notes receive 25.3% of proceeds to the class III notes, 53.3% of proceeds to the class IVb notes, and 18.7% of proceeds to the equity class. The class C combination notes are rated to the ultimate receipt of their initial $20 million principal balance and an IRR of 8.26%, and to date have received approximately $19 million in total proceeds. The class III notes have been paid in full, and the equity is unlikely to receive any future payments. Therefore, all future proceeds to the class C combination notes will be through payments on the class IVb notes, which receive a floating rate coupon of LIBOR plus 2.15%. Although the class IVb notes are expected to continue to perform, the class C combination notes have been downgraded because Fitch projects that they will not be able to achieve an 8.26% IRR on their rated balance by the final maturity date. In its review, Fitch analyzed the structure's sensitivity to ongoing softness in U.S. corporate recoveries. To accomplish this, Fitch reduced its average recovery rate assumptions for each asset type by 30% where explicit Recovery Ratings were not available. The class VIb participation notes displayed a degree of sensitivity to lower recovery rates. This sensitivity, in addition to the high concentration among obligors in the underlying portfolio, prompted Fitch to maintain its Negative Outlook on the class VIb participation notes. Fitch does not assign outlooks to distressed securities. The class IV notes have been assigned Loss Severity ratings. The LS ratings indicate each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the base- case loss expectation for the collateral, as explained in Fitch's 'Criteria for Structured Finance Loss Severity Ratings'. The LS rating should always be considered in conjunction with the notes' long-term credit rating. Fitch does not assign LS ratings to tranches rated 'CCC' and below. The class Va and class Vb notes were assigned Recovery Ratings in this rating review based on the total discounted future cash flows of approximately $750,000 and $2,551,000, respectively, projected to be available to these bonds in a base-case default scenario. These discounted cash flows yield ultimate recovery projections of 58% and 44%, respectively, which is representative of an 'RR3' and 'RR4' on Fitch's Recovery Rating scale. Recovery Ratings are designed to provide a forward-looking estimate of recoveries on currently distressed or defaulted structured finance securities rated 'CCC' or below. For further detail on Recovery Ratings, please see Fitch's reports 'Global Surveillance Criteria for Corporate CDOs' and 'Criteria for Structured Finance Recovery Ratings'. Addison is a cash flow collateralized debt obligation that closed on Oct. 19, 2000 and is managed by Pacific Investment Management Company LLC. Addison exited its reinvestment period in 2005 and currently has a portfolio consisting of 93.2% senior secured loans and 6.8% senior unsecured bonds. Fitch affirms and assigns Loss Severity ratings on these classes as indicated: -- $15,023,734 class IVa notes affirmed at 'BBB+/LS2', Outlook Stable; -- $17,512,384 class IVb notes affirmed at 'BBB+/LS2', Outlook Stable. Fitch downgrades and assigned LS ratings to these classes as indicated: -- $1,275,901 class Va notes to 'C/RR3' from 'B'; -- $5,787,878 class Vb notes to 'C/RR4' from 'B'; -- $10,635,126 class VIb participation notes to 'B' from 'BBB-', Outlook Negative; -- $13,539,938 class C combination notes to 'C' from 'CCC'. Fitch also affirms this class: -- $4,902,224 class A combination notes 'AA', Outlook Stable. AUCTION PASS-THROUGH: Moody's Downgrades Ratings on Various Certs. ------------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of these certificates issued by Auction Pass-Through Trust 2006-10: -- $96,000,000 Class A Certificates; Downgraded to Ba1; Previously on December 10, 2009 Baa1, Placed on review for downgrade -- $24,000,000 Class B Certificates; Downgraded to Ba1; Previously on December 10, 2009 Baa1, Placed on review for downgrade The transaction is a structured note whose ratings are based on the underlying securities and the legal structure of the transaction. The rating actions are a result of the change of the rating of the underlying securities which are the Floating Rate Non-Cumulative Preferred Stock, Series A issued by Morgan Stanley, which were downgraded by Moody's on February 24, 2010 to Ba1. BANC OF AMERICA: Fitch Puts Eight Note Ratings on Negative Watch ---------------------------------------------------------------- Fitch Ratings has placed these eight classes of Banc of America Commercial Mortgage, series 2005-1 commercial mortgage pass- through certificates on Rating Watch Negative: -- $2.1 million class SM-A 'BB+/LS5'; -- $2.1 million class SM-B 'BB+/LS5'; -- $6.4 million class SM-C 'BB/LS5'; -- $2.6 million class SM-D 'BB-/LS5'; -- $2 million class SM-E 'BB-/LS5'; -- $4.9 million class SM-F 'B+/LS5'; -- $4.2 million class SM-G 'B/LS5'; -- $5.5 million class SM-H 'B-/LS5'. The classes, which represent non-pooled classes specific to Southdale Mall (8.2% of the pool), have been placed on Rating Watch Negative due to the loan's transfer to special servicing in February 2010. According to the servicer, the borrower has indicated its inability to refinance prior to maturity and is requesting a loan extension. The loan matures on April 1, 2010. While the transfer to special servicing was anticipated and no losses were modeled by Fitch, the rating actions reflect the impact of potential fees associated with the loan being specially serviced, as well as uncertainty with regard to the length of time in special servicing and the ultimate loan workout. Fitch will resolve the Rating Watch status as more information about the workout becomes available. BANC OF AMERICA: Moody's Reviews Ratings on 10 2002-X1 Certs. ------------------------------------------------------------- Moody's Investors Service placed ten classes of Banc of America Structured Securities Trust, Commercial Mortgage Pass-Through Certificates, Series 2002-X1 on review due to anticipated increased interest shortfalls and higher expected losses for the pool resulting from projected losses from specially serviced and watchlisted loans. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. The anticipated increase in interest shortfalls is largely due to the Holiday Inn Springfield Loan ($4.4 million - 4.1% of the pool), which was transferred to special servicing in November 2008 and is currently 90+ days delinquent. The loan is secured by a 244-room hotel located in Springfield, Massachusetts. At securitization, the hotel operated as a Holiday Inn but was re- flagged to an InnPlace Hotel in 2009. In January 2010, the loan was declared non-recoverable, allowing the servicer, Berkadia Commercial Mortgage, to recoup advances previously made on the loan. As of the most recent remittance date, Berkadia has advanced approximately $1.4 million for principal and interest payments. The servicer has indicated that it plans to reduce its outstanding advances by about $267,000 over an extended period of time with the remainder of the advances recovered upon liquidation of the loan. Interest shortfalls are also expected to increase due to the required payment of property protection advances for the loan as the hotel's revenues are insufficient to cover operating costs. Currently, Class Q has experienced interest shortfalls totaling $516,925. As of the February 11, 2010 distribution date, the transaction's aggregate certificate balance has decreased by approximately 63% to $106.2 million from $287.8 million at securitization. The Certificates are collateralized by 47 mortgage loans ranging in size from less than 1% to 24% of the pool, with the top 10 non- defeased loans representing 44% of the pool. Nine loans, representing 46% of the pool, have defeased and are collateralized by U.S. Government securities. Fifteen loans, representing 21% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's 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. Nine loans have been liquidated from the pool since securitization, resulting in an aggregate $5.6 million loss (44% loss severity on average). Six loans, representing 18% of the pool, are currently in special servicing. Moody's review will focus on the impact of interest shortfalls, potential losses from specially serviced and watchlisted loans and the performance of the overall pool. Moody's rating action is: -- Class F, $5,756,330, Aa1, on review for possible downgrade; previously upgraded to Aa1 from A2 on 3/19/2009 -- Class G, $6,475,871, Aa2, on review for possible downgrade; previously upgraded to Aa2 from A3 on 3/19/2009 -- Class H, $8,634,495, Aa3, on review for possible downgrade; previously upgraded to Aa3 from Baa1 on 3/19/2009 -- Class J, $3,597,707, A2, on review for possible downgrade; previously upgraded to A2 from Baa2 on 3/19/2009 -- Class K, $4,317,248, Baa2, on review for possible downgrade; previously upgraded to Baa2 from Baa3 on 3/19/2009 -- Class L, $6,475,871, Ba2, on review for possible downgrade; previously assigned Ba2 on 7/29/2002 -- Class M, $2,878,166, Ba3, on review for possible downgrade; previously assigned Ba3 on 7/29/2002 -- Class N, $2,878,166, B1, on review for possible downgrade; previously assigned B1 on 7/29/2002 -- Class O, $2,878,166, B2, on review for possible downgrade; previously assigned B2 on 7/29/2002 -- Class P, $2,878,166, B3, on review for possible downgrade; previously assigned B3 on 7/29/2002 BANC OF AMERICA: S&P Downgrades Ratings on 10 2005-1 CMBS --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 10 classes of commercial mortgage-backed securities from Banc of America Commercial Mortgage Inc.'s series 2005-1 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 19 classes from the same transaction and removed four of them from CreditWatch with negative implications. The downgrades follow S&P's analysis of the transaction using its U.S. conduit and fusion CMBS criteria, which was the primary driver of its rating actions. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.61x and a loan-to-value ratio of 96.5%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average DSC of 1.01x and an LTV ratio of 125.6%. The implied defaults and loss severity under the 'AAA' scenario were 65.5% and 27.7%, respectively. The DSC and LTV calculations S&P noted above exclude seven defeased loans ($129.8 million, 7.1%), two ($8.9 million, 0.5%) of the nine specially serviced loans, and one loan which S&P determined to be credit-impaired. S&P separately estimated losses for these three loans and included them in its 'AAA' scenario implied default and loss figures. The affirmations of the ratings on the pooled principal and interest certificates reflect subordination levels that are consistent with the outstanding ratings. The affirmations of the "SM" raked certificates reflect S&P's analysis of the Southdale Mall loan. The raked certificates derive 100% of their cash flows from a subordinate nonpooled portion of this loan. S&P affirmed its rating on the class XW interest-only certificates based on its current criteria. S&P published a request for comment proposing changes to its IO criteria on June 1, 2009. After S&P finalize its criteria review, S&P may revise its IO criteria, which may affect outstanding ratings, including the rating on the IO certificates that S&P affirmed. Credit Considerations As of the February 2010 remittance report, nine loans ($256.2 million, 14.0%) in the pool were with the special servicer, J.E. Robert Co. Inc., including three of the top 10 real estate exposures. The payment status of the specially serviced loans is: two are 30 days delinquent ($82.7 million, 4.5%), five are matured balloons ($163.3 million, 8.9%), and two are current ($10.2 million, 0.6%). A 10th loan was transferred after the remittance report date. The largest loan in the pool, the Southdale Mall loan, has a trust and whole-loan balance of $186.6 million (10.2%), which consists of a $150.0 million senior pooled component and a $36.6 million subordinate nonpooled component. The "SM" certificates derive 100% of their cash flows from the subordinate component of the whole-loan. The loan is secured by 740,326 sq. ft. of a 1,181,355-sq.-ft. regional mall built in 1956 in Edina, Minn. The loan was transferred to the special servicer after the February 2010 remittance date because the borrower has been unable to refinance the loan. The maturity date for the loan is April 1, 2010, and the borrower has requested a modification. The master servicer reported a DSC of 1.47x for the whole-loan balance for the nine months ended Sept. 30, 2009. As of Sept. 30, 2009, the property was 76% occupied. Standard & Poor's adjusted value for this loan resulted in a stressed LTV ratio of 106.3%, comparable to S&P's last review. The Western Asset Plaza loan ($75.0 million, 4.1%) is the fourth- largest loan in the pool and the second-largest loan with the special servicer. The loan is secured by a 256,703-sq.-ft. office building in Pasadena, Calif. The loan was transferred to the special servicer on Dec. 11, 2009, due to maturity default. The property is 67% leased to Western Asset Management, a subsidiary of Legg Mason, through April 2014. The reported DSC for the nine months ended Sept. 30, 2009, was 1.98x, compared with 1.53x at issuance. The borrower has proposed a forbearance period to facilitate refinancing. The Parkway Portfolio loan ($51.2 million, 2.8%) is the eighth- largest loan in the pool and the third-largest loan with the special servicer. The loan was transferred to the special servicer on Nov. 20, 2009, due to the bankruptcy filing of the borrower, Rubicon US REIT Inc. The loan is secured by three office buildings in Atlanta, Ga., and Charlotte, N.C., totaling 550,013 sq. ft. The reported DSC for year-end 2008 was 2.10x, up from 1.52x at issuance. S&P expects the borrower to continue to make interest only payments and all escrow and reserve payments as contemplated under the proposed forbearance agreement. The Ashford Perimeter loan ($31.5 million, 1.7%) was transferred to the special servicer on June 17, 2009, due to imminent default. The loan is secured by a 288,175-sq.-ft. office building in Atlanta, Ga. The special servicer completed a loan modification in December 2009. Reserves were used towards a principal paydown, and the remaining $31.5 million loan balance was split into two tranches, a $16.0 million A tranche and a $15.5 million B tranche. The borrower contributed $9.5 million of additional equity, and S&P expected it to make interest-only payments on the class A tranche through maturity. Interest on the class B tranche is payable from available proceeds at the time of sale. The special servicer also extended loan maturity four years to Feb. 1, 2016. The six remaining specially serviced loans were all transferred to the special servicer due to maturity default. S&P estimated losses for two of these six assets, resulting in a weighted average loss severity of 42.4%. The special servicer modified two loans, and will return the loans back to the master servicer. In addition, S&P understand that the borrower and special servicer are discussing modifications for the remaining two loans. In addition to the specially serviced loans, S&P determined one loan, the Mykawa Business Center loan ($1.1 million; 0.1%), to be credit-impaired. The loan is secured by a 62,100-sq.-ft. industrial property in Houston, Texas. The loan originally matured on Feb. 1, 2009, and was extended for a year. The borrower has been unable to refinance and has requested another extension. The reported DSC for the nine months ended Sept. 30, 2009, was 0.20x. Occupancy was only 40% as of the April 2009 rent roll. As a result, S&P determined this loan to be at increased risk of default and loss. Transaction Summary As of the February 2010 remittance report, the collateral pool balance was $1.8 billion, which is 78.9% of the balance at issuance. The pool includes 121 loans, down from 135 at issuance. As of the February 2010 remittance report, the master servicer, Bank of America N.A., provided financial information for 98.0% of the pool; 97.5% of the servicer-provided information was full-year 2008 or interim 2009 data. S&P calculated a weighted average DSC of 1.69x for the nondefeased loans in the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.61x and 96.5%, respectively, which excludes seven defeased loans ($129.8 million, 7.1%), two ($8.9 million, 0.5%) of the nine specially serviced loans, and one loan which S&P determined to be credit- impaired. S&P estimated losses separately for these three loans. Thirty-five loans ($484.3 million, 26.4%) are on the master servicer's watchlist, including two of the top 10 loans, one of which was subsequently transferred to the special servicer and one which S&P discuss below. Nineteen loans ($187.2 million, 10.2%) have a reported DSC below 1.10x, and 18 of these loans ($167.7 million, 9.2%) have a reported DSC of less than 1.0x. The transaction has experienced no losses to date. Summary of Top 10 Loans The top 10 exposures have an aggregate outstanding balance of $746.2 million (42.7%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.94x for the top 10 loans. As of the February 2010 remittance report, two of the top 10 loans were with the special servicer, and a third loan was transferred after the remittance report date, all of which are discussed above. One of the top 10 loans appears on the master servicer's watchlist. S&P's adjusted DSC and LTV for the top 10 loans are 1.81x and 87.7%, respectively. Zurich Towers ($80.3 million, 4.4%) is the third-largest loan in the pool and the largest loan on the watchlist. The loan is secured by two office buildings totaling 807,624 sq. ft. in Schaumburg, Ill. The loan appears on the watchlist due to the anticipated repayment date of Dec. 1, 2009. Cash management is now in place, and the loan is in hyper-amortization (or accelerated paydown). Zurich American Insurance Co. has a 12-year lease for the collateral space through Nov. 30, 2016. The reported year-end 2009 DSC was 2.13x. Standard & Poor's stressed the loans in the pool according to its updated conduit/fusion criteria. The resultant credit enhancement levels are consistent with the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2005-1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-J AA AAA/Watch Neg 16.50 B A+ AA/Watch Neg 13.10 C A AA-/Watch Neg 11.97 D A- A/Watch Neg 9.54 E BBB+ A-/Watch Neg 8.41 F BBB BBB+/Watch Neg 6.95 G BB+ BBB/Watch Neg 5.82 H BB- BBB-/Watch Neg 3.88 J B+ BB+/Watch Neg 3.56 K B+ BB/Watch Neg 3.07 Ratings Affirmed And Removed From Creditwatch Negative Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2005-1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- L B+ B+/Watch Neg 2.59 M B B/Watch Neg 2.43 N B- B-/Watch Neg 2.10 O CCC+ CCC+/Watch Neg 1.46 Ratings Affirmed (Pooled Certificates) Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2005-1 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-3 AAA 25.88 A-4 AAA 25.88 A-SB AAA 25.88 A-5 AAA 25.88 A-1A AAA 25.88 XW AAA N/A Ratings Affirmed (Non-Pooled Certificates) Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2005-1 Class Rating Credit enhancement (%) ----- ------ ---------------------- SM-A B- N/A SM-B B- N/A SM-C CCC+ N/A SM-D CCC N/A SM-E CCC- N/A SM-F CCC- N/A SM-G CCC- N/A SM-H CCC- N/A SM-J CCC- N/A N/A - Not applicable. BEAR STEARNS: Fitch Puts Ratings on 2002-PBW1 Certs. on Neg. Watch ------------------------------------------------------------------ Fitch Ratings places these classes of Bear Stearns Commercial Mortgage Securities Inc.'s mortgage pass-through certificates, series 2002-PBW1, on Rating Watch Negative: -- $13.8 million class F 'AAA'; -- $13.8 million class G 'AA'; -- $16.1 million class H 'A'. Fitch also downgrades, revises Outlooks and assigns Loss Severity ratings or Recovery Ratings to these classes as indicated: -- $10.4 million class J to 'B-/LS5' from 'BBB+'; Outlook Negative; -- $3.5 million class K to 'B-/LS5' from 'BBB'; Outlook Negative; -- $5.8 million class L to 'CCC/RR1' from 'BB'; -- $9.2 million class M to 'CC/RR4' from 'B+'; -- $2.3 million class N to 'C/RR6' from 'B'. In addition, Fitch affirms, maintains Stable Outlooks and assigns LS ratings to these classes: -- $30.8 million class A-1 at 'AAA/LS2'; -- $385.9 million class A-2 at 'AAA/LS2'; -- Interest-only classes X-1 and X-2 at 'AAA'; -- $26.5 million class B at 'AAA/LS4'; -- $31.1 million class C at 'AAA/LS4'; -- $8.1 million class D at 'AAA/LS5'; -- $9.2 million class E at 'AAA/LS5'. Fitch does not rate the $13.8 million class P. The placement of classes F, G and H on Rating Watch Negative are due to the recent transfers of loans to special servicing and the uncertainty of the workouts of specially serviced assets. The downgrades are due to an increase in expected losses on specially serviced assets coupled with expected losses following Fitch's prospective review of potential stresses to the transaction. The majority of the total expected losses are associated with loans currently in special servicing. As of the February 2010 distribution date, the pool's certificate balance has paid down 37% to $580.2 million from $921.1 million at issuance. Nineteen loans are defeased (28.8% of the current transaction balance). There are five specially serviced loans in the pool (7.1%), including the second largest loan (3.9%). One property is a real estate owned asset and the other four specially serviced loans are delinquent. The largest specially serviced asset (3.9%) is a 293,272 square foot office property located in Dayton, OH. The loan transferred to special servicing in December 2009 for imminent monetary default. As of January 2010, the servicer reported occupancy was 28.5%. A receiver is expected to take control of the property. Fitch expects the loan to incur a significant loss upon disposition of the asset if the occupancy level does not recover. The second largest specially serviced asset (3.2%) is a REO 300- unit multifamily property located north of Atlanta in Stone Mountain, GA. The loan transferred to special servicing in November 2008. Occupancy has dropped to approximately 50% and the property has suffered a decline in cash flow due to late rents, evictions, and high expenses and is also affected by crime in the area. Fitch will resolve the Rating Watch status after a review of the remaining loans in the transaction and updated performance information from the master servicer. Following its review, some of the classes placed on Rating Watch may be downgraded several categories. 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. Of the non-defeased or non-specially serviced loans, three loans (1.92% of the pool) incurred a loss when compared to Fitch's stressed value. BELLSOUTH TELECOMMUNICATIONS: Fitch Cuts Ratings on Notes to 'BB' ----------------------------------------------------------------- Fitch Ratings downgrades and assigns a Rating Outlook to The BellSouth Telecommunications Inc.'s sale and leaseback $45 million discount notes; -- $45 million discount notes to 'BB' from 'A'; Outlook Evolving. The rating of the discount notes represents a direct pass-through to the rating of RVI America, currently rated 'BB'. The certificates are secured by the lease on a 660,000 square foot office building in Birmingham, AL. BellSouth has a bondable lease for 20 years on the property. Rental payment ceased after the first 10 years of the lease, when the senior notes were retired. Therefore, the discount notes will accrete to a total of $45 million, due in conjunction with BellSouth's lease expiration in 2018. The discount notes are guaranteed by a residual value insurance policy, provided by RVI. At the end of the lease term, the borrower has the option to sell the building for $45 million and if not, RVI will buy the building and retire the discount notes. BLUE HERON: Fitch Downgrades Ratings on Three Classes of Notes -------------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed four classes of notes issued by Blue Heron Funding II Ltd. as a result of continued credit deterioration in the portfolio since Fitch's last rating action in August 2008. As of the Feb. 12, 2010 trustee report, the current balance of the portfolio is approximately $534.2 million. Approximately 40.5% of the portfolio has been downgraded since August 2008, resulting in approximately 23% of the portfolio with a Fitch derived rating below investment grade and 18.2% with a rating in the 'CCC' rating category or below, compared to 17% and 12.8%, 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 current portfolio and the anticipated future loss of principal proceeds to cover interest shortfall, Fitch believes default is inevitable for the class A, B, C, D and E notes and the class E additional interest. The Feb. 12, 2010 trustee report shows that $74.8 million, or 14%, of the portfolio is considered defaulted by the transaction's governing documents, leaving $464.5 million of non-defaulted assets. Expected recoveries on the defaulted portion of the portfolio are low, resulting in the class A notes being undercollateralized. Additionally, principal collections have been needed to cover shortfalls in interest collections since October 2009, which is contributing to the erosion of credit enhancement. The point where interest proceeds have been stopping within the priority of payments has varied from payment date to payment date, sometimes being able to pay only part of the interest rate swap to being able to pay a portion of class C accrued interest. The certificates are rated to the ultimate receipt of principal, where coupon payments received in the interest waterfall are applied to reduce the outstanding rated balance. While these distributions are no longer being made due to failing coverage tests and are not expected to resume in the future, the principal of the certificates is protected by a Certificate Protection Asset, which is a zero coupon bond with a face value of $6 million maturing in April 2030, that was issued by Resolution Funding Corporation, a U.S. government agency. As per the terms of the transaction, no party to the transaction other than the certificate holders have claim against the Certificate Protection Asset. Therefore, the certificates are affirmed at 'AAA' and assigned a Stable Outlook. Because the ultimate receipt of the remaining rated balance is not linked to the performance of the transaction's underlying portfolio, Fitch is not assigning a Loss Severity rating to the certificates. Blue Heron II is a structured finance collateralized debt obligation that closed on Dec. 22, 2005 and is managed by Westdeutsche Landesbank Girozentrale, New York Branch. The portfolio is composed of commercial mortgage-backed securities (47.4%), residential mortgage-backed securities (32%), SF CDOs (10.1%), corporate debt (6.4%), corporate CDOs (3.1%) and commercial and consumer asset-backed securities (1%). Fitch has taken these rating actions on Blue Heron II: -- $522,296,730 class A notes downgraded to 'C' from 'B'; -- $17,205,585 class B notes downgraded to 'C' from 'CCC'; -- $34,409,633 class C notes downgraded to 'C' from 'CC'; -- $21,638,791 class D notes affirmed at 'C'; -- $16,839,681 class E notes affirmed at 'C'; -- $20,000,000 class E additional interest (interest only) affirmed at 'C'; -- $3,986,875 certificates (principal only) affirmed at 'AAA'; assigned Stable Outlook. CAPITAL TRUST: S&P Downgrades Ratings on Four Classes of Notes -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on four classes from Capital Trust RE CDO 2005-1 Ltd., a commercial real estate collateralized debt obligation transaction. At the same time, S&P affirmed its ratings on four other classes. S&P removed all of the ratings from 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 downgrades also reflect S&P's estimated asset-specific recovery rates for the reported defaulted loan assets, which did not exceed 20.1%. S&P's analysis also considered the current ratings on commercial mortgage-backed securities and CRE CDO securities that were in default according to the most recent trustee report, as well as the applicable recovery rates under its criteria. According to the Feb. 17, 2010, trustee report, the transaction's current asset pool includes these: * Eighteen subordinate interest loans ($218.9 million, 66.7% of the collateral pool); and * Thirteen CMBS tranches ($102.1 million, 31.1%). 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, CT Investment Management Co. LLC, and trustee, Bank of America Merrill Lynch, as well as market and valuation data from third-party providers. The reported defaulted assets include five loan assets ($42.4 million, 12.9%) and 10 CMBS and CRE CDO securities ($73.8 million, 22.5%). Standard & Poor's estimated asset- specific recovery rates for the loan assets reported as defaulted, which ranged from 0% to 20.1%. S&P based the recovery rates on information from the collateral manager, the special servicer, and third-party data providers. The defaulted assets are: * The Crescent subordinated loan ($24.4 million, 7.4%); * The Menlo Oaks subordinated loan ($8.5 million, 2.6%); * The Resorts International subordinated loan ($5.3 million, 1.6%); * The IMT Portfolio subordinated loan ($3.1 million, 0.95%); * The Pointe Apartments subordinated loan ($1.1 million, 0.34%); * CT CDO IV Ltd. 2006-1, class G ($7.7 million, 2.4%); * CT CDO IV Ltd. 2006-1, class H ($3.9 million, 1.2%); * CT CDO IV Ltd. 2006-1, class J ($2.4 million, 0.74%); * COMM 2006-FL12, class J ($6.7 million, 2.06%); * CS First Boston Mortgage Securities Corp. 2007-TFLA, class L ($4.0 million, 1.2%); * JP Morgan Chase Commercial Mortgage Securities Corp. 2004-FL1, class L ($5.5 million, 1.7%); * JP Morgan Chase Commercial Mortgage Securities Corp. 2006-CB14, class H ($8.5 million, 2.6%); * Morgan Stanley Capital I 2007-XLFA, class K ($7.8 million, 2.4%); * Morgan Stanley Capital I 2007-XLF, class L ($21.1 million, 6.4%); and * Wachovia Bank Commercial Mortgage Trust 2006-C24, class K ($6.0 million, 1.8%) According to the trustee report, the deal is passing all interest coverage tests, but failing two overcollateralization tests. Standard & Poor's analyzed the transaction and its underlying collateral assets in accordance with its current criteria. S&P's analysis is consistent with the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative Capital Trust RE CDO 2005-1 Ltd. Collateralized debt obligations Rating ------ Class To From ----- -- ---- A BB- AA/Watch Neg B CCC- BB+/Watch Neg C CCC- BB/Watch Neg D CCC- B-/Watch Neg Ratings Affirmed And Removed From Creditwatch Negative Capital Trust RE CDO 2005-1 Ltd. Collateralized debt obligations Rating ------ Class To From ----- -- ---- E CCC- CCC-/Watch Neg F CCC- CCC-/Watch Neg G CCC- CCC-/Watch Neg H CCC- CCC-/Watch Neg CAPITAL TRUST: S&P Downgrades Ratings on Seven Classes of Notes --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes from the Capital Trust RE CDO 2004-1 Ltd., a commercial real estate collateralized debt obligation transaction. At the same time, S&P affirmed its ratings on two classes from the same transaction, and removed all nine ratings from 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 S&P's 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 Feb. 18, 2010, trustee report, the transaction's current asset pool includes these: * Sixteen subordinate interest loans ($262.6 million, 87.0% of the collateral pool); and * Four commercial mortgage-backed securities (CMBS) tranches ($28.3 million, 9.4%). 