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T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, April 11, 2010, Vol. 14, No. 99
Headlines
ACAS BUSINESS: Fitch Puts 4 Classes on Rating Watch Negative
ACAS BUSINESS: Fitch Puts 5 Classes on Rating Watch Negative
ACAS BUSINESS: Fitch Puts Four Ratings on Negative Watch
ACAS BUSINESS: Fitch Puts Ratings on Four Notes on Negative Watch
ACAS BUSINESS: Fitch Puts Six Classes on Rating Watch Negative
AMBAC ASSURANCE: Fitch Expects Default on 32 CDO Tranches
ARCAP 2005-RR5: S&P Downgrades Ratings on Seven Securities
ASSOCIATES MANUFACTURED: S&P Raises Ratings on Two Certificates
AUSTIN HOUSING: S&P Corrects Rating on 1997A-2 Bonds From 'CC'
BANC OF AMERICA: Moody's Reviews Ratings on 21 2008-LS1 Certs.
BANC OF AMERICA: Moody's Reviews Ratings on Series 2000-2 Certs.
BANC OF AMERICA: S&P Affirms Ratings on 18 Classes of CMBS
BANC OF AMERICA: S&P Downgrades Ratings on Nine Securities
BANC OF AMERICA: S&P Raises Ratings on Class B & C Notes
BEAR STEARNS: S&P Corrects Ratings on Various Certificates
BEXAR COUNTY: Moody's Downgrades Rating on 2001A Bonds to 'Caa3'
BILOXI HOUSING: Moody's Affirms 'Ba3' Rating on Outstanding Bonds
BNC MORTGAGE: Moody's Downgrades Ratings on 18 Tranches
BTC SPV: S&P Corrects Ratings on Various Zero-Coupon Notes
BUSINESS LOAN: Moody's Downgrades Ratings on All Certificates
CAPMARK VII-CRE: Fitch Downgrades Ratings on All Note Classes
CARLYLE HIGH: Moody's Reviews 'Ca' Ratings on Class E Notes
CARLYLE HIGH: Moody's Reviews Ratings on Four Classes of Notes
CASTLE HILL: Fitch Affirms Ratings on Four Classes of Notes
CASTLE HILL: Fitch Keeps Ratings on Four Classes of Notes
CBA COMMERCIAL: Fitch Downgrades Ratings on Class M-5 to 'D/RR6'
CBA COMMERCIAL: Fitch Puts Seven Ratings on Negative Watch
CBA COMMERCIAL: Fitch Takes Rating Actions on Three Classes
CBA COMMERCIAL: S&P Downgrades Ratings on 27 Classes of Certs.
CITY OF HARRISBURG: Moody's Withdraws 'B2' Rating on Bonds
COLORADO EDUCATIONAL: Moody's Raises 2007A Bond Rating From 'BB'
CREDIT SUISSE: Fitch Takes Rating Actions on 2004-C3 Certs.
CREDIT SUISSE: Moody's Affirms Ratings on 21 2007-TFL2 Certs.
CWCAPITAL COBALT: S&P Downgrades Ratings on 10 Classes
CWCAPITAL COBALT: S&P Downgrades Ratings on 13 Classes of CRE CDOs
DRYDEN XVIII: Moody's Reviews 'C' Rating on Class B Notes
EASTMAN HILL: Fitch Retains Evolving Watch on Rated Classes
FIRST HORIZON: Moody's Downgrades Ratings on Nine Tranches
FIRST NLC: Moody's Downgrades Ratings on 27 Tranches
FRONTIER LEASING: Moody's Downgrades Ratings on Six Classes
GALAXY III: Moody's Reviews Ratings on Three Classes of Notes
GMAC COMMERCIAL: S&P Downgrades Ratings on Five 2002-C3 Certs.
GREEN TREE: Fitch Takes Rating Actions on Various Note Classes
GREYWOLF CLO: Moody's Reviews Ratings on Five Classes of Notes
HESPERIA REDEVELOPMENT: S&P Raises 2005A Bond Rating From 'BB'
HOMETOWN COMMERCIAL: Fitch Downgrades Ratings on Nine Classes
HSBC USA: Moody's Confirms Ratings on 48 Tranches From 10 RMBS
JEFFERSON COUNTY: S&P Affirms 'C' Rating on Various Revenue Bonds
JEFFERSON COUNTY: S&P Keeps 'B' Rating on Outstanding GO Warrants
JP MORGAN: Moody's Reviews Ratings on 20 2007-LDP11 Certs.
LAGUNA ABS: Moody's Downgrades Ratings on Four Classes of Notes
LB-UBS COMMERCIAL: Fitch Takes Rating Actions on 2004-C6 Certs.
LB-UBS COMMERCIAL: S&P Affirms Ratings on 21 2003-C7 CMBS
LIBRA CDO: Moody's Downgrades Rating on Senior Swap Agreement
LITIGATION SETTLEMENT: Moody's Cuts Rating on Certificates to Ba1
LNR CDO: Moody's Downgrades Ratings on 14 Classes of Notes
LNR CDO: S&P Downgrades Ratings on Eight Classes of Notes
LONGPORT FUNDING: Moody's Downgrades Ratings on Four Classes
MASSACHUSETTS HEALTH: Fitch Cuts Rating on $26.7 Mil. Bonds to 'B'
MERRILL LYNCH: Moody's Downgrades Ratings on 23 Tranches
MERRILL LYNCH: S&P Downgrades Ratings on 13 2004-BPC1 Securities
MERRILL LYNCH: S&P Downgrades Rating on Class E 1998-C1-CTL Certs.
MERRILL LYNCH: S&P Downgrades Ratings on Two 1999-C1 Certs.
MIDWEST FAMILY: Moody's Affirms Low-B Ratings on Various Bonds
MIDWEST FAMILY: S&P Downgrades Rating on Series 2006A Bonds
MILLSTONE FUNDING: Fitch Downgrades Ratings on All Classes
MINT 2005-1: S&P Downgrades Ratings on Four Classes to 'CC'
MKP VELA: Moody's Downgrades Rating on Senior Swap Transaction
ML-CFC COMMERCIAL: Moody's Reviews Ratings on 21 Certificates
MORGAN STANLEY: Fitch Downgrades Ratings on 2004-IQ8 Certs.
MORGAN STANLEY: Fitch Takes Rating Actions on 2001-TOP3 Certs.
N-45 FIRST: Fitch Affirms Ratings on Series 2003-1 Notes
NEXTSTUDENT MASTER: Fitch Puts Nine Note Ratings on Negative Watch
NEXTSTUDENT MASTER: Fitch Puts 16 Note Ratings on Negative Watch
NORTHEAST HOUSING: Moody's Downgrades Ratings on $355 Mil. Bonds
OFFUTT AFB: Moody's Affirms 'Ba3' Rating on Taxable 2005 Bonds
OMEGA CAPITAL: S&P Withdraws 'CCC-' Rating on Class C-1U Notes
PANHANDLE REGIONAL: Moody's Affirms 'Ca' Rating on Senior Bonds
PARCS-R MASTER: S&P Downgrades Rating on 2007-19 Units to 'CC'
PARK PLACE: Moody's Downgrades Ratings on 46 Tranches
PETRA CRE: S&P Downgrades Ratings 11 Classes of CRE CDO Deals
PNC MORTGAGE: Moody's Reviews Ratings on Seven 2000-C1 Certs.
PNCMT TRUST: S&P Corrects Ratings on Series 2000-1 Notes From 'B'
PRINCETON: S&P Upgrades Rating on Bonds to 'BB' From 'BB-'
PRUDENTIAL COMMERCIAL: Fitch Takes Rating Action on Certs.
REMIC MORTGAGE: Fitch Affirms 'BB+/LS3' Rating on 1996-M5 Certs.
REVE SPC: S&P Downgrades Rating on Class B Notes to 'CC'
SANDELMAN PARTNERS: S&P Downgrades Ratings on Three Classes
SCHOONER TRUST: Moody's Affirms Ratings on 14 2006-5 Certificates
SCHOONER TRUST: Moody's Affirms Ratings on 17 2005-3 Certs.
SEAWALL SPC: Moody's Downgrades Ratings on Series 2008-39 Notes
SPARKS REGIONAL: Moody's Upgrades Rating on Series 2002 Certs.
TARRANT COUNTY: Moody's Affirms 'Ca' Rating on Revenue Bonds
TRAVIS COUNTY: Moody's Affirms 'Ba3' Rating on Series 2002A Bonds
TW HOTEL: S&P Puts Ratings on 13 Certs. on CreditWatch Developing
UBS AG: S&P Downgrades Ratings on Credit-Linked Notes to 'D's
WACHOVIA AUTO: Moody's Raises Ratings on Six Subordinate Tranches
WACHOVIA CRE: S&P Downgrades Ratings on 14 Classes of CRE CDOs
WELLS FARGO: Moody's Downgrades Ratings on 49 Tranches
* Fitch Affirms Ratings on 26 Classes in 11 RMBS Transactions
* Fitch Downgrades Ratings on 268 Bonds From 217 RMBS Deals to 'D'
* Fitch Says AMBAC Credit Event Pushes 32 CDOs Near Default
* Fitch Takes Various Rating Actions on Synthetic SF CDO Deals
* Moody's Affirms Ratings on Deals From Housing Finance Agencies
* Moody's Downgrades Ratings on 92 Tranches From 6 IndyMac RMBS
* Moody's Downgrades Ratings on 125 Tranches From 29 RMBS Deals
* Moody's Downgrades Ratings on 130 Tranches From 30 RMBS Deals
* Moody's Downgrades Ratings on 151 Tranches From 39 RMBS Deals
* Moody's Downgrades Ratings on 209 Tranches From 43 RMBS Deals
* Moody's Downgrades Ratings on 284 Tranches From 13 RMBS Deals
* Moody's Reviews Ratings on 75 Classes From 15 Student Loans
* S&P Downgrades Ratings on 10 Classes From Seven CMBS to 'D'
* S&P Downgrades Ratings on 11 Classes From Five RMBS Transactions
* S&P Downgrades Ratings on 12 Tranches From Three CLO Deals
* S&P Downgrades Ratings on 14 Classes From 11 RMBS Transactions
* S&P Downgrades Ratings on 22 Tranches From Four CDO Transactions
* S&P Downgrades Ratings on 44 Classes From 20 RMBS Transactions
* S&P Downgrades Ratings on 58 Tranches From 11 CLO Transactions
* S&P Downgrades Ratings on 63 Tranches From 11 CLO Transactions
* S&P Downgrades Ratings on 107 Classes From 20 Student Loans
* S&P Downgrades Ratings on 45 Tranches From Eight CLO Deals
* S&P Downgrades Ratings on 49 Tranches From 11 CLO Transactions
* S&P Downgrades Ratings on 55 Tranches From Nine CDO Deals
* S&P Downgrades Ratings on 81 Classes From 11 RMBS Deals
* S&P Downgrades Ratings on 132 Classes From 23 Securitizations
* S&P Downgrades Ratings on Five Classes From Five CMBS to 'D'
* S&P Takes Various Rating Actions on Four Market Value CDO Deals
*********
ACAS BUSINESS: Fitch Puts 4 Classes on Rating Watch Negative
------------------------------------------------------------
Fitch Ratings has placed 4 classes of ACAS Business Loan Trust
2007-1 issued by American Capital Strategies, Ltd., on Rating
Watch Negative.
The ratings were placed on Watch Negative due to the increasing
number of defaults and delinquencies reported in many of the
collateralized loan obligation portfolios originated by American
Capital Strategies, Ltd., since their last rating review in the
second quarter of 2009. According to the Feb. 28, 2010 servicer
report, Fitch considered approximately 28.4% of the portfolio to
represent cumulative defaults up from 11.3% at the last rating
review in May 2009. Exacerbating the impact of growing defaults
is that the collateral in the portfolio is largely composed of
second-lien and junior debt. Recovery prospects on non-senior
debt, particularly for middle market issuers, continue to be
negatively affected by the current economic environment. Coupled
with the financial troubles of American Capital Strategies, Ltd.,
which currently has an Issuer Default Rating of 'C', the
transaction may be challenged in achieving full recovery potential
on defaulted investments. As a result of growing defaults, the
credit enhancement levels to the rated notes have decreased and
may no longer be sufficient to support the current ratings.
Structural features, such as the Additional Principal Amount,
designed to mitigate losses on defaults, have not kept pace with
new defaults in the portfolio, potentially leaving some CLO
classes under-collateralized.
Fitch has placed these ratings from ACAS BLT 2007-1 on Rating
Watch Negative:
ACAS Business Loan Trust 2007-1
-- $200,537,125 class A notes 'AA'; Rating Watch Negative;
-- $36,095,289 class B notes 'A'; Rating Watch Negative;
-- $64,971,520 class C notes 'BB'; Rating Watch Negative;
-- $36,095,289 class D notes 'B'; Rating Watch Negative.
ACAS BUSINESS: Fitch Puts 5 Classes on Rating Watch Negative
------------------------------------------------------------
Fitch Ratings has placed 5 classes of ACAS Business Loan Trust
2007-2 issued by American Capital Strategies, Ltd., on Rating
Watch Negative.
The ratings were placed on Watch Negative due to the increasing
number of defaults and delinquencies reported in many of the CLO
portfolios originated by American Capital Strategies, Ltd. since
their last rating review in the second quarter of 2009. According
to the Feb. 28, 2010 servicer report, Fitch considered
approximately 31.1% of the portfolio to represent cumulative
defaults up from 6.1% at the last rating review in May 2009.
Exacerbating the impact of growing defaults is that the collateral
in the portfolio is largely composed of second-lien and junior
debt. Recovery prospects on non-senior debt, particularly for
middle market issuers, continue to be negatively affected by the
current economic environment. Coupled with the financial troubles
of American Capital Strategies, Ltd., which currently has an
Issuer Default Rating of 'C', the transaction may be challenged in
achieving full recovery potential on defaulted investments. As a
result of growing defaults, the credit enhancement levels to the
rated notes have decreased and may no longer be sufficient to
support the current ratings. Structural features, such as the
Additional Principal Amount, designed to mitigate losses on
defaults, have not kept pace with new defaults in the portfolio,
potentially leaving some CLO classes under-collateralized.
Fitch has placed these ratings from ACAS BLT 2007-2 on Rating
Watch Negative:
-- $196,951,498 class A notes 'AAA'; Rating Watch Negative;
-- $34,874,179 class B notes 'AA-'; Rating Watch Negative;
-- $58,588,620 class C notes 'BB+'; Rating Watch Negative;
-- $29,294,310 class D notes 'B+'; Rating Watch Negative;
-- $39,524,069 class E notes 'CCC'; Rating Watch Negative.
ACAS BUSINESS: Fitch Puts Four Ratings on Negative Watch
--------------------------------------------------------
Fitch Ratings has placed four classes of ACAS Business Loan Trust
2006-1 issued by American Capital Strategies, Ltd., on Rating
Watch Negative.
The ratings were placed on Watch Negative due to the increasing
number of defaults and delinquencies reported in many of the CLO
portfolios originated by American Capital Strategies, Ltd., since
their last rating review in the second quarter of 2009. According
to the Feb. 28, 2010 servicer report, Fitch considered
approximately 27.6% of the portfolio to represent cumulative
defaults up from 6.9% at the last rating review in April 2009.
Exacerbating the impact of growing defaults is that the collateral
in the portfolio is largely composed of second-lien and junior
debt. Recovery prospects on non-senior debt, particularly for
middle market issuers, continue to be negatively affected by the
current economic environment. Coupled with the financial troubles
of American Capital Strategies, Ltd., which currently has an
Issuer Default Rating of 'C', the transaction may be challenged in
achieving full recovery potential on defaulted investments. As a
result of growing defaults, the credit enhancement levels to the
rated notes have decreased and may no longer be sufficient to
support the current ratings. Structural features, such as the
Additional Principal Amount, designed to mitigate losses on
defaults, have not kept pace with new defaults in the portfolio,
potentially leaving some CLO classes under-collateralized.
Fitch has placed these ratings from ACAS BLT 2006-1 on Rating
Watch Negative:
-- $213,369,015 class A notes 'AAA'; Rating Watch Negative;
-- $37,000,000 class B notes 'AA'; Rating Watch Negative;
-- $72,500,000 class C notes 'BB+'; Rating Watch Negative;
-- $35,500,000 class D notes 'B+'; Rating Watch Negative.
ACAS BUSINESS: Fitch Puts Ratings on Four Notes on Negative Watch
-----------------------------------------------------------------
Fitch Ratings has placed four classes of ACAS Business Loan Trust
2004-1 issued by American Capital Strategies, Ltd., on Rating
Watch Negative.
The ratings were placed on Watch Negative due to the increasing
number of defaults and delinquencies reported in many of the CLO
portfolios originated by American Capital Strategies, Ltd., since
their last rating review in the second quarter of 2009. According
to the Jan. 24, 2010 servicer report, Fitch considered
approximately 34.5% of the portfolio to represent cumulative
defaults up from 12.6% at the last rating review in April 2009.
Exacerbating the impact of growing defaults is that the collateral
in these portfolios is largely composed of second-lien and junior
debt. Recovery prospects on non-senior debt, particularly for
middle market issuers, continue to be negatively affected by the
current economic environment. Coupled with the financial troubles
of American Capital Strategies, Ltd., which currently has an
Issuer Default Rating of 'C', the transaction may be challenged in
achieving full recovery potential on defaulted investments. As a
result of growing defaults, the credit enhancement levels to the
rated notes have decreased and may no longer be sufficient to
support the current ratings. Structural features, such as the
Additional Principal Amount, designed to mitigate losses on
defaults, have not kept pace with new defaults in the portfolio,
potentially leaving some CLO classes under-collateralized.
Fitch has placed these ratings from ACAS BLT 2004-1 on Rating
Watch Negative:
-- $56,570,683 class A notes 'AAA'; Rating Watch Negative;
-- $33,750,000 class B notes 'AA'; Rating Watch Negative;
-- $73,750,000 class C notes 'BBB'; Rating Watch Negative;
-- $50,000,000 class D notes 'B'; Rating Watch Negative.
ACAS BUSINESS: Fitch Puts Six Classes on Rating Watch Negative
--------------------------------------------------------------
Fitch Ratings has placed six classes of ACAS Business Loan Trust
2005-1 issued by American Capital Strategies, Ltd., on Rating
Watch Negative.
The ratings were placed on Watch Negative due to the increasing
number of defaults and delinquencies reported in many of the
collateralized loan obligation portfolios originated by American
Capital Strategies, Ltd., since their last rating review in the
second quarter of 2009. According to the servicer report dated
Jan. 24, 2010, Fitch regarded an increase in defaulted issuers to
29.2% of the portfolio from 7.5% at the last review in April 2009.
