/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/100328.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 28, 2010, Vol. 14, No. 86 Headlines AH MORTGAGE: Moody's Reviews Ratings on Series 2009-ADV2 Notes ALTIUS II: Moody's Downgrades Ratings on Two Classes of Notes ARROYO I: Fitch Affirms Ratings on Four Classes of Notes BANC OF AMERICA: Fitch Takes Various Rating Actions on Notes BANC OF AMERICA: S&P Downgrades Rating on Eight 2002-X1 Certs. BAYVIEW FINANCIAL: Fitch Downgrades Ratings on Class A Notes BAYVIEW FINANCIAL: Fitch Takes Action on Four 2007-SSR1 Notes BEAR STEARNS: Fitch Corrects Amended Loan Level Analysis BEAR STEARNS: Fitch Takes Rating Actions on 2004-TOP16 Securities BERNOULLI HIGH: Fitch Takes Rating Actions on Various Classes BRISTOL CDO: Fitch Affirms Ratings on Two Classes of Notes COMM 2004-LNB4: Moody's Affirms Ratings on Three Classes of Notes COMM 2008-RS3: Moody's Reviews 11 Classes of Certificates COMMONWEALTH PORTS: Fitch Affirms 'CCC' Rating on $15 Mil. Bonds COMMONWEALTH PORTS: Fitch Gives Neg. Outlook; Affirms 'BB-' Rating COOLIDGE FUNDING: Moody's Downgrades Ratings on Three Classes CREDIT AND REPACKAGED: S&P Withdraws 'CCC-' Rating on Notes CREDIT SUISSE: Moody's Affirms Ratings on Six 2002-CKP1 Certs. DETROIT MEDICAL: Fitch Puts Bonds' 'BB' Ratings on Positive Watch EMPIRE HOME: Fitch Downgrades Ratings on 14 Classes to 'C' FMC REAL: Fitch Downgrades Ratings on All Classes of Notes GE COMMERCIAL: S&P Downgrades Ratings on 14 Classes of Notes GLACIER FUNDING: Fitch Downgrades Ratings on Three Classes GOLDMAN SACHS: Moody's Affirms Ratings on Seven 2006-GG8 Certs. GREENWICH CAPITAL: Moody's Reviews Ratings on 15 2005-GG5 Certs. HARTFORD FINANCIAL: Fitch Assigns 'BB' Rating on $500 Mil. Stock HOUSE OF EUROPE: Moody's Cuts Class A2 Notes to Ca HOUSE OF EUROPE FUNDING: Moody's Cuts Ratings on Two Classes to B1 INFINITI SPC: S&P Downgrades Ratings on Class 7C-1 Notes to 'CC' JP MORGAN: Fitch Takes Rating Actions on 2002-CIBC5 Notes JPMORGAN CHASE: S&P Downgrades Ratings on Seven 2005-CIBC11 Notes KATONAH IV: Moody's Reviews Ratings on Three Classes of Notes KINGSLAND IV: Moody's Reviews Ratings on Three Classes of Notes KLEROS REAL: Moody's Downgrades Ratings on Class A-1 Notes LB-UBS COMMERCIAL: Fitch Takes Rating Actions on 2003-C1 Notes LIMEROCK CLO: Moody's Reviews Ratings on Various Classes of Notes LOUISIANA PUBLIC: S&P Affirms 'BB' Rating on Two Bonds MAX CMBS: Moody's Reviews Ratings on 14 Classes of Notes MORGAN STANLEY: Moody's Confirms Ratings on Two Classes of Notes MORGAN STANLEY: Moody's Downgrades Ratings on 2001-TOP3 Certs. MORGAN STANLEY: S&P Corrects Rating on Class A-11 Notes From 'BB+' MORGAN STANLEY: S&P Downgrades Ratings on Various Classes to 'CC' PHOENIX CDO: Fitch Takes Rating Actions on Various Classes PYXIS MASTER: S&P Withdraws 'B-' Rating on Point Green II Units REPACS TRUST: S&P Withdraws 'CCC-' Rating on Debt Units SAGAMORE CLO: Moody's Reviews Ratings on Two Classes of Notes VALLEJO PUBLIC: S&P Raises Rating on $10.8 Mil. Bonds From 'B' WACHOVIA BANK: Fitch Downgrades Ratings on Series 2003-C9 Certs. WACHOVIA BANK: Fitch Takes Various Rating Actions on 2003-C3 Notes WEBBERVILLE: S&P Downgrades Rating on Bonds to 'BB' * Moody's Confirms Ratings on 13 Classes From Five CMBS Deals * S&P Downgrades Ratings on 23 Tranches From Five CLO Transactions * S&P Downgrades Ratings on 24 Tranches From Eight CDO Deals * S&P Downgrades Ratings on 28 Classes From 13 RMBS Transactions * S&P Downgrades Ratings on 78 Classes From Five RMBS Transactions * S&P Downgrades Ratings on 95 Classes From 29 RMBS Transactions * S&P Downgrades Ratings on 473 Classes of Certificates to 'D' ********* AH MORTGAGE: Moody's Reviews Ratings on Series 2009-ADV2 Notes -------------------------------------------------------------- Moody's placed on review for possible downgrade the Aaa ratings of the Series 2009-ADV2 notes issued from AH Mortgage Advance Trust 2009-ADV2. The sponsor of the transaction is American Home Mortgage Servicing, Inc. The rating action is driven by certain deficiencies in the reconciliation process for deals serviced by AHMSI. The SAF is backed by reimbursement rights for servicer advances that AHMSI makes for the residential mortgage backed securitizations that it services. Moody's, however, is not taking any rating action on RMBS serviced by AHMSI, solely as a result of the concerns related to the reconciliation processes. The rating action on the SAF reflects Moody's concerns about significant number of aged reconciliation items outstanding in AHMSI's RMBS custodial bank accounts. Custodial bank account reconciliation is the process of comparing figures from the accounting records (cash book, loan level records) against those shown on the monthly bank statements. When a servicer is unable to reconcile any entry between the bank books and the accounting books, that entry becomes a "reconciliation item." Although reconciliation items are not uncommon in the mortgage servicing industry, servicers will typically resolve such items within 30 days of being identified. As items age beyond 30 days or more, the probability that either the servicer or the SAF may suffer a loss increases, although there has been no evidence of this from the items cleared to date. In the case of AHMSI, there is a significant amount of aged (60 days or more) reconciliation items. The majority of the aged reconciliation items for AHMSI exist in these areas: loan liquidations, loan modifications, mortgage insurance claims, and the servicer's "stop-advance" process on delinquent loans. AHMSI has been working to clear these reconciliation items. Even as AHMSI has cleared a large number of outstanding items, new reconciliation items have been created. All RMBS that are serviced by AHMSI and rated by Moody's (including RMBS transaction for which servicer advances have been pledged to the SAF) were also reviewed in the context of the concerns outlined above. The incremental credit risk posed to the RMBS solely as a result of the issues identified in this press release was not considered material in comparison to current expectation of losses on these deals. Therefore no rating actions were taken on the RMBS serviced by AHMSI solely as result of the reconciliation issues identified in this release. AHMSI has indicated that reporting inconsistencies between two internal systems, Loan Processing System and a custom designed system, have caused most of the reconciliation items. AHMSI's servicing system, or the system of record, is LPS. However, LPS is not the system that AHMSI uses for all functions related to investor reporting. For reporting to investors, master servicers and other transaction related parties AHMSI uses a custom designed solution. AHMSI has provided information on the aged reconciliation items, including its corrective action plan. As part of this action plan, AHMSI has contracted with third-party vendors to resolve the aged items, determine their root causes, assist in the implementation of permanent process modifications to prevent recurrence and perform quality control checks on the remedial measures. The most recent estimate from AHMSI to complete this project is over the next four to six months. AHMSI has committed to increase the reserve fund of the SAF by $20 million. This incremental reserve amount can reduce with the resolution of the reconciliation items. In any case, the management has communicated to us that until such time that all aged reconciliation items are resolved, the net incremental addition to reserve fund will not be lower than $10 million. In Moody's opinion this contribution by AHMSI demonstrates a strong commitment to resolving the issues and provides additional protection against any potential losses attributable to unresolved reconciliation items. If the aged reconciliation items are resolved, show no signs of re-occurring and an independent third party validates the improving situation Moody's are likely to reaffirm the Aaa rating. On the other hand, if the reconciliation items continue to grow, over next three months, Moody's will downgrade the SAF notes. The AH Mortgage Advance Trust 2009-ADV2 transaction closed in August 2009 and its revolving period is due to end August 2010. At such time, the rated notes will begin to amortize and the SAF will no longer finance new advances made to the pledged RMBS transactions. The complete rating action is: * The Class A-1 term note: Aaa on review for possible downgrade; previous rating action on August 13, 2009 rated Aaa. * Series 2009-ADV2 Variable Funding Notes: Aaa on review for possible downgrade; previous rating action on August 13, 2009 rated Aaa. ALTIUS II: 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 Altius II Funding, Ltd. The notes affected by the rating action are: -- US$1,313,000,000 Class A-1 Floating Rate Notes Due 2040 (current balance of $1,021.6 million), Downgraded to Ca; previously on 1/30/09 Downgraded to B1 -- US$84,000,000 Class A-2 Floating Rate Notes Due 2040 (current balance of $73.2 million), Downgraded to C; previously on 1/30/09 Downgraded to Ca Altius II Funding, Ltd., is a collateralized debt obligation issuance backed by a portfolio of primarily Residential Mortgage- Backed Securities originated in 2004 and 2005, with the majority originated in 2005. 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. The weighted average rating factor, as reported by the trustee, has increased from 410 in January 2009 to 2794 in January 2010. During the same time, defaulted securities increased from $36.6 million to $147.1 million. In addition, the Trustee reports that the transaction is currently failing its Overcollateralization test. 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 13th for subprime, January 14 for Alt-A, and January 27th 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. ARROYO I: Fitch Affirms Ratings on Four Classes of Notes -------------------------------------------------------- Fitch Ratings has affirmed four classes of notes issued by Arroyo I CDO, Ltd. Since the last rating action in February 2009, the collateral has deteriorated; however, this has been offset by increased credit enhancement levels for the class A and B notes due to the continuing deleveraging of the transaction. As of the February 2010 trustee report, the current balance of the portfolio is $124.4 million. Defaulted securities, as defined in the transaction's governing documents, now comprise 25.8% of the portfolio, compared to 18.5% at last review. Approximately 31.2% of the portfolio has been downgraded since Fitch's last rating action, resulting in 56.3% of the portfolio with a Fitch derived rating below investment grade and 26.4% with a rating in the 'CCC' rating category or below, as compared to 48.1% and 24.2%, respectively, at last review. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model (SF PCM) for projecting future default levels for the underlying portfolio. These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under 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, class B, and class C-1 and C-2 (class C) notes' breakeven rates are generally consistent with the rating assigned below. As of the February 2010 distribution date, approximately 87.7% of the class A notes' original principal balance has amortized down. As a result, the credit enhancement available to the class A notes increased from 61%, at last review, to 68.4%. Similarly, the credit enhancement for the class B notes increased from 35.1% to 37.3%. The credit enhancement for the class C notes decreased slightly from 17.8% to 16.4%. However, Fitch revised the Outlook to Negative from Stable for classes A and B due to the concern over the transaction's ability to meet timely interest payments on future distribution dates. Significant interest rate swap payments owed by the transaction have led to a shortfall of available interest proceeds to the notes, causing approximately $0.7 million of principal proceeds on the last payment date to be used to pay portion of the swap payment and entire interest due to class A and B notes, thus reducing the amount of principal proceeds available to pay down the notes. This diversion may continue through the next four payment dates until the hedge schedule steps down in February 2012. Additionally, the class A and class B notes are assigned a Loss Severity rating of 'LS3'. The LS rating indicates a tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the base-case loss expectation for the collateral, as explained in 'Criteria for Structured Finance Loss Severity Ratings'. Currently, for both classes this ratio falls in the range of 1.1 to 4.0. The LS rating should always be considered in conjunction with the probability of default for tranches. Fitch does not assign LS ratings and Outlooks for classes rated 'CCC' and lower. Arroyo I is a structured finance collateralized debt obligation that closed on Dec. 20, 2002, and is monitored by Western Asset Management Company. The transaction exited its reinvestment period in August 2004. The manager is currently restricted to sales of defaulted, credit risk, or credit improved securities. Presently Arroyo I's portfolio is comprised of 34% residential mortgage-backed security assets, 29.2% commercial asset-backed securities, 17% senior unsecured corporate bonds, 12.9% commercial mortgage-backed securities, 4.6% real estate investment trust debt securities, and 2.3% consumer ABS. Fitch has affirmed and assigned LS ratings and revised Outlooks as indicated to these classes: -- $39,272,186 class A notes at 'AA/LS3, Outlook revised to Negative from Stable; -- $38,800,000 class B notes at 'BBB/LS3', Outlook revised to Negative from Stable; -- $10,000,000 class C-1 notes at 'CCC'; -- $16,000,000 class C-2 notes at 'CCC'. BANC OF AMERICA: Fitch Takes Various Rating Actions on Notes ------------------------------------------------------------ Fitch Ratings has downgraded, and assigned Rating Outlooks, Loss Severity ratings and Recovery Ratings, to Banc of America Commercial Mortgage Inc., series 2003-2: -- $23.1 million class G to 'A/LS5' from 'AA-'; Outlook Stable; -- $21 million class H to 'BBB/LS5' from 'A'; Outlook Stable; -- $18.9 million class J to 'BB/LS5' from 'BBB+'; Outlook Negative; -- $10.5 million class K to 'B/LS5' from 'BBB-'; Outlook Negative; -- $10.5 million class L to 'B-/LS5' from 'BB'; Outlook Negative; -- $8.4 million class M to 'B-/LS5' from 'B+'; Outlook Negative; -- $8.4 million class N to 'CC/RR6' from 'B-'; -- $10.1 million class O to 'C/RR6' from 'CCC/RR1'. In addition Fitch has affirmed, assigned Rating Outlooks and LS ratings: -- $412.3 million class A-1A at 'AAA/LS1'; Outlook Stable; -- $36.2 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $168.1 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $482.3 million class A-4 at 'AAA/LS1'; Outlook Stable; -- Interest-Only class X-C at 'AAA'; Outlook Stable; -- Interest-Only class X-P at 'AAA'; Outlook Stable. -- $56.7 million class B at 'AAA/LS4'; Outlook Stable; -- $21 million class C at 'AAA/LS5'; Outlook Stable; -- $44.1 million class D at 'AAA/LS4'; Outlook Stable; -- $23.1 million class E at 'AAA/LS5'; Outlook Stable; -- $21 million class F at 'AA/LS5'; Outlook Stable; -- $2.5 million class BW-A at 'AAA/LS1'; Outlook Stable; -- $1.1 million class BW-B at 'AAA/LS1'; Outlook Stable; -- $8.2 million class BW-C at 'AAA/LS1'; Outlook Stable; -- $2.5 million class BW-D at 'AAA/LS1'; Outlook Stable; -- $3.4 million class BW-E at 'AAA/LS1'; Outlook Stable; -- $3 million class BW-F at 'AAA/LS1'; Outlook Stable; -- $2.9 million class BW-G at 'AAA/LS1'; Outlook Stable; -- $2.5 million class BW-H at 'AAA/LS1'; Outlook Stable; -- $2.5 million class BW-J at 'AAA/LS1'; Outlook Stable; -- $2 million class BW-K at 'AAA/LS1'; Outlook Stable; -- $3.3 million class BW-L at 'AAA/LS1'; Outlook Stable. Fitch does not rate the $23.3 million class P or classes HS-A through HS-E. The downgrades are the result of projected losses on the specially serviced assets (9.3%) and future expected losses following Fitch's prospective review of potential stresses to the transaction. Fitch expects losses of 3.1% of the remaining transaction balance, or $43.2 million, from loans in special servicing and loans that cannot refinance at maturity based on Fitch's refinance test. Rating Outlooks reflect the likely direction of any changes to the ratings over the next one to two years. The BW-A through BW-L classes are associated with the 1328 Broadway loan which has fully defeased. There are 128 of the original 152 loans remaining in the transaction, 28 of which have defeased (30.6% of the current transaction balance). The largest specially serviced asset (2.72%) is secured by a mall in Ogden, UT. The loan transferred to special servicing April 20, 2009 due to the GGP bankruptcy. GGP's bankruptcy plan was confirmed at the end of 2009. The loan has made last three payments and is in the process of being returned to the master servicer. The second largest specially serviced asset (2.46%) is secured by a manufactured home community in Justice, IL. The loan transferred Oct. 19, 2009, due to a mechanics lien being filed. That led to discovery of additional mechanics liens and various code violations. The borrower cured the mechanics liens but the special servicer continues to have questions regarding the borrowers accounting. The loan has a maturity of May 1, 2010 and borrower has expressed difficulty in refinancing and has requested an extension. 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 pay off at maturity. Of the non-defeased or non-specially serviced loans, none incurred a loss when compared to Fitch's stressed value. BANC OF AMERICA: S&P Downgrades Rating on Eight 2002-X1 Certs. -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on eight classes of commercial mortgage pass-through certificates from Banc of America Structured Securities Trust's series 2002-X1. S&P placed these ratings and the ratings on three additional classes from the same transaction on CreditWatch with negative implications. The collateral underlying Banc of America Structured Securities Trust's series 2002-X1 consists of 45 commercial real estate assets, including six with the special servicer, Berkadia Commercial Mortgage. The downgrades of seven classes reflect interest shortfalls. The CreditWatch placements reflect general liquidity concerns and the potential for the trust to experience future shortfalls. To date, the interest shortfalls are primarily due to the lack of advancing of trust expenses of one asset in foreclosure, as well as appraisal subordinate entitlement reductions for two additional specially serviced assets. The lack of advancing on the foreclosed asset follows a nonrecoverable advance declaration by the master servicer, also Berkadia. S&P anticipates that the trust may experience additional shortfalls related to the trust expenses, which include property operating expenses, property taxes, and insurance payments. As of the March remittance report, the trust experienced interest shortfalls totaling $271,929, which affected classes J through P. S&P believes that the interest shortfalls may increase in the near future, which could also potentially affect classes E, F, and G. Standard & Poor's will resolve and/or update the CreditWatch placements after S&P has further dialogue with Berkadia and perform a full analysis of the waterfall. As of the March 11, 2010, remittance report, the collateral pool consisted of 45 loans with an aggregate trust balance of $104.9 million. Nine loans ($48.4 million, 46.2%) are defeased. Of the six assets with the special servicer, one ($4.7 million, 4.5%) is real estate owned, one (4.4 million, 4.2%) is in foreclosure, two ($9.0 million, 8.6%) are more than 90-days delinquent, and two ($400,000, 0.4%) are more than 30-days delinquent. Two of the specially serviced assets have appraisal reduction amounts in effect totaling $1.8 million. To date, the trust has experienced 11 losses totaling $5.5 million. Details of the three of six specially serviced assets that are causing the interest shortfalls are: The Village Park at Colleyville Shopping Center asset ($4.7 million, 4.52%) was transferred to the special servicer on Aug. 26, 2009, due to imminent monetary default and is now REO. The loan is secured by a 45,153-sq.-ft. retail property in Colleyville, Texas. An ARA totaling $962,074 is in effect for this asset based on an appraisal of $3.9 million in October 2009. As of the March 11, 2010, remittance report, the reported ASER was $5,881, and the cumulative reported ASER was $12,393. The Holiday Inn ? Springfield loan ($4.4 million, 4.2%) was transferred to the special servicer on Nov. 19, 2008, due to maturity default and is now in foreclosure. The loan is secured by a 244-room, full- service, hotel property in Springfield, Ma. The master servicer declared future advances nonrecoverable on March 11, 2009. Ongoing interest shortfalls due to the lack of interest advances will be approximately $257,000 a month, including trust expenses, interest not advanced and nonrecoverable amounts. In addition, there are approximately $1.5 million in outstanding advances on this asset. As of the March 11, 2010, remittance report, the reported outstanding amount for this loan was $4.525 million. Standard & Poor's expects a significant loss to the trust upon the resolution of this asset. The Comfort Inn ? Palm Springs loan ($4.2 million, 4.0%) was transferred to the special servicer on March 1, 2009, due to imminent monetary default and is now more than 90-days delinquent. The loan is secured by a 129-room, limited-service, hotel property in Palm Springs, Calif. An ARA totaling $782,945 is in effect for this asset based on an appraisal of $3.4 million in May 2009. As of the March 11, 2010, remittance report, the reported ASER was $5,395, and the cumulative reported ASER was $34,877. In addition, there are approximately $575,000 in outstanding advances on this asset. Ratings Lowered And Placed On Creditwatch Negative Banc of America Structured Securities Trust Commercial mortgage pass-through certificates series 2002-X1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- H BBB+/Watch Neg A 45.44 J BB+/Watch Neg A- 42.01 K BB/Watch Neg BBB+ 37.89 L BB-/Watch Neg BBB 31.72 M B+/Watch Neg BBB- 28.97 N B/Watch Neg BBB- 26.23 O CCC+/Watch Neg BBB- 23.48 P CCC-/Watch Neg BB+ 20.74 Ratings Placed On Creditwatch Negative Banc of America Structured Securities Trust Commercial mortgage pass-through certificates series 2002-X1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- E A+/Watch Neg A+ 65.34 F A/Watch Neg A 59.85 G A/Watch Neg A 53.68 BAYVIEW FINANCIAL: Fitch Downgrades Ratings on Class A Notes ------------------------------------------------------------ Fitch Ratings has downgraded one class within Bayview Financial Asset Trust 2007-SSR2 transactions in the course of its ongoing reviews. The affected trust represents a beneficial ownership interest in separate trust funds. Fitch has downgraded, and assigned Recovery Ratings: Bayview Financial Asset Trust 2007-SSR2 -- Class A (07326CAC9) downgraded to 'CCC/RR2' from 'AAA'. The notes are secured by underlying classes of asset-backed securities (the Underlying Securities). Each of the Underlying Securities represents senior interest in an underlying pool of loans consisting of fixed- and adjustable-rate residential mortgage loans; small balance commercial, multi-family and mixed- use loans; and installment contracts for the purchase of real property. The transactions also include senior interest in underlying pools that consist of U.S. Small Business Administration disaster assistance loans (SBA Assistance Loans). The SBA Assistance Loans are secured by second liens on commercial property or by various types of non-real estate collateral, or are unsecured. Bonds within the 2007 vintage transactions are being downgraded due to the updated expected losses on the underlying loan pools exceeding the initial loss projections. In the BFAT 2007-SSR2 transaction the majority of the 10 Underlying Securities are undercollateralized, representing more than 65% of their combined balance. Further performance deterioration in the loan portfolios securing the Underlying Securities is expected. As a result Fitch projects the 2007-SSR2 transaction itself to become undercollateralized, thereby impairing the class A bond. The initial credit enhancement of the underlying bonds has decreased from a weighted average of 16% at origination to -5% as of February 2010. The deterioration of enhancement is expected to continue as the losses projected on the underlying pools are realized. These rating actions reflect Fitch's expected collateral loss on the underlying mortgage pools and cash flow analysis of each bond. When determining each collateral pool's projected base-case loss, Fitch used updated loan level information obtained from the servicer (Bayview Loan Servicing, LLC; rated 'RSS2', 'RBSP2', 'SBSS2' by Fitch). The frequency of foreclosure and loss severity for the secured loans was derived using Fitch's proprietary loan- level loss model as described in its Aug. 11, 2009 report, 'ResiLogic: U.S. Residential Mortgage Loss Model Criteria - Amended', available at 'www.fitchratings.com'. The ResiLogic FOF results were performance adjusted to reflect the historical performance of the individual transactions and, in some instances, the lack of loan diversification resulting from a small remaining pool size. Loans that were determined to be unsecured were assigned a 100% loss. After determining each underlying pools' projected base-case and stressed scenario loss assumptions, Fitch performs cash flow analysis to ascertain the amount of collateral loss that the transaction takes in the 'AAA-B' rating stresses. Fitch's cash flow assumptions are described in the Nov. 19, 2008 report, 'Updated Surveillance Criteria for U.S. Subprime RMBS'. Fitch's Cash flow Criteria is described in the report 'U.S RMBS Cash Flow Analysis Criteria' published on Aug. 20, 2009. BAYVIEW FINANCIAL: Fitch Takes Action on Four 2007-SSR1 Notes ------------------------------------------------------------- Fitch Ratings has affirmed one and downgraded four classes within Bayview Financial Asset Trust 2007-SSR1 in the course of its ongoing reviews. The affected trust represents a beneficial ownership interest in separate trust funds. Fitch has affirmed, downgraded, or assigned Recovery Ratings and Outlooks: Bayview Financial Asset Trust 2007-SSR1 -- Class A (07325QAA3) affirmed at 'AAA'; Outlook Negative; -- Class M1 (07325QAB1) downgraded to 'A' from 'AA+'; Outlook Negative; -- Class M2 (07325QAC9) downgraded to 'B' from 'AA'; Outlook Negative; -- Class M3 (07325QAD7) downgraded to 'CCC/RR2' from 'AA-'; -- Class M4 (07325QAE5) downgraded to 'CCC/RR2' from 'A+'. The notes are secured by underlying classes of asset-backed securities (the Underlying Securities). Each of the Underlying Securities represents senior interest in an underlying pool of loans consisting of fixed- and adjustable-rate residential mortgage loans; small balance commercial, multi-family and mixed- use loans; and installment contracts for the purchase of real property. The transactions also include senior interest in underlying pools that consist of U.S. Small Business Administration disaster assistance loans (SBA Assistance Loans). The SBA