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, CT Investment Management Co. LLC, and the trustee, Bank of America Merrill Lynch, as well as market and valuation data from third-party providers. The reported defaulted assets include six loan assets ($68.9 million, 22.9%) and four CMBS tranches ($28.3 million, 9.4%). Standard & Poor's estimated asset-specific recovery rates for the loan assets reported as defaulted, which ranged from 0% to 74.3%. S&P based the recovery rates on information from the collateral manager, special servicer, and third-party data providers. The defaulted assets are: * Menlo Oaks subordinated loan ($24.5 million, 8.1%); * Tishman subordinated loan ($15.0 million, 4.9%); * Resorts International subordinated loan ($10.5 million, 3.5%); * IMT Portfolio subordinated loan ($8.0 million, 2.7%); * Arapaho Business Park subordinated loan ($6.6 million, 2.2%); * The Pointe Apartments subordinated loan ($4.4 million, 1.4%); * GS Mortgage Securities Corp. II 2006-FL8A, class J ($14.4 million, 4.8%); * Morgan Stanley Capital I 2005-XLF, class M ($10.0 million, 3.3%); * Morgan Stanley Capital I 2007-XLFA, class K ($2.8 million, 0.93%); and * GE Capital Commercial Mortgage Corp. 2000-1, class G ($1.0 million, 0.33%). According to the trustee report, the deal is passing all the interest coverage tests, but failing the two overcollateralization tests. Standard & Poor's analyzed the transaction and its underlying collateral assets in accordance with its current criteria. S&P's analysis is consistent with the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative Capital Trust RE CDO 2004-1 Ltd. Collateralized debt obligations Rating ------ Class To From ----- -- ---- A-2 BB- BBB/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- CCC+/Watch Neg Ratings Affirmed And Removed From Creditwatch Negative Capital Trust RE CDO 2004-1 Ltd. Collateralized debt obligations Rating ------ Class To From ----- -- ---- A-1 BBB BBB/Watch Neg H CCC- CCC-/Watch Neg CHASE COMMERCIAL: Fitch Takes Rating Actions on Various Classes --------------------------------------------------------------- Fitch Ratings downgrades, assigns Rating Outlooks and Loss Severity ratings to Chase Commercial Mortgage Securities Corp.'s commercial mortgage pass-through certificates, series 1999-2: -- $8.8 million class J to 'BB/LS4' from 'BBB-'; Outlook Negative; -- $6.8 million class K to 'B/LS4' from 'BB'; Outlook Negative; -- $5.9 million class L to 'B-/LS4' from 'B'; Outlook Negative. In addition, Fitch has affirmed, assigned Rating Outlooks and LS ratings: -- Interest-only class X at 'AAA'; Outlook Stable; -- $12.1 million class C at 'AAA/LS3'; Outlook Stable; -- $11.7 million class D at 'AAA/LS3'; Outlook Stable; -- $27.4 million class E at 'AAA/LS3'; Outlook Stable; -- $11.7 million class F at 'AAA/LS3'; Outlook Stable; -- $27.4 million class G at 'A+/LS3'; Outlook Stable; -- $7.8 million class H at 'A-/LS4'; Outlook Stable; -- $6.8 million class I at 'BBB+/LS4'; Outlook Negative. The $12.5 million class M is not rated by Fitch. Classes A-1, A-2 and B have been paid in full. The downgrades are due to expected losses following Fitch's prospective review of potential stresses to the transaction and adverse selection with a more concentrated pool. In addition, interest shortfalls are affecting classes J, K and L which may not be recoverable in the near term. As of the February 2010 distribution date, the pool's certificate balance has paid down 82.2% to $139.1 million from $782.7 million at issuance. There are 16 of the original 92 loans remaining in the transaction, two of which have defeased (7.2% of the current transaction balance). Nine loans are specially serviced of which seven did not refinance at maturity, one is a real estate owned asset, and one property is in foreclosure. Fitch expects losses from loans currently in special servicing to be absorbed by the unrated class M. The largest specially serviced asset (7.7%) is an industrial warehouse facility located in Kirkland, WA. The loan transferred to special servicing in July 2009 for imminent maturity default and is now in foreclosure. As of March 2009, the property was 67% occupied. The second largest specially serviced asset (3.2%) is a REO retail property located in Flower Mound, TX. The loan transferred to special servicing in June 2009 for imminent default. The two largest remaining loans are the Auburn Mall (29.9%) and Apple Blossom Mall (25.6%), both owned by Simon Property Group. The two loans have had their scheduled maturity extended to September 2010. 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. Of the non-defeased or non-specially serviced loans, none incurred a loss when compared to Fitch's stressed value. CONCORD REAL: S&P Downgrades Ratings on Seven Classes of Notes -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes from Concord Real Estate CDO 2006-1 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 Feb. 19, 2010, trustee report, the transaction's current asset pool includes these: * Four whole loans and senior interest loans ($52.8 million, 11.2% of the collateral pool); * Sixteen subordinate interest loans ($275.6 million, 58.2%); * Twenty-one commercial mortgage-backed securities (CMBS) tranches, including rake bonds ($134.5 million, 28.4%); and * One CRE CDO tranche ($8.7 million, 1.9%). 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, WRP Management LLC, and trustee, Bank of America Merrill Lynch, as well as market and valuation data from third-party providers. According to the trustee report, the transaction includes five defaulted assets: three loan assets ($30.1 million, 6.3%); one CMBS security ($7.1 million, 1.5%); and one collateralized debt obligation security ($8.7 million, 1.8%). Based on information provided by the collateral manager, special servicer, and market data, Standard & Poor's estimated that there would be no recovery upon the ultimate resolution of the defaulted loan assets. The defaulted assets are: * The Peter Cooper Village Stuyvesant Town subordinated loan ($23.4 million, 4.9%); * The One Park Avenue subordinated loan ($5.2 million, 1.1%); * The Cerrito Towers subordinated loan ($1.5 million, 0.3%); * COMM 2005-FL11, class L ($7.1 million, 1.5%); and * G-Force CDO 2006-1 CDO Ltd, class J ($8.7 million, 1.9%). S&P understand that a lawsuit has been filed in connection with this transaction following the trustee's refusal to cancel certain notes at the direction of the issuer. S&P will continue to evaluate information that becomes available relating to this matter. If any potential note cancellations occur or if the trust incurs litigation expenses that may affect the transaction, S&P will determine if rating actions are appropriate. According to the trustee report, the deal is passing all interest coverage tests but failing three par value tests. Standard & Poor's analyzed the transaction and its underlying collateral assets in accordance with its current criteria. S&P's analysis is consistent with the lowered ratings. Ratings Lowered And Removed From Creditwatch Negative Concord Real Estate CDO 2006-1 Ltd. Floating-rate notes Rating ------ Class To From ----- -- ---- A-1 BBB AA+/Watch Neg A-2 BBB- AA/Watch Neg B BB+ A+/Watch Neg C BB+ A-/Watch Neg D B+ BBB/Watch Neg E B BB+/Watch Neg F CCC+ BB-/Watch Neg CORONADO CDO: Fitch Downgrades Ratings on Four Classes of Notes --------------------------------------------------------------- Fitch Ratings has affirmed two and downgraded four classes of notes issued by Coronado CDO, Ltd./Inc As of the January 2010 trustee report, the current balance of the portfolio is $299.2 million, of which $98.3 million consists of defaulted securities, as defined in the transaction's governing documents. Approximately 42.7% of the portfolio has been downgraded since Fitch's last rating action in April 2009, resulting in 54.7% of the portfolio with a Fitch derived rating below investment grade and 39.4% with a rating in the 'CCC' rating category or below, as compared to 38.7% and 16.5%, respectively, at last review. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model for projecting future default levels for the underlying portfolio. These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs - Amended'. Based on this analysis, the class A-1 and A-2 (together class A) notes' breakeven rates are generally consistent with the rating assigned below. As of the December 2009 distribution date, approximately 44% of the class A notes' original principal balance has paid down. Collectively, the class A notes represent 64.5% of the current capital structure and have a credit enhancement of 31.4%. The Rating Outlook for the class A notes has been removed as Fitch does not assign Outlooks to tranches rated 'CCC' and below. Breakevens for the class B-1 and B-2 (together class B) and the class C-1 and C-2 (together 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 B and class C notes have the credit enhancement levels of 6.8% and 0.3%, respectively. As a timely class, the class B notes are still receiving interest distributions, while the class C notes have been deferring interest since February 2009. Fitch believes that default is inevitable for both classes at or prior to maturity. Coronado is a cash flow structured finance collateralized debt obligation that closed on Sept. 4, 2003 and is managed by Western Asset Management Company. Coronado exited its reinvestment period in March 2007. The portfolio is comprised primarily of residential mortgage-backed securities 61.5%, asset-backed securities 18.7%, commercial mortgage-backed securities 16%, corporate CDOs 3.4%, and SF CDOs 0.3%. Fitch has taken rating actions on the classes listed below: -- $211,301,432 class A-1 notes downgraded to 'CC' from 'BB'; -- $2,802,406 class A-2 notes downgraded to 'CC' from 'BB'; -- $62,000,000 class B-1 notes downgraded to 'C' from 'CC'; -- $15,000,000 class B-2 notes downgraded to 'C' from 'CC'; -- $6,750,000 class C-1 notes affirmed at 'C'; -- $13,500,000 class C-2 notes affirmed at 'C'. CREDIT SUISSE: Fitch Takes Rating Actions on 2002-CP3 Certs. ------------------------------------------------------------ Fitch Ratings affirms, assigns Rating Outlooks and Loss Severity ratings to Credit Suisse First Boston's commercial mortgage pass- through certificate, series 2002-CP3: -- $26.7 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $521.9 million class A-3 at 'AAA/LS1'; Outlook Stable; -- Interest-only class A-X at 'AAA'; Outlook Stable; -- $34.7 million class B at 'AAA/LS3'; Outlook Stable; -- $40.3 million class C at 'AAA/LS3'; Outlook Stable; -- $9 million class D at 'AAA/LS4'; Outlook Stable; -- $10.1 million class E at 'AAA/LS4'; Outlook Stable; -- $14.6 million class F at 'AA+/LS4'; Outlook Stable; -- $15.7 million class G at 'A/LS5'; Outlook Stable; -- $11.2 million class H at 'A-/LS5'; Outlook Stable; -- $17.9 million class J at 'BBB/LS5'; Outlook Stable; -- $6.7 million class K at 'BBB-/LS5'; Outlook Stable; -- $4.5 million class L at 'BB/LS5'; Outlook Stable; -- $11.2 million class M at 'B+/LS5'; Outlook Negative; -- $4.5 million class N at 'B-/LS5'; Outlook Negative. Fitch does not rate class O. Classes A-1 and A-SP have paid in full. Affirmations are due to the pool's stable performance and minimal future expected losses following Fitch's prospective review of potential stresses to the transaction. As of the January 2010 distribution date, the pool's certificate balance has paid down 17.1% to $742.3 million from $895.7 million at issuance. Of the remaining 101 loans, 23 have defeased (30.9% of the current transaction balance). There is one specially serviced loan which is 90+ days delinquent. Fitch expects losses from the specially serviced loan to be absorbed by the unrated class O. 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. Eleven loans did not payoff at maturity and five loans incurred losses when compared to Fitch's stressed value. CREDIT SUISSE: S&P Corrects Ratings on Class M-8 Notes to 'CC' -------------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on class M-8 from Credit Suisse International's reference notes On Argent Securities Inc.'s series 2004-W10 by lowering it to 'CC' from 'BBB-'. The rating on the reference notes is dependent on the lower of S&P's ratings on (i) the issuer, Credit Suisse International ('A+'), and (ii) the reference obligation, Argent Securities Inc.'s asset-backed pass-through certificates series 2004-W10 class M-8 due in 2034 ('CC'). On Feb. 8, 2010, S&P lowered its rating on the reference obligation to 'CC' from 'BBB-', but due to an error, the rating action on the notes did not occur contemporaneously with the rating action on the reference obligation. CRIIMI MAE: S&P Downgrades Ratings on 1998-C1 Notes to 'D' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on classes H-1 and H-2 from Criimi Mae Commercial Mortgage Trust's series 1998-C1 to 'D' from 'CCC-'. At the same time, S&P affirmed its ratings on seven other classes from this transaction. The downgrades of classes H-1 and H-2 reflect interest shortfalls that S&P expects to continue for the foreseeable future. The affirmations reflect its analysis of the transaction and its underlying collateral. As of the March 3, 2010, trustee report, classes H-1 and H-2 have each incurred interest shortfalls in the amount of $132,114 in the current period. The aggregate interest shortfalls total $375,816 for each class. The interest shortfalls are due in part to interest shortfalls on the underlying commercial mortgage-backed securities collateral, which S&P expects to continue. The trust has incurred $353.5 million in losses to date, which has caused partial principal loss to the subordinate class J bond and total loss to the issuer equity class. According to the most recent trustee report, Criimi 1998-C1 was collateralized by 43 classes of CMBS ($850.4 million, 96%) from 17 distinct transactions issued from 1995 through 1998 and one class ($35.4 million, 4%) from Criimi Mae Commercial Mortgage Trust's series 1996-C1, which is a resecuritized real estate mortgage investment conduit transaction. Standard & Poor's analyzed Criimi Mae 1998-C1 and its underlying collateral according to its current criteria. S&P's analysis is consistent with the lowered and affirmed ratings. Ratings Lowered CRIIMI MAE Commercial Mortgage Trust Commercial mortgage bonds series 1998-C1 Rating ------ Class To From ----- -- ---- H-1 D CCC- H-2 D CCC- Ratings Affirmed CRIIMI MAE Commercial Mortgage Trust Commercial mortgage bonds series 1998-C1 Class Rating ----- ------ B AAA C AAA D-1 BBB D-2 BBB E BB+ F BB G CCC DAVIS SQUARE: Moody's Downgrades Ratings on Three Classes --------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of three classes of notes issued by Davis Square Funding V, Ltd. The notes affected by the rating action are: -- US$18,000,000 Class S Floating Rate Note Due 2016 (current balance of $10,650,000), Downgraded to A1; previously on August 7, 2009 Downgraded to Aa1; -- Up to US$1,740,000,000 Class A-1-a Floating Rate Notes Due 2040 (current balance of $1,556,029,789), Downgraded to Ca; previously on February 24, 2009 Downgraded to Caa2; -- Up to US$1,740,000,000 Class A-1-b Floating Rate Notes Due 2040 (current balance of $0), Downgraded to Ca; previously on February 24, 2009 Downgraded to Caa2. Davis Square Funding V, Ltd., issued on September 30, 2005, is a collateralized debt obligation issuance backed by a portfolio of ABS Securities. Moody's explained that in arriving at the rating action noted above, the ratings of 2005-2007 subprime, Alt-A and Option-ARM RMBS which are currently on review for possible downgrade were stressed. For purposes of monitoring its ratings of SF CDOs with exposure to such 2005-2007 vintage RMBS, Moody's used certain projections of the lifetime average cumulative losses as set forth in Moody's press releases dated January 13 for subprime, January 14 for Alt-A, and January 27 for Option-ARM. Based on the anticipated ratings impact of the updated cumulative loss numbers, the stress varied based on vintage, current rating, and RMBS asset type. For 2005 Alt-A and Option-ARM securities, securities that are currently rated Aaa or Aa were stressed by eleven notches, and securities currently rated A or Baa were stressed by eight notches. Those securities currently rated in the Ba or B range were stressed to Caa3, while current Caa securities were treated as Ca. For 2006 and 2007 Alt-A and Option-ARM securities, currently Aaa or Aa rated securities were stressed by eight notches, and securities currently rated A, Baa or Ba were stressed by five notches. Those securities currently rated in the B range were stressed to Caa3, while current Caa securities were treated as Ca. For 2005 subprime RMBS, those currently rated Aa, A or Baa were stressed by five notches, Ba rated securities were stressed to Caa3, and B or Caa securities were treated as Ca. For subprime RMBS originated in the first half of 2006, those currently rated Aaa were stressed by four notches, while Aa, A and Baa rated securities were stressed by eight notches. Those securities currently rated in the Ba range were stressed to Caa3, while current B and Caa securities were treated as Ca. For subprime RMBS originated in the second half of 2006, those currently rated Aa, A, Baa or Ba were stressed by four notches, currently B rated securities were treated as Caa3, and currently Caa rated securities were treated as Ca. For 2007 subprime RMBS, currently Ba rated securities were stressed by four notches, currently B rated securities were treated as Caa3, and currently Caa rated securities were treated as Ca. Moody's noted that the stresses applicable to categories of 2005- 2007 subprime RMBS that are not listed above will be two notches if the RMBS ratings are on review for possible downgrade. Moody's further explained that these stresses are based on a preliminary sample analysis of deals from a given vintage and asset type, and that they will be utilized in its SF CDO rating analysis while subprime, Alt-A and Option-ARM securities remain on review for downgrade. Current public ratings will be used for securities that have undergone an in depth review by Moody's RMBS team and are no longer on review for downgrade. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. Moody's continues to monitor this transaction using primarily the methodology and its supplements for ABS CDOs as described in Moody's Special Report below: -- Moody's Approach to Rating SF CDOs (August 2009). In deriving its ratings, Moody's uses the collateral instrument's current rating-based expected loss, Moody's recovery rate table, and the original rating of the instrument along with its average life to infer an unadjusted default probability. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, and specific documentation features. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. DESERT HOT: S&P Downgrades Rating on Tax Bonds to 'BB' ------------------------------------------------------ Standard & Poor's Ratings Services has lowered its rating on Desert Hot Springs Redevelopment Agency, California's merged project area series 2006 and 2008 tax allocation bonds six notches to 'BB' from 'A'. The outlook is stable. "The downgrade reflects S&P's view of significant assessed value declines in the MPA in fiscal 2010," said Standard & Poor's credit analyst Sussan Corson. "This led to deteriorated maximum annual debt service coverage of 0.8x based on fiscal 2010 tax increment revenues alone," Ms. Corson added. Other rating factors include what S&P view as the MPA's increasing volatility ratio, the potential for further property values declines, and low income indicators and a limited city economy. Although agency representatives had forecast assessed value declines of 5.2% and 6.8% in 2010 and 2011, respectively, the MPA's actual total AV in fiscal 2010 fell more than 30%, to $816 million from $1.19 billion in fiscal 2009, due primarily to the county assessor's Proposition 8 adjustments. In addition, the agency's tax consultant estimates there is the potential for another 5% drop in fiscal 2011 due to a lag at the assessor's office in posting total declines. However, officials noted that a recent increase in property sales could partially offset further declines and lend to a slow AV recovery. Although median home prices citywide rose in the past decade, city officials estimate they have since fallen back to 2001 levels. The MPA has been particularly sensitive to the drop due to its residential composition and relatively new housing stock. The MPA covers approximately 3,149 acres, or about 20% of Desert Hot Springs, in California's Coachella Valley. The city is a historically lower-income community, neighboring Palm Springs and other more affluent resort communities, and it has some spa activity. Based on the most recent data, effective buying income remained low in 2008, in S&P's view at 66% and 56% of the nation on a household and per capita basis, respectively. The stable outlook reflects S&P's expectation that any further potential AV declines should remain much less significant than in fiscal 2010. The presence of a cash-funded debt service reserve at the reserve requirement also provides some liquidity for the agency to manage potential pledged tax increment revenue shortfalls beyond 2014. DLJ COMMERCIAL: Fitch Reviews Ratings on Three 1999-CG3 Notes ------------------------------------------------------------- Fitch Ratings has placed these three classes of DLJ Commercial Mortgage Corp., series 1999-CG3, on Rating Watch Negative: -- $13.5 million class B-4 'BBB+'; -- $9 million class B-5 'BBB-'; -- $11.2 million class B-6 'BB'. Classes B-5 and B-6 have been placed on Rating Watch Negative due to ongoing interest shortfalls. Class B-4 is not currently experiencing a shortfall but is placed on Rating Watch Negative due to the expectation that shortfalls could occur due to loan concentrations and the number of specially serviced loans in the deal. Interest shortfalls on the transaction are a result of appraisal reductions, fees associated with specially serviced loans, principal and interest advances, and an interest adjustment. There are currently 16 loans (73.1%) in special servicing. Fitch will resolve the Rating Watch status after a review of the remaining loans in the transaction and updated performance information from the master servicer. Following its review, the classes place on Rating Watch may be downgraded several categories and may no longer remain investment grade. E*TRADE RV: S&P Downgrades Ratings on All Classes of Notes ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on all classes of notes from E*Trade RV And Marine Trust 2004-1. The lowered ratings reflect S&P's view of the higher-than-expected cumulative net losses S&P has observed in the underlying collateral pool, as well as its view of the decline in the credit enhancement levels supporting the notes. The E*Trade RV and Marine Trust 2004-1 collateral pool consists of fixed-rate loan and installment sales contracts on recreational vehicles and marine assets (comprising sport boats, power boats, and yachts). The average contract balance at the time of issuance was approximately $45,700. As of the Jan. 31, 2010, collection period, the pool factor, or percentage of the initial pool balance that remains outstanding, was 36.9%. The cumulative net losses to date are 5.47%, which is higher than S&P's expected base?case loss assumptions of 3.25% at issuance. In addition, the transaction's loss rate has accelerated over the past 18 to 24 months, while the pool amortization has slowed. Over the same time period, S&P observed a decline in recovery values on defaulted loans; however, recovery values have seen some slight increases over the past six months. Ninety-plus-day delinquencies remain below 1.00%. Based on the most recent performance to date, S&P has increased its expected cumulative net losses to 10.0%-10.5% for the pool. S&P's loss severity expectation is 65%-70%. The transaction is currently paying principal sequentially to the senior-most class of notes. However, according to the transaction documents, if an event of default were to occur due to the issuer's default on any covenant or agreement in the indenture, or a breach of representation or warrant, it could cause the acceleration of the notes at the discretion of the indenture trustee or a majority vote of the controlling class of notes (defined as the class A notes, voting together as a single class, as long as the class A notes are outstanding). In S&P's opinion, if an event of default were to occur, the holders of the longer?dated class A notes (currently the class A-4 and class A-5) could have an incentive to vote for an acceleration of all of the notes. This would change the principal payment priority to pro rata within the class A notes, as outlined in the transaction documents. As such, S&P analyzed the structure under a pro rata principal payment scenario for the senior classes and gave no additional credit to the senior class A notes (class A-3 and class A-4) provided by a sequential payment priority. A combination of overcollateralization, subordination, cash reserves, and excess spread originally provided credit support to this transaction. As of the Jan. 31, 2010, collection period, overcollateralization had been reduced to zero, and the reserve account had been drawn below the $4.6 million required amount specified in the transaction documents. The transaction continues to generate excess spread. However, if the rate of losses does not decline, S&P believes the excess spread will be insufficient to cover remaining losses, and the reserve account will be fully drawn. Under such a scenario, S&P believes the class E notes are unlikely to receive their entire principal amount by their legal final maturity. Ratings Lowered E*Trade RV And Marine Trust 2004-1 Rating ------ Series Class To From ------ ----- -- ---- 2004-1 A-3 BBB+ AAA/Watch Neg 2004-1 A-4 BBB+ AAA/Watch Neg 2004-1 A-5 BBB+ AAA/Watch Neg 2004-1 B BB+ AA/Watch Neg 2004-1 C B+ A/Watch Neg 2004-1 D B- BBB/Watch Neg 2004-1 E CCC- BB/Watch Neg GMACC 2005-C1: Fitch Withdraws 'D/RR6' Rating on Class O Notes -------------------------------------------------------------- Fitch Ratings has withdrawn its rating on Class O of the GMACC 2005-C1 transaction. The class has been reduced to $0 due to realized losses. -- $0 class O to 'WD' from 'D/RR6'. GMAC COMMERCIAL: S&P Downgrades Ratings on Eight 2004-C3 Notes -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on eight classes of commercial mortgage-backed securities from GMAC Commercial Mortgage Securities Inc.'s 2004-C3 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on seven classes from the same transaction. The downgrades follow S&P's analysis of the transaction using its U.S. conduit and fusion CMBS criteria. The downgrades also reflect credit support erosion that S&P anticipate will occur upon the eventual resolution of nine ($123.8 million, 12.4%) of the 13 specially serviced assets. S&P's rating actions also considered trust liquidity. The trust experienced shortfalls of $180,352 in February, which affected six rated classes. S&P previously lowered five of the six ratings to 'D'. S&P lowered the rating on the remaining class (class H) to 'CCC-' from 'B+'. If the shortfalls continue, S&P may downgrade this class to 'D'. Three appraisal subordinated entitlement reduction amounts and a servicer nonrecoverable advance declaration primarily drive the shortfalls. An increase in the aggregate amount of monthly shortfalls could prompt rating actions on additional classes as well. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.83x and a loan-to-value ratio of 78.6%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average DSC of 1.25x and an LTV ratio of 100.6%. The implied defaults and loss severity under the 'AAA' scenario were 51.0% and 22.0%, respectively. All of the DSC and LTV calculations S&P noted above exclude five defeased loans ($64.9 million, 6.5%), and nine ($123.8 million, 12.4%) of the 13 specially serviced assets. S&P separately estimated losses for these nine specially serviced assets and included them in its 'AAA' scenario implied default and loss figures. The affirmations of the ratings on the pooled principal and interest certificates reflect subordination levels that are consistent with the outstanding ratings. S&P affirmed its ratings on the class X-1 and X-2 interest-only certificates based on its current criteria. S&P published a request for comment proposing changes to its IO criteria on June 1, 2009. After S&P finalizes its criteria review, S&P may revise its IO criteria, which may affect outstanding ratings, including the ratings on the IO certificates that S&P affirmed. Credit Considerations As of the February 2010 remittance report, 13 assets ($196.0 million, 19.6%) in the pool were with the special servicer, CWCapital Asset Management. The payment status of the specially serviced assets is: one asset is in foreclosure ($3.7 million, 0.4%), one is real estate owned ($12.9 million, 1.3%), three are 90-plus-days delinquent ($55.5 million, 5.5%), four are 60 days delinquent ($76.7 million, 7.7%), two are 30 days delinquent ($31.5 million, 3.1%), and two ($15.8 million, 1.6%) are in their grace period. Four of the specially serviced loans have appraisal reduction amounts in effect totaling $31.5 million. The related monthly ASER amount on the February 2010 remittance report for three of the ARAs was $88,644. The fourth ARA has a servicer nonrecoverable advance declaration. The Sawyer Portfolio loan, which has a total exposure of $54.4 million (5.4%), is the third-largest loan in the pool and the largest loan with the special servicer. The loan is 60 days delinquent and is secured by a six-property, 1,082-unit multifamily portfolio built between 1943 and 1964. All six of the subject properties are in suburban Maryland's Prince George's County, which is part of the Washington, D.C. metropolitan statistical area. The loan was transferred to the special servicer on Jan. 25, 2010, due to maturity default. The loan matured on Dec. 1, 2009, and S&P understands that CWCapital is waiting an executed prenegotiation agreement from the borrower. As of the nine months ended Sept. 30, 2009, reported occupancy and DSC were 93.3% and 1.26x, respectively. The second-largest loan with the special servicer is the International Tower loan, the sixth-largest loan in the pool, with a total exposure of $34.8 million (3.4%). The loan is 90-plus- days delinquent and is secured by a 302,992-sq.