Exacerbating the impact of growing defaults is that the collateral
in the portfolio is largely composed of second-lien and junior
debt. Recovery prospects on non-senior debt, particularly for
middle market issuers, continue to be negatively affected by the
current economic environment. Coupled with the financial troubles
of American Capital Strategies, Ltd., which currently has an
Issuer Default Rating of 'C', the transaction may be challenged in
achieving full recovery potential on defaulted investments. As a
result of growing defaults, the credit enhancement levels to the
rated notes have decreased and may no longer be sufficient to
support the current ratings. Structural features, such as the
Additional Principal Amount, designed to mitigate losses on
defaults, have not kept pace with new defaults in the portfolio,
potentially leaving some CLO classes under-collateralized.
Fitch has placed these ratings from ACAS BLT 2005-1 on Rating
Watch Negative:
-- $312,605,221 class A-1 notes 'AAA'; Rating Watch Negative;
-- $93,726,539 class A-2A notes 'AAA'; Rating Watch Negative;
-- $50,000,000 class A-2B notes 'AAA'; Rating Watch Negative;
-- $50,000,000 class B notes 'AA'; Rating Watch Negative;
-- $145,000,000 class C notes 'BBB'; Rating Watch Negative;
-- $90,000,000 class D notes 'B+'; Rating Watch Negative.
AMBAC ASSURANCE: Fitch Expects Default on 32 CDO Tranches
---------------------------------------------------------
Fitch Ratings estimates that 32 corporate synthetic CDO tranches
will default following the recent ISDA ruling which called a
credit event on Ambac Assurance Corporation. Such a level of
defaults would represent 10% of Fitch's global synthetic CDO
tranches.
"Ambac Assurance is a widely referenced name, present in 58% of
the 169 global Fitch-rated synthetic CDO transactions," says
Jeffery Cromartie, Senior Director and Head of EMEA Structured
Credit Surveillance at Fitch. "Therefore, Fitch expects to see
negative rating pressure as well as principal impairments on
exposed tranches rated 'CCC' and below."
Assuming a 30% recovery estimate on the Ambac Assurance credit
event (as reported on CreditFlux), an estimated 32 CDO tranches
would likely face impairment. All the 32 tranches are rated 'CCC'
or lower.
"Given the current economic climate, the impairment of synthetic
CDO tranches rated 'CCC' and below should not come as a surprise,"
adds Cromartie. "Fitch has been expecting impairment in this
sector, and the agency's ratings as well as the EMEA sector-wide
outlook reports have reflected this view for the last three
quarters -- specifically in the 'Areas to Watch' section of the
sector outlook reports."
Any impairment is likely to result in a significant loss to a
tranche. For example, relative to their respective reference
portfolios many tranches are less than 1% thick (from attachment
point to detachment point). As the initial credit enhancement is
largely exhausted, any further portfolio losses are likely to
completely impair an affected tranche. If a tranche is written
down or experiences a payment default, Fitch will downgrade the
tranche to 'D'.
No investment grade tranches are facing impairment. Due to a
recent wave of pre-payments or bilateral exchanges the number of
investment grade tranches outstanding has declined. Currently,
less than 5% of the 339 remaining global CDO tranches rated by
Fitch are investment grade.
The agency is currently conducting a global sector-wide review
which it expects to complete in coming weeks. The preliminary
analysis suggests that any downgrades are expected to affect
tranches rated 'B' and below.
ARCAP 2005-RR5: S&P Downgrades Ratings on Seven Securities
----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
classes of commercial mortgage-backed securities pass-through
certificates from ARCap 2005-RR5 Resecuritization Inc., a U.S.
resecuritized real estate mortgage investment conduit transaction,
and removed them from CreditWatch with negative implications. At
the same time, S&P affirmed its ratings on two other classes from
the same transaction and removed them from CreditWatch with
negative implications.
S&P lowered its ratings to 'D' from 'CCC-' on classes C through G
to reflect interest shortfalls that S&P expects to continue for
the foreseeable future. The downgrades of classes A-1, A-2, A-3,
and B reflect its view that these securities may be susceptible to
future interest shortfalls because all of the classes subordinate
to class B are currently experiencing shortfalls.
According to the March 24, 2010, trustee report, classes C through
K experienced interest shortfalls totaling $368,335 during that
payment period. The accumulated interest shortfalls reported for
these certificates totaled $5.9 million. ARCap 2005-RR5 is
collateralized by 16 CMBS classes ($120.5 million, 68.3%) from 13
distinct transactions issued between 1999 and 2005. ARCap 2005-
RR5 is also collateralized by five classes ($55.8 million, 31.7%)
from ARCap 2004-RR3 Resecuritization Inc., a re-REMIC transaction.
Sixty-five percent of ARCap 2005-RR5's collateral by balance
consists of first-loss CMBS or re-REMIC classes. According to the
trustee report, the trust has incurred $4.5 million in principal
losses this month and has incurred $130.1 million in lifetime
losses; as a result, classes K through O have experienced a 100%
loss of their original principal balance. S&P previously lowered
its ratings on classes H through N to 'D'.
Standard & Poor's analyzed ARCap 2005-RR5 and its underlying
collateral according to its current criteria. S&P's analysis
supports the lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
ARCap 2005-RR5 Resecuritization Inc.
Rating
------
Class To From
----- -- ----
A-1 B BBB-/Watch Neg
A-2 CCC- B-/Watch Neg
C D CCC-/Watch Neg
D D CCC-/Watch Neg
E D CCC-/Watch Neg
F D CCC-/Watch Neg
G D CCC-/Watch Neg
Ratings Affrimed And Removed From Creditwatch Negative
ARCap 2005-RR5 Resecuritization Inc.
Rating
------
Class To From
----- -- ----
A-3 CCC- CCC-/Watch Neg
B CCC- CCC-/Watch Neg
ASSOCIATES MANUFACTURED: S&P Raises Ratings on Two Certificates
---------------------------------------------------------------
Standard & Poor's Ratings Services raised two ratings, lowered one
rating, and affirmed seven other ratings on four Associates
Manufactured Housing Contract Pass-Through Certificates
transactions issued in 1996 and 1997. S&P raised its ratings on
classes B-1 and M from series 1996-2 and 1997-1, respectively.
S&P also lowered its rating on the class M note from series 1997-
2. At the same time, S&P affirmed its ratings on seven other
classes from series 1996-1, 1997-1, and 1997-2.
The upgrades reflect S&P's view that total credit enhancement
available is adequate for each of the upgraded classes in relation
to its revised remaining net loss expectations. Based on S&P's
analysis of each transaction's performance to date and its
expectation for their future performance, S&P increased its loss
expectations for all four transactions.
The downgrade of class M class from series 1997-2 reflects S&P's
revised loss expectation to 24%-25% from 20%-21%. The increase in
losses has reduced credit enhancement as the junior classes in the
capital structure become further undercollateralized.
The affirmation of the rating on class A-6 from series 1997-2
reflects S&P's view that there is adequate credit enhancement
through subordination provided by the class M and B-1 securities.
In addition, because the transaction breached its cumulative net
loss trigger, principal is being paid sequentially and class A-6
is currently receiving all distributions of principal. S&P
expects the sequential payments to continue throughout the life of
the transaction. The remaining affirmations on the class B-1 and
B-2 notes from series 1996-1, 1997-1, and 1997-2 reflect S&P's
view of the guarantees on the timely payment of interest and
ultimate principal provided by Citigroup Inc. (A/Negative/--).
All four transactions are experiencing higher cumulative net
losses than S&P originally anticipated. The increase in losses
can be attributed to increases in both default frequencies and
loss severities as current recoveries are in the 20%-30% range.
In addition, the number of loans delinquent more than 90 days
remains elevated.
Table 1
Collateral Performance (%)
As of February 2010 performance month
Pool Current 90+ day Lifetime
Series Mo. factor CNL delinq. CNL exp.(i)
------ --- ------ ------- ------- -----------
1996-1 162 8.50 13.52 2.38 14.90-15.00
1996-2 160 8.26 11.24 1.48 12.50-13.00
1997-1 156 10.47 13.15 3.64 15.50-16.50
1997-2 149 16.00 19.53 2.96 24.00-25.00
CNL -- cumulative net loss.
(i) Lifetime CNL expectations based on current performance data.
All four transactions have breached their cumulative net loss
triggers, which is causing principal to be paid sequentially.
Prior to this breach, the transactions would have paid pro rata
among the senior and class B notes after an initial lockout period
for the subordinate tranches. Current credit enhancement in these
transactions is provided by subordination and excess spread for
the senior classes and only excess spread for the junior classes.
Standard & Poor's will continue to monitor the performance of
these transactions to assess whether the credit enhancement
remains adequate, in S&P's view, to support the ratings on each
class under various stress scenarios.
Ratings Raised
Associates Manufactured Housing Contract Pass-Through Certificates
Rating
------
Series Class To From
------ ----- -- ----
1996-2 B-1 BBB- BB+
1997-1 M AAA AA
Rating Lowered
Associates Manufactured Housing Contract Pass-Through Certificates
Rating
------
Series Class To From
------ ----- -- ----
1997-2 M BB+ AA
Ratings Affirmed
Associates Manufactured Housing Contract Pass-Through Certificates
Series Class Rating
------ ----- ------
1996-1 B-1 A
1996-1 B-2 A
1997-1 B-1 A
1997-1 B-2 A
1997-2 A-6 AAA
1997-2 B-1 A
1997-2 B-2 A
AUSTIN HOUSING: S&P Corrects Rating on 1997A-2 Bonds From 'CC'
--------------------------------------------------------------
Standard & Poor's Ratings Services corrected and raised its rating
on Austin Housing Finance Corp., Texas' single-family mortgage
revenue bonds (Ginnie Mae mortgage-backed securities program)
series 1997A-2 to 'AAA' from 'CC', and withdrew the negative
outlook on the bonds.
On Feb. 20, 2009, S&P lowered the rating on the bonds to 'CC' from
'AAA' due to an error. S&P subsequently incorrectly assigned an
outlook of negative to the bonds on March 27, 2009.
BANC OF AMERICA: Moody's Reviews Ratings on 21 2008-LS1 Certs.
--------------------------------------------------------------
Moody's Investors Service placed 21 classes of Banc of America
Commercial Mortgage Inc., Commercial Mortgage Pass-Through
Certificates, Series 2008-LS1 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 highly leveraged loans on the watchlist.
Moody's has included Classes A-4, A-4B and A-BF in the review
because these classes have the longest weighted average life among
the super senior Aaa classes with 30% initial credit support.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans the credit
enhancement cushion for the super senior classes is likely to be
eroded, creating a potential differential in expected loss between
those super senior classes benefiting first from paydowns and
those classes receiving paydowns last. Although Moody's believe
that it is unlikely that Classes A-4, A-4B and A-BF will actually
experience principal losses, the expected level of credit
enhancement and their priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
The rating action is the result of Moody's on-going surveillance
of commercial mortgage backed securities transactions.
As of the March 10, 2010 statement date, the transaction's
aggregate certificate balance has decreased 1% to $2.32 billion
from $2.35 billion at securitization. The certificates are
collateralized by 266 mortgage loans ranging in size from less
than 1% to 7% of the pool, with the top ten loans representing 29%
of the pool.
Seventy-one loans, representing 37% 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.
Twenty-one loans, representing 11% of the pool, are currently in
special servicing. The largest specially serviced loan is the
Memphis Industrial Portfolio and the Orlando Industrial Portfolio
($59.5 million -- 3% of the pool), which is secured by six
industrial buildings located in Bartlett, Tennessee and Orlando,
Florida. The remaining specially serviced loans are secured by a
mix of all asset types. The special servicer has recognized an
aggregate appraisal reduction of $39.9 million for eleven of the
specially serviced loans.
Moody's review will focus on the performance of the overall pool
and potential losses from specially serviced and highly leveraged
loans.
Moody's rating action is:
-- Class A-4A, $134,000,000, currently rated Aaa, on review for
possible downgrade; previously on 3/24/2008 assigned Aaa
-- Class A-4B, $806,996,000, currently rated Aaa, on review for
possible downgrade; previously on 3/24/2008 assigned Aaa
-- Class A-4BF, $20,000,000, currently rated Aaa, on review for
possible downgrade; previously on 3/24/2008 assigned Aaa
-- Class A-SM, $70,350,000, currently rated Aaa, on review for
possible downgrade; previously on 3/24/2008 assigned Aaa
-- Class A-M, $234,502,000, currently rated Aaa, on review for
possible downgrade; previously on 3/24/2008 assigned Aaa
-- Class A-J, $99,663,000, currently rated Aa3, on review for
possible downgrade; previously on 2/6/2009 downgraded to Aa3
from Aaa
-- Class B, $32,244,000, currently rated A1, on review for
possible downgrade; previously on 2/6/2009 downgraded to A1
from Aa1
-- Class C, $29,312,000, currently rated A2, on review for
possible downgrade; previously on 2/6/2009 downgraded to A2
from Aa2
-- Class D, $23,450,000, currently rated A3, on review for
possible downgrade; previously on 2/6/2009 downgraded to A3
from Aa3
-- Class E, $23,450,000, currently rated Baa1, on review for
possible downgrade; previously on 2/6/2009 downgraded to Baa1
from A1
-- Class F, $26,381,000, currently rated Baa2, on review for
possible downgrade; previously on 2/6/2009 downgraded to Baa2
from A2
-- Class G, $23,450,000, currently rated Baa3, on review for
possible downgrade; previously on 2/6/2009 downgraded to Baa3
from A3
-- Class H, $29,312,000, currently rated Ba3, on review for
possible downgrade; previously on 2/6/2009 downgraded to Ba3
from Baa1
-- Class J, $29,312,000, currently rated B2, on review for
possible downgrade; previously on 2/6/2009 downgraded to B2
from Baa2
-- Class K, $29,312,000, currently rated B3, on review for
possible downgrade; previously on 2/6/2009 downgraded to B3
from Baa3
-- Class L, $8,793,000, currently rated Caa1, on review for
possible downgrade; previously on 2/6/2009 downgraded to Caa1
from Ba1
-- Class M, $8,793,000, currently rated Caa1, on review for
possible downgrade; previously on 2/6/2009 downgraded to Caa1
from Ba2
-- Class N, $8,793,000, currently rated Caa2, on review for
possible downgrade; previously on 2/6/2009 downgraded to Caa2
from Ba3
-- Class O, $5,862,000, currently rated Caa2, on review for
possible downgrade; previously on 2/6/2009 downgraded to Caa2
from B1
-- Class P, $8,793,000, currently rated Caa3, on review for
possible downgrade; previously on 2/6/2009 downgraded to Caa3
from B2
-- Class Q, $11,725,000, currently rated Caa3, on review for
possible downgrade; previously on 2/6/2009 downgraded to Caa3
from B3
BANC OF AMERICA: Moody's Reviews Ratings on Series 2000-2 Certs.
----------------------------------------------------------------
Moody's Investors Service placed ten classes of Banc of America
Commercial Mortgage Inc., Commercial Mortgage Pass-Through
Certificates, Series 2000-2 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 loans
approaching maturity in an adverse environment. Although the pool
has paid down significantly since Moody's last review, the
exposure to specially serviced loans has also increased, from 2%
to 33% of the pool. Additionally, a large portion of the pool,
79%, is scheduled to mature within the next six months in a
challenged refinancing 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 distribution date, the transaction's
aggregate certificate balance has decreased by 63% to
$331.4 million from $889.0 million at securitization. The
Certificates are collateralized by 49 mortgage loans ranging in
size from less than 1% to 7% of the pool, with the top ten loans
representing 52% of the pool. Ten loans, representing 23% of the
pool, have defeased and are collateralized by U.S. Government
securities.
Nineteen loans, representing 34% 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.
Fourteen loans have been liquidated from the pool resulting in a
$18.0 million aggregate loss (21% loss severity on average).
Twelve loans, representing 33% of the pool, are currently in
special servicing. The specially serviced loans are secured by a
mix of retail, multifamily, office and hotel properties. All of
the specially serviced loans have, or are scheduled to mature
within the next four months.
Moody's review will focus on the performance of the overall pool
and potential losses from specially serviced loans and loans
approaching near-term maturity.
Moody's rating action is:
-- Class D, $ 17,795,938, currently rated Aaa, on review for
possible downgrade; previously upgraded to Aaa from Aa1 on
07/09/2007
-- Class E, $ 8,897,968, currently rated Aaa, on review for
possible downgrade; previously upgraded to Aaa from Aa2 on
07/09/2007
-- Class F, $ 11,122,461, currently rated Aa1, on review for
possible downgrade; previously upgraded to Aa1 from Aa2 on
09/25/2008
-- Class G, $ 17,795,937, currently rated A1, on review for
possible downgrade; previously upgraded to A1 from A2 on
09/25/2008
-- Class H, $ 11,122,460, currently rated Baa1, on review for
possible downgrade; previously upgraded to Baa1 from Baa2 on
10/03/2007
-- Class K, $ 5,561,230, currently rated Ba2, on review for
possible downgrade; previously assigned at Ba2 on 10/27/2000
-- Class L, $ 6,673,476, currently rated Ba3, on review for
possible downgrade; previously assigned at Ba3 on 10/27/2000
-- Class M, $ 2,224,492, currently rated B1, on review for
possible downgrade; previously assigned at B1 on 10/27/2000
-- Class N, $ 6,673,477, currently rated B2, on review for
possible downgrade; previously assigned at B2 on 10/27/2000
-- Class O, $ 4,448,984, currently rated B3, on review for
possible downgrade; previously assigned at B3 on 10/27/2000
BANC OF AMERICA: S&P Affirms Ratings on 18 Classes of CMBS
----------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on 18
classes of commercial mortgage-backed securities from Banc of
America Commercial Mortgage Inc.'s series 2004-2 and removed 13 of
them from CreditWatch with negative implications.
The affirmations follow S&P's analysis of the transaction using
its U.S. conduit and fusion CMBS criteria. S&P's analysis
included a review of the credit characteristics of all of the
loans in the pool. Using servicer-provided financial information,
S&P calculated an adjusted debt service coverage of 1.75x and a
loan-to-value ratio of 73.6%. S&P further stressed the loans'
cash flows under S&P's 'AAA' scenario to yield a weighted average
DSC of 1.31x and an LTV ratio of 93.1%. The implied defaults and
loss severity under the 'AAA' scenario were 28.7% and 14.1%,
respectively. The DSC and LTV calculations S&P noted above
exclude 13 defeased loans ($161.8 million, 20.1%), as well as
three additional loans that S&P determined to be credit-impaired
($24.0 million, 3.0%). S&P separately estimated losses for the
three credit-impaired assets and included them 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-
P and X-C interest-only certificates based on its current
criteria. S&P published a request for comment proposing changes
to its IO criteria on June 1, 2009. After S&P finalize its
criteria review, S&P may revise its IO criteria, which may affect
outstanding ratings, including the ratings on the IO certificates
that S&P affirmed.