Assistance Loans are secured by second liens on commercial property or by various types of non-real estate collateral, or are unsecured. Bonds within BFAT 2007-SSR1 are being downgraded due to the updated expected losses on the underlying loan pools exceeding the initial loss projections. In BFAT 2007-SSR1 seven of the 22 Underlying Securities, representing 35% of the combined balance, are currently undercollateralized and putting negative credit pressure on the subordinate bonds, resulting in downgrades. The credit enhancement of the underlying bonds has decreased from a weighted average of 14% at origination to 5% as of February 2010. The deterioration of enhancement is expected to continue as the losses projected on the underlying pools are realized. These rating actions reflect Fitch's expected collateral loss on the underlying mortgage pools and cash flow analysis of each bond. When determining each collateral pool's projected base-case loss, Fitch used updated loan level information obtained from the servicer (Bayview Loan Servicing, LLC; rated 'RSS2', 'RBSP2', 'SBSS2' by Fitch). The ResiLogic FOF results were performance adjusted to reflect the historical performance of the individual transactions and, in some instances, the lack of loan diversification resulting from a small remaining pool size. Loans that were determined to be unsecured were assigned a 100% loss. After determining each underlying pools' projected base-case and stressed scenario loss assumptions, Fitch performs cash flow analysis to ascertain the amount of collateral loss that the transaction takes in the 'AAA-B' rating stresses. Fitch's cash flow assumptions are described in the Nov. 19, 2008 report, 'Updated Surveillance Criteria for U.S. Subprime RMBS'. Fitch's Cash flow Criteria is described in the report 'U.S RMBS Cash Flow Analysis Criteria' published on Aug. 20, 2009. BEAR STEARNS: Fitch Corrects Amended Loan Level Analysis -------------------------------------------------------- Fitch Ratings has amended a press release originally published on Jan. 8. Among the changes made include amended loan level analysis on the Park & Fly loan, which subsequently alters Fitch's modeled loss on the loan. Fitch takes various rating actions on Bear Stearns Commercial Mortgage Securities Trust, 2005-Top20 commercial mortgage pass- through certificates. The downgrades are the result of Fitch's loss expectations and its prospective views regarding cash flow declines and commercial real estate market values. Fitch forecasts losses of 1.6% for this transaction, should market conditions not recover. The rating actions are based on these full losses as a majority of loans mature in the next five years. The bonds with Negative Outlooks indicate classes that may be downgraded in the future. To determine potential defaults for each loan, Fitch assumed cash flow would decline by 10% from year-end 2008. That is consistent with the analysis used in its review of recent vintage transactions whereby cash flow was assumed to decline 15% from year-end 2007 projected over a three year period. If the stressed cash flow would cause the loan to fall below 0.95 times DSCR, Fitch assumed the loan would default during the term. To determine losses, Fitch used the above stressed cash flow and applied a market cap rate by property type, ranging between 7.5% and 12%, to derive a value. If the loan balance at default is less than Fitch's derived value, the loan would realize that amount of loss. These loss estimates were reviewed in more detail for loans representing 53% of the pool and, in certain cases, revised based on additional information and/or property characteristics. Approximately 83% of the mortgages mature within the next five years: 8.2% in 2010, 6.9% in 2012, 3.2% in 2014 and 64.3% in 2015. Fitch identified 28 Loans of Concern (17.8%) within the pool, two of which (0.1%) are specially serviced. Three of the Fitch Loans of Concern (10.1%) are within the transaction's top 15 loans. Fitch expects that 12 of the top 15 loans may default at maturity based on an insufficient accrued equity position as calculated in Fitch's refinance test. While defaults are expected, additional losses are not anticipated on most of them based on derived values being higher than the current loan amounts. A loan would pass the refinance test if the stressed cash flow would achieve a 1.25x DSCR as calculated based on a 30 year amortization schedule and an 8% coupon. One loan within the top 15 is expected to incur a term loss: Circuit City Headquarters (1.6%). Circuit City Headquarters consists of a 368,255 sf office property in Richmond, VA. The property formerly served as the headquarters to Circuit City. Following Circuit City's bankruptcy and liquidation, the property has been vacant since April 2009. The loan remains current, but there is concern with the existing operation's ability to continue to pay rent. Fitch performed a market value analysis in its determination of losses. Fitch has adjusted its analysis on one loan within the pool's top 15: The Park N' Fly portfolio (2.4%). Park N' Fly consists of a four-property portfolio of parking garages, located in Atlanta, Dallas, Cleveland, and Houston, totaling 8,818 spaces. In Fitch's January 2010 review, a term loss was calculated based on mid-year 2009 financial information provided by the servicer. The operating statements used in the January 2010 review indicated a significant decline in performance from year-end 2008 to mid-year 2009. Recently, it was determined this operating statement incorrectly aggregated the total expenses for the portfolio. Fitch received a corrected operating statement from the servicer in March 2010, which ultimately shows the portfolio did not experience a performance decline to the degree originally thought. The portfolio's NOI DSCR as of third-quarter 2009 was 1.38x based on the corrected operating statement. Fitch incorporated the updated cash flow into its analysis and determined the loan would not incur a term loss; Fitch expects that if credit dislocation persists and market conditions fail to improve, the loan could default at maturity based on Fitch's stressed refinance test. Fitch will review the year-end 2009 financials for all of the loans in the pool as they become available and update the transaction modeled losses accordingly. Fitch downgrades and assigns LS Ratings and Outlooks to these classes: -- $147.7 million class A-J to 'AA/LS2' from 'AAA'; Outlook Stable; -- $15.5 million Class B to 'AA/LS4' from 'AA+'; Outlook Stable; -- $20.7 million Class C to 'A/LS3' from 'AA'; Outlook Stable; -- $15.5 million Class D to 'A/LS4' from 'AA-'; Outlook Stable; -- $18.1 million Class F to 'BBB/LS4' from 'A-'; Outlook Stable; -- $18.1 million Class G to 'BBB-/LS4' from 'BBB+'; Outlook Stable; -- $23.3 million Class H to 'BB/LS3' from 'BBB'; Outlook Stable; -- $18.1 million Class J to 'B/LS4' from 'BBB-'; Outlook Negative; -- $5.2 million Class K to 'B/LS5' from 'BB+'; Outlook Negative; -- $7.8 million Class L to 'B-/LS5' from 'BB'; Outlook Negative; -- $7.8 million Class M to 'B-/LS5' from 'BB-'; Outlook Negative; -- $2.6 million Class N to 'B-/LS5' from 'B+'; Outlook Negative; -- $2.6 million Class O to 'B-/LS5' from 'B'; Outlook Negative; In addition, Fitch affirms these classes and assigns Outlooks and LS rating as indicated: -- $28.5 million Class E at 'A/LS3'; Outlook Stable; -- $5.2 million Class P at 'B-/LS5'; Outlook Negative; -- $20 million Class LF at 'B/LS5'; Outlook Negative; In addition, Fitch affirms these classes and Outlooks and assigns LS ratings as indicated: -- $16.2 million class A-1 at 'AAA/LS1'; Outlook Stable; -- $189.5 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $176 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $142.6 million class A-AB at 'AAA/LS1'; Outlook Stable; -- $955 million class A-4A at 'AAA/LS1'; Outlook Stable; -- $130.8 million class A-4B at 'AAA/LS1'; Outlook Stable; -- Interest-only class X at 'AAA'; Outlook Stable; Fitch does not rate class Q. BEAR STEARNS: Fitch Takes Rating Actions on 2004-TOP16 Securities ----------------------------------------------------------------- Fitch Ratings has downgraded and assigned Rating Outlooks, Loss Severity ratings and Recovery Ratings to Bear Stearns Commercial Mortgage Securities Trust 2004-TOP16 commercial mortgage pass- through certificates: -- $11.6 million class G to 'BBB-/LS5' from 'BBB'; Outlook Stable; -- $10.1 million class H to 'BB/LS5' from 'BBB-'; Outlook Negative; -- $2.9 million class J to 'B/LS5' from 'BB+'; Outlook Negative; -- $4.3 million class K to 'B-/LS5' from 'BB'; Outlook Negative; -- $5.8 million class L to 'B-/LS5' from 'BB-'; Outlook Negative; -- $1.4 million class M to 'CCC/RR6' from 'B+'; -- $1.4 million class N to 'CC/RR6' from 'B'; -- $2.9 million class O to 'C/RR6' from 'B-'. In addition Fitch has affirmed, assigned Rating Outlooks and LS ratings: -- $92.2 million class A-4 at 'AAA/LS1'; Outlook Stable; -- $80 million class A-5 at 'AAA/LS1'; Outlook Stable; -- $676.1 million class A-6 at 'AAA/LS1'; Outlook Stable; -- Interest-Only class X-1 at 'AAA'; Outlook Stable; -- Interest-Only class X-2 at 'AAA'; Outlook Stable. -- $20.2 million class B at 'AA+/LS5'; Outlook Stable; -- $13 million class C at 'AA/LS5'; Outlook Stable; -- $13 million class D at 'A/LS5'; Outlook Stable; -- $15.9 million class E at 'A-/LS5'; Outlook Stable; -- $10.1 million class F at 'BBB+/LS5'; Outlook Stable. Fitch does not rate the $4.2 million class P. Classes A-1, A-2, and A-3 have paid in full. The downgrades are the result of projected losses on the two specially serviced assets (1.58%) minimal future expected losses following Fitch's prospective review of potential stresses to the transaction. Fitch expects losses of 1.22% of the remaining transaction balance, or $11.8 million, from loans in special servicing and loans that cannot refinance at maturity based on Fitch's refinance test. Rating Outlooks reflect the likely direction of any changes to the ratings over the next one to two years. There are 105 of the original 117 loans remaining in the transaction, twelve of which have defeased (11.4% of the current transaction balance). The largest specially serviced asset (1.44%) is secured by an office building located in Foster City, CA. The loan transferred to special servicing on Dec. 8, 2009 due to monetary default. Occupancy at the property has declined to 75% as of December 2009, down from 84% in December 2008 and 99% in December 2007. The borrower is seeking a loan modification. The second largest specially serviced asset (0.95%) is secured by a retail property in Phoenix, AZ. The loan transferred to special servicing on Oct. 10, 2009. The largest tenant, Basha Food City (41.05% of NRA) cancelled its lease in bankruptcy and has vacated the property thus reducing occupancy to 35%. The special servicer is moving forward with foreclosure and the auction is expected to occur in June 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. BERNOULLI HIGH: Fitch Takes Rating Actions on Various Classes ------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed two classes of notes issued by Bernoulli High Grade CDO I, Ltd., due to deterioration in the credit quality of the portfolio since last review. As of the January 2010 trustee report, the current balance of the portfolio is $1,196.2 million. Defaulted securities, as defined in the transaction's governing documents, now comprise 56.6% of the portfolio, compared to 44.6% at last review in April 2009. Approximately 70.3% of the portfolio has been downgraded since Fitch's last rating action, resulting in 86.7% of the portfolio with a Fitch derived rating below investment grade and 75.9% with a rating in the 'CCC' rating category or below, as compared to 74.2% and 59.6%, 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 extent of collateral deterioration and the sequential pay structure following the acceleration of maturity, 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. Based on the credit quality of the remaining portfolio, Fitch believes default is highly probable for the class A-1B notes and inevitable for all other classes of notes. As a result of credit events declared by the class A-1B swap counterparty, Merrill Lynch International Bank, Ltd, the class A-1B notes were first drawn upon on the January 2009 payment date and currently have a funded and unfunded portion, in the amounts of $108.7 million, and $216.8 million, respectively. Future interest and principal cash proceeds available after paying all timely classes' interest, hedge, management fees and other administrative expenses, would be used to first pay down the funded portion of the class A-1B. Fitch expects the class A-1B notes to continue to be drawn upon to settle future credit events in the portfolio. A the same time, due to the shrinking interest collection proceeds and an out-of- the money interest rate swap, almost one third of the principal collections on the last payment date in January were used to pay interest on class A-1B, A-1A, A-2, class B notes and portion of the interest rate swap. The swap's notional gradually steps down to a zero balance in 2021. Given the composition of the portfolio and ongoing principal leakage, which is expected to continue in the future, Fitch considers that default on the class A-1B notes is probable. The class A-1A, A-2 and B notes are currently receiving full interest payments, however, Fitch does not expect any principal payments for these classes. The class C and D notes have and will continue to pay in kind, whereby the principal balances of the notes are written up by the amount of interest owed due to the coverage test failures. Fitch does not expect any future interest or principal payments to the class C and D notes. Bernoulli I is a hybrid cash and synthetic arbitrage collateralized debt obligation, which closed on March 30, 2006, and is managed by Babcock & Brown Securities Pty Ltd. The current portfolio is composed of approximately 34.8% subprime residential mortgage-backed securities, 32.2% of prime RMBS and 32.9% of structured finance CDOs. Fitch has downgraded these classes: -- $325,447,477 class A-1B notes to 'CC' from 'B'; -- $856,376,278 class A-1A notes to 'C' from 'CCC'; -- $86,536,865 class A-2 notes to 'C' from 'CC'; -- $57,691,244 class B notes to 'C' from 'CC'. Fitch has affirmed these classes: -- $15,562,184 class C notes at 'C'; -- $16,181,410 class D notes at 'C'. Fitch does not assign Outlooks to classes rated 'CCC' and lower. BRISTOL CDO: Fitch Affirms Ratings on Two Classes of Notes ---------------------------------------------------------- Fitch Ratings has affirmed two and downgraded one class of notes issued by Bristol CDO I, Ltd. As of the January 2010 trustee report, the balance of the portfolio was $87.9 million, including $30.8 million in par of assets deemed defaulted as per the transaction's governing documents. Approximately 32.5% of the portfolio has been downgraded since Fitch's last rating action in March 2009, resulting in 63.7% of the portfolio with a Fitch derived rating below investment grade and 47.9% with a rating in the 'CCC' rating category or below, as compared to 59.7% and 41.1%, 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. 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 (class A) notes' breakeven rates are generally consistent with the rating assigned below. The affirmation of the class A notes is attributed to the increase in credit enhancement available to the notes resulting from principal amortizations and the application of interest proceeds to pay down class A notes' balance, due to the continuing failure of the class A/B overcollateralization test. Since the last review, approximately 3.6% of the class A notes' balance amortized down thereby offsetting the effect of the collateral deterioration. Collectively, the class A notes represent 37.8% of the current capital structure and have a credit enhancement of 57.2%. However, Fitch revised the Outlook to Negative from Stable for class A due to the potential for additional negative performance in the underlying assets. The class A notes are highly dependent on the remaining few bonds, which introduces potential performance and rating volatility. Additionally, the class A notes are assigned a Loss Severity rating of 'LS5'. The LS rating indicates a tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the base-case loss expectation for the collateral, as explained in 'Criteria for Structured Finance Loss Severity Ratings'. Currently, for the class A notes this ratio falls below 0.5. The LS rating should always be considered in conjunction with the probability of default for tranches. Breakevens for the class B notes are below SF PCM's 'CCC' default level, the lowest level of defaults projected by SF PCM. For this class, Fitch compared the credit enhancement level 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 notes have the credit enhancement level of 23.4%, half the share of the portfolio rated 'CCC' and lower. While the class B notes are still receiving their timely interest distributions, Fitch believes that default is inevitable at or prior to maturity. Bristol I is a cash flow collateralized debt obligation, which closed on Oct. 11, 2002, and is managed by Vanderbilt Capital Advisors LLC. The current portfolio is comprised of approximately 30.7% residential mortgage-backed securities, 28.5% commercial asset-backed securities, 23.5% structured finance CDOs, 9.8% commercial mortgage-backed securities, and 7.5% of consumer ABS. Fitch has affirmed, downgraded and assigned LS ratings and revised Outlooks as indicated to these classes: -- $34,725,994 class A-1 notes affirmed at 'BB/LS5'; Outlook revised to Negative from Stable; -- $3,185,158 class A-2 notes affirmed at 'BB/LS5'; Outlook revised to Negative from Stable; -- $30,000,000 class B notes downgraded to 'C' from 'CC'. COMM 2004-LNB4: Moody's Affirms Ratings on Three Classes of Notes ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of three classes, confirmed one class and downgraded 16 classes of COMM 2004-LNB4, Commercial Mortgage Pass-Through Certificates. The downgrades are due to higher losses for the pool resulting from realized and anticipated losses from specially serviced and highly leveraged watchlisted loans, interest shortfalls, and refinancing risk associated with loans approaching maturity in an adverse environment. Eight loans, representing 6% of the pool, mature within 36 months and have a Moody's stressed debt service coverage ratio less than 1.0X. Affirmations and confirmations are due to key rating parameters, including Moody's loan to value ratio, Moody's debt service coverage ratio and the Herfindahl Index remaining within acceptable ranges. Moody's placed 15 classes of this transaction on review for possible downgrade on December 3, 2009, due to anticipated losses from specially serviced and poorly performing loans as well as interest shortfalls. On March 18, 2010, the review was continued and two additional classes were placed on review for possible downgrade due to higher anticipated losses than originally projected. This action concludes the review. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the March 15, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 21% to $965.7 million from $1.2 billion at securitization. The Certificates are collateralized by 103 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 40% of the pool. The pool contains one loan, representing 7% of the pool, which has an investment grade underlying rating. At last review, two other loans, representing 5% of the pool, also had investment grade underlying ratings. However, due to declines in performance and increased leverage, these loans are now analyzed as part of the conduit pool. Twenty loans, representing 14% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Three loans have been liquidated from the pool resulting in a $12.0 million loss (36% loss severity on average). There are 11 loans, representing 13% of the pool, currently in special servicing. The largest specially serviced loan is Metro I Building Loan ($37.0 million -- 3.8% of the pool), which is secured by a 310,000 square foot office building located in Hyattsville, Maryland. The property has experienced a significant decline in occupancy due to lease rollovers. The loan transferred to special servicing in May 2009 for imminent default and the loan is now 90+ days delinquent. The servicer has recognized a $21.6 million appraisal reduction for this loan. The second largest specially serviced loan is the Lakeshore Apartments Loan ($19.4 million -- 2.0% of the pool), which is secured by a 652-unit multifamily property located in Clarkston, Georgia. The property was 77% occupied as of March 2009. The loan transferred to special servicing in May 2009. The loan is current and is expected to be returned to the master sevicer soon. The remaining nine specially serviced loans are secured by a mix of office, retail, and manufactured housing properties. Moody's estimates a $63 million aggregate loss for 11 of the specially serviced loans (50% loss severity on average). The special servicer has recognized an aggregate $44.4 million appraisal reduction for seven of the specially serviced loans. Moody's has assumed a high default probability on four loans representing approximately 2% of the pool. These loans mature within the next 36 months and have a Moody's stressed DSCR less than 1.0X. Moody's has estimated an aggregate $2.8 million loss from these loans based on a 50% default probability and a 40% loss severity. Moody's rating action recognizes potential uncertainty around the timing and magnitude of losses from these troubled loans. Based on the most recent remittance statement, Classes G through P have experienced cumulative interest shortfalls totaling $1.7 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions and extraordinary trust expenses. Moody's was provided with full-year 2008 operating results for 95% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 92% compared to 96% at last review. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.43X and 1.13X, respectively, compared to 1.43X and 1.07X at Moody's last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple-notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 33 compared to 39 at last review. The loan with an underlying rating is the 731 Lexington Avenue Loan ($64.8 million -- 6.7% of the pool), which is secured by a 694,000 square foot office condominium. The collateral is part of a 1.4 million square foot complex in midtown Manhattan situated on Lexington Avenue between East 58th and East 59th Streets. The condominium is 100% leased to Bloomberg, LP, through 2028. Moody's current underlying rating is A3, the same as at last review. The largest loan that previously had an underlying rating is the 280 Trumbull Street Loan ($32.4 million -- 3.3% of the pool), which is secured by a 660,000 square foot Class A office tower located in Hartford, Connecticut. The property was 78% leased as of November 2009 compared to 88% at last review and 95% at securitization. The two largest tenants are Prudential Insurance Company of America, which leases 39% of the net rentable area (NRA) through December 2017, and Robinson & Cole, which leases 22% of the NRA through December 2016. Performance has declined since last review due to the decrease in occupancy. Moody's LTV and stressed DSCR are 95% and 1.02X, respectively, compared to 67% and 1.46X at securitization. The second loan that previously had an underlying rating is the DDR Portfolio Loan ($15.3 million -- 1.6% of the pool), which is a pari passu interest in a $135.2 million first mortgage loan. The loan is secured by 20 retail properties located throughout six states and totaling 3.3 million square feet. The portfolio was 71% leased as of June 2009 compared to 96% at securitization. Performance has declined significantly because of occupancy declines and increased operating expenses. The loan was transferred to special servicing in May 2009 for imminent maturity default. The borrower was not able to obtain refinancing on its June 1, 2009 maturity date. The maturity date has been extended until June 2011 and the loan has been transferred back to the master servicer. Moody's considers this loan a significant default risk because of its high leverage. Moody's LTV and stressed DSCR are 140% and 0.73X, respectively, compared to 72% and 1.39X at last review. The three largest performing conduit loans represent 15% of the pool. The largest conduit loan is the Crossings at Corona-Phase I & II Loan ($77.0 million -- 7.9% of the pool), which is secured by the borrower's interest in a 878,000 square foot retail center located in Corona, California, approximately 55 miles southeast of downtown Los Angeles. The property was 96% leased as of June 2009 compared to 99% at last review. The largest tenants are Kohl's, Best Buy and Gart's Sportmart. The center is also shadow anchored by Target. Moody's LTV and stressed DSCR are 102% and 0.90X, respectively, compared to 100% and 0.92X at last review. The second largest loan is the Woodyard Crossing Shopping Center Loan ($40.3 million -- 4.2% of the pool), which is secured by the borrower's interest in a 483,000 square foot retail center located in Clinton (Prince George's County), Maryland. The property was 100% leased as of July 2009, the same as at last review. The largest tenants include Wal-Mart, which leases 28% of the NRA through October 2020, Lowe's, which leases 24% of the NRA through April 2021, and Safeway, which leases 12% of the NRA though December 2019. Performance has been stable and the loan has benefited from amortization. The loan has amortized 6% since last review. Moody's LTV and stressed DSCR are 79% and 1.20X, respectively, compared to 84% and 1.10X at last review. The third largest loan is the GMAC Building Loan ($32.4 million -- 3.3% of the pool), which is secured by a 532,000 square foot office building located in Winston Salem, North Carolina. The property is 100% leased to GMAC Insurance on a lease expiring in 2014. The loan was transferred to special servicing in August 2009 for imminent maturity default. The borrower was not able to refinance the loan on its October 1, 2009 maturity. The maturity date has been extended until April 2011 and the loan has been transferred back to the master servicer. Moody's is still concerned about the refinancing risk associated with this loan. Moody's LTV and stressed DSCR are 110% and 0.94X, respectively, compared to 84% and 1.22X at Moody's last review. Moody's rating action is: -- Class A-2, $18,245,654, affirmed at Aaa; previously assigned Aaa on 12/1/2004 -- Class A-3, $86,461,000, confirmed at Aaa; previously placed on review for possible downgrade on 3/18/2010 -- Class A-4, $88,047,000, downgraded to Aa3 from Aaa; previously placed on review for possible downgrade on 3/18/2010 -- Class A-5, $343,272,000, downgraded to Aa3 from Aaa; previously placed on review for possible downgrade on 3/18/2010 -- Class A-1A, $287,699,886, downgraded to Aa3 from Aaa; previously placed on review for possible downgrade on 3/18/2010 -- Class X-C, Notional, affirmed at Aaa; previously assigned Aaa on 12/1/2004 -- Class X-P, Notional, affirmed at Aaa; previously assigned Aaa on 12/1/2004 -- Class B, $24,442,000, downgraded to A2 from Aaa; previously placed on review for possible downgrade on 3/18/2010 -- Class C, $10,693,000, downgraded to Baa2 from Aa2; previously placed on review for possible downgrade on 3/18/2010 -- Class D, $22,914,000, downgraded to Ba2 from A2; previously placed on review for possible downgrade on 3/18/2010 -- Class E, $10,694,000, downgraded to B2 from A3; previously placed on review for possible downgrade on 3/18/2010 -- Class F, $15,276,000, downgraded to Caa2 from Baa1; previously placed on review for possible downgrade on 3/18/2010 -- Class G, $15,276,000, downgraded to Ca from Baa2; previously placed on review for possible downgrade on 3/18/2010 -- Class H, $12,221,000, downgraded to C from Baa3; previously placed on review for possible downgrade on 3/18/2010 -- Class J, $4,583,000, downgraded to C from Ba1; previously placed on review for possible downgrade on 3/18/2010 -- Class K, $3,055,000, downgraded to C from Ba2; previously placed on review for possible downgrade on 3/18/2010 -- Class L, $6,111,000, downgraded to C from Ba3; previously placed on review for possible downgrade on 3/18/2010 -- Class M, $7,638,000, downgraded to C from B2; previously placed on review for possible downgrade on 3/18/2010 -- Class N, $3,055,000, downgraded to C from B3; previously placed on review for possible downgrade on 3/18/2010 -- Class O, $3,055,000, downgraded to C from Caa1; previously placed on review for possible downgrade on 3/18/2010 COMM 2008-RS3: Moody's Reviews 11 Classes of Certificates --------------------------------------------------------- Moody's Investors Service placed eleven classes of Certificates issued by COMM 2008-RS3 Commercial Mortgage Related Securities, Series 2008-RS3 under review for possible downgrade due to deterioration in the credit quality of the underlying portfolio as evidenced by deterioration in the weighted average rating factor. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. COMM 2008-RS3 is a direct pass-through of Class A-2A, Class A-2B, Class X-W, Class X-B, Class C, Class E, Class F, Class G, Class H, Class J and Class K (together the Underlying Classes) of the Max CMBS I Ltd., Series 2008-1 transaction. As of the February 18, 2010 Trustee Report issued for Max Series 2008-1, the aggregate balance of the Underlying Classes was $379 million, the same as that at securitization. This rating action is a result of placing on review for possible downgrade the Underlying Classes on March 19, 2010. The rating action is: -- Class A-2A, Aa3 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Aa3 -- Class A-2B, Aa3 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Aa3 -- Class X-W*, Aa3 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Aa3 -- Class X-B*, Aa3 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Aa3 -- Class B, A2 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to A2 -- Class C, A3 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to A3 -- Class D, Baa1 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Baa1 -- Class E, Baa2 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Baa2 -- Class F, Baa2 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Baa2 -- Class G, Baa3 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Baa3 -- Class H, Ba1 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Ba1 * Notional Class Moody's monitors transactions on both a monthly basis through a review of the available Trustee Reports and a periodic basis through a full review. Moody's prior review is summarized in a press release dated March 19, 2009. COMMONWEALTH PORTS: Fitch Affirms 'CCC' Rating on $15 Mil. Bonds ---------------------------------------------------------------- Fitch Ratings affirms the 'CCC' rating and removes from rating Watch Negative the $15 million in outstanding Commonwealth Ports Authority, Commonwealth of the Northern Mariana Islands, 1998 senior series A airport revenue bonds. The Rating Outlook is Negative. The bonds are secured by a pledge of net revenues. The 'CCC' rating indicates that significant credit risk is present and that a limited margin of safety remains due to declining activity levels in a tourist-based economy; below 1.0 times (x) coverage of debt service obligations that necessitates the use of fund balance draws to meet the bond payments; and high dependence on airline revenue. The rating also reflects the recent actions taken by the CPA to prevent further deterioration in its ability to service the 1998 series A debt. The CPA has narrowed its revenue shortfall by implementing austerity measures, reinstating airline rates and charges and pursuit of non-aeronautical revenue. CPA is currently receiving reimbursements of funds from the Commonwealth Utilities Corporation and grants from the TSA and Homeland Security for work done on airport property. A passenger facility charge (PFC) hardship application was also filed which, if approved, could allow for greater use of PFC revenue to cover debt service. The credit is also strengthened by the essentiality of the airports serving as a key gateway to and within the CNMI, and CNMI's ability to continue to draw visitors from new markets. Fitch notes that the last audited financial statement for the CPA was 2007. While Fitch has been provided with drafts of the 2008 and 2009 audits and a 2010 budget, this is a concern. The Negative Outlook reflects the possibility of continued cash balance depletion over the next three years given comments of further service cuts and the potential for intermigration to Guam. Revision of airline rates and charges, additional non-aviation revenue generating activities, continued tightening of expenses and approval of additional PFC allocation for debt service could delay the depletion of liquidity in the near term. Given the current state of the global economy and expectations of a slow economic recovery, service adjustments in the airline industry are likely to continue over the near term and may present additional challenges to CPA's finances and operations, as will CNMI's deteriorating local economic landscape and geographical location that leaves it exposed to weather related risk (i.e. typhoons). The U.S planned relocation of approximately 8,000 military personnel and their dependents from Okinawa, Japan to neighboring Guam by 2014 could also lead to migration from the CNMI for better job opportunities. CNMI continues to draw visitors and develop new markets such as those in Korea, Russia, China, and the Philippines. The strong presence by Asiana Airlines in 2009, representing 125,130 enplanements at Saipan International Airport, up 64.7% from 2005, reflects CPA's continued efforts in developing its tourism-based economy. Furthermore, the successful implementation of a PFC program, management's proven history of obtaining FAA grants and strong relationship with the CNMI government also enhance the credit. Fitch expects that the CPA will continue to experience volatility in its near break-even operations and will continue to use internal liquidity to sustain operations and meet debt service needs. The fluctuation in operations is due to a weak underlying economy driven solely by a diminished tourism industry and the loss of the garment industry. The implementation of minimum wage laws in 2007 and the federalization of immigration in 2008 completely phased out the garment industry which in 2005 generated over $650 million in export revenue for the CNMI. As CNMI is a commonwealth of the United States, U.S. federal law and regulation, such as minimum wage law requirements, immigration restrictions, and environmental regulation all have an impact on the island's economy. Although the Islands have seen an increase in tourism from Korea, China, Russia, and the Philippines, enplanements have been steadily declining since 2005, driven by a significant loss in lucrative Japanese tourism to the Islands. In 2009, Japanese visitors to the CNMI fell by approximately 10.3% compared to the previous year. Since the departure of Japan Airlines, carrier service to CNMI is concentrated with two carriers, Delta Airlines (Issuer Rating: 'B-', Negative Outlook by Fitch), and Asiana Airlines together accounting for over 70% of total enplanements leaving CPA vulnerable to any operational changes made by the airlines. Traffic continued to decline across the three airports through fiscal 2009, representing an overall decrease of 28% over 2005. Traffic appears to be testing a new low of 475,769 enplanements down from 511,001 in 2008 or 6.9%. CPA's operating and financial profile remains weak due to sustained losses in tourist traffic and past decisions to subsidize airlines resulting in rate covenant violations. Fiscal year 2007 and 2008 debt service coverage was a negative 0.34x and 0.61x, respectively, while 2009 saw a positive 0.62x coverage. Although operating revenues jumped 25% or $2.1 million in fiscal 2009 from $8.5 million the year before, decreases of 10.5% and 12.4% were seen in 2007 and 2008, respectively. Aviation and concession revenue continue to be challenged given the smaller base of traffic. Containing expenditure resulted in a 9.6% and 7.5% reduction in expenses in 2007 and 2008, respectively, and a modest increase of 3.3% in 2009. CPA continues to make efforts to reduce operating expenses through the use of scheduled work reductions and the elimination of non-essential expenses. Operating income turned positive in fiscal 2009 with a profit of $455,225 from a loss of $1.3 million just the year before. Cost per enplanement soared to $15.9 in 2009 from $9.9 the year before largely owed to the considerable decline in enplanements. CPA will continue to be challenged to balance operating expense reductions and airline rate increases as remaining cost competitive is deemed necessary to securing a sustainable tourist market in the CNMI. The CPA owns and operates three airports in the CNMI, the largest of which is Saipan International Airport. The commonwealth consists of a chain of 14 islands of which four are inhabited. The islands are located in the North Pacific Ocean, approximately 1,458 miles southeast of Tokyo, Japan and 5,969 miles west of Los Angeles. COMMONWEALTH PORTS: Fitch Gives Neg. Outlook; Affirms 'BB-' Rating ------------------------------------------------------------------ Fitch Ratings revises the Rating Outlook to Negative from Stable on approximately $35 million of the Commonwealth Ports Authority, Commonwealth of the Northern Mariana Islands, 1998 and 2005 senior series A seaport revenue bonds. Fitch also affirms the rating at 'BB-'. The bonds are secured by a pledge of net revenues. The 'BB-' rating of the seaport credit indicates the possibility of credit risk developing due to the deterioration of the CNMI economy in the past two years, however, a margin of safety and sufficient cash balances remain allowing financial commitments to be met. The loss of the garment industry has had material impact on CPA's harbour operations while a fragile tourism industry has led to a reduction in productivity on the Islands. However, CPA's seaports will remain essential to the transportation of goods via international and internal waterways. Total revenue tonnage for fiscal 2009 fell by 22.9% or 108,822 revenue tons from 474,274 in the previous year. Outbound cargo sharply decreased by 51% and is largely responsible for this downward trend as ready-for-sale clothing products, once manufactured by the garment industry, are no longer being exported. As of September 2009, total outbound clothing tonnage and inbound garment tonnage came to a complete halt from over 6,252 revenue tons in October 2007. Fitch notes that the last audited financial statement for the CPA was 2007. While Fitch has been provided with drafts of the 2008 and 2009 audits and a 2010 budget, this is a concern. The Negative Outlook reflects the possibility of a restrained capacity to meet financial commitments if CPA's business profile and CNMI's economic environment continue to be unfavorable. The overall economy of the CNMI is in decline and will likely take several years for seaport operations to be adequately sized for a more stabilized economy. As CNMI is a commonwealth of the United States, U.S. federal law and regulation, such as minimum wage law requirements, immigration restrictions, and environmental regulation all have an impact on the island's economy. While CPA has historically exhibited strong cash flows and a healthy balance sheet, the port's ability to return to its historical financial strength will require a sustained increase in wharfage rates which will undoubtedly have a dampening effect on demand and will increase the cost of goods across the islands. The U.S planned relocation of approximately 8,000 military personnel and their dependents from Okinawa, Japan to Guam by 2014 is expected to boost Guam's economy and could lead to migration from the CNMI. CPA's continued financial weakness resulted in a 0.76 times (x) debt service coverage ratio for 2008 recovering in 2009 at 1.30x and budgeted to be at 1.20x in 2010. Cash balances remain adequate but have weakened with days-cash-on-hand falling to 154 days in 2009 from 537 days in 2007. Harbor generated revenue for fiscal 2009 grew by 25.2% to 4.4 million due to the upward revision of wharfage rates whereas non-harbor revenue merely grew by 1%. CPA's total operating revenue improved by 17.5% in 2009 to 6 million from 5.1 million just the year before. Cost cutting measures resulted in a decrease of 27.3% in expenses over 2008. CPA will continue to feel the effects of a weakening CNMI economy and will remain vulnerable to operational and financial shocks, including the island's economic volatility, weather events (such as typhoons), and U.S. federal government policy. These risks, coupled with CPA's limited rate making flexibility will most likely further strain CPA's operations and squeeze cash balances in the medium term. The CPA owns and operates three seaports in the CNMI, the largest of which Is the Port of Saipan. The commonwealth consists of a chain of 14 islands of which four are inhabited. The islands are located in the North Pacific Ocean, approximately 1,458 miles southeast of Tokyo, Japan and 5,969 miles west of Los Angeles. COOLIDGE FUNDING: 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 Coolidge Funding, Ltd. The notes affected by the rating action are: -- US$274,700,000 Class A-1 Floating Rate Notes due 2040 (current balance of $171,821,529.00), Downgraded to Caa3; previously on March 24, 2009 Downgraded to Ba3; -- US$45,100,000 Class A-2 Floating Rate Notes due 2040 (current balance of $30,464,011.14), Downgraded to Ca; previously on March 24, 2009 Downgraded to Caa2; -- US$37,515,000 Class B Floating Rate Notes due 2040 (current balance of $30,743,483.14), Downgraded to C; previously on March 24, 2009 Downgraded to Ca. Coolidge Funding, Ltd., is a collateralized debt obligation issuance backed by a portfolio of Commercial Mortgage-Backed Securities and Residential Mortgage-Backed Securities with the majority originated in 2004. According to Moody's, the rating downgrade action is 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. The weighted average rating factor, as reported by the trustee, has increased from 1220 in March 2009 to 1830 in March 2010. During the same time, defaulted securities increased from $47.3 million to $81.4 million. In addition, the Trustee reports that the transaction is currently failing all principal coverage tests, including the Class A/B Overcollateralization Test. 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 and features in each transaction, 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. CREDIT AND REPACKAGED: S&P Withdraws 'CCC-' Rating on Notes ----------------------------------------------------------- Standard & Poor's Ratings Services withdrew its rating on the notes issued by Credit and Repackaged Securities Ltd.'s series 2006-12, a synthetic corporate investment-grade collateralized debt obligation transaction. The rating withdrawal follows the complete redemption of the notes pursuant to the notice dated March 2, 2010. Rating Withdrawn Credit and Repackaged Securities Ltd. Series 2006-12 Rating Balance (mil. $) ------ ---------------- Class To From Current Previous ----- -- ---- ------- -------- Trust units NR CCC- 0.000 15.000 NR - Not rated. CREDIT SUISSE: Moody's Affirms Ratings on Six 2002-CKP1 Certs. -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of six classes and downgraded ten classes of Credit Suisse First Boston Commercial Mortgage Corp., Commercial Mortgage Pass-Through Certificates, Series 2002-CKP1. The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and other highly leveraged loans. The affirmations are due to key rating parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index remaining within acceptable ranges. Moody's placed ten classes of this transaction on review for possible downgrade on March 4, 2009, due to anticipated losses from loans in special servicing. This action concludes the review. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the February 18, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 19% to $808.8 million from $992.9 million at securitization. The Certificates are collateralized by 141 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten non- defeased loans representing 39% of the pool. Twenty-six loans, representing 22% of the pool, have defeased and are secured by U.S. Government securities. Defeasance at last review represented 21% of the pool. Twenty-eight loans, representing 10% 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. Sixteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $23.5 million (41% loss severity on average). Seven loans, representing 4% of the pool, are currently in special servicing. The largest specially serviced loan is the Seville Place Apartments Loan ($11.7 million - 1.4% of the pool), which is secured by a 444-unit apartment complex located in Orlando, Florida. The loan was transferred to special servicing in January 2009 for imminent default and is now 90+ days delinquent. The remaining six specially serviced loans are secured by a mix of multifamily, office and retail properties. Moody's has estimated a $22.3 million aggregate loss for the seven specially serviced loans (62% loss severity on average). Moody's has assumed a high default probability on ten loans, representing 5% of the pool. These loans mature within the next 36 months and have a Moody's stressed DSCR less than 1.0X. Moody's has estimated a $9.8 aggregate loss on these loans (25% loss severity on average). Moody's was provided with year-end 2008 and partial-year 2009 operating statements for 99% and 47%, respectively, of the pool. Moody's weighted average LTV for the conduit pool, excluding specially serviced and troubled loans, is 79%, essentially the same as Moody's prior full review. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.30X and 1.33X, respectively, compared to 1.34X and 1.32X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple-notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf score of 29 compared to 31 at last review. The top three loans represent 19% of the pool. The largest loan is the Metroplex West Loan ($59.4 million -- 7.3% of the pool), which is secured by the borrower's interest in a 477,000 square foot retail center located in Plymouth Meeting, Pennsylvania. The center is anchored by Target and Lowe's, both of which own their respective buildings and are not part of the collateral. As of October 2009, the property was 100% leased, the same last review. Despite stable occupancy, property performance has declined since last review due to lower revenues. Moody's LTV and stressed DSCR are 77% and 1.33X, respectively, compared to 72% and 1.42X at last review. The second largest loan is the 300 M Street Office Building Loan ($48.0 million -- 5.9% of the pool), which is secured by 280,000 square foot Class A office building located in Washington, D.C. As of June 2009 the property was 100% leased, the same as last review. The largest tenants are Northrop Grumman (33% of the net rentable area (NRA); lease expiration April 2011) and Lockheed Martin Corporation (26% of the NRA; lease expiration April 2011). Although property performance has been stable since last review, Moody's analysis reflects a stressed cash flow due to Moody's concerns about the property's significant lease rollover in 2011. Moody's LTV and stressed DSCR are 77% and 1.37X, respectively, compared to 70% and 1.50X at last review. The third largest loan is The Shops at Deerfield Square Loan ($45.5 million -- 5.6% of the pool), which is secured by a mixed- use property that includes 170,000 square feet of retail and 67,000 square feet of office space located in Deerfield, Illinois. The property was 100% leased as of January 2010, the same as last review. Moody's LTV and stressed DSCR are 90% and 1.08X, respectively, compared to 85% and 1.18X at last review. Moody's rating action is: -- Class A-2, $37,752,943, affirmed at Aaa; previously assigned Aaa on 3/25/2002 -- Class A-3, $601,059,000, affirmed at Aaa; previously assigned Aaa on 3/25/2002 -- Class A-X, Notional, affirmed at Aaa; previously assigned Aaa on 3/25/2002 -- Class B, $39,715,000, affirmed at Aaa; previously upgraded to Aaa from Aa2 on 3/16/2006 -- Class C, $13,652,000, affirmed at Aaa; previously upgraded to Aaa from Aa3 on 3/16/2006 -- Class D, $26,063,000, downgraded to Aa1 from Aaa; previously placed on review for possible downgrade on 3/4/2010 -- Class E, $14,893,000, downgraded to Aa3 from Aa1; previously placed on review for possible downgrade on 3/4/2010 -- Class F, $13,652,000, downgraded to A3 from Aa3; previously placed on review for possible downgrade on 3/4/2010 -- Class G, $14,893,000, downgraded to Baa3 from A2; previously placed on review for possible downgrade on 3/4/2010 -- Class H, $14,893,000, downgraded to Ba2 from Baa1; previously placed on review for possible downgrade on 3/4/2010 -- Class K-Z, $19,875,000, downgraded to B3 from Ba1; previously placed on review for possible downgrade on 3/4/2010 -- Class L, $16,134,000, downgraded to Caa3 from Ba2; previously placed on review for possible downgrade on 3/4/2010 -- Class M, $8,688,000, downgraded to C from Ba3; previously placed on review for possible downgrade on 3/4/2010 -- Class N, $7,447,000, downgraded to C from B3; previously placed on review for possible downgrade on 3/4/2010 -- Class O, $8,687,000, downgraded to C from Caa1; previously placed on review for possible downgrade on 3/4/2010 -- Class P, $2,595,521, affirmed at C; previously downgraded to C from Caa2 on 3/4/2010 DETROIT MEDICAL: Fitch Puts Bonds' 'BB' Ratings on Positive Watch ----------------------------------------------------------------- Fitch Ratings places these bonds issued on behalf of Detroit Medical Center, which are currently rated 'BB', on Rating Watch Positive: -- $112,730,000 Michigan State Hospital Finance Authority series 1993A; -- $132,285,000 Michigan State Hospital Finance Authority series 1993B; -- $174,460,000 Michigan State Hospital Finance Authority series 1997A; -- $108,650,000 Michigan State Hospital Finance Authority series 1998A; -- $75,000,000 Michigan State Hospital Finance Authority series 1995. The decision to place the bonds on Rating Watch Positive is in response to the March 19, 2010 announcement that Detroit Medical Center and Vanguard Health Systems, Inc. (not rated by Fitch) have entered into a non-binding Letter-of-Intent for substantially all of the assets and liabilities of DMC to be acquired by Vanguard. Should the acquisition of DMC by Vanguard be consummated, all of the outstanding bonds listed above would be defeased contemporaneously with the closing of the acquisition and all of the bonds would be paid or redeemed within 90 days of the closing. As outlined in the announcement, no assurance can be given that the execution of the LOI will lead to the execution of a definitive agreement for the acquisition or that an acquisition will be completed in the form currently contemplated. Among other requirements: -- both parties must negotiate an acceptable definitive agreement that is approved by each party's' Board of Directors; -- the transaction must receive regulatory approvals; -- a Renaissance Zone must be established and encompass an area which includes DMC's central campus. Fitch will monitor the negotiations and update the Rating Watch as appropriate. Detroit Medical Center operates eight hospitals, five of which are located on the main campus west of downtown Detroit. In 2009, on a consolidated basis DMC had total revenues of approximately $2.1 billion. Vanguard Health Systems, Inc., is an investor owned healthcare company that, as of Dec. 31, 2009, owned or operated 15 acute care hospitals in Texas, Arizona Illinois and Massachusetts. EMPIRE HOME: Fitch Downgrades Ratings on 14 Classes to 'C' ---------------------------------------------------------- Fitch Ratings has downgraded to 'C' 14 classes in four Empire Home Loan and two Keystone Owner Trust residential mortgage backed security transactions listed below. The affected classes have an aggregate balance of approximately $9 million. The downgrades are a result of the ongoing suspension of interest and principal to bondholders by U.S. Bank National Association (the Trustee). Amounts otherwise payable to bondholders are being retained in the trust pending further developments resulting from litigation involving the transactions. The revised ratings reflect the increased likelihood of both permanent interest shortfalls and principal writedowns. Since bond loss amounts cannot be estimated at this time Recovery Ratings have not been assigned to the bonds. As a result of the ongoing litigation and the possibility that the Trust and the Trustee could be held liable for the alleged actions of the originators, the Trustee has suspended all distributions to holders as of October 2009 for Empire Home Loan Owner Trust and January 2010 for Keystone Owner Trust pending further developments. This status continued to be in effect as of the March 2010 remittance date. At this time, it is undetermined when or if these transactions will receive distributions of interest and principal. In addition, all funds that are retained will first be distributed as a payment of fees and costs incurred by the Trustee in performing its duties. The fees and costs due to the Trustee will increase the likelihood that the bonds will incur non-recoverable interest shortfalls and/or principal writedowns resulting in a default. Fitch will continue to monitor these transactions for ongoing developments and their potential impact on the bonds' outstanding ratings. The various bonds affected by the actions are: Empire Funding Home Loan Owner Trust 1997-2 -- Class M1 downgraded to 'C' from 'AA'. Empire Funding Home Loan Owner Trust 1997-3 -- Class A7 downgraded to 'C' from 'AAA'. Empire Funding Home Loan Owner Trust 1998-1 -- Class A5 downgraded to 'C' from 'AAA'; -- Class M1 downgraded to 'C' from 'AA'. Empire Funding Home Loan Owner Trust 1998-2 -- Class A5 downgraded to 'C' from 'AAA'; -- Class M1 downgraded to 'C' from 'AA'; -- Class M2 downgraded to 'C' from 'A'; -- Class B1 downgraded to 'C' from 'BBB'. Keystone Owner Trust 1998-P1 -- Class A5 downgraded to 'C' from 'AAA'; -- Class M1 downgraded to 'C' from 'AA+'; -- Class M2 downgraded to 'C' from 'A'; -- Class B1 downgraded to 'C' from 'BBB'. Keystone Owner Trust 1998-P2 -- Class A5 downgraded to 'C' from 'AAA'; -- Class B1 downgraded to 'C' from 'BBB-'. FMC REAL: Fitch Downgrades Ratings on All Classes of Notes ---------------------------------------------------------- Fitch Ratings has downgraded all classes of FMC Real Estate CDO 2005-1 Ltd. reflecting Fitch's base case loss expectation of 39.7%. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. The transaction is collateralized by both senior and subordinate commercial real estate debt: 43.4% are either whole loans or A- notes and 54.3% are either B-notes or mezzanine loans. Fitch expects significant losses upon default for the subordinate positions since they are generally highly leveraged debt classes. Further, eight loans (27.8%) are currently defaulted and two loans (6.8%) are considered Fitch Loans of Concern. Fitch expects partial to full losses on the delinquent assets and Loans of Concern. FMC 2005-1 is a $439.4 million CRE collateralized debt obligation managed by SCFFI GP LLC, an affiliate of Five Mile Capital. 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 2010. As of the February 2010 trustee report and per Fitch categorizations, the CDO was substantially invested: CRE whole loans/A-notes (43.4%), mezzanine loans (31.2%), and B-notes (23.2%). All overcollateralization and interest coverage ratios have remained above their covenants as of the February 2010 trustee report, despite the CDO's above-average default rate. Under Fitch's updated methodology, approximately 65.2% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 11.8% from the most recent available cash flows (generally from third or fourth quarter 2009). Fitch estimates that recoveries will average 39.2% in the base case. The largest component of Fitch's base case loss expectation is a mezzanine loan (6.1%) secured by ownership interests in a portfolio of five resort hotels, with a total of 3,287 rooms. The properties are located in Wailea, Hawaii; La Quinta, California; Phoenix, Arizona; Miami, Florida; and Berkeley, California. The portfolio's performance has been adversely affected by the recent economic downturn, and the mezzanine position is highly leveraged. As such, Fitch modeled a term default with a substantial loss in its base case scenario. The next largest component of Fitch's base case loss expectation is a whole loan (7.7%) secured by three single-tenant office/industrial buildings located in North San Jose, CA. One tenant, who had occupied 33% of total portfolio net rentable area, recently vacated at the expiration of its lease. Consequently, two of the buildings are now vacant, while the other is occupied by one tenant through 2015. Fitch modeled a term default with a partial loss as a result of the portfolio's weak overall current occupancy rate of 29%. The third largest component of Fitch's base case loss expectation is a defaulted B-note (4.4%) secured by approximately 18 acres of land located in Las Vegas, Nevada. The property is located on Las Vegas Boulevard, in close proximity to several popular hotel/casinos. The land is currently improved with a variety of commercial buildings, including a limited-service hotel, restaurants and retail space. The sponsor's original plan was to redevelop the site into an Elvis Presley themed hotel/casino. The plan stalled amid the economic downturn, and the loan defaulted in January 2009. Fitch modeled a complete loss on this subordinate position. This transaction was analyzed according to 'Surveillance Criteria for U.S. Commercial Real Estate Loan CDOs,' which applies stresses to property cash flows and uses debt service coverage ratio (DSCR) 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 of classes A-1 and A-2 are generally consistent with the 'BBB' rating category. The credit characteristics of class B are generally consistent with the 'BB' rating category, and the credit characteristics of class C are generally consistent with the 'B' rating category. The ratings for classes D through H are based on a deterministic analysis, which considers Fitch's base case loss expectation for the pool, and the current percentage of defaulted assets and Fitch Loans of Concern factoring in anticipated recoveries relative to each class' credit enhancement. Based on this analysis, classes D through F are consistent with the 'CCC' rating category, meaning default is a real possibility. Fitch's base case loss expectation of 39.7% exceeds these classes' respective current credit enhancement levels. The ratings for classes G and H are deemed to be consistent with the 'CC' rating category, meaning default appears probable given that these classes' credit enhancement levels are below the total losses expected from the currently defaulted assets and Loans of Concern in the pool. Classes A through C 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 (LS) 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 H were assigned Recovery Ratings (RR) 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 (65.2% and 39.2%, 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 'RR4' to class D reflects modeled recoveries of 50% of its outstanding balance. The expected recovery proceeds are broken down: -- Present value of expected principal recoveries ($12.1 million); -- Present value of expected interest payments ($5 million); -- Total present value of recoveries ($17.1 million); -- Sum of undiscounted recoveries ($29.3 million). Classes E through H 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: -- $131,825,000 class A-1 to 'BBB/LS4' from 'AAA'; Outlook Negative; -- $43,941,000 class A-2 to 'BBB/LS5' from 'AAA'; Outlook Negative; -- $43,941,000 class B to 'BB/LS5' from 'AA'; Outlook Negative; -- $49,434,000 class C to 'B/LS5' from 'A'; Outlook Negative; -- $34,055,000 class D to 'CCC/RR4' from 'BBB+'; -- $13,182,000 class E to 'CCC/RR6' from 'BBB'; -- $21,970,000 class F to 'CCC/RR6' from 'BBB-'; -- $35,153,000 class G to 'CC/RR6' from 'B'; -- $12,084,000 class H to 'CC/RR6' from 'B'. Additionally, all classes are removed from Rating Watch Negative. GE COMMERCIAL: S&P Downgrades Ratings on 14 Classes of Notes ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 14 classes of notes issued by GE Commercial Loan Trust's series 2006- 1, 2006-2, and 2006-3 and removed them from CreditWatch negative. All three transactions are cash flow collateralized loan obligation transactions collateralized in large part by middle market and syndicated corporate loans. The downgrades primarily reflect the application of S&P's updated corporate collateralized debt obligation criteria, in particular the application of the largest obligor default test S&P introduced as part of its new criteria. Standard & Poor's updated corporate CDO criteria published on Sept. 17, 2009, included two supplemental "outside the model" tests intended to address event risk and model risk that may be present in rated transactions. The first test is a "largest obligor default test." This test assesses whether a CDO tranche has sufficient credit enhancement (not counting excess spread) to withstand specified combinations of underlying asset defaults based on the ratings on the underlying assets, with a flat recovery rate of 5%. The second test is a "largest industry default test," which assesses whether a CDO tranche rated 'AAA', 'AA+', 'AA', or 'AA-' has sufficient credit enhancement (not counting excess spread) to withstand the default of all obligors in the transaction's largest industry, with a flat recovery rate of 17%, or otherwise meet an alternative largest industry default test. In addition to S&P's cash flow analysis for each transaction, either of these tests may be a limited factor in its rating on a CDO tranche. Because the three GE Loan Commercial Trust transactions have a payment structure that allows for pro rata payments to the various classes of notes until a sequential pay event is triggered. Because of losses incurred within the collateral pools to date, the transactions currently have relatively concentrated asset pools, while portions of their higher rated notes still remain outstanding. According to Standard & Poor's database of CDO performance information and based on information the trustees provided for the transactions, the class A-1 notes have paid down in full for all three transactions, and the class A-2 notes have paid down to less than 50% of their initial balance. However, the relatively small number of obligors remaining in all three collateral pools has increased the exposure risk of the remaining balances of the senior notes outstanding for each transaction. According to S&P's records, all three transactions currently have 25 or fewer assets remaining in their collateral pools. The top 10 obligors in all three deals represent more than 50% of the total performing collateral. Standard & Poor's had previously downgraded a number of ratings across all three transactions on Sept. 29, 2008, as a result of losses incurred after they triggered "required sale assets" provisions outlined within their documents. The transactions triggered these provisions when the market value of some securities in the portfolio breached prespecified limits, necessitating the sale of the affected securities at less than par value. The sale of the affected collateral at prevailing market prices reduced the par balance of each transaction's portfolio, reducing the available credit enhancement. All three transactions are currently paying down their notes sequentially following a sequential pay event that occurred before the January 2009 payment date (series 2006-1) and the October 2008 payment dates (for series 2006-2 and 2006-3). Ratings Lowered And Removed From Creditwatch Negative GE Commercial Loan Trust Series 2006-1 Rating ------ Class To From ----- -- ---- A-2 BBB+ AAA/Watch Neg B CCC+ A-/Watch Neg C CCC- BBB-/Watch Neg Pfd Tr Crt CC BB-/Watch Neg GE Commercial Loan Trust Series 2006-2 Rating ------ Class To From ----- -- ---- A-2 BBB+ AAA/Watch Neg B BB+ AA/Watch Neg C CCC- A-/Watch Neg D CC BB+/Watch Neg Pfd Trust CC BB-/Watch Neg GE Commercial Loan Trust Series 2006-3 Rating ------ Class To From ----- -- ---- A-2 BB+ AAA/Watch Neg B CCC- AA/Watch Neg C CC A-/Watch Neg D CC BB+/Watch Neg Pfd Tr Cer CC BB-/Watch Neg GLACIER FUNDING: Fitch Downgrades Ratings on Three Classes ---------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed two classes of notes issued by Glacier Funding CDO III, Ltd./Inc., 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 Jan. 21, 2010, due to failure of the ratio of the collateral balance to be equal to or greater than 100% of the Aggregate Outstanding Amount of the Class A Notes. On Feb. 3, 2010 a majority of the 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). The acceleration of maturity has not changed payment priority for this transaction. As of the February 2010 trustee report, the current balance of the portfolio (including cash) is $214.2 million. Approximately 77.2% of the portfolio has been downgraded since the last review. Defaulted securities, as defined in the transaction's governing documents, now comprise 56% of the portfolio, compared to 11.2% at last review. The downgrades to the portfolio have left approximately 55.3% of the portfolio (including defaults) with a Fitch derived rating below investment grade and 36.8% with a rating in the 'CCC' rating category or lower, compared to 48.3% and 27.2%, 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 and 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 3%, as compared to the 36.8% of the portfolio considered distressed. Therefore, the class A-1 notes as well as the class A-2 and B notes have been downgraded to 'C' to indicate Fitch's belief that default is inevitable at or prior to maturity. The class C and D 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. Glacier III is a cash flow SF CDO that closed on July 29, 2005. The portfolio was initially selected by Terwin Money Management, LLC and is now monitored by Aventine Hill Capital, LLC. The portfolio is composed of residential mortgage-backed securities (76.5%), commercial mortgage-backed securities (20.1%), real estate investment trusts (3%), and asset-backed securities (0.4%). Fitch has downgraded these classes: -- $207,755,289 class A-1 notes to 'C' from 'B'; -- $61,342,561 class A-2 notes to 'C' from 'CCC'; -- $38,850,289 class B notes to 'C' from 'CC'. Fitch has affirmed these classes: -- $25,346,322 class C notes at 'C'; -- $3,331,966 class D notes at 'C'. GOLDMAN SACHS: Moody's Affirms Ratings on Seven 2006-GG8 Certs. --------------------------------------------------------------- Moody's Investors Service affirmed the rating of seven classes and downgraded 17 classes of Goldman Sachs Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2006-GG8. The downgrades are due to interest shortfalls, higher expected losses for the pool resulting from anticipated losses from specially serviced and highly leveraged watchlisted loans and concerns about refinancing risk associated with loans approaching maturity in an adverse environment. Six loans, representing 8% of the pool, mature within the next two years and have a Moody's stressed debt service coverage ratio below 1.00X. The affirmations are due to key rating parameters, including Moody's loan to value ratio, stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. On March 18, 2010, Moody's placed 17 classes on review for possible downgrade due to higher expected losses for the pool resulting from anticipated losses from loans in special servicing and concerns about refinancing risk associated with loans approaching maturity in an adverse environment. This action concludes that review. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the March 12, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 2% to $4.20 billion from $4.24 billion at securitization. The Certificates are collateralized by 160 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top ten loans representing 35% of the pool. At last review, the One Beacon Street Loan ($210.0 million -- 5.0% of the pool) and the Village of Merrick Park Loan ($162.2 million -- 3.9% of the pool) had an underlying rating. However, because of a decline in performance resulting in an increase in leverage, the loan is now analyzed as part of the conduit. Forty loans, representing 18% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. One loan has been liquidated from the pool since securitization, resulting in a $21,400 realized loss (1% loss severity on average). Twenty-two loans, representing 11% of the pool, are currently in special servicing. The largest specially serviced loan is the Ariel Preferred Retail Portfolio Loan ($91.8 million - - 2.2% of the pool), which is secured by the borrower's interest in a portfolio of six anchored retail centers located in suburban markets in California, Georgia, Michigan, Minnesota, Montana and Nevada. The loan was transferred to special servicing in June 2009 due to monetary default and is currently in foreclosure. An August 2009 appraisal valued the property at $65.5 million (compared to $136.9 million at securitization). The servicer has recognized a $39.7 million appraisal reduction for this loan. The second largest specially serviced loan is the Gallery at Cocowalk Loan ($79.4 million -- 1.9% of the pool), which is secured by a 196,492 square foot anchored retail center located in Coconut Grove, Florida. The loan was transferred to special servicing in October 2009 due to imminent monetary default. The borrower has stated that they lack the necessary funds to complete tenant improvements to complete work relating to a vacant movie theater. Currently a loan modification agreement is under review and a receiver hearing is set for May 2010. The servicer has recognized a $19.9 million appraisal reduction for this loan. The third largest specially serviced loan is the Tower Place 200 Loan ($50.5 million -- 1.2% of the pool), which is secured by a 259,888 square foot office building located in Atlanta, Georgia. The loan was transferred to special servicing in July 2009 due to imminent default and is now real estate owned. An August 2009 appraisal valued the property at $32.4 million (compared to $66.0 million at securitization). The servicer has recognized a $22.3 million appraisal reduction for this loan. The remaining 19 specially serviced loans are secured by a mix of office, retail and hospitality properties. Moody's estimates an aggregate $189.3 million loss for 22 of the specially serviced loans (41% loss severity on average). The servicer has recognized an aggregate $148.7 million appraisal reduction for 20 of the specially serviced loans. In addition to recognizing losses from specially serviced loans, Moody's has assumed a high default probability on four loans which represent 6.2% of the pool. The largest troubled loan is the Arizona Grand Resort Loan ($190.0 million -- 4.5% of the pool), which is secured by a 640 unit luxury resort located in Phoenix, Arizona. The loan was returned to master servicing from the special servicer after satisfying three consecutive months of debt service payments as per the September 2009 loan modification agreement. Under the agreement, the original loan was split into an A note ($100.0 million) and a B note ($90.0 million), both of which remain included in the trust. The A note will remain interest only at 5.5% until March 2012 (at which point it will amortize on a 360 month schedule at a 6.68% interest rate through maturity). The B note will bear no interest and is payable in full at maturity. A May 2009 appraisal valued the property at $92.8 million (compared to $246.0 million at securitization). Moody's has estimated an aggregate loss of $133.6 million (51% loss severity on average) from these troubled loans. Moody's rating action recognizes potential uncertainty around the timing and magnitude of loss from these troubled loans. Moody's was provided with partial 2009 or full-year 2008 operating results for 94% of the pool. Moody's weighted average LTV ratio, excluding the specially serviced and troubled loans, is 114.8% compared to 144.6% at Moody's prior review in February 2009. The previous review was part of Moody's first quarter 2009 ratings sweep of 2006-2008 vintage CMBS transactions. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCR are 1.29X and 0.94X, respectively, compared to 1.02X and 0.88X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of the Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple-notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 46 compared to 48 at last review. The top three performing conduit loans represent 9% of the outstanding pool balance. The largest loan is the One Beacon Street Loan ($210.0 million -- 5.0% of the pool), which is secured by a 1.01 million square foot class A office building located in Boston, Massachusetts. The property is a premiere asset with excellent proximity to public transportation. The largest tenants include Mass Housing Finance Agency (12% of the net rentable area (NRA); lease expiration March 2015), JP Morgan Chase (9% of the NRA; lease expiration December 2019) and Skadden, Arps, Slate, Meagher & Flom LLP (6% of the NRA; lease expiration March 2014). The property was 90% leased as of December 2009 compared to 91% at last review. The property is also encumbered by a $98.0 million mezzanine loan. Moody's LTV and stressed DSCR are 81% and 1.17X, respectively, compared to 89% and 1.10X at last review. The second largest loan is the 222 South Riverside Plaza Loan ($202.0 million -- 4.8% of the pool), which is secured by two Class A office buildings (1.2 million square feet) located in Chicago, Illinois. The largest tenants include Fifth Third Bank (15% of the NRA; lease expiration December 2016), Deutsche Investment Management (10% of the NRA; lease expiration December 2016) and Trading Technologies (10% of the NRA; lease expiration January 2013). The property was 96% leased as of December 2009 compared to 89% at last review. Moody's LTV and stressed DSCR are104% and 0.93X, respectively, compared to 151% and 0.66X at last review. The third largest loan is the 1441 Broadway Loan ($183.0 million - - 4.4% of the pool), which is secured by a 470,563 square foot class B office building located in the garment district of Manhattan, New York. The largest tenants include the headquarters for Liz Claiborne, Inc (62% of the NRA; lease expiration December 2012) and Jones Denim Management Corp (14% of the NRA; lease expiration June 2017). The property was 99% leased as of December 2009 which is same as at last review Moody's LTV and stressed DSCR are 126% and 0.77X, respectively, compared to 123% and 0.81X at last review. Moody's rating action is: -- Class A-1, $29,988,236, affirmed at Aaa; previously assigned Aaa on 11/8/2006 -- Class A-1A, $195,336,263, affirmed at Aaa; previously assigned Aaa on 11/8/2006 -- Class A-2, $940,740,000, affirmed at Aaa; previously assigned Aaa on 11/8/2006 -- Class A-3, $52,875,000, affirmed at Aaa; previously assigned Aaa on 11/8/2006 -- Class A-4, $1,598,772,000, affirmed at Aaa; previously assigned Aaa on 11/8/2006 -- Class A-AB, $111,500,000, affirmed at Aaa; previously assigned Aaa on 11/8/2006 -- Class X, Notional, affirmed at Aaa; previously assigned Aaa on 11/8/2006 -- Class A-M, $424,288,000, downgraded to Aa3 from Aaa, previously placed on review for possible downgrade on 3/18/2010 -- Class A-J, $302,305,000, downgraded to Baa3 from Aa3, previously placed on review for possible downgrade on 3/18/2010 -- Class B, $26,518,000, downgraded to Ba1 from A1, previously placed on review for possible downgrade on 3/18/2010 -- Class C, $53,036,000, downgraded to B1 from A2, previously placed on review for possible downgrade on 3/18/2010 -- Class D, $37,125,000, downgraded to B3 from A3, previously placed on review for possible downgrade on 3/18/2010 -- Class E, $37,125,000, downgraded to Caa1 from Baa1, previously placed on review for possible downgrade on 3/18/2010 -- Class F, $42,429,000, downgraded to Caa3 from Baa2, previously placed on review for possible downgrade on 3/18/2010 -- Class G, $53,036,000, downgraded to Ca from Baa3, previously placed on review for possible downgrade on 3/18/2010 -- Class H, $47,733,000, downgraded to C from Ba2, previously placed on review for possible downgrade on 3/18/2010 -- Class J, $53,036,000, downgraded to C from B2 previously placed on review for possible downgrade on 3/18/2010 -- Class K, $42,428,000, downgraded to C from B3, previously placed on review for possible downgrade on 3/18/2010 -- Class L, $26,518,000, downgraded to C from Caa1, previously placed on review for possible downgrade on 3/18/2010 -- Class M, $15,911,000, downgraded to C from Caa1, previously placed on review for possible downgrade on 3/18/2010 -- Class N, $15,911,000, downgraded to C from Caa2, previously placed on review for possible downgrade on 3/18/2010 -- Class O, $10,607,000, downgraded to C from Caa2, previously placed on review for possible downgrade on 3/18/2010 -- Class P, $10,607,000, downgraded to C from Caa3, previously placed on review for possible downgrade on 3/18/2010 -- Class Q, $15,911,000, downgraded to C from Caa3, previously placed on review for possible downgrade on 3/18/2010 GREENWICH CAPITAL: Moody's Reviews Ratings on 15 2005-GG5 Certs. ---------------------------------------------------------------- Moody's Investors Service placed 15 classes of Greenwich Capital Commercial Funding Corp., Commercial Mortgage Pass-Through Certificates, Series 2005-GG5 on review for possible downgrade due to higher expected losses for the pool resulting from anticipated losses from loans in special servicing and increased credit quality dispersion for the remainder of the pool. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the March 12, 2010 distribution date, the transaction's aggregate certificate balance has decreased by approximately 3% to $4.18 billion from $4.29 billion at securitization. The Certificates are collateralized by 172 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 42% of the pool. The pool includes two loans with underlying ratings, representing 3% of the pool. Sixty-one loans, representing 26% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. One loan has been liquidated from the pool with a realized loss of $3.7 million (55% loss severity). Nineteen loans, representing 16% of the pool, are currently in special servicing. At Moody's last full review only three loans, representing less than 1% of the pool, were in special servicing. There has been a $114 million appraisal reduction on 11 loans in special servicing. Moody's review will focus on the performance of the overall pool and potential losses from specially serviced loans and other troubled loans. Moody's rating action is: -- Class A-M, $429,515,000, currently rated Aaa, placed on review for possible downgrade; previously assigned at Aaa on 1/17/2006 -- Class A-J, $300,660,000, currently rated Aaa, placed on review for possible downgrade; previously assigned at Aaa on 1/17/2006 -- Class B, $96,641,000, currently rated Aa2, placed on review for possible downgrade; previously assigned at Aa2 on 1/17/2006 -- Class C, $37,583,000, currently rated Aa3 placed on review for possible downgrade; previously assigned at Aa3 on 1/17/2006 -- Class D, $80,534,000, currently rated A2, placed on review for possible downgrade; previously assigned at A2 on 1/17/2006 -- Class E, $37,582,000, currently rated A3, placed on review for possible downgrade; previously assigned at A3 on 1/17/2006 -- Class F, $53,690,000, currently rated Baa1, placed on review for possible downgrade; previously assigned at Baa1 on 1/17/2006 -- Class G, $42,951,000, currently rated Baa2, placed on review for possible downgrade; previously assigned at Baa2 on 1/17/2006 -- Class H, $48,321,000, currently rated Baa3, placed on review for possible downgrade; previously assigned at Baa3 on 1/17/2006 -- Class J, $21,476,000, currently rated Ba1, placed on review for possible downgrade; previously assigned at Ba1 on 1/17/2006 -- Class K, $21,475,000, currently rated Ba2, placed on review for possible downgrade; previously assigned at Ba2 on 1/17/2006 -- Class L, $21,476,000, currently rated Ba3, placed on review for possible downgrade; previously assigned at Ba3 on 1/17/2006 -- Class M, $5,369,000, currently rated B1, placed on review for possible downgrade; previously assigned at B1 on 1/17/2006 -- Class N, $16,107,000, currently rated B2, placed on review for possible downgrade; previously assigned at B2 on 1/17/2006 -- Class O, $10,738,000, currently rated B3, placed on review for possible downgrade; previously assigned at B3 on 1/17/2006 HARTFORD FINANCIAL: Fitch Assigns 'BB' Rating on $500 Mil. Stock ---------------------------------------------------------------- Fitch Ratings has assigned these ratings to Hartford Financial Services Group, Inc.'s issuances: Hartford Financial Services Group, Inc. -- $300 million 4.0% senior notes due 2015 'BBB-'; -- $500 million 5.5% senior notes due 2020 'BBB-'; -- $300 million 6.625% senior notes due 2040 'BBB-'; -- $500 million 7.25% mandatory convertible preferred stock, series F 'BB'. No action was taken on the ratings of HFSG and its primary life and property/casualty insurance subsidiaries. The Rating Outlook remains Negative. This capital, in addition to a $1.45 million issuance of common stock and existing funds, will be utilized to repurchase HFSG's $3.4 billion of perpetual preferred stock issued in June 2009 under the U.S. Treasury's Capital Purchase Program (CPP) and pre- fund $675 million of debt maturities through 2012. Fitch has assigned a class E designation to the mandatory convertible preferred stock that allocates 100% of the principal to equity in evaluating financial leverage. Overall, Fitch views the replacement of CPP funds with more permanent capital market financing as marginally positive in that it demonstrates an overall improved financial position and increased access to capital markets, although having the CPP capital on hand provided HFSG an additional cushion for near-term uncertainties. However, ultimately, it should reduce the potential negative impact to HFSG's business position, franchise value and management team, which are concerns for companies that operate under federal government support and related restrictions. HFSG's equity credit adjusted debt-to-total capital ratio (including accumulated other comprehensive income) improved significantly to 19.2% at Dec. 31, 2009, down from 31.7% at Dec. 31, 2008. Following the $3.05 billion capital issuance and redemption of CPP, pro forma debt-to-total-capital increases to 24.2%, but remains below Fitch's expected range of 25%-30%. Fitch also expects HFSG to maintain GAAP operating earnings interest coverage of at least 3 times-5x. HFSG maintains financial flexibility with approximately $2.2 billion in holding company cash, fixed maturities and short- term investments at year-end 2009, and expects to have in excess of $1.8 billion following completion of the capital raise and CPP redemption, in addition to a $1.9 billion revolving credit facility and a $500 million contingent capital facility. HOUSE OF EUROPE: Moody's Cuts Class A2 Notes to Ca ---------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of two classes of notes issued by House of Europe Funding IV PLC. The notes affected by the rating action are: -- EUR740,000,000 Class A1 House of Europe Funding IV PLC Floating Rate Notes due 2090 (current balance of 588,380,058), Downgraded to Ba2; previously on September 1, 2009 Downgraded to A2 -- EUR130,000,000 Class A2 House of Europe Funding IV PLC Floating Rate Notes due 2090, Downgraded to Ca; previously on September 1, 2009 Downgraded to Caa3 House of Europe Funding IV PLC is a high-grade collateralized debt obligation issuance backed by a diversified portfolio of euro- denominated structured finance securities such as CMBS, RMBS, CDOs of ABS and CLOs. RMBS are approximately 38% of the underlying portfolio, of which the majority were originated between 2005 and 2007. 