-ft., 11-story office building in Chicago, approximately 15 miles northwest of the central business district. The property was built in 1969 and fully renovated in 1999. The loan was transferred to the special servicer on April 20, 2009. A major tenant vacated its space at lease expiration in May 2007. As of Sept. 30, 2009, reported occupancy and DSC were 55% and 0.86x, respectively. CWCapital has informed us that it has engaged counsel and will likely move to initiate foreclosure. A $14.1 million appraisal reduction amount is in effect. S&P expects a significant loss upon the resolution of this asset. The third-largest loan with the special servicer is the Fairfield Lakes Apartments loan, which has a total exposure of $16.3 million (1.6%). The loan is 30 days delinquent and is secured by a 268- unit apartment building in Pensacola, Fla., and built in 2003. The loan was transferred to the special servicer on Oct. 9, 2009, due to imminent maturity default. The loan matured on Nov. 1, 2009, and CWCapital has indicated that it is commencing with a foreclosure on the property. As of Jan. 6, 2010, the property was 55% occupied. S&P expects a minimal loss upon the resolution of this asset. The sixth-largest asset with the special servicer, the Rolling Hills Apartments loan, has a total exposure of $16.1 million (1.6%), which includes advancing and interest thereon of $3.2 million. The property is an REO 276-unit apartment building in Nashville, Tenn., that was built in 1969. The servicer determined future advances nonrecoverable on May 7, 2009. The property is listed for sale and was 76% occupied as of Jan. 24, 2010. Standard & Poor's estimates a severe loss upon the resolution of this asset. The nine remaining specially serviced assets listed in the February remittance report ($80.6 million total exposure, 8.0%) have balances that individually represent less than 1.6% of the total pool balance. S&P estimated losses for six of these assets, resulting in a weighted average loss severity of 22.0%. The special servicer has indicated that it is considering modifications for two of the remaining three loans, and one was transferred due to a technical default, which has since been cured. CWCapital expects to transfer this loan back to the master servicer. Transaction Summary As of the February 2010 remittance report, the collateral pool balance was $1.00 billion, which is 80.1% of the balance at issuance. The pool includes 78 loans, down from 89 loans at issuance. The master servicer for the transaction, Berkadia Commercial Mortgage LLC (Berkadia), provided financial information for 91.7% of the pool; 88.9% of the financial information was full-year 2008, interim-2009, or full-year 2009 data. S&P calculated a weighted average DSC of 1.80x for the pool based on the reported figures. S&P's adjusted DSC and LTV, which exclude five defeased loans ($64.9 million, 6.5%), and nine ($123.8 million, 12.4%) of the 13 specially serviced assets, were 1.83x and 78.6%, respectively. If S&P included the specially serviced assets in its calculation, its adjusted DSC would be 1.74x. The transaction has experienced four principal losses totaling $18.1 million to date. Fourteen loans ($244.5 million, 24.4%) are on the master servicer's watchlist, including two of the top 10 loans. Ten loans ($92.6 million, 9.2%) have a reported DSC below 1.10x, and nine of these loans ($91.5 million, 9.1%) have a reported DSC of less than 1.0x. Summary of Top 10 Loans The top 10 exposures have an aggregate outstanding balance of $469.9 million (46.9%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 2.05x for the top 10 loans. Two of the top 10 loans ($166.8 million, 16.6%) appear on the master servicer's watchlist, which S&P discuss in detail below. S&P's adjusted DSC and LTV for the top 10 loans are 1.96x and 79.6%, respectively. The Houston Center loan is the largest loan in the pool and the largest loan on the master servicer's watchlist. The loan has a trust balance of $150.0 million (15.0%) and a whole-loan balance of $269.7 million. The loan is secured by a 2,956,225-sq.-ft. office property in Houston, Texas. The property was completed between 1974 and 1983 and renovated in 2004. According to the February 2010 watchlist report comments, the asset appears on the watchlist due to damage it sustained as a result of Hurricane Ike. Reported DSC and occupancy were 2.51x and 91.0%, respectively, as of September 2009. The Lake Point Shopping Center loan is the ninth-largest loan in the pool and the second-largest loan on the master servicer's watchlist. The loan has a trust balance of $16.8 million (1.7%) and is secured by a 174,437-sq.-ft. anchored retail center, built in 1995 in Orem, Utah. The reported DSC and occupancy for year- end 2008 were 1.47x and 100%, respectively. The reported DSC and occupancy for the six months ended June 30, 2009, were 1.19x and 76.9%, respectively. This asset appears on the servicer's watchlist because the Circuit City tenant (23.1% of net rentable area) vacated the property, which caused a drop in occupancy. However, the borrower is leasing the Circuit City space, along with a portion of the space from current tenant, Basset Furniture, to Hobby Lobby. The borrower indicates that the Hobby Lobby lease will be completed in March 2010. Standard & Poor's stressed the loans in the pool according to its U.S. conduit/fusion criteria. The resultant credit enhancement levels are consistent with S&P's lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2004-C3 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-J AA+ AAA/Watch Neg 14.89 B AA- AA/Watch Neg 11.77 C A+ AA-/Watch Neg 10.36 D BBB+ A-/Watch Neg 8.34 E BB+ BBB+/Watch Neg 7.09 F B+ BBB/Watch Neg 5.53 G CCC- BBB-/Watch Neg 4.44 H CCC- B+/Watch Neg 2.41 Ratings Affirmed GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2004-C3 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-3 AAA 23.16 A-4 AAA 23.16 A-1A AAA 23.16 A-AB AAA 23.16 A-5 AAA 23.16 X-1 AAA N/A X-2 AAA N/A N/A - Not applicable. GUGGENHEIM STRUCTURED: Fitch Downgrades Ratings on Eight Classes ---------------------------------------------------------------- Fitch Ratings has downgraded eight classes of Guggenheim Structured Real Estate Funding 2006-3 Ltd./LLC reflecting Fitch's base case loss expectation of 34.2%. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. Guggenheim 2006-3 is primarily collateralized by commercial real estate debt of which approximately 50% is subordinate debt and 18.4% is non-senior commercial mortgage backed securities or CRE CDO tranches. Fitch expects significant losses upon default for the subordinate positions since they are generally highly leveraged debt classes. Further, two loans (6.1%) are currently defaulted and two loans (22.4%) are considered Fitch Loans of Concern. Fitch expects significant to full losses on the defaulted assets. Guggenheim 2006-3 is a CRE collateralized debt obligation managed by Guggenheim Structured Real Estate Advisors with approximately $330 million of collateral. The transaction has a five-year reinvestment period, which ends in August 2011. As of the January 2010 trustee report and per Fitch categorizations, the CDO was substantially invested: CRE subordinate debt (49.6%), A-notes/whole loans (23.7%), CMBS (13.7%), and CRE CDOs (12.5%). Following the January 2010 trustee reporting period, the CDO sold two bank loan positions at a discount and now holds 0.4% in uninvested principal proceeds. In general, Fitch treats non-senior, single-borrower CMBS as CRE B- notes. All overcollateralization and interest coverage tests, except for the class E OC test, are passing, as of the January 2010 trustee report. However, as a result of the class E OC test failure, interest and principal proceeds (after class E) are being redirected to redeem class A-1. Under Fitch's updated methodology, approximately 55.9% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 10.2% from the most recent available cash flows (generally from third quarter 2009). Fitch estimates that recoveries will average 38.8%. The largest component of Fitch's base case loss expectation is a mezzanine position (9.1%) on a 1.2 million square foot office tower located in midtown Manhattan. While performance at the property has been relatively stable, cash flow is currently unable to support debt service. Further, the debt service requirement is expected to increase beginning in late 2010 as the interest only period expires. Fitch modeled a full loss on this overleveraged position. The next largest component to Fitch's base case loss expectation is a highly leveraged whole loan (12.1%) on a full service hotel located one block east of Chicago's Magnificent Mile. The hotel's most recently reported trailing twelve month net cash flow is 72% lower than the prior year. Although the hotel is still covering its debt service payments, given historically low Libor, and benefits from a new reservation system, Fitch modeled a term default in its base case scenario. The third largest component of Fitch's base case loss expectation is a B-note (14.3%) secured by a portfolio of 105 limited-service hotels across 26 states. Net cash flow for the portfolio has declined significantly since last year. Based on current performance, a financial covenant was triggered and all excess cash flow after debt service is being swept into a lender controlled reserve account as excess collateral for the loan. Fitch is modeling a maturity default in its base case scenario. This transaction was analyzed according to the 'U.S. CREL CDO Surveillance Criteria,' which applies stresses to property cash flows and uses debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs.' Based on this analysis, the credit characteristics for class A-1 are generally consistent with the 'A' rating category. The credit characteristics for class A-2 are generally consistent with the 'BBB' rating category. The credit characteristics for class B are generally consistent with the 'BB' rating category. The credit characteristics for class C are generally consistent with the 'B' rating category. The ratings for classes D through G are generally based on a deterministic analysis, which considers Fitch's base case loss expectation for the pool, defaulted assets and Fitch Loans of Concern relative to each class's credit enhancement. Based on this analysis, the rating for classes D and E is consistent with the 'CCC' rating, meaning default is a real possibility given the credit enhancement to each class falls below Fitch's base case loss expectation of 34.2%, but above the expected loss on the defaulted assets and Fitch Loans of Concern. With respect to classes F and G, although their credit enhancement still offers cushion to the expected loss from current defaulted assets, their credit enhancement is below the total expected losses from defaulted assets and loans of concern. Therefore, the rating of classes F and G is consistent with the 'CC' rating, meaning that default is probable. Class S is an interest-only class with a notional balance of $20 million. The interest amount is paid monthly out of CDO cash flows and is pari passu in priority to class A-1. As such, class S credit characteristics are consistent with a 'A' rating, and the class is assigned a Negative Outlook. Classes S, A through C were each assigned a Negative Outlook reflecting Fitch's expectation of further negative credit migration of the underlying collateral. Except for class S, these classes were also assigned Loss Severity ratings ranging from 'LS4' to 'LS5' indicating each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the expected loss for the collateral under the 'B' stress. LS ratings should always be considered in conjunction with probability of default indicated by a class' long-term credit rating. Fitch does not assign Outlooks or LS ratings to classes rated 'CCC' or lower. Classes D through G were assigned Recovery Ratings to provide a forward-looking estimate of recoveries on currently distressed or defaulted structured finance securities. Recovery Ratings are calculated using Fitch's cash flow model and incorporate Fitch's current 'B' stress expectation for default and recovery rates (55.9% and 38.8%, respectively), the 'B' stress US$ LIBOR up- stress, and a 24-month recovery lag. All modeled distributions are discounted at 10% to arrive at a present value and compared to the class's tranche size to determine a Recovery Rating. The assumptions for the 'B' stress US$ LIBOR up-stress scenario are found in Fitch's report, 'Criteria for Interest Rate Stresses in Structured Finance Transactions' (Feb. 17, 2010), available on Fitch's web site at 'www.fitchratings.com'. Classes D through G are assigned a Recovery Rating of 'RR6' as the present value of the recoveries in each case is less than 10% of each class's principal balance. Fitch has downgraded and assigned LS and RR ratings and Outlooks to these classes as indicated: -- $20,000,000 class S to 'A' from 'AAA'; Outlook Negative; -- $115,433,000 class A-1 to 'A/LS4' from 'AAA'; Outlook Negative; -- $22,800,000 class A-2 to 'BBB/LS5' from 'AAA'; Outlook Negative; -- $42,052,000 class B to 'BB/LS5' from 'AA'; Outlook Negative; -- $42,053,000 class C to 'B/LS5' from 'A'; Outlook Negative; -- $24,029,000 class D to 'CCC/RR6' from 'BBB+'; -- $28,139,056 class E to 'CCC/RR6' from 'BBB-'; -- $18,457,651 class F to 'CC/RR6' from 'B'; -- $20,744,926 class G to 'CC/RR6' from 'B-'. Additionally, all classes are removed from Rating Watch Negative. HERCULES REDEVELOPMENT: S&P Downgrades Rating on Tax Bonds to 'BB' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating and underlying rating to 'BB' from 'A' on Hercules Redevelopment Agency, Calif.'s series 2005 and 2007A tax allocation revenue bonds. Standard & Poor's also lowered its SPUR to 'BBB-' from 'A' on the agency's series 2007 housing tax allocation bonds. The outlook is stable. "The rating actions reflect S&P's view of the decline in the agency's tax increment revenues due to a significant drop in assessed value in the agency's project area," said Standard & Poor's credit analyst Matthew Reining. As a result, coverage of nonhousing bonds fell to below 1x maximum annual debt service, while coverage on the housing bonds remains slightly above 1x MADS. Fiscal 2010 assessed value declined by 14.8% from the prior year (incremental AV by 15.8%), following a more modest 3.3% drop between fiscals 2008 and 2009. In the five years through fiscal 2008, however, AV rose by what S&P consider a rapid 37% average annual rate. The housing downturn has led to lower home values in the project area. Management attributes the declines in AV primarily to Proposition 8 reductions, which are due to lower market value. Residential property, which made up 58% of the total in fiscal 2005, grew to 77% in fiscal 2008 before falling to fiscal 2010's 64%. As a result of these AV declines, tax increment available to pay debt service has fallen. For the nonhousing bonds, debt service coverage based on fiscal 2010 AV dropped to 0.97x MADS (with annual debt service coverage of 0.98x). Coverage by fiscal 2010 AV for the housing-secured bonds fell to 1.03x MADS (with annual debt service coverage of 1.06x). Agency management stated that it would use cash on hand in order to meet debt service requirements that were not met with tax increment revenue. While not specifically pledged to the bonds, this cash provides the agency with flexibility. At the end of fiscal 2009, the agency had $6 million in cash and investments. The project area is located in the western portion of Hercules, adjacent to the San Francisco Bay, and covers a former industrial area, including a central portion historically centered on explosives production. The merged project area covers 826 acres. Hercules (population 26,000) is in Contra Costa County, 23 miles northeast of San Francisco, and sits on the northeastern shore of the San Francisco Bay. HIGH POINT: Moody's Withdraws 'Ba2' Rating with Stable Outlook -------------------------------------------------------------- Moody's Investors Service has withdrawn the Ba2 bond rating with a stable outlook on High Point University's Series 2001 Bonds due to the bonds being fully defeased. At this time, the University no longer maintains any outstanding debt with a Moody's rating based on the University's credit quality. The last rating action was on September 25, 2009, when the Ba2 rating was affirmed and the outlook was revised to stable from watchlist. INGRESS CBO: Moody's Downgrades Ratings on Two Classes of Notes --------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of two classes of notes issued by Ingress CBO I, Ltd. The notes affected by the rating action are: -- US$54,000,000 Class B Second Priority Fixed Rate Term Notes due 2040 (current balance of $37,321,734), Downgraded to Ba3; previously on March 20, 2008 Confirmed at Ba1 -- US$21,250,000 Class C Third Priority Fixed Rate Notes Due 2040 (current balance of $31,338,829 including deferred interest), Downgraded to C; previously on November 20, 2006 Downgraded to Ca Ingress CBO I, Ltd., is a collateralized debt obligation issuance backed primarily by a portfolio of structured finance securities. According to Moody's, the rating downgrade actions are the result of deterioration in the credit quality of the underlying portfolio. Moody's notes that the Class C overcollateralization test and Class C interest coverage test are currently failing. As of the last trustee report, dated February 26, 2010, the Class C overcollateralization ratio was reported at 85.56% versus a test level of 100.00%, and the Class C interest coverage ratio was reported at 10.63% versus a test level of 100.00%. On the last two most recent quarterly payment dates, interest proceeds were not sufficient to pay Class C interest, and the Issuer diverted monies from the principal proceeds account to help satisfy the obligation to pay Class C interest. Moody's also notes that the underlying portfolio is concentrated in a few obligations and any material change in the credit risk of any of these secutities could pose a risk to the rated notes. Moody's continues to monitor this transaction using primarily the methodology and its supplements for ABS CDOs as described in Moody's Special Report below: -- Moody's Approach to Rating SF CDOs (August 2009) In deriving its ratings, Moody's uses the collateral instrument's current rating-based expected loss, Moody's recovery rate table, and the original rating of the instrument along with its average life to infer an unadjusted default probability. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, and specific documentation features. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. ISCHUS CDO: Fitch Downgrades Ratings on Four Classes of Notes ------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed two classes of notes issued by Ischus CDO II, Ltd./LLC due to deterioration in the credit quality of the portfolio since last review. As of the February 2010 trustee report, the current balance of the portfolio is $226.3 million including $160.4 million in defaulted securities as defined in the transaction's governing documents. Defaulted securities now comprise 70.9% of the portfolio, compared to 1.4% at last review in August 2008. Approximately 97.8% of the portfolio has been downgraded since Fitch's last rating action, resulting in 89.9% of the portfolio with a Fitch derived rating below investment grade and 85.4% with a rating in the 'CCC' rating category or below, as compared to 66.8% and 41.2%, 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 Ischus II. The transaction entered an event of default (EOD) on Jan. 26, 2009, as a result of a failure to maintain the class A Overcollateralization ratio above 100%. A majority of the controlling class, class A-1 (the class A-1A and A-1B notes together) notes, voted to accelerate on Feb. 18, 2009; however, the class A-2 and class B notes have continued to receive interest distributions since then. As of the February 2010 distribution date, approximately 29.6% of the class A-1 notes' original principal balance has paid down. Collectively, the class A-1 notes represent 56.8% of the current capital structure and have a credit enhancement of 18%. While the class A-2 and class B notes are still receiving interest distributions, given the amount of distressed assets in the portfolio, only the class A-1 notes are projected to receive some principal by maturity. The class C and class D notes are no longer receiving interest distributions and are not expected to receive any proceeds going forward. Ischus II is a cash flow collateralized debt obligation, which closed on July 27, 2005 and is managed by Ischus Capital Management, LLC. Presently, 62.3% of the portfolio is comprised of subprime residential mortgage-backed securities, 17.4% prime RMBS, 12.4% commercial mortgage-backed securities, 3.9% corporate CDOs, 3% structured finance CDOs, and 1% asset-backed securities. Fitch has downgraded these classes: -- $150,700,385 class A-1A notes to 'C' from 'B-'; -- $35,210,370 class A-1B notes to 'C' from 'B-'; -- $28,000,000 class A-2 notes to 'C' from 'CCC'; -- $55,000,000 class B notes to 'C' from 'CC'. Fitch has affirmed these classes: -- $11,582,203 class C notes at 'C'; -- $19,893,988 class D Notes at 'C'. JPMORGAN CHASE: S&P Downgrades Ratings on Six 2002-C3 Certs. ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on six classes of commercial mortgage pass-through certificates from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2002- C3. In addition, S&P affirmed its 'AAA' ratings on five other classes from the same transaction. The downgrades follow S&P's analysis of the transaction using its U.S. conduit and fusion commercial mortgage-backed securities criteria. The downgrades also reflect credit support erosion that S&P anticipates will occur upon the eventual resolution of three of the four specially serviced assets and three loans that S&P determined to be credit-impaired. In addition, interest shortfalls, primarily due to appraisal subordinate entitlement reductions and special servicing fees, prompted us to lower its ratings on classes H and J to 'D'. S&P expects the interest shortfalls to classes H and J to continue for the foreseeable future. S&P's rating actions also considered potential liquidity interruptions related to an ongoing litigation regarding the 318 West Adams Street loan. The mortgage loan defaulted and was subsequently foreclosed upon, and the real estate owned property was liquidated at a $7.3 million loss in August 2005. According to the special servicer, the trust is involved in a litigation, which includes, among other items, claims of fraudulent misrepresentations with respect to the loan origination and the conditions of the property securing the loan. The litigation involves various parties, including the borrower, the guarantor, the originator, and a third-party consulting firm. A trial has been set for May 3, 2010. According to the special servicer, the trust has incurred approximately $1.5 million of legal and other related expenses to date. If the rated classes experience further interest shortfalls, S&P may take additional rating actions. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.44x and a loan-to-value ratio of 82.9%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 1.23x and an LTV ratio of 104.7%. The implied defaults and loss severity under the 'AAA' scenario were 26.1% and 41.1%, respectively. The DSC and LTV calculations noted above exclude 13 defeased loans ($184.9 million, 33.0%), three specially serviced assets ($27.5 million, 4.9%), and three credit- impaired loans ($10.4 million, 1.9%). S&P separately estimated losses for the six specially serviced and credit-impaired assets and included them in S&P's 'AAA' scenario implied default and loss figures. The affirmations of the ratings on the principal and interest certificates reflect subordination levels that are consistent with the outstanding ratings. S&P affirmed its rating on the class X-1 interest-only (IO) certificates based on its current criteria. S&P published a request for comment proposing changes to its IO criteria on June 1, 2009. After S&P finalizes its criteria review, S&P may revise its IO criteria, which may affect outstanding ratings, including the rating on the IO certificates that S&P affirmed. Credit Considerations As of the Feb. 12, 2010, trustee remittance report, four assets ($40.4 million, 7.2%) in the pool were with the special servicer, ING Clarion Capital Loan Services LLC. The payment status of the specially serviced assets is: two are REO ($19.7 million, 3.5%), one is in foreclosure ($7.8 million, 1.4%), and one is 30-plus days delinquent ($12.9 million, 2.3%). Three of the specially serviced assets ($27.5 million, 4.9%) have appraisal reduction amounts in effect totaling $21.0 million. The related monthly ASER amount on the February 2010 remittance report for these ARAs was $68,772. Subsequent to the February 2010 remittance report date, the master servicer made a nonrecoverable advance determination on one of the specially serviced loan that has an ARA in effect. 78 Corporate Center, the largest asset with the special servicer, consists of two three-story class A office buildings totaling 185,850 sq. ft. in Lebanon, N.J. This asset has a total exposure of $18.5 million and is the fifth-largest asset in the pool. The property is currently 40% occupied and became REO on Aug. 7, 2009. An ARA totaling $12.3 million is in effect for this asset. ING indicated that it is trying to lease up the vacant space and plans to market the property for sale later this year. S&P expects a significant loss upon the resolution of this asset. The Holiday Inn Newark loan, the second-largest loan with ING and the sixth-largest loan in the pool, is secured by a 412-room full- service hotel in Newark, New Jersey. The $12.9 million (2.3%) loan, which is currently 30-plus days delinquent, was initially transferred to ING on Jan. 15, 2010, due to imminent default. In December 2009, the borrower sent a letter stating, among other items, an inability to make future debt service payments due to required property improvements to reflag the hotel to a Ramada. The cash flow at the property is currently insufficient to cover debt service. ING is currently reviewing this loan and has ordered an appraisal. S&P expects a moderate loss upon the eventual resolution of this asset. The Maple Glen loan, the third-largest loan with ING, is secured by a 706-unit garden-style apartment complex in Columbus, Ohio. The $7.8 million loan is in foreclosure and has a total exposure of $9.2 million. This loan was initially transferred to ING on Aug. 11, 2008, due to imminent default, after the borrower stated its inability to make future debt service payments. ING indicated that the property, which is currently 10% occupied, is under contract for sale and is expected to close within the next 30-60 days. An ARA of $8.5 million was in effect for this loan as of the February 2010 remittance report. The master servicer subsequently deemed future advances nonrecoverable on March 4, 2010. S&P expects a severe loss upon the eventual liquidation of this asset. Valley View Commerce Center, a 29,885-sq.-ft. suburban office building in Farmers Branch, Texas, is the smallest asset with the special servicer. This asset, which became REO on Sept. 1, 2009, has a total exposure of $2.4 million. ING indicated that the property is vacant, and it is currently trying to lease up the vacant space. An ARA of $210,718 is in effect for this asset. S&P expects a significant loss upon liquidation of this asset. In addition to the specially serviced assets, S&P determined three loans ($10.4 million, 1.9%) to be credit-impaired. These three loans are all secured by older vintage multifamily properties located in Texas, Georgia, and Florida. The occupancy rates at all three properties are low, and the reported DSCs are well below 1.00x. As a result, S&P view these loans to be at an increased risk of default and loss. Transaction Summary As of the Feb. 12, 2010, trustee remittance report, the collateral pool balance was $560.0 million, which is 75.1% of the balance at issuance. The pool includes 75 loans and two REO assets, down from 87 loans at issuance. The master servicer, Berkadia Commercial Mortgage LLC, provided financial information for 98.3% of the nondefeased loans in the pool, a majority of which was full-year 2008, interim-2009 data, or full-year 2009 data. S&P calculated a weighted average DSC of 1.37x for the nondefeased loans in the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.44x and 82.9%, respectively. S&P's adjusted DSC and LTV figures exclude 13 defeased loans ($184.9 million, 33.0%), three specially serviced assets ($27.5 million, 4.9%), and three credit-impaired loans ($10.4 million, 1.9%), for which S&P has estimated losses separately. If S&P included the specially serviced assets and credit-impaired loans in its calculation, its adjusted DSC would be 1.28x. The transaction has experienced $32.3 million in principal losses to date. Sixteen loans ($109.6 million, 19.6%) are on the master servicer's watchlist, including four of the top 10 loans. Fifteen loans ($85.9 million, 15.3%) have reported DSC below 1.10x, 13 of which ($72.9 million, 13.0%) have a reported DSC of less than 1.0x. Summary of Top 10 Real Estate Exposures The top 10 real estate exposures have an aggregate outstanding balance of $164.7 million (29.4%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.25x for the top 10 real estate exposures. Four of the top 10 exposures ($70.0 million, 12.5%) appear on the master servicer's watchlist, which S&P discuss in detail below. S&P's adjusted DSC and LTV for the top 10 exposures are 1.29x and 100.2%, respectively. If S&P include the two specially serviced assets that are part of the top 10 exposures in its calculation, its adjusted DSC would be 1.08x. The Anderson Mall loan, the largest loan in the pool, is on Berkadia's watchlist. The loan has a trust balance of $27.2 million (4.9%) and is secured by 393,200 sq. ft. of a 624,050-sq.-ft. regional mall in Anderson, S.C. The loan appears on the watchlist due to a decline in DSC resulting from lower revenue. The property was 85.9% occupied as of September 2009, and the reported DSC for the year ended Dec. 31, 2009, was 1.24x, down from 1.67x at issuance. The Village Shoppes of Salem loan is the fourth-largest loan in the pool and is on Berkadia's watchlist due to a low DSC. The loan has a trust balance of $18.4 million (3.3%) and is secured by a 170,270-sq.-ft. retail shopping center in Salem, N.H. The reported occupancy was 62.0% as of the year ended Dec. 31, 2009, down from 100% at issuance. DSC was 0.78x for the three months ended March 31, 2009, down from 1.50x at issuance. Berkadia indicated that the borrower is working on leasing up the vacant space. The Getronics Campus loan is the seventh-largest loan in the pool and is on Berkadia's watchlist due to a decrease in occupancy to 68.4% as of February 2010, from 100% at issuance. The loan has a trust balance of $12.6 million (2.2%) and is secured by a 278,800- sq.