Credit Considerations
As of the March 2010 remittance report, one asset ($2.8 million,
0.3%) in the pool was 90-plus-days delinquent and with the special
servicer, Midland Loan Services. The Citrus Park Shops loan,
which has a total exposure of $2.8 million (0.3%), is the only
loan with the special servicer. The loan is secured by a 15,800-
sq.-ft. shadow-anchored strip retail center in Tampa, Fl. As of
Oct. 31, 2009, reported DSC and occupancy were 1.04x and 51.1%,
respectively. The loan was transferred to the special servicer on
Oct. 6, 2009, due to imminent default. It is S&P's understanding
that the borrower has requested a loan modification, and Midland
has issued and signed a prenegotiation letter. This loan has an
appraisal reduction amount in effect totaling $812,160.
In addition to the specially serviced asset, S&P determined three
loans ($24.0 million; 3.0%) to be credit-impaired. The largest
credit-impaired loan, the Colony Mill Marketplace and Center at
Keene loan ($11.6 million; 1.4%), is secured by a roll-up of two
retail properties totaling 192,926 sq. ft. in Keene, N.H.; the
properties were built in 1810 and 1866, and renovated in 1984.
For the year ended Dec. 30, 2008, the reported occupancy and DSC
were 71.9% and 0.53x, respectively. The master servicer, Banc of
America N.A., reported that the borrower has failed to respond or
comply with requests for financial statements and rent rolls for
the first three quarters of 2009. BofA assessed penalty fees for
the borrower's noncompliance of its financial reporting, according
to the loan documents. The two additional credit-impaired loans
($12.4 million, 1.5%) are cross-collateralized and cross-defaulted
and secured by two office properties in Somerville, N.J. One
reported occupancy below 65%, and both reported DSCs below 0.80x
as of September 2009. Due to the low occupancy and DSCs, Standard
& Poor's considers these loans to be at an increased risk of
default and loss.
Four loans totaling $161.8 million (20.1%) were previously with
the special servicer and have since been returned to the master
servicer. Pursuant to the transaction documents, the special
servicer is entitled to a workout fee that is a percentage of all
future principal and interest payments. Three of the loans, with
balances in excess of $20.0 million, have a 0.75% fee. The fourth
loan, with a balance below $20.0 million, has a 1.00% fee. Three
of the loans are top 10 loans, and the collection of the fee
could, in S&P's opinion, prompt sizeable shortfalls if the loans
are paid off at maturity. Midland has indicated that it will be
waiving the corrected-loan fee for the Eden Prairie Mall loan and
the Prince Kuhio Plaza loan, two General Growth Properties assets
($115.2 million, 14.3%).
Transaction Summary
As of the March 2010 remittance report, the collateral pool
balance was $804.9 million, which is 70.7% of the balance at
issuance. The pool includes 58 loans, down from 95 loans at
issuance. As of the March 2010 remittance report, BofA provided
financial information for 100% of the nondefeased pool, and 100%
of the servicer-provided information was full-year 2008, interim-
2009, or full-year 2009 data. S&P calculated a weighted average
DSC of 1.74x for the pool based on the reported figures. S&P's
adjusted DSC and LTV, which exclude 13 defeased loans
($161.8 million, 20.1%) and three credit-impaired loans
($24.0 million; 3.0%), were 1.75x and 73.6%, respectively. S&P
estimated losses separately for the three credit-impaired loans,
and S&P's adjusted DSC, including these loans, is 1.72x. Five
loans ($27.5 million, 3.4%) are on the master servicer's watchlist
and have a reported DSC below 1.10x, and three of these loans
($24.0 million, 3.0%) have a reported DSC of less than 1.0x.
Summary Of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$420.0 million (52.2%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 1.76x for the top 10 loans.
S&P's adjusted DSC and LTV for the top 10 loans are 1.73x and
75.4%, respectively. None of the top 10 loans appear on the
watchlist, and none are with the special servicer at this time.
Two of the top 10 loans are secured by retail malls owned by
General Growth Properties ($115.2 million, 14.3%). Both loans
were transferred to the special servicer in April 2009 following
the bankruptcy filing of GGP on April 16, 2009. On Dec. 15, 2009,
the bankruptcy court confirmed a modification plan for 85 GGP
loans, including these two loans. According to Midland, the loan
modifications have been finalized and both of these loans have
been returned to the master servicer. Details of the loans are:
The Eden Prairie Mall loan ($78.3 million, 9.7%) is the second-
largest loan in the pool. The loan is secured by 387,377 sq. ft.
and the leasehold interest in a 150,000-sq.-ft. Von Maur store of
a 1.1 million-sq.-ft. retail mall in Eden Prairie, Minn. Midland
has confirmed that it extended the maturity date of this loan to
September 2014, and it returned the loan to the master servicer on
Feb. 25, 2010. As of year-end 2008, the reported DSC was 2.09x
and occupancy was 99.2%, compared with 1.69x and 95.0% at
issuance.
The Prince Kuhio Plaza loan ($36.9 million, 4.6%) is the fourth-
largest loan in the pool. The loan is secured by 355,630 sq. ft.
of a 504,628-sq.-ft. retail mall in Hilo, Hawaii. Midland has
confirmed that it extended the maturity date of this loan to
January 2014, and it returned the loan to the master servicer on
March 2, 2010. As of year-end 2008, the reported DSC was 2.50x
and occupancy was 85.5%, compared with 2.07x and 89.0% at
issuance.
Standard & Poor's stressed the assets in the pool according to its
U.S. conduit/fusion criteria. The resultant credit enhancement
levels are consistent with the affirmed ratings.
Ratings Affirmed And Removed From Creditwatch Negative
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2004-2
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
B AA+ AA+/Watch Neg 16.80
C AA AA/Watch Neg 15.21
D A+ A+/Watch Neg 12.20
E A A/Watch Neg 10.79
F A- A-/Watch Neg 8.84
G BBB+ BBB+/Watch Neg 7.60
H BBB- BBB-/Watch Neg 5.66
J BB+ BB+/Watch Neg 5.13
K BB BB/Watch Neg 4.42
L BB- BB-/Watch Neg 3.71
M B+ B+/Watch Neg 2.83
N B B/Watch Neg 2.48
O B- B-/Watch Neg 2.12
Ratings Affirmed
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2004-2
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-3 AAA 20.16
A-4 AAA 20.16
A-5 AAA 20.16
X-P AAA N/A
X-C AAA N/A
N/A - Not applicable.
BANC OF AMERICA: S&P Downgrades Ratings on Nine Securities
----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on nine
classes of commercial mortgage-backed securities from Banc of
America Commercial Mortgage Inc.'s series 2004-4 and removed them
from CreditWatch with negative implications. In addition, S&P
affirmed its ratings on 11 classes from the same transaction and
removed four of the ratings from CreditWatch with negative
implications.
The downgrades follow S&P's analysis of the transaction using its
U.S. conduit and fusion CMBS criteria, which was the primary
driver of its rating actions. The downgrades of the mezzanine and
subordinate classes also reflect credit support erosion that S&P
anticipate will occur upon the eventual resolution of nine
specially serviced loans. S&P lowered its ratings on classes M,
N, and O to 'D' due to the recurring interest shortfalls. The
shortfalls primarily reflect appraisal subordinate entitlement
reduction (ASER) amounts on six assets that are currently with the
special servicer, ORIX Capital Markets LLC. S&P expects the
interest shortfalls to continue for the foreseeable future.
Classes M, N, and O have accumulated outstanding interest
shortfalls of $59,017, $75,121, and $129,652, respectively.
S&P's analysis included a review of the credit characteristics of
all of the loans in the pool. Using servicer-provided financial
information, S&P calculated an adjusted debt service coverage
(DSC) of 1.89x and a loan-to-value ratio of 85.3%. S&P further
stressed the loans' cash flows under its 'AAA' scenario to yield a
weighted average DSC of 1.14x and an LTV ratio of 107.9%. The
implied defaults and loss severity under the 'AAA' scenario were
47.4% and 26.0%, respectively. All of the DSC and LTV
calculations S&P noted above exclude four defeased loans ($71.2
million, 6.6%) and eight ($85.0 million, 7.9%) of the nine
specially serviced loans. S&P separately estimated losses for the
eight specially serviced loans and included them 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 XC
and XP interest-only certificates based on its current criteria.
S&P published a request for comment proposing changes to its IO
criteria on June 1, 2009. After S&P finalizes its criteria
review, S&P may revise its IO criteria, which may affect
outstanding ratings, including the ratings on the IO certificates
that S&P affirmed.
Credit Considerations
As of the March 2010 remittance report, nine assets
($91.0 million, 8.5%) in the pool were with the special servicer,
ORIX. The payment status of the specially serviced assets is: one
is current ($6.0 million, 0.6%), one is a matured balloon
($20.4 million, 1.9%), three are 90-plus-days delinquent
($15.4 million, 1.4), and four are real estate owned
(R$49.2 million, 4.6%). Six of the specially serviced assets have
appraisal reduction amounts in effect totaling $27.1 million.
The FCB Worldwide Building loan, which has a total exposure of
$21.1 million (1.9%), is the 10th-largest loan in the pool and the
largest loan with the special servicer. The loan is a matured
balloon and is secured by a 98,925-sq.-ft. two-story office
building built in 2001 in Irvine, Calif. The loan was transferred
to the special servicer on Aug. 8, 2009, due to maturity default.
The loan matured on July 1, 2009, and ORIX is pursuing
foreclosure. A $5.6 million ARA is in effect. S&P expects a
moderate loss upon the eventual resolution of this asset.
The second-largest asset with the special servicer is Precision
Park, a 723,971-sq.-ft. industrial property built in 1964 in North
Kingstown, R.I., with a total exposure of $22.9 million (1.8%).
This loan was transferred to the special servicer on Oct. 9, 2008,
and became REO on Jan. 29, 2010. A $13.2 million ARA is in
effect. S&P expects a significant loss upon the eventual
resolution of this asset.
The third-largest asset with the special servicer is Galaxy Center
Office II, a 96,576-sq.-ft. office building in Concord, Calif.,
built in 1988 with a total exposure of $13.2 million (1.2%). This
loan was transferred to the special servicer on June 17, 2009, and
became REO on Dec. 21, 2009. A $1.9 million ARA is in effect.
S&P expects a moderate loss upon the eventual resolution of this
asset.
The fourth-largest asset with the special servicer is Pottstown
Plaza, a 161,727-sq.-ft. retail property in Pottstown, Pa., built
in 1989 with a total exposure of $11.4 million (1.0%). This loan
was transferred to the special servicer on March 27, 2009, and
became REO on Oct. 28, 2009. S&P expects a moderate loss upon the
eventual resolution of this asset.
The five remaining specially serviced loans that were listed in
the March 2010 remittance report ($27.1 million, 2.6%) have
balances that individually represent less than 0.6% of the total
pool balance. S&P estimated losses for four of these loans ($21.1
million, 2.0%), resulting in a weighted average loss severity of
48.3%. ORIX expects the remaining loan ($5.8 million, 0.6%) to
pay off in April 2010.
Transaction Summary
As of the March 2010 remittance report, the collateral pool
balance was $1.08 billion, which is 75.5% of the balance at
issuance. The pool includes 79 assets, down from 108 at issuance.
The master servicer for the transaction, Bank of America N.A.,
provided financial information for 98.4% of the pool; 96.2% of the
financial information was full-year 2008, interim-2009, or full-
year 2009 data. S&P calculated a weighted average DSC of 2.10x
for the pool based on the reported figures. S&P's adjusted DSC
and LTV were 1.89x and 85.3%, respectively, after excluding four
defeased loans ($71.2 million, 6.6%) and eight ($85.0 million,
7.9%) of the nine specially serviced assets. Twelve loans
($69.6 million, 6.5%) are on the master servicer's watchlist.
Seven loans ($58.5 million, 5.4%) have a reported DSC below 1.10x,
and five of these loans ($38.1 million, 3.5%) have a reported DSC
of less than 1.0x.
Summary of Top 10 Loans
The top 10 exposures have an aggregate outstanding trust balance
of $619.8 million (57.7%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 2.36x for the top 10 loans.
None of the top 10 loans appear on the master servicer's
watchlist. One of the top 10 loans is with the special servicer,
which S&P discussed in detail above. S&P's adjusted DSC and LTV
for the top 10 loans are 1.94x and 90.8%, respectively.
Standard & Poor's stressed the assets in the pool according to its
U.S. conduit/fusion criteria. The resultant credit enhancement
levels are consistent with S&P's lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2004-4
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
F BBB BBB+/Watch Neg 7.86
G BB BBB/Watch Neg 6.67
H B BBB-/Watch Neg 4.96
J CCC BB+/Watch Neg 4.27
K CCC- BB/Watch Neg 3.59
L CCC- BB-/Watch Neg 2.91
M D B+/Watch Neg 2.56
N D B/Watch Neg 2.22
O D B-/Watch Neg 1.71
Ratings Affirmed And Removed From Creditwatch Negative
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2004-4
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
B AA AA/Watch Neg 14.02
C AA- AA-/Watch Neg 12.82
D A A/Watch Neg 10.60
E A- A-/Watch Neg 9.57
Ratings Affirmed
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2004-4
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-3 AAA 17.78
A-4 AAA 17.78
A-5 AAA 17.78
A-6 AAA 17.78
A-1A AAA 17.78
XC AAA N/A
XP AAA N/A
N/A - Not applicable.
BANC OF AMERICA: S&P Raises Ratings on Class B & C Notes
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B and C notes issued by Banc of America Securities Auto Trust
2006-G1 and the class D, E, F, G, H, I, and J notes from Bank of
America Auto Trust 2008-1. At the same time, S&P affirmed its
ratings on the class A notes from BASAT 2006-G1, the class A, B,
and C notes from BAAT 2008-1, and the class A notes from BAAT
2009-1 and 2009-2.
The collateral pools for BASAT 2006-G1 and the BAAT transactions
consist of auto loans originated by GMAC and Bank of America N.A.
(A+/Negative/A-1), respectively. Bank of America services the
three BAAT transactions. GMAC currently services BASAT 2006-G1,
with Bank of America acting as the master servicer.
The upgrades and affirmations reflect S&P's view that the total
credit enhancement available is sufficient for each of the raised
or affirmed ratings in relation to S&P's revised remaining net
loss expectations. Based on S&P's analysis of each transaction's
performance to date, combined with its forward-looking analysis,
S&P lowered its loss expectation for BASAT 2006-G1 while slightly
increasing its loss expectation for BAAT 2008-1. In addition, S&P
reaffirmed its initial loss expectations for BAAT 2009-1 and 2009-
2.
Table 1
Collateral Performance (%)
As of the March 2010 distribution date
Pool 60+ day Initial Revised
Current CNL lifetime lifetime
Series Mo. factor delinq. CNL exp. (i) CNL exp. (i)
------ --- ------- ------- ------------ ------------
BASAT 2006-G1 40 4.98 0.51 0.34 0.85-0.95 0.52-0.56
BAAT 2008-1 18 39.79 0.93 0.48 1.40-1.60 1.55-1.70
BAAT 2009-1 8 74.36 0.41 0.32 2.20-2.40 2.20-2.40
BAAT 2009-2 6 80.00 0.29 0.25 2.20-2.40 2.20-2.40
(i) Revised CNL expectations based on current performance data.
CNL -- Cumulative net loss.
BASAT 2006-G1 has a fully sequential principal payment structure
with hard credit enhancement provided by subordination (for the
class A and B notes) and overcollateralization. BASAT 2006-G1
also benefits from yield supplement overcollateralization that
enhances excess spread. The credit enhancement levels for all of
the outstanding notes from this transaction are currently at their
floor.
BAAT 2008-1 has a pro rata payment structure, which pays principal
pro rata to the outstanding classes A through J based on defined
allocation percentages (with principal paid sequentially within
class A). The allocation percentages maintain credit support in
the form of subordination. However, the transaction also has a
cumulative net loss trigger that, if breached, causes the
principal payment structure to switch to a sequential payment
structure, which would benefit the senior classes first.
As of the March distribution date, cumulative net losses for BAAT
2008-1 were 0.93% of the original pool balance, well below the
current monthly trigger level of 1.81%. The trigger level will
gradually step up to a peak of 2.60% by August 2011. Given S&P's
revised lifetime loss expectations, which range from 1.50% to
1.70%, S&P does not expect the transaction to breach the trigger
at this time.
BAAT 2008-1 also has a step-down provision allowing the
overcollateralization floor to step down in September 2010 if
cumulative net losses are below 1.30%. Given S&P's loss
expectations, S&P expects the overcollateralization floor to step
down from the current 1.70% of the initial pool balance to 1.10%
of the initial pool balance, and S&P factored this into its
analysis. Overcollateralization and subordination (for all but
the most subordinate class) provide hard credit enhancement for
this transaction, in addition to the benefit of excess spread.
The credit enhancement levels for all of the outstanding notes
from this transaction are currently at their target levels.
Both BAAT 2009-1 and BAAT 2009-2 have sequential payment
structures, and the credit enhancement for each consists of
overcollateralization, a nonamortizing reserve account, and excess
spread. The transaction documents for both BAAT 2009-1 and BAAT
2009-2 specify an overcollateralization target of 11.50% of the
current pool balance, with a floor of 9.20% of the initial pool
balance. The transactions also each contain a nonamortizing
reserve account, and both accounts are currently at 0.25% of the
initial pool balance. For both transactions, the
overcollateralization and reserve accounts are at their respective
target levels.
Table 2
Hard Credit Support (%)
As of the March 2010 distribution date
Total hard Current
credit total hard
Pool support at credit support (i)
Series Class factor issuance (i) (% of current)
------ ----- ------ ------------ ------------------
BASAT 2006-G1 A 4.98 4.32 76.96
BASAT 2006-G1 B 4.98 2.40 38.52
BASAT 2006-G1 C 4.98 0.96 9.62
BAAT 2008-1 A 39.79 8.30 9.87
BAAT 2008-1 B 39.79 6.01 7.62
BAAT 2008-1 C 39.79 5.66 7.28
BAAT 2008-1 D 39.79 4.31 5.95
BAAT 2008-1 E 39.79 3.96 5.61
BAAT 2008-1 F 39.79 2.36 4.05
BAAT 2008-1 G 39.79 2.21 3.90
BAAT 2008-1 H 39.79 1.91 3.60
BAAT 2008-1 I 39.79 1.55 3.26
BAAT 2008-1 J 39.79 1.05 2.76
BAAT 2009-1 A 74.36 9.45 12.71
BAAT 2009-2 A 80.00 9.45 11.81
(i) Consists of overcollateralization, subordination, or a reserve
account as a percent of the total pool balance. Excludes
natural or YSOC-adjusted excess spread as applicable, which
also provides additional enhancement.
S&P's review of these transactions incorporated its cash flow
analysis, for which S&P used current and historical performance to
estimate future performance. S&P's various cash flow scenarios
included forward-looking assumptions on recoveries, timing of
losses, and voluntary absolute prepayment speeds that S&P think
are appropriate given each transaction's current performance. The
results demonstrated, in its view, that all of the classes from
the four transactions S&P reviewed have adequate credit
enhancement at their respective raised or affirmed rating levels.
Standard & Poor's will continue to monitor the performance of
these transactions to assess whether the credit enhancement
remains sufficient, in S&P's view, to support the ratings.