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 the weighted average rating factor), and failure of the coverage tests. In particular, the weighted average rating factor, as reported by the trustee, increased from 581 in August 2009 to 680 in March 2010, and is failing the test level of 90. During the same time, the Class A/B/C Overcollateralization ratio decreased from 89.6% to 86.5%, and the Class A/B/C Interest Coverage ratio decreased from 136.7% to 99.3%. The actions also take into consideration the risk of the transaction experiencing an Event of Default. An Event of Default may occur due to a missed interest payment with respect to the Class A, B or C Notes. During the occurrence and continuance of an Event of Default, certain parties to the transaction may be entitled to direct the Trustee to take particular actions with respect to the collateral and the notes, including the sale and liquidation of the assets. The severity of losses of certain tranches may be different depending on the timing and outcome of a liquidation. 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. HOUSE OF EUROPE FUNDING: Moody's Cuts Ratings on Two Classes to B1 ------------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of two classes of Notes issued by House of Europe Funding V PLC. The Notes affected by the rating actions are: -- EUR200,000,000 Class A1 House of Europe Funding V PLC Delayed Draw Note due 2090; Downgraded to B1; Previously on March 18, 2009 Downgraded to Ba2; -- EUR580,000,000 Class A1 House of Europe Funding V PLC Floating Rate Notes due 2090; Downgraded to B1; Previously on March 18, 2009 Downgraded to Ba2. House of Europe Funding V is a collateralized debt obligation backed primarily by a portfolio of Euro denominated Structured Finance securities, with approximately 30% of the portfolio consisting of RMBS and 40% CMBS. The rating downgrade actions reflect deterioration in the credit quality of the underlying portfolio as indicated by rating actions taken with respect to underlying assets. Credit deterioration of the collateral pool is observed through a decline in the average credit rating (as measured by an increase in the weighted average rating factor) and failure of the coverage tests, among other measures. The weighted average rating factor, as reported by the trustee, has increased from 128 in February 2009 to 474 in March 2010. During this same time, defaulted securities increased by ~EUR 9.8 million and the Class A/B Overcollateralization Ratio decreased from 97.04% to 89.32%. In excess of 11% of the ratings assigned to underlying portfolio securities are currently on review for downgrade and since last rating action more than 40% of the portfolio has experienced negative downgrade action. INFINITI SPC: S&P Downgrades Ratings on Class 7C-1 Notes to 'CC' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class 7C-1 notes from Infiniti SPC Ltd.'s Kenmore Street Synthetic CDO 2006-2 to 'CC' from 'CCC-'. The downgrade follows a number of recent write-downs on the underlying reference entities, which have caused the notes to incur partial principal losses. Rating Lowered Infiniti SPC Ltd. Kenmore Street Synthetic CDO 2006-2 Rating ------ Class To From ----- -- ---- 7C-1 CC CCC- JP MORGAN: Fitch Takes Rating Actions on 2002-CIBC5 Notes --------------------------------------------------------- Fitch Ratings takes various rating actions to JP Morgan Chase Commercial Mortgage Securities Corporation's commercial mortgage pass-through certificates, series 2002-CIBC5: Fitch downgrades and assigns LS Ratings and Outlooks to these classes: -- $8.8 million class M to 'B-/LS5' from 'B+'; Outlook Negative; -- $2.5 million class N to 'B-/LS5' from 'B'; Outlook Negative. In addition, Fitch affirms these classes and assigns LS ratings and Outlooks as indicated: -- $52.6 million class A-1 at 'AAA/LS1'; Outlook Stable; -- $487.2 million class A-2 at 'AAA/LS1'; Outlook Stable; -- Interest-only class X-1 at 'AAA'; Outlook Stable; -- Interest-only class X-1 at 'AAA'; Outlook Stable; -- $36.4 million class B at 'AAA/LS3'; Outlook Stable; -- $13.8 million class C at 'AAA/LS4'; Outlook Stable; -- $27.6 million class D at 'AAA/LS3'; Outlook Stable; -- $13.8 million class E at 'AAA/LS4'; Outlook Stable; -- $28.8 million class F at 'AA+/LS3'; Outlook Stable; -- $16.3 million class G at 'AA-/LS4'; Outlook Stable; -- $18.8 million class H at 'BBB+/LS4'; Outlook Stable; -- $12.6 million class J at 'BBB-/LS4'; Outlook Stable; -- $5 million class K at 'BB+/LS5'; Outlook Negative; -- $5 million class L at 'BB/LS5'; Outlook Negative. Fitch does not rate class NR. The downgrades are due to an increase in Fitch expected losses upon the disposition of specially serviced assets along with expected losses from Fitch's prospective review of potential stresses. Fitch expects losses of 2.1% of the remaining transaction balance, or $15.7 million, from loans in special servicing and loans that cannot refinance at maturity based on Fitch's refinance test. Rating Outlooks reflect the likely direction of any changes to the ratings over the next one to two years. As of the March 2010 distribution date, the pool's certificate balance has paid down 26% to $742.8 million from $1 billion at issuance. There are 97 of the original 116 loans remaining in transaction, 29 of which have defeased (29.2% of the current transaction balance). Fitch identified 14 Loans of Concern (9.4%) within the pool, of which three (2.7%) are specially serviced. The largest specially serviced loan (1.2%) is a 384-unit multifamily property in Tallahassee, FL. The loan transferred in February 2009 for payment delinquency. The property performance has suffered as a result of a decline in enrollment at a nearby university as well as increased competition in the market. The servicer reported year-end 2009 debt service coverage ratio was 0.22 times. Losses are expected. The second largest specially serviced asset (0.9%) is a 62,542 square foot retail property in Gilbert, AZ. The loan transferred in December 2009. There servicer reported September 2009 occupancy was 54% and the DSCR was 0.82x. The decrease in occupancy is a result of Bally's vacating approximately 40% of the net rentable area. The third largest specially serviced asset (0.6%) is a 250 pad manufactured housing community located in Grove City, OH. The loan transferred in October 2009 due to payment default. The borrower is in litigation with the county and EPA over allegations that runoff from retention ponds and the water treatment plant have dumped contaminants into a river adjacent to the property. 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. Seven loans did not pay off at maturity and three loans incurred a minimal loss when compared to Fitch's stressed value. JPMORGAN CHASE: S&P Downgrades Ratings on Seven 2005-CIBC11 Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes of commercial mortgage-backed securities from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2005-CIBC11 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 15 other classes from the same transaction and removed eight of them from CreditWatch with negative implications (see list). The rating actions follow S&P's analysis of the transaction using its U.S. conduit and fusion CMBS criteria. The downgrades of the subordinate classes also reflect credit support erosion that S&P anticipates will occur upon the eventual resolution of several specially serviced loans. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, Standard & Poor's calculated an adjusted debt service coverage of 1.55x and a loan- to-value ratio of 90.1%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 1.12x and an LTV of 116.1%. The implied defaults and loss severity under the 'AAA' scenario were 54.2% and 23.7%, respectively. All of the adjusted DSC and LTV calculations excluded 11 ($78.0 million, 5.1%) of the 14 specially serviced loans, and seven ($64.9 million, 4.2%) defeased loans. S&P separately estimated losses for these 11 specially serviced loans, which S&P included in its 'AAA' scenario implied default and loss figures. The affirmations of the ratings on the principal and interest certificates reflect subordination levels that are consistent with the outstanding ratings. S&P affirmed its ratings on the class X- 1 and X-2 interest-only certificates based on S&P's current criteria. S&P published a request for comment proposing changes to the IO criteria on June 1, 2009. After S&P finalizes its criteria review, S&P may revise its current IO criteria, which may affect outstanding ratings, including the ratings on the IO certificates S&P affirmed. Credit Considerations As of the March 2010 remittance report, 14 loans ($93.0 million, 6.0%) were with the special servicer, J.E. Robert Co. Inc. Ten of these loans ($47.9 million, 3.1%) are more than 90 days delinquent, and four ($45.1 million, 2.9%) are within their respective grace periods. Three of the specially serviced loans have appraisal reduction amounts in effect totaling $3.1 million. The West Valley Shopping Center loan ($23.8 million total exposure, 1.5%) is the largest loan with the special servicer and is secured by a 281,291-sq.-ft. anchored retail center in Saginaw, Mich. The loan was transferred to JER on Nov. 20, 2009, due to imminent default. Modification discussions have not been successful, and JER is moving forward with receivership and foreclosure. As of the nine months ended Sept. 30, 2009, the property had a DSC of 1.31x and an occupancy of 88.0%. S&P anticipate a moderate loss upon the resolution of this loan. The 13 remaining specially serviced loans that were listed in the March 2010 remittance report ($69.4 million, 4.5%) have balances that individually represent less than 1.0% of the total pool balance. S&P estimated losses for 10 of these loans ($54.3 million, 3.5%), resulting in a weighted average loss severity of 28.9%. JER is reviewing possible modifications for the three remaining loans ($15.0 million, 1.0%). Transaction Summary As of the March 2010 remittance report, the aggregate trust balance was $1.54 billion, which represents 85.6% of the aggregate pooled trust balance at issuance. There are 140 assets in the pool, down from 145 at issuance. The master servicer for the transaction is Berkadia Commercial Mortgage LLC. The master servicer provided financial information for 99.7% of the loans in the pool, and 96.7% of the servicer-provided information was full- year 2008, interim-2009, or full-year 2009 data. S&P calculated a weighted average DSC of 1.56x for the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.55x and 90.1%, respectively, which exclude 11 specially serviced loans ($78.0 million, 5.1%). Based on the servicer-reported DSC figures, S&P calculated a weighted average DSC of 1.20x for 10 of these 11 loans. Data was not reported for one loan. To date, the transaction has realized $5.2 million of principal losses in connection with two loans. Twenty-five loans ($165.1 million, 10.7%), including the eighth-largest loan in the pool, are on the master servicer's watchlist. Twenty-three of these loans ($139.5 million, 9.0%) have a reported DSC of less than 1.10x, and 14 of these loans ($68.7 million, 4.5%) have a reported DSC of less than 1.0x. Summary Of Top 10 Loans The top 10 nondefeased loans have an aggregate outstanding balance of $655.7 million (42.6%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.67x for the top 10 loans. S&P's adjusted DSC and LTV for the top 10 loans were 1.62x and 82.8%, respectively. One of the top 10 loans, Southmont Center, appears on the master servicer's watchlist due to a low DSC. The Southmont Center loan ($34.3 million, 2.2%) is the eighth- largest loan in the pool and is secured by a 228,467-sq.-ft. anchored retail center in Bethlehem, Penn. As of the nine months ended Sept. 30, 2009, the property's reported DSC was 1.05x with 86.6% occupancy. The vacant space at the property was formerly occupied by a Circuit City store. This space has since been leased to Best Buy, bringing occupancy to 100.0% as of March 1, 2010. Best Buy will commence paying rent in April 2010, and S&P expects that DSC will increase once this occurs. Standard & Poor's stressed the loans in the pool according to its conduit/fusion criteria. The resultant credit enhancement levels are consistent with the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-CIBC11 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- H BB- BBB-/Watch Neg 3.69 J B BB+/Watch Neg 3.26 K CCC BB/Watch Neg 2.67 L CCC- BB-/Watch Neg 2.23 M CCC- B+/Watch Neg 1.94 N CCC- B/Watch Neg 1.65 P CCC- CCC+/Watch Neg 1.21 Ratings Affirmed And Removed From Creditwatch Negative JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-CIBC11 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-J AAA AAA/Watch Neg 15.38 A-JFX AAA AAA/Watch Neg 15.38 B AA AA/Watch Neg 12.46 C AA- AA-/Watch Neg 11.29 D A A/Watch Neg 9.54 E A- A-/Watch Neg 8.08 F BBB+ BBB+/Watch Neg 6.47 G BBB BBB/Watch Neg 5.30 Ratings Affirmed JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-CIBC11 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-2 AAA 22.98 A-3 AAA 22.98 A-4 AAA 22.98 A-SB AAA 22.98 A-1A AAA 22.98 X-1 AAA N/A X-2 AAA N/A N/A -- Not applicable. KATONAH IV: Moody's Reviews Ratings on Three Classes of Notes ------------------------------------------------------------- Moody's Investors Service announced that it has placed under review for possible upgrade the ratings of these notes issued by Katonah IV, Ltd.: -- US$265,000,000 Class A Floating Rate Notes Due 2015 (Current outstanding balance of $180,334,010), A2 Placed Under Review for Possible Upgrade, previously on May 28, 2009 Downgraded to A2; -- US$32,750,000 Class B Floating Rate Notes Due 2015, B2 Placed Under Review for Possible Upgrade, previously on May 28, 2009 Downgraded to B2; -- US$14,000,000 Class C Floating Rate Notes Due 2015, Ca Placed Under Review for Possible Upgrade, previously on May 28, 2009 Downgraded to Ca. According to Moody's, the rating actions taken on the notes result primarily from substantial delevering of the transaction over the past year , improvement in the credit quality of the underlying portfolio, and a significant increase in the overcollateralization of the rated notes since the last rating action in May 2009. Since the last rating action taken on May 28, 2009, the Class A Notes were paid a total of about $47million, accounting for roughly 20% of the total Class A outstanding balance reported in April 2009. Moody's expects continued delevering with the end of the reinvestment period in March 2008. Improvement in the credit quality is observed through an increase in the average credit rating (as measured through the weighted average rating factor) and a decrease in the dollar amount of defaulted securities. In particular, the weighted average rating factor has decreased from 3368 as of the April 2009 trustee report to 3238 as of the last trustee report dated February 12, 2010. Based on the same report, defaulted securities currently total about $22.7 million, which has come down from the $29.6 million in defaulted collateral reported in April 2009. Additionally, overcollateralization of the rated notes has increased significantly since the last rating action in May 2009. As of the February 2010 trustee report, the Class A, Class B, and Class C overcollateralization test levels are reported at 133.65%, 113.11%, and 106.14%, versus April 2009 levels of 124.52%, 108.81%, and 103.24 %, respectively. On May 28, 2009, Moody's downgraded all Notes issued by Katonah IV Ltd. as a result of the application of revised and updated key modeling assumptions as well as the deterioration in the credit quality of the transaction's underlying portfolio. Katonah IV, Ltd., issued in February 2003, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. KINGSLAND IV: Moody's Reviews Ratings on Three Classes of Notes --------------------------------------------------------------- Moody's Investors Service announced that it has placed the ratings of these notes issued by Kingsland IV, Ltd., under review for possible upgrade: -- US$22,900,000 Class B Senior Secured Floating Rate Notes Due 2021, Baa3 Placed Under Review for Possible Upgrade; previously on September 24, 2009 Downgraded to Baa3; -- US$25,000,000 Class C Senior Secured Deferrable Floating Rate Notes Due 2021, B2 Placed Under Review for Possible Upgrade; previously on September 24, 2009 Downgraded to B2; -- US$18,000,000 Class D Senior Secured Deferrable Floating Rate Notes Due 2021, Caa3 Placed Under Review for Possible Upgrade; previously on September 24, 2009 Downgraded to Caa3. According to Moody's, the rating actions taken on the notes result primarily from improvement in the credit quality of the underlying portfolio since the last rating action in September 2009. In Moody's view, these positive developments coincide with reinvestment of sale proceeds into substitute assets with higher par amounts and/or higher ratings. Improvement in the credit quality is observed through a decrease in the dollar amount of defaulted securities, an improvement in the average credit rating (as measured by the weighted average rating factor) and a decrease in the proportion of securities from issuers rated Caa1 and below. In particular, as of the last trustee report dated February 15, 2010, defaulted securities total about $9.5 million, which is significantly less than the $22 million in defaulted securities reported in the July 2009 report. Based on the same report, the weighted average rating factor is currently 2359 compared to 2570 in July 2009, and securities rated Caa1 or lower make up approximately 5.8% of the underlying portfolio versus 10% in July 2009. Kingsland IV, Ltd., issued in February 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. On September 24, 2009, Moody's downgraded all the notes issued by Kingsland IV, Ltd., as a result of the application of revised and updated key modeling assumptions as well as the deterioration in the credit quality of the transaction's underlying portfolio. KLEROS REAL: Moody's Downgrades Ratings on Class A-1 Notes ---------------------------------------------------------- Moody's Investors Service announced that it has downgraded the rating of one class of notes issued by Kleros Real Estate CDO IV, Ltd. The notes affected by the rating action are: -- US$300,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due December 2050, Downgraded to Ca; previously on 2/6/2009 Downgraded to Ba1 Kleros Real Estate CDO IV, Ltd. is a collateralized debt obligation issuance backed by a portfolio of primarily Residential Mortgage-Backed Securities originated between 2004 and 2007, with the majority originated in 2006. 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) and failure of the coverage tests. The weighted average rating factor, as reported by the trustee, has increased from 3097 in February 2009 to 4023 in January 2010. In addition, the Trustee reports that the transaction is currently failing its Overcollateralization test. 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 14th for Alt-A, and January 27th 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. LB-UBS COMMERCIAL: Fitch Takes Rating Actions on 2003-C1 Notes -------------------------------------------------------------- Fitch Ratings affirms, assigns Loss Severity ratings and Outlooks to LB-UBS Commercial Mortgage Trust commercial mortgage pass- through certificates, series 2003-C1: -- $72.9 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $537.5 million class A-4 at 'AAA/LS1'; Outlook Stable; -- $97.3 million class A-1B at 'AAA/LS1'; Outlook Stable; -- Interest-only (I/O) classes X-CL and X-CP at 'AAA'; -- $25.7 million class B at 'AAA/LS1'; Outlook Stable; -- $25.7 million class C at 'AAA/LS1'; Outlook Stable; -- $20.6 million class D at 'AAA/LS1'; Outlook Stable; -- $18.9 million class E at 'AAA/LS1'; Outlook Stable; -- $17.1 million class F to 'AAA/LS1'; Outlook Stable; -- $18.9 million class G to 'AAA/LS3'; Outlook Stable; -- $18.9 million class H to 'AA/LS3'; Outlook Stable; -- $12 million class J to 'A/LS3'; Outlook Stable; -- $10.3 million class K to 'A-/LS3'; Outlook Stable; -- $18.9 million class L to 'BBB/LS3'; Outlook Stable; -- $6.9 million class M to 'BBB-/LS4'; Outlook Stable; -- $6.9 million class N to 'BB/LS4'; Outlook Stable; -- $10.3 million class P at 'B+/LS5'; Outlook Negative; -- $5.1 million class Q at 'B/LS5'; Outlook Negative; -- $5.1 million class S at 'B-/LS5'; Outlook Negative. Classes A-1 and A-2 have been paid in full. Fitch does not rate the $7.0 million class T. 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. Fitch expects 0.8% or $7.3 million, of losses associated with loans currently in special servicing and loans that cannot refinance at maturity based on Fitch's refinance test. As of the March 2010 distribution date, the pool's certificate balance has paid down 31.8% to $935.9 million from $1.4 billion at issuance. There are 93 of the original 114 loans remaining in transaction, 16 of which have defeased (28.2% of the current transaction balance). There are five specially serviced loans of which, one is real estate owned, two are in foreclosure, and two are recent maturity defaults. Fitch expects losses from loans currently in special servicing to be absorbed by the unrated class M. 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 7.25% 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. Seventeen loans did not payoff at maturity and one loan incurred a minimal loss when compared to Fitch's stressed value. LIMEROCK CLO: Moody's Reviews Ratings on Various Classes of Notes ----------------------------------------------------------------- Moody's Investors Service announced that it has placed the ratings of these notes issued by Limerock CLO I under review for possible upgrade: -- US$23,000,000 Class A-3b Floating Rate Notes Due 2023, Baa1 Placed Under Review for Possible Upgrade; previously on June 9, 2009 Downgraded to Baa1; -- US$29,000,000 Class A-4 Floating Rate Notes Due 2023, Baa3 Placed Under Review for Possible Upgrade; previously on June 9, 2009 Downgraded to Baa3; -- US$22,000,000 Class B Deferrable Floating Rate Notes Due 2023, Ba3 Placed Under Review for Possible Upgrade; previously on June 9, 2009 Downgraded to Ba3; -- US$19,000,000 Class C Floating Rate Notes Due 2023, Caa2 Placed Under Review for Possible Upgrade; previously on June 9, 2009 Downgraded to Caa2; -- US$20,000,000 Class D Floating Rate Notes Due 2023, C Placed Under Review for Possible Upgrade; previously on June 9, 2009 Downgraded to C; -- US$14,000,000 Class J Blended Securities (current Rated Balance of $12,303,931), Caa1 Placed Under Review for Possible Upgrade; previously on June 9, 2009 Downgraded to Caa1. According to Moody's, the rating actions taken on the notes result primarily from improvement in the credit quality of the underlying portfolio and a significant increase in the overcollateralization of the rated notes since the last rating action in June 2009. In Moody's view, these positive developments coincide with reinvestment of principal repayments and sale proceeds into substitute assets with higher par amounts and/or higher ratings. Improvement in the credit quality is observed through a decrease in the dollar amount of defaulted securities, an improvement in the average credit rating (as measured by the weighted average rating factor) and a decrease in the proportion of securities from issuers rated Caa1 and below. In particular, as of the last trustee report dated February 10, 2010, defaulted securities total about $28.3 million, which is significantly less than the $46.7 million of defaulted collateral reported in the May 2009 report. Based on the same report, the weighted average rating factor is currently 2957 compared to 3069 in May, and securities rated Caa1 or lower make up approximately 7.9% of the underlying portfolio versus 14.7% in May. Additionally, the overcollateralization ratios of the rated notes have increased significantly since the last rating action in June 2009, and interest payments on the Class D Notes are no longer being deferred as a result of the cure of the Class B and Class C Overcollateralization Tests. The Class A, Class B, Class C and Class D Overcollateralization Ratios are reported at 120.76%, 114.35%, 109.33% and 104.51%, respectively versus May 2009 levels of 110%, 104.2%, 99.7% and 95.2%, respectively, and are all currently in compliance. Moody's also notes that the transaction has benefited from exposure to mezzanine and junior CLO tranches whose recent credit qualities have stabilized or improved. Limerock CLO I, issued in April 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. On June 9, 2009, Moody's downgraded all the Notes issued by Limerock CLO I as a result of the application of revised and updated key modeling assumptions as well as the deterioration in the credit quality of the transaction's underlying portfolio. LOUISIANA PUBLIC: S&P Affirms 'BB' Rating on Two Bonds ------------------------------------------------------ Standard & Poor's Ratings Services removed its rating on Louisiana Public Facilities Authority's series 1993 and 1999 bonds, issued for Touro Infirmary, from CreditWatch with negative implications, where it had been placed on April 22, 2009, and assigned a positive outlook to the rating. At the same time, Standard & Poor's affirmed its 'BB' long-term rating on the bonds. "The positive outlook largely reflects the affiliation agreement signed with Children's Hospital of New Orleans, under which Touro expects to receive considerable funding," said Standard & Poor's credit analyst Karl Propst. "The outlook also reflects additional committed Medicaid funds from the state." A higher rating is currently precluded by still weak operating performance, high leverage, and limited liquidity. Touro's affiliation agreement with Children's Hospital of New Orleans and the Louisiana Children's Medical Center, parent of Children's Hospital, became effective in July 2009. The agreement will supply Touro with capital needed to grow and renovate its physical plant. Management also expects the affiliation to create group purchasing, insurance, and other synergies for the combined system. Children's pledged to contribute a minimum of $100 million to Touro over the next five years for capital improvements. The amount was subsequently reduced to $88 million, with the remainder to come from $25 million in special state of Louisiana payments made to the hospital in 2009 and 2010. For fiscal 2010 Touro has budgeted an operating loss of $15.7 million (compared with $18.3 million in fiscal 2009) and positive net excess of $19.5 million after the receipt of $16.6 million of Medicaid Block Grant Funding and $14.5 million from Children's Hospital. Touro Infirmary and Subsidiaries operates as a diversified provider of acute- and long-term care services to the New Orleans market, principally to the uptown area on New Orleans' east bank, in Orleans Parish. Currently the hospital has 347 licensed beds, of which 260 are staffed. MAX CMBS: Moody's Reviews Ratings on 14 Classes of Notes -------------------------------------------------------- Moody's Investors Service placed fourteen classes of Notes issued by Max CMBS I Ltd. under review for possible downgrade due to deterioration in the credit quality of the underlying portfolio as evidenced by deterioration in the weighted average rating factor. Two transactions are affected: Max CMBS I Ltd. and Max CBMS I Ltd., Series 2008-1. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. Series 2007-1 and Series 2008-1 are cross-collateralized static cash CRE CDO transactions backed by a portfolio of commercial mortgage backed securities (100% of the pool balance). As of the February 18, 2010 Trustee report, the aggregate Note balance of the Series 2007-1 transaction was $2.097 billion, the same as that at securitization; the aggregate Note balance of the Series 2008-1 transaction was $5.782 billion, the same as that at securitization. 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. Moody's review will focus on potential losses from defaulted collateral and these key indicators. The rating action is: Max CMBS I Ltd. $2.097 Billion of Structured Securities Affected -- Class A-1, Aaa Placed Under Review for Possible Downgrade; previously on March 19, 2009 Confirmed at Aaa Max CMBS I Ltd., Series 2008-1 $5.782 Billion of Structured Securities Affected -- Class A-1, Aaa Placed Under Review for Possible Downgrade; previously on March 19, 2009 Confirmed at Aaa -- Class A-2A, Aa3 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Aa3 -- Class A-2B, Aa3 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Aa3 -- Class X-W*, Aa3 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Aa3 -- Class X-B*, Aa3 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Aa3 -- Class X-C*, Aa3 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Aa3 -- Class C, A2 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to A2 -- Class E, A3 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to A3 -- Class F, Baa1 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Baa1 -- Class G, Baa2 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Baa2 -- Class H, Baa2 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Baa2 -- Class J, Baa3 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Baa3 -- Class K, Ba1 Placed Under Review for Possible Downgrade; previously on March 19, 2009 Downgraded to Ba1 * Notional Class Moody's monitors transactions on both a monthly basis through a review of the available Trustee Reports and a periodic basis through a full review. Moody's prior review is summarized in a press release dated March 19, 2009. MORGAN STANLEY: Moody's Confirms Ratings on Two Classes of Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has confirmed its rating on 70% fixed recovery rate notes issued by Morgan Stanley ACES SPC Series 2007-1, a collateralized debt obligation transaction referencing a static portfolio of corporate loans. The rating action is: Issuer: Morgan Stanley ACES SPC, Series 2007-1 -- US$10,000,000 Class B Secured Floating Rate Notes due 2012, Confirmed at Baa2; previously on December 7, 2009 Baa2 Placed Under Review for Possible Downgrade -- US$6,500,000 Class C Secured Floating Rate Notes due 2012, Confirmed at Ba2; previously on December 7, 2009 Ba2 Placed Under Review for Possible Downgrade Moody's explained that the rating action taken is primarily the result of the shorter time remaining to maturity of the deal which is expected to offset the portfolio credit deterioration. Since the last downgrade of the transaction, the subordination of the rated tranches has been reduced due to credit events on Charter Communications Holdings LLC, Dex Media East LLC, Dex Media West LLC, General Growth Properties Inc., HLI Operating Company Inc, Lear Corporation, Six Flags Inc., Accuride Corporation, and MGM Studios. These credit events reduced subordination by approximately 3.8%, which prompted Moody's to place the transaction on watch for downgrade in December 2009, pending further analysis. Since then, among other analysis, Moody's examined the sensitivity of the transaction's credit risk profile to a decrease in the remaining time to maturity. Other things being equal, a reduction of time to maturity has a positive impact which will increase over time. In light of this effect, Moody's believes that the current ratings on the notes are appropriate. The portfolio has the highest industry concentrations in Hotel, Gaming & Leisure (15%), Containers, Packaging & Glass (12%), Media: Broadcasting & Subscription (11%), and Chemicals, Plastics, & Rubber (9%). MORGAN STANLEY: Moody's Downgrades Ratings on 2001-TOP3 Certs. -------------------------------------------------------------- Moody's Investors Service downgraded the ratings of one class of Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, Commercial Mortgage Pass-Through Certificates, Series 2001-TOP3 and placed eight classes on review for possible downgrade. Moody's downgraded the rating of Class M because it has experienced an aggregate $11.5 million realized loss from the liquidation of six specially serviced loans (42% loss severity on average). Eight classes were placed on review for possible downgrade due to higher expected losses for the pool resulting from realized and anticipated losses from loans in special servicing and concerns about refinancing risk associated with loans approaching maturity in an adverse environment. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the March 15, 2010 statement date, the transaction's aggregate certificate balance has decreased 32% to $701.3 million from $1.0 billion at securitization. The certificates are collateralized by 133 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten non-defeased loans representing 32% of the pool. The pool contains one loan, representing 5% of the pool, with an underlying investment grade rating. Eighteen loans, representing 15% of the pool, have defeased and are secured by U.S. Government securities. Twenty-seven loans, representing 12% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Five loans, representing 5% of the pool, are currently in special servicing. The largest specially serviced loan is the Detroit Center Tool Building ($13.8 million -- 2% of the pool), which is secured by an industrial building located in Sterling Heights, Michigan. The loan transferred into special servicing in December 2009 because the building's sole tenant vacated the property when their lease expired. The remaining four specially serviced loans are secured by a mix industrial, unanchored retail centers, and office properties. Moody's review will focus on the performance of the overall pool and potential losses from specially serviced loans and loans with near-term maturities. Moody's rating action is: -- Class C, $28,273,000, currently rated Aa2; on review for possible downgrade; previously on 8/9/2007 upgraded to Aa2 from A1 -- Class D, $12,852,000, currently rated A1; on review for possible downgrade; previously on 8/9/2007 upgraded to A1 from A3 -- Class E, $17,992,000, currently rated Baa2; on review for possible downgrade; previously on 7/30/2001 assigned Baa2 -- Class F, $11,566,000, currently rated Baa3; on review for possible downgrade; previously on 7/30/2001 assigned Baa3 -- Class G, $11,566,000, currently rated Ba1; on review for possible downgrade; previously on 7/30/2001 assigned Ba1 -- Class H, $10,281,000, currently rated Ba3; on review for possible downgrade; previously on 6/4/2009 downgraded to Ba3 from Ba2 -- Class J, $8,996,000, currently rated B3; on review for possible downgrade; previously on 6/4/2009 downgraded to B3 from B1 -- Class L, $5,140,000, currently rated Caa3; on review for possible downgrade; previously on 6/4/2009 downgraded to Caa3 from B3 -- Class M, $1,339,369, downgraded to C from Ca; previously on 6/4/2009 downgraded to Ca from Caa1 MORGAN STANLEY: S&P Corrects Rating on Class A-11 Notes From 'BB+' ------------------------------------------------------------------ Standard & Poor's Ratings Services corrected its rating on Morgan Stanley ACES SPC's secured fixed-rate class A-11 notes series 2006-8 $3 million by raising it to 'BBB-' from 'BB+' and removing it from CreditWatch with positive implications, where it was placed on Nov. 20, 2009. The rating on the class A-11 notes is dependent on the lowest of the ratings on the reference obligation, Rock-Tenn Co.'s $250 million 8.2% senior secured notes due Aug. 15, 2011 ('BBB-'); Morgan Stanley ('A'), which acts as the swap payments guarantor; and the underlying security, BA Master Credit Card Trust II's class A floating-rate asset-backed certificates series 2001-B due Aug. 15, 2013 ('AAA'). On Nov. 24, 2009, S&P raised its rating on Rock-Tenn Co.'s $250 million 8.2% senior secured notes due Aug. 15, 2011, to 'BBB- 'from 'BB+' and removed it from CreditWatch with positive implications. However, due to an error, S&P did not contemporaneously take rating action on the class A-11 notes. MORGAN STANLEY: S&P Downgrades Ratings on Various Classes to 'CC' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on classes IVA, IVB, and IVC from Morgan Stanley Managed ACES SPC's series 2006-6 to 'CC' from 'CCC-'. The downgrades follow a number of credit events within the portfolio of underlying corporate reference entities. S&P received final valuations on the credit events in the underlying portfolio, which indicated that losses in the portfolio caused these notes to incur partial principal losses. PHOENIX CDO: Fitch Takes Rating Actions on Various Classes ---------------------------------------------------------- Fitch Ratings has affirmed three and downgraded one class of notes issued by Phoenix CDO II, Ltd. Since July 2003, the transaction has been in a technical event of default due to the fact that the aggregate principal balance of the collateral debt securities fell below the aggregate balance of the rated notes. In December 2003, the majority holders of the senior class voted to accelerate the maturity of the transaction. Therefore, since the March 2004 payment date all interest and principal proceeds have been used to pay the class A interest and principal and will continue to do so until the notes are paid in full. As of the February 2010 trustee report, the current balance of the portfolio is $126.3 million. Defaulted securities, as defined in the transaction's governing documents, now comprise 20.3% of the portfolio, compared to 14.2% at last review in March 2009. Approximately 17.6% of the portfolio has been downgraded since Fitch's last rating action, resulting in 35% of the portfolio with a Fitch derived rating below investment grade and 29.9% with a rating in the 'CCC' rating category or below, as compared to 17.1% and 5.0%, respectively, at last review. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model (SF PCM) for projecting future default levels for the underlying portfolio. These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under 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 notes' breakeven rates are generally consistent with the rating assigned below. The affirmation of the class A notes is attributed to the increase in credit enhancement available to the notes resulting from principal amortizations and the application of interest proceeds to pay down class A notes' balance. Since the last review, approximately 12.7% of the class A notes' balance amortized down thereby offsetting the effect of the collateral deterioration. The notes received $40.1 million in 2009 following $37.7 million in paydowns during 2008. Presently the class A notes represent 26.3% of the capital structure and have a credit enhancement of 69.9%. According to the latest trustee report, only 48 assets remain in the Phoenix II's portfolio. To account for the increased likelihood that the class A notes' performance may be adversely impacted by a few assets that may underperform, Fitch revised the Outlook to Negative. Additionally, the class A notes are assigned a Loss Severity rating of 'LS3'. The LS rating indicates a tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the base-case loss expectation for the collateral, as explained in 'Criteria for Structured Finance Loss Severity Ratings'. Currently, for the class A notes this ratio is in the range of 1.1 to 4.0. The LS rating should always be considered in conjunction with the probability of default for tranches. Fitch does not assign LS ratings and Outlooks for classes rated 'CCC' and lower. As a result of the acceleration of maturity, class B has missed its interest payments since acceleration in 2003. Because the class B notes are rated to the timely receipt of interest, Fitch considers this class to be in default on the payment of interest and is therefore downgrading this class to 'D'. As of the March 2010 payment date, the class B notes have accrued approximately $9.7 million of defaulted interest payments and will continue to accrue defaulted interest, as well as interest on the defaulted interest, until the class A notes are paid in full. However, Fitch expects the class B investors to receive ultimate interest and principal payments under the 'BB' stress scenarios by the legal final maturity date. The class C-1 and C-2 notes are no longer receiving interest distributions and are not expected to receive any proceeds going forward. Phoenix CDO II is a cash flow collateralized debt obligation, which closed on May 16, 2000, and is managed by Phoenix Investment Partners, Ltd. The current portfolio is comprised of approximately 42% residential mortgage-backed securities, 30% commercial mortgage-backed securities, 21.7% commercial asset-backed securities, and 6.3% of consumer ABS. Fitch has taken rating actions on the classes listed below: -- $37,966,444 class A notes affirmed at 'AAA', assigned LS3, Outlook revised to Negative from Stable; -- $39,000,000 class B notes downgraded to 'D' from 'BB', removed Outlook Stable; -- $29,586,433 class C-1 notes affirmed at 'C'; -- $21,487,278 class C-2 notes affirmed at 'C'. PYXIS MASTER: S&P Withdraws 'B-' Rating on Point Green II Units --------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its rating on the Point Green II units issued by Pyxis Master Trust's series 2007- 28, a synthetic corporate investment-grade collateralized debt obligation transaction. The rating withdrawal follows the complete redemption of the notes pursuant to the notice dated Dec. 18, 2009. Rating Withdrawn Pyxis Master Trust Series 2007-28 Point Green II units Rating Balance (mil. $) ------ ---------------- To From Current Previous -- ---- ------- -------- Trust units NR B- 0.000 30.000 NR - Not rated. REPACS TRUST: S&P Withdraws 'CCC-' Rating on Debt Units ------------------------------------------------------- Standard & Poor's Ratings Services withdrew its 'CCC-' rating on the debt units from REPACS Trust Series 2006 Mount Ventoux, a synthetic corporate investment-grade collateralized debt obligation transaction. The rating withdrawal follows the cancellation of the debt units. Rating Withdrawn REPACS Trust Series 2006 Mount Ventoux Rating Balance (mil. $) ------ ---------------- To From Current Previous -- ---- ------- -------- Debt Units NR CCC- 0.000 25.000 NR - Not rated. SAGAMORE CLO: Moody's Reviews Ratings on Two Classes of Notes ------------------------------------------------------------- Moody's Investors Service announced that it has placed the ratings of these notes issued by Sagamore CLO, Ltd., under review for possible upgrade: -- US$18,000,000 Class B Deferrable Note Rights Due 2015, B1 Placed Under Review for Possible Upgrade; previously on June 9, 2009 Downgraded to B1; -- US$5,000,000 Class 2 Participation Notes Due 2015 (current rated balance of $2,893,448), B2 Placed Under Review for Possible Upgrade; previously on June 9, 2009 Downgraded to B2. According to Moody's, the rating action taken on the Class B notes results primarily from improvement in the credit quality of the underlying portfolio and an increase in the overcollateralization of the notes since the last rating action in June 2009. The notes also benefited from the delevering of the Class A-1, A-2 and A-3 notes, which have been paid down by approximately $20 million since the last rating action. Moody's expects delevering to continue as a result of the end of the deal's reinvestment period in October 2009. Improvement in the credit quality is observed through a decrease in the dollar amount of defaulted securities, an improvement in the average credit rating (as measured by the weighted average rating factor) and a decrease in the proportion of securities from issuers rated Caa1 and below. In particular, as of the latest trustee report dated March 5, 2010, defaulted securities total about $16.1 million, compared to $27.5 million of defaulted collateral reported in the May 2009 report. Based on the same report, the weighted average rating factor is currently 2732 compared to 2893 in May 2009, and securities rated Caa1/CCC+ or lower make up approximately 11.6% of the underlying portfolio versus 17.4% in May 2009. Additionally, the Class B overcollateralization ratio increased to 111.44% from 105.09% in May 2009. Moody's also notes that the transaction has benefited from exposure to mezzanine and junior CLO tranches whose recent credit qualities have either stabilized or improved. The rating action taken on the Class 2 Participation Notes reflects the fact that interest payments on the Class B and Class C Notes are no longer being deferred since October 2009 as a result of the cure of the Class A and Class B overcollateralization tests. Sagamore CLO, Ltd., issued in October 2003, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. On June 9, 2009, Moody's downgraded all the notes issued by Sagamore CLO, Ltd., as a result of the application of revised and updated key modeling assumptions as well as the deterioration in the credit quality of the transaction's underlying portfolio. VALLEJO PUBLIC: S&P Raises Rating on $10.8 Mil. Bonds From 'B' -------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating and underlying rating to 'BBB' from 'B' on Vallejo Public Financing Authority, Calif.'s $10.8 million series 2003A local agency revenue bonds, issued for Vallejo-Glen Cove Community Assessment District No. 61. Standard & Poor's also removed the rating and SPUR from CreditWatch with developing implications, where they had been placed on May 7, 2008, and assigned a stable outlook to the rating and SPUR. "The rating action is based on S&P's understanding that despite the city's current Chapter 9 bankruptcy status, pledged assessment revenues securing the bonds have been deemed restricted for debt service by the courts, with all historical debt service payments being made in a full and timely manner," said Standard & Poor's credit analyst Paul Dyson. The series 2003A bonds, issued pursuant to California's Marks-Roos Local Bond Pooling Act of 1985, are special obligations of the authority secured by revenues from the repayment of district's 1993A bonds and from a debt service reserve fund currently funded at $1.08 million (10% of the original par amount). Coverage of district debt service by fiscal 2010 assessments is estimated by management at 1.04x, with coverage of series 2003 authority debt service by district debt service at 1.46x. S&P believes that dilution of coverage is unlikely due to provisions against the district or the authority issuing additional bonds, and given the bonds' short maturity (2011). Further strengthening the security of the revenue stream, in S&P's opinion, is the diversity of the tax base -- the leading 10 taxpayers represent just 2% of the total lien. The short maturity on the outstanding debt, combined with the debt service reserve fund, adds a significant amount of credit comfort, in S&P's view, despite the district's rising delinquencies and its large fiscal 2010 assessed value decline; these factors also provide us with a degree of comfort with regard any uncertainty related to the city's current bankruptcy status. Also, the direct value-to-lien ratio has grown to what S&P considers an extremely strong 196 to 1 as of fiscal 2010. The combination of a lack of reserves, the city's inability to generate additional revenues, and the burden of fixed labor contracts led to the city's decision to file for Chapter 9 bankruptcy in May 2008. However, since that filing, court rulings have deemed assessment district revenues as restricted for debt service and protected from claims from various debtors of the city, thus presenting a legal hurdle to the city appropriating such revenues for other purposes. As such, no debt service payments have been delayed or missed to date, nor has a draw from the debt service reserve fund occurred. Assessment District No. 61, also known as Glen Cove, is a fully developed residential community in the City of Vallejo that contains 2,554 single-family parcels. WACHOVIA BANK: Fitch Downgrades Ratings on Series 2003-C9 Certs. ---------------------------------------------------------------- Fitch Ratings has downgraded and assigned Rating Outlooks to several classes of Wachovia Bank Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2003-C9. Fitch has also assigned Loss Severity ratings and Recovery Ratings to numerous classes. 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 24.4% to $868.7 million from $1,149.2 million at issuance. Eleven loans are defeased (13% of the current transaction balance). There are six specially serviced loans in the pool (11.5%), including the third (7%) and 11th (2%) largest loans. Three loans are delinquent, two are in foreclosure, and one is current. The largest specially serviced asset (7%) is a 1.4 million sf regional mall located n Lancaster, PA. The loan transferred to special servicing in April 2009 due to bankruptcy of the borrowing entity. The loan is current following three months of timely payments by the borrower. The special servicer and the borrower agreed to a modification plan, and the loan is expected to return to the master in April 2010. Fitch does not expect a loss on this loan due to strong performance (2008 NOI DSCR 2.40 times (x) with occupancy of 97%). The second largest specially serviced asset is a 360-unit multifamily property located in Gainesville, FL. The loan transferred to special servicing in October 2009 due to monetary default. The special is in discussion with the borrower regarding a loan modification. The Gainesville apartment market is weak as the property's current 67% occupancy reflects. 