-ft. suburban office/warehouse building in Liberty Lake, Wash. The decline in occupancy is due to vacant warehouse space. The DSC for the nine months ended Sept. 30, 2009, was 1.72x, up from 1.32x at issuance. According to Berkadia, the borrower has indicated that there are no prospects for the vacant warehouse space at this time. The Retreat Apartments loan is the eighth-largest loan in the pool and is on Berkadia's watchlist due to a low DSC. The loan has a trust balance of $11.8 million (2.1%) and is secured by a 148-unit garden-style apartment complex in Carmel, Ind. The reported occupancy and DSC were 95.9% and 1.09x, respectively, as of Sept. 30, 2009, compared with 90.5% and 1.54x at issuance. The decline in DSC is primarily due to higher operating expenses. Standard & Poor's stressed the assets in the pool according to its U.S. conduit/fusion criteria. The resultant credit enhancement levels are consistent with its lowered and affirmed ratings. Ratings Lowered JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2002-C3 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- D AA AA+ 13.20 E A+ AA 11.54 F BB- BBB+ 7.55 G B- BBB- 5.55 H D BB 2.89 J D CCC 0.56 Ratings Affirmed JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2002-C3 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA 24.18 A-2 AAA 24.18 B AAA 19.19 C AAA 17.53 X-1 AAA N/A N/A - Not applicable. LAKESIDE CDO: Moody's Downgrades Ratings on Two Classes of Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of two classes of notes issued by Lakeside CDO II Ltd. The notes affected by the rating action are: -- US$1,170,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes Due 2040 MTN Program (current balance of $623,132,204), Downgraded to Caa1; previously on March 10, 2009 Downgraded to B1; -- US$279,900,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2040 MTN Program, Downgraded to Ca; previously on March 10, 2009 Downgraded to Caa3. According to Moody's, the rating downgrade actions are the result of deterioration in the credit quality of the underlying portfolio. Such credit deterioration is observed through numerous factors, including a decline in the average credit rating of the portfolio (as measured by an increase in the weighted average rating factor), an increase in the dollar amount of defaulted securities, and failure of the coverage tests. For this transaction, the weighted average rating factor, as reported by the trustee, has increased from 511 in February 2009 to 983 in January 2010. During the same period, defaulted securities increased from $80 million to $168 million, and the Overcollateralization Test result decreased from 88.5% to 73.5%. Lakeside CDO II Ltd. is a collateralized debt obligation issuance backed primarily by a portfolio of residential mortgage backed securities. Moody's continues to monitor this transaction using primarily the methodology and its supplements for ABS CDOs as described in Moody's Special Report below: -- Moody's Approach to Rating SF CDOs (August 2009) In deriving its ratings, Moody's uses the collateral instrument's current rating-based expected loss, Moody's recovery rate table, and the original rating of the instrument along with its average life to infer an unadjusted default probability. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, and specific documentation features. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. LENOX STREET: Moody's Downgrades Ratings on Eight Classes --------------------------------------------------------- Moody's Investors Service downgraded eight classes of Notes issued by Lenox Street 2007-1, Ltd., due to deterioration in the credit quality of the underlying portfolio as measured by deterioration in the weighted average rating factor. The rating action, which concludes Moody's current review, is the result of Moody's on- going surveillance of commercial real estate collateralized debt obligation transactions. Lenox Street 2007-1, Ltd., is originally a revolving hybrid CRE CDO transaction backed by a portfolio of commercial mortgage backed securities collateral (20% of the pool balance) and synthetic reference obligations on CMBS collateral (80% of the pool balance). However, due to an Event of Default caused by a failure in the Default Par Value Coverage Ratio test as reported by the Trustee Report dated October 26, 2009, per Section 5. 5 of the Indenture, the Trustee ceased the reinvestment feature of transaction. As of January 26, 2010, the aggregate Notes balance of the transaction, including the Subordinate Notes, has decreased to $349.4 million from $350.0 million at issuance, due to approximately $0.6 million in pay-downs to the Class G, H and J Notes given a provision that 20% of excess interest of the deal goes to pay the Class G, H and J Notes pro rata in each payment period. Per the January 26, 2010 Trustee Report, the transaction failed the Super Senior Par Value Coverage test, Default Par Value Coverage test as well as the Class A/B, the Class C/D and the Class E/F Overcollateralization Tests. Fifteen assets totaling approximately $108.6 million par amount (11% of the pool balance) were listed as defaulted and another 89 assets totaling approximately $871.1 million par amount (87.0% of the pool balance) were listed as credit risk securities. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life, weighted average recovery rate, and Moody's asset correlation. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's have completed updated credit estimates for the entire pool and the results will be reflected in a future Trustee Report. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 5,027 compared to 4,088 at last review. WAL acts to adjust the probability of default of the collateral pool for time. Moody's modeled to the actual WAL of 6 years compared to 7 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled the actual WARR of 3.9% compared to 4.9% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 50.2% compared to 51.4% at last review. Moody's review also incorporated updated asset correlation assumptions for the commercial real estate sector consistent with one of Moody's CDO rating models, CDOROM v2.5, which was released on April 3, 2009. These correlations were updated in light of the systemic seizure of credit markets and to reflect higher inter- and intra-industry asset correlations. The updated asset correlations, depending of vintage and issuer diversity, used for CUSIP collateral (i.e. CMBS, CRE CDOs or REIT debt) within CRE CDOs range from 30% to 60%, compared to 15% to 35% previously. The cash flow model, CDOEdge v3.2, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. As always, Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating actions are: -- Class A, Downgraded to Ca; previously on November 13, 2009 downgraded to B1 and remained on Review for Possible Downgrade -- Class B, Downgraded to C; previously on November 13, 2009 downgraded to B3 and remained on Review for Possible Downgrade -- Class C, Downgraded to C; previously on November 13, 2009 downgraded to Caa2 and remained on Review for Possible Downgrade -- Class D, Downgraded to C; previously on November 13, 2009 downgraded to Caa2 and remained on Review for Possible Downgrade -- Class E, Downgraded to C; previously on November 13, 2009 downgraded to Caa3 and remained on Review for Possible Downgrade -- Class F, Downgraded to C; previously on November 13, 2009 downgraded to Caa3 and remained on Review for Possible Downgrade -- Class G, Downgraded to C; previously on November 13, 2009 downgraded to Ca -- Class H, Downgraded to C; previously on November 13, 2009 downgraded to Ca Moody's monitors transactions on both a monthly basis through a review of the available Trustee Reports and a periodic basis through a full review. Moody's prior full review is summarized in a press release dated November 13 2009. LOUISIANA HOUSING: S&P Downgrades Rating on 2005 Bonds to 'BB' -------------------------------------------------------------- Standard & Poor's Ratings Services said it lowered its rating to 'BB' from 'AAA' on Louisiana Housing Finance Agency's series 2005 multifamily housing revenue bonds (Sunquest Properties Inc.; Peppermill I & II Apartments Project). "The downgrade primarily reflects S&P's expectations about the insufficiency of the cash flows to pay debt service beyond 2011 and a deteriorating asset-to-liability ratio, based on S&P's minimum reinvestment rates assumptions," said Standard & Poor's credit analyst Wendy Dolber. Also, if the security prepays, it is S&P's opinion there are insufficient assets to cover the reinvestment risk based on the 15-day minimum notice period required for special redemptions. The bonds are secured by Fannie Mae mortgage-backed securities. MADISON SQUARE: Fitch Downgrades Ratings on Three Classes --------------------------------------------------------- Fitch Ratings has downgraded three classes of notes issued by Madison Square 2004-1 as a result of negative credit migration of the commercial mortgage-backed securities collateral. The balance of the classes are affirmed due to adequate cushion to Fitch's expected loss rates. Since Fitch's last rating action in February 2009, approximately 8.2% of the portfolio has been downgraded. Currently, 11.4% is on Rating Watch Negative. Approximately 80.6% of the portfolio has a Fitch derived rating below investment grade and 51.1% has a rating below 'CCC', compared to 72.4% and 36.8%, respectively, at last review. Further, the CDO has paid down $45.2 million since the last review. This transaction was analyzed under the framework described in the Fitch report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model for projecting future default levels for the underlying portfolio. As of the Jan. 26, 2010 trustee report, 47.8% of the portfolio is experiencing partial or full interest shortfalls. Fitch conducted additional sensitivity in the PCM analysis to gauge the impact of potential principal losses to these assets. Based on this analysis, the credit enhancement available to the classes L through N and P notes are generally consistent with the PCM rating loss rate for each class' current rating. The credit enhancement available to the class O notes is generally consistent with the 'BBB' rating loss rate while the credit enhancement for classes Q and S are generally consistent with the 'B' rating loss rate. The affirmations to classes L through N also reflect the increase in credit enhancement from substantial paydowns to the classes, resulting from collateral repayments and a structural feature which diverts interest that would otherwise be paid on classes P through T to classes L through O. This structural feature poses additional risk to classes P through S as their balances continue to accrete at their respective coupon rates. Fitch does not rate the class T notes. The Negative Rating Outlook on the classes reflects Fitch's expectation that underlying CMBS loans will face refinance risk and maturity defaults. Fitch also assigned Loss Severity ratings to the notes. The LS ratings indicate each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the expected loss for the collateral under the 'B' stress. The LS rating should always be considered in conjunction with probability of default indicated by a class' long-term credit rating. Fitch does not assign Rating Outlooks or LS ratings to classes rated 'CCC' or lower. Madison Square 2004-1 is a commercial real estate collateralized debt obligation that closed March 31, 2004. The transaction is collateralized by 32 assets from eight obligors from the 1996 through 1999 vintages. The collateral is primarily composed of CMBS B-Piece resecuritizations which are CRE CDOs and Re-Remic transactions that include the most junior bonds of CMBS transactions. Fitch has taken rating actions on the classes listed below. These actions include affirmations, the assignment of LS ratings and revision of Rating Outlooks as indicated: -- $73,532,017 class L notes affirmed at 'AAA/LS5'; Outlook to Negative from Stable; -- $18,473,000 class M notes affirmed at 'AA-/LS5'; Outlook to Negative from Stable; -- $29,029,000 class N notes affirmed at 'A+/LS5'; Outlook to Negative from Stable; -- $30,231,561 class P notes affirmed at 'BB-/LS5'; Outlook to Negative from Stable. In addition, Fitch has downgraded these classes: -- $29,028,000 class O notes downgraded to 'BBB' from 'A-/'LS5'; Outlook to Negative from Stable; -- $16,003,913 class Q notes downgraded to 'B' from 'BB/'LS5'; Outlook to Negative from Stable; -- $12,448,686 class S notes downgraded to 'B' from 'BB-/'LS5'; Outlook to Negative from Stable. MAGNOLIA FINANCE: Moody's Junks Ratings on $9 Mil. CDO Notes ------------------------------------------------------------ Standard & Poor's Ratings Services corrected its rating on Magnolia Finance I PLC's $9 million collateralized debt obligation- referenced fixed-rate notes series 2005-19 by lowering it to 'CCC-' from 'B'. The rating on the reference notes is dependent on the lower of S&P's ratings on (i) the rate and credit default swap counterparty, Credit Suisse First Boston International ('A+'), and (ii) the reference obligation, CSAM Funding II's class D notes due Oct. 15, 2016 ('CCC-'). On Sept. 17, 2009, S&P placed its 'B' rating on the reference obligation on CreditWatch with negative implications. On Nov. 25, 2009, S&P lowered its rating on the reference obligation to 'CCC-' and removed it from CreditWatch with negative implications, but due to an error, the rating actions on the notes did not occur contemporaneously with the rating actions on the reference obligation. MORTGAGE CAPITAL: Fitch Takes Rating Actions on 1998-MC1 Certs. --------------------------------------------------------------- Fitch Ratings revises the Recovery Rating, affirms the ratings and assigns a Rating Outlook to Mortgage Capital Funding, Inc.'s commercial mortgage pass-through certificates, series 1998-MC1: -- Interest-only class X at 'AAA'; Outlook Stable; -- $4.2 million class M to 'D/RR6' from 'D/RR3'. The RR revision is the result of increased loss expectations associated with the two remaining specially serviced loans since Fitch's last rating action. As of the February 2010 distribution date, the pool's certificate balance has paid down 99.7% to $4.2 million from $1.3 billion at issuance. There are two of the original 249 loans remaining in the transaction. Both loans are matured non-performing assets in special servicing. The borrowers of both loans have exhausted all efforts to refinance the loan. The special servicer has determined the sale of the notes to be the most efficient means to resolve the current maturity defaults and also collapse the pool. Fitch expects losses from loans currently in special servicing to be absorbed by class M. N-STAR REAL: Fitch Downgrades Ratings on Seven Classes of Notes --------------------------------------------------------------- Fitch Ratings has downgraded seven and affirmed three classes of notes of N-Star Real Estate CDO I Ltd. as a result of negative credit migration of the commercial mortgage backed securities collateral within the portfolio. Since Fitch's last rating action in February 2009, approximately 10.1% of the portfolio has been downgraded. Currently, 22.2% is on Rating Watch Negative. Approximately 22.6% of the portfolio has a Fitch derived rating below investment grade. Currently, no assets have a Fitch derived rating below 'B'. Further, the CDO has paid down $22.8 million since the last review. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model for projecting future default levels for the underlying portfolio. These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in Corporate CDOs'. Based on this analysis, the class A-1 and A-2A/A-2B notes' breakeven rates are generally consistent with the 'AAA' and 'AA' rating categories, respectively. Similarly, the breakeven rates of the class B notes are generally consistent with the 'A' rating category, for class C-1A/C-1B notes with the 'BBB' rating category, and class C-2 with the 'B' rating category. The class D-1A/D-1B notes are downgraded to 'CCC' due to Fitch's expectation of further credit deterioration as 22.2% of the portfolio remains on Rating Watch Negative. Fitch notes that as of the Jan. 29, 2010 payment date, all classes are current on interest and one asset (1.8%) is experiencing interest shortfalls. The Negative Rating Outlook on the class A-1 through C-2 notes reflects Fitch's expectation that underlying CMBS loans will continue to face refinance risk and maturity defaults. Fitch also assigned Loss Severity ratings to the notes. The LS ratings indicate each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the expected loss for the collateral under the 'B' stress. The LS rating should always be considered in conjunction with probability of default indicated by a class' long-term credit rating. Fitch does not assign Rating Outlooks or LS ratings to classes rated 'CCC' or lower. N-Star I is a static arbitrage cash flow collateralized debt obligation, which closed Aug. 21, 2003. The collateral is composed of 67.2% CMBS, 24.7% real estate investment trusts, 6.5% of SF CDOs, and the remaining 1.5% of commercial real estate loans. Fitch has affirmed, assigned LS ratings and revised Outlooks for these classes as indicated: -- $126,163,695 class A-1 notes at 'AAA/LS1'; Outlook to Negative from Stable; -- $45,000,000 class A-2A notes at 'AA/LS2'; Outlook to Negative from Stable; -- $15,000,000 class A-2B notes at 'AA/LS2'; Outlook to Negative from Stable. In addition, Fitch has downgraded these classes: -- $15,000,000 class B-1 notes to 'A/LS3' from 'AA-'; Outlook to Negative from Stable; -- $10,000,000 class B-2 notes to 'A/LS4' from 'A+'; Outlook to Negative from Stable; -- $5,000,000 class C-1A notes to 'BBB/LS4' from 'A'; Outlook to Negative from Stable; -- $5,000,000 class C-1B notes to 'BBB/LS4' from 'A'; Outlook to Negative from Stable; -- $24,000,000 class C-2 notes to 'B/LS3' from 'BBB-'; Outlook to Negative from Stable; -- $10,000,000 class D-1A notes to 'CCC' from 'BB-'; -- $4,000,000 class D-1B notes to 'CCC' from 'BB-'. PHILADELPHIA SCHOOL: Moody's Assigns 'Ba1' Rating on 2010 Bonds --------------------------------------------------------------- Moody's has assigned an enhanced Aa3 rating with a negative outlook and an underlying Ba1 rating with a stable outlook to the Philadelphia School District's (PA) $49.25 million General Obligation Refunding Bonds, Series D of 2010. These bonds were originally going to be issued as part of the Series C of 2010 bonds which were assigned the enhanced Aa3 rating and underlying Ba1 rating on March 2, 2010. The Series C amount has been reduced to approximately $300 million. For more information on the rationale for the enhanced and underlying ratings, please see Moody's Philadelphia School District report from March 2, 2010. PNC MORTGAGE: S&P Downgrades Ratings on Eight 2001-C1 Securities ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on eight classes of commercial mortgage-backed securities from PNC Mortgage Acceptance Corp.'s series 2001-C1 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on eight other classes from the same transaction. The downgrades follow S&P's analysis of the transaction using its U.S. conduit and fusion CMBS criteria, which was the primary driver of its rating actions. The downgrades of the subordinate classes also reflect credit support erosion that S&P anticipate will occur upon the eventual resolution of three specially serviced assets. In addition, interest shortfalls, primarily due to appraisal subordinate entitlement reductions and special servicing fees, prompted us to lower its rating on class M to 'D'. S&P expects the interest shortfalls to class M to continue for the foreseeable future. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.30x and a loan-to-value ratio of 97.4%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average DSC of 1.10x and an LTV ratio of 135.3%. The implied defaults and loss severity under the 'AAA' scenario were 28.5% and 41.5%, respectively. The DSC and LTV calculations noted above exclude 19 defeased loans ($185.7 million, 26.6%) and two specially serviced assets ($13.0 million, 1.9%). S&P separately estimated losses for these two specially serviced assets and included them in S&P's 'AAA' scenario implied default and loss figures. The affirmations of S&P's ratings on the principal and interest certificates reflect subordination levels that are consistent with the outstanding ratings. S&P affirmed its ratings on the class X1, X, and C2X interest-only certificates based on its current criteria. S&P published a request for comment proposing changes to its IO criteria on June 1, 2009. After S&P finalize its criteria review, S&P may revise its IO criteria, which may affect outstanding ratings, including the ratings on the IO certificates that S&P affirmed. Credit Considerations As of the February 2010 remittance report, three assets ($25.6 million, 3.7%) in the pool were with the special servicer, Midland Loan Services Inc. (Midland). The payment status of the specially serviced assets is: one is current ($12.6 million, 1.8%), one is in foreclosure ($2.6 million, 0.4%), and one is real estate owned (REO) ($10.4 million, 1.5%). Two of the specially serviced assets have appraisal reduction amounts in effect totaling $11.8 million. The related monthly ASER amount on the February 2010 remittance report for these ARAs was $79,225. The Radisson Plaza Hotel loan is the eighth-largest loan in the pool and the largest loan with the special servicer according to the February 2010 remittance report. It has a total exposure of $12.7 million (1.8%). The loan is secured by a 185-room full- service hotel in San Jose, Calif., that was built in 1985 and renovated in 2000. The loan was initially transferred to Midland on Sept. 11, 2007, due to the borrower's default under its franchise agreement for failing to complete a required property improvement plan. The borrower also replaced the hotel management without the trust's consent and failed to properly fund the fixtures, furniture, and equipment reserve. Midland has proposed a loan modification related to the FF&E escrow. The loan is current with the exception of the FF&E escrow. For year-end 2008, the reported DSC was 0.33x, compared with 1.60x at issuance. S&P expects a significant loss upon the resolution of this asset. The Motorola Building, a 103,000-sq.-ft., three-story suburban office building in Libertyville, Ill., has a total exposure of $13.1 million (1.5%), and is the second-largest asset with the special servicer. The property is currently vacant and became REO on April 30, 2008. An ARA totaling $9.4 million is in effect for this asset. A purchase and sale agreement was executed on Feb. 9, 2010, and the servicer expects the agreement to close by April 2010. S&P expects a significant loss upon the resolution of this asset. The Palmer Park Apartments loan (0.4%) is secured by a 167-unit class C multifamily property in Detroit, Mich., that was built between 1940 and 1950. The loan was transferred to the special servicer on July 2, 2008, due to monetary default. An ARA totaling $2.4 million is in effect for this asset. Foreclosure proceedings began on Aug. 13, 2009. A receiver is in place and purchase offers are currently being received. S&P expects a significant loss upon the resolution of this asset. Transaction Summary As of the February 2010 remittance report, the collateral pool balance was $698.2 million, which is 79.2% of the balance at issuance. The pool includes 100 loans and one REO asset, down from 131 loans at issuance. The master servicer provided financial information for 97.2% of the pool, all of which was full-year 2008, interim-2009, or full-year 2009 data. S&P calculated a weighted average DSC of 1.30x for the nondefeased loans in the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.30x and 97.4%, respectively, which exclude 19 defeased loans ($185.7 million, 26.6%) and two specially serviced assets ($13.0 million, 1.9%) for which S&P has estimated losses separately. If S&P included the specially serviced assets in its calculation, its adjusted DSC would be 1.27x. The transaction has experienced $7.2 million of principal losses to date. Twenty-four loans ($139.3 million, 19.9%) are on the master servicer's watchlist, including four of the top 10 loans. Nineteen loans ($101.2 million, 14.5%) have a reported DSC below 1.10x, of which 16 loans ($86.6 million, 12.4%) have a reported DSC of less than 1.0x. Summary of Top 10 Loans The top 10 exposures have an aggregate outstanding balance of $228.6 million (32.8%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.24x for the top 10 loans. Four of the top 10 loans ($63.5 million, 9.1%) appear on the master servicer's watchlist, which S&P discuss in detail below. S&P's adjusted DSC and LTV for the top 10 loans are 1.19x and 89.4%, respectively. The Deer Grove Shopping Center loan is the third-largest loan in the pool and the largest loan on the servicer's watchlist. The loan has a trust balance of $18.7 million (2.7%) and is secured by a 215,000-sq.-ft. grocery-anchored retail center in Palatine, Ill. The loan appears on the watchlist due to a decline in DSC resulting from the departure of Linens N' Things (50,000 sq. ft.; 21% NRA) during the third quarter of 2008. The reported DSC for year-end 2008 was 1.19x, down from 1.21x at issuance, and S&P estimated a DSC of 0.55x excluding Linens N' Things. The Torrey Reserve West loan is the fifth-largest loan in the pool and was placed on the servicer's watchlist due to a low DSC. The loan has a trust balance of $17.1 million (2.5%) and is secured by a three-building office complex totaling 118,000 sq. ft. in San Diego, Calif. The reported occupancy and DSC as of Sept. 30, 2009, were 84% and 0.47x, respectively, down from 100% and 1.27x at issuance. However, two new leases were recently signed at the property, resulting in an occupancy of 90.7% as of the January 2010 rent roll. The White Lake Marketplace loan is the sixth-largest loan in the pool and is on the servicer's watchlist due to a decrease in occupancy. The loan has a trust balance of $15.6 million (2.2%) and is secured by a 233,000-sq.-ft. anchored retail center in White Lake Township, Mich. The Farmer Jack (53,750 sq. ft.; 25% NRA; lease expiration Nov. 2019) space has remained dark since the tenant vacated in 2005; however, the tenant continues to pay rent under the terms of its lease. The reported DSC for year-end 2008 was 1.23x, down from 1.26x at issuance. The Indian Creek Court loan is the ninth-largest loan in the pool and is on the servicer's watchlist due to a decrease in occupancy and the resulting low DSC. The loan has a trust balance of $12.2 million (1.7%) and is secured by four industrial buildings totaling 186,000 sq. ft. in Beltsville, Md. The reported occupancy and DSC as of year-end 2008, were 49% and 0.50x, respectively, down from 100% and 1.27x at issuance. The borrower is actively marketing the vacant space. Standard & Poor's stressed the assets in the pool according to its U.S. conduit/fusion criteria. The resultant credit enhancement levels are consistent with S&P's lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative PNC Mortgage Acceptance Corp. Commercial mortgage pass-through certificates series 2001-C1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- E A AA-/Watch Neg 11.90 F BBB- A/Watch Neg 10.01 G BB+ A-/Watch Neg 8.90 H BB- BBB/Watch Neg 6.54 J B BB/Watch Neg 4.48 K B- B/Watch Neg 3.69 L CCC- CCC+/Watch Neg 2.43 M D CCC/Watch Neg 1.80 Ratings Affirmed PNC Mortgage Acceptance Corp. Commercial mortgage pass-through certificates series 2001-C1 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-2 AAA 23.90 B AAA 19.16 C1 AA+ 14.74 C2 AA+ 14.74 D AA 13.16 X1 AAA N/A X AAA N/A C2X AA+ N/A N/A - Not applicable. PPLUS TRUST: S&P Downgrades Rating on $42.515 Mil. Certs. to 'BB-' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating on PPLUS Trust Series SPR-1's $42.515 million certificates to 'BB-' from 'BB' and removed it from CreditWatch, where it was placed with negative implications on Nov. 19, 2009. The rating on the certificates is dependent on the rating on the underlying security, Sprint Capital Corp.'s $6.875% notes due Nov. 15, 2028 ('BB-'). The rating action reflects the March 4, 2010, lowering of S&P's rating on the underlying security to 'BB-' from 'BB' and its removal from CreditWatch with negative implications. PROLOGIS REIT: Fitch Assigns Ratings on Three Classes of Notes -------------------------------------------------------------- Fitch Ratings assigns these credit ratings to ProLogis: -- $800 million principal amount senior notes due 2020, with a coupon rate of 6.875%, 'BBB'; -- $300 million principal amount senior notes due 2017 with a coupon rate of 6.25%, 'BBB'; -- $400 million principal amount senior convertible notes due 2015 with a coupon rate of 3.25% and an initial conversion price of $17.29 representing a 29% premium to ProLogis' share price on March 9, 2010, 'BBB'. The proceeds of the offerings will be used to repay outstanding borrowings, including to fund the cash purchase of up to $542.9 million of certain senior notes that are tendered pursuant to a tender offer announced on March 8, 2010, to repay borrowings under ProLogis' global line of credit, and for general corporate purposes. Fitch currently rates ProLogis: -- Issuer Default Rating 'BBB'; -- Global line of credit 'BBB' (the global line has a current commitment size of $3.8 billion that was extended to October 2012, and will have a commitment size of $2.25 billion after October 2010); -- $4.6 billion senior notes 'BBB'; -- $2.5 billion convertible senior notes 'BBB'; -- $350 million preferred stock 'BB+'. The Rating Outlook is Negative. Formed in 1991, ProLogis is real estate investment trust that owns industrial distribution facilities. As of Dec. 31, 2009, ProLogis owned and managed 480 million square feet of properties across North America, Europe and Asia, and its total investment in its direct-owned properties and properties owned by property funds and joint ventures was $35.1 billion. As of Dec. 31, 2009, ProLogis had $18.6 billion in undepreciated book assets, a total market capitalization of $14.8 billion, and an equity market capitalization of $6.8 billion. RESOURCE REAL: Fitch Downgrades Ratings on All Classes of Notes --------------------------------------------------------------- Fitch Ratings has downgraded all classes of Resource Real Estate Funding CDO 2006-1 Ltd. /LLC reflecting Fitch's base case loss expectation of 48%. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. RRE 2006-1 is collateralized by both senior and subordinate commercial real estate debt: 42.8% are either B-notes or mezzanine loans and 36.4% are either whole loans or A-notes. Fitch expects significant losses upon default for the subordinate positions since they are generally highly leveraged debt classes. Further, one loan (3%) is currently delinquent and five loans (25.5%) are considered Fitch Loans of Concern. Fitch expects partial to full losses on the delinquent asset and Loans of Concern. RRE 2006-1 is a $345 million CRE collateralized debt obligation managed by Resource Real Estate, Inc. The transaction has a five- year reinvestment period during which principal proceeds may be used to invest in substitute collateral. The reinvestment period ends in August 2011. As of the February 2010 trustee report and per Fitch categorizations, the CDO was substantially invested: CRE mezzanine loans (37.3%), whole loans/A-notes (36.4%), B-notes (5.5%), commercial mortgage-backed securities (CMBS: 5%), CRE CDOs (5%), and cash (10.8%). All overcollateralization and interest coverage ratios have remained above their covenants as of the February 2010 trustee report. There is substantial cushion to the IC covenants. Under Fitch's updated methodology, approximately 70.4% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 10.3% from the most recent available cash flows (generally from third quarter 2009). Fitch estimates that recoveries will average 31.8%. The largest component of Fitch's base case loss expectation is a mezzanine loan (5.8%) secured by interests in a portfolio of three hotel properties totaling 944 keys located in California, Massachusetts, and Washington D.C. Two of the hotels are under Sheraton flags and one is under a Westin flag. The properties underwent a $48 million renovation; however, performance has suffered dramatically due to rooms being offline longer than anticipated during the renovation process and the impact of the recent economic downturn. Fitch modeled a term default with a full loss under its base case scenario. The next largest component to Fitch's base case loss expectation is a mezzanine loan (5.6%) secured by interests in a 530,000 square foot office property located in Midtown Manhattan. Fitch modeled a term default with a full loss under its base case scenario on this highly leveraged mezzanine position. The third largest component of Fitch's base case loss expectation is an A-note (8.1%) secured by a hotel property totaling 587 keys located in Los Angeles, California. The business plan at the property has been significantly impacted by the designation of the property as single room occupancy. The borrower was unable to brand a portion of the hotel under a nationally recognized flag and has entered into litigation with the city. According to discussions with the asset manager, the borrower is now considering a conversion to affordable housing. Due to the uncertainty surrounding the business plan, Fitch modeled a term default with a partial loss under its base case scenario. This transaction was analyzed according to the 'U.S. CREL CDO Surveillance Criteria,' which applies stresses to property cash flows and uses debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs.' Based on this analysis, the breakeven rates for class A-1 are generally consistent with the 'BBB' rating category. The breakeven rates for classes A-2FX, A-2FL, and B are generally consistent with the 'BB' rating category. The breakeven rates for classes C and D are generally consistent with the 'B' rating category. The ratings for classes E through K are based on a deterministic analysis, which considers Fitch's base case loss expectation for the pool, and the current percentage of defaulted and delinquent assets and Fitch Loans of Concern factoring in anticipated recoveries relative to each class' credit enhancement. Based on this analysis, classes E through J are consistent with the 'CCC' rating category, meaning default is a real possibility. Fitch's base case loss expectation of 48% exceeds these classes' respective current credit enhancement levels. The rating for class K is deemed to be consistent with the 'CC' rating category, meaning default appears probable given the lack of cushion between the class' credit enhancement and the losses expected on the currently delinquent asset and Loans of Concern in the pool. Classes A through D were assigned a Negative Outlook reflecting Fitch's expectation of further negative credit migration of the underlying collateral. These classes were also assigned Loss Severity ratings ranging from 'LS4' to 'LS5' indicating each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the expected loss for the collateral under the 'B' stress. LS ratings should always be considered in conjunction with probability of default indicated by a class' long-term credit rating. Fitch does not assign Outlooks or LS ratings to classes rated 'CCC' or lower. Classes E through K were assigned Recovery Ratings to provide a forward-looking estimate of recoveries on currently distressed or defaulted structured finance securities. Recovery Ratings are calculated using Fitch's cash flow model and incorporate Fitch's current 'B' stress expectation for default and recovery rates (70.4% and 31.8%, respectively), the 'B' stress US$ LIBOR up- stress, and a 24-month recovery lag. All modeled distributions are discounted at 10% to arrive at a present value and compared to the class' tranche size to determine a Recovery Rating. The assignment of 'RR3' to class E reflects modeled recoveries of 59% of its outstanding balance. The expected recovery proceeds are broken down: -- Present value of expected principal recoveries ($10.4 million); -- Present value of expected interest payments ($1.9 million); -- Total present value of recoveries ($12.3 million); -- Sum of undiscounted recoveries ($22.9 million). Classes F through K are assigned a Recovery Rating of 'RR6' as the present value of the recoveries in each case is less than 10% of each class's principal balance. Fitch has downgraded, assigned LS and RR ratings and Outlooks to these classes as indicated: -- $129,370,000 class A-1 to 'BBB/LS4' from 'AAA'; Outlook Negative; -- $5,000,000 class A-2FX to 'BB/LS5' from 'AAA'; Outlook Negative; -- $17,420,000 class A-2FL to 'BB/LS5' from 'AAA'; Outlook Negative; -- $6,900,000 class B to 'BB/LS5' from 'AA'; Outlook Negative; -- $20,700,000 class C to 'B/LS5' from 'A+'; Outlook Negative; -- $15,520,000 class D to 'B/LS5' from 'A-'; Outlook Negative; -- $20,700,000 class E to 'CCC/RR3' from 'BBB+'; -- $19,830,000 class F to 'CCC/RR6' from 'BBB'; -- $17,250,000 class G to 'CCC/RR6' from 'BBB-'; -- $12,930,000 class H to 'CCC/RR6' from 'BBB-'; -- $14,660,000 class J to 'CCC/RR6' from 'B'; -- $28,460,000 class K to 'CC/RR6' from 'B'. Additionally, all classes are removed from Rating Watch Negative. SATURNS TRUST: S&P Downgrades Rating on $30 Mil. Units to 'BB-' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on SATURNS Trust No. 2003-2's $30 million class A and B units to 'BB-' from 'BB' and removed them from CreditWatch with negative implications, where S&P placed them on Nov. 19, 2009. The ratings on the units are dependent solely on the rating on the underlying security, Sprint Capital Corp.'s 8.75% notes due March 15, 2032 ('BB-'). The rating actions reflect S&P's March 4, 2010, lowering of the rating on the underlying security to 'BB-' from 'BB', and its removal from CreditWatch with negative implications. SIGNUM VERMILION: S&P Downgrades Ratings on Fixed Notes to 'B+' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its weighted average rating on the fixed-rate notes issued by Signum Vermilion Ltd.'s series 2006-1 to 'B+' from 'BB-'. The downgrade reflects the deterioration in the credit quality of the underlying portfolio. S&P's rating on this transaction reflects its views of the average credit quality of the reference entities that constitute the reference portfolio. Rating Lowered Signum Vermilion Ltd. Series 2006-1 Rating ------ Class To From ----- -- ---- Fixed rate B+ BB- SONIC AUTOMOTIVE: S&P Assigns 'B-' Rating on $210 Mil. Notes ------------------------------------------------------------ Standard & Poor's Ratings Services said it assigned its 'B-' issue rating to Charlotte, North Carolina-based Sonic Automotive Inc.'s proposed $210 million senior subordinated notes offering. S&P also assigned this debt a recovery rating of '6', reflecting its expectation that lenders would receive negligible (0%-10%) recovery of principal in a default scenario. The company will use the proceeds from the offering to repurchase or redeem a portion of its 8.625% senior subordinated notes due 2013. Ratings List Sonic Automotive Inc. Corp. credit rating B+/Stable/-- New Ratings $210 mil. senior subordinated notes B- Recovery rating 6 SOUTH COAST: Fitch Downgrades Ratings on Six Classes of Notes ------------------------------------------------------------- Fitch Ratings has downgraded six classes and affirmed three classes of notes issued by South Coast Funding VII, Ltd., as a result of continued credit deterioration in the portfolio since Fitch's last rating action in August 2008. The transaction entered an Event of Default on June 15, 2009, due to failure to maintain an aggregate principal amount of Collateral Debt Securities and Eligible Investments at least equal to 100% of the aggregate principal amount of the outstanding class A notes and class B notes. On June 26, 2009, a majority of the class A- 1AN, A-1ANV, and A-1B (together class A-1) notes as the controlling class directed the trustee to declare the principal of all the notes to be immediately due and payable (acceleration of maturity). Consequently, all interest and principal proceeds are being distributed to class A-1. As of the February 2010 trustee report, the current balance of the portfolio (including cash) is $517.3 million. Approximately 88.8% of the portfolio has been downgraded since the last review. Defaulted securities, as defined in the transaction's governing documents, now comprise 63.1% of the portfolio, compared to 16.7% at last review. The downgrades to the portfolio have left approximately 87.8% of the portfolio (including defaults) with a Fitch derived rating below investment grade and 77.4% with a rating in the 'CCC' rating category or lower, compared to 62.5% and 32.6%, respectively, at last review. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs'. Due to the magnitude of the collateral deterioration, Fitch believes that the likelihood of default for all classes of notes can be assessed without using the Structured Finance Portfolio Credit Model or performing cash flow model analysis under the framework described in the 'Global Criteria for Cash Flow Analysis in CDOs - Amended' report. Fitch compared the credit enhancement level of the class A-1 notes with the amount of underlying assets considered distressed (rated 'CCC' and lower). These assets have a high probability of default and low expected recoveries upon default. The credit enhancement level of the class A-1 notes is 24.85%, as compared to the 77.4% of the portfolio considered distressed. The acceleration of interest and principal to the class A-1 notes is unlikely to compensate for the lack of the performing par coverage. Fitch believes that default is inevitable for the class A-1 notes. Due to the acceleration of maturity, the class A-2 and B notes are not receiving interest. These classes are rated to the timely receipt of interest and have defaulted on the payment of interest. Therefore these classes have been downgraded to 'D'. Prior to acceleration, the class D-1B notes were receiving timely interest payments because the class D-1B interest was paid after the class A-1 interest and before the class A-2 interest via a euro-dollar currency swap. However, after acceleration, the payment priority of class D-1B moved to be paid subordinate to class C. Therefore, class D-1B is no longer receiving interest distributions and has been downgraded to 'C' to indicate Fitch's belief that default is inevitable at or prior to maturity. The class D-1A and D-2 notes are also no longer receiving interest distributions and are not expected to receive any proceeds going forward. Therefore, these notes have been affirmed at 'C' to indicate Fitch's belief that default is inevitable at or prior to maturity. South Coast VII is a cash flow SF CDO that closed on May 25, 2005. The portfolio is monitored by TCW Investment Management Company. The portfolio is composed of residential mortgage-backed securities (68%), commercial mortgage-backed securities (15.6%), SF CDOs (7.9%), real estate investment trusts (6.2%), asset-backed securities (1.3%), and other CDOs (1%). Fitch has downgraded and affirmed these ratings as indicated: -- $21,359,546 class A-1AV notes downgraded to 'C' from 'B'; -- $367,265,522 class A-1ANV notes downgraded to 'C' from 'B'; -- $118,664 class A-1B notes downgraded to 'C' from 'B'; -- $125,036,985 class A-2 notes downgraded to 'D' from 'CCC'; -- $64,504,055 class B notes downgraded to 'D' from 'CC'; -- $23,581,973 class C notes affirmed at 'C'; -- $44,277,417 class D-1A notes affirmed at 'C'; -- EUR 3,532,629 class D-1B notes downgraded to 'C' from 'CC'; -- $5,802,971 class D-2 notes affirmed at 'C'. SOUTH STREET: Fitch Downgrades Ratings on Three Classes ------------------------------------------------------- Fitch Ratings has downgraded three classes of notes issued by South Street 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', and 'Criteria for Structured Finance Recovery Ratings'. The downgrades are the result of missed interest payments on the class A-2 and class A-2L (collectively, class A-2) notes, and on the class A-3 notes at the last payment date in January 2010. According to the indenture, failure to pay timely interest on any of the class A-2, A-2L or A-3 notes constitutes a payment default under the Event of Default language. Additionally, the collateral coverage available in the transaction will be insufficient to pay full principal on any of the notes at maturity. The current notional balance of the class A-2 notes is approximately $42 million, compared to a performing collateral and principal cash balance of only $7 million. The portfolio also includes approximately $28 million par value of defaulted bonds. The projected recovery value of these assets, based on current market prices, is less than $700,000. South Street CBO 1999-1 remains in an EOD 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. The class A-3 notes may receive one more interest payment, made from principal proceeds, after the two performing bonds mature prior to the next payment date in July 2010. No principal recovery is expected on the class A-3 notes. Recovery Ratings are based on the total discounted future cash flows of approximately $7 million projected to be available to these bonds in a base-case default scenario. These discounted cash flows result in an ultimate recovery projection of 17% for the class A-2 notes, which is representative of an 'RR5' on Fitch's Recovery Rating scale. Recovery Ratings are designed to provide a forward-looking estimate of recoveries on currently distressed or defaulted structured finance securities rated 'CCC' or below. For further detail on Recovery Ratings, please see Fitch's report 'Global Surveillance Criteria for Corporate CDOs'. South Street CBO 1999-1 is a cash flow collateralized debt obligation that closed on June 3, 1999. The portfolio of South Street CBO 1999-1 was originally selected and monitored by Columbia Management Advisors, LLC. In connection with the proposed sale of Columbia to Ameriprise Financial, Inc., Columbia is soliciting noteholder consent to assign management duties to RiverSource Investments LLC, a subsidiary of Ameriprise, in the spring of 2010. Fitch downgrades these classes: -- $25,038,718 class A-2 notes to 'D/RR5' from 'CC/RR5'; -- $16,692,479 class A-2L notes to 'D/RR5' from 'CC/RR5'; -- $45,500,000 class A-3 notes to 'D/RR6' from 'C/RR6'. STRUCTURED REPACKAGED: S&P Cuts Rating on $38 Mil. Certs. to 'BB' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on Structured Repackaged Asset Backed Trust Securities Trust For Sprint Capital Corp. Securities Series 2004-2's $38 million class A-1 certificates to 'BB-' from 'BB', and removed it from CreditWatch with negative implications, where it was placed on Nov. 19, 2009. The rating on class A-1 is dependent solely on the rating on the underlying security, Sprint Capital Corp.'s 6.875% notes due Nov. 15, 2028 ('BB-'). The rating action reflects the March 4, 2010, lowering of the rating on the underlying security to 'BB-' from 'BB', and its removal from CreditWatch with negative implications. SUMMIT CBO: Fitch Downgrades Rating on Class B Notes to 'D/RR6' --------------------------------------------------------------- Fitch Ratings has downgraded and subsequently withdrawn the rating on one class of notes issued by Summit CBO I, 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', and 'Criteria for Structured Finance Recovery Ratings'. The downgrade is the result of a missed interest payment on the class B notes at the May 2009 payment date. Of the $627,000 interest payment that was due on these notes, only $145,000 was paid due to a lack of available proceeds. According to the indenture, failure to pay timely interest on the class B notes constitutes a payment default under the Event of Default language. As of the Jan. 31, 2010 trustee report, there are no performing assets remaining in the portfolio. There are three defaulted assets with a total notional amount of $20 million; however, these assets are not expected to yield any recovery value. The approximately $500,000 in the expense account represents the only cash available in the portfolio. The recovery expectations on the class B notes are minimal, and Fitch maintains its 'RR6' Recovery Rating on the notes. Recovery Ratings are designed to provide a forward-looking estimate of recoveries on currently distressed or defaulted structured finance securities rated 'CCC' or below. For further detail on Recovery Ratings, please see Fitch's report 'Global Surveillance Criteria for Corporate CDOs'. Summit CBO I is a cash flow collateralized debt obligation that closed on April 23, 1999. The portfolio of Summit CBO I was originally selected and monitored by Summit Investment Partners. The transaction's final maturity date is May 23, 2011. Fitch has downgraded and subsequently withdrawn the rating for this class: -- $30,779,832 class B notes to 'D/RR6' from 'C/RR6'. TIMBERSTAR TRUST: Moody's Downgrades Ratings on Various Certs. -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of certificates issued by TimberStar Trust I, a securitization of approximately 900,000 acres of timberlands located in Louisiana, Texas and Arkansas. In February 2008, iStar Financial sold the timberlands to investor-clients of the Hancock Timber Resource Group for $1.7 billion, including the assumption of debt. HTRG manages the land on behalf of its investor-clients. The complete rating actions are: Issuer: TimberStar Trust I, Series 2006-1 -- Cl. A, downgraded to Aa1 from Aaa; previously on Oct 15, 2009 Aaa, placed under review for possible downgrade -- Cl. B, downgraded to Aa3 from Aa2; previously on Oct 15, 2009 Aa2, placed under review for possible downgrade -- Cl. C, downgraded A3 from A2; previously on Oct 15, 2009 A2, placed under review for possible downgrade -- Cl. D, downgraded to Baa3 from Baa2; previously on Oct 15, 2009 Baa2, placed under review for possible downgrade -- Cl. E, downgraded to Ba1 from Baa3; previously on Oct 15, 2009 Baa3, placed under review for possible downgrade -- Cl. F, downgraded to B1 from Ba2; previously on Oct 15, 2009 Ba2, placed under review for possible downgrade The rating actions are prompted by the uncertainties regarding the future cash flow from timber and pulp sales generated by the timberlands, the future value of the underlying timberlands and the ability to liquidate them, if necessary, to repay the certificates. The weakened economy along with the slump in the construction and packaging industries has reduced the demand for saw timber and pulpwood. While some rebound is expected as the economy recovers, the extent and timing is highly uncertain. The decline in demand and lower prices has affected the valuation of the timberland collateral in this transaction. Lower valuations mean a higher loan-to-value ratio resulting in a reduction in the amount of credit enhancement supporting the certificates. In addition, the market for timberland, especially large tracts, is relatively thin and could be quite volatile, given the economic weakness and the likely difficulty for the potential buyers to obtain financing. Furthermore, as a result of weakened timber prices, Hancock has been harvesting a minimal amount of wood in anticipation of a price rebound. Consequently, it has not been generating sufficient timber revenue to make the required interest and fee payments, making up the difference with proceeds from land sales and and cash reserves retained by the business. Reliance on land sales was not contemplated as a major source of support of cash flow for the transaction in the initial rating analysis. While this can be seen as savvy management in light of economic events, it is unlikely that it can be sustained in the case of a prolonged economic slump, adding to the uncertainty surrounding the deal's performance. Moody's has developed a monitoring cash flow model for the transaction. Monte Carlo simulation was performed using statistical distributions for some of the key variables such as the annual timber harvest volume, timber prices and operating expenses. Each of the variables were randomized and boundaries established to capture a range of likely outcomes by stressing TimberStar's historical experience. Various projections of timber stumpage prices based on several different economic recovery scenarios were modeled as well. The value of the timberland was estimated using the present value of the simulated cash flows and used to calculate the LTV ratio for each class of bond outstanding. The simulated cash flows were also used to make all required payments per the priority of payments, including interest and principal payments due on the certificates. A resulting loss of yield to investors, if any, was calculated. The yield reduction as well as the LTV calculations was used to determine the ratings. TRAINER WORTHAM: Fitch Downgrades Ratings on Three Classes ---------------------------------------------------------- Fitch Ratings has downgraded three and affirmed two classes of notes issued by Trainer Wortham First Republic CBO V, Ltd./Corp. as a result of continued credit deterioration in the portfolio since Fitch's last rating action in February 2009. As of the Feb. 1, 2010 trustee report, the current balance of the portfolio is approximately $227 million. Approximately 64.5% of the portfolio has been downgraded since February 2009, resulting in 59.7% of the portfolio with a Fitch derived rating below investment grade and 44.3% with a rating in the 'CCC' rating category or below, compared to 43.8% and 23.1%, respectively, at last review. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model for projecting future default levels for the underlying portfolio. Due to the significant collateral deterioration, credit enhancement levels available to all classes of notes are exceeded by the 'CCC' rating loss rate, the lowest rating loss level projected by SF PCM. Given this and the sequential pay structure due to the failing overcollateralization tests, Fitch believes that the likelihood of default for all classes of notes in this transaction can be assessed without performing cash flow model analysis under the framework described in the 'Global Criteria for Cash Flow Analysis in CDOs- Amended' report. The Feb. 1, 2010 trustee report shows that $81.5 million, or 35.9%, of the portfolio is considered defaulted by the transaction's governing documents, leaving $146.7 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 excess spread being used toward principal repayment, the class A-1 notes are not expected to be paid in full by maturity. The class A-2 and B notes are currently receiving their accrued interest distributions; however, based on the credit quality of the portfolio, the class A-2 and class B notes are not expected to receive any principal repayment. The classes C and D notes are no longer receiving interest distributions due to the class A/B overcollateralization test failure and are not expected to receive any payments going forward. Trainer Wortham V is a structured finance collateralized debt obligation that closed on Nov. 30, 2004 and is managed by Trainer Wortham & Co. Inc. The portfolio is composed of residential mortgage-backed securities (81.6%), SF CDOs (9.2%), commercial mortgage-backed securities (6.5%), and commercial and consumer asset-backed securities (2.7%). Fitch has taken these rating actions on Trainer Wortham V: -- $157,118,903 class A-1 notes downgraded to 'C' from 'BB'; -- $34,000,000 class A-2 notes downgraded to 'C' from 'CCC'; -- $28,000,000 class B notes downgraded to 'C' from 'CC'; -- $10,401,857 class C notes affirmed at 'C'; -- $11,049,067 class D notes affirmed at 'C'. WIREFREE PARTNERS: S&P Cuts Rating on $138.5 Mil. Notes to 'BB-' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on Wirefree Partners III LLC's $138.5 million personal communication services spectrum lease-backed notes series 2005-1 due 2019 to 'BB-' from 'BB/Watch Neg' and removed it from CreditWatch with negative implications. S&P's rating on the series 2005-1 notes reflects the credit quality of the two lessees, WirelessCo L.P. and SprintCom Inc., both of which are wholly owned subsidiaries of Sprint Nextel Corp. The rating action follows Standard & Poor's March 4, 2010, lowering of the rating on Sprint Nextel Corp. Through the November 2009 annual distribution date, the Wirefree transaction had paid down the notes according to its scheduled principal distribution amounts. The current outstanding note balance is $105,410. Distribution of the $11,128,439 annual principal payment for 2010 is scheduled for Nov. 17, 2010. Rating Lowered And Removed From Creditwatch Negative Wirefree Partners III LLC $138.5 million PCS spectrum lease-backed notes series 2005-1 Rating ------ Class To From ----- -- ---- Notes BB- BB/Watch Neg ZIONS FIRST: Moody's Withdraws Rating on Lockhart's ABCP Program ----------------------------------------------------------------- At the issuer's request, Moody's has withdrawn the Not Prime rating of the ABCP issued by Lockhart Funding LLC, a partially supported, Sec. Arbitrage ABCP program administered by Zions First National Bank (Ba2/NP/D-). As of September 15, 2009, all outstanding ABCP had been repaid in full. There will be no further issuance under this program. Complete rating action is: Issuer: Lockhart Funding LLC -- US CP, Withdrawn; previously on Apr 21, 2009 Downgraded to NP * Fitch Affirms Ratings From Various Future Flow Issues ------------------------------------------------------- Following the release of the Future Flow Securitization Rating Criteria update, Fitch Ratings has affirmed several future flow issues and upgraded one issue. In general, Fitch's Latin American future flow ratings are performing as expected and the new criteria does not have a significant impact on the current ratings. The Stable Outlooks in many cases reflect the strength of the future flow asset class, which involve the securitization of hard-currency receivables generated, for example, through export and trade flows or international credit card vouchers. The majority of originators were assigned internal GCA scores of GC1 which state the 'continued business operation is almost certain or very likely, with only a minor element of doubt present'. These GCA scores have been newly introduced into Fitch's criteria as a measure of performance risk. The majority of these future flow transactions within Fitch's Latin American portfolio are related to top tier banks and corporations within their respective countries. As mentioned in the Future Flow Criteria, the maximum uplift for investment grade entities is no more than 2 to 3 notches from the Issuer Default Rating of the originator. Fitch will make larger differentiations for non-investment grade originators. Furthermore, Fitch believes it would be difficult to assign future flow ratings higher than the single-A category. Fitch believes the risk of the underlying corporate default and the future flow transaction default would eventually converge in an emerging market and there are very few originators rated higher than single-A category within these countries. Fitch affirms these issue ratings: PF Export Receivables Master Trust (Petrobras) -- Series 2003-A at 'BBB+'; Outlook Stable; -- Series 2003-B at 'BBB+'; Outlook Stable. CSN Export Master Trust -- Series 2004-1 at 'BBB'; Outlook Negative; -- Series 2005-1 at 'BBB'; Outlook Negative. Pemex Finance Ltd. -- Series 1998 6.30% Notes due 2010 at 'A'; Outlook Stable; -- Series 1998 9.15% Notes due 2018 at 'A'; Outlook Stable; -- Series 1999 8.88% Notes due 2010 at 'A'; Outlook Stable; -- Series 1999 7.33% Notes due 2012 at 'A'; Outlook Stable; -- Series 1999 10.61% Notes due 2017 at 'A'; Outlook Stable; -- Series 1999 LIBOR+ 3.50% notes due 2014 at 'A'; Outlook Stable; -- Series 1999 LIBOR+ 3.25% notes due 2014 at 'A'; Outlook Stable; -- Series 2000 9.03% notes due 2011 at 'A'; Outlook Stable; -- Series 2000 7.80% notes due 2013 at 'A'; Outlook Stable. CCR Inc. Mt-100 Payments Rights Master Trust (Banco de Credito del Peru) -- Series 2008-A at 'A-'; Outlook Stable; -- Series 2008-B at 'A-'; Outlook Stable. Continental DPR Finance Company (BBVA-Banco Continental) -- Series 2008-A at 'A'; Outlook Stable. Salvadoreno DPR Funding Ltd. -- Series 2004-2 at 'BBB+'; Outlook Stable; -- Series 2004-1 A&R at 'BBB+'; Outlook Stable. Brazil Foreign Diversified Payment Rights Finance Co. (Banco Santander S.A.) -- Series 2004-1 at 'A'; Outlook Stable; -- Series 2008-1 at 'A'; Outlook Stable; -- Series 2008-2 at 'A'; Outlook Stable; -- Series 2009-1 at 'A'; Outlook Stable; -- Series 2009-2 at 'A'; Outlook Stable. Jamaica Diversified Payment Rights Company (NCB) -- Series 2006-1 at 'BB'; Outlook Stable; -- Series 2007-1 at 'BB'; Outlook Stable; Brazilian Merchant Voucher Receivables Ltd. (Visanet) -- Series 2003-1 at 'A-'; Outlook Stable; -- Series 2003-2 at 'A-'; Outlook Stable. According to the Future Flow Securitization Rating Criteria, ratings of future flow transactions are tied to the IDR of the originator. Nonetheless, to rate the Visanet program Fitch takes into consideration the ratings of the two related banks (Banco do Brasil and Banco Bradesco) and not the rating of the direct originator, Visanet. The Outlook for the NCB DPR program was revised to Stable from Negative following the upgrade and return to Stable Outlook of the sovereign ratings of Jamaica and the National Commercial Bank Jamaica after the successful outcome of the domestic debt exchange. Additionally, Fitch has upgraded and removed from Rating Watch Positive this rating: Banistmo Credit Card Receivables Master Trust (Banco del Istmo) -- Series 2004 to 'A' from 'A-'; Outlook Stable. This upgrade is not directly related to the new criteria, rather it is related to the continued positive performance of the trust and the strengthening of the underlying collateral. The ratings of the program were placed on Rating Watch Positive in May 2009 reflecting a potential upgrade pending the final completion of an ongoing merger between Primer Banco del Istmo (Banistmo) and HSBC Bank Panama (HPBA). This merger was finalized in October 2009. The addition to the Trust of MasterCard and Visa receivables generated from HPBA's pre-merger merchant relationships has increased the average monthly receivables flows approximately 70% as compared to Banistmo's pre-merger average monthly receivables flows. This has also increased the Trust's monthly debt-service coverage levels by 70% to 80%. * Moody's Downgrades Ratings on 11 Tranches From Four CDOs ---------------------------------------------------------- Moody's has downgraded 11 tranches and left on review for possible downgrade 7 tranches across four Trust Preferred CDOs. These rating actions are mainly driven by the actual, or very high likelihood of, payment default on the senior tranches of each transaction due to failure to pay interest when due on these tranches. In determining the ratings, Moody's relied primarily on the rating methodology for structured finance securities in default published in November 2009. The failure to pay is the consequence of large imbalanced fixed- float interest rate swaps and larger than anticipated par loss in their collateral portfolios since November 2009, that results in diversion of the cash proceeds to pay the hedge counterparty. The pools of assets that collateralize these transactions are composed of trust preferred or subordinated debt issued by real estate investment trusts, real estate operating companies, homebuilders, commercial mortgage backed securities, and real estate related loans which are currently underperforming. Moody's notes that all of these transactions have declared an Event of Default due to failure to pay interest to non-pikable tranches with the exception of Attentus CDO II, Ltd., which declared an Event of Default due to the failure of the Class A Overcollateralization Test. As a result of par loss, the coverage tests on these transactions continue to deteriorate. Furthermore, the transactions are negatively impacted by a large pay-fixed, receive-floating