Rating Raised
Banc of America Securities Auto Trust 2006-G1
Rating
------
Class To From
----- -- ----
B AAA A+
C AAA BBB
Bank of America Auto Trust 2008-1
Rating
------
Class To From
----- -- ----
D AA- A+
E A+ A
F A- BBB+
G A- BBB
H BBB+ BBB-
I BBB BB
J BB+ B+
Ratings Affirmed
Banc of America Securities Auto Trust 2006-G1
Class Rating
----- ------
A-4 AAA
Bank of America Auto Trust
Series Class Rating
------ ----- ------
2008-1 A-2-A AAA
2008-1 A-2-B AAA
2008-1 A-3-A AAA
2008-1 A-3-B AAA
2008-1 A-4 AAA
2008-1 A-5 AAA
2008-1 B AA+
2008-1 C AA
2009-1 A-2 AAA
2009-1 A-3 AAA
2009-1 A-4 AAA
2009-2 A-1 A-1+
2009-2 A-2 AAA
2009-2 A-3 AAA
2009-2 A-4 AAA
BEAR STEARNS: S&P Corrects Ratings on Various Certificates
----------------------------------------------------------
Standard & Poor's Ratings Services corrected its ratings on the
class A-1, A-2, A-3, A-5, and A-6 certificates from Bear Stearns
Asset Backed Securities I Trust 2006-IM1 by raising them to 'CCC'
from 'D'.
The underlying collateral for this transaction consists of
Alternative A (Alt-A), fixed- and adjustable-rate, first- and
second-lien mortgage loans.
On Dec. 24, 2009, S&P incorrectly lowered its ratings on these
classes to 'D' based on the trustee's November 2009 remittance
report, which indicated that these classes had experienced
principal write-downs totaling $973,713. However, the trustee
subsequently issued a revised remittance report that did not
include the losses previously allocated to these classes.
S&P restored its ratings on these classes to their pre-Dec. 24,
2009, levels, which reflect S&P's analysis of the internal credit
support for these classes as of the January 2010 remittance
report.
Ratings Corrected
Bear Stearns Asset Backed Securities I Trust 2006-IM1
Rating
------
Class CUSIP Current 12/24/09 Pre 12/24/09
----- ----- ------- -------- ------------
A-1 07387UFD8 CCC D CCC
A-2 07387UFE6 CCC D CCC
A-3 07387UFW6 CCC D CCC
A-5 07387UFY2 CCC D CCC
A-6 07387UFZ9 CCC D CCC
BEXAR COUNTY: Moody's Downgrades Rating on 2001A Bonds to 'Caa3'
----------------------------------------------------------------
Moody's Investors Services has downgraded to Caa3 from Caa1 the
rating on Bexar County (TX) Housing Finance Corporation Housing
Revenue Bonds (Nob Hill Apartments Project) Senior Series 2001A
and affirmed the C rating on the Subordinate Series 2001B. The
outlook remains negative. The Junior Subordinate Series C bonds
are not rated. The ratings and outlook reflect the payment
default on the subordinate Series 2001B as well as the potential
for a future default of the senior Series 2001 A due to the
project's ongoing financial and occupancy problems.
Nob Hill Apartments Project is a 368 unit multi-family rental
property.
Legal Security: The bonds are secured by a lien on and pledge and
assignment of a security interest in the Trust Estate.
Interest Rate Derivatives: none
Recent Developments
On December 1, 2007, no interest payments were made on the
Subordinate Series B and Series C (unrated) bonds due to the
failure of the borrower to provide the trustee the funds to cover
the full interest payments on these bonds. Per the discretion of
the trustee, the Series B and C debt service reserves were not
tapped. No principal or interest payments have been made on the
Subordinate Series B and Series C (unrated) bonds since this time.
However, the Senior Series debt service has been paid in a timely
fashion.
On December 12, 2008, the issuer entered into the First
Supplemental Trust Indenture and the First Amendment to the Loan
Agreement. These documents direct the trustee to transfer
$750,000 from the debt service reserve funds and bond funds to the
repair and replacement fund in order to make physical repairs to
the project. Events of default under the new loan agreement
include failure to meet certain debt service coverage tests. As
of January 2010 financials, these debt service tests have not been
met. However, an event of default has not been issued by the
trustee.
Both financial performance and occupancy continue to be poor, but
the project has been bolstered by contributions from two entities
that share a common board of directors with the project. As of
December 31, 2008 audited numbers, debt service coverage on the
senior and subordinate bonds fell to 0.87x and 0.78x respectively.
Unaudited financial statements as of January 2010 suggest that the
financial condition of the project has deteriorated since this
time. Low occupancy continues to be a key concern. Physical
occupancy for the project was 77% in March of 2010 and economic
occupancy was 58% as of January 2010. While the operating
performance has been poor, as of the 2006, 2007 and 2008 audits
both the American Agape Foundation and the American Opportunity
for Housing entities have made contributions to the project to
help fund debt service and operating expenses.
The project manager for Nob Hill has changed. The new project
manager is Core Group Management, Inc.
Outlook
The outlook for the rating remains negative. The negative outlook
reflects the negative trend in debt service coverage over time and
the potential for non-payment of principal and interest for the
senior bonds in the future.
What could change the rating -- UP
* Significant improvement in performance and demonstrated ability
to pay all interest and principal payments on the senior and
subordinate bonds.
What could change the rating -- DOWN
* Further deterioration in debt service coverage or the local
housing market
Recalibration of Rating To The Global Rating Scale;
Principal Methodology
The rating assigned to the bonds was issued on Moody's municipal
rating scale. Moody's has announced its plans to recalibrate all
U.S. municipal ratings to its global scale and therefore, upon
implementation of the methodology published in conjunction with
this initiative, the rating will be recalibrated to a global scale
rating comparable to other credits with a similar risk profile.
Market participants should not view the recalibration of municipal
ratings as rating upgrades, but rather as a recalibration of the
ratings to a different rating scale. This recalibration does not
reflect an improvement in credit quality or a change in Moody's
credit opinion for rated municipal debt issuers.
The last rating action with respect to the Bexar County (TX)
Housing Finance Corporation Housing Revenue Bonds was on
February 3, 2009, when the Caa1 rating on the Senior Series 2001A
ratings was affirmed and the C rating on the Subordinate Series
2001B bonds was affirmed. The rating outlook was negative.
BILOXI HOUSING: Moody's Affirms 'Ba3' Rating on Outstanding Bonds
-----------------------------------------------------------------
Moody's Investors Service has affirmed the Ba3 rating on
$3,775,000 of outstanding Biloxi Housing Authority, Multifamily
Housing Revenue Bonds (Beauvoir Manor Apartments), Series 2001B.
The negative outlook has also been affirmed. The rating is based
primarily upon a continued decline in the debt service coverage
ratio, stemming from increased insurance costs.
Legal Security:
The bonds are secured by revenues derived from operations of
Beauvoir Manor Apartments, a 150-unit multifamily rental facility,
constructed in 1972 and substantially rehabilitated in 1986.
Pledged revenues include payments received from a Housing
Assistance Payment Contract with the Department of Housing and
Urban Development.
Strengths:
Rent levels: Beauvior Manor rent levels are substantially less
than the Fair Market Rent levels of the Biloxi area for each
apartment type available at the property. On average, the
property's rent levels are 40% below FMR. Moody's views this as a
credit strength because the property is eligible for annual rental
rate increases under current HUD regulations, as well as the
possibility of petitioning HUD for a larger, one-time rate
increase to bring the property rent levels back in line with FMRs.
Petitioning HUD for such an increase is at the option of the
property manager.
Occupancy: Property management reports that the physical occupancy
of Beauvior Manor is approximately 91%. Unaudited financial
statements show that economic occupancy (defined as vacancy
expense as a percentage of gross potential rent) was approximately
92% in 2009. While occupancy has declined since Moody's last
review of the property, this occupancy rate is in line with other
Moody's-rated subsidized properties at the Ba3 rating level.
Reserve Funds: Funds held for the benefit of bondholders and the
property are adequately funded. Fund balances provided by the
Trustee show that the Debt Service Reserve Fund remains untapped
and fully-funded, an important characteristic at this rating
level. In addition, the reports show that the Replacement Reserve
Fund has an ample amount available for capital expenses.
Maintaining the property's physical condition is important to
support occupancy levels and remain eligible for the Section 8
subsidy. The current HUD REAC score for the property is 80c.
Challenges:
Erosion of debt service coverage: While revenue increased
marginally over the past two years, and future increases are
limited to HUD-approved HAP contract increases, total expenses
(including insurance costs), have grown. From fiscal year 2006
through fiscal year 2007, operating expenses increased by 21.6%,
and from FY07 to FY08 expenses increased by an additional 11.3%.
Unaudited operating statements show that operating expenses have
declined by 3.6% in FY09, but these large expense increases have
led to an erosion of debt service coverage from 1.21x in FY07 to
0.98x in FY08. Operating statements for 2009 have also been
reviewed, and continue to show debt service coverage
deterioration.
Small size leads to vulnerability: The small size of this project
makes it vulnerable to sudden shocks. Small reductions to revenue
or increases in expenses lead to large debt service coverage
changes. The project does not generate enough margin to cover
unexpected changes to its financial position.
Outlook
The outlook on the bonds is negative. As coverage ratios continue
to decline, Moody's does not expect significant improvement to the
project's financial position in the near term.
What could change the rating -- UP?
-- Several periods of substantial debt service coverage growth.
What could change the rating -- DOWN?
-- Increase in expenses or any reduction in revenue that leads
to a further deterioration of the debt service coverage
level.
-- Using Debt Service Reserve Fund moneys to pay debt service
Recalibration Of Rating To The Global Rating Scale;
Principal Methodology
The rating assigned to Biloxi Housing Authority, Multifamily
Housing Revenue Bonds, Series 2001B was issued on Moody's
municipal rating scale. Moody's has announced its plans to
recalibrate all U.S. municipal ratings to its global scale and
therefore, upon implementation of the methodology published in
conjunction with this initiative, the rating will be recalibrated
to a global scale rating comparable to other credits with a
similar risk profile. Market participants should not view the
recalibration of municipal ratings as rating upgrades, but rather
as a recalibration of the ratings to a different rating scale.
This recalibration does not reflect an improvement in credit
quality or a change in Moody's credit opinion for rated municipal
debt issuers.
The last rating action was taken on July 16, 2008, when the rating
on the bonds was downgraded to Ba3 from A3 and the outlook was
revised to negative from stable.
BNC MORTGAGE: Moody's Downgrades Ratings on 18 Tranches
-------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 18
tranches and confirmed the ratings of 3 tranches from 5 RMBS
transactions issued by BNC Mortgage Loan Trust. The collateral
backing these deal primarily consists of first-lien, fixed and
adjustable-rate subprime residential mortgages.
The actions are a result of the continued performance
deterioration in Subprime pools in conjunction with home price and
unemployment conditions that remain under duress. The actions
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2007.
To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the
different pools and the structural features of the transaction
including priorities of payment distribution among the different
tranches, average life of the tranches, current balances of the
tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
Complete rating actions are:
Issuer: BNC Mortgage Loan Trust 2006-1
-- Cl. A1, Downgraded to Ca; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. A2, Confirmed at A3; previously on Jan 13, 2010 A3 Placed
Under Review for Possible Downgrade
-- Cl. A3, Downgraded to Ca; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: BNC Mortgage Loan Trust 2006-2
-- Cl. A1, Confirmed at Caa1; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. A2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A3, Downgraded to Baa3; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A4, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: BNC Mortgage Loan Trust 2007-1
-- Cl. A1, Downgraded to Ca; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. A2, Downgraded to A1; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A3, Downgraded to B1; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A4, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: BNC Mortgage Loan Trust 2007-2
-- Cl. A1, Downgraded to Ca; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. A2, Downgraded to Ba2; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. A3, Downgraded to C; previously on Jan 13, 2010 B3 Placed
Under Review for Possible Downgrade
-- Cl. A4, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A5, Downgraded to Ca; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
Issuer: BNC Mortgage Loan Trust 2007-3
-- Cl. A1, Downgraded to Ca; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. A2, Downgraded to Baa3; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. A3, Downgraded to Caa1; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. A4, Downgraded to C; previously on Jan 13, 2010 B3 Placed
Under Review for Possible Downgrade
-- Cl. A5, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
BTC SPV: S&P Corrects Ratings on Various Zero-Coupon Notes
----------------------------------------------------------
Standard & Poor's Ratings Services corrected its ratings on the
class A-6 through A-18 zero-coupon notes from BTC SPV (Cayman)
2001-1 Ltd.'s series 1 by lowering them to 'CCC' from 'B-' and
removing them from CreditWatch with negative implications, where
they were placed on Feb. 8, 2010.
The ratings on the class A-6 through A-18 notes are dependent on
the lowest of the ratings on the reference obligations: Ansonia
CDO 2006-1 Ltd.'s class A-FX notes ('BB/Watch Neg'); Lehman XS
Trust Series 2007-16N's class 2-A2 certificates ('B-');
Alternative Loan Trust Series 2006-OA10's class 1-A-1 mortgage
pass-through certificates ('CCC'); CWABS Asset Backed Certificates
Series 2006-2's class 2-A-3 ('AAA'); and the ratings on the
collateral securities, U.S. Treasury bonds ('AAA') and Freddie Mac
bonds ('AAA').
The rating actions reflect the Feb. 16, 2010, lowering of the
rating on Alternative Loan Trust Series 2006-OA10's class 1-A-1
mortgage pass-through certificates to 'CCC' from 'B-', and its
removal from CreditWatch with negative implications, where it was
placed on Feb. 2, 2010.
The rating actions were not contemporaneous with the above
referenced action on Alternative Loan Trust's series 2006-OA10
certificates due to an error.
BUSINESS LOAN: Moody's Downgrades Ratings on All Certificates
-------------------------------------------------------------
Moody's Investors Service has downgraded all rated classes of
certificates issued in three securitizations of small business
loans sponsored by Business Loan Express, currently known as Ciena
Capital, LLC. The loans are secured primarily by commercial real
estate.
Approximately 25% of the pools is 60 days or more delinquent
across the three deals. Moody's estimates life-time losses of
7.4%, 6.7% and 10.3% for the 2002-1, 2003-2 and 2005-A deals,
respectively. Because the pools have a small number of remaining
loans, Moody's reviewed each loan in order to determine its
likelihood to default. Moody's assumed that almost all the loans
which are currently either delinquent or in foreclosure/REO will
eventually default with an average severity of 50%. In addition,
Moody's assumed that some of the not delinquent loans will
eventually default with the same average severity level over the
remaining life of the deal. Moody's concluded that the overall
credit enhancement (consisting of cash reserves,
overcollateralization, and subordination) is not sufficient to
maintain the current ratings. Moody's also took into account the
excess spread, which provides additional enhancement to the
certificates.
The factors driving the Aaa credit enhancement proxy for the deal
include the credit quality of the collateral pool, industrial and
geographical concentrations, top loan percentages, the historical
variability in losses experienced by the issuer, the servicer
quality, and the structural features employed in the deal. Once
the expected loss and Aaa proxy were established, the adequacy of
the available credit enhancement is assessed using a cash flow
model. The model incorporates a set of assumptions about the
collateral's performance -- including but not limited to the
timing and level of loan losses, the level of prepayments, and the
level of interest rates -- to assess whether the rated notes are
paid back in full under the assumptions and given the proposed
capital structure and collateral pool. Moody's benchmarks the Aaa
proxy to obtain the levels for other ratings using a lognormal
distribution of losses.
The complete rating actions are:
Issuer: Business Loan Express Business Loan Trust 2005-A
-- Cl. A, Downgraded to A1; previously on Feb 27, 2009
Downgraded to Aa1
-- Cl. B, Downgraded to Ba3; previously on Jan 6, 2010 A3 Placed
Under Review for Possible Downgrade
-- Cl. C, Downgraded to B3; previously on Jan 6, 2010 Baa3
Placed Under Review for Possible Downgrade
Issuer: Business Loan Express SBA Loan Trust 2002-1
-- Class A, Downgraded to Aa2; previously on Jan 6, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Class M, Downgraded to Baa3; previously on Jan 6, 2010 A2
Placed Under Review for Possible Downgrade
Issuer: Business Loan Express SBA Loan Trust 2003-2
-- Cl. A, Downgraded to Aa1; previously on Jan 6, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M, Downgraded to Baa3; previously on Jan 6, 2010 A3
Placed Under Review for Possible Downgrade
CAPMARK VII-CRE: Fitch Downgrades Ratings on All Note Classes
-------------------------------------------------------------
Fitch Ratings has downgraded all classes of Capmark VII-CRE,
Ltd./Corp., reflecting Fitch's base case loss expectation of 25%.
Fitch's performance expectation incorporates prospective views
regarding commercial real estate market value and cash flow
declines. Further, Fitch has determined that a proposed
replacement of the original asset manager and advancing agent with
Urdang Capital Management, Inc., as well as a proposed amendment
to the Investment Advisory Agreement will not impact the ratings
of the transaction.
Capmark VII is collateralized by senior commercial real estate
loans: 99.8% of the collateral is either whole loans or A-notes.
Fitch expects better than average recoveries upon default for the
loans in this pool relative to other CREL collateralized debt
obligations because of the high proportion of whole loans and A-
notes. Nonetheless, as of February 2010, 10 loans (21.1%) were
defaulted with five other loans (20.5%) considered Fitch Loans of
Concern; and Fitch expects significant losses on the majority of
these defaulted assets and Loans of Concern.
Capmark VII was issued as a $1 billion CRE CDO managed by Capmark
Investments, LP. On Dec. 16, 2009, Capmark Investments submitted
its resignation to the CDO trustee as investment adviser and
advancing agent to the CDO effective upon the appointment of a
successor investment adviser and advancing agent. In January
2010, a majority of each of the controlling class of note holders
and income note holders of Capmark VII nominated Urdang Capital
Management, Inc. as the successor investment adviser, effective
upon certain conditions being met. Urdang was also appointed by
Capmark VII and Capmark VII - CRE (Delaware) Corp. as successor
advancing agent, effective upon certain conditions being met.
Urdang is a real estate investment subsidiary of The Bank of New
York Mellon Corporation. Urdang's surveillance practices and
capabilities for the CDO are expected to be consistent with those
utilized previously by Capmark Investments, LP, including the
utilization of certain surveillance technology systems. Several
members from Capmark Investments, LP joined Urdang and will
continue to provide day-to-day management of the CDO.
Additionally, in connection with the appointment of Urdang as
successor investment adviser, a proposed amendment to the
Investment Advisory Agreement incorporates both a 'key person'
investment advisor removal event and 'key person' replacement
process. This proposed amendment will not negatively impact the
ratings.
Fitch has reviewed Urdang as both a potential replacement CDO
asset manager and advancing agent for Capmark VII, and determined
Urdang's capabilities to be consistent with the ratings assigned
to the transaction. Fitch emphasizes that the scope of its asset
manager review was solely to determine that Urdang meets Fitch's
minimum guidelines to manage Capmark VII within the context of
Fitch's stated review procedure for replacement managers.