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, eleven loans (5.6% of the pool) incurred a loss when compared to Fitch's stressed value. Fitch expects losses of 3% of the remaining transaction balance, or $26 million, from loans in special servicing and loans that cannot refinance at maturity based on Fitch's refinance test. Fitch has downgraded and assigned Outlooks, LS ratings and RRs as indicated: -- $15.8 million class G to 'BB/LS5' from 'BBB+'; Outlook Negative; -- $15.8 million class H to 'B/LS5' from 'BBB-'; Outlook Negative; -- $8.6 million class J to 'B-/LS5' from 'BB+'; Outlook Negative'; -- $5.7 million class K to 'B-/LS5' from 'BB'; Outlook Negative'; -- $4.3 million class L to 'B-/LS5' from 'BB-'; Outlook Negative'; -- $4.3 million class M to 'B-/LS5' from 'B+'; Outlook Negative'; -- $5.7 million class N to 'CC/RR6' from 'B'; -- $2.9 million class O to 'CC/RR6' from 'B-'. Classes J, K, L, M, N, and O have been removed from Rating Watch Negative. In addition, Fitch has affirmed, maintains or revises Outlooks and assigns LS ratings to these classes as indicated: -- $172.3 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $508.5 million class A-4 at 'AAA/LS1'; Outlook Stable; -- Interest-only classes XC and XP at 'AAA'; -- $34.5 million class B at 'AAA/LS4'; Outlook Stable; -- $17.2 million class C at 'AAA/LS4'; Outlook Stable; -- $33 million class D at 'AA-/LS4'; Outlook Stable; -- $14.4 million class E at 'A/LS5'; Outlook revised to Stable from Negative; -- $15.8 million class F at 'A-/LS5'; Outlook Negative. Fitch does not rate the $9.8 million class P. WACHOVIA BANK: Fitch Takes Various Rating Actions on 2003-C3 Notes ------------------------------------------------------------------ Fitch Ratings takes various rating actions to Wachovia Bank Commercial Trust's commercial mortgage pass-through certificates, series 2003-C3: Fitch downgrades, assigns LS ratings and Outlooks to these classes: -- $12.9 million class H to 'BBB/LS5' from 'A'; Outlook Negative; -- $22.3 million class J to 'BB/LS4' from 'BBB'; Outlook Negative; -- $9.4 million class K to 'B-/LS5' from 'BB+'; Outlook Negative; -- $7.0 million class L to 'B-/LS5' from 'BB-'; Outlook Negative; -- $2.3 million class M to 'B-/LS5' from 'B+'; Outlook Negative; In addition, Fitch downgrades and assigns Recovery Ratings to these classes: -- $7.0 million class N to 'CCC/RR3' from 'B-'; -- $4.7 million class O to 'CC/RR6' from 'CCC'; In addition, Fitch affirms these classes, assigns LS ratings, and revises Outlooks as indicated: -- $10.5 million class F at 'AAA/LS5'; Outlook Negative; -- $12.9 million class G at 'AA/LS5'; Outlook Negative; In addition, Fitch affirms these classes and assigns LS ratings as indicated: -- $66.3 million class A-1 at 'AAA/LS1'; Outlook Stable; -- $477.8 million class A-2 at 'AAA/LS1'; Outlook Stable; -- Interest-only class IO-I at 'AAA'; Outlook Stable; -- Interest-only class IO-II at 'AAA'; Outlook Stable; -- $36.3 million class B at 'AAA/LS4'; Outlook Stable; -- $12.9 million class C at 'AAA/LS5'; Outlook Stable; -- 25.8 million class D at 'AAA/LS4'; Outlook Stable; -- 12.9 million class E at 'AAA/LS5'; Outlook Stable; Fitch does not rate class P. The downgrades are due to an increase in Fitch expected losses (3.7% of the original deal balance) upon the disposition of specially serviced assets along with expected losses from Fitch's prospective review of potential stresses. Rating Outlooks reflect the likely direction of any changes to the ratings over the next one to two years. There are 117 of the original 130 loans remaining in transaction, 18 of which have defeased (18.5% of the current transaction balance). There are 10 specially serviced loans of which, five are REO, one is 90+ days delinquent, two are 60+ days delinquent, and two are 30+ days delinquent. The largest specially serviced asset (2.9%) is a 208-unit multifamily property in Tampa, FL. The loan transferred Feb. 10, 2010 for payment default. The borrower is seeking short-term forbearance but has yet to submit a detailed proposal and property performance report. The second largest specially serviced asset (1.4%) is a 464-unit multifamily property in San Antonio, TX. The loan transferred May 13, 2009 due to significant deferred maintenance. The loan is currently 30 days delinquent, and the lender will continue monitoring the loan. The third largest specially serviced asset (1.1%) is a 107,087 square foot office property in Aurora, IL. The loan transferred April 15, 2009 due to payment default, and the property is currently REO. The borrower was unable to pay the debt service after losing the largest tenant, Hallmark, in January 2009. The borrower has been unable to fill the space previously occupied by Hallmark. 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. Nineteen loans did not payoff at maturity and five loans incurred a minimal loss when compared to Fitch's stressed value. WEBBERVILLE: S&P Downgrades Rating on Bonds to 'BB' --------------------------------------------------- Standard & Poor's Ratings Services has lowered its long-term rating on Webberville, Michigan's series 1994 water and sewer revenue bonds to 'BB' from 'BB+' due to the village's failure to follow through with planned rate increases, which resulted in a decrease in coverage to 0.7x in fiscal 2009, and management's expectation of similar coverage for fiscal 2010. The outlook is stable. The rating is also based on Standard & Poor's opinion of these credit factors: * History of infrequent rate increases to address decreasing coverage; * Combined rates that are currently above statewide averages for rated water and sewer utilities; * Recently strong, albeit decreasing, liquidity, which fell to 482 days' cash on hand in fiscal 2009, and management's expectation that the downward trend will continue in fiscal 2010. These weaknesses are moderated by good income levels in the village, as measured by median household effective buying income. Although Standard & Poor's understood that the village board planned to vote on a rate increase in April 2009 to address management's projections that revenues for fiscal 2009 would fall below 1x debt service coverage, well below the 1.2x rate covenant, the village board decided not to hold the vote. As a result, rates remained at 2006 levels, creating stagnant operating revenue for the system. Consequently, in fiscal 2009, coverage fell to 0.7x, a level that Standard & Poor's considers to be insufficient. The use of unrestricted cash reserves to cover the system's increasing operating expenditures resulted in a liquidity decrease to 482 days' cash on hand, or $309,000, in fiscal 2009 -- a level that Standard & Poor's still considers to be strong -- from 816 days in fiscal 2008. Management projects that fiscal 2010 (ending March 31) will show similarly low coverage levels. The village previously fell below 1x coverage in fiscals 2003-2005, but a monthly rate increase generated adequate debt service coverage in fiscals 2006 and 2007. "Maintenance of the rating and stable credit outlook depends on the village's board taking the steps necessary to provide adequate coverage and liquidity. If management's efforts do not result in improved coverage, or should liquidity decline below levels S&P consider to be adequate, the rating could be lowered," said Standard & Poor's credit analyst Sean Hughes. The net revenues of the water and sewer system secure the bonds. * Moody's Confirms Ratings on 13 Classes From Five CMBS Deals ------------------------------------------------------------- Moody's Investors Service confirms 13 and downgrades two non- pooled or rake classes from five CMBS transactions. Moody's also maintains 3 rake classes from one transaction on review for downgrade. Following the Chapter 11 bankruptcy filing of General Growth Properties and affiliates on April 16, 2009, these classes were initially watchlisted in April 2009 and maintained on review in October 2009, due to Moody's concerns about potential non- reimbursed interest shortfalls. In November 2009, GGP reached agreement on new loan terms with lenders and special servicers that would allow for the transfer of CMBS affected loans back to the respective master servicers. Following discussions with the special servicers regarding the loan modification terms and the payment priorities stipulated within the respective inter-creditor agreements, Moody's have concluded that interest shortfalls resulting from servicing fees, legal expenses and other trust expenses will be repaid in full in some cases, while non- recoverable interest shortfalls due to work-out fees or trust expenses will be incurred in others. Specifically, Moody's are confirming these rake classes. Four rake classes associated with the Woodlands Mall loan (WBCMT 2006- C26) and the GGP mall portfolio loan (GSMS 2001-GL3A) did not and will not incur interest shortfalls due to the presence of non- trust subordinate debt which is available to absorb various trust expenses. Three rake classes associated with the Ala Moana Center loan (CGCMT 2006-C5) and one rake class associated with the Northridge Fashion Center loan (GSMS 2001-GL3A) had incurred interest shortfalls that were reimbursed. Five rake classes associated with the Boulevard Mall loan (GECMC 2003-C2) had incurred interest shortfalls which were reimbursed, however a minimal shortfall will remain outstanding on the lowest rated rake class. Moody's is downgrading these two rake classes. One rake class associated with the Northridge Fashion Center loan (GSMS 2001- GL3A) had incurred interest shortfalls, the majority of which were recovered. However, the non-recoverable balance will result in an expected recovery rate on the class which is not commensurate with the existing rating level. One rake class associated with the Park Place loan (WBCMT 2004-C14) will incur additional interest shortfalls in the future as a result of a 1% work-out fee being charged by the special servicer on this deal. This fee is assessed on monthly interest and principal payment as well as any balloon payment. The fee is not expected to be recovered. This action concludes Moody's review of the above five transactions. In the case of the Gallery at Harborplace loan (Gallery at Harborplace 2000-C5C), Moody's is still assessing the extent of the interest shortfalls and the potential for recovery and therefore is continuing the review of this transaction. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's rating action is: Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2006-C5 -- Class AMP-1, $39,865,411, Confirmed at Baa2; previously on 10/22/2009 Placed Under Review for Possible Downgrade -- Class AMP-2, $47,838,494, Confirmed at Baa3; previously on 10/22/2009 Placed Under Review for Possible Downgrade -- Class AMP-3, $26,909,153, Confirmed at Ba1; previously on 10/22/2009 Placed Under Review for Possible Downgrade These classes are supported by a B note secured by the borrower's interest in Ala Moana Center, a 2.0 million square foot regional mall and office component located in Honolulu, Hawaii. The Ala Moana Center is the dominant retail center in its trade area and is considered the world's largest open-air shopping center. The Ala Moana loan has been extended until June 2018. Interest shortfalls accrued to date have been recovered in full. The special servicer is not applying a 1% workout to this loan. No further interest shortfalls are expected. Moody's prior review is summarized in a press release dated February 9, 2009. Gallery at Harborplace Mortgage Trust Commercial Mortgage Pass- Through Certificates, Series 2000-C5C -- Class B-1, $3,200,000, Baa2 Placed Under Review for Possible Downgrade; previously on 10/22/2009 Placed Under Review for Possible Downgrade -- Class B-2, $5,100,000, Ba1 Placed Under Review for Possible Downgrade; previously on 10/22/2009 Placed Under Review for Possible Downgrade -- Class B-3, $2,200,000, Ba2 Placed Under Review for Possible Downgrade; previously on 10/22/2009 Ba2 Placed Under Review for Possible Downgrade These classes are supported by a B note secured by the borrower's interest in Gallery at Harborplace, a 404,000 square foot office and retail mixed use complex located within the Inner Harbor development in Baltimore, Maryland. The property was developed in 1987 by The Rouse Company which was acquired by GGP in 2004. Moody's is still assessing the extent of the interest shortfalls and the potential for recoveries and is therefore continuing the review of this transaction. Moody's prior review is summarized in a press release dated March 11, 2009. GE Commercial Mortgage Corporation, Commercial Mortgage Pass- Through Certificates, Series 2003-C2 -- Class BLVD-1, $1,277,192, Confirmed at A2; previously on 10/22/2009 Placed Under Review for Possible Downgrade -- Class BLVD-2, $2,501,000, Confirmed at A3; previously on 10/22/2009 Placed Under Review for Possible Downgrade -- Class BLVD-3, $4,502,000, Confirmed at Baa1; previously on 10/22/2009 Placed Under Review for Possible Downgrade -- Class BLVD-4, $3,549,000, Confirmed at Baa2; previously on 10/22/2009 Placed Under Review for Possible Downgrade -- Class BLVD-5, $7,960,750, Confirmed at Baa3; previously on 10/22/2009 Placed Under Review for Possible Downgrade These classes are supported by a B note secured by the borrower's interest in Boulevard Mall, a 1.2 million square foot shopping center located in Las Vegas, Nevada. The center is anchored by Sears, Dillard's, Macy's and J.C. Penney. The Boulevard Mall loan has been extended until July 2018. Interest shortfalls accrued to date are expected to be recovered except for a de minimus amount. The special servicer is not applying a 1% workout fee to this loan. No further interest shortfalls are expected. Moody's prior review is summarized in a press release dated September 25, 2008. GS Mortgage Securities Corporation II, Commercial Pass-Through Certificates, Series 2001-GL III -- Class F-NFC, $10,460,000, Confirmed at Aa3; previously on 10/22/2009 Placed Under Review for Possible Downgrade -- Class G-NFC, $5,910,569, Downgraded to Baa2; previously on 10/22/2009 Placed Under Review for Possible Downgrade These classes are supported by a B note secured by the borrower's interest in Northridge Fashion Center, a 1.4 million square foot regional mall located in Northridge, California. The mall is anchored by Macy's, Sears and J.C. Penney. The Northridge Fashion Center loan has been extended until December 2014. A significant portion of the interest shortfalls accrued to date are expected to be recovered, however the remaining portion consisting of miscellaneous fees will be non-recoverable. The non- recoverable balance will result in an expected recovery rate on the G-NFC class which is not commensurate with the existing rating level. The special servicer is not applying a 1% workout to this loan. No further interest shortfalls are expected. GS Mortgage Securities Corporation II, Commercial Pass-Through Certificates, Series 2001-GL III -- Class F-GGP, $5,960,000, Confirmed at A3; previously on 10/22/2009 Placed Under Review for Possible Downgrade -- Class G-GGP, $3,500,000, Confirmed at Baa1; previously on 10/22/2009 Placed Under Review for Possible Downgrade -- Class H-GGP, $3,480,000, Confirmed at Baa2; previously on 10/22/2009 Placed Under Review for Possible Downgrade These classes are supported by a junior participation interest in a first mortgage loan secured by the borrower's interest in three regional shopping centers with total gross leasable area of 1.6 million square feet located in tertiary markets in Missouri, Oregon and Kentucky. The properties are: Capital Mall, located in Jefferson City, Missouri, containing 392,028 square feet and anchored by JC Penney, Dillard's, Sears, and an eight-screen movie theater; Gateway Mall, located in Springfield, Oregon, containing 602,946 SF and anchored by JC Penney, Sears and two movie theaters with a total of 12 screens; and Greenwood Mall in Bowling Green, Kentucky, containing 558,434 SF and anchored by Dillard's, Macy's and Sears. The GGP Portfolio loan has been extended until October 2014. No interest has been shorted on the bonds due to the subordinate debt outside of the trust. The special servicer is applying at 1% workout fee to this loan which will continue to accrue and is expected to be absorbed by the non-trust subordinate debt. Moody's prior full review is summarized in a press release dated March 19, 2003. Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2004-C14 -- Class PP, $37,022,375, Downgraded to B2; previously on 10/22/2009 Placed Under Review for Possible Downgrade The class is supported by a B note secured by the borrower's interest in Park Place Mall, a 1.0 million square foot regional mall located in Tucson, Arizona. The center is anchored by Sears, Dillard's and Macy's. The Park Place Mall loan has been extended until January 2015. Interest shortfalls accrued to date have been fully recovered. However, the special servicer is applying at 1% workout fee to this loan which will continue to accrue and is deemed non- recoverable. The expected shortfall will result in a recovery rate on the class which is not commensurate with the existing rating level. Moody's prior full review is summarized in a press release dated May 4, 2007. Wachovia Bank Commercial Mortgage Trust 2006-C26, Commercial Pass- Through Certificates, Series 2006-C26 -- Class WM, $9,849,305, Confirmed at Baa3; previously on 10/22/2009 Placed Under Review for Possible Downgrade The class is supported by a B note secured by the borrower's interest in Woodlands Mall, 1.4 million square foot mall located in Woodlands, Texas. The center is anchored by Dillard's, Foley's, Sears and J.C. Penney. The Woodlands Mall loan has been extended until June 2016. No interest has been shorted on the bonds due to the subordinate debt outside of the trust. The special servicer is applying at 1% workout fee to this loan which will continue to accrue and is expected to be absorbed by the subordinate debt. Moody's prior review is summarized in a press release dated February 10, 2009. * S&P Downgrades Ratings on 23 Tranches From Five CLO Transactions ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 23 tranches from five U.S. collateralized loan obligation transactions and removed them from CreditWatch with negative implications. The affected tranches have a total issuance amount of $3.180 billion. At the same time, S&P affirmed its ratings on nine tranches from four CLO transactions and removed them from CreditWatch negative. The downgrades reflect two primary factors: * The application of S&P's updated corporate CDO criteria; and * Deterioration in the credit quality of certain CDO tranches due to increased exposure to obligors that have either defaulted or experienced downgrades into the 'CCC' range. The downgrades of two classes from two transactions resulted from S&P's application of the largest-obligor default test, which is one of the supplemental stress tests S&P introduced as part of its criteria update. S&P's analysis incorporated the asset recovery assumptions in its new CDO criteria. To provide additional transparency into the assumptions S&P used in its analysis, S&P is providing the tiered recovery rate S&P assumed for the cash flows generated for the 'AAA' liability rating for each transaction. Tiered Recovery Rate For 'AAA' Liability Rating Transaction Recovery rate (%) ----------- ----------------- 1888 Fund Ltd. 40.6 A5 Funding L.P. 45.9 Ares VR CLO Ltd. 40.0 Ares XI CLO Ltd. 40.2 Golub International Loan Ltd. I 44.1 Katonah VII CLO Ltd. 44.5 KKR Financial CLO 2007-A 41.4 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 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 ----------- ----- -- ---- 1888 Fund Ltd. A-1 AA AAA/Watch Neg 1888 Fund Ltd. A-2 AA AAA/Watch Neg 1888 Fund Ltd. B A+ A+/Watch Neg 1888 Fund Ltd. C B+ BBB/Watch Neg A5 Funding L.P. Term Nts AAA AAA/Watch Neg A5 Funding L.P. Rev Nts AAA AAA/Watch Neg Ares VR CLO Ltd. A-1 A+ AAA/Watch Neg Ares VR CLO Ltd. A-2 A+ AAA/Watch Neg Ares VR CLO Ltd. A-3 A+ AAA/Watch Neg Ares VR CLO Ltd. B A+ AA/Watch Neg Ares VR CLO Ltd. C BBB- A-/Watch Neg Ares VR CLO Ltd. D CCC+ BB-/Watch Neg Ares XI CLO Ltd. A-1a AA+ AAA/Watch Neg Ares XI CLO Ltd. A-1b AA+ AAA/Watch Neg Ares XI CLO Ltd. A-1c AA- AAA/Watch Neg Ares XI CLO Ltd. A-2 AA- AAA/Watch Neg Ares XI CLO Ltd. B A- AA/Watch Neg Ares XI CLO Ltd. C BBB- A/Watch Neg Ares XI CLO Ltd. D BB BBB/Watch Neg Ares XI CLO Ltd. E BB- BB+/Watch Neg Golub International Loan A AA- AA-/Watch Neg Ltd. I Katonah VII CLO Ltd. A-1 AA- AAA/Watch Neg Katonah VII CLO Ltd. A-2 AA- AAA/Watch Neg Katonah VII CLO Ltd. B A+ AA/Watch Neg Katonah VII CLO Ltd. C BB+ A-/Watch Neg Katonah VII CLO Ltd. D CCC- BB/Watch Neg KKR Financial CLO 2007-A A AA+ AAA/Watch Neg KKR Financial CLO 2007-A B AA AA/Watch Neg KKR Financial CLO 2007-A C A A/Watch Neg KKR Financial CLO 2007-A D BBB BBB/Watch Neg KKR Financial CLO 2007-A E BB BB/Watch Neg KKR Financial CLO 2007-A F B B/Watch Neg * S&P Downgrades Ratings on 24 Tranches From Eight CDO Deals ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 24 tranches from eight U.S. cash flow and hybrid collateralized debt obligation transactions. At the same time, S&P removed 15 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 five of the downgraded tranches remain on CreditWatch negative, indicating a significant likelihood of further downgrades. S&P also affirmed its ratings on 18 other tranches. 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 24 downgraded U.S. cash flow and hybrid tranches have a total issuance amount of $4.584 billion. Five of the eight 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. The other three 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 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 ----------- ----- -- ---- C-Bass CBO XI A CCC-/Watch Neg AA+/Watch Neg C-Bass CBO XI B CC A+/Watch Neg C-Bass CBO XI C CC BBB-/Watch Neg C-Bass CBO XI D CC B/Watch Neg C-Bass CBO XII A B/Watch Neg AAA C-Bass CBO XII B CCC-/Watch Neg AA+ C-Bass CBO XII C CC BB+/Watch Neg C-Bass CBO XII D CC B/Watch Neg Davis Square Funding VI A-1LTa CC BB-/Watch Neg Davis Square Funding VI A-1LT-b CC BB-/Watch Neg Davis Square Funding VI A-1LT-c CC BB-/Watch Neg Davis Square Funding VI A-2 CC B-/Watch Neg Dawn CDO I A CCC/Watch Neg BB Dawn CDO I B CC CCC- Jupiter High Grade CDO A-1A B/Watch Neg A-/Watch Neg Jupiter High Grade CDO A-1B B/Watch Neg A-/Watch Neg Jupiter High Grade CDO A-2 CC B/Watch Neg Jupiter High Grade CDO B CC CCC-/Watch Neg Neptune CDO 2004-1 A-1LA CC BBB-/Watch Neg Neptune CDO 2004-1 A-1LB CC CCC/Watch Neg Reservoir Funding A-1-NV CCC/Watch Neg BBB-/Watch Neg Reservoir Funding A-1-V CCC/Watch Neg BBB-/Watch Neg Summer Street 2004-1 A-1 CC BBB/Watch Neg Summer Street 2004-1 A-2 CC B/Watch Neg Ratings Affirmed Transaction Class Rating ----------- ----- ------ Davis Square Funding VI B CC Davis Square Funding VI C CC Davis Square Funding VI D CC Jupiter High Grade CDO C CC Neptune CDO 2004-1 A-2L CC Neptune CDO 2004-1 A-3L CC Neptune CDO 2004-1 B-1L CC Pascal CDO A CC Pascal CDO C CC Pascal CDO ComboNts AAA Reservoir Funding A-2 CC Reservoir Funding B CC Reservoir Funding C CC Reservoir Funding D CC Summer Street 2004-1 A-3 CC Summer Street 2004-1 B CC Summer Street 2004-1 C CC Summer Street 2004-1 DIncNts CC Other Outstanding Ratings Transaction Class Rating ----------- ----- ------ Pascal CDO B D * S&P Downgrades Ratings on 28 Classes From 13 RMBS Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 28 classes from 13 residential mortgage-backed securities transactions backed by U.S. closed-end second-lien, home equity line of credit, home improvement, and second-lien high combined loan-to-value mortgage loan collateral issued from 1995 to 2007. S&P removed 10 of the lowered ratings from CreditWatch negative. S&P downgraded 10 classes to 'D' due to realized losses on the certificate balances of those classes. In addition, S&P affirmed its ratings on 48 classes from 14 transactions and removed seven of them from CreditWatch negative. The downgrades reflect S&P's opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings, given its current projected losses. To assess the creditworthiness of each class, S&P reviewed the individual delinquency and loss trends of each transaction for changes, if any, in risk characteristics, servicing, and the ability to withstand additional credit deterioration. In order to maintain a 'B' rating on a class, S&P assessed whether, in its view, a class could absorb the base-case loss assumptions S&P used in its analysis. In order to maintain a rating higher than 'B', S&P assessed whether the class could withstand losses exceeding S&P's base-case loss assumptions at a percentage specific to each rating category, up to 150% for a 'AAA' rating. For example, in general, S&P would assess whether one class could withstand approximately 110% of its base-case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 120% of its base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in S&P's view, withstand approximately 150% of its base-case loss assumptions under its analysis. The affirmed ratings reflect S&P's belief that the amount of credit enhancement available for these classes is sufficient to cover losses associated with these rating levels. A combination of subordination, excess spread, and overcollateralization provide credit support for the affected transactions. The underlying pool of loans backing these transactions consist of fixed- and adjustable-rate mortgage loans that are secured by second liens on one- to four-family residential properties. Rating Actions Conseco Finance Home Improvement Loan Trust 2000-E Series 2000-E Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 20846QEJ3 D B- CWABS, Inc. Series 2002-S1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-4 126671PU4 AAA AAA/Watch Neg A-5 126671PV2 AAA AAA/Watch Neg A-IO 126671PW0 AAA AAA/Watch Neg M-1 126671PP5 CC AA/Watch Neg CWHEQ Revolving Home Equity Loan Trust, Series 2007-G Series 2007-G Rating ------ Class CUSIP To From ----- ----- -- ---- M-7 23242JAH1 CC CCC M-8 23242JAJ7 CC CCC Fieldstone Mortgage Investment Trust, Series 2006-S1 Series 2006-S1 Rating ------ Class CUSIP To From ----- ----- -- ---- A 31659XAA4 CC CCC M1 31659XAB2 D CCC M2 31659XAC0 D CC M3 31659XAD8 D CC M4 31659XAE6 D CC M5 31659XAF3 D CC M6 31659XAG1 D CC B1 31659XAH9 D CC B2 31659XAJ5 D CC B3 31659XAK2 D CC First Franklin Mortgage Loan Trust 2003-FFA Series 2003-FFA Rating ------ Class CUSIP To From ----- ----- -- ---- I-B-1 22541ND48 AAA AAA/Watch Neg I-B-2 22541NF46 AAA AAA/Watch Neg I-B-3 22541ND55 B- AA/Watch Neg I-B-4 22541ND63 CC A+/Watch Neg GMACM Home Equity Loan Trust 2000-HE2 Series 2000-HE2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 361856AN7 BB+ BBB+/Watch Neg A-2 361856AP2 BB+ BBB+/Watch Neg GMACM Home Equity Loan Trust 2000-HE4 Series 2000-HE4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 361856AQ0 BB+ BBB/Watch Neg A-2 361856AR8 BB+ BBB/Watch Neg GMACM Home Equity Loan Trust 2006-HE5 Series 2006-HE5 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 38012EAA3 BB BBB- II-A-2 38012EAC9 BB BBB- GMACM Home Equity Notes 2004 Variable Funding Trust Series 2004 NOTES Rating ------ Class CUSIP To From ----- ----- -- ---- VFN 36186FAA4 BBB+ AAA Home Loan Trust 2003-HI2 Series 2003-HI2 Rating ------ Class CUSIP To From ----- ----- -- ---- B 76110VNK0 CC BB Home Loan Trust 2004-HI1 Series 2004-HI1 Rating ------ Class CUSIP To From ----- ----- -- ---- B 345454AB8 CC B Structured Asset Securities Corporation Mortgage Loan Trust Series 2005-S7 Rating ------ Class CUSIP To From ----- ----- -- ---- A2 863576DT8 AAA AAA/Watch Neg M1 863576DU5 AA AA/Watch Neg M2 863576DV3 B- BBB/Watch Neg M3 863576DW1 CC BB/Watch Neg Structured Asset Securities Corporation Mortgage Loan Trust Series 2006-S1 Rating ------ Class CUSIP To From ----- ----- -- ---- A1 86359DXC6 BB AA/Watch Neg Ratings Affirmed Bear Stearns Home Loan Owner Trust 2001-A Series 2001-A Class CUSIP Rating ----- ----- ------ M-2 07384NAH3 BBB Conseco Finance Home Improvement Loan Trust 2000-E Series 2000-E Class CUSIP Rating ----- ----- ------ M-1 20846QEF1 AA M-2 20846QEG9 A B-1 20846QEH7 BBB CWHEQ Revolving Home Equity Loan Trust, Series 2007-G Series 2007-G Class CUSIP Rating ----- ----- ------ A 23242JAA6 BB M-1 23242JAB4 BB- M-2 23242JAC2 B M-3 23242JAD0 B- M-4 23242JAE8 CCC M-5 23242JAF5 CCC M-6 23242JAG3 CCC Empire Funding Home Loan Owner Trust 1997-4 Series 1997-4 Class CUSIP Rating ----- ----- ------ A-5 291701BJ8 AAA Empire Funding Home Loan Owner Trust 1997-5 Series 1997-5 Class CUSIP Rating ----- ----- ------ A-4 291701BT6 AAA M-1 291701BV1 AA Empire Funding Home Loan Owner Trust 1999-1 Series 1999-1 Class CUSIP Rating ----- ----- ------ A-5 291701DA5 AAA M-1 291701DB3 AA M-2 291701DC1 A B-1 291701DD9 BBB- First Franklin Mortgage Loan Trust 2003-FFA Series 2003-FFA Class CUSIP Rating ----- ----- ------ P 22541NE88 AAA II-M-2 22541NE62 AAA First Franklin Mortgage Loan Trust 2004-FFA Series 2004-FFA Class CUSIP Rating ----- ----- ------ M3-A 32027NFU0 A M3-F 32027NFV8 A M4 32027NFW6 BBB+ M5 32027NFX4 BBB Home Improvement Loan Trust 1995-A Series 1995-A Class CUSIP Rating ----- ----- ------ B 393505FR8 BB+ Home Loan Trust 2003-HI2 Series 2003-HI2 Class CUSIP Rating ----- ----- ------ A-6 76110VNE4 AAA M-1 76110VNG9 AA M-2 76110VNH7 A M-3 76110VNJ3 BBB Home Loan Trust 2003-HI4 Series 2003-HI4 Class CUSIP Rating ----- ----- ------ A-I-5 76110VPD4 AAA A-II 76110VPF9 AAA M-1 76110VPG7 AA M-2 76110VPH5 A M-3 76110VPJ1 BBB B BB Home Loan Trust 2004-HI1 Series 2004-HI1 Class CUSIP Rating ----- ----- ------ A-5 76110VPR3 AAA M-1 76110VPS1 AA M-2 76110VPT9 A M-3 76110VPU6 BBB+ M-4 76110VPV4 BBB M-5 76110VPW2 BBB- * S&P Downgrades Ratings on 78 Classes From Five RMBS Transactions ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 78 classes from five U.S. residential mortgage-backed securities transactions backed by U.S. subprime and prime jumbo residential mortgage loan collateral issued in 2005 and 2007. Concurrently, S&P removed 69 of the lowered classes from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 39 classes from four of the downgraded transactions and one additional deal. 