interest rate swap where payments to the hedge counterparty are absorbing much of the excess spreads in the deal. Such significant payments have dramatically decreased or exhausted interest proceeds available to pay down interest on the senior notes through the waterfall. Moody's anticipates that the burden of making payments to the hedge counterparty over the remaining life of the hedge schedule will significantly reduce the amount of cash available to pay senior notes and put the ultimate payments of principal on these notes at significant risk. Most of the notes in the affected transactions were placed on watch for possible downgrade in November 2009 as a result of the continued weak economic conditions in the real estate sector, increased expectations of asset defaults and interest deferrals, and reduced recovery prospects for mortgage REITs and homebuilders. Since then, the credit fundamentals for the REITs sector continue to be challenged and Moody's expects that it will remain so at least for the remainder of the year. Moody's says that it has kept the ratings on seven tranches under review for possible downgrade pending further review of the underlying assets in the collateral pools which will be completed in the coming weeks. Moody's notes that the documents of the Taberna Preferred Funding III, Ltd. transaction provide that the outstanding balance of Class A-1A Notes may increase above the original outstanding rated balance of $188,000,000 in an amount equal to the level at which the Class A-1B Note Commitment is funded. Upon an increase in the A-1A Note outstanding balance, the outstanding principal of the Class A-1B Commitment will concurrently be reduced by the same amount. The rating action is: Attentus CDO II, Ltd. -- US$60,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2041 (current outstanding balance of: $60,496,483.46), Downgraded to Ca; previously on November 19, 2009 B3 Placed Under Review for Possible Downgrade; -- US$55,000,000 Class A-3A Third Priority Senior Secured Floating Rate Notes Due 2041 (current outstanding balance of: $55,489,159.27), Downgraded to C; previously on November 19, 2009 Caa2 Placed Under Review for Possible Downgrade; -- US$5,000,000 Class A-3B Third Priority Senior Secured Floating Rate Notes Due 2041 (current outstanding balance of: $5,222,132.72), Downgraded to C; previously on November 19, 2009 Caa2 Placed Under Review for Possible Downgrade. Taberna Preferred Funding III, Ltd. -- US$188,500,000 Class A-1A First Priority Senior Secured Floating Rate Notes Due 2036 (current outstanding balance of $369,273,589), Downgraded to B1 and Remains On Review for Possible Downgrade; previously on November 19, 2009 Ba1 Placed Under Review for Possible Downgrade; -- US$210,000,000 Class A-lB First Priority Delayed Draw Senior Secured Floating Rate Notes Due 2036 (current outstanding balance of $0), Downgraded to B1 and Remains On Review for Possible Downgrade; previously on November 19, 2009 Ba1 Placed Under Review for Possible Downgrade; -- US$10,000,000 Class A-1C First Priority Senior Secured Fixed/Floating Rate Notes Due 2036 (current outstanding balance of $9,266,589), Downgraded to B1 and Remains On Review for Possible Downgrade; previously on November 19, 2009 Ba1 Placed Under Review for Possible Downgrade; -- US$ 38,500,000 Class A-2A Second Priority Senior Secured Floating Rate Notes Due 2036, Downgraded to Caa2 and Placed Under Review for Possible Downgrade; previously on April 9, 2009 Downgraded to B3. Taberna Preferred Funding IV, LTD. -- Class A-1 (current outstanding balance of: $292,363,212.09), Downgraded to B3 and Remains On Review for Possible Downgrade; previously on November 19, 2009 Ba1 Placed Under Review for Possible Downgrade. Taberna Preferred Funding VI, Ltd. -- US$50,000,000 Class A-1A Notes (current outstanding balance of $42,472,082.77), Downgraded to B3 and Remains On Review for Possible Downgrade; previously on November 19, 2009 Ba2 Placed Under Review for Possible Downgrade; -- US$305,000,000 Class A-1B Notes (current outstanding balance of $259,079,704.98), Downgraded to B3 and Remains On Review for Possible Downgrade; previously on November 19, 2009 Ba2 Placed Under Review for Possible Downgrade; -- US$90,000,000 Class A-2 Notes (current outstanding balance of $90,402,946.82), Downgraded to Ca; previously on April 9, 2009 Downgraded to Caa2. * S&P Downgrades Ratings on 22 Classes of Notes to 'D' ------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings to 'D' on 22 classes of notes from four cash flow collateralized debt obligation of asset-backed securities transactions. The downgrades 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. For all four transactions, S&P has received notices from the trustees stating that the liquidation of the portfolio assets is complete and that the available proceeds were insufficient to pay the noteholders in full. Ratings Lowered Rating ------ Transaction Class To From ----------- ----- -- ---- Nassau CDO I Ltd. A-1A D CC Nassau CDO I Ltd. A-1B D CC Nassau CDO I Ltd. A-2 D CC Nassau CDO I Ltd. A-3 D CC Nassau CDO I Ltd. B D CC Nassau CDO I Ltd. C D CC Nassau CDO I Ltd. D D CC Klio III Funding Ltd. ABCP D CCC- Klio III Funding Ltd. A-1 D CC Klio III Funding Ltd. A-2 D CC Klio III Funding Ltd. B D CC Klio III Funding Ltd. C D CC Klio III Funding Ltd. Pref Shrs D CC McKinley II Funding Ltd. A-1 D CC McKinley II Funding Ltd. A-2 D CC McKinley II Funding Ltd. B D CC McKinley II Funding Ltd. Q D CC Zenith Funding Ltd. F D CC Zenith Funding Ltd. A-1 D CC Zenith Funding Ltd. A-2 D CC Zenith Funding Ltd. B D CC Zenith Funding Ltd. C D CC * S&P Downgrades Ratings on 25 Classes From Eight RMBS Deals ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 25 classes from eight residential mortgage-backed securities transactions backed by U.S. prime jumbo mortgage loan collateral issued in 2003-2004. In addition, S&P affirmed its ratings on 157 classes from the downgraded transactions and six other transactions and removed two 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. 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 the class can withstand the base-case loss assumptions S&P uses in its analysis. To maintain an 'AAA' rating, S&P assessed 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 assessed whether the class can withstand losses exceeding the base-case loss assumptions at a percentage specific to each rating category, up to 235% for a 'AAA' rating. For example, S&P would assess whether one class could withstand approximately 130% of its base- case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 155% of S&P's base-case loss assumptions to maintain a 'BBB' rating. The affirmed ratings reflect S&P's belief that the amount of credit enhancement available for these classes is sufficient to cover losses associated with these rating levels. Subordination provides credit support for the affected transactions. 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 American Home Mortgage Investment Trust 2004-1 Series 2004-1 Rating ------ Class CUSIP To From ----- ----- -- ---- II-M-1 02660TAK9 BB BBB IV-M-1 02660TAS2 BB- AA II-M-2 02660TAL7 CCC B III-M-2 02660TAQ6 CCC A IV-M-2 02660TAT0 B- BB I-M-3 02660TAH6 CCC BBB Charlie Mac Trust 2004-1 Series 2004-1 Rating ------ Class CUSIP To From ----- ----- -- ---- B-4 160762AS9 B BB B-5 160762AT7 CCC B Citicorp Mortgage Securities Inc. Series 2003-3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-5 172973LZ0 AAA AAA/Watch Neg A-20 172973MQ9 AAA AAA/Watch Neg MASTR Adjustable Rate Mortgages Trust 2003-1 Series 2003-1 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 576433CQ7 BB AA+ B-2 576433CR5 CCC AA B-3 576433CS3 CC A- MASTR Asset Securitization Trust 2003-1 Series 2003-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 15-B-3 55265KRG6 BBB A+ 15-B-4 55265KPN3 B BBB 15-B-5 55265KPP8 CC BB MASTR Asset Securitization Trust 2004-4 Series 2004-4 Rating ------ Class CUSIP To From ----- ----- -- ---- B-4 57643MBA1 CC BB B-5 57643MBB9 CC B Morgan Stanley Mortgage Loan Trust 2004-3 Series 2004-3 Rating ------ Class CUSIP To From ----- ----- -- ---- B-3 61745MA94 CCC BBB B-4 61745MB44 CC B Sequoia Mortgage Trust 2004-12 Series 2004-12 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 81744FGG6 B A+ B-3 81744FGH4 CCC BBB+ B-4 81744FGJ0 CC B B-5 81744FGK7 CC CCC Structured Asset Securities Corporation Assistance Loan Trust 2003-AL1 Series 2003-AL1 Rating ------ Class CUSIP To From ----- ----- -- ---- B2 86359AMJ9 BBB+ A B3 86359AMK6 B BBB B4 86359AML4 CC B Ratings Affirmed ABN AMRO Mortgage Corp. Series 2003-2 Class CUSIP Rating ----- ----- ------ IA-1 000780BF2 AAA IA-2 000780BG0 AAA IA-3 000780BH8 AAA IA-4 000780BJ4 AAA IIA-1 000780BK1 AAA IIA-2 000780BL9 AAA A-P 000780BM7 AAA A-X 000780BN5 AAA M 000780BP0 AA+ B-1 000780BQ8 AA B-2 000780BR6 A- B-3 000780BT2 BBB+ B-4 000780BU9 BB- American Home Mortgage Investment Trust 2004-1 Series 2004-1 Class CUSIP Rating ----- ----- ------ I-A 02660TAE3 AAA II-A 02660TAJ2 AAA III-A 02660TAN3 AAA IV-A 02660TAR4 AAA I-M-1 02660TAF0 AA III-M-1 02660TAP8 AA I-M-2 02660TAG8 A II-M-3 02660TAM5 CCC IV-M-3 02660TAU7 CCC Charlie Mac Trust 2004-1 Series 2004-1 Class CUSIP Rating ----- ----- ------ A-1 160762AA8 AAA A-2 160762AB6 AAA A-3 160762AC4 AAA A-4 160762AD2 AAA A-5 160762AE0 AAA A-6 160762AF7 AAA A-7 160762AG5 AAA A-8 160762AH3 AAA A-9 160762AJ9 AAA PO 160762AK6 AAA B-1 160762AP5 AA B-2 160762AQ3 A B-3 160762AR1 BBB CHL Mortgage Pass-Through Trust 2002-31 Series 2002-31 Class CUSIP Rating ----- ----- ------ A-1 12669DLR7 AAA A-2 12669DLS5 AAA A-13 12669DMD7 AAA PO 12669DMF2 AAA M 12669DMH8 AAA B-1 12669DMJ4 AAA B-2 12669DMK1 AA Citicorp Mortgage Securities Inc. Series 2003-1 Class CUSIP Rating ----- ----- ------ A-4 172973GL7 AAA A-65 172973JZ3 AAA B-1 172973KB4 AAA B-2 172973KC2 AA+ B-3 172973KD0 AA Citicorp Mortgage Securities Inc. Series 2003-3 Class CUSIP Rating ----- ----- ------ A-1 172973LV9 AAA A-2 172973LW7 AAA A-6 172973MA4 AAA A-7 172973MB2 AAA A-8 172973MC0 AAA A-26 172973MW6 AAA A-PO 172973NF2 AAA MASTR Adjustable Rate Mortgages Trust 2003-1 Series 2003-1 Class CUSIP Rating ----- ----- ------ 2-A-1 576433DA1 AAA 2-A-2 576433DC7 AAA 2-A-3 576433DD5 AAA 2-A-IO 576433CK0 AAA 3-A-1 576433CL8 AAA 3-A-IO 576433CM6 AAA 4-A-1 576433CT1 AAA 4-M-1 576433CU8 AAA MASTR Asset Securitization Trust 2003-1 Series 2003-1 Class CUSIP Rating ----- ----- ------ 1-A-1 55265KPU7 AAA 2-A-12 55265KQG7 AAA 2-A-13 55265KQH5 AAA 2-A-14 55265KQJ1 AAA 2-A-15 55265KQK8 AAA 2-A-16 55265KQL6 AAA 2-A-17 55265KQM4 AAA 2-A-18 55265KQN2 AAA 3-A-1 55265KQT9 AAA 3-A-2 55265KQU6 AAA 3-A-4 55265KQW2 AAA 3-A-5 55265KQX0 AAA 3-A-6 55265KQY8 AAA 3-A-7 55265KQZ5 AAA PO 55265KRA9 AAA 15-A-X 55265KRB7 AAA 30-A-X 55265KRC5 AAA 15-B-1 55265KRE1 AAA 15-B-2 55265KRF8 AA+ 30-B-1 55265KRH4 AAA 30-B-2 55265KRJ0 AA+ 30-B-3 55265KRK7 AA- 30-B-4 55265KPR4 A- 30-B-5 55265KPS2 B+ MASTR Asset Securitization Trust 2004-4 Series 2004-4 Class CUSIP Rating ----- ----- ------ 1-A-1 57643MAD6 AAA 1-A-2 57643MAE4 AAA 1-A-3 57643MAF1 AAA 1-A-4 57643MBD5 AAA 1-A-5 57643MBE3 AAA 1-A-6 57643MAG9 AAA 1-A-7 57643MAH7 AAA 1-A-8 57643MAJ3 AAA 2-A-1 57643MAK0 AAA 2-A-2 57643MAL8 AAA 2-A-3 57643MAM6 AAA 2-A-4 57643MAN4 AAA 2-A-5 57643MAP9 AAA 2-A-6 57643MAQ7 AAA 2-A-7 57643MBF0 AAA 2-A-8 57643MBG8 AAA 3-A-1 57643MAR5 AAA PO 57643MAS3 AAA 15-A-X 57643MAT1 AAA 30-A-X 57643MAU8 AAA Morgan Stanley Mortgage Loan Trust 2004-3 Series 2004-3 Class CUSIP Rating ----- ----- ------ 1-A 61745MZS5 AAA 1-A-X 61745MZT3 AAA 1-A-P 61745MZU0 AAA 2-A-1 61745MZV8 AAA 2-A-2 61745MZW6 AAA 2-A-3 61745MZX4 AAA 2-A-4 61745MZY2 AAA 2-A-5 61745MZZ9 AAA 2-A-6 61745MA29 AAA 2-A-7 61745MA37 AAA 3-A 61745MA45 AAA 4-A 61745MA52 AAA C-A-X 61745MB28 AAA C-A-P 61745MA60 AAA B-1 61745MA78 AA B-2 61745MA86 A Sequoia Mortgage Trust 2004-12 Series 2004-12 Class CUSIP Rating ----- ----- ------ A-1 81744FFY8 AAA A-2 81744FFZ5 AAA X-A1 81744FGB7 AAA X-B 81744FGD3 AAA A-3 81744FGA9 AAA X-A2 81744FGC5 AAA B-1 81744FGF8 AA+ Structured Asset Securities Corporation Assistance Loan Trust Series 2003-AL1 Class CUSIP Rating ----- ----- ------ A 86359AME0 AAA APO 86359AMG5 AAA AIO 86359AMF7 AAA B1 86359AMH3 AA Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS7 Class CUSIP Rating ----- ----- ------ A-10 939336TQ6 AAA A-11 939336TR4 AAA A-12 939336TS2 AAA A-13 939336TT0 AAA A-14 939336TU7 AAA A-15 939336TV5 AAA X 939336TW3 AAA P 939336TX1 AAA B-1 939336TY9 AAA B-2 939336TZ6 AA B-3 939336UA9 A B-4 939336UX9 BBB B-5 939336UY7 BB- Wells Fargo Mortgage Backed Securities 2002-18 Trust Series 2002-18 Class CUSIP Rating ----- ----- ------ I-A-1 949784AA0 AAA I-A-17 949784AS1 AAA II-A-4 949784AY8 AAA II-A-5 949784AZ5 AAA II-A-WIO 949784BP6 AAA A-PO 949784BQ4 AAA B-1 949784BR2 AAA B-2 949784BS0 AAA B-3 949784BT8 AA+ * S&P Downgrades Ratings on 28 Tranches From Six CLO Transactions ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 28 tranches from six U.S. collateralized loan obligation transactions and removed them from CreditWatch with negative implications. The affected tranches have a total issuance amount of $1.151 billion. At the same time, S&P affirmed its ratings on six tranches from four 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 five classes from four transactions resulted from S&P's application of the largest-obligor default test, which is one of the supplemental stress tests S&P introduced as part of its criteria update. The affirmations reflect S&P's view that the tranches have adequate credit support to maintain the current ratings according to its updated criteria. 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. Tiered Recovery Rate For 'AAA' Liability Rating Transaction Recovery rate (%) ----------- ----------------- Fortress Credit Funding I LP 43.2 Madison Park Funding VI, Ltd. 41.3 Sands Point Funding Ltd 38.9 Veritas CLO I, Ltd. 44.4 Victoria Falls CLO Ltd. 42.5 WhiteHorse I Ltd. 44.5 S&P will continue to review the remaining transactions with ratings placed on CreditWatch following S&P's corporate CDO criteria update and resolve the CreditWatch status of the affected tranches. Rating Actions Rating ------ Transaction Class To From ----------- ----- -- ---- Fortress Credit Funding I LP A-1 AAA AAA/Watch Neg Fortress Credit Funding I LP A-2 AAA AAA/Watch Neg Fortress Credit Funding I LP A-3 AA AA/Watch Neg Fortress Credit Funding I LP B BBB+ A/Watch Neg Madison Park Funding VI, Ltd. A-1 AAA AAA/Watch Neg Madison Park Funding VI, Ltd. A-2 AA- AAA/Watch Neg Madison Park Funding VI, Ltd. B A+ AA/Watch Neg Madison Park Funding VI, Ltd. C BBB+ A/Watch Neg Madison Park Funding VI, Ltd. D BB+ BBB/Watch Neg Madison Park Funding VI, Ltd. E B+ BB/Watch Neg Sands Point Funding Ltd A-1 AA+ AAA/Watch Neg Sands Point Funding Ltd A-2 LossTh AA+ AAA/Watch Neg Sands Point Funding Ltd A-3 AA+ AAA/Watch Neg Sands Point Funding Ltd B A+ AA/Watch Neg Sands Point Funding Ltd C Deferrab BBB+ A/Watch Neg Sands Point Funding Ltd D Deferrab BB+ BBB/Watch Neg Veritas CLO I, Ltd. A AA+ AAA/Watch Neg Veritas CLO I, Ltd. B A+ AA/Watch Neg Veritas CLO I, Ltd. C BBB+ A/Watch Neg Veritas CLO I, Ltd. D B+ BBB/Watch Neg Veritas CLO I, Ltd. E CCC- BB/Watch Neg Victoria Falls CLO Ltd. A-1A AAA AAA/Watch Neg Victoria Falls CLO Ltd. A-1B A+ AAA/Watch Neg Victoria Falls CLO Ltd. A-2 A+ AAA/Watch Neg Victoria Falls CLO Ltd. A-3 A+ AAA/Watch Neg Victoria Falls CLO Ltd. B-1 A- AA/Watch Neg Victoria Falls CLO Ltd. B-2 A- AA/Watch Neg Victoria Falls CLO Ltd. C Def BB+ A-/Watch Neg Victoria Falls CLO Ltd. D Def CCC- BB+/Watch Neg WhiteHorse I Ltd. A-1LA AAA AAA/Watch Neg WhiteHorse I Ltd. A-1LB AA+ AAA/Watch Neg WhiteHorse I Ltd. A-2L A AA/Watch Neg WhiteHorse I Ltd. A-3L BBB- A-/Watch Neg WhiteHorse I Ltd. B-1L B+ BBB+/Watch Neg * S&P Downgrades Ratings on 35 Tranches From 14 Hybrid CDO Deals ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 35 tranches from 14 U.S. cash flow and hybrid collateralized debt obligation transactions. At the same time, S&P removed 16 of the lowered ratings from CreditWatch with negative implications. Additionally, S&P placed three of the lowered ratings on CreditWatch negative, and its ratings on 10 of the downgraded tranches remain on CreditWatch negative, indicating a significant likelihood of further downgrades. S&P also affirmed its ratings on 36 other tranches. Lastly, S&P withdrew its rating on one tranche from Porter Square CDO I Ltd. following its complete paydown. The CDO downgrades reflect a number of factors, including credit deterioration and S&P's negative rating actions on underlying U.S. subprime residential mortgage-backed securities. S&P's CreditWatch placements primarily affect transactions for which a significant portion of the collateral assets currently have ratings on CreditWatch with negative implications or that have significant exposure to assets rated in the 'CCC' category. The 35 downgraded U.S. cash flow and hybrid tranches have a total issuance amount of $5.994 billion. Eight of the 14 affected transactions are mezzanine structured finance CDOs of asset-backed securities, which are collateralized in large part by mezzanine tranches of RMBS and other SF securities. Five of the 14 are high-grade SF CDOs of ABS that were collateralized at origination primarily by 'AAA' through 'A' rated tranches of RMBS and other SF securities. The other transaction is a CDO of CDOs that was collateralized at origination primarily by notes from other CDOs, as well as by tranches from RMBS and other SF transactions. The affirmations reflect current credit support levels that S&P believes are sufficient to maintain the current ratings. Standard & Poor's will continue to monitor the CDO transactions it rates and take rating actions, including CreditWatch placements, when appropriate. Rating Actions Rating ------ Transaction Class To From ----------- ----- -- ---- Adirondack 2005-2 A-1LT-a B-/Watch Neg A-/Watch Neg Adirondack 2005-2 A-1LT-b B-/Watch Neg A-/Watch Neg Adirondack 2005-2 A-2 CCC-/Watch Neg BBB-/Watch Neg Adirondack 2005-2 B CCC-/Watch Neg B/Watch Neg Adirondack 2005-2 C CC CCC-/Watch Neg Bernoulli High Grade CDO I A-1A CC BB-/Watch Neg Bernoulli High Grade CDO I A-1B B/Watch Neg BB/Watch Neg Capella Funding 1 BB/Watch Neg BB+ Cascade Funding CDO I Ltd A-1 B/Watch Neg BBB/Watch Neg GSC ABS CDO 2005-1 Ltd A1S CC CCC-/Watch Neg Inman Square Funding I I BBB-/Watch Neg AAA Inman Square Funding I II-FL CC BB+/Watch Neg Inman Square Funding I II-FX CC BB+/Watch Neg Inman Square Funding I III CC CCC/Watch Neg Ischus CDO I Ltd A-1 BB-/Watch Neg AA+/Watch Neg Ischus CDO I Ltd A-2 CC BBB+/Watch Neg Ischus CDO I Ltd B CC CCC+/Watch Neg Longport Funding II Ltd A1J CC B/Watch Neg Longport Funding II Ltd A1S CCC- BBB/Watch Neg Longport Funding II Ltd A2 CC CCC-/Watch Neg Margate Funding I Ltd A1J CC BB/Watch Neg Margate Funding I Ltd A1S CCC/Watch Neg A/Watch Neg Margate Funding I Ltd A2 CC CCC-/Watch Neg Northwall Funding CDO I Ltd A-1 CC BBB-/Watch Neg Porter Square CDO I Ltd A-2 NR AAA Porter Square CDO I Ltd A-3 AA/Watch Neg AAA Porter Square CDO I Ltd B B-/Watch Neg A+/Watch Neg Porter Square CDO I Ltd C CC CCC/Watch Neg RFC CDO I Ltd A BBB+ AAA RFC CDO I Ltd B-1 B+ AAA RFC CDO I Ltd B-2 B+ AAA RFC CDO I Ltd C CCC AA- RFC CDO I Ltd D CCC- A RFC CDO I Ltd E CC BB+ RFC CDO III A-2 CC B/Watch Neg Whately CDO I A-1A CCC/Watch Neg BBB+/Watch Neg Ratings Affirmed Transaction Class Rating ----------- ----- ------ Adirondack 2005-2 D CC Adirondack 2005-2 E CC Bernoulli High Grade CDO I A-2 CC Bernoulli High Grade CDO I B CC Bernoulli High Grade CDO I C CC Bernoulli High Grade CDO I D CC Capella Funding B BBB GSC ABS CDO 2005-1 Ltd A1J CC GSC ABS CDO 2005-1 Ltd A2 CC GSC ABS CDO 2005-1 Ltd A3 CC GSC ABS CDO 2005-1 Ltd B CC Inman Square Funding I IV-FL CC Inman Square Funding I IV-FX CC Ischus CDO I Ltd C-1 CC Ischus CDO I Ltd C-2 CC Ischus CDO I Ltd Cmb Sec CC Longport Funding II A3 CC Longport Funding II B CC Longport Funding II Combo Sec CC Longport Funding II Inc Nts CC Margate Funding I Ltd A3 CC Margate Funding I Ltd Combo Nts AAA Margate Funding I Ltd Inc Nts CC Northwall Funding CDO I A-2 CC Northwall Funding CDO I B CC Northwall Funding CDO I C CC RFC CDO III B CC RFC CDO III C CC RFC CDO III D CC Whately CDO I A-1BF CC Whately CDO I A-1BV CC Whately CDO I A-2 CC Whately CDO I A-3 CC Whately CDO I B-F CC Whately CDO I B-V CC Whately CDO I Combo A CC Other Outstanding Rating Transaction Class Rating ----------- ----- ------ Cascade Funding CDO I Ltd A-2 D * S&P Downgrades Ratings on 43 Tranches From Nine CLO Deals ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 43 tranches from nine U.S. collateralized loan obligation transactions and removed them from CreditWatch with negative implications. The affected tranches have a total issuance amount of $3.390 billion. At the same time, S&P affirmed its ratings on 19 tranches from four 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 nine classes from five 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. The affirmations reflect S&P's view that the tranches have adequate credit support to maintain the current ratings according to its updated criteria. 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. Tiered Recovery Rate For 'AAA' Liability Rating Transaction Recovery rate (%) ----------- ----------------- CapitalSource Commercial Loan Trust 2006-1 42.5 Fortress Credit Funding II LP 43.2 Knightsbridge CLO 2007-1 Limited 44.3 Knightsbridge CLO 2008-1 Limited 44.3 Navigator CDO 2005 Ltd 45.5 Venture VIII CDO Limited 43.5 Waterfront CLO 2007-1 Ltd 41.0 Westbrook CLO Ltd. 46.6 Westwood CDO I Ltd. 43.5 WG Horizons CLO I 44.3 WhiteHorse IV Ltd 44.1 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 ----------- ----- -- ---- CapitalSource Commercial Loan Trust 2006-1 A A+ AAA/Watch Neg CapitalSource Commercial Loan Trust 2006-1 B BB+ AA/Watch Neg Fortress Credit Funding II LP A-1 AAA AAA/Watch Neg Fortress Credit Funding II LP A-2 AAA AAA/Watch Neg Fortress Credit Funding II LP A-3 AA AA/Watch Neg Fortress Credit Funding II LP B A A/Watch Neg Knightsbridge CLO 2007-1 Limited A-1 AAA AAA/Watch Neg Knightsbridge CLO 2007-1 Limited A-2 AA+ AAA/Watch Neg Knightsbridge CLO 2007-1 Limited B AA AA/Watch Neg Knightsbridge CLO 2007-1 Limited C A A/Watch Neg Knightsbridge CLO 2007-1 Limited D BBB BBB/Watch Neg Knightsbridge CLO 2007-1 Limited E BB BB/Watch Neg Knightsbridge CLO 2008-1 Limited A AAA AAA/Watch Neg Knightsbridge CLO 2008-1 Limited B AA AA/Watch Neg Knightsbridge CLO 2008-1 Limited C A A/Watch Neg Knightsbridge CLO 2008-1 Limited D BBB BBB/Watch Neg Knightsbridge CLO 2008-1 Limited E BB BB/Watch Neg Navigator CDO 2005 Ltd A-1A AA+ AAA/Watch Neg Navigator CDO 2005 Ltd A-1B AA+ AAA/Watch Neg Navigator CDO 2005 Ltd A-2 A+ AA/Watch Neg Navigator CDO 2005 Ltd B-1 BB+ A/Watch Neg Navigator CDO 2005 Ltd B-2 BB+ A/Watch Neg Navigator CDO 2005 Ltd C-1 CCC- BBB/Watch Neg Navigator CDO 2005 Ltd C-2 CCC- BBB/Watch Neg Navigator CDO 2005 Ltd Q-7 CCC- BBB-/WatchNeg Venture VIII CDO Limited A-1A AA+ AAA/Watch Neg Venture VIII CDO Limited A-1B AA- AAA/Watch Neg Venture VIII CDO Limited A-2A AA+ AAA/Watch Neg Venture VIII CDO Limited A-2B AA- AAA/Watch Neg Venture VIII CDO Limited A-3 AA- AAA/Watch Neg Venture VIII CDO Limited B A+ AA/Watch Neg Venture VIII CDO Limited C BBB- A/Watch Neg Venture VIII CDO Limited D BB BBB/Watch Neg Venture VIII CDO Limited E CCC+ BB/Watch Neg Waterfront CLO 2007-1 Ltd A-1 AA+ AAA/Watch Neg Waterfront CLO 2007-1 Ltd A-2 A+ AAA/Watch Neg Waterfront CLO 2007-1 Ltd A-3 A AA/Watch Neg Waterfront CLO 2007-1 Ltd B BBB- A/Watch Neg Waterfront CLO 2007-1 Ltd C BB- BBB/Watch Neg Waterfront CLO 2007-1 Ltd D B- BB/Watch Neg Westbrook CLO Ltd. A1 AAA AAA/Watch Neg Westbrook CLO Ltd. A2 AA+ AAA/Watch Neg Westbrook CLO Ltd. B AA AA/Watch Neg Westbrook CLO Ltd. C A A/Watch Neg Westbrook CLO Ltd. D BBB BBB/Watch Neg Westbrook CLO Ltd. E BB BB/Watch Neg Westwood CDO I Ltd. A-1 AA+ AAA/Watch Neg Westwood CDO I Ltd. A-2 A+ AA/Watch Neg Westwood CDO I Ltd. B BBB+ A/Watch Neg Westwood CDO I Ltd. C-1 B+ BBB-/WatchNeg Westwood CDO I Ltd. C-2 B+ BBB-/WatchNeg Westwood CDO I Ltd. D CCC- B/Watch Neg WG Horizons CLO I A-1 AA AAA/Watch Neg WG Horizons CLO I A-2 A+ AA/Watch Neg WG Horizons CLO I B BBB+ A/Watch Neg WG Horizons CLO I C BB+ BBB-/WatchNeg WG Horizons CLO I D CCC+ B+/Watch Neg WhiteHorse IV Ltd A-1 AA+ AAA/Watch Neg WhiteHorse IV Ltd A-2 A+ AA/Watch Neg WhiteHorse IV Ltd B BBB+ A/Watch Neg WhiteHorse IV Ltd C BB+ BBB/Watch Neg WhiteHorse IV Ltd D B+ BB/Watch Neg * S&P Downgrades Ratings on 144 Classes From 12 RMBS Transactions ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 144 classes of certificates from 12 U.S. RMBS transactions backed by prime, subprime, or Alternative-A collateral issued in 2008 and removed them from CreditWatch with negative implications. Additionally, S&P affirmed its ratings on 26 classes from six of the downgraded transactions and removed 22 of them 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 its current projected losses. The affirmations reflect S&P's opinion that the amount of credit enhancement at the class level is sufficient to maintain the current ratings under the applicable rating stress scenario. When projecting the losses for these transactions, S&P generally applied its default curves as applicable for the product type and vintage-adjusted weighted-average loan seasoning on a structure- level basis. The applicable default curve S&P applied was consistent with the product type as outlined in the related publications under "Related Research." The lifetime projected losses applied within the analysis is represented as a percentage of the original balance: Original Balance Lifetime Transaction (mil. $) Loss (%) ----------- ---------------- -------- Banc of America Funding 2008-1 Trust 276.2 21.51 Banc of America Mortgage 2008-A Trust 855.7 13.94 BCAP LLC Trust 2008-IND2 332.1 25.76 CHL Mortgage Pass Through Trust 2008-1 161.5 8.03 Lehman Mortgage Trust 2008-6 147.0 17.23 National City Mortgage Capital 2008-1 128.6 5.40 National City Mortgage Capital 2008-1 261.8 1.79 PHH Mortgage Trust Series 2008-CIM1 343.2 3.42 PHH Mortgage Trust Series 2008-CIM1 276.5 1.47 Soundview Home Loan Trust 2008-1 203.6 28.76 Structured Adjustable Rate Trust 2008-1 154.8 22.20 Structured Adjustable Rate Trust 2008-2 185.2 27.59 Thornburg Mortgage Securities 2008-1 991.7 11.47 Wells Fargo Mortgage Backed Sec. 2008-1 760.4 6.77 Wells Fargo Mortgage Backed Sec. 2008-1 276.5 1.73 To assess the creditworthiness of each class, S&P applied its projected loss assumptions on a structural basis. 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. When applying losses to transactions backed by subprime or Alt-A collateral, 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 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, generally withstand approximately 150% of its base-case loss assumptions under its analysis. For prime transactions, S&P used the above rating- specific loss methodology; however, its 'AAA' loss assumption would be 235% of the base-case loss assumption. Subordination provides credit support for the affected transactions. In addition, some classes may also benefit from overcollateralization and excess spread. The underlying pools of loans backing these transactions consist of fixed- or adjustable- rate subprime, prime, or Alt-A mortgage loans. Rating Actions Banc of America Funding 2008-1 Trust Series 2008-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 05955AAH4 BBB- AAA/Watch Neg A-2 05955AAJ0 CCC AAA/Watch Neg M-1 05955AAK7 CCC AA+/Watch Neg M-2 05955AAL5 CCC AA/Watch Neg M-3 05955AAM3 CCC AA-/Watch Neg M-4 05955AAN1 CCC A+/Watch Neg M-5 05955AAP6 CCC A/Watch Neg M-6 05955AAQ4 CCC A-/Watch Neg M-7 05955AAB7 CCC BBB+/Watch Neg M-8 05955AAC5 CC BBB/Watch Neg M-9 05955AAD3 CC BBB-/Watch Neg Banc of America Mortgage 2008-A Trust Series 2008-A Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 05955BAA7 CCC AAA/Watch Neg 1-A-2 05955BAB5 CCC AAA/Watch Neg 1-A-3 05955BAC3 CCC AAA/Watch Neg 1-A-4 05955BAD1 CCC AAA/Watch Neg 1-A-5 05955BAE9 CCC AAA/Watch Neg 1-A-6 05955BAF6 CCC AAA/Watch Neg 1-A-7 05955BAG4 CCC AAA/Watch Neg 2-A-1 05955BAJ8 CCC AAA/Watch Neg 2-A-2 05955BAK5 CCC AAA/Watch Neg 2-A-3 05955BAL3 BB- AAA/Watch Neg 2-A-4 05955BAM1 BB- AAA/Watch Neg 2-A-5 05955BAN9 BB- AAA/Watch Neg 2-A-6 05955BAP4 CCC AAA/Watch Neg 2-A-7 05955BAQ2 BB- AAA/Watch Neg 3-A-1 05955BAR0 CCC AAA/Watch Neg 3-A-2 05955BAS8 CCC AAA/Watch Neg 3-A-3 05955BAT6 AAA AAA/Watch Neg 3-A-4 05955BAU3 AAA AAA/Watch Neg 3-A-5 05955BAV1 AAA AAA/Watch Neg 3-A-6 05955BAW9 CCC AAA/Watch Neg 3-A-7 05955BAX7 CCC AAA/Watch Neg B-1 05955BAY5 CC AA/Watch Neg B-2 05955BAZ2 CC AA/Watch Neg B-3 05955BBA6 CC A/Watch Neg B-4 05955BBB4 CC BBB/Watch Neg B-5 05955BBC2 CC BB/Watch Neg BCAP LLC Trust 2008-IND2 Series 2008-IND2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 05531EAA4 BBB- AAA/Watch Neg A-2 05531EAB2 CCC AAA/Watch Neg A-X 05531EAC0 BBB- AAA/Watch Neg B-1 05531EAE6 CC AA/Watch Neg B-2 05531EAF3 CC A/Watch Neg B-3 05531EAG1 CC BBB/Watch Neg B-4 05531EAH9 CC BB/Watch Neg CHL Mortgage Pass Through Trust 2008-1 Series 2008-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 12544YAA1 CCC AAA/Watch Neg A-2 12544YAB9 B AAA/Watch Neg A-3 12544YAC7 BB- AAA/Watch Neg A-4 12544YAD5 BB- AAA/Watch Neg A-5 12544YAE3 B AAA/Watch Neg X 12544YAK9 BB- AAA/Watch Neg PO 12544YAL7 CCC AAA/Watch Neg M 12544YAN3 CCC AA/Watch Neg B-1 12544YAP8 CCC A/Watch Neg B-2 12544YAQ6 CC BBB/Watch Neg B-3 12544YAR4 CC BB/Watch Neg B-4 12544YAT0 CC B/Watch Neg Lehman Mortgage Trust 2008-6 Series 2008-6 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 52525FAA1 B+ AAA/Watch Neg 2-A1 52525FAC7 B+ AAA/Watch Neg 2-A2 52525FAD5 B+ AAA/Watch Neg 2-AIO 52525FAF0 B+ AAA/Watch Neg National City Mortgage Capital Trust 2008-1 Series 2008-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 635419AA2 B+ AAA/Watch Neg 1-A-2 635419AB0 B- AAA/Watch Neg 1-A-3 635419AC8 B+ AAA/Watch Neg 1-B-1 635419AM6 CCC AA/Watch Neg 1-B-2 635419AN4 CCC A/Watch Neg 1-B-3 635419AP9 CC BBB/Watch Neg 1-B-4 635419AT1 CC BB/Watch Neg 2-A-1 635419AE4 AAA AAA/Watch Neg 2-A-2 635419AF1 BBB AAA/Watch Neg 2-A-3 635419AG9 AAA AAA/Watch Neg 2-A-4 635419AH7 AAA AAA/Watch Neg 2-A-5 635419AJ3 AAA AAA/Watch Neg 2-IO 635419AK0 AAA AAA/Watch Neg 2-PO 635419AL8 BBB AAA/Watch Neg 2-B-1 635419AQ7 B- AA/Watch Neg 2-B-2 635419AR5 CCC A/Watch Neg 2-B-3 635419AS3 CCC BBB/Watch Neg 2-B-4 635419AW4 CCC BB/Watch Neg 2-B-5 635419AX2 CC B/Watch Neg PHH Mortgage Trust, Series 2008-CIM1 Series 2008-CIM1 Rating ------ Class CUSIP To From ----- ----- -- ---- I-1A-1 69337LAA0 AAA AAA/Watch Neg I-1A-2 69337LAB8 A AAA/Watch Neg I-2A-1 69337LAC6 AAA AAA/Watch Neg I-2A-2 69337LAD4 A AAA/Watch Neg I-3A-1 69337LAE2 AAA AAA/Watch Neg I-3A-2 69337LAF9 A AAA/Watch Neg I-4A-1 69337LAG7 AAA AAA/Watch Neg I-4A-2 69337LAH5 A AAA/Watch Neg I-B1 69337L9G9 B+ AA/Watch Neg I-B-2 69337L9B0 CCC A/Watch Neg I-B-3 69337L9C8 CCC BBB/Watch Neg I-B-4 69337L9D6 CCC BB/Watch Neg I-B-5 69337L9E4 CC B/Watch Neg II-1A-1 69337LAJ1 AAA AAA/Watch Neg II-1A-2 69337LAK8 AAA AAA/Watch Neg II-2A-1 69337LAL6 AAA AAA/Watch Neg II-2A-2 69337LAM4 AAA AAA/Watch Neg II-1-AX 69337L9H7 AAA AAA/Watch Neg II-2-AX 69337L9J3 AAA AAA/Watch Neg II-1-PO 69337L9I5 AAA AAA/Watch Neg II-B-1 69337L9K0 AA AA/Watch Neg II-B-2 69337L9L8 BBB+ A/Watch Neg II-B-3 69337L9M6 BB BBB/Watch Neg II-B-4 69337L9N4 CCC BB/Watch Neg II-B-5 69337L9O2 CCC B/Watch Neg Soundview Home Loan Trust 2008-1 Series 2008-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-M-1 83613GAE9 B- AAA/Watch Neg A-M-2 83613GAU3 B- AAA/Watch Neg M-1 83613GAF6 CCC AA+/Watch Neg M-2 83613GAG4 CCC AA/Watch Neg M-3 83613GAH2 CCC AA-/Watch Neg M-4 83613GAJ8 CCC A+/Watch Neg M-5 83613GAK5 CCC A/Watch Neg M-6 83613GAL3 CCC A-/Watch Neg M-7 83613GAM1 CC BBB+/Watch Neg M-8 83613GAN9 CC BBB/Watch Neg M-9 83613GAP4 CC BBB-/Watch Neg Structured Adjustable Rate Mortgage Loan Trust Series 2008-2 Series 2008-2 Rating ------ Class CUSIP To From ----- ----- -- ---- A1 86365BAA1 CCC AAA/Watch Neg A1X 86365BAB9 CCC AAA/Watch Neg A21 86365BAC7 CCC AAA/Watch Neg A22 86365BAD5 CCC AAA/Watch Neg A31 86365BAE3 CCC AAA/Watch Neg A32 86365BAF0 CCC AAA/Watch Neg A2 86365BAG8 CCC AAA/Watch Neg A3 86365BAH6 CCC AAA/Watch Neg A4 86365BAJ2 CCC AAA/Watch Neg A5 86365BAK9 CCC AAA/Watch Neg AP 86365BAT0 AAA AAA/Watch Neg B1 86365BAL7 CC AA/Watch Neg B2 86365BAM5 CC A/Watch Neg B3 86365BAN3 D BBB/Watch Neg Structured Adjustable Rate Mortgage Loan Trust, Series 2008-1 Series 2008-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A1 86358DAA6 B- AAA/Watch Neg A1X 86358DAB4 B- AAA/Watch Neg A21 86358DAC2 CCC AAA/Watch Neg A22 86358DAD0 CCC AAA/Watch Neg A31 86358DAE8 CCC AAA/Watch Neg A32 86358DAF5 CCC AAA/Watch Neg A2 86358DAG3 CCC AAA/Watch Neg A3 86358DAH1 CCC AAA/Watch Neg A4 86358DAJ7 CCC AAA/Watch Neg A5 86358DAK4 CCC AAA/Watch Neg AP 86358DAT5 AAA AAA/Watch Neg B1 86358DAL2 CC AA/Watch Neg B2 86358DAM0 CC A/Watch Neg B3 86358DAN8 CC BBB/Watch Neg B4 86358DAQ1 CC BB/Watch Neg Thornburg Mortgage Securities Trust 2008-1 Series 2008-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-1 88522UAA5 CCC AAA/Watch Neg 1A-2 88522UAB3 CCC AAA/Watch Neg 2A-1 88522UAC1 CCC AAA/Watch Neg 2A-2 88522UAD9 CCC AAA/Watch Neg 3A-1 88522UAE7 BB AAA/Watch Neg 3A-2 88522UAF4 CCC AAA/Watch Neg 4A-1 88522UAG2 BBB AAA/Watch Neg 4A-2 88522UAH0 CCC AAA/Watch Neg 1-AX 88522UAK3 CCC AAA/Watch Neg 2-AX 88522UAL1 CCC AAA/Watch Neg 3-AX 88522UAM9 BB AAA/Watch Neg 4-AX 88522UAN7 BBB AAA/Watch Neg B-1 88522UAP2 CC AA/Watch Neg B-2 88522UAQ0 CC A/Watch Neg B-3 88522UAR8 CC BBB/Watch Neg B-4 88522UAS6 CC BB/Watch Neg B-5 88522UAT4 D B/Watch Neg Wells Fargo Mortgage Backed Securities 2008-1 Trust Series 2008-1 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 949819AA4 CCC AAA/Watch Neg I-A-2 949819AB2 CCC AAA/Watch Neg I-A-3 949819AC0 CCC AAA/Watch Neg IV-A-1 949819AP1 AA AAA/Watch Neg IV-A-2 949819AQ9 BBB- AAA/Watch Neg Ratings Affirmed Soundview Home Loan Trust 2008-1 Series 2008-1 Class CUSIP Rating ----- ----- ------ A-1 83613GAA7 AAA A-2 83613GAB5 AAA A-3 83613GAC3 AAA A-4 83613GAD1 AAA * S&P Downgrades Ratings on 203 Classes From 39 RMBS Transactions ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 203 classes from 39 residential mortgage-backed securities transactions issued in 2005 and 2006 and removed 87 of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 142 classes from 26 of the downgraded transactions and three additional transactions, and removed 38 of the affirmed ratings from CreditWatch negative. Forty of the transactions are backed by U.S. Alternative-A mortgage loan collateral, one is backed by U.S. prime jumbo mortgage loan collateral, and one is backed by home equity line of credit loan collateral. 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. For prime jumbo 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. For the transaction backed by HELOC loan collateral, class 2-A is insured by Assured Guaranty Municipal Corp. (previously known as Financial Security Assurance), which is currently rated 'AAA'. Based on S&P's criteria, the 'AAA' rating on class 2-A reflects its rating on the bond insurer. 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, prime jumbo, and HELOC mortgage loans that are secured by first and second liens on one- to four-family residential properties. Rating Actions Alternative Loan Trust 2005-65CB Series 2005-65CB Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12668AX34 CCC AAA/Watch Neg 1-A-2 12668AX42 CCC AAA/Watch Neg 1-A-4 12668AX67 CCC AAA/Watch Neg 1-A-7 12668AX91 CCC AAA/Watch Neg 2-A-3 12668AZ32 BBB- AA/Watch Neg 2-A-4 12668AZ40 BBB- AA/Watch Neg 1-X 12668AZ99 CCC AAA/Watch Neg 2-X 12668A2A2 BBB- AA/Watch Neg M 12668A2D6 CC CCC B-1 12668A2E4 CC CCC Alternative Loan Trust 2005-81 Series 2005-81 Rating ------ Class CUSIP To From ----- ----- -- ---- A-3 12668BBQ5 CC CCC A-4 12668BBR3 CC CCC X-2 12668BCC5 CC CCC M-3 12668BBU6 D CC American Home Mortgage Assets Trust 2005-1 Series 2005-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 02660VAA6 CC CCC 2-A-2-2 02660VAD0 CC CCC 3-A-1-1 02660VAE8 B- A+/Watch Neg 3-A-1-2 02660VAF5 CCC BBB+/Watch Neg 3-A-2-1 02660VAG3 BB- AA/Watch Neg 3-A-2-2 02660VAH1 CCC BBB+/Watch Neg American Home Mortgage Assets Trust 2006-4 Series 2006-4 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1-1 02660LAA8 BBB+ BBB+/Watch Neg I-A-1-2 02660LAB6 BBB BBB+/Watch Neg I-A-2-1 02660LAC4 CC CCC I-A-2-2 02660LAD2 CC CCC I-A-3 02660LAE0 CC CCC II-A-1 02660LAF7 BBB+ BBB+/Watch Neg II-A-2 02660LAG5 CC CCC II-A-3 02660LAH3 D CCC Banc of America Funding 2006-A Trust Series 2006-A Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 058927AA2 AAA AAA/Watch Neg 1-A-2 058927AB0 CCC BB+/Watch Neg 3-A-1 058927AF1 CC CCC 3-A-2 058927AG9 CC CCC 3-A-3 058927AH7 CC CCC 4-A-1 058927AJ3 BB BB/Watch Neg 6-A-1 058927AN4 B- B/Watch Neg 1-B-1 058927AQ7 CC CCC 3-B-1 058927AX2 CC CCC Banc of America Funding 2006-G Trust Series 2006-G Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 05950MAA8 AAA AAA/Watch Neg 2-A-1 05950MAB6 AAA AAA/Watch Neg 2-A-2 05950MAC4 AAA AAA/Watch Neg 2-A-3 05950MAD2 AAA AAA/Watch Neg 2-A-4 05950MAE0 AAA AAA/Watch Neg 2-A-5 05950MAF7 BB+ AAA/Watch Neg 3-A-1 05950MAG5 AAA AAA/Watch Neg 3-A-2 05950MAH3 AAA AAA/Watch Neg 3-A-3 05950MAJ9 BB- AAA/Watch Neg M-1 05950MAK6 B- AA+/Watch Neg M-2 05950MAL4 CCC AA/Watch Neg M-3 05950MAM2 CCC AA-/Watch Neg M-4 05950MAN0 CCC A+/Watch Neg M-5 05950MAP5 CCC BB/Watch Neg M-6 05950MAQ3 CC B/Watch Neg Bear Stearns Asset Backed Securities I Trust 2005-AC9 Series 2005-AC9 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 0738794E5 B- BBB-/Watch Neg A-2 0738794F2 B- BBB-/Watch Neg A-3 0738794G0 B- BBB-/Watch Neg A-4 0738794H8 B- BBB-/Watch Neg A-5 0738794J4 B- BBB-/Watch Neg M-2 0738794L9 CC CCC M-3 0738794M7 CC CCC Chevy Chase Funding LLC Series 2005-4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 16678RET0 B- B-/Watch Neg A-2 16678REU7 B- B-/Watch Neg A-NA 16678RIM0 B- B-/Watch Neg IO 16678RIP3 B- B-/Watch Neg NIO 16678RIQ1 B- B-/Watch Neg B-2 16678REW3 CC CCC B-2NA 16678RIO6 CC CCC Chevy Chase Funding LLC Trust, Series 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 16678RFB8 B- B+/Watch Neg A-2 16678RFC6 B- B+/Watch Neg A-NA 16678RIS9 B- B+/Watch Neg IO 16678RIV2 B- B+/Watch Neg NIO 16678RIW0 B- B+/Watch Neg B-1 16678RFD4 CC CCC B-1NA 16678RIT7 CC CCC CSAB Mortgage-Backed Trust 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 22943HAC0 BBB- AAA/Watch Neg Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB1 Series 2006-AB1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2-A 251510MG5 AAA AAA/Watch Neg A-3 251510ML4 AAA AAA/Watch Neg A-X-1 251510MN0 AAA AAA/Watch Neg A-X 251510MQ3 AAA AAA/Watch Neg M-2 251510MS9 D CC Greenpoint Mortgage Funding Grantor Trust 1-A1A, Series 2006-AR6 Series 2006-AR6 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1A 39538BAA2 CC B-/Watch Neg Greenpoint Mortgage Funding Grantor Trust 1-A2A2, Series 2006-AR6 Series 2006-AR6 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A2A2 39538BAC8 CC CCC Greenpoint Mortgage Funding Grantor Trust 2006-AR2 Series 2006-AR2 Rating ------ Class CUSIP To From ----- ----- -- ---- III-A-1 BB BB/Watch Neg GSAA Home Equity Trust 2006-7 Series 2006-7 Rating ------ Class CUSIP To From ----- ----- -- ---- AF-4A 362334ND2 CCC B/Watch Neg AF-5A 362334QC1 CCC AAA/Watch Neg M-1 362334NF7 CC CCC GSR Mortgage Loan Trust 2006-OA1 Series 2006-OA1 Rating ------ Class CUSIP To From ----- ----- -- ---- 2-A-1 362631AB9 CCC A-/Watch Neg HarborView Mortgage Loan Trust 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1B 41161PA78 AAA AAA/Watch Neg 2-A1C 41161PB28 AAA AAA/Watch Neg HarborView Mortgage Loan Trust 2006-4 Series 2006-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1B 41161PL35 CC CCC 1-A2B 41161PQ22 CC CCC 2-A1C 41161PL68 CC CCC 3-A1C 41161PP72 CC CCC PO-1 41161PM42 CC CCC PO-3A 41161PM67 CC CCC PO-B 41161PM75 CC CCC Harborview Mortgage Loan Trust 2006-5 Series 2006-5 Rating ------ Class CUSIP To From ----- ----- -- ---- 2-A1A 41161MAC4 CCC B-/Watch Neg X-2 41161MAG5 CCC B-/Watch Neg Harborview Mortgage Loan Trust 2006-CB1 Series 2006-CB1 Rating ------ Class CUSIP To From ----- ----- -- ---- 2-X 41161PE58 CC CCC Impac Secured Assets Corp. Series 2005-2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 45254TSM7 CC CCC A-2C 45254TSR6 CC CCC IndyMac INDX Mortgage Loan Grantor Trust 2006-AR14 1-A1A Series 2006-AR14 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1A 45668GAA0 CC CCC IndyMac INDX Mortgage Loan Grantor Trust 2006-AR14 1-A2A Series 2006-AR14 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A2A 45668GAC6 CC CCC IndyMac INDX Mortgage Loan Grantor Trust 2006-AR14 1-A3A Series 2006-AR14 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A3A 45668GAD4 CC CCC IndyMac INDX Mortgage Loan Trust 2006-AR6 Series 2006-AR6 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1A 456612AA8 CC CCC 2-A-1B 456612AD2 CC CCC JPMorgan Alternative Loan Trust 2006-A4 Series 2006-A4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 46629EAA1 B- AA/Watch Neg A-2 46629EAB9 CCC B-/Watch Neg A-4 46629EAD5 BBB+ AAA/Watch Neg M-1 46629EAK9 CC CCC Lehman Mortgage Trust 2006-3 Series 2006-3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 52520CAD7 CC CCC 1-A10 52520CAN5 CC CCC 1-A12 52520CAQ8 CC CCC 3-A1 52520CAA3 CC CCC AX 52520CAV7 CC CCC Lehman Mortgage Trust 2006-4 Series 2006-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 3-A1 52520RAG7 CC CCC 4-A1 52520RAH5 CC CCC 5-A1 52520RAJ1 CC CCC AX2 52520RAN2 CC CCC AP2 52520RAL6 CC CCC Lehman Mortgage Trust 2006-6 Series 2006-6 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 52520NAA9 CC CCC 1-A2 52520NAB7 CC CCC 1-A3 52520NAC5 CC CCC 1-A4 52520NAD3 CC CCC 1-A5 52520NAE1 CC CCC 2-A1 52520NAF8 CC CCC 2-A2 52520NAG6 CC CCC 2-A3 52520NAH4 CC CCC 2-A4 52520NAJ0 CC CCC 2-A5 52520NAK7 CC CCC 2-A6 52520NAL5 CC CCC 3-A1 52520NAM3 CC CCC 3-A2 52520NAN1 CC CCC 3-A3 52520NAP6 CC CCC 3-A4 52520NAQ4 CC CCC 3-A5 52520NAR2 CC CCC 3-A6 52520NAS0 CC CCC 3-A7 52520NAT8 CC CCC 3-A8 52520NAU5 CC CCC 3-A9 52520NAV3 CC CCC AX1 52520NBU4 CC CCC 5-A1 52520NBP5 CCC A/Watch Neg 5-A2 52520NBQ3 CCC A/Watch Neg 5-A3 52520NBR1 CCC A/Watch Neg 5-A4 52520NBS9 CCC A/Watch Neg AP 52520NBT7 CCC AAA/Watch Neg 2B1 52520NBZ3 CC CCC 2B2 52520NCA7 CC CCC 2B3 52520NCB5 CC CCC 4-A1 52520NAW1 AAA AAA/Watch Neg 4-A2 52520NAX9 AAA AAA/Watch Neg 4-A3 52520NAY7 CCC AA+/Watch Neg 4-A4 52520NAZ4 CCC AA+/Watch Neg 4-A5 52520NBA8 CCC AA+/Watch Neg 4-A6 52520NBB6 BBB AAA/Watch Neg 4-A7 52520NBC4 CCC AA+/Watch Neg 4-A8 52520NBD2 CCC AA+/Watch Neg 4-A9 52520NBE0 BBB AAA/Watch Neg 4-A10 52520NBF7 CCC AAA/Watch Neg 4-A11 52520NBG5 CCC AA+/Watch Neg 4-A12 52520NBH3 BBB AAA/Watch Neg 4-A13 52520NBJ9 CCC AA+/Watch Neg 4-A14 52520NBK6 CCC AA+/Watch Neg 4-A15 52520NBL4 CCC AA+/Watch Neg 4-A16 52520NBM2 CCC AA+/Watch Neg 4-A17 52520NBN0 CCC A/Watch Neg Lehman XS Trust Series 2005-8 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A2 525221DS3 CCC B-/Watch Neg 1-A4 525221DU8 CC CCC 2-A1A 525221EA1 AAA AAA/Watch Neg 2-A1B 525221EB9 CCC B/Watch Neg 2-A2 525221EC7 CCC B/Watch Neg 2-A3 525221ED5 CCC B/Watch Neg 2-A4A 525221EE3 B- AA-/Watch Neg 2-A4B 525221EF0 CCC B/Watch Neg 2-M1 525221EG8 CC CCC 2-M2 525221EH6 CC CCC Lehman XS Trust Series 2005-10 Series 2005-10 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 525221FM4 CC CCC 1-A3 525221FP7 CC CCC 1-A4 525221FQ5 CC CCC 1-A5 525221FR3 CC CCC 2-A1 525221FY8 B- BBB/Watch Neg 2-A2 525221FZ5 CCC B-/Watch Neg 2-A3A 525221GA9 CCC B-/Watch Neg 2-A3B 525221GB7 CCC B-/Watch Neg 2-A4A 525221GC5 CCC BBB/Watch Neg 2-A4B 525221GD3 CCC B-/Watch Neg 2-A5A 525221GE1 CCC BBB/Watch Neg 2-A5B 525221GF8 CCC B-/Watch Neg 2-M1 525221GG6 CC CCC 2-M2 525221GH4 CC CCC Lehman XS Trust Series 2005-9N Series 2005-9N Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A2 525221GN1 CC CCC 1-A3 525221GP6 CC CCC 2-A1 525221GQ4 CC CCC 2-A2 525221GR2 CC CCC Lehman XS Trust, Series 2005-7N Series 2005-7N Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1B 525221EN3 CC CCC 1-A2A 525221EP8 CC CCC 1-A3 525221EQ6 CC CCC 2-A2 525221ES2 CC CCC M3-II 525221FF9 D CC Luminent Mortgage Trust 2006-2 Series 2006-2 Rating ------ Class CUSIP To From ----- ----- -- ---- A1A 550279BA0 B- B/Watch Neg A1C 550279BC6 AAA AAA/Watch Neg X 550279BD4 B- B/Watch Neg PO 550279BE2 CC CCC B-1 550279BG7 CC CCC MASTR Asset Backed Securities Trust 2006-AB1 Series 2006 AB1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 57643LNU6 B- B-/Watch Neg M-3 57643LPA8 CC CCC M-4 57643LPB6 CC CCC MortgageIT Mortgage Loan Trust 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 2-A1A 61915RCJ3 B BBB-/Watch Neg 2-A1B 61915RCK0 CC CCC 2-X 61915RCT1 B BBB-/Watch Neg RALI Grantor Trust 1-A1A, Series 2006-QO8 Series 2006-QO8 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A1A 75115FAA8 CC CCC RALI Series 2006-QO4 Trust Series 2006-QO4 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 75114GAA7 CCC B-/Watch Neg II-A-1 75114GAC3 B- BBB-/Watch Neg II-A-2 75114GAD1 CC CCC Residential Asset Securitization Trust 2005-A14 Series 2005-N Rating ------ Class CUSIP To From ----- ----- -- ---- A-6 45660LT58 AAA AAA/Watch Neg B-1 45660LU23 CC CCC B-2 45660LU31 D CC B-3 45660LU49 D CC B-4 45660LU64 D CC SBI Home Equity Loan Trust 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-1 78402TAA4 AAA AAA/Watch Neg 1A-2A 78402TAK2 AAA AAA/Watch Neg 1A-2B 78402TAL0 AAA AAA/Watch Neg 1M-1 78402TAB2 AA AA/Watch Neg 1M-2 78402TAC0 A A/Watch Neg 1M-3 78402TAD8 BBB BBB/Watch Neg 1M-4 78402TAF3 BB BB/Watch Neg Terwin Mortgage Trust 2006-7 Series 2006-7 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 88156PAA9 CCC A/Watch Neg I-A-2a 88156PAB7 AAA AAA/Watch Neg I-A-2b 88156PAC5 CCC BBB/Watch Neg I-A-2c 88156PAD3 CCC BBB/Watch Neg I-M-1 88156PAE1 CC CCC II-A-1 88156PAX9 AAA AAA/Watch Neg II-A-2 88156PAY7 CCC BB/Watch Neg II-A-3 88156PAZ4 CC CCC Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-6 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- 1-CB-1 93935GAA7 CC CCC 1-CB-2 93935GAB5 CC CCC 2-A-1 93935GAC3 CC CCC 2-A-2 93935GAD1 CC CCC 3-CB-1 93935GAE9 CC CCC 3-CB-2 93935GAF6 CC CCC C-X 93935GAH2 CC CCC 4-B-2 93935GAN9 CC CCC Ratings Affirmed Alternative Loan Trust 2005-65CB Series 2005-65CB Class CUSIP Rating ----- ----- ------ 1-A-3 12668AX59 CCC 1-A-5 12668AX75 CCC 1-A-6 12668AX83 CCC 1-A-8 12668AY25 CCC 1-A-9 12668AY33 CCC 1-A-10 12668AY41 CCC 1-A-11 12668AY58 CCC 1-A-12 12668AY66 CCC 1-A-13 12668AY74 CCC 1-A-14 12668AY82 CCC 2-A-1 12668AY90 CCC 2-A-2 12668AZ24 CCC 2-A-5 12668AZ57 CCC 2-A-6 12668AZ65 CCC 2-A-7 12668AZ73 CCC 2-A-8 12668AZ81 CCC PO 12668A2B0 CCC Alternative Loan Trust 2005-81 Series 2005-81 Class CUSIP Rating ----- ----- ------ A-1 12668BBN2 CCC A-2 12668BBP7 CCC X-1 12668BCB7 CCC American Home Mortgage Assets Trust 2005-1 Series 2005-1 Class CUSIP Rating ----- ----- ------ 2-A-2-1 02660VAC2 CCC Banc of America Funding 2006-A Trust Series 2006-A Class CUSIP Rating ----- ----- ------ 2-A-1 058927AD6 CCC 2-A-2 058927AE4 CCC 4-A-2 058927AK0 CCC 5-A-1 058927AL8 CCC 5-A-2 058927AM6 CCC 6-A-2 058927AP9 CCC Bear Stearns Asset Backed Securities I Trust 2005-AC9 Series 2005-AC9 Class CUSIP Rating ----- ----- ------ M-1 0738794K1 CCC Chevy Chase Funding LLC Series 2005-4 Class CUSIP Rating ----- ----- ------ B-1 16678REV5 CCC B-1NA 16678RIN8 CCC CSAB Mortgage-Backed Trust 2006-1 Series 2006-1 Class CUSIP Rating ----- ----- ------ A-3 22943HAD8 CCC A-4 22943HAE6 CCC A-5 22943HAF3 CCC A-6-A 22943HAG1 CCC A-6-B 22943HAH9 CCC Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB1 Series 2006-AB1 Class CUSIP Rating ----- ----- ------ A-1-A 251510MD2 CCC A-1-B 251510ME0 CCC A-1-C 251510MF7 CCC A-2-B 251510MH3 CCC A-2-C 251510MJ9 CCC A-2-D 251510MK6 CCC A-4 251510MM2 CCC A-X-2 251510MP5 CCC GSAA Home Equity Trust 2006-7 Series 2006-7 Class CUSIP Rating ----- ----- ------ AF-2 362334NB6 CCC AF-3 362334NC4 CCC AF-4B 362334NE0 CCC AF-5B 362334QE7 CCC GSR Mortgage Loan Trust 2006-OA1 Series 2006-OA1 Class CUSIP Rating ----- ----- ------ 1-A-1 362631AA1 CCC 2-A-2 362631AC7 CCC 2-A-3 362631AD5 CCC 3-A-1 362631AE3 CCC 3-A-2 362631AF0 CCC HarborView Mortgage Loan Trust 2006-1 Series 2006-1 Class CUSIP Rating ----- ----- ------ 1-A1A 41161PA60 CCC 2-A1A 41161PA86 CCC 2-A1B 41161PA94 CCC X-1 41161PB36 CCC X-2A1B 41161PB51 CCC PO-1 41161PB93 CCC PO-2A1B 41161PC35 CCC HarborView Mortgage Loan Trust 2006-4 Series 2006-4 Class CUSIP Rating ----- ----- ------ 1-A1A 41161PL27 CCC 1-A2A 41161PP98 CCC 2-A1A 41161PL43 CCC 2-A1B 41161PL50 CCC 3-A1A 41161PL76 CCC 3-A1B 41161PP64 CCC X-1 41161PL84 CCC X-3A 41161PM26 CCC Harborview Mortgage Loan Trust 2006-5 Series 2006-5 Class CUSIP Rating ----- ----- ------ 1-A1A 41161MAA8 CCC 2-A1B 41161MAD2 CCC X-1 41161MAF7 CCC Harborview Mortgage Loan Trust 2006-CB1 Series 2006-CB1 Class CUSIP Rating ----- ----- ------ 2-A1A 41161PF65 CCC 2-A1B 41161PF73 CCC 2-A1C 41161PF81 CCC IndyMac INDX Mortgage Loan Trust 2006-AR6 Series 2006-AR6 Class CUSIP Rating ----- ----- ------ 2-A-1A 456612AC4 CCC JPMorgan Alternative Loan Trust 2006-A4 Series 2006-A4 Class CUSIP Rating ----- ----- ------ A-3 46629EAC7 CCC A-5 46629EAE3 CCC A-6 46629EAF0 CCC A-7 46629EAG8 CCC A-8 46629EAH6 CCC A-9 46629EAJ2 CCC Lehman Mortgage Trust 2006-6 Series 2006-6 Class CUSIP Rating ----- ----- ------ AX2 52520NBV2 CCC Lehman XS Trust Series 2005-8 Class CUSIP Rating ----- ----- ------ 1-A3 525221DT1 CCC Lehman XS Trust Series 2005-9N Series 2005-9N Class CUSIP Rating ----- ----- ------ 1-A-1 525221GM3 CCC Lehman XS Trust, Series 2005-7N Series 2005-7N Class CUSIP Rating ----- ----- ------ 1-A1A 525221EM5 CCC 2-A1 525221ER4 CCC 3-A1 525221ET0 CCC 3-A2 525221EU7 CCC Luminent Mortgage Trust 2006-2 Series 2006-2 Class CUSIP Rating ----- ----- ------ A1B 550279BB8 CCC MASTR Asset Backed Securities Trust 2006-AB1 Series 2006 AB1 Class CUSIP Rating ----- ----- ------ A-3A 57643LNV4 CCC A-3B 57643LNW2 CCC A-4 57643LNX0 CCC M-1 57643LNY8 CCC M-2 57643LNZ5 CCC Residential Asset Securitization Trust 2005-A14 Series 2005-N Class CUSIP Rating ----- ----- ------ A-1 45660LS83 CCC A-2 45660LS91 CCC A-3 45660LT25 CCC A-4 45660LT33 CCC A-5 45660LT41 CCC A-7 45660LT66 CCC PO 45660LT74 CCC A-X 45660LT82 CCC SBI Home Equity Loan Trust 2006-1 Series 2006-1 Class CUSIP Rating ----- ----- ------ 2A 78402TAE6 AAA Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-6 Trust Class CUSIP Rating ----- ----- ------ 4-A 93935GAG4 CCC 4-B-1 93935GAM1 CCC * S&P Downgrades Ratings on 634 Classes From 75 Alt-A RMBS Deals ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 634 classes from 75 U.S. Alternative-A residential mortgage-backed securities transactions issued from 2005-2007 and removed 426 of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 504 classes from these transactions and six additional deals, and removed 124 of the affirmed ratings from CreditWatch with negative implications. Four of the affected Alt-A transactions also contain additional structures. 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, due to 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. Subordination provides credit support for the affected transactions. In addition, some classes also benefit from overcollateralization (prior to its depletion) and excess interest. The underlying pool of loans backing these transactions consists primarily of fixed- and adjustable-rate U.S. Alt-A loans that are secured by first and second liens on one- to four-family residential properties. Rating Actions Adjustable Rate Mortgage Trust 2005-10 Series 2005-10 Rating ------ Class CUSIP To From ----- ----- -- ---- 3-A-1-1 007036TE6 BBB- AAA/Watch Neg 3-A-3-1 007036TH9 BBB- AAA/Watch Neg 4-A-2 007036TL0 CC CCC 5-A-1 007036TM8 CCC AA-/Watch Neg 5-A-2 007036TN6 CCC B/Watch Neg 5-M-1 007036TW6 CC CCC 6-A-1 007036TP1 CCC B/Watch Neg 6-A-2-1 007036TQ9 B- BBB-/Watch Neg 6-A-2-2 007036TR7 CCC B/Watch Neg 6-X 007036TS5 B- BBB-/Watch Neg 6-B-1 007036UB0 CC CCC Adjustable Rate Mortgage Trust 2005-4 Series 2005-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 007036KB1 B+ A/Watch Neg 2-A-1 007036KC9 B+ A+/Watch Neg 3-A-1 007036KD7 BB- A+/Watch Neg 4-A-1 007036KE5 BB- AA-/Watch Neg 5-A-1 007036KF2 B+ A/Watch Neg 6-A-1 007036KG0 B+ A/Watch Neg 6-A-2-1 007036KH8 B+ A/Watch Neg 6-A-2-2 007036KJ4 B+ A/Watch Neg C-B-1 007036KV7 CCC B-/Watch Neg C-B-2 007036KW5 CC CCC 7-A-1-1 007036KK1 AAA AAA/Watch Neg 7-A-1-2 007036KL9 AAA AAA/Watch Neg 7-A-2 007036KM7 AAA AAA/Watch Neg 7-A-3-2 007036KP0 AAA AAA/Watch Neg 7-A-4 007036KQ8 AAA AAA/Watch Neg 7-M-1 007036KR6 CCC A/Watch Neg 7-M-2 007036KS4 CC CCC Adjustable Rate Mortgage Trust 2005-5 Series 2005-5 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 007036LG9 B- AA/Watch Neg 1-A-2 007036LH7 B- BBB/Watch Neg 2-A-1 007036LJ3 BBB- AA/Watch Neg 2-A-2 007036LK0 B- BBB/Watch Neg 3-A-2-1 007036LN4 B BBB/Watch Neg 3-A-2-2 007036LP9 B- BBB/Watch Neg 3-A-3 007036LQ7 B- BBB/Watch Neg 4-A-1 007036LR5 B- BBB/Watch Neg 5-A-1 007036LS3 B- BBB/Watch Neg 5-A-2-1 007036LT1 AA AA/Watch Neg 5-A-2-2 007036LU8 B- BBB/Watch Neg C-B-1 007036MD5 CC CCC 6-A-1-1 007036LV6 AAA AAA/Watch Neg 6-A-1-2 007036LW4 AAA AAA/Watch Neg 6-A-2-1 007036LX2 AAA AAA/Watch Neg 6-A-2-2 007036LY0 AAA AAA/Watch Neg 6-M-1 007036LZ7 CCC BB+/Watch Neg Adjustable Rate Mortgage Trust 2005-6A Series 2005-6A Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 007036PA8 CCC B+/Watch Neg 1-A-2-1 007036PB6 CCC BBB/Watch Neg 1-A-2-2 007036PC4 CCC B+/Watch Neg 1-A-3-1 007036PD2 CCC AA/Watch Neg 1-A-3-2 007036PE0 CCC B+/Watch Neg 1-X 007036PF7 CCC AA/Watch Neg 2-A-1 007036PG5 B A+/Watch Neg 2-X 007036PJ9 B A+/Watch Neg 1-B-1 007036PL4 CC CCC 2-B-2 007036PQ3 D CC Adjustable Rate Mortgage Trust 2005-8 Series 2005-8 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 007036QB5 B+ BBB+/Watch Neg 1-A-2 007036QC3 CCC B-/Watch Neg 2-A-1 007036QD1 CCC B-/Watch Neg 2-A-2-1 007036QE9 CCC B-/Watch Neg 2-A-2-2 007036QF6 CCC B-/Watch Neg 3-A-1 007036QG4 CCC B-/Watch Neg 3-A-2-1 007036QH2 B AA/Watch Neg 3-A-2-2 007036QJ8 CCC B-/Watch Neg 4-A-1-1 007036QK5 AA+ AAA/Watch Neg 4-A-1-2 007036QL3 CCC B-/Watch Neg 4-A-2-1 007036QM1 AAA AAA/Watch Neg 4-A-2-2 007036QN9 CCC B-/Watch Neg 5-A-1 007036QP4 CCC B-/Watch Neg 6-A-1 007036QQ2 CCC B-/Watch Neg C-B-1 007036RB4 CC CCC C-B-2 007036RC2 CC CCC C-B-4 007036RG3 D CC 7-A-1-1 007036QR0 CCC A-/Watch Neg 7-A-1-2 007036QS8 CCC B-/Watch Neg 7-A-2 007036QT6 CCC BBB+/Watch Neg 7-A-3-1 007036QU3 BB- AAA/Watch Neg 7-A-3-2 007036QV1 CCC BBB+/Watch Neg 7-A-4 007036QW9 CCC B-/Watch Neg 7-M-1 007036QX7 CC CCC Adjustable Rate Mortgage Trust 2005-9 Series 2005-9 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-2 007036RS7 AAA AAA/Watch Neg 1-A-3 007036RT5 AAA AAA/Watch Neg 1-A-4 007036RU2 BB- BB-/Watch Neg 1-A-X 007036RV0 BB- AAA/Watch Neg 1-A-5 007036RW8 CCC BB-/Watch Neg 2-A-1 007036RX6 AAA AAA/Watch Neg 2-A-2 007036RY4 CCC BB-/Watch Neg 3-A-1 007036RZ1 CCC BB-/Watch Neg 3-A-2 007036SA5 CCC BB-/Watch Neg 3-A-X 007036SB3 CCC BB-/Watch Neg 4-A-1 007036SC1 CCC BB-/Watch Neg 4-A-2 007036SD9 CCC BB-/Watch Neg C-B-1 007036SP2 D CCC 5-A-1 007036SE7 BB- AAA/Watch Neg 5-A-2-2 007036SG2 BB- AAA/Watch Neg 5-A-3 007036SH0 CCC BBB+/Watch Neg Alternative Loan Trust 2005-34CB Series 2005-34CB Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12667GW41 CCC AAA/Watch Neg 1-A-2 12667GW58 AAA AAA/Watch Neg 1-A-3 12667GW66 BB+ AAA/Watch Neg 1-A-4 12667GW74 AAA AAA/Watch Neg 1-A-5 12667GW82 CCC AAA/Watch Neg 1-A-6 12667GW90 B- AAA/Watch Neg 1-A-7 12667GX24 CCC AAA/Watch Neg 1-A-8 12667GX32 CCC AAA/Watch Neg 1-A-9 12667GX40 CCC AAA/Watch Neg 1-A-10 12667GX57 CCC AAA/Watch Neg 1-A-11 12667GX65 AAA AAA/Watch Neg 1-A-12 12667GX73 CCC AAA/Watch Neg 1-A-13 12667GX81 CCC AAA/Watch Neg PO 12667GX99 CCC AAA/Watch Neg M 12667GY31 CC AA/Watch Neg B-1 12667GY49 CC A/Watch Neg B-2 12667GY56 CC BBB/Watch Neg Alternative Loan Trust 2005-43 Series 2005-43 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12667G5S8 B- A-/Watch Neg 1-A-2 12667G5T6 CC CCC 1-A-3 12667G5U3 CC CCC 2-A-1 12667G5V1 AAA AAA/Watch Neg 2-A-2 12667G5W9 CC CCC 3-A-1 12667G5X7 CC CCC 4-A-1 12667G5Z2 CCC BB-/Watch Neg 4-A-2 12667G6A6 CC CCC 4-A-3 12667G5Y5 CC CCC 5-A-2 12668AAY1 CC CCC Alternative Loan Trust 2005-52CB Series 2005-52CB Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12668AFW0 A+ AAA/Watch Neg 1-A-2 12668AFX8 A+ AAA/Watch Neg 1-A-4 12668AFY6 A+ AAA/Watch Neg Alternative Loan Trust 2005-J1 Series 2005-J1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12667FS97 AA AAA/Watch Neg 1-A-2 12667FT21 AAA AAA/Watch Neg 1-A-3 12667FT39 AA AAA/Watch Neg 1-A-4 12667FT47 AAA AAA/Watch Neg 1-A-5 12667FT54 AA AAA/Watch Neg 1-A-6 12667FT62 AA AAA/Watch Neg 1-A-7 12667F3T0 B AAA/Watch Neg 1-A-8 12667F3U7 B AAA/Watch Neg 2-A-1 12667FT88 AA AAA/Watch Neg 3-A-1 12667FU29 AA AAA/Watch Neg 4-A-1 12667FU45 AA AAA/Watch Neg 5-A-1 12667FU60 AA AAA/Watch Neg 5-A-2 12667F3V5 AA AAA/Watch Neg 5-A-3 12667F3W3 B AAA/Watch Neg 5-A-4 12667F3X1 B AAA/Watch Neg 6-A-1 12667FU86 AA AAA/Watch Neg 7-A-1 12667F3Y9 AA AAA/Watch Neg X-A 12667FT70 AAA AAA/Watch Neg X-B 12667FT96 AAA AAA/Watch Neg X-C 12667FU37 AAA AAA/Watch Neg X-D 12667FU52 AAA AAA/Watch Neg X-E 12667FU78 AA AAA/Watch Neg X-F 12667FU94 AA AAA/Watch Neg PO-A 12667FV28 B AAA/Watch Neg PO-B 12667F3Z6 AA AAA/Watch Neg PO-C 12667F4A0 AA AAA/Watch Neg PO-D 12667F4B8 AA AAA/Watch Neg M 12667FV44 CC B-/Watch Neg B-1 12667FV51 CC CCC Alternative Loan Trust 2005-J2 Series 2005-J2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12667F5W1 AA AAA/Watch Neg 1-A-2 12667F5X9 AA AAA/Watch Neg 1-A-3 12667F5Y7 B AA/Watch Neg 1-A-4 12667F5Z4 AAA AAA/Watch Neg 1-A-5 12667F6A8 B AA/Watch Neg 1-A-6 12667F6B6 B AA/Watch Neg 1-A-7 12667F6C4 AA AAA/Watch Neg 1-A-8 12667F6D2 B AA/Watch Neg 1-A-9 12667F6E0 B AA/Watch Neg 1-A-10 12667F6F7 B AA/Watch Neg 1-A-11 12667F6G5 BB+ AA/Watch Neg 1-A-12 12667F6H3 B AA/Watch Neg 1-A-13 12667F6J9 B AA/Watch Neg 1-X 12667F6K6 AAA AAA/Watch Neg PO-A 12667F6L4 B AA-/Watch Neg 2-A-1 12667F6M2 CCC AA-/Watch Neg 2-X 12667F6N0 CCC AA-/Watch Neg PO-B 12667F6P5 CCC AA-/Watch Neg M 12667F6R1 CC CCC B-1 12667F6S9 CC CCC Alternative Loan Trust 2005-J5 Series 2005-J5 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12667GHA4 B AA/Watch Neg 1-A-2 12667GHB2 B AA/Watch Neg 1-A-3 12667GHC0 B AAA/Watch Neg 1-A-6 12667GHF3 B AA/Watch Neg 1-A-7 12667GHG1 B AA/Watch Neg 1-A-8 12667GHH9 B AA/Watch Neg 1-X 12667GHJ5 B AAA/Watch Neg 2-A-1 12667GHK2 B+ AA/Watch Neg 2-X 12667GHL0 B+ AA/Watch Neg PO-A 12667GHM8 B AA/Watch Neg PO-B 12667GHN6 D AA/Watch Neg M-A 12667GHQ9 CCC BBB-/Watch Neg B-1 12667GHS5 CC CCC 1-A-4 12667GHD8 B AAA/Watch Neg 1-A-5 12667GHE6 B AA/Watch Neg Alternative Loan Trust 2007-21CB Series 2007-21CB Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 02151FAA7 B- BBB+/Watch Neg 1-A-2 02151FAB5 B- BBB+/Watch Neg 1-A-3 02151FAC3 B- BBB+/Watch Neg 1-A-4 02151FAD1 CCC BBB+/Watch Neg 1-A-6 02151FAF6 CCC BBB+/Watch Neg 1-X 02151FAN9 CCC BBB+/Watch Neg Alternative Loan Trust 2007-OA6 Series 2007-OA6 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1A 02150PAA6 CCC BBB/Watch Neg A-1B 02150PAB4 CCC BBB/Watch Neg A-2 02150PAC2 CCC B-/Watch Neg M-1 02150PAF5 CC CCC M-2 02150PAG3 CC CCC M-3 02150PAH1 CC CCC Alternative Loan Trust 2007-OH1 Series 2007-OH1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1-A 02150KAA7 AAA AAA/Watch Neg A-1-B 02150KAX7 B+ A/Watch Neg A-1-C 02150KAY5 B+ A/Watch Neg A-1-D 02150KAZ2 B+ A/Watch Neg A-2-A 02150KAB5 B B/Watch Neg A-3 02150KAC3 CC CCC American Home Mortgage Assets Trust 2007-3 Series 2007-3 Rating ------ Class CUSIP To From ----- ----- -- ---- I-1A-1 026935AA4 CC CCC American Home Mortgage Assets Trust 2007-4 Series 2007-4 Rating ------ Class CUSIP To From ----- ----- -- ---- A1 026934AA7 A+ AAA/Watch Neg A2 026934AB5 CCC BB+/Watch Neg A3 026934AC3 AAA AAA/Watch Neg A4 026934AD1 CCC BB+/Watch Neg A5 026934AE9 AAA AAA/Watch Neg American Home Mortgage Investment Trust 2006-3 Series 2006-3 Rating ------ Class CUSIP To From ----- ----- -- ---- I-1A-1 026929AA7 BBB AAA/Watch Neg I-1A-2 026929AB5 CCC B+/Watch Neg I-1A-3 026929AC3 CC B/Watch Neg I-2A-1 026929AD1 AAA AAA/Watch Neg I-2A-2 026929AE9 CCC B+/Watch Neg I-2A-3 026929AF6 CC B/Watch Neg II-1A-1 026929AG4 CC B/Watch Neg II-1A-2 026929AH2 D B/Watch Neg II-2A-1 026929AJ8 D B/Watch Neg III-A-1 026929AL3 CC B/Watch Neg III-A-2 026929AM1 CC B/Watch Neg III-A-3 026929BJ7 CC B/Watch Neg American Home Mortgage Investment Trust 2007-A Series 2007-A Rating ------ Class CUSIP To From ----- ----- -- ---- I-1A 026931AA3 CC B/Watch Neg I-2A 026931AB1 CC B/Watch Neg I-3A-1 026931AC9 CCC AAA/Watch Neg I-3A-2 026931AD7 CC B/Watch Neg Banc of America Funding 2005-F Trust Series 2005-F Rating ------ Class CUSIP To From ----- ----- -- ---- 2-A-2 05946XYW7 CC CCC 4-A-1 05946XYZ0 CCC B- 4-A-2 05946XZA4 CC CCC 1-A-1 05946XYP2 CCC B- 1-X 05946XYT4 CCC B- Banc of America Funding 2007-4 Trust Series 2007-4 Rating ------ Class CUSIP To From ----- ----- -- ---- T-A-1A 05953YAG6 CC B/Watch Neg T-A-1B 05953YAH4 CC B/Watch Neg T-A-2 05953YAJ0 CC CCC T-A-3 05953YAA9 CC CCC T-A-4 05953YAB7 CC CCC T-A-5 05953YAK7 CCC B+/Watch Neg T-A-6 05953YAC5 CC CCC T-A-7 05953YCQ2 CCC B/Watch Neg 1-A-1 05953YAT8 CCC AAA/Watch Neg 1-A-2 05953YAU5 CCC BB/Watch Neg 1-PO 05953YAV3 CCC BB/Watch Neg 2-A-1 05953YAW1 CCC BB/Watch Neg 2-A-2 05953YAX9 CCC BB/Watch Neg 2-A-3 05953YAY7 B AAA/Watch Neg 2-A-4 05953YAZ4 B BBB/Watch Neg 2-A-5 05953YBA8 CCC BB/Watch Neg 2-A-6 05953YBB6 CCC BB/Watch Neg 2-A-7 05953YBC4 CCC BB/Watch Neg 2-A-8 05953YBD2 CCC BB/Watch Neg 2-A-9 05953YBE0 CCC BB/Watch Neg 2-A-10 05953YBF7 CCC AAA/Watch Neg 2-A-11 05953YBG5 CCC BB/Watch Neg 2-A-13 05953YBJ9 CCC BB/Watch Neg 2-A-14 05953YBK6 CCC BB/Watch Neg 2-A-15 05953YBL4 CCC BB/Watch Neg 3-A-1 05953YBM2 CCC AAA/Watch Neg 3-A-2 05953YBN0 CCC BBB/Watch Neg 3-A-3 05953YBP5 CCC BBB/Watch Neg 3-IO 05953YBQ3 CCC AAA/Watch Neg N-M 05953YCB5 CC CCC N-B-1 05953YCC3 CC CCC 4-A-1 05953YBR1 CCC AAA/Watch Neg 4-A-2 05953YBS9 CCC AAA/Watch Neg 5-A-1 05953YBT7 CCC AAA/Watch Neg 5-A-2 05953YBU4 CCC AAA/Watch Neg 5-A-3 05953YBV2 CCC AAA/Watch Neg 6-A-1 05953YBW0 CCC AAA/Watch Neg 7-A-1 05953YBX8 CCC AAA/Watch Neg 8-A-1 05953YBY6 CCC AAA/Watch Neg S-IO 05953YBZ3 CCC AAA/Watch Neg S-B-1 05953YCF6 CCC BB/Watch Neg S-B-2 05953YCG4 CC CCC S-B-3 05953YCH2 CC CCC T-AP-1 05953YAD3 CCC BB/Watch Neg T-AP-2 05953YAL5 CC CCC T-M-1 05953YAE1 CC CCC Banc of America Funding 2007-E Trust Series 2007-E Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-2 05954DAB2 CC CCC 2-A-2 05954DAD8 CC CCC 3-A-2 05954DAF3 CC CCC 4-A-1 05954DAG1 CC CCC 4-A-2 05954DAH9 CC CCC 5-A-2 05954DAK2 CC CCC 6-A-2 05954DAM8 CC CCC C-A-7 05954DCF1 CC CCC C-A-8 05954DCG9 CC CCC C-A-9 05954DCH7 CC CCC 7-A-2 05954DAQ9 CC CCC 8-A-1 05954DAR7 CC CCC 8-A-2 05954DAS5 CC CCC 8-A-3 05954DAT3 CC CCC 8-A-4 05954DAU0 CC CCC 8-A-5 05954DAV8 CC CCC 8-A-6 05954DCE4 CC CCC 9-A-1 05954DAW6 CCC BBB/Watch Neg 9-A-2 05954DAX4 CC CCC 9-A-3 05954DAY2 CC CCC 9-A-4 05954DAZ9 CC CCC 10-A-1 05954DBA3 CCC AAA/Watch Neg 10-A-2 05954DBB1 CC CCC 10-A-3 05954DBC9 CC CCC 10-A-4 05954DBD7 CC CCC 11-A-1 05954DBE5 CCC AAA/Watch Neg 11-A-2 05954DBF2 CC CCC 11-A-3 05954DBG0 CC CCC 11-A-4 05954DBH8 CC CCC 12-A-1 05954DBJ4 CCC AAA/Watch Neg 12-A-2 05954DBK1 CC CCC C-A-2 05954DBM7 CCC AAA/Watch Neg C-A-3 05954DBN5 CC CCC C-A-4 05954DBP0 CC CCC C-A-5 05954DBQ8 CC CCC C-A-6 05954DBR6 CC CCC X-B-1 05954DBV7 CC CCC Bear Stearns ALT-A Trust 2007-3 Series 2007-3 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 07387RAA6 CC CCC II-A-1 07387RAH1 AAA AAA/Watch Neg Bear Stearns ARM Trust 2007-4 Series 2007-4 Rating ------ Class CUSIP To From ----- ----- -- ---- I-1A-1 07401CAA1 CC CCC I-1X-1 07401CAC7 CC CCC I-2A-1 07401CAD5 CC CCC I-2X-1 07401CAF0 CC CCC II-1A-2 07401CAT0 CC CCC II-2A-2 07401CAW3 CC CCC Bear Stearns Asset Backed Securities I Trust 2005-AC3 Series 2005-AC3 Rating ------ Class CUSIP To From ----- ----- -- ---- II-A-1 073879WQ7 B- BBB-/Watch Neg II-A-2 073879WR5 B- BBB-/Watch Neg II-A-3 073879WS3 B- BBB-/Watch Neg II-A-4 073879WT1 B- BBB-/Watch Neg II-X 073879WU8 B- BBB-/Watch Neg II-PO 073879WV6 B- BBB-/Watch Neg II-B-1 073879WW4 CC CCC I-A-1 073879XD5 AAA AAA/Watch Neg I-A-2 073879XE3 AAA AAA/Watch Neg I-M-1 073879XF0 BBB AA+/Watch Neg I-M-2 073879XG8 CCC AA/Watch Neg I-M-3 073879XH6 CCC A+/Watch Neg I-B-1 073879XJ2 CCC BB/Watch Neg I-B-2 073879XK9 CC B-/Watch Neg I-B-3 073879XL7 CC CCC Bear Stearns Asset Backed Securities I Trust 2005-AC7 Series 2005-AC7 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 073879T24 AAA AAA/Watch Neg A-2 073879T32 AAA AAA/Watch Neg A-3 073879T40 AAA AAA/Watch Neg A-4 073879T57 AAA AAA/Watch Neg M-1 073879T65 B+ AA/Watch Neg M-2 073879T73 CCC BBB+/Watch Neg M-3 073879T81 CCC BB-/Watch Neg B-1 073879T99 CCC B-/Watch Neg B-2 073879U22 CC CCC B-3 073879U30 CC CCC Bear Stearns Mortgage Funding Trust 2007-AR1 Series 2007-AR1 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 07401MAA9 CCC BBB/Watch Neg I-A-2 07401MAB7 CC CCC I-A-3 07401MAC5 CC CCC I-X 07401MAD3 CCC BBB/Watch Neg II-A-1 07401MAE1 AAA AAA/Watch Neg II-A-2 07401MAF8 CCC B-/Watch Neg II-A-4 07401MAH4 CC CCC Chevy Chase Funding LLC Series 2005-A Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 16678RDE4 CC CCC B-2NA 16678RAI7 CC CCC Chevy Chase Funding LLC Series 2005-3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 16678RDT1 AA AA/Watch Neg A-2 16678RDU8 AA AA/Watch Neg A-NA 16678RFI2 AA AA/Watch Neg IO 16678RGO8 AA AA/Watch Neg NIO 16678RHI0 AA AA/Watch Neg B-2 16678RDW4 CC CCC B-2NA 16678RGI1 CC CCC Citigroup Mortgage Loan Trust 2007-6 Series 2007-6 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1A 17312VAA6 CC CCC 1-1IO 17312VAC2 CC CCC 1-A2A 17312VAD0 CC CCC 1-A3A 17312VAE8 CC CCC 1-23IO 17312VAG3 CC CCC 1-A4A 17312VAH1 CC CCC 1-4IO 17312VAK4 CC CCC 2-A2 17312VAT5 D CC 2-A5 17312VAW8 D CC 2-XS 17312VBH0 D CC 2-PO 17312VAY4 D CC Citigroup Mortgage Loan Trust Inc. Series 2005-1 Rating ------ Class CUSIP To From ----- ----- -- ---- III-A1 17307GQA9 AAA AAA/Watch Neg III-A2 17307GQB7 AAA AAA/Watch Neg III-PO 17307GQC5 AAA AAA/Watch Neg III-XS 17307GQD3 AAA AAA/Watch Neg III-B1 17307GQE1 BB AA/Watch Neg Citigroup Mortgage Loan Trust Inc. Series 2005-5 Rating ------ Class CUSIP To From ----- ----- -- ---- II-1-1A1 17307GYD4 CCC B/Watch Neg II-1-1A2 17307GYE2 CCC B/Watch Neg II-1-1A3 17307GYF9 CCC B-/Watch Neg II-1-1A4 17307GYG7 CCC B-/Watch Neg II-1-1A5 17307GYH5 CCC B-/Watch Neg II-1-1A6 17307GYJ1 CCC B-/Watch Neg II-1-2A1 17307GYK8 CCC B/Watch Neg II-1-2A2 17307GYL6 CCC B/Watch Neg II-1-2A3 17307GYM4 CCC B-/Watch Neg II-1-2A4 17307GYN2 CCC B-/Watch Neg II-1-2A5 17307GYP7 CCC B-/Watch Neg II-1-2A6 17307GYQ5 CCC B-/Watch Neg II-1-2A7 17307GYR3 CCC B-/Watch Neg II-A3 17307GYT9 CCC B+/Watch Neg II-PO1 17307GYX0 CCC B-/Watch Neg II-PO3 17307GYZ5 CCC B+/Watch Neg II-XS1 17307GYU6 CCC B/Watch Neg II-XS3 17307GYW2 CCC B+/Watch Neg III-A3A 17307GZJ0 CCC AA+/Watch Neg III-A4A 17307GZK7 B- AAA/Watch Neg II-B1 17307GZA9 CC CCC Citigroup Mortgage Loan Trust Inc. Series 2005-WF2 Rating ------ Class CUSIP To From ----- ----- -- ---- AF-4 17307GVJ4 BBB AAA/Watch Neg AF-5 17307GVK1 BBB AAA/Watch Neg AF-6A 17307GVL9 BBB AAA/Watch Neg AF-6B 17307GVM7 AAA AAA/Watch Neg AF-7 17307GVN5 BBB AAA/Watch Neg MF-1 17307GVP0 CCC B+/Watch Neg MF-2 17307GVQ8 CC CCC AV-2 17307GVU9 AAA AAA/Watch Neg AV-3 17307GVV7 AAA AAA/Watch Neg MV-1 17307GVW5 AA AA/Watch Neg MV-2 17307GVX3 A AA/Watch Neg MV-3 17307GVY1 B- BBB-/Watch Neg MV-4 17307GVZ8 CCC B-/Watch Neg MV-5 17307GWA2 CC CCC CSAB Mortgage-Backed Trust 2007-1 Series 2007-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-4 12629EAF2 AAA AAA/Watch Neg 1-A-5 12629EAG0 AAA AAA/Watch Neg CSFB Mortgage-Backed Trust Series 2005-9 Series 2005-9 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 2254585N4 BBB A/Watch Neg I-A-2 2254585P9 BBB- A/Watch Neg I-A-3 2254585Q7 BBB- AAA/Watch Neg I-A-4 225470AA1 BBB- A/Watch Neg I-A-5 225470AH6 BBB- A/Watch Neg I-A-6 225470AJ2 BBB- A/Watch Neg II-A-1 2254585R5 BB+ A/Watch Neg II-A-2 2254585S3 BB+ A/Watch Neg A-X 2254586H6 BBB AAA/Watch Neg III-A-1 2254585T1 CC CCC III-A-3 225470AC7 CC CCC IV-A-1 2254585U8 CCC BBB/Watch Neg IV-A-2 2254585V6 CCC BBB/Watch Neg IV-A-3 2254585W4 CC CCC IV-A-4 2254585X2 CCC BBB/Watch Neg IV-X 225470AG8 CCC BBB/Watch Neg A-P 2254586K9 CC A/Watch Neg V-A-1 2254585Y0 CC CCC V-A-2 2254585Z7 CC CCC V-A-3 2254586A1 CC CCC V-A-6 2254586D5 CC CCC V-A-8 2254586F0 CC CCC V-A-10 225470AD5 CC CCC V-A-12 225470AF0 CC CCC CSMC Mortgage-Backed Trust 2007-1 Series 2007-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1D 126378AD0 CC CCC 1-A-6B 126378AM0 CC CCC 3-A-1 126378AW8 CC CCC 1-A-5B 126378AK4 CC CCC CWABS Asset Backed Certificates Trust 2005-IM1 Series 2005-IM1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 1266733W0 AAA AAA/Watch Neg A-2M 1266733X8 B+ AAA/Watch Neg A-3 1266733Y6 A- AAA/Watch Neg A-3M 1266733Z3 B+ AAA/Watch Neg A-4 1266734Q2 A- AAA/Watch Neg A-4M 1266734R0 B+ AAA/Watch Neg M-1 1266734B5 CCC B-/Watch Neg M-2 1266734C3 CC CCC M-3 1266734D1 CC CCC Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-AR3 Series 2007-AR3 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 25150VAA4 BB+ BB+/Watch Neg I-A-2 25150VAB2 BB+ BB+/Watch Neg I-A-3 25150VAC0 BB+ BB+/Watch Neg I-A-4 25150VAD8 BB+ BB+/Watch Neg II-A-1 25150VAH9 B+ AA+/Watch Neg II-A-2A 25150VAZ9 CCC B-/Watch Neg II-A-2B 25150VBA3 CCC B-/Watch Neg II-A-5 25150VAM8 CCC B-/Watch Neg II-A-7 25150VAP1 CC CCC Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-AR2 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 251510GL1 CCC AAA/Watch Neg I-A-2 251510GM9 CCC AAA/Watch Neg I-A-IO 251510GN7 CCC AAA/Watch Neg VI-A-1 251510GX5 AAA AAA/Watch Neg VII-A-1 251510GZ0 B- BB+/Watch Neg DSLA Mortgage Loan Trust 2005-AR3 Series 2005-AR3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A 23332UDT8 BB- BB-/Watch Neg 2-A1A 23332UDU5 AA+ AA+/Watch Neg 2-A1B 23332UDV3 BB- BB-/Watch Neg X-2 23332UEG5 AA+ AA+/Watch Neg DSLA Mortgage Loan Trust 2005-AR5 Series 2005-AR5 Rating ------ Class CUSIP To From ----- ----- -- ---- PO 23332UFS8 CC CCC DSLA Mortgage Loan Trust 2005-AR6 Series 2005-AR6 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-1A 23332UFU3 CC CCC 1A-1B 23332UGJ7 AAA AAA/Watch Neg 2A-1A 23332UFV1 B- B-/Watch Neg 2A-1B 23332UFW9 CC CCC 2A-1C 23332UFX7 CC CCC Fannie Mae Grantor Trust 2005-T1 Series 2005-T1 Rating ------ Class CUSIP To From ----- ----- -- ---- A1 31394C7D8 AAA AAA/Watch Neg A2 31394C7E6 AAA AAA/Watch Neg A3 31394C7F3 AAA AAA/Watch Neg A4 31394C7G1 AAA AAA/Watch Neg First Horizon Alternative Mortgage Securities Trust 2005-FA8 Series 2005-FA8 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 32051GYF6 B- BB-/Watch Neg I-A-4 32051GYJ8 A- AA/Watch Neg I-A-14 32051GYU3 A- AA/Watch Neg I-A-22 32051GZN8 CC CCC II-A-1 32051GZD0 CCC AA-/Watch Neg II-A-PO 32051GZE8 CCC AA-/Watch Neg B-1 32051GZF5 CC CCC First Horizon Alternative Mortgage Securities Trust 2007-AA3 Series 2007-AA3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 32053MAB6 CC CCC GMACM Mortgage Loan Trust 2005-AF1 Series 2005-AF1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 36185MAJ1 AA AAA/Watch Neg A-3 36185MAK8 AA AAA/Watch Neg A-4 36185MAL6 AAA AAA/Watch Neg A-5 36185MAM4 AAA AAA/Watch Neg A-6 36185MAN2 A AAA/Watch Neg A-7 36185MAP7 A AAA/Watch Neg A-8 36185MAQ5 AA AAA/Watch Neg A-11 36185MAX0 BBB AAA/Watch Neg A-12 36185MAY8 AAA AAA/Watch Neg PO 36185MBC5 BBB AAA/Watch Neg IO 36185MBD3 AAA AAA/Watch Neg GSAA Home Equity Trust 2005-11 Series 2005-11 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 362341NV7 A+ AA+/Watch Neg 1-A-2 362341NW5 BBB+ A/Watch Neg 2-A-1 362341NX3 AA- AA+/Watch Neg 2-A-2 362341NY1 BBB- A/Watch Neg 3-A-1 362341QF9 AA- AA+/Watch Neg 3-A-2 362341QG7 BBB- A/Watch Neg 3-A-3 362341QH5 AAA AAA/Watch Neg 3-A-4 362341QJ1 BBB- A/Watch Neg 3-A-5 362341QK8 BBB- A/Watch Neg M-3 362341PD5 CC CCC Harborview Mortgage Loan Trust 2005-10 Series 2005-10 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1A 41161PTL7 B- B-/Watch Neg 2-A1A 41161PTN3 B B/Watch Neg 2-A1B 41161PTP8 B- B-/Watch Neg X 41161PTS2 B B/Watch Neg B-1 41161PTV5 CC CCC B-2 41161PTW3 CC CCC B-3 41161PTX1 CC CCC B-7 41161PUB7 D CC HarborView Mortgage Loan Trust 2005-11 Series 2005-11 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 41161PUS0 CC CCC HarborView Mortgage Loan Trust 2005-12 Series 2005-12 Rating ------ Class CUSIP To From ----- ----- -- ---- 2-A1A1 41161PVJ9 BB- BB-/Watch Neg 2-A1B 41161PVL4 CC CCC X-1 41161PVN0 CCC BB-/Watch Neg X-2A 41161PVS9 BB- BB-/Watch Neg X-2B 41161PVT7 BB- BB-/Watch Neg X-B 41161PVU4 CC CCC PO-2A 41161PVV2 CC CCC PO-2B 41161PVW0 CC CCC PO-B 41161PVX8 CC CCC B-1 41161PUZ4 CC CCC B-2 41161PVA8 CC CCC 2-A1A2 41161PVK6 BB- BB-/Watch Neg HarborView Mortgage Loan Trust 2005-13 Series 2005-13 Rating ------ Class CUSIP To From ----- ----- -- ---- X 41161PWF6 B- B HarborView Mortgage Loan Trust 2005-8 Series 2005-8 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1A 41161PQS5 B B+/Watch Neg 1-A2A 41161PQU0 BBB+ BBB+/Watch Neg 1-A2B 41161PQV8 B- B-/Watch Neg 1-X 41161PQX4 BBB+ BBB+/Watch Neg 2-A2A 41161PRQ8 B+ B+/Watch Neg 2-XA2 41161PRV7 B+ B+/Watch Neg 2-XB 41161PRW5 CC CCC 1-B1 41161PRA3 CC CCC 1-B2 41161PRB1 CC CCC 2-B1 41161PSB0 CC CCC 1-B7 41161PRG0 D CC HarborView Mortgage Loan Trust 2005-9 Series 2005-9 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A 41161PSJ3 AAA AAA/Watch Neg 2-A-1A 41161PSK0 AAA AAA/Watch Neg 2-A-1B 41161PSL8 AAA AAA/Watch Neg 2-A-1C 41161PSM6 AAA AAA/Watch Neg 1-X 41161PSN4 AAA AAA/Watch Neg 2-X 41161PSP9 AAA AAA/Watch Neg 3-X 41161PSQ7 AA+ AAA/Watch Neg 1-PO 41161PSR5 AAA AAA/Watch Neg 2-PO 41161PSS3 AAA AAA/Watch Neg 3-PO 41161PST1 AA+ AAA/Watch Neg B-1 41161PSV6 AA+ AA+/Watch Neg B-2 41161PSW4 AA+ AA+/Watch Neg B-3 41161PSX2 AA AA/Watch Neg B-4 41161PSY0 AA AA/Watch Neg B-5 41161PSZ7 AA AA/Watch Neg B-6 41161PTA1 BBB AA-/Watch Neg B-7 41161PTB9 BB A+/Watch Neg B-8 41161PTC7 CCC A/Watch Neg B-9 41161PTD5 CCC A-/Watch Neg B-10 41161PTE3 CCC B-/Watch Neg B-11 41161PTF0 CC CCC Impac CMB Trust Series 2005-7 Series 2005-7 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 45254NQX8 CC CCC A-2 45254NQY6 CC CCC IndyMac INDX Mortgage Loan Grantor Trust 2006-AR14 1-A4A Series 2006-AR14 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A4A 45668GAF9 CC CCC IndyMac INDX Mortgage Loan Trust 2005-AR15 Series 2005-AR15 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 45660LVL0 B AA+/Watch Neg A-2 45660LVM8 B AA+/Watch Neg A-3 45660LVN6 B AA+/Watch Neg A-4 45660LVP1 CCC BB-/Watch Neg B-1 45660LVS5 CC CCC IndyMac INDX Mortgage Loan Trust 2005-AR18 Series 2005-AR18 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 45660LVZ9 BB+ BBB+/Watch Neg 1-A-3A 45660LWB1 CC CCC 1-A-3B 45660LWC9 CC CCC 2-A-1A 45660LWD7 B- BB+/Watch Neg 2-A-1B 45660LWE5 B- BB+/Watch Neg 2-A-3A 45660LWG0 CC CCC 2-A-3B 45660LWH8 CC CCC 1-X 45660LWS4 BB+ BBB+/Watch Neg 2-X 45660LWT2 B- BB+/Watch Neg B-X 45660LWU9 CC CCC B-1 45660LWJ4 CC CCC JPMorgan Alternative Loan Trust 2007-A2 Series 2007-A2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-1-A2 466278AB4 D CC 1-2-A2 466278AD0 A+ AAA/Watch Neg 1-2-A3 466278AE8 CCC B/Watch Neg 1-2-A6 466278CP1 A+ AAA/Watch Neg JPMorgan Alternative Loan Trust 2007-S1 Series 2007-S1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 466275AA2 B- AA-/Watch Neg A-2 466275AB0 CCC BB-/Watch Neg M-1 466275AC8 CCC B-/Watch Neg M-2 466275AD6 CCC B-/Watch Neg M-5 466275AG9 CC CCC M-6 466275AH7 CC CCC B-1 466275AJ3 CC CCC JPMorgan Mortgage Trust 2005-ALT1 Series 2005-ALT1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 466247XE8 CCC A+/Watch Neg 1-A-2 466247XF5 CCC BB/Watch Neg 1-A-X 466247YD9 CCC A+/Watch Neg 2-A-1 466247XG3 CCC AAA/Watch Neg 2-A-2 466247XH1 CCC AAA/Watch Neg 2-A-3 466247XZ1 CCC BB/Watch Neg 3-A-1 466247XK4 CCC AAA/Watch Neg 3-A-2 466247XL2 CCC BB/Watch Neg 3-A-IO 466247YF4 CCC AAA/Watch Neg 4-A-1 466247XN8 CCC AAA/Watch Neg 4-A-2 466247YA5 CCC AAA/Watch Neg 4-A-3 466247YB3 CCC BB/Watch Neg 4-A-IO 466247YG2 CCC AAA/Watch Neg B-1 466247XP3 CC CCC Lehman XS Trust Series 2005-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A2 525221BZ9 AAA AAA/Watch Neg 1-A3 525221CA3 BB+ AA/Watch Neg 1-A4 525221CB1 B BBB/Watch Neg 2-A1A 525221CG0 AAA AAA/Watch Neg 2-A1B 525221CH8 AAA AAA/Watch Neg 2-A5A 525221CN5 B BBB+/Watch Neg Lehman XS Trust 2007-8H Series 2007-8H Rating ------ Class CUSIP To From ----- ----- -- ---- A3 52524TAC8 CC CCC AIO 52524TAF1 CC CCC Lehman XS Trust Series 2007-16N Series 2007-16N Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 52525BAA0 B- BBB-/Watch Neg 1-A2 52525BAB8 AAA AAA/Watch Neg M2-I 52525BAK8 CC CCC M3-I 52525BAL6 CC CCC M4-I 52525BAM4 CC CCC M5-I 52525BAN2 CC CCC 2-A1 52525BAC6 B- BB-/Watch Neg 2-A2 52525BAD4 B- BB-/Watch Neg 3-A1 52525BAF9 B- B+/Watch Neg M2-II 52525BAU6 CC CCC M3-II 52525BAV4 CC CCC M4-II 52525BAW2 CC CCC M5-II 52525BAX0 CC CCC Lehman XS Trust, Series 2007-15N Series 2007-15N Rating ------ Class CUSIP To From ----- ----- -- ---- M8-I 52524VBU2 D CC Morgan Stanley Mortgage Loan Trust 2007-10XS Series 2007-10XS Rating ------ Class CUSIP To From ----- ----- -- ---- A-1-W 61751MAB0 BB+ BB+/Watch Neg A-3-W 61751MAD6 BB+ BB+/Watch Neg A-18 61751MAU8 CCC B+/Watch Neg M-1 61751MBA1 CC CCC M-4 61751MBD5 D CC Morgan Stanley Mortgage Loan Trust 2007-15AR Series 2007-15AR Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-2 61756XAB1 CC CCC 2-A-3 61756XAJ4 CC CCC 2-A-4 61756XAK1 CC CCC 2-A-5 61756XAL9 CC CCC 2-A-6 61756XAM7 CC CCC 2-A-7 61756XAN5 CC CCC 2-A-9 61756XAQ8 CC CCC 2-A-12 61756XAT2 CC CCC 2-A-13 61756XAU9 CC CCC 2-A-20 61756XBB0 CC CCC 2-A-21 61756XBC8 CC CCC 3-A-2 61756XBE4 CC CCC 4-A-2 61756XBL8 CC CCC 6-A-1 61756XCB9 CCC B-/Watch Neg 6-A-3 61756XCD5 CCC AA+/Watch Neg 6-A-4 61756XCE3 CCC B-/Watch Neg 6-A-5 61756XCF0 CCC AAA/Watch Neg 6-A-6 61756XCG8 CCC B-/Watch Neg MortgageIT Trust 2005-2 Series 2005-2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 61915RAA4 AAA AAA/Watch Neg 1-A-2 61915RAB2 AAA AAA/Watch Neg 2-A 61915RAC0 AAA AAA/Watch Neg 1-M-1 61915RAD8 BBB+ AAA/Watch Neg 1-M-2 61915RAE6 B- A+/Watch Neg 2-M-1 61915RAF3 AA AAA/Watch Neg 2-M-2 61915RAG1 B- AA/Watch Neg 1-B-1 61915RAH9 CCC BB+/Watch Neg 2-B-1 61915RAJ5 CCC BBB/Watch Neg MortgageIT Trust 2005-5 Series 2005-5 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 61915RAU0 BBB AAA/Watch Neg A-2 61915RAV8 B- AA+/Watch Neg M-1 61915RAW6 CCC B+/Watch Neg M-3 61915RAY2 CC CCC Nomura Asset Acceptance Corporation Alternative Loan Trust Series 2005-AR5 Rating ------ Class CUSIP To From ----- ----- -- ---- IA1 65535VPT9 CCC B+/Watch Neg IIA1 65535VPU6 CCC BB-/Watch Neg IIIA1 65535VPV4 CCC B+/Watch Neg IIIA2 65535VQH4 AA+ AAA/Watch Neg IIIA3 65535VPY8 CCC B+/Watch Neg Nomura Asset Acceptance Corporation, Alternative Loan Trust Series 2005-AR4 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A 65535VMV7 AAA AAA/Watch Neg II-A 65535VMW5 AA- AAA/Watch Neg V-A-1 65535VNA2 AA+ AAA/Watch Neg RALI Series 2005-QO1 Trust Series 2005-QO1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 761118EN4 BBB+ AA/Watch Neg A-2 761118EP9 BBB+ AA/Watch Neg A-3 761118EQ7 B- BBB+/Watch Neg A-4 761118ER5 CC CCC X 761118ET1 BBB+ AA/Watch Neg M-1 761118EX2 CC CCC RALI Series 2005-QO2 Trust Series 2005-QO2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 761118HU5 BB+ AAA/Watch Neg A-2 761118HV3 CCC B/Watch Neg A-3 761118HW1 CC CCC X 761118HX9 BB+ AAA/Watch Neg Structured Adjustable Rate Mortgage Loan Trust Series 2005-19XS Series 2005 19XS Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 863579YR3 CCC BB-/Watch Neg 1-AA 863579YS1 CCC BB-/Watch Neg 1-AB 863579ZD3 CCC BB-/Watch Neg 1-A-3 863579YT9 CCC BB-/Watch Neg M1-I 863579YX0 CC CCC 2-A-1 863579YU6 BBB- AAA/Watch Neg 2-A2 863579YV4 BB+ AAA/Watch Neg 2-A3 863579YW2 BB+ AAA/Watch Neg Structured Asset Mortgage Investments II Trust 2005 AR6 Series 2005-AR6 Rating ------ Class CUSIP To From ----- ----- -- ---- II-A-1 86359LNA3 BBB- AA X-2 86359LNE5 BBB- AA M-X 86359LNF2 CC CCC M-1 86359LNK1 CC CCC Structured Asset Mortgage Investments II Trust 2005-AR2 Series 2005-AR2 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 86359LHX0 B- BBB-/Watch Neg I-X 86359LHZ5 B- BBB-/Watch Neg II-A-1 86359LJA8 AAA AAA/Watch Neg II-X 86359LJD2 AAA AAA/Watch Neg III-A-1 86359LJE0 CCC B-/Watch Neg M-4 86359LJV2 CC CCC M-5 86359LJW0 CC CCC II-A-2 86359LJB6 B- BBB-/Watch Neg TBW Mortgage-Backed Trust 2007-2 Series 2007-2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-4-A 872227AG8 AAA AAA/Watch Neg A-4-B 872227AH6 AAA AAA/Watch Neg A-5 872227AJ2 AAA AAA/Watch Neg Terwin Mortgage Trust Series TMTS 2005-12ALT Series 2005-12ALT Rating ------ Class CUSIP To From ----- ----- -- ---- AF-2 881561VW1 AAA AAA/Watch Neg AF-3 881561VX9 AAA AAA/Watch Neg AF-4 881561VY7 AAA AAA/Watch Neg AF-5 881561VZ4 AAA AAA/Watch Neg AV-2 881561WB6 AAA AAA/Watch Neg AV-3 881561WC4 AAA AAA/Watch Neg M-1 881561WE0 CCC BB+/Watch Neg WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust Series 2007-OA5 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A 93364BAA8 CCC AAA/Watch Neg 1A-1B 93364BAB6 CCC BB/Watch Neg 2A 93364BAC4 CCC BB/Watch Neg CA-1C 93364BAE0 CC CCC B-1 93364BAH3 CC CCC B-2 93364BAJ9 CC CCC Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Rating ------ Class CUSIP To From ----- ----- -- ---- CB-1 9393365V1 CCC BB+/Watch Neg CB-2 9393365W9 CCC BB+/Watch Neg CB-3 9393365X7 CCC AA/Watch Neg CB-4 9393365Y5 CCC AA/Watch Neg CB-5 9393365Z2 CCC BB+/Watch Neg CB-6 9393366A6 CCC BBB-/Watch Neg CB-7 9393366B4 CCC AAA/Watch Neg CB-8 9393366C2 CCC BB+/Watch Neg CB-9 9393366D0 CCC BB+/Watch Neg CB-10 9393366E8 CCC BB+/Watch Neg CB-11 9393366F5 CCC AAA/Watch Neg CB-12 9393366G3 CCC BB+/Watch Neg CB-13 9393366H1 CCC BB+/Watch Neg CB-14 9393366J7 CCC BB+/Watch Neg CB-15 9393366K4 AAA AAA/Watch Neg CB-16 9393366L2 CCC BB+/Watch Neg 2-CB 9393366M0 CCC BB+/Watch Neg 3-CB 9393366N8 CCC BB+/Watch Neg 4-A-1 9393366P3 CCC BB+/Watch Neg 4-A-2 9393366Q1 CCC BB+/Watch Neg 5-A-1 9393366R9 CCC AAA/Watch Neg 5-A-2 9393366S7 CCC BB+/Watch Neg 5-A-3 9393366T5 CCC BB+/Watch Neg 5-A-4 9393366U2 CCC AAA/Watch Neg 5-A-5 9393366V0 CCC BB+/Watch Neg 5-A-6 9393366W8 CCC BB+/Watch Neg 5-A-7 9393366X6 CCC BB+/Watch Neg 5-A-8 9393366Y4 CCC BB+/Watch Neg 5-A-9 9393366Z1 CCC BB+/Watch Neg 5-A-10 9393367A5 CCC BB+/Watch Neg C-X 9393367B3 CCC AAA/Watch Neg D-X 9393367C1 CCC BB+/Watch Neg C-P 9393367D9 CC BB+/Watch Neg D-P 9393367E7 CC BB+/Watch Neg B-2 9393367G2 CC CCC Ratings Affirmed Adjustable Rate Mortgage Trust 2005-10 Series 2005-10 Class CUSIP Rating ----- ----- ------ 1-A-1 007036TA4 CCC 1-A-2-1 007036TB2 CCC 1-A-2-2 007036TC0 CCC 2-A-1 007036TD8 CCC 3-A-1-2 007036TF3 CCC 3-A-2 007036TG1 CCC 3-A-3-2 007036TJ5 CCC 4-A-1 007036TK2 CCC Adjustable Rate Mortgage Trust 2005-6A Series 2005-6A Class CUSIP Rating ----- ----- ------ 2-A-2 007036PH3 CCC Adjustable Rate Mortgage Trust 2005-9 Series 2005-9 Class CUSIP Rating ----- ----- ------ 5-M-1 007036SJ6 CCC Alternative Loan Trust 2005-43 Series 2005-43 Class CUSIP Rating ----- ----- ------ 5-A-1 12668AAX3 CCC Alternative Loan Trust 2005-52CB Series 2005-52CB Class CUSIP Rating ----- ----- ------ 1-A-3 12668ABG9 CCC 1-A-5 12668AFZ3 CCC 1-A-6 12668AGM1 CCC 1-A-7 12668AGA7 CCC 1-A-8 12668AGB5 CCC 1-A-9 12668AGC3 CCC 1-A-10 12668ALS2 CCC 1-A-11 12668ALT0 CCC 1-A-12 12668ALU7 CCC PO 12668AGD1 CCC Alternative Loan Trust 2005-53T2 Series 2005-53T2 Class CUSIP Rating ----- ----- ------ 1-A-1 12668AKN4 CCC 2-A-1 12668AKP9 CCC 2-A-2 12668AKQ7 CCC 2-A-3 12668AKR5 CCC 2-A-4 12668AKS3 CCC 2-A-5 12668AKT1 CCC 2-A-6 12668AKU8 CCC 2-A-7 12668AKV6 CCC 2-A-8 12668AKW4 CCC X 12668AKX2 CCC PO 12668AKY0 CCC Alternative Loan Trust 2005-J5 Series 2005-J5 Class CUSIP Rating ----- ----- ------ M 12667GHR7 CCC Alternative Loan Trust 2007-21CB Series 2007-21CB Class CUSIP Rating ----- ----- ------ 1-A-5 02151FAE9 CCC 2-A-1 02151FAG4 CCC 2-A-2 02151FAH2 CCC 2-A-3 02151FAJ8 CCC 2-A-4 02151FAK5 CCC 2-A-5 02151FAL3 CCC 2-A-6 02151FAM1 CCC 2-A-7 02151FAY5 CCC 2-A-8 02151FAZ2 CCC 2-A-9 02151FBA6 CCC 2-A-10 02151FBB4 CCC 2-A-11 02151FBC2 CCC 2-X 02151FAP4 CCC PO 02151FAQ2 CCC Alternative Loan Trust 2007-OA6 Series 2007-OA6 Class CUSIP Rating ----- ----- ------ A-3 02150PAD0 CCC Alternative Loan Trust 2007-OH1 Series 2007-OH1 Class CUSIP Rating ----- ----- ------ A-2-B 02150KBB4 CCC A-2-C 02150KBC2 CCC A-2-D 02150KBD0 CCC American Home Mortgage Assets Trust 2007-3 Series 2007-3 Class CUSIP Rating ----- ----- ------ II-1A-1 026935AH9 CCC III-A-1 026935AR7 AAA American Home Mortgage Investment Trust 2007-A Series 2007-A Class CUSIP Rating ----- ----- ------ III-A 026931AF2 AAA Banc of America Funding 2005-F Trust Series 2005-F Class CUSIP Rating ----- ----- ------ 2-A-1 05946XYV9 CCC 3-A-1 05946XYX5 B- 3-A-2 05946XYY3 CCC 5-A-1 05946XZB2 AA 5-A-2 05946XZC0 CCC 6-A-1 05946XZD8 BBB+ 6-A-2 05946XZE6 CCC 1-A-2 05946XYQ0 CCC 1-A-3 05946XYR8 CCC Banc of America Funding 2007-E Trust Series 2007-E Class CUSIP Rating ----- ----- ------ 1-A-1 05954DAA4 CCC 2-A-1 05954DAC0 CCC 3-A-1 05954DAE6 CCC 5-A-1 05954DAJ5 CCC 6-A-1 05954DAL0 CCC C-A-1 05954DBL9 CCC 7-A-1 05954DAP1 CCC Bear Stearns ARM Trust 2007-4 Series 2007-4 Class CUSIP Rating ----- ----- ------ II-1A-1 07401CAS2 CCC II-1X-1 07401CAU7 CCC II-2A-1 07401CAV5 CCC II-2X-1 07401CAX1 CCC Bear Stearns Mortgage Funding Trust 2007-AR1 Series 2007-AR1 Class CUSIP Rating ----- ----- ------ II-A-3 07401MAG6 CCC Chevy Chase Funding LLC Series 2005-A Class CUSIP Rating ----- ----- ------ A-1 16678RDB0 AAA A-2 16678RDC8 AAA A-NA 16678R9X8 AAA IO 16678RAO4 AAA NIO 16678RBI6 AAA B-1 16678RDD6 B B-1NA 16678R9Y6 B Chevy Chase Funding LLC Series 2005-3 Class CUSIP Rating ----- ----- ------ B-1 16678RDV6 CCC B-1NA 16678RFO9 CCC Citigroup Mortgage Loan Trust Inc. Series 2005-1 Class CUSIP Rating ----- ----- ------ II-A1A 17307GPS1 CCC II-A1B 17307GPT9 CCC II-A2A 17307GPU6 CCC II-A2B 17307GPV4 CCC Citigroup Mortgage Loan Trust Inc. Series 2005-5 Class CUSIP Rating ----- ----- ------ I-A1 17307GXT0 CCC I-A2 17307GXU7 CCC I-A3 17307GXV5 CCC I-A4 17307GXW3 CCC I-A5 17307GXX1 CCC I-F 17307GXY9 CCC II-A2 17307GYS1 CCC II-PO2 17307GYY8 CCC II-XS2 17307GYV4 CCC III-A1A 17307GZE1 CCC III-A1B 17307GZF8 CCC III-A2A 17307GZG6 CCC III-A2B 17307GZH4 CCC III-A3B 17307GA32 CCC III-A4B 17307GZL5 CCC III-A5 17307GZM3 CCC CSAB Mortgage-Backed Trust 2007-1 Series 2007-1 Class CUSIP Rating ----- ----- ------ 1-A-1A 12629EAA3 CCC 1-A-1B 12629EAB1 CCC 1-A-2 12629EAC9 CCC 1-A-3A 12629EAD7 CCC 1-A-3B 12629EAE5 CCC 1-A-6A 12629EAH8 CCC 1-A-6B 12629EAJ4 CCC CSFB Mortgage-Backed Trust Series 2005-9 Series 2005-9 Class CUSIP Rating ----- ----- ------ III-A-2 225470AB9 CCC V-A-4 2254586B9 CCC V-A-7 2254586E3 CCC V-A-9 2254586G8 CCC CSMC Mortgage-Backed Trust 2007-1 Series 2007-1 Class CUSIP Rating ----- ----- ------ 1-A-1A 126378AA6 CCC 1-A-1B 126378AB4 CCC 1-A-1C 126378AC2 CCC 1-A-2A 126378AE8 CCC 1-A-2B 126378AF5 CCC 1-A-2C 126378AU2 CCC 1-A-3 126378AG3 CCC 1-A-4 126378AH1 CCC 1-A-5A 126378AJ7 CCC 1-A-6A 126378AL2 CCC 5-A-1 126378AZ1 CCC 5-A-2 126378BA5 CCC 5-A-3 126378BB3 CCC 5-A-4 126378BC1 CCC 5-A-7 126378BF4 CCC 5-A-9 126378BH0 CCC 5-A-10 126378BJ6 CCC 5-A-11 126378BK3 CCC 5-A-13 126378BM9 CCC 5-A-14 126378BN7 CCC A-X 126378BR8 CCC Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-AR3 Series 2007-AR3 Class CUSIP Rating ----- ----- ------ II-A-3 25150VAK2 CCC II-A-4 25150VAL0 CCC II-A-6 25150VAN6 CCC Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-AR2 Class CUSIP Rating ----- ----- ------ II-A-1 251510GP2 CCC II-A-2 251510GQ0 CCC III-A-1 251510GR8 CCC III-A-2 251510GS6 CCC IV-A-1 251510GT4 CCC IV-A-2 251510GU1 CCC V-A-1 251510GV9 CCC V-A-2 251510GW7 CCC VI-A-2 251510GY3 CCC VII-A-2 251510HA4 CCC DSLA Mortgage Loan Trust 2005-AR3 Series 2005-AR3 Class CUSIP Rating ----- ----- ------ 2-A1C 23332UDW1 CCC 2-A2 23332UDX9 CCC PO 23332UEJ9 CCC DSLA Mortgage Loan Trust 2005-AR5 Series 2005-AR5 Class CUSIP Rating ----- ----- ------ 1-A1-A 23332UFD1 CCC 1-A1-B 23332UFE9 AAA 2-A1-A 23332UFF6 B- 2-A1-B 23332UFG4 AAA X-2 23332UFR0 B- First Horizon Alternative Mortgage Securities Trust 2005-FA8 Series 2005-FA8 Class CUSIP Rating ----- ----- ------ I-A-2 32051GYG4 CCC I-A-3 32051GYH2 CCC I-A-5 32051GYK5 CCC I-A-6 32051GYL3 CCC I-A-7 32051GYM1 CCC I-A-8 32051GYN9 CCC I-A-10 32051GYQ2 CCC I-A-11 32051GYR0 CCC I-A-12 32051GYS8 CCC I-A-13 32051GYT6 CCC I-A-15 32051GYV1 CCC I-A-16 32051GYW9 CCC I-A-18 32051GYY5 CCC I-A-19 32051GYZ2 CCC I-A-21 32051GZM0 CCC I-A-PO 32051GZB4 CCC First Horizon Alternative Mortgage Securities Trust 2007-AA3 Series 2007-AA3 Class CUSIP Rating ----- ----- ------ A-1 32053MAA8 CCC GSAA Home Equity Trust 2005-11 Series 2005-11 Class CUSIP Rating ----- ----- ------ M-1 362341PB9 CCC M-2 362341PC7 CCC Harborview Mortgage Loan Trust 2005-10 Series 2005-10 Class CUSIP Rating ----- ----- ------ 1-A-1B 41161PTM5 CCC 2-A1C1 41161PTQ6 CCC 2-A1C2 41161PTR4 CCC PO 41161PTT0 CCC HarborView Mortgage Loan Trust 2005-11 Series 2005-11 Class CUSIP Rating ----- ----- ------ 1-A-1A 41161PUH4 BB+ 1-A-1B 41161PUJ0 CCC 2-A-1A 41161PUK7 A+ 2-A-1B 41161PUL5 B- 2-A-1C 41161PUM3 CCC X 41161PUN1 A+ PO 41161PUP6 CCC HarborView Mortgage Loan Trust 2005-12 Series 2005-12 Class CUSIP Rating ----- ----- ------ 1-A1A 41161PVF7 CCC 1-A1B 41161PVH3 CCC PO-1 41161PVP5 CCC HarborView Mortgage Loan Trust 2005-13 Series 2005-13 Class CUSIP Rating ----- ----- ------ 1-A1A 41161PVZ3 B 1-A1B 41161PWA7 CCC 2-A1A1 41161PWB5 B- 2-A1A2 41161PWC3 B- 2-A1B 41161PWD1 CCC 2-A1C 41161PWE9 CCC PO 41161PWG4 CCC HarborView Mortgage Loan Trust 2005-8 Series 2005-8 Class CUSIP Rating ----- ----- ------ 1-A1B 41161PQT3 CCC 1-A2C 41161PQW6 CCC 1-PO 41161PQY2 CCC 2-A1A 41161PRN5 CCC 2-A1B 41161PRP0 CCC 2-A2B 41161PRR6 CCC 2-A2 41161PRS4 CCC 2-A3 41161PRT2 CCC 2-XA1 41161PRU9 CCC 2-PO1 41161PRX3 CCC 2-PO2 41161PRY1 CCC Impac CMB Trust Series 2005-6 Series 2005-6 Class CUSIP Rating ----- ----- ------ 1-A-1 45254NQG5 CCC 1-A-2 45254NQW0 CCC 2-A-1 45254NQQ3 AAA IndyMac INDX Mortgage Loan Trust 2005-AR15 Series 2005-AR15 Class CUSIP Rating ----- ----- ------ A-5 45660LVQ9 CCC IndyMac INDX Mortgage Loan Trust 2005-AR18 Series 2005-AR18 Class CUSIP Rating ----- ----- ------ 1-A-2 45660LWA3 CCC 2-A-2A 45660LWV7 CCC 2-A-2B 45660LWW5 CCC 2-A-2C 45660LWF2 CCC JPMorgan Alternative Loan Trust 2007-A2 Series 2007-A2 Class CUSIP Rating ----- ----- ------ 1-1-A1 466278AA6 CCC 1-2-A1 466278AC2 CCC 1-2-A4 466278AF5 CCC 2-A-1 466278AR9 CCC 2-A-1A 466278AS7 CCC 2-A-1B 466278AT5 CCC 2-A-1C 466278AU2 CCC 2-A-1D 466278AV0 CCC 2-A-1E 466278AW8 CCC 2-A-1F 466278AX6 CCC 2-A-1G 466278AY4 CCC 2-A-1H 466278AZ1 CCC 2-A-1I 466278BA5 CCC 2-A-1J 466278BB3 CCC 3-A-1 466278BD9 CCC 3-A-1A 466278BE7 CCC 3-A-1B 466278BF4 CCC 3-A-1C 466278BG2 CCC 3-A-1D 466278BH0 CCC 3-A-1E 466278BJ6 CCC 3-A-1F 466278BK3 CCC 3-A-1G 466278BL1 CCC 3-A-1H 466278BM9 CCC 3-A-1I 466278BN7 CCC 3-A-1J 466278BP2 CCC 4-A-1 466278BR8 CCC 4-A-1A 466278BS6 CCC 4-A-1B 466278BT4 CCC 4-A-1C 466278BU1 CCC 4-A-1D 466278BV9 CCC 4-A-1E 466278BW7 CCC 4-A-1F 466278BX5 CCC 4-A-1G 466278BY3 CCC 4-A-1H 466278BZ0 CCC 4-A-1I 466278CA4 CCC 4-A-1J 466278CB2 CCC JPMorgan Alternative Loan Trust 2007-S1 Series 2007-S1 Class CUSIP Rating ----- ----- ------ M-3 466275AE4 CCC M-4 466275AF1 CCC Lehman XS Trust Series 2005-4 Class CUSIP Rating ----- ----- ------ 2-A2 525221CJ4 CCC 2-A3A 525221CK1 CCC 2-A3B 525221CL9 CCC 2-A4 525221CM7 CCC 2-A5B 525221CP0 CCC Lehman XS Trust Series 2007-16N Series 2007-16N Class CUSIP Rating ----- ----- ------ M1-I 52525BAJ1 CCC 2-A3 52525BAE2 CCC 2-A4 52525BBG6 CCC 3-A2 52525BAG7 CCC 3-A3 52525BAH5 CCC AF2 52525BBH4 CCC AF3 52525BBJ0 CCC M1-II 52525BAT9 CCC Lehman XS Trust, Series 2007-15N Series 2007-15N Class CUSIP Rating ----- ----- ------ 1-A1 52524VAA7 CCC 1-A2 52524VAB5 CCC 1C-A1 52524VAD1 CCC 1C-A2 52524VAE9 CCC 2-A1 52524VAG4 CCC 2-A2 52524VAH2 CCC AF2 52524VAK5 CCC 3-A1 52524VAM1 CCC 3-AX 52524VAP4 CCC 4-A1 52524VAQ2 CCC 4-A2A 52524VAR0 CCC 4-A2B 52524VAS8 CCC 4-AX 52524VAU3 CCC 4-A1A 52524VAV1 CCC 4-A1B 52524VAW9 CCC 4-A1C 52524VAX7 CCC 4-A1D 52524VAY5 CCC 4-A1E 52524VAZ2 CCC 4-A1F 52524VBA6 CCC 4-A1G 52524VBB4 CCC 4-A1H 52524VBC2 CCC 4-A1IA 52524VBD0 CCC 4-A1IB 52524VBE8 CCC 4-A1IC 52524VBF5 CCC 4-A1ID 52524VBG3 CCC 4-A1IE 52524VBH1 CCC 4-A1IF 52524VBJ7 CCC 4-A1IG 52524VBK4 CCC 4-A1IH 52524VBL2 CCC Morgan Stanley Mortgage Loan Trust 2007-10XS Series 2007-10XS Class CUSIP Rating ----- ----- ------ A-1 61751MAA2 CCC A-2 61751MAC8 CCC A-4 61751MAE4 CCC A-5 61751MAF1 CCC A-6 61751MAG9 CCC A-7 61751MAH7 CCC A-8 61751MAJ3 CCC A-9 61751MAK0 CCC A-10 61751MAL8 CCC A-11 61751MAM6 CCC A-12 61751MAN4 CCC A-13 61751MAP9 CCC A-14 61751MAQ7 CCC A-15 61751MAR5 CCC A-16 61751MAS3 CCC A-17 61751MAT1 CCC A-19 61751MAV6 CCC A-20 61751MAW4 CCC A-21 61751MAX2 CCC A-22 61751MAY0 CCC A-23 61751MAZ7 CCC Morgan Stanley Mortgage Loan Trust 2007-15AR Series 2007-15AR Class CUSIP Rating ----- ----- ------ 1-A-1 61756XAA3 CCC 1-A-3 61756XAC9 CCC 1-A-4 61756XAD7 CCC 1-A-5 61756XAE5 CCC 1-A-6 61756XAF2 CCC 2-A-1 61756XAG0 CCC 2-A-2 61756XAH8 CCC 2-A-8 61756XAP0 CCC 2-A-10 61756XAR6 CCC 2-A-11 61756XAS4 CCC 2-A-14 61756XAV7 CCC 2-A-15 61756XAW5 CCC 2-A-16 61756XAX3 CCC 2-A-17 61756XAY1 CCC 2-A-18 61756XAZ8 CCC 2-A-19 61756XBA2 CCC 3-A-1 61756XBD6 CCC 3-A-3 61756XBF1 CCC 3-A-4 61756XBG9 CCC 3-A-5 61756XBH7 CCC 3-A-6 61756XBJ3 CCC 4-A-1 61756XBK0 CCC 4-A-3 61756XBM6 CCC 4-A-4 61756XBN4 CCC 4-A-5 61756XBP9 CCC 4-A-6 61756XBQ7 CCC 4-A-7 61756XBR5 CCC 4-A-8 61756XBS3 CCC 5-A-1 61756XBT1 CCC 5-A-2 61756XBU8 CCC 5-A-3 61756XBV6 CCC 5-A-4 61756XBW4 CCC 5-A-5 61756XBX2 CCC 5-A-6 61756XBY0 CCC 5-A-7 61756XBZ7 CCC 5-A-8 61756XCA1 CCC 6-A-2 61756XCC7 CCC MortgageIT Trust 2005-5 Series 2005-5 Class CUSIP Rating ----- ----- ------ M-2 61915RAX4 CCC Nomura Asset Acceptance Corporation Alternative Loan Trust Series 2005-AR5 Class CUSIP Rating ----- ----- ------ IA2 65535VQM3 CCC IIA2 65535VQK7 CCC IIIA4 65535VQL5 CCC Nomura Asset Acceptance Corporation, Alternative Loan Trust Series 2005-AR4 Class CUSIP Rating ----- ----- ------ III-A-1 65535VMX3 CCC III-A-2 65535VNN4 CCC IV-A-1 65535VMY1 CCC IV-A-2 65535VMZ8 CCC V-A-2 65535VNB0 CCC V-A-3 65535VNL8 CCC V-A-4 65535VNM6 CCC Structured Asset Mortgage Investments II Trust 2005 AR6 Series 2005-AR6 Class CUSIP Rating ----- ----- ------ 1-A-1 86359LMW6 BBB+ 1-A-2 86359LMX4 CCC 1-A-3 86359LMY2 CCC X-1 86359LMZ9 BBB+ II-A-2 86359LNB1 CCC II-A-3 86359LND7 CCC Structured Asset Mortgage Investments II Trust 2005-AR2 Series 2005-AR2 Class CUSIP Rating ----- ----- ------ I-A-2 86359LHY8 CCC II-A-3 86359LJC4 CCC M-X 86359LJG5 CCC M-1 86359LJS9 CCC M-2 86359LJT7 CCC M-3 86359LJU4 CCC III-A-2 86359LJF7 CCC WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust Series 2007-OA5 Class CUSIP Rating ----- ----- ------ CA-1B 93364BAD2 CCC Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust Class CUSIP Rating ----- ----- ------ B-1 9393367F4 CCC ********* 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 ***