Furthermore, the asset manager review was in the context of the
current management responsibilities associated with Capmark VII
and the ratings assigned by Fitch. Fitch is not a party to the
transaction and therefore does not provide consent or approval, as
that remains the sole preserve of the transaction parties. Fitch
expects to be notified by the trustee when or if the proposed
transfers of asset management and advancing agent responsibilities
are completed and the proposed amendment to the Investment
Advisory Agreement is executed.
Two loans included in Capmark VII are reported to maintain future
funding obligations totaling $13.1 million. Although these future
fundings are not direct obligations of the CDO, failure to advance
the funds to borrowers could negatively affect the performance of
these loans, which comprise 10.3% of the CDO collateral. Urdang
reported that funds for these future advances have been set aside
by a Capmark entity.
The transaction has a five-year reinvestment period that ends in
September 2011. As of the March 2010 trustee report, the CDO
continued to fail all three of its principal coverage tests.
Interest (after class B) and principal proceeds are currently
being redirected to redeem the class A-1 notes. All interest
coverage ratios have remained above their covenants.
Under Fitch's updated methodology, approximately 67.9% of the
portfolio is modeled to default in the base case stress scenario,
defined as the 'B' stress. In this scenario, the modeled average
cash flow decline is 12% from the most recent available cash flows
(generally second or third quarter 2009). Fitch estimates that
recoveries will average 63.2%.
The largest component of Fitch's base case loss expectation are A-
note and B-note interests in an underperforming portfolio of 14
multifamily properties located in Houston and Austin, Texas. This
Fitch Loan of Concern was restructured in June 2009. Fitch views
the B-note interest (1.9% of the pool) as a 'hope' note and
modeled a full loss in the base case scenario; while the over-
leveraged A-note (6.4% of the pool) is modeled to have a
significant loss.
The next largest component of Fitch's base case loss expectation
relates to three whole loans (8.4% of the pool) secured by three
California office properties originated to the same sponsor. The
loans recently became cross collateralized and cross defaulted
pursuant to a modification in December 2009. Prior to the
modification, all three of the loans were defaulted. The combined
cash flow for the properties does not support debt service in the
base case stress. Fitch modeled a significant loss on these loans
in its base case scenario.
The third largest component of Fitch's base case loss expectation
is a defaulted A-note (4.9% of the pool) secured by 358 acres of
unimproved land located in Ashburn, Virginia. The loan, which is
more than 90 days delinquent, is highly overleveraged. Fitch
modeled a significant loss in the base case scenario.
This transaction was analyzed according to the 'U.S. CREL CDO
Surveillance Criteria,' which applies stresses to property cash
flows and uses debt service coverage ratio tests to project future
default levels for the underlying portfolio. Recoveries are based
on stressed cash flows and Fitch's long-term capitalization rates.
The default levels were then compared to the breakeven levels
generated by Fitch's cash flow model of the CDO under the various
default timing and interest rate stress scenarios, as described in
the report 'Global Criteria for Cash Flow Analysis in CDOs.' Based
on this analysis, the credit characteristics for class A-1 are
generally consistent with the 'BBB' rating category. The credit
characteristics for class A-2 are generally consistent with the
'BB' rating category.
The ratings for classes B through H are generally based on a
deterministic analysis, which considers Fitch's base case loss
expectation for the pool, Fitch Loans of Concern, and defaulted
assets. Based on this analysis, the rating for class B is
consistent with the 'CCC' rating, meaning default is a real
possibility given the credit enhancement to the class falls below
Fitch's base case loss expectation of 25%. The ratings for
classes C through E are deemed to be consistent with the 'CC'
rating category, meaning default appears probable given that
losses expected on the current defaulted assets and Fitch Loans of
Concern in the pool exceed these classes' respective credit
enhancement levels. The ratings for classes F through H are
deemed to be consistent with the 'C' rating category, meaning
Fitch considers default to be inevitable. Fitch's base case
expected losses from current defaulted assets exceeds these
classes' respective credit enhancement levels.
Classes A-1 and A-2 were assigned a Negative Rating Outlook
reflecting Fitch's expectation of further negative credit
migration of the underlying collateral. These classes were also
assigned Loss Severity ratings ranging from 'LS3' to 'LS4'
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 Rating
Outlooks or LS ratings to classes rated 'CCC' or lower.
Classes B through H were assigned Recovery Ratings to provide a
forward-looking estimate of recoveries on currently distressed or
defaulted structured finance securities. Recovery Ratings are
calculated using Fitch's cash flow model, and incorporate Fitch's
current 'B' stress expectation for default and recovery rates
(67.9% and 63.2%, 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's tranche size to determine a Recovery Rating.
The assignment of 'RR4' to class B reflects modeled recoveries of
50% of their outstanding balance. The expected recovery proceeds
are broken down:
-- Present value of expected principal recoveries
($18.6 million);
-- Present value of expected interest payments ($21 million);
-- Total present value of recoveries ($39.6 million);
-- Sum of undiscounted recoveries ($63.5 million).
Classes C 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 and assigned Rating Outlooks, LS and RR
ratings to these classes as indicated:
-- $398,748,567 class A-1 to 'BBB/LS3' from 'AAA'; Outlook
Negative;
-- $170,000,000 class A-2 to 'BB/LS4' from 'A'; Outlook
Negative;
-- $80,000,000 class B to 'CCC/RR4' from 'B';
-- $30,224,012class C to 'CC/RR6' from 'B'
-- $7,560,908 class D to 'CC/RR6' from 'B';
-- $7,568,623 class E to 'CC/RR6' from 'B';
-- $33,003,218 class F to 'C/RR6' from 'CCC';
-- $12,721,114 class G d to 'C/RR6' from 'CCC';
-- $10,204,521 class H to 'C/RR6' from 'CCC'.
Additionally, classes A-1 through E are removed from Rating Watch
Negative.
CARLYLE HIGH: Moody's Reviews 'Ca' Ratings on Class E Notes
-----------------------------------------------------------
Moody's Investors Service announced that it has placed the rating
of these notes issued by Carlyle High Yield Partners X, Ltd.,
under review for possible upgrade:
-- US$12,000,000 Class E Secured Deferrable Floating Rate Notes
due 2022, Ca Placed Under Review for Possible Upgrade;
previously on August 10, 2009 Downgraded to Ca.
According to Moody's, the rating action taken on the 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 August 2009. 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 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 February 8, 2010, the
weighted average rating factor is 2639 compared to 2842 in July
2009, and securities rated Caa1/CCC+ or lower make up
approximately 5.7% of the underlying portfolio versus 10.6% in
July 2009. Additionally, the dollar amount of defaulted
securities has decreased to about $11MM from approximately $20MM
in July 2009.
The overcollateralization ratios have increased since the last
rating action in August 2009. The Class A/B, Class C, Class D,
and Class E overcollateralization ratios are reported at 119.10%,
111.59%, 106.48%, and 102.94%, respectively, versus July 2009
levels of 115.71%, 108.46%, 103.51%, and 100.09%, respectively,
and all related overcollateralization tests are currently in
compliance. Moody's notes that the Class D notes are no longer
deferring interest and all deferred interest has been repaid.
Carlyle High Yield Partners X, Ltd., issued in April 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans. On August 10, 2009, Moody's downgraded five
classes of notes 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.
CARLYLE HIGH: Moody's Reviews Ratings on Four Classes of Notes
--------------------------------------------------------------
Moody's Investors Service announced that it has placed the ratings
of these notes issued by Carlyle High Yield Partners VII, Ltd.
under review for possible upgrade:
-- US$14,800,000 Class B Floating Rate Notes, Baa3 Placed Under
Review for Possible Upgrade; previously on August 3, 2009
Downgraded to Baa3;
-- US$21,200,000 Class C Floating Rate Deferrable Notes, Ba3
Placed Under Review for Possible Upgrade; previously on
August 3, 2009 Downgraded to Ba3;
-- US$16,000,000 Class D-1 Floating Rate Deferrable Notes
(current outstanding balance of $14,382,331), Ca Placed Under
Review for Possible Upgrade; previously on August 3, 2009
Downgraded to Ca;
-- US$8,000,000 Class D-2 Fixed Rate Deferrable Notes (current
outstanding balance of $7,191,165), Ca Placed Under Review
for Possible Upgrade; previously on August 3, 2009 Downgraded
to Ca.
According to Moody's, the rating actions taken on the notes result
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 August 2009. 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 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 February 3, 2010, the
weighted average rating factor is 2605 compared to 2893 in July
2009, and securities rated Caa1/CCC+ or lower make up
approximately 9.8% of the underlying portfolio versus 12.5% in
July 2009. Additionally, the dollar amount of defaulted
securities has decreased to about $11MM from approximately $22MM
in July 2009.
The overcollateralization ratios have increased since the last
rating action in August 2009. The Class A/B, Class C, and Class D
overcollateralization ratios are reported at 117.59%, 110.14%, and
103.48%, respectively, versus July 2009 levels of 113.36%,
106.18%, and 98.94%, respectively, and all related
overcollateralization tests are currently in compliance. In
particular, the Class D overcollateralization ratio has increased
due to the diversion of excess interest to delever the Class D
notes as a result of Class D overcollateralization test failures.
The outstanding balance of the Class D notes has been reduced by
about 10% since July 2009. Moody's notes that the Class D notes
are no longer deferring interest and all deferred interest has
been repaid.
Carlyle High Yield Partners VII, Ltd., issued in September 2005,
is a collateralized loan obligation backed primarily by a
portfolio of senior secured loans. On August 3, 2009, Moody's
downgraded all the rated notes 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.
CASTLE HILL: Fitch Affirms Ratings on Four Classes of Notes
-----------------------------------------------------------
Fitch Ratings has affirmed four classes of notes issued by Castle
Hill I - INGOTS, Ltd/Corp., and assigned Loss Severity and
Recovery Ratings as indicated.
This review was conducted under the framework described in the
report 'Global Structured Finance Rating Criteria'. Cash flow and
portfolio default modeling were conducted in accordance with
Fitch's 'Global Criteria for Cash Flow Analysis in CDOs -
Amended', 'Global Rating Criteria for Corporate CDOs', 'Global
Surveillance Criteria for Corporate CDOs' and 'Criteria for
Interest Rate Stresses in Structured Finance Transactions'. Loss
Severity ratings were assigned in compliance with Fitch's
'Criteria for Structured Finance Loss Severity Ratings'. Recovery
Ratings were assigned in compliance with Fitch's 'Criteria for
Structured Finance Recovery Ratings'.
The affirmations are the result of the continued increase in
credit enhancement for the notes. The increase in credit support
reflects the deleveraging of the class A-1 notes through asset
amortization and the application of excess spread via the
subordinate principal replenishment amount. The SPRA is a
structural feature designed to maintain a minimum amount of asset
coverage to the subordinate notes. After the reinvestment period,
if the SPRA is not satisfied, part or all of the excess spread
that would otherwise be available to the residual interest
subordinated notes is diverted to repay the notes sequentially,
starting with the class A-1 notes. Since Fitch's last review,
approximately $9.6 million of excess spread was diverted to the
class A-1 notes to satisfy the SPRA. The SPRA is expected to be
in compliance in the near term, which may limit the deleveraging
of the notes to asset amortization going forward.
The improved credit enhancement levels are offset by the portfolio
credit migration experienced since Fitch's last review in November
2008. Based on Fitch's analysis the current average credit
quality of the portfolio is 'B/B-'. Approximately 32% of the
performing portfolio is now considered to be rated 'CCC+' or lower
by Fitch compared to 13% at the last review. Exposure to
defaulted securities also increased to 11.4% up from 6.4% at last
review. Additionally, 4% and 16% of the portfolio is on Rating
Watch Negative or has a Negative Outlook, respectively, by at
least one rating agency, indicating the potential for further
negative rating migration in the future.
The subordinated notes receive Basic Interest, Additional
Interest, Supplemental Interest and Contingent Interest from the
interest waterfall. All but Basic Interest receipts are used to
reduce the rated principal balance. Additional Interest,
Supplemental Interest and Contingent Interest payments have not
been made since the last review but will likely be reinstated once
the SPRA is satisfied. Since closing, the subordinated notes have
received $20.2 million in residual interest distributions in
excess of the Basic Interest amount, reducing the rated principal
balance to $29.8 million, or 59.5% of the initial rated principal
balance.
In its review, Fitch analyzed the structure's sensitivity to
reduced U.S. corporate recoveries. To accomplish this, in one
scenario Fitch reduced its average recovery rate assumptions for
each asset type by 30%, where explicit Recovery Ratings were not
available. The class B notes displayed a degree of sensitivity to
lower recovery rates. This sensitivity, in addition to the
sizeable portion of underlying portfolio credits with Negative
Outlooks, prompted Fitch to maintain a Negative Outlook to the
class B notes. The class A-1 and A-2 notes displayed relatively
limited sensitivity to lower recovery rates so Fitch maintains
their Stable Outlook.
The ratings of the class A-1 and A-2 notes address the likelihood
that investors will receive full and timely payments of interest
per the transaction's governing documents, as well as the stated
balance of principal by the legal final maturity date. The rating
of the class B notes addresses the likelihood that investors will
receive ultimate and compensating interest payments per the
transaction's governing documents, as well as the stated balance
of principal by the legal final maturity date. The rating of the
subordinated notes addresses the ultimate payment of Basic
Interest while the rated principal balance is outstanding and the
ultimate repayment of principal by the stated maturity date. For
avoidance of doubt, all distributions to the residual interest
subordinated notes in excess of the Basic Interest are applied to
reduce the rated principal balance.
The class A-1, A-2 and B notes were assigned LS ratings. The LS
ratings indicate each tranche's potential loss severity given
default, as evidenced by the ratio of tranche size to the base-
case loss expectation for the collateral, as explained in Fitch's
'Criteria for Structured Finance Loss Severity Ratings'. The LS
rating should always be considered in conjunction with the notes'
long-term credit rating.
The subordinated notes were assigned a Recovery Rating in this
rating review based on the total discounted future cash flows of
approximately $15.6 million projected to be available to these
bonds in a base-case default scenario. The discounted cash flows
yield an ultimate recovery projection of 92% which is
representative of an 'RR1' on Fitch's Recovery Rating scale.
Recovery Ratings are designed to provide a forward-looking
estimate of recoveries on currently distressed or defaulted
structured finance securities rated 'CCC' or below. For further
detail on Recovery Ratings, please see Fitch's reports 'Global
Surveillance Criteria for Corporate CDOs' and 'Criteria for
Structured Finance Recovery Ratings'.
Castle Hill I is a cash flow collateralized loan obligation that
closed in December 2002 and is managed by Sankaty Adivsors, LLC.
The five-year reinvestment period ended on Dec. 3, 2007. The
portfolio is comprised of 90.9% senior secured loans and 9.1%
senior unsecured and second lien loans. The stated maturity of
the transaction is in Dec. 2014.
Fitch has affirmed these ratings and assigned LS ratings:
-- $164,752,137 class A-1 first priority senior secured notes
due 2014 at 'AAA/LS2'; Outlook Stable;
-- $32,000,000 class A-2 second priority senior secured notes
due 2014 at 'AAA/LS4'' Outlook Stable;
-- $28,000,000 class B interest deferrable secured notes due
2014 at 'A/LS4' Outlook Negative;
-- $29,755,803 residual interest subordinated notes due 2014 at
'CCC/RR1'.
CASTLE HILL: Fitch Keeps Ratings on Four Classes of Notes
---------------------------------------------------------
Fitch Ratings has affirmed four classes of notes issued by Castle
Hill II - INGOTS, Ltd/Corp., and assigned Loss Severity as
indicated.
This review was conducted under the framework described in the
report 'Global Structured Finance Rating Criteria'. Cash flow and
portfolio default modeling were conducted in accordance with
Fitch's 'Global Criteria for Cash Flow Analysis in CDOs -
Amended', 'Global Rating Criteria for Corporate CDOs', 'Global
Surveillance Criteria for Corporate CDOs' and 'Criteria for
Interest Rate Stresses in Structured Finance Transactions'. Loss
Severity ratings were assigned in compliance with Fitch's
'Criteria for Structured Finance Loss Severity Ratings'.
The affirmations are the result of the continued increase in
credit enhancement for the notes. The increase in credit support
reflects the deleveraging of the class A notes through asset
amortization and the application of excess spread via the
subordinate principal replenishment amount. The SPRA is a
structural feature designed to maintain a minimum amount of asset
coverage to the subordinate notes. After the reinvestment period,
if the SPRA is not satisfied, part or all of the excess spread
that would otherwise be available to the residual interest
subordinated notes is diverted to repay the notes sequentially,
starting with the class A notes. Since Fitch's last review,
approximately $6.7 million of excess spread was diverted to the
class A notes to satisfy the SPRA. Excess interest proceeds are
expected to continue to be diverted to redeem the class A notes
until the SPRA is satisfied.
The improved credit enhancement levels are offset by the portfolio
credit migration experienced since Fitch's last review in November
2008. Based on Fitch's analysis the current average credit
quality of the portfolio is 'B-' compared to 'B/B-' at the last
review. Approximately 28.7% of the performing portfolio is now
considered to be rated 'CCC+' or lower by Fitch compared to 11.9%
at the last review. Exposure to defaulted securities also rose to
8.8% from 2.5% at last review. Additionally, 2.9% and 16.8% of
the portfolio is on Rating Watch Negative or has a Negative
Outlook, respectively, by at least one rating agency, indicating
the potential for further negative rating migration in the future.
The subordinated notes receive Basic Interest, Additional
Interest, Supplemental Interest and Contingent Interest from the
interest waterfall. All but Basic Interest receipts are used to
reduce the rated principal balance. Additional Interest,
Supplemental Interest and Contingent Interest payments have not
been made since the last review and are not expected to be made
until the SPRA is satisfied. Since closing, the residual interest
subordinated notes have received $31.4 million in distributions in
excess of the Basic Interest amount, reducing the rated principal
balance to $18.6 million, or 37.3% of the initial rated principal
balance.
In its review, Fitch analyzed the structure's sensitivity to
reduced U.S. corporate recoveries. To accomplish this, in one
scenario Fitch reduced its average recovery rate assumptions for
each asset type by 30%, where explicit Recovery Ratings were not
available. The class B-1, B-2 and subordinated notes displayed a
degree of sensitivity to lower recovery rates. This sensitivity,
in addition to the sizeable portion of underlying portfolio
credits with Negative Outlooks, prompted Fitch to maintain a
Negative Outlook on the class B-1, B-2 and subordinated notes.
The class A notes displayed relatively limited sensitivity to
lower recovery rates so Fitch maintains their Stable Outlook.
The ratings of the class A notes address the likelihood that
investors will receive full and timely payments of interest per
the transaction's governing documents, as well as the stated
balance of principal by the legal final maturity date. The rating
of the class B-1 and B-2 notes addresses the likelihood that
investors will receive ultimate and compensating interest payments
per the transaction's governing documents, as well as the stated
balance of principal by the legal final maturity date. The rating
of the subordinated notes addresses the ultimate payment of Basic
Interest while the rated principal balance is outstanding and the
ultimate repayment of principal by the stated maturity date. For
avoidance of doubt, all distributions to the residual interest
subordinated notes in excess of the Basic Interest are applied to
reduce the rated principal balance.