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 S&P's view, a class could absorb the base-case loss assumptions S&P used in its analysis. For subprime and Alt-A transactions, in order to maintain a rating higher than 'B', S&P assessed whether the class could withstand losses exceeding S&P's base-case loss assumptions at a percentage specific to each rating category, up to 150% for an 'AAA' rating. For example, in general, S&P would assess whether one class could withstand approximately 110% of its base-case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 120% of S&P's base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in S&P's view, withstand approximately 150% of its base-case loss assumptions under its analysis. For the prime jumbo transactions, in order to maintain an 'AAA' rating, S&P assessed whether the 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 the class could withstand losses exceeding the base-case assumption at a percentage specific to each rating category, up to 235% for a 'AAA' rating. For example, S&P would assess whether one class could withstand approximately 130% of its base-case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 155% of its base-case loss assumptions to maintain a 'BBB' rating. The affirmed ratings reflect S&P's belief that the amount of credit enhancement available for these classes is sufficient to cover losses associated with these rating levels. Subordination provides credit support for the affected transactions. In addition, some classes also benefit from overcollateralization (prior to its depletion) and excess spread. The underlying pool of loans backing these transactions consists of fixed- and adjustable-rate U.S. subprime and prime jumbo mortgage loans that are secured by first and second liens on one- to four-family residential properties. Rating Actions CWABS Asset-Backed Certificates Trust 2007-1 Series 2007-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A 23245CAA8 B- BB/Watch Neg 2-A-1 23245CAB6 A AAA/Watch Neg 2-A-2 23245CAC4 B AA/Watch Neg 2-A-3 23245CAD2 B- BBB/Watch Neg 2-A-4 23245CAE0 B- BB/Watch Neg M-1 23245CAF7 CCC B/Watch Neg M-6 23245CAL4 CC CCC M-7 23245CAM2 CC CCC M-8 23245CAN0 CC CCC JPMorgan Mortgage Trust 2005-A6 Series 2005-A6 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 466247TL7 B+ A-/Watch Neg 1-A-2 466247TM5 B+ BBB+/Watch Neg 1-A-3 466247TN3 B+ AAA/Watch Neg 1-A-4 466247TP8 B+ BBB+/Watch Neg 2-A-1 466247TQ6 B+ AA+/Watch Neg 2-A-2 466247TR4 BBB+ AAA/Watch Neg 2-A-3 466247TS2 B+ AA+/Watch Neg 2-A-4 466247TT0 B+ AA+/Watch Neg 2-A-5 466247TU7 B+ BBB+/Watch Neg 3-A-2 466247TW3 B+ A+/Watch Neg 3-A-3 466247TX1 B+ A+/Watch Neg 3-A-4 466247TY9 B+ BBB+/Watch Neg 4-A-1 466247TZ6 B+ A-/Watch Neg 5-A-1 466247UA9 B+ A-/Watch Neg 6-A-1 466247UB7 B+ AAA/Watch Neg 6-A-2 466247UC5 B+ AAA/Watch Neg 7-A-1 466247UG6 CCC BB/Watch Neg I-B-2 466247UE1 CC CCC II-B-2 466247UJ0 CC CCC I-B-3 466247UF8 CC CCC Structured Asset Securities Corporation Trust 2005-1 Series 2005-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 86359B2R1 BBB+ A/Watch Neg 1-A2 86359B2S9 BBB+ A/Watch Neg 1-A3 86359B2T7 BBB+ A/Watch Neg 1-A4 86359B2U4 BBB+ A/Watch Neg 1-A5 86359B2V2 BBB+ A/Watch Neg 1-A6 86359B2W0 BBB+ A/Watch Neg 2-A1 86359B2X8 BBB+ A/Watch Neg 3-A1 86359B2Y6 BBB+ AAA/Watch Neg 4-A1 86359B2Z3 BBB+ A/Watch Neg 5-A1 86359B3A7 BBB A/Watch Neg 6-A1 86359B3B5 BBB+ A/Watch Neg 7-A1 86359B3E9 BBB AAA/Watch Neg 7-A2 86359B3F6 BBB AAA/Watch Neg 7-A3 86359B3G4 BBB A/Watch Neg 7-A4 86359B3H2 BBB A/Watch Neg 7-A5 86359B3J8 BBB A/Watch Neg 7-A6 86359B3K5 BBB A/Watch Neg 7-A7 86359B3L3 BBB A/Watch Neg AP 86359B3M1 BBB A/Watch Neg AX 86359B3N9 BBB+ AAA/Watch Neg PAX 86359B3P4 BBB+ AAA/Watch Neg B2 86359B3R0 CC CCC Wachovia Mortgage Loan Trust, LLC Series 2005-B Trust Series 2005-B Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 92977YBN0 B+ BBB+/Watch Neg 1-A-2 92977YBS9 CCC BB+/Watch Neg 2-A-1 92977YBP5 B A+/Watch Neg 2-A-2 92977YBU4 B A+/Watch Neg 2-A-3 92977YBV2 B A+/Watch Neg 2-A-4 92977YBW0 B A+/Watch Neg 2-A-5 92977YBX8 CCC BB+/Watch Neg 3-A-1 92977YBQ3 BBB- AAA/Watch Neg 3-A-2 92977YBY6 CCC BB+/Watch Neg 4-A-1 92977YBR1 A- AAA/Watch Neg 4-A-2 92977YBZ3 CCC BB+/Watch Neg B-1 92977YCA7 CC CCC B-2 92977YCB5 CC CCC Wells Fargo Mortgage Backed Securities 2007-8 Trust Series 2007-8 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-3 94986AAC2 B- BB/Watch Neg I-A-10 94986AAK4 CCC B/Watch Neg I-A-13 94986AAN8 B- BB/Watch Neg I-A-14 94986AAP3 B- BB/Watch Neg I-A-16 94986AAR9 B- BB/Watch Neg I-A-22 94986AAX6 B- BB/Watch Neg II-A-7 94986ABG2 BB A/Watch Neg II-A-8 94986ABH0 BB A/Watch Neg II-A-9 94986ABJ6 BB A/Watch Neg II-A-11 94986ABL1 BB A/Watch Neg II-A-12 94986ABM9 BB A/Watch Neg II-A-16 94986ABR8 BB A/Watch Neg I-A-PO CCC BBB/Watch Neg II-A-2 94986ABB3 BB A/Watch Neg Ratings Affirmed Chevy Chase Funding LLC Trust, Series 2006-1 Series 2006-1 Class CUSIP Rating ----- ----- ------ A-1 16678RFB8 B- A-2 16678RFC6 B- A-NA 16678RIS9 B- IO 16678RIV2 B- NIO 16678RIW0 B- CWABS Asset-Backed Certificates Trust 2007-1 Series 2007-1 Class CUSIP Rating ----- ----- ------ M-2 23245CAG5 CCC M-3 23245CAH3 CCC M-4 23245CAJ9 CCC M-5 23245CAK6 CCC JPMorgan Mortgage Trust 2005-A6 Series 2005-A6 Class CUSIP Rating ----- ----- ------ I-B-1 466247UD3 CCC II-B-1 466247UH4 CCC Structured Asset Securities Corporation Trust 2005-1 Series 2005-1 Class CUSIP Rating ----- ----- ------ B1 86359B3Q2 CCC Wells Fargo Mortgage Backed Securities 2007-8 Trust Series 2007-8 Class CUSIP Rating ----- ----- ------ I-A-1 94986AAA6 CCC I-A-2 94986AAB4 CCC I-A-4 94986AAD0 CCC I-A-5 94986AAE8 CCC I-A-6 94986AAF5 CCC I-A-7 94986AAG3 CCC I-A-8 94986AAH1 CCC I-A-9 94986AAJ7 CCC I-A-11 94986AAL2 CCC I-A-12 94986AAM0 CCC I-A-15 94986AAQ1 CCC I-A-17 94986AAS7 CCC I-A-18 94986AAT5 CCC I-A-19 94986AAU2 CCC I-A-20 94986AAV0 CCC I-A-21 94986AAW8 CCC I-A-23 94986AAY4 CCC II-A-1 94986ABA5 CCC II-A-3 94986ABC1 CCC II-A-4 94986ABD9 CCC II-A-5 94986ABE7 CCC II-A-6 94986ABF4 CCC II-A-10 94986ABK3 CCC II-A-14 94986ABP2 CCC II-A-15 94986ABQ0 CCC A-PO 94986ABS6 CCC II-A-PO CCC * S&P Downgrades Ratings on 95 Classes From 29 RMBS Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 95 classes from 29 residential mortgage-backed securities transactions issued in 2005 and 2006 and removed 52 of them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 291 classes from the downgraded transactions and 13 additional deals and removed 108 of the affirmed ratings from CreditWatch negative. Thirty-nine of the transactions are backed by U.S. subprime mortgage collateral and three are backed by U.S. Alternative-A (Alt-A) mortgage loan collateral. Group 2 from Terwin Mortgage Trust 2006-1 is backed by closed-end second-lien mortgage collateral. Standard & Poor's has revised its loss projections for each transaction rated between 2005 and 2007. The downgrades reflect S&P's opinion that the 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 subprime, Alt-A, and closed-end second-lien 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 S&P's base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in S&P's view, withstand approximately 150% of S&P's base-case loss assumptions under its analysis. The affirmed ratings reflect S&P's belief that the amount of credit enhancement available for these classes is sufficient to cover losses associated with these rating levels. Subordination provides credit support for the affected transactions. In addition, some classes also benefit from overcollateralization (prior to its depletion) and excess interest. The underlying pool of loans backing these transactions consists of fixed- and adjustable-rate U.S. subprime, Alt-A, and closed-end second-lien mortgage loans that are secured by first and second liens on one- to four-family residential properties. Rating Actions Ace Securities Corp. Home Equity Loan Trust Series 2006-ASAP1 Series 2006-ASAP1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 004421VS9 BB BB/Watch Neg A-2C 004421VV2 BBB AAA/Watch Neg A-2D 004421VW0 BB- BB-/Watch Neg Argent Securities Inc. Asset-Backed Pass-Through Certificates Series 2005-W4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2C 040104PS4 AA+ AAA Asset Backed Securities Corporation Home Equity Loan Trust Series OOMC 2005-HE6 Rating ------ Class CUSIP To From ----- ----- -- ---- A1A 04541GTE2 AAA AAA/Watch Neg A2C 04541GTH5 AAA AAA/Watch Neg A2D 04541GTJ1 AAA AAA/Watch Neg M1 04541GTK8 AA+ AA+/Watch Neg M2 04541GTL6 AA AA/Watch Neg M3 04541GTM4 AA- AA-/Watch Neg M4 04541GTN2 A+ A+/Watch Neg M5 04541GTP7 BB BB/Watch Neg Asset Backed Securities Corporation Home Equity Loan Trust Series 2005-HE8 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 04541GUX8 AAA AAA/Watch Neg A1A 04541GUY6 AAA AAA/Watch Neg A2 04541GUZ3 AAA AAA/Watch Neg A5 04541GUM2 AAA AAA/Watch Neg A6 04541GVA7 AAA AAA/Watch Neg M1 04541GUN0 A+ A+/Watch Neg M2 04541GUP5 B+ B+/Watch Neg M5 04541GUS9 CC CCC Bear Stearns Asset Backed Securities I Trust 2005-HE4 Series 2005-HE4 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 073879TT5 AA AA/Watch Neg M-2 073879TU2 A- A/Watch Neg M-3 073879TV0 B- A-/Watch Neg M-4 073879TW8 CCC BBB+/Watch Neg M-5 073879TX6 CC CCC Bear Stearns Asset Backed Securities I Trust 2005-HE9 Series 2005-HE9 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-3 073879Q92 AAA AAA/Watch Neg II-A-1 073879R26 AAA AAA/Watch Neg II-A-2 073879R34 AAA AAA/Watch Neg M-1 073879R42 AAA AAA/Watch Neg Bear Stearns Asset Backed Securities I Trust 2006-AC1 Series 2006-AC1 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 07387UCE9 B- AAA/Watch Neg I-A-2 07387UCF6 B- AAA/Watch Neg I-M-1 07387UCG4 CCC B-/Watch Neg I-M-2 07387UCH2 CC CCC I-M-3 07387UCJ8 D CCC II-1A-2 07387UCU3 CC CCC II-1PO 07387UCW9 CC CCC II-2A-1 07387UCX7 CC CCC II-2A-2 07387UCY5 CC CCC II-2X 07387UCZ2 CC CCC II-2PO 07387UDA6 CC CCC Bear Stearns Asset-Backed Securities I Trust 2005-HE7 Series 2005-HE7 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 073879ZG6 AAA AAA/Watch Neg M-2 073879ZH4 AA AA/Watch Neg M-3 073879ZJ0 BB A/Watch Neg M-4 073879ZK7 CCC BB/Watch Neg M-5 073879ZL5 CC CCC Citigroup Mortgage Loan Trust 2006-WMC1 Series 2006 WMC1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2C 17307GZ43 A- AA- CWABS Asset Backed Certificates Trust 2005-11 Series 2005-11 Rating ------ Class CUSIP To From ----- ----- -- ---- AF-3 126670CH9 B AAA/Watch Neg AF-4 126670CJ5 B AAA/Watch Neg AF-5A 126670CK2 B AAA/Watch Neg AF-5B 126670DR6 BB+ AAA/Watch Neg AF-6 126670CL0 B AAA/Watch Neg 2-AV-1 126670CW6 AAA AAA/Watch Neg 3-AV-2 126670CY2 AAA AAA/Watch Neg 3-AV-3 126670CZ9 AAA AAA/Watch Neg MV-1 126670DA3 A A/Watch Neg MV-2 126670DB1 B B/Watch Neg CWABS Asset Backed Certificates Trust 2005-13 Series 2005-13 Rating ------ Class CUSIP To From ----- ----- -- ---- MF-4 126670GX0 CC CCC 3-AV-3 126670HG6 BB- BB CWABS Asset Backed Certificates Trust 2005-16 Series 2005-16 Rating ------ Class CUSIP To From ----- ----- -- ---- 3-AV 126670PC6 BBB BBB/Watch Neg 4-AV-3 126670PF9 BB BB/Watch Neg 4-AV-4 126670PG7 BB BB/Watch Neg CWABS Asset Backed Certificates Trust 2005-7 Series 2005-7 Rating ------ Class CUSIP To From ----- ----- -- ---- AF-4 126673Y71 AA+ AAA AF-5W 126673Y89 AA AAA AF-6 126673Y97 B AAA MF-1 126673Z21 B- B CWABS Asset-Backed Certificates Trust 2005-1 Series 2005-1 Rating ------ Class CUSIP To From ----- ----- -- ---- AF-4 126673WB4 AAA AAA/Watch Neg AF-5A 126673WC2 AAA AAA/Watch Neg AF-5B 126673XN7 AAA AAA/Watch Neg AF-6 126673WD0 AAA AAA/Watch Neg MF-1 126673WE8 A A/Watch Neg MF-2 126673WF5 B B/Watch Neg MV-1 126673WX6 AA+ AA+/Watch Neg MV-2 126673WY4 AA AA/Watch Neg MV-3 126673WZ1 AA- AA-/Watch Neg MV-4 126673XA5 BBB BBB/Watch Neg MV-5 126673XB3 B B/Watch Neg CWABS Asset-Backed Certificates Trust 2005-14 Series 2005-14 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 126670LH9 AAA AAA/Watch Neg 2-A-1 126670LJ5 AAA AAA/Watch Neg 2-A-2 126670LK2 AAA AAA/Watch Neg 3-A-2 126670LM8 AAA AAA/Watch Neg 3-A-3 126670LN6 AAA AAA/Watch Neg M-1 126670LP1 A+ AA+/Watch Neg M-2 126670LQ9 BB AA/Watch Neg M-3 126670LR7 B- AA-/Watch Neg M-5 126670LT3 CCC A/Watch Neg M-6 126670LU0 CCC A-/Watch Neg M-7 126670LV8 CCC BB/Watch Neg M-8 126670LW6 CC B-/Watch Neg B 126670LX4 CC CCC M-4 126670LS5 CCC A+/Watch Neg CWABS Asset-Backed Certificates Trust 2005-15 Series 2005-15 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-AF-3 126670MA3 AAA AAA/Watch Neg 1-AF-4 126670MB1 AAA AAA/Watch Neg 1-AF-5 126670MC9 AAA AAA/Watch Neg 1-AF-6 126670MD7 AAA AAA/Watch Neg 2-AV-2 126670MF2 AA- AAA/Watch Neg 2-AV-3 126670MG0 A A/Watch Neg M-1 126670MH8 BB BB/Watch Neg CWABS Asset-Backed Certificates Trust 2005-3 Series 2005-3 Rating ------ Class CUSIP To From ----- ----- -- ---- AF-3 126673ZR6 AAA AAA/Watch Neg AF-4 126673ZS4 AA+ AAA/Watch Neg AF-5A 126673ZT2 AA+ AAA/Watch Neg AF-5B 126673D25 AA+ AAA/Watch Neg AF-6 126673ZU9 AA+ AAA/Watch Neg MF-1 126673ZV7 BB BB/Watch Neg MV-1 126673B43 AA+ AA+/Watch Neg MV-2 126673B50 AA AA/Watch Neg MV-3 126673B68 A A/Watch Neg MV-4 126673B76 BB BB/Watch Neg MV-5 126673B84 B B/Watch Neg CWABS Asset-Backed Certificates Trust 2005-4 Series 2005-4 Rating ------ Class CUSIP To From ----- ----- -- ---- AF-3 126673N57 BBB AAA/Watch Neg AF-4 126673N65 BBB AAA/Watch Neg AF-5A 126673N73 BBB AAA/Watch Neg AF-5B 126673N81 BBB AAA/Watch Neg AF-6 126673N99 BBB AAA/Watch Neg MF-6 126673P71 CC CCC MF-7 126673P89 CC CCC 2-AV-1 126673Q39 AAA AAA/Watch Neg 3-AV-3 126673Q62 AAA AAA/Watch Neg MV-1 126673Q70 AA+ AA+/Watch Neg MV-2 126673Q88 AA AA/Watch Neg MV-3 126673Q96 BBB BBB/Watch Neg MV-4 126673R20 B B/Watch Neg CWABS Asset-Backed Certificates Trust 2005-BC5 Series 2005-BC5 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A 126670MY1 AAA AAA/Watch Neg 2-A-1 126670MZ8 AA AA/Watch Neg 2-A-2 126670NA2 AA AA/Watch Neg 3-A-2 126670NC8 AAA AAA/Watch Neg 3-A-3 126670ND6 AAA AAA/Watch Neg M-1 126670NE4 BBB BBB/Watch Neg M-2 126670NF1 B B/Watch Neg Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB3 Series 2006-AB3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 25151EAA1 CC CCC A-2 25151EAB9 CC CCC A-3 25151EAC7 CC CCC A-4 25151EAD5 AAA AAA/Watch Neg A-5A 25151EAE3 AAA AAA/Watch Neg A-5B 25151EAF0 CC CCC A-6 25151EAG8 AAA AAA/Watch Neg A-8 25151EAJ2 CC CCC FBR Securitization Trust 2005-1 Series 2005-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 30246QAA1 AAA AAA/Watch Neg A-2 30246QAB9 AAA AAA/Watch Neg GSAA Home Equity Trust 2006-2 Series 2006-2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A1 3623415N5 B B+/Watch Neg 1A2 3623415P0 B- B-/Watch Neg 2A2 3623415R6 A- AAA/Watch Neg 2A3 3623415S4 BB+ AAA/Watch Neg 2A4 362334AA2 B- B-/Watch Neg 2A5 362334AB0 B- B-/Watch Neg M-2 3623415U9 CC CCC M-3 3623415V7 CC CCC GSAMP Trust 2005-HE1 Series 2005-HE1 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 36242DRW5 AA+ AA+/Watch Neg M-3 36242DRY1 CC CCC Harborview Mortgage Loan Trust 2005-16 Series 2005-16 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1B 41161PYV9 CC CCC 2-A1C 41161PYY3 CC CCC 3-A1C 41161PZB2 CC CCC 4-A1B 41161PZD8 CC CCC PO-B 41161PZP1 CC CCC IndyMac Residential Mortgage-Backed Trust 2005-L1 Series 2005-L1 Rating ------ Class CUSIP To From ----- ----- -- ---- A 456606HF2 BB BB/Watch Neg IXIS Real Estate Capital Trust 2005-HE3 Series 2005-HE3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-4 45071KBW3 AAA AAA/Watch Neg M-1 45071KBX1 A AA+/Watch Neg M-2 45071KBY9 B- AA/Watch Neg M-3 45071KBZ6 CCC BB/Watch Neg M-5 45071KCB8 CC CCC Long Beach Mortgage Loan Trust 2005-WL3 Series 2005-WL3 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A2 542514QB3 AAA AAA/Watch Neg I-A3 542514QC1 AAA AAA/Watch Neg I-A4 542514QD9 AAA AAA/Watch Neg II-A2B 542514PP3 AAA AAA/Watch Neg II-A3 542514PQ1 AAA AAA/Watch Neg M-1 542514PR9 B- B-/Watch Neg M-3 542514PT5 CC CCC Merrill Lynch Mortgage Investors Trust Series 2005-HE3 Series 2005-HE3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1A 59020UY66 BB AAA/Watch Neg A-1B 59020UX75 CCC B-/Watch Neg A-2B 59020UX91 A A/Watch Neg A-2C 59020UY25 CCC B-/Watch Neg M-1 59020UY74 CC CCC Merrill Lynch Mortgage Investors Trust Series 2006-WMC1 Series 2006-WMC1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1A 59020U4L6 CCC B-/Watch Neg A-2C 59020U3X1 B- B+/Watch Neg M-2 59020U4A0 CC CCC Morgan Stanley ABS Capital I Inc. Trust 2005-WMC3 Series 2005-WMC3 Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 61744CPY6 AA AA/Watch Neg M-3 61744CPZ3 AA- AA-/Watch Neg M-4 61744CQA7 A+ A+/Watch Neg M-5 61744CQB5 A A/Watch Neg M-6 61744CQC3 B- A-/Watch Neg B-1 61744CQD1 CCC BBB+/Watch Neg B-2 61744CQE9 CC B-/Watch Neg Morgan Stanley ABS Capital I Inc. Trust 2006-WMC1 Series 2006-WMC1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 61744CXJ0 BB BB/Watch Neg A-2b 61744CXL5 BBB- AAA/Watch Neg A-2c 61744CXM3 B- B-/Watch Neg M-2 61744CXP6 CC CCC New Century Home Equity Loan Trust Series 2005-A Series 2005-A Rating ------ Class CUSIP To From ----- ----- -- ---- A-3 64352VLX7 AAA AAA/Watch Neg A-4 64352VLY5 BBB AAA/Watch Neg A-4w 64352VMN8 AAA AAA/Watch Neg A-5 64352VLZ2 B AAA/Watch Neg A-5w 64352VMP3 AAA AAA/Watch Neg A-6 64352VMA6 B AAA/Watch Neg Nomura Home Equity Loan Inc. Home Equity Loan Trust Series 2006-FM1 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A 65536HBT4 BBB- BBB-/Watch Neg II-A-3 65536HBW7 B- B-/Watch Neg II-A-4 65536HBX5 B- B-/Watch Neg M-2 65536HBZ0 CC CCC Securitized Asset Backed Receivables LLC Trust 2005-HE1 Series 2005-HE1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1A 81375WGM2 AAA AAA/Watch Neg A-1B 81375WGN0 BBB AAA/Watch Neg A-2 81375WGP5 AAA AAA/Watch Neg A-3C 81375WGE0 BB AAA/Watch Neg Terwin Mortgage Trust 2005-2HE Series 2005-2HE Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 881561PW8 B+ BB- Terwin Mortgage Trust 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-2 881561L93 AAA AAA/Watch Neg I-A-3 881561M27 A A/Watch Neg Terwin Mortgage Trust Series TMTS 2005-16HE Series 2005-16HE Rating ------ Class CUSIP To From ----- ----- -- ---- AF-3 881561ZB3 CCC B- Ratings Affirmed Ace Securities Corp. Home Equity Loan Trust Series 2006-ASAP1 Series 2006-ASAP1 Class CUSIP Rating ----- ----- ------ M-1 004421VX8 CCC M-2 004421VY6 CCC Argent Mortgage Loan Trust 2005-W1 Series 2005-W1 Class CUSIP Rating ----- ----- ------ A-1 040104MX6 CCC A-2 040104MY4 CCC Argent Securities Inc. Asset-Backed Pass-Through Certificates Series 2005-W4 Class CUSIP Rating ----- ----- ------ A-1A2 040104QG9 BB+ A-1A3 040104QH7 CCC A-1B 040104QJ3 CCC A-2D 040104PT2 CCC Asset Backed Securities Corporation Home Equity Loan Trust Series 2005-HE6 Class CUSIP Rating ----- ----- ------ M6 04541GTQ5 CCC M7 04541GTR3 CCC M8 04541GTS1 CCC Asset Backed Securities Corporation Home Equity Loan Trust Series 2005-HE8 Class CUSIP Rating ----- ----- ------ M3 04541GUQ3 CCC M4 04541GUR1 CCC Bear Stearns Asset Backed Securities I Trust 2005-HE9 Series 2005-HE9 Class CUSIP Rating ----- ----- ------ M-2 073879R59 CCC M-3 073879R67 CCC Bear Stearns Asset Backed Securities I Trust 2006-AC1 Series 2006-AC1 Class CUSIP Rating ----- ----- ------ II-1A-1 07387UCT6 CCC II-1X 07387UCV1 CCC Citigroup Mortgage Loan Trust 2006-WMC1 Series 2006 WMC1 Class CUSIP Rating ----- ----- ------ A-1 17307G2G2 A- A-2D 17307GZ50 B M-1 17307GZ68 CCC CWABS Asset Backed Certificates Trust 2005-11 Series 2005-11 Class CUSIP Rating ----- ----- ------ MF-1 126670CM8 CCC MF-2 126670CN6 CCC MF-3 126670CP1 CCC MF-4 126670CQ9 CCC MF-5 126670CR7 CCC MV-3 126670DC9 CCC MV-4 126670DD7 CCC MV-5 126670DE5 CCC MV-6 126670DF2 CCC MV-7 126670DG0 CCC CWABS Asset Backed Certificates Trust 2005-12 Series 2005-12 Class CUSIP Rating ----- ----- ------ 1-A-3 126670EA2 AAA 1-A-4 126670EB0 AAA 1-A-5 126670EC8 AAA 1-A-6 126670ED6 AAA 2-A-3 126670EG9 AAA 2-A-4 126670EH7 AAA 2-A-5 126670EJ3 AAA 3-A 126670EX2 AAA 4-A 126670EY0 AAA M-1 126670EK0 A M-2 126670EL8 BB M-3 126670EM6 B M-4 126670EN4 CCC M-5 126670EP9 CCC M-6 126670EQ7 CCC M-7 126670ER5 CCC CWABS Asset Backed Certificates Trust 2005-13 Series 2005-13 Class CUSIP Rating ----- ----- ------ AF-3 126670GQ5 CCC AF-4 126670GR3 CCC AF-5 126670GS1 BB+ AF-6 126670GT9 CCC MF-1 126670GU6 CCC MF-2 126670GV4 CCC MF-3 126670GW2 CCC 2-AV-1 126670HD3 B 3-AV-4 126670HH4 B MV-1 126670HJ0 CCC MV-2 126670HK7 CCC MV-3 126670HL5 CCC MV-4 126670HM3 CCC CWABS Asset Backed Certificates Trust 2005-16 Series 2005-16 Class CUSIP Rating ----- ----- ------ MV-1 126670PH5 CCC MV-2 126670PJ1 CCC MV-3 126670PK8 CCC MV-4 126670PL6 CCC MV-5 126670PM4 CCC 1-AF 126670NV6 CCC 2-AF-2 126670NX2 CCC 2-AF-3 126670NY0 CCC 2-AF-4 126670NZ7 CCC 2-AF-5 126670PA0 CCC CWABS Asset Backed Certificates Trust 2005-7 Series 2005-7 Class CUSIP Rating ----- ----- ------ AF-3 126673Y63 AAA MF-2 126673Z39 CCC MF-3 126673Z47 CCC MF-4 126673Z54 CCC MF-5 126673Z62 CCC MF-6 126673Z70 CCC 2-AV-1 1266732B7 AAA 2-AV-2 1266732C5 AAA 3-AV-3 1266732F8 AAA MV-1 1266732G6 AA+ MV-2 1266732H4 A MV-3 1266732J0 BBB MV-4 1266732K7 B MV-5 1266732L5 CCC MV-6 1266732M3 CCC MV-7 1266732N1 CCC MV-8 1266732P6 CCC CWABS Asset-Backed Certificates Trust 2005-1 Series 2005-1 Class CUSIP Rating ----- ----- ------ MF-3 126673WG3 CCC MF-4 126673WH1 CCC MF-5 126673WJ7 CCC MF-6 126673WK4 CCC MF-7 126673WL2 CCC MV-6 126673XC1 CCC MV-7 126673XD9 CCC MV-8 126673XE7 CCC CWABS Asset-Backed Certificates Trust 2005-15 Series 2005-15 Class CUSIP Rating ----- ----- ------ M-2 126670MJ4 CCC M-3 126670MK1 CCC M-4 126670ML9 CCC M-5 126670MM7 CCC M-6 126670MN5 CCC M-7 126670MP0 CCC M-8 126670MQ8 CCC CWABS Asset-Backed Certificates Trust 2005-17 Series 2005-17 Class CUSIP Rating ----- ----- ------ 2-AV 126670QX9 CCC 3-AV-1 126670QY7 BB 4-AV-2A 126670RB6 B 4-AV-2B 126670SK5 B 4-AV-3 126670RC4 CCC MV-1 126670RD2 CCC MV-2 126670RE0 CCC MV-3 126670RF7 CCC 3-AV-2 126670QZ4 CCC CWABS Asset-Backed Certificates Trust 2005-3 Series 2005-3 Class CUSIP Rating ----- ----- ------ MF-2 126673ZW5 CCC MF-3 126673ZX3 CCC MF-4 126673ZY1 CCC MF-5 126673ZZ8 CCC MF-6 126673A28 CCC MV-6 126673B92 CCC MV-7 126673C26 CCC MV-8 126673C34 CCC CWABS Asset-Backed Certificates Trust 2005-4 Series 2005-4 Class CUSIP Rating ----- ----- ------ MF-1 126673P22 CCC MF-2 126673P30 CCC MF-3 126673P48 CCC MF-4 126673P55 CCC MF-5 126673P63 CCC MV-5 126673R38 CCC MV-6 126673R46 CCC MV-7 126673R53 CCC MV-8 126673R61 CCC CWABS Asset-Backed Certificates Trust 2005-BC5 Series 2005-BC5 Class CUSIP Rating ----- ----- ------ M-3 126670NG9 CCC M-4 126670NH7 CCC M-5 126670NJ3 CCC M-6 126670NK0 CCC GSAA Home Equity Trust 2006-2 Series 2006-2 Class CUSIP Rating ----- ----- ------ M-1 3623415T2 CCC GSAMP Trust 2005-HE1 Series 2005-HE1 Class CUSIP Rating ----- ----- ------ M-2 36242DRX3 CCC Harborview Mortgage Loan Trust 2005-16 Series 2005-16 Class CUSIP Rating ----- ----- ------ 1-A1A 41161PA52 CCC 2-A1A 41161PYW7 CCC 2-A1B 41161PYX5 CCC 3-A1A 41161PYZ0 CCC 3-A1B 41161PZA4 CCC 4-A1A 41161PZC0 CCC X-1 41161PZE6 CCC X-2 41161PZF3 CCC X-3 41161PZG1 CCC X-4 41161PZH9 CCC PO-1 41161PZK2 CCC PO-2 41161PZL0 CCC PO-3 41161PZM8 CCC PO-4 41161PZN6 CCC IXIS Real Estate Capital Trust 2005-HE3 Series 2005-HE3 Class CUSIP Rating ----- ----- ------ M-4 45071KCA0 CCC Long Beach Mortgage Loan Trust 2005-WL3 Series 2005-WL3 Class CUSIP Rating ----- ----- ------ M-2 542514PS7 CCC Merrill Lynch Mortgage Investors Trust Series 2006-WMC1 Series 2006-WMC1 Class CUSIP Rating ----- ----- ------ A-1B 59020U4M4 CCC A-2D 59020U3Y9 CCC M-1 59020U3Z6 CCC Morgan Stanley ABS Capital I Inc. Trust 2006-WMC1 Series 2006-WMC1 Class CUSIP Rating ----- ----- ------ M-1 61744CXN1 CCC New Century Home Equity Loan Trust Series 2005-A Series 2005-A Class CUSIP Rating ----- ----- ------ M-1 64352VMB4 CCC M-2 64352VMC2 CCC Nomura Home Equity Loan Inc. Home Equity Loan Trust Series 2006-FM1 Class CUSIP Rating ----- ----- ------ M-1 65536HBY3 CCC Securitized Asset Backed Receivables LLC Trust 2005-FR5 Series 2005-FR5 Class CUSIP Rating ----- ----- ------ A-1A 81375WFQ4 AAA A-1B 81375WFR2 AAA A-2B 81375WFT8 AAA M-1 81375WFU5 CCC M-2 81375WFV3 CCC Securitized Asset Backed Receivables LLC Trust 2005-HE1 Series 2005-HE1 Class CUSIP Rating ----- ----- ------ M-1 81375WGF7 CCC Structured Asset Investment Loan Trust 2005-5 Series 2005-5 Class CUSIP Rating ----- ----- ------ A1 86358ESW7 AAA A3 86358ESY3 AAA A4 86358ESZ0 AAA A5 86358ETA4 AAA A8 86358ETD8 AAA A9 86358ETE6 AAA M1 86358ETF3 AA+ M2 86358ETG1 AA M3 86358ETH9 BBB- M4 86358ETJ5 B- M5 86358ETK2 CCC Terwin Mortgage Trust 2005-2HE Series 2005-2HE Class CUSIP Rating ----- ----- ------ A-1 881561PU2 AAA S 881561PV0 AAA Terwin Mortgage Trust 2006-1 Series 2006-1 Class CUSIP Rating ----- ----- ------ I-M-1 881561M35 CCC I-M-2 881561M43 CCC II-A-1a 881561H80 CCC Terwin Mortgage Trust Series TMTS 2005-16HE Series 2005-16HE Class CUSIP Rating ----- ----- ------ AF-2 881561ZA5 AAA AF-4 881561ZC1 AAA AF-5 881561ZD9 AAA AV-2 881561ZF4 B- AV-3 881561ZG2 CCC * S&P Downgrades Ratings on 473 Classes of Certificates to 'D' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D' on 473 classes of mortgage pass-through certificates from 396 U.S. residential mortgage-backed securities transactions backed by a variety of collateral types. S&P removed one of the lowered ratings from CreditWatch with negative implications. In addition, S&P placed four other ratings from RAMP Series 2003-RZ5 Trust on CreditWatch with negative implications. The ratings on 91 additional classes from two of the downgraded transactions remain on CreditWatch with negative implications. Approximately 82.66% of the defaulted classes were from transactions backed by Alternative-A or subprime mortgage loan collateral. The 473 defaulted classes consisted of these: * 283 classes were from Alt-A transactions (59.83% of all defaults); * 108 were from subprime transactions (22.83% of all defaults); * 64 were from prime jumbo transactions; * Six were from reperforming transactions; * Three were from first-lien high loan-to-value transactions; * Two were from closed-end second-lien transactions; * Two were from document-deficient transactions; * Two were from re-REMIC transactions; * One was from a home equity line of credit transaction; * One was from an outside-the-guidelines transaction; and * One was from a risk-transfer transaction. The 473 downgrades to 'D' reflect S&P's assessment of principal write-downs on the affected classes during recent remittance periods. The CreditWatch placements reflect the fact that the affected classes are within a group that includes a class that defaulted from a 'B-' rating or higher. S&P lowered approximately 99.58% of the ratings from the 'CCC' or 'CC' rating categories, and S&P lowered 100% from a speculative-grade category. S&P expects to resolve its CreditWatch placements affecting these transactions after S&P complete its reviews of the underlying credit enhancement. Standard & Poor's will continue to monitor its ratings on securities that experience principal write-downs, and S&P will adjust the ratings as S&P deem appropriate. ********* 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 ***