The class A, B-1, B-2 and subordinated notes were assigned LS
ratings. The LS ratings indicate each tranche's potential loss
severity given default, as evidenced by the ratio of tranche size
to the base-case loss expectation for the collateral, as explained
in Fitch's 'Criteria for Structured Finance Loss Severity
Ratings'. The LS rating should always be considered in
conjunction with the notes' long-term credit rating.
Castle Hill II is a cash flow collateralized loan obligation that
closed in September 2002 and is managed by Sankaty Adivsors, LLC.
The five-year reinvestment period ended on Oct. 15, 2007. The
portfolio is comprised of 96.2% senior secured loans and 3.8%
senior unsecured and second lien loans. The stated maturity of
the transaction is in October 2014.
Fitch has affirmed and assigned LS ratings to these notes as
indicated:
-- $221,442,925 class A first priority senior secured notes due
2014 affirmed at 'AAA/LS2', Outlook Stable;
-- $22,000,000 class B-1 second priority floating-rate interest
deferrable secured notes due 2014 affirmed at 'A/LS4',
Outlook Negative;
-- $6,000,000 class B-2 second priority fixed-rate interest
deferrable secured notes due 2014 affirmed at 'A/LS4',
Outlook Negative;
-- $18,646,579 residual interest subordinated notes due 2014
affirmed at 'BB+/LS4', Outlook Negative.
CBA COMMERCIAL: Fitch Downgrades Ratings on Class M-5 to 'D/RR6'
----------------------------------------------------------------
Fitch Ratings downgrades one class of CBA Commercial Assets, LLC,
Series 2005-1:
-- $3.6 million class M-5 to 'D/RR6' from 'C/RR6'.
Fitch also revises the Recovery Rating of this class:
-- $3.7 million class M-4 to 'CCC/RR6' from CCC/RR1'.
The downgrade is a result of realized losses to the trust which
has caused the class to incur principal losses.
Fitch expects to resolve the Rating Watch status of classes A, X-
2, M-1, M-2, and M-3 shortly with a prospective review of the
remaining collateral which may result in significant downgrades to
the remaining classes.
CBA COMMERCIAL: Fitch Puts Seven Ratings on Negative Watch
----------------------------------------------------------
Fitch Ratings places these seven classes of CBA Commercial, LLC
Series 2004-1, on Rating Watch Negative:
-- 16.9 million class A-1 'AAA'; Rating Watch Negative;
-- $7.4 million class A-2 'AAA'; Rating Watch Negative;
-- $4 million class A-3 'AAA'; Rating Watch Negative;
-- Interest-only class IO 'AAA'; Rating Watch Negative;
-- $2.9 million class M-1 'AAA'; Rating Watch Negative;
-- $3.6 million class M-2 'A'; Rating Watch Negative;
-- $3.7 million class M-3 'BB'; Rating Watch Negative.
In addition, Fitch also downgrades the rating of class M-5 due to
realized losses which have reduced the class balance to zero:
-- $0 class M-5 to 'D/RR6' from 'C/RR6'.
Classes M-4, M-6, M-7 and M-8 are not rated by Fitch.
As of the March 2010 distribution date, 16% of the transaction is
currently delinquent.
Fitch expects to resolve the Rating Watch status shortly with a
prospective review of the remaining collateral which may result in
significant downgrades to the remaining classes.
CBA COMMERCIAL: Fitch Takes Rating Actions on Three Classes
-----------------------------------------------------------
Fitch Ratings downgrades, removes from Rating Watch Negative, and
revises Recovery Ratings on three classes of CBA Commercial, LLC,
Series 2006-1:
-- $4.9 million class M-3 to 'D/RR6' from 'BB-/'; removed from
Rating Watch Negative';
-- $0 class M-4 to 'D/RR6' from 'CCC/RR1';
-- $0 class M-5 to 'D/RR6' from 'C/RR6'.
The downgrades are the result of realized losses to the trust
which have either caused the class to incur principal losses or
reduced the class balance to zero.
Fitch expects to resolve the Rating Watch status of classes A, X-
1, M-1, and M-2 shortly with a prospective review of the remaining
collateral which may result in significant downgrades to the
remaining classes.
CBA COMMERCIAL: S&P Downgrades Ratings on 27 Classes of Certs.
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 27
classes of commercial mortgage pass-through certificates from CBA
Commercial Assets LLC's series 2004-1, 2005-1, 2006-1, 2006-2, and
2007-1. Concurrently, S&P affirmed its ratings on eight other
classes from these transactions.
The downgrades reflect Standard & Poor's analysis of each
transaction and potential losses generated by specially serviced
and credit-impaired assets. S&P also lowered the ratings on the
IO classes in each transaction, with the exception of series 2004-
1, due to current and future interest shortfalls relating to the
specially serviced assets. These shortfalls have and will likely
continue to reduce the amount of interest that is subordinate to
the IO classes, increasing their susceptibility to liquidity
interruption. S&P downgraded three classes from CBA Commercial
Assets LLC's series 2005-1, 2006-1, and 2007-1 to 'D' due to
realized principal losses of $1.5 million, $133,083, and $415,662,
respectively.
The affirmed ratings reflect S&P's opinion of credit enhancement
levels that S&P believes provide sufficient support through
various stress scenarios.
S&P's analysis of the specially serviced and credit-impaired
assets considered recent appraisal and broker opinions of value to
arrive at loss estimates for the collateral. S&P's estimates also
considered expenses and fees required to complete the workout
process. S&P's analysis of the remaining loans in the pool
considered the performance of the collateral to date, as well as
the impact that current economic stress and liquidity conditions
may have on future performance.
Details of the five CBA trusts as of the March 25, 2010,
remittance reports are:
The collateral pool for series 2004-1 consisted of 123 loans with
an aggregate trust balance of $41.3 million, 97.8% of which are
fully amortizing, compared with 265 loans totaling $102.0 million
at issuance. Seventeen assets totaling $5.2 million (12.6%) are
with the special servicer, Midland Loan Services Inc. Appraisal
reduction amounts totaling $1,093,691 are in effect, which are
related to eight of the specially serviced assets. Eight of the
17 specially serviced assets are in foreclosure (4.7%), seven are
90-plus-days delinquent (4.2%), one is 30-plus-days delinquent
(2.2%), and one is current (0.7%). S&P also ran various stress
scenarios. S&P's base-case losses assumed that 72.6% of specially
serviced loans would experience a loss and a weighted average loss
severity of 43.4%. To date, the trust has experienced 23 losses
totaling $5.3 million. S&P previously downgraded four subordinate
classes to 'D' as a result of principal losses.
The collateral pool for series 2005-1 consisted of 270 loans with
an aggregate trust balance of $97.1 million, 97.1% of which are
fully amortizing, compared with 572 loans totaling $214.9 million
at issuance. Fifty-seven assets totaling $19.7 million (20.3%)
are with the special servicer, Midland Loan Services Inc.
Fourteen of the assets in the pool are 90-plus-days delinquent
(6.6%), one is 60-plus-days delinquent (0.5%), seven are 30-plus-
days delinquent (2.2%), 26 are in foreclosure (7.9%), seven are
real estate owned (2.5%), and two are current (0.5%). S&P also
ran various stress scenarios. S&P's base?case losses assumed that
73.3% of specially serviced loans would experience a loss and a
weighted average loss severity of 62.1%. To date, the trust has
experienced 48 losses totaling $12.3 million. S&P previously
downgraded three subordinate classes to 'D' as a result of
principal losses.
The collateral pool for series 2006-1 consisted of 183 loans with
an aggregate trust balance of $102.8 million, 70.0% of which are
fully amortizing, compared with 303 loans totaling $166.8 million
at issuance. Forty-two assets totaling $16.2 million (15.7%) are
with the special servicer, Litton Loan Servicing L.P. Five of the
loans in the pool are 90-plus-days delinquent (1.9%), three are
60-plus-days delinquent (0.6%), five are 30-plus-days delinquent
(1.0%), 19 are in foreclosure (7.9%), and seven are REO (3.2%).
S&P also ran various stress scenarios. S&P's base-case losses
assumed that 78.4% of specially serviced loans would experience a
loss and a weighted average loss severity of 64.7%. To date, the
trust has experienced 29 losses totaling $12.1 million. S&P
previously downgraded four subordinate classes to 'D' as a result
of principal losses.
The collateral for series 2006-2 consisted of 217 loans with an
aggregate trust balance of $99.8 million, 85.9% of which are fully
amortizing, compared with 294 loans totaling $130.5 million at
issuance. Sixty-one loans totaling $32.4 million (32.5%) are with
the special servicer, Litton Loan Servicing L.P. Four of the
assets in the pool are 90-plus-days delinquent (2.3%), nine are
60-plus-days delinquent (4.8%), seven are 30-plus-days delinquent
(1.5%), 29 are in foreclosure (17.5%), and 10 are REO (5.8%). S&P
also ran various stress scenarios. S&P's base-case losses assumed
that 79.6% of specially serviced loans would experience a loss and
a weighted average loss severity of 65.8%. To date, the trust has
experienced 21 losses totaling $3.7 million. S&P previously
downgraded two subordinate classes to 'D' as a result of principal
losses.
The collateral pool for series 2007-1 consisted of 198 loans with
an aggregate trust balance of $107.6 million, 86.6% of which are
fully amortizing, compared with 237 loans totaling $127.6 million
at issuance. Fifty-four assets totaling $34.5 million (32.1%) are
with the special servicer, Litton Loan Servicing L.P. Four of the
assets in the pool are 90-plus-days delinquent (1.8%), three are
60-plus-days delinquent (1.6%), seven are 30-plus-days delinquent
(3.5%), 33 are in foreclosure (16.2%), and six are REO (5.4%).
S&P also ran various stress scenarios. S&P's base?case losses
assumed that 85.4% of specially serviced loans would experience a
loss and a weighted average loss severity of 63.9%. To date, the
trust has experienced 10 losses totaling $3.6 million.
Standard & Poor's stressed the credit-impaired loans, as well as
other loans in the pool as part of S&P's analysis, and S&P
believes the resultant credit enhancement levels are consistent
with the lowered and affirmed ratings.
Ratings Lowered
CBA Commercial Assets LLC
Commercial mortgage pass-through certificates series 2004-1
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
M-1 A AA 24.60
M-2 BB+ A 15.97
M-3 CCC- BB+ 7.02
CBA Commercial Assets 2005-1
Commercial mortgage pass-through certificates series 2005-1
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A BBB AA- 23.93
M-1 B+ BBB+ 16.18
M-2 CCC+ BB 10.37
M-3 CCC B+ 7.60
M-4 CCC- CCC+ 3.72
M-5 D CCC 0.00
X-2 BBB AAA N/A
CBA Commercial Assets
Commercial mortgage pass-through certificates series 2006-1
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A BB BBB 13.67
M-1 B BB 9.20
M-2 CCC- B- 4.74
M-3 D CCC+ 0.00
X-1 BB AAA N/A
CBA Commercial Assets
Commercial mortgage pass-through certificates series 2006-2
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A BB- BBB- 16.45
M-1 B- BB- 12.69
M-2 CCC CCC+ 7.79
M-3 CCC- CCC 5.01
X-1 BB- AAA N/A
CBA Commercial Assets
Commercial mortgage pass-through certificates series 2007-1
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A BB- BBB- 13.85
M-1 B- BB 10.59
M-2 CCC+ B 7.18
M-3 CCC CCC+ 5.10
M-4 CCC- CCC 3.77
M-7 D CCC- 0.00
X-1 BB- AAA N/A
Ratings Affirmed
CBA Commercial Assets LLC
Commercial mortgage pass-through certificates series 2004-1
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 31.69
A-2 AAA 31.69
A-3 AAA 31.69
IO AAA N/A
CBA Commercial Assets
Commercial mortgage pass-through certificates series 2006-2
Class Rating Credit enhancement (%)
----- ------ ----------------------
M-4 CCC- 2.72
M-5 CCC- 1.58
CBA Commercial Assets
Commercial mortgage pass-through certificates series 2007-1
Class Rating Credit enhancement (%)
----- ------ ----------------------
M-5 CCC- 2.13
M-6 CCC- 0.95
CITY OF HARRISBURG: Moody's Withdraws 'B2' Rating on Bonds
----------------------------------------------------------
Moody's Investors Service has withdrawn the B2 rating on the City
of Harrisburg's (PA) Taxable Capital Appreciation Bonds, Series A
of 1995, as the remaining CUSIPs have been escrowed to maturity
and are no longer deemed outstanding under the Pennsylvania Debt
Act.
The last rating action and report published on the City of
Harrisburg (PA) was published on February 11, 2010, when the
city's long-term general obligation rating was downgraded to B2
from Ba2.
COLORADO EDUCATIONAL: Moody's Raises 2007A Bond Rating From 'BB'
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its long-term rating two
notches to 'BBB-' from 'BB' on the Colorado Educational and
Cultural Facilities Authority's series 2007A charter school
revenue bonds, supported by Monument Academy Building Corp.,
issued for the Monument Academy Charter School. The outlook is
stable.
The bonds are secured by lease revenues from the Monument Academy
charter school.
"The upgrade reflects the successful move into a new location and
subsequent increase in enrollment that has enabled the school to
budget sufficient net revenues in fiscal 2010 to pay future annual
debt service from the current year's budgeted operating revenues,"
said Standard & Poor's credit analyst David Hitchcock.
The school also has already accepted additional students for the
2010-2011 academic year, which should provide additional net
revenues to the school in fiscal 2011.
The rating on the series 2007A bonds reflects what S&P view as:
* A successful move into bond-financed a newly constructed school
facility, and a rebound in enrollment following an earlier
decline because of the elimination of high school grades and the
move to a new location; already accepted students for fiscal
2011 that will raise school full-time equivalent enrollment;
* A budgeted annual debt service payment in fiscal 2010, to be
paid from net operating revenues, that is nearly the same as
future maximum annual debt service;
* Positive audited financial performance in fiscal 2009, and
adequate unrestricted cash and investments at fiscal year-end
June 30, 2009; Low class sizes, that might indicate some
flexibility to cut costs, if needed;
* The ability of charter schools in Colorado to appeal nonrenewal
decisions to the state (the school must renew its charter next
year, and is considering the option of changing its charter
authorizer to the state itself);
* Good relations with the current charter authorizer, the Lewis-
Palmer School District No. 38, and one successful charter
renewal in 2006, with the current charter expiring on June 30,
2011;
* Good student test scores that are above that of the sponsoring
district;
* and No current additional debt plans or needs.
Offsetting factors, in S&P's opinion, include:
* The school's charter will need multiple renewals before final
bond maturity, with the current charter expiring June 30, 2011;
* The need to continue to enroll a sufficient number of students
to generate adequate revenues under the state's per pupil
funding formula;
* A relatively modest student wait list;
* The last audited year (fiscal 2009) showed positive financial
performance better than budget, but not enough to fully cover
future MADS from operations alone; and
* A high debt service carrying charge of about 22% of operations
based on the school's fiscal 2010 budget.
Charter school lease payments, subject to annual appropriation by
the charter school board, secure the bonds. A mortgage and
security interest on Monument Academy's facilities provides
bondholder security. S&P believes nonappropriation risk is
mitigated due to the leased facility being the school's only
building and site.
The school issued series 2007 bonds and series 2008 completion
bonds to purchase 15.3 acres and construct a 75,000-square-foot
school facility, located about one mile from its previous school
site. The new school building has the capacity to house up to 956
students, greater than its current enrollment. The school moved
into the new facility in 2008.
Monument Academy is in the town of Monument, Colo., about 20 miles
north of Colorado Springs, Colo., and 50 miles south of Denver.
Monument is primarily a residential community that is experiencing
steady residential growth.
CREDIT SUISSE: Fitch Takes Rating Actions on 2004-C3 Certs.
-----------------------------------------------------------
Fitch Ratings downgrades, assigns Loss Severity ratings and
revises Rating Outlooks on eight classes of Credit Suisse First
Boston Mortgage Securities Corporation's commercial mortgage pass-
through certificates, series 2004-C3:
-- $45.1 million class B to 'A/LS4' from 'AA+'; Outlook
Negative;
-- $14.3 million class C to 'BBB-/LS5' from 'A'; Outlook
Negative;
-- $28.7 million class D to 'B/LS5' from 'BBB'; Outlook
Negative;
-- $16.4 million class E to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $20.5 million class F to 'B-/LS5' from 'B'; Outlook Negative;
-- $21 million class H to 'C/RR6'; from 'CCC/RR2';
-- $8.2 million class J to 'C/RR6' from 'CC/RR4';
-- $6.1 million class K to 'C/RR6' from 'CC/RR5'.
Fitch affirms these classes:
-- $58.3 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $102.9 million class A-4 at 'AAA/LS1'; Outlook Stable;
-- $694.5 million class A-5 at 'AAA/LS1'; Outlook Stable;
-- $238.9 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- Interest-only class A-X at 'AAA'; Outlook Stable;
-- Interest-only class A-SP at 'AAA'; Outlook Stable.
This class is affirmed and Recovery Ratings lowered:
-- $58.1 million class G at 'CCC/RR5' from 'CCC/RR1';
These classes remain at:
-- $48.9 million class L at 'C/RR6';
-- $17.5 million class M at 'C/RR6';
-- $17.5 million class O at 'C/RR6'.
Fitch does not rate classes N and P.
The downgrades are due to Fitch's expected losses following its
prospective review of potential stresses to the transaction. The
trust has incurred losses of 1% of the original pool balance.
Fitch expects an additional 6.1% of losses on the current pool
balance. As of the February 2010 distribution date, the pool's
certificate balance has paid down 20.6% to $1.3 billion from
$1.6 billion at issuance.
There are 157 of the original 174 loans remaining in the
transaction, 24 of which are defeased (26% of the current
transaction balance). There are currently 20 specially serviced
loans, representing 12.2% of the pool.
The largest specially serviced loan (1.82%) is a retail property
in Fountain Valley, CA. The loan is paying debt service but is
past its September 2009 maturity date. The borrower is working
with the servicer to remedy the default.
The second largest specially serviced loan (1.74%) is a
multifamily loan in Deluth, GA. The loan transferred to the
special servicer in May 2009 for a payment default. The property
is being marketed for sale, and the servicer is currently
evaluating bids.
The third largest specially serviced loan (1.63%) is a retail
property in Hilton Head Island, SC. The borrower and servicer are
negotiating a possible modification.
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
10.5% 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. Thirty-six non specially serviced loans did not
payoff at maturity, and 11 are expected to incur a loss when
compared to Fitch's stressed value, with loss severities ranging
from 3% to 49%.
CREDIT SUISSE: Moody's Affirms Ratings on 21 2007-TFL2 Certs.
-------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 21 classes and
downgraded 12 classes of Credit Suisse First Boston Mortgage
Securities Corp. Commercial Mortgage Pass-Through Certificates,
Series 2007-TFL2. Four classes remain Under Review, Direction
Uncertain. The downgrades are due to higher expected losses and
accumulating interest shortfalls being driven primarily by the
Resorts Atlantic City Loan and the Biscayne Landing Loan, both of
which received updated appraisal reports indicating lower values
than were reflected in Moody's prior rating action. The four
classes that remain Under Review Direction Uncertain are high
investment grade rated classes that are expected to incur interest
shortfalls. Although based on the priority of payments, Moody's
would expect the shortfalls to be recovered upon the liquidation
of either the Resorts Atlantic City Loan or the Biscayne Landing
Loan, the timing of the recovery as well as sufficiency of funds
is uncertain. These classes will remain under review until
Moody's have greater clarity regarding the resolution of these
shortfalls.
Moody's had placed 12 classes of this transaction on review for
possible downgrade on February 26, 2010, citing the potential for
higher losses for the pool resulting from lower valuations on The
Resorts Atlantic City Loan and the Biscayne Landing Loan and
interest shortfalls. This action concludes the review on eight
classes. The rating action is the result of Moody's on-going
surveillance of commercial mortgage backed securities
transactions.
The pooled classes are secured by seven loans totaling
$1.2 billion. The loans range in size from 4% to 39% of the pool
based on current principal balances. As of the March 15, 2010
distribution date, the transaction's aggregate certificate balance
has decreased by approximately 3.7% to $1.45 billion from
$1.51 billion at securitization.
Moody's weighted average LTV for the pooled trust mortgage balance
is 162% compared to 119% at last review on December 9, 2009, and
63% at securitization. Moody's stressed debt service coverage
ratio for the pooled trust mortgage balance is 0.58X, compared to
0.57X at last review and 1.31X at securitization.
Based on the March 15, 2010 remittance statement, classes B
through L have experienced cumulative interest shortfalls totaling
$1.8 million. However, the February 18 remittance statement
reported that interest shortfalls had impacted all the pooled
classes including Class A-1, but following a prepayment on the
Biscayne Landing Loan, the shortfalls on classes A-1, A-2, A-3, A-
X-1 and A-X-2 were recovered. Moody's expects these classes will
once again be hit by interest shortfalls which will continue to
accrue until either the Biscayne Landing Loan or the Resorts
Atlantic City Loan have been liquidated. The servicer stopped
advancing interest on these loans in February, based upon updated
appraisal reports. Interest shortfalls are caused by special
servicing fees, including workout and liquidation fees, appraisal
subordinate entitlement reductions and extraordinary trust
expenses.
To date the pool has not experienced losses. Currently, three
loans totaling 61% of the pool balance are in special servicing.
The largest loan, Planet Hollywood, is secured by a hotel-casino
in Las Vegas which has experienced declining performance due to
significant market deterioration. The property was recently
acquired by a subsidiary of Harrah's Entertainment Inc and is
expected to be transferred back to the master servicer shortly.
This loan will generate a work-out fee of 0.75%, which is assessed
on monthly interest and principal payments as well as any balloon
payment. The other troubled loans are the Resorts Atlantic City
hotel-casino loan and the Biscayne Landing land development loan.
The Resorts Atlantic City Loan (175.0 million -- 15% of the pooled
trust balance), is secured by a hotel-casino with 310 feet of
boardwalk frontage at the northern end of the Atlantic City New
Jersey Boardwalk. The loan was transferred to special servicing
on December 1, 2008, and has not paid debt service since December
2008. The updated appraisal now values the property at
$88.2 million which is significantly below the trust debt balance.
Per the March remittance statement, the outstanding servicer
advances total $20.2 million. The property is currently being
marketed for sale and offers have been received. The special
servicer is currently negotiating with potential buyers. Once an
offer has been agreed upon and accepted, the new potential buyer
must apply for a casino license for the property before title can
be transferred. The licensing process is expected to take
approximately 120 days. Moody's current underlying rating for the
pooled balance is C, the same as last review. However, Moody's
expected loss has increased since last review.
The Biscayne Landing Loan ($77.2 million -- 7% of the pooled trust
balance and six rake classes) is secured by a 188-acre site
located in North Miami, Florida and was intended to fund pre-
development of the parcel to accommodate a mixed-use project. In
March of 2008, the loan was moved to special servicing. A new
appraisal was received that valued the property at $15.5 million
which is 3% of the original appraised value at securitization and
significantly below the trust debt balance. In March 2010,
outstanding reserves were used to repay servicer advances, fees
and interest shortfall recovery associated with the loan and the
remaining $29 million was used to pay down the pooled principal
balance. Recently, a foreclosure judgment was received and the
property auction is slated for April 2010. Offers are currently
being accepted for the land. Additional to the pooled balance,
there are junior trust loans secured by the asset including rake
classes BSL-A, BSL-B, BSL-C, BSL-D, BSL-E and BSL-F. Moody's
current underlying rating for the pooled balance is C, the same as
last review. However, Moody's expected loss has increased since
last review.
Moody's rating action is:
-- Class A-1, $488,542,550, Downgraded to A2 and Placed Under
Review Direction Uncertain; previously on 2/26/10 Aaa Placed
Under Review for Possible Downgrade
-- Class A-2, $100,000,000, Downgraded to Baa2 and Placed Under
Review Direction Uncertain; previously on 2/26/10 Aaa Placed
Under Review for Possible Downgrade
-- Class A-3, $207,000,000, Downgraded to Ba2; previously on
2/26/10 Baa1 Placed Under Review for Possible Downgrade
-- Class A-X-1, Notional, Downgraded to A2 and Placed Under
Review Direction Uncertain; previously on 2/26/10 Aaa Placed
Under Review for Possible Downgrade
-- Class A-X-2, Notional, Downgraded to A2 and Placed Under
Review Direction Uncertain; previously on 2/26/10 Aaa Placed
Under Review for Possible Downgrade
-- Class B, $45,700,000, Downgraded to B1; previously on 2/26/10
Baa3 Placed Under Review for Possible Downgrade
-- Class C, $42,600,000, Downgraded to B2; previously on 2/26/10
Ba1 Placed Under Review for Possible Downgrade
-- Class D, $33,500,000, Downgraded to B3; previously on 2/26/10
Ba2 Placed Under Review for Possible Downgrade
-- Class E, $36,600,000, Downgraded to Caa2; previously on
2/26/10 Ba3 Placed Under Review for Possible Downgrade
-- Class F, $36,500,000, Downgraded to C; previously on 2/26/10
B2 Placed Under Review for Possible Downgrade
-- Class G, $33,500,000, Downgraded to C; previously on 2/26/10
Caa3 Placed Under Review for Possible Downgrade
-- Class H, $39,600,000, Downgraded to C; previously on 2/26/10
Ca Placed Under Review for Possible Downgrade
-- Class J, $36,600,000, Affirmed at C; previously on 12/3/09
Downgraded to C
-- Class K, $39,600,000, Affirmed at C, previously on 12/3/09
Downgraded to C
-- Class L, $33,467,897, Affirmed at C; previously on 12/3/09
Downgraded to C
-- Class BSL-A, $8,900,000, Affirmed at C; previously on 12/3/09
Downgraded to C
-- Class BSL-B, $9,000,000, Affirmed at C; previously on 12/3/09
Downgraded to C
-- Class BSL-C, $8,900,000, Affirmed at C; previously on
03/04/09 Downgraded to C
-- Class BSL-D, $8,900,000, Affirmed at C; previously on
03/04/09 Downgraded to C
-- Class BSL-E, $7,900,000, Affirmed at C; previously on
03/04/09 Downgraded to C
-- Class BSL-F, $9,900,000, Affirmed at C; previously on
03/04/09 Downgraded to C
-- Class CSP-A1, $79,136,341, Affirmed at Aa2; previously on
03/04/09 Downgraded to Aa2
-- Class CSP-A2, $33,600,000, Affirmed at Aa3; previously on
03/04/09 Downgraded to Aa3
-- Class CSP-AX, Notional, Affirmed at Aa2; previously on
03/04/09 Downgraded to Aa2
-- Class CSP-B, $10,600,000, Affirmed at A1; previously on
03/04/09 Downgraded to A1
-- Class CSP-C, $11,500,000, Affirmed at A2; previously on
03/04/09 Downgraded to A2
-- Class CSP-D, $9,900,000, Affirmed at A3; previously on
03/04/09 Downgraded to A3
-- Class CSP-E, $10,000,000, Affirmed at Baa1; previously on
03/04/09 Downgraded to Baa1
-- Class CSP-F, $9,700,000, Affirmed at Baa2; previously on
03/04/09 Downgraded to Baa2
-- Class CSP-G, $19,900,000, Affirmed at Ba1; previously on
03/04/09 Downgraded to Ba1
-- Class CSP-H, $9,900,000, Affirmed at Ba2; previously on
03/04/09 Downgraded to Ba2
-- Class CSP-J, $15,900,000, Affirmed at Ba3; previously on
03/04/09 Downgraded to Ba3
-- Class CSP-K, $18,000,000, Affirmed at B1; previously on
03/04/09 Downgraded to B1
CWCAPITAL COBALT: S&P Downgrades Ratings on 10 Classes
------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 10
classes from CWCapital Cobalt I Ltd., a commercial real estate
collateralized debt obligation transaction. At the same time, S&P
removed five of these ratings from CreditWatch with negative
implications. The five other lowered ratings and one additional
rating from the same transaction remain on CreditWatch with
negative implications.
The downgrades follow S&P's analysis of the transaction using its
updated U.S. CRE CDO criteria, which was the primary driver of its
rating actions. The downgrades also reflect S&P's estimated
asset-specific recovery rates for the eight underlying loan assets
($92.1 million, 22.0%) reported as defaulted. S&P's analysis
included a review of the current credit characteristics of all of
the underlying collateral assets, as well as the transaction's
liability structure.
The ratings remaining on CreditWatch negative reflect Cobalt I's
exposure to collateral with ratings on CreditWatch negative
($64.1 million, 19.7%).
According to the Feb. 18, 2010, trustee report, the transaction's
current asset pool includes these:
* Fifty-one commercial mortgage-backed securities tranches
($236.7 million, 56.6%);
* Five whole loans and senior-interest loans ($86.1 million, 20.6%
of the collateral pool);
* Seven subordinate-interest loans ($37.7 million, 9.0%);
* Six credit-linked notes ($27.9 million, 6.7%; and
* Six CRE CDO tranches ($29.5 million, 7.1%).
Standard & Poor's reviewed and updated credit estimates for all of
the nondefaulted loan assets. S&P based the analyses on its
adjusted net cash flow, which S&P derived from the most recent
financial data provided by the collateral manager, CWCapital
Investments LLC, and the trustee, Wells Fargo Bank N.A., as well
as market and valuation data from third-party providers.
According to the trustee report, the transaction includes 21
defaulted assets: eight loan assets ($92.1 million, 22.0%); four
CMBS tranches ($20.3 million, 4.8%); six credit-linked notes
($27.9 million, 6.7%); and three CRE CDO tranches ($14.9 million,
3.6%). Based on information provided by the collateral manager,
special servicer, and third-party market data providers, Standard
& Poor's estimated asset-specific recovery rates for these loan
assets, which ranged from 0% through 100%.
* The West Side Terrace senior-interest loan ($29.2 million,
7.0%);
* The Dunes at Chesterfield senior-interest loan ($15.1 million,
3.6%);
* The Holiday Inn Express Plantation senior-interest loan
($14.0 million, 3.4%);
* The Four Seasons Town Centre subordinated loan ($12.6 million,
3.0%);
* The El Dorado Pointe Apartments subordinated loan ($7.1 million,
1.7%);
* The Shadow Pines Apartments subordinated loan ($5.6 million,
1.4%);
* The Brass Mill Center & Commons subordinated loan ($4.4 million,
1.1%); and
* The Aguilar Apartments subordinated loan ($3.9 million, 0.9%).
According to the trustee report, the transaction is failing two
interest coverage tests and three overcollateralization coverage
tests.
Standard & Poor's analyzed the transaction and its underlying
collateral assets in accordance with S&P's current criteria.
S&P's analysis is consistent with the lowered and affirmed
ratings.
Ratings Lowered And Remaining On Creditwatch Negative
CWCapital Cobalt I Ltd.
Collateralized debt obligations
Rating
------
Class To From
----- -- ----
A-2 AA/Watch Neg AAA/Watch Neg
B-1 A-/Watch Neg AA/Watch Neg
B-2 A-/Watch Neg AA/Watch Neg
C BB+/Watch Neg A/Watch Neg
D BB/Watch Neg BBB+/Watch Neg
Ratings Lowered And Removed From Creditwatch Negative
CWCapital Cobalt I Ltd.
Collateralized debt obligations
Rating
------
Class To From
----- -- ----
E-1 CCC- BB/Watch Neg
E-2 CCC- BB/Watch Neg
F-1 CCC- B+/Watch Neg
F-2 CCC- B+/Watch Neg
G CCC- B/Watch Neg
Rating Remaining On Creditwatch Negative
CWCapital Cobalt I Ltd.
Collateralized debt obligations
Class Rating
----- ------
A-1 AAA/Watch Neg
CWCAPITAL COBALT: S&P Downgrades Ratings on 13 Classes of CRE CDOs
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 13
classes from CWCapital Cobalt II Ltd., a commercial real estate
collateralized debt obligation transaction. At the same time, 14
ratings, including the 13 lowered ratings, remain on CreditWatch
with negative implications.
The downgrades follow S&P's analysis of the transaction using its
updated U.S. CRE CDO criteria, which was the primary driver of its
rating actions. The downgrades also reflect S&P's estimated
asset-specific recovery rates for the 10 loan assets ($127.9
million, 16.6%) reported as defaulted. S&P's analysis included a
review of the current credit characteristics of all of the
underlying collateral assets, as well as the transaction's
liability structure.
The ratings remaining on CreditWatch negative reflect Cobalt II's
exposure to collateral with ratings on CreditWatch negative ($48.3
million, 7.5%).
According to the Feb. 26, 2010, trustee report, the transaction's
current asset pool included these:
* Forty-seven commercial mortgage-backed securities (CMBS)
tranches ($510.4 million, 66.0% of the collateral pool);
* Seventeen whole loans and senior interest loans ($233.9 million,
30.3%);
* Five subordinate interest loans ($10.2 million, 1.3%); and
* Four CRE CDO tranches ($18.3 million, 2.4%).
Standard & Poor's reviewed and updated credit estimates for all of
the nondefaulted loan assets. S&P based the analyses on its
adjusted net cash flow, which S&P derived from the most recent
financial data provided by the collateral manager, CWCapital
Investments LLC, and trustee, Wells Fargo Bank N.A., as well as
market and valuation data from third-party providers.
According to the trustee report, the transaction includes 29
defaulted assets:
* 15 CMBS tranches ($217.9 million, 28.2%); 10 loan assets
($127.9 million, 16.6%); and four CRE CDO tranches
($18.3 million, 2.4%). Based on information provided by the
collateral manager, special servicer, and market data, Standard
& Poor's estimated asset-specific recovery rates for the loan
assets reported as defaulted, which ranged from 0% through
90.3%.
The defaulted loan assets are:
* The West Side Terrace senior interest loan ($30.1 million,
3.9%);
* The East Tennessee Apartments senior interest loan
($22.2 million, 2.9%);
* The Heritage Estates senior interest loan ($16.4 million, 2.1%);
* The Aguilar Apartments senior interest loan ($15.9 million,
2.1%);
* The Capitol City Business Center senior interest loan
($14.7 million, 1.9%);
* The Pala Mesa Resort Hotel senior interest loan ($13.9 million,
1.8%);
* The Holiday Inn Holyoke senior interest loan ($10.2 million,
1.3%);
* The Saratoga Apartments subordinated loan ($3.0 million, 0.4%);
* The Sweetwater Apartments subordinated loan ($1.0 million,
0.1%); and
* The Dunes at Chesterfield senior interest loan ($388,971, 0.1%).
According to the trustee report, the transaction is passing all
interest coverage tests but failing all four overcollateralization
coverage tests.
Standard & Poor's analyzed the transaction and its underlying
collateral assets in accordance with its current criteria. S&P's
analysis is consistent with the lowered and affirmed ratings.
Ratings Lowered And Remaining On Creditwatch Negative
CWCapital Cobalt II Ltd.
Collateralized debt obligations
Rating
------
Class To From
----- -- ----
A-1A AA+/Watch Neg AAA/Watch Neg
A-1AR AA+/Watch Neg AAA/Watch Neg
A-1B A+/Watch Neg AAA/Watch Neg
A-2B A+/Watch Neg AAA/Watch Neg
B A-/Watch Neg AA/Watch Neg
C BBB+/Watch Neg A+/Watch Neg
D BBB/Watch Neg A/Watch Neg
E BBB-/Watch Neg A-/Watch Neg
F BB+/Watch Neg BBB+/Watch Neg
G BB+/Watch Neg BBB/Watch Neg
H BB/Watch Neg BBB-/Watch Neg
J BB-/Watch Neg BB+/Watch Neg
K B+/Watch Neg BB/Watch Neg
Rating Remaining On Creditwatch Negative
CWCapital Cobalt II Ltd.
Collateralized debt obligations
Class Rating
----- ------
A-2A AAA/Watch Neg
DRYDEN XVIII: Moody's Reviews 'C' Rating on Class B Notes
---------------------------------------------------------
Moody's Investors Service announced that it has placed the rating
of these notes issued by Dryden XVIII Leveraged Loan 2007 Limited
under review for possible upgrade:
-- US$14,000,000 Class B Secured Deferrable Floating Rate
Notes due 2019, C Placed Under Review for Upgrade; previously
on August 7, 2009 Downgraded to C.
According to Moody's, the rating action taken on the 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 on August 7, 2009. 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 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 15, 2010, the weighted
average rating factor is 2376 compared to 2628 in June 2009, and
securities rated Caa1 or lower make up approximately 6.3% of the
underlying portfolio versus 12% in June 2009. Additionally, the
dollar amount of defaulted securities has decreased to about $13MM
from approximately $30MM in June 2009. Due to the impact of
revised and updated key assumptions referenced in the latest
Moody's CLO methodology, key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, diversity
score, and weighted average recovery rate, may be different from
the trustee's reported numbers.
The overcollateralization ratio has increased since the last
rating action in August 2009. The Class B overcollateralization
ratio is reported at 104%, versus the June 2009 level of 99.6%,
and the overcollateralization test is currently in compliance.
Moody's notes that the Class B notes are no longer deferring
interest and all deferred interest has been repaid.
Dryden XVIII Leveraged Loan 2007 Limited, issued in October 2007,
is a collateralized loan obligation backed primarily by a
portfolio of senior secured loans. On August 7, 2009, Moody's
downgraded the Class B notes 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.
EASTMAN HILL: Fitch Retains Evolving Watch on Rated Classes
-----------------------------------------------------------
Fitch Ratings has reviewed Eastman Hill Funding I Ltd./Inc. The
litigation which led Fitch to place certain classes of notes of
Eastman Hill on Rating Watch Evolving is still ongoing and any
interim court decisions, in Fitch's opinion, have not removed the
uncertainty of timely payments of interest due to these classes.
Accordingly, Fitch maintains the Rating Watch Evolving for classes
rated to timely receipt of interest.
The nature of the dispute which caused the court to order in
December 2008 that interest and principal be held in escrow
accounts until court ordered disbursement is described in Fitch's
press release dated March 5, 2009. In October 2009, the court
ordered a portion of the funds held in escrow for the Jan. 7,
2009, March 30, 2009, June 30, 2009, and Sept. 30, 2009 payments
be disbursed to the noteholders. The remaining portion of the
collection proceeds continued to be held in escrow. Further, the
court did not order that any funds be held in escrow for the
Jan. 4, 2010 and March 30, 2010 payments, and all funds collected
for these two payments were distributed in their entirety under
the transaction's regular priority of payments.
Although the overall performance of the pro-rata classes A1-FL and
A1-FX (together class A1) since last review has been positive,
with the notes having delevered 37.9% since March 2009, Fitch
rates this class to a timely receipt of interest.
As of the date of this press release, the litigation is still in a
discovery stage and therefore the uncertainty regarding future
timely distributions of interest to classes A1 and A-2 remain.
Based on Fitch's review of the portfolio and results of Structured
Finance Portfolio Credit Model, the credit quality of the
portfolio has remained stable. For the purpose of this review,
Fitch has not conducted its cash flow model analysis as described
in 'Global Criteria for Cash Flow Analysis in CDOs - Amended'.
Further, no Loss Severity Ratings are assigned to classes A1 and
A-2 at this time.
Fitch expects to conduct a full-scope review when the dispute is
definitively resolved by the court.
Eastman Hill is a cash flow collateralized debt obligation which
closed on July 2, 2001. The portfolio is monitored by TCW Asset
Management Company. The reinvestment period ended in June 2006.
The portfolio is composed of corporate bonds (62.1%), residential
mortgage-backed securities (37.6%), and real estate investment
trusts (0.3%).
The rating of the class A-2 notes addresses the likelihood that
investors will receive full and timely payments of interest on
scheduled interest payment dates. This rating does not address
any distribution of principal.
Fitch has these ratings:
-- $119,912,527 class A1-FL Notes remain at 'B'; Rating Watch
Evolving;
-- $2,342,042 class A1-FX Notes remain at 'B'; Rating Watch
Evolving;
-- $122,254,569 class A-2 Notes remain at 'B'; Rating Watch
Evolving;
Fitch has affirmed these ratings:
-- $10,000,000 class A-3 notes affirmed at 'CCC';
-- $35,633,104 class B-1 notes affirmed at 'CC';
-- $25,000,000 combination notes affirmed at 'C'.
Additionally, the Recovery Ratings have been removed from the
classes A1, A-2, A-3, and class B-1 notes. Fitch currently does
not assign Recovery Ratings to notes issued by structured finance
CDOs.
FIRST HORIZON: Moody's Downgrades Ratings on Nine Tranches
----------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 9 tranches
from First Horizon Alternative Mortgage Securities Trust 2006-AA4.
The collateral backing these transactions consists primarily of
first-lien, adjustable-rate, Alt-A residential mortgage loans.
The actions are a result of the rapidly deteriorating performance
of Alt-A pools in conjunction with macroeconomic conditions that
remain under duress. The actions reflect Moody's updated loss
expectations on Alt-A pools issued from 2005 to 2007.
To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R)), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the
different pools and the structural features of the transaction
including priorities of payment distribution among the different
tranches, average life of the tranches, current balances of the
tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
The above mentioned approach "Alt-A RMBS Loss Projection Update:
February 2010" is adjusted slightly when estimating losses on
pools left with a small number of loans. To project losses on
pools with fewer than 100 loans, Moody's first estimates a
"baseline" average rate of new delinquencies for the pool that is
dependent on the vintage of loan origination (10%, 19% and 21% for
the 2005, 2006 and 2007 vintage respectively). This baseline rate
is higher than the average rate of new delinquencies for the
vintage to account for the volatile nature of small pools. Even
if a few loans in a small pool become delinquent, there could be a
large increase in the overall pool delinquency level due to the
concentration risk.
Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool.
The fewer the number of loans remaining in the pool, the higher
the volatility and hence the stress applied. Once the loan count
in a pool falls below 75, the rate of delinquency is increased by
1% for every loan less than 75. For example, for a pool with 74
loans from the 2005 vintage, the adjusted rate of new delinquency
would be 10.10%.
If current delinquency levels in a small pool is low, future
delinquencies are expected to reflect this trend. To account for
that, the rate calculated above is multiplied by a factor ranging
from 0.2 to 2.0 for current delinquencies ranging from less than
2.5% to greater than 50% respectively. Delinquencies for
subsequent years and ultimate expected losses are projected using
the approach described in the methodology publication.
Complete rating actions are:
Issuer: First Horizon Alternative Mortgage Securities Trust 2006-
AA4
-- Cl. I-A-1, Downgraded to Ca; previously on Jan 14, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. I-A-2, Downgraded to Ca; previously on Jan 14, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. II-A-1, Downgraded to Ca; previously on Jan 14, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. 2AB3, Downgraded to C; previously on Jan 14, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. 2IO3, Downgraded to Ca; previously on Jan 14, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. III-A-1, Downgraded to Ca; previously on Jan 14, 2010
Caa2 Placed Under Review for Possible Downgrade
-- Cl. IV-A-1, Downgraded to Caa3; previously on Jan 14, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. IV-A-2, Downgraded to C; previously on Jan 14, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. IV-AIO, Downgraded to Caa3; previously on Jan 14, 2010 B3
Placed Under Review for Possible Downgrade
FIRST NLC: Moody's Downgrades Ratings on 27 Tranches
----------------------------------------------------
Moody's Investors Service has downgraded the ratings of 27
tranches and confirmed the rating of one tranche from five RMBS
transactions issued by First NLC. The collateral backing these
transactions consists primarily of first-lien, fixed and
adjustable-rate, subprime residential mortgages.
The actions are a result of the continued performance
deterioration in Subprime pools in conjunction with home price and
unemployment conditions that remain under duress. The actions
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2007.
To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the
different pools and the structural features of the transaction
including priorities of payment distribution among the different
tranches, average life of the tranches, current balances of the
tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
Complete rating actions are:
Issuer: First NLC Trust 2005-1
-- Cl. A, Downgraded to Caa3; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ca; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. M-7, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. M-8, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. M-9, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. M-10, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: First NLC Trust 2005-2
-- Cl. AV-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. AV-3, Downgraded to Aa2; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to B1; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ca; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: First NLC Trust 2005-3
-- Cl. AV-4, Downgraded to Aa1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Caa1; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
Issuer: First NLC Trust 2005-4
-- Cl. A-3, Downgraded to B2; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Ca; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: First NLC Trust Mortgage-Backed Certificates, Series 2007-
1
-- Cl. A-1, Downgraded to Caa2; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Ca; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Ca; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
FRONTIER LEASING: Moody's Downgrades Ratings on Six Classes
-----------------------------------------------------------
Moody's Investors Service downgraded six classes of notes in three
securitizations issued by Frontier Leasing Corporation. The
securitized pools consist of equipment loans, primarily backed by
coin laundry and car wash equipment. Frontier Leasing Corporation
is the servicer for the Frontier Equipment Receivables Trust 2002-
1 and Frontier Equipment Receivables Trust 2004-1 deals.
LeaseDimensions, Inc, is the successor servicer for Frontier
Funding Company V, LLC. LeaseDimensions, Inc, began servicing
this deal in May 2009.
The rating actions related to Frontier Equipment Receivables Trust
2002-1 were prompted by the concern that the balloon payments will
not be received before the final legal maturity date of May 20,
2010. As of the February 2010 payment date, there were six
contracts remaining in the pool. Four of these contracts have
balloon payments due in the beginning of April and May. Two
contracts with balloon payments, comprising approximately 34% of
the current pool balance, were 1-30 days past due. Subordination
of the Class B notes is the only available form of credit
enhancement.
The rating actions related to the Frontier Equipment Receivables
Trust 2004-1 deal were prompted by the fact that the notes are
currently undercollateralized. As of the February 2010 payment
date, only 22 contracts remained in the pool, which contributes to
the obligor concentration risk. Five contracts, comprising
approximately 16% of the current pool balance, were 30 days or
more past due. Because there is no cash left in the reserve
account, and both Class B and C notes have been written down, the
Class A will absorb any future collateral losses.
The rating actions related to Frontier Funding Company V were
prompted by higher than expected delinquencies and defaults. As
of the February 2010 payment date, approximately 14% of the pool
has defaulted and approximately 12% of the pool balance was 60
days or more past due. Subordination to the Class A is the only
available form of credit enhancement. The Class A note is wrapped
by CIFG Assurance N.A.
The complete rating actions are:
Issuer: Frontier Equipment Receivables Trust 2002-1
* Pool Current Expected Cumulative Net Losses: 4.6% (as a
percent of original balance)
-- Class A, Downgraded to Caa2; previously on May 4, 2009
Downgraded to Ba3 from Baa2
-- Class B, Downgraded to C; previously on Dec 11, 2008
Downgraded to Caa2 from Ba3
Issuer: Frontier Equipment Receivables Trust 2004-1
* Pool Current Expected Cumulative Net Losses: 7.1% (as a
percent of original balance)
-- Cl. A, Downgraded to Caa2; previously on May 4, 2009
Downgraded to B2 from Ba1
-- Cl. B, Downgraded to C; previously on Dec 11, 2008 Downgraded
to Ca from Caa2
Issuer: Frontier Funding Company V, LLC
* Pool Current Expected Cumulative Net Losses: 15.3% (as a
percent of original balance)
-- Cl. A, Underlying Rating: Downgraded to B2; previously on Dec
11, 2008 Downgraded to Ba1 from Baa2
-- Cl. B, Downgraded to C; previously on Dec 11, 2008 Downgraded
to Ca from B3
GALAXY III: 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 Galaxy III CLO, Ltd., under review for
possible upgrade:
-- US$40,833,000 Class B Floating Rate Notes Due 2016, Aa3
Placed Under Review for Possible Upgrade; previously on
May 28, 2009 Downgraded to Aa3;
-- US$21,000,000 Class C Floating Rate Notes Due 2016, A3 Placed
Under Review for Possible Upgrade; previously on May 28, 2009
Downgraded to A3;
-- US$18,000,000 Class D Deferrable Floating Rate Notes due
2016, Ba3 Placed Under Review for Possible Upgrade;
previously on May 28, 2009 Confirmed at Ba3.
According to Moody's, the rating actions taken on the notes result
primarily from improvement in the credit quality of the underlying
portfolio and an increase in the overcollateralization of the
notes since the last rating actions on May 28, 2009. 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 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 10, 2010, the weighted
average rating factor is 2573 compared to 3007 in May 2009, and
securities rated Caa1 or lower make up approximately 6.9% of the
underlying portfolio versus 15% in May 2009. Additionally, the
dollar amount of defaulted securities has decreased to about
$9 million from approximately $19 million in May 2009. Due to the
impact of revised and updated key assumptions referenced in the
latest Moody's CLO methodology, key model inputs used by Moody's
in its analysis, such as par, weighted average rating factor,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
The overcollateralizaton ratios have increased since the last
rating action in May 2009. The Class C, Class D, and Class E
overcollateralization ratios are reported at 119%, 111.7%, and
102.5% respectively in March 2010, versus May 2009 levels of
113.1%, 106.1%, and 96.9% respectively, and all related
overcollateralization tests are currently in compliance.
Galaxy III CLO, Ltd., issued in August 2004, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans. On May 28, 2009, Moody's downgraded the ratings of the
Class B, Class C, Class E-1, Class E-2, and Class E-3 notes and
confirmed the rating of the Class D notes 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.
GMAC COMMERCIAL: S&P Downgrades Ratings on Five 2002-C3 Certs.
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
classes of mortgage pass-through certificates from GMAC Commercial
Mortgage Securities Inc.'s series 2002-C3 and removed them from
CreditWatch with negative implications. Concurrently, S&P
affirmed its ratings on 12 other classes from the same transaction
and removed seven of the affirmed ratings from CreditWatch with
negative implications.
The rating actions follow S&P's analysis of the transaction using
its U.S. conduit and fusion commercial mortgage-backed securities
criteria. When lowering its ratings, S&P considered credit
support erosion that S&P anticipates will affect several
subordinate classes upon the eventual resolution of four of the
five specially serviced assets, as well as potential losses
associated with two credit-impaired loans. S&P also considered
the reduction of subordinate interest on classes H, J, and K
should losses occur, as well as these classes' susceptibility to
future liquidity interruption. In the case of the junior classes,
some are experiencing interest shortfalls, such as the class O-1
and O-2 certificates. If the interest shortfalls continue for the
foreseeable future, S&P may lower its ratings on these two classes
to 'D'.
S&P's analysis included a review of the credit characteristics of
all of the loans in the pool. Using servicer-provided financial
information, S&P calculated an adjusted debt service coverage of
1.52x and a loan-to-value ratio of 75.5%. S&P further stressed
the loans' cash flows under S&P's 'AAA' scenario to yield a
weighted average DSC of 1.30x and an LTV ratio of 93.9%. The
implied defaults and loss severity under S&P's 'AAA' scenario were
23.0% and 31.3%, respectively. The DSC and LTV calculations S&P
noted above exclude 22 defeased loans ($190.0 million, 30.4%),
four specially serviced assets ($18.8 million, 3.0%), and two
credit-impaired loans ($20.4 million, 3.3%). S&P separately
estimated losses for these six specially serviced and credit-
impaired assets and included them in S&P's 'AAA' scenario implied
default and loss figures.
The affirmations of the ratings on the principal and interest
certificates reflect subordination levels that are consistent with
the outstanding ratings. S&P's analysis also considered that 41
($193.7 million, 30.9%) of the 71 performing loans secured by real
estate ($396.3 million, 63.4%) have maturities within the next 30
months.
S&P affirmed its rating on the class X-1 interest-only
certificates based on its current criteria. S&P published a
request for comment proposing changes to its IO criteria on
June 1, 2009. After S&P finalizes its criteria review, S&P may
revise its IO criteria, which may affect outstanding ratings,
including the rating on the IO certificates that S&P affirmed.
Credit Considerations
As of the March 10, 2010, trustee remittance report, four assets
($18.8 million, 3.0%) in the pool were with the special servicer,
Berkadia Commercial Mortgage LLC. Additionally, one loan
($5.2 million, 0.8%) was transferred to special servicing after
the March trustee remittance report was issued. The payment
status of the specially serviced assets is: one is real estate
owned (REO; $3.7 million, 0.6%), two are 90-plus-days delinquent
($11.8 million, 1.9%), one is in its grace period ($5.2 million,
0.8%), and one is a matured balloon ($3.3 million, 0.5%). Three
of the specially serviced assets ($15.5 million, 2.5%) have
appraisal reduction amounts in effect totaling $6.0 million. The
related monthly appraisal subordinate entitlement reduction amount
on the March 2010 remittance report for these ARAs was $30,012.
The Cherryland Center loan ($7.9 million, 1.3%) is the largest
asset with Berkadia and is secured by a 166,400-sq.-ft. anchored
retail center in Traverse City, Mich. The loan is 90-plus-days
delinquent and was transferred to the special servicer on Dec. 19,
2008, due to imminent default after the borrower indicated that it
would not be able to make its January 2009 debt service payment.
The property was 82.6% occupied as of December 2009 and had a
reported DSC of 1.02x for the year-ended Dec. 31, 2008. Berkadia
has stated that it is pursuing foreclosure. An ARA of
$3.5 million is in effect against the loan. S&P expects a
significant loss upon the eventual resolution of this asset.
The remaining four specially serviced assets ($16.2 million, 2.6%)
have balances that individually represent 0.8% or less of the
total pool balance. S&P estimated losses for three of these
assets ($11.0 million, 1.8%). The special servicer is currently
gathering information and reviewing resolution strategies for the
fourth loan ($5.2 million, 0.8%), which was recently transferred
to special servicing in early March 2010.
In addition to the specially serviced assets, S&P determined two
loans ($20.4 million, 3.3%) to be credit-impaired. The Broadmoor
Apartments loan ($11.2 million, 1.8%) is the 10th-largest real
estate exposure in the pool and is secured by a 384-unit
multifamily apartment complex in Tampa. The property was 87.5%
occupied as of November 2009. The reported DSC for the nine
months ended Sept. 30, 2009, was 0.96x. According to the master
servicer, also Berkadia, the property has deferred maintenance,
and the borrower is currently delinquent on its March 2010 debt
service payment. As a result, S&P view this loan to be at an
increased risk of default and loss.
The second credit-impaired loan is the Holiday Inn-Select (New
Orleans) loan, which has a balance of $9.2 million (1.5%).
According to Berkadia, the loan is current. The 170-room hotel
property was 26.0% occupied as of September 2009, and the borrower
reported that cash flow was not sufficient to cover all property
operating expenses. As a result, S&P view this loan to be at an
increased risk of default and loss.
S&P estimated losses for six ($39.3 million, 6.3%) of the seven
specially serviced and credit-impaired assets. The weighted
average loss severity for these six assets was 42.1%.
Transaction Summary
As of the March 10, 2010, trustee remittance report, the
collateral pool balance was $625.6 million, which is 80.5% of the
issuance balance. The pool includes 99 loans and one REO asset,
down from 108 loans at issuance. Berkadia provided financial
information for 95.3% of the nondefeased loans in the pool, the
majority of which was full-year 2008, interim-2009, or full-year
2009 data. S&P calculated a weighted average DSC of 1.50x for the
nondefeased loans in the pool based on the reported figures.
S&P's adjusted DSC and LTV were 1.52x and 75.5%, respectively,
which exclude the 22 defeased loans ($190.0 million, 30.4%), four
specially serviced assets ($18.8 million, 3.0%), and two credit-
impaired loans ($20.4 million, 3.3%). S&P has estimated losses
separately for the six specially serviced and credit-impaired
assets. If S&P's DSC calculation included these six specially
serviced and credit-impaired assets that have reported DSCs, S&P's
adjusted DSC would be 1.44x. The transaction has experienced
$11.3 million of principal losses to date. Twenty loans in the
pool ($126.5 million, 20.2%) are on the master servicer's
watchlist, including four of the top 10 real estate exposures.
Seventeen loans in the pool ($104.9 million, 16.8%) have reported
DSC below 1.10x, 11 of which ($74.4 million, 11.9%) have a
reported DSC of less than 1.0x.
Summary of Top 10 Real Estate Exposures
The top 10 real estate exposures have an aggregate outstanding
balance of $158.4 million (25.3%). Using servicer-reported
numbers, S&P calculated a weighted average DSC of 1.45x for the
top 10 exposures. Four of the top 10 exposures ($48.5 million,
7.8%) appear on the master servicer's watchlist, including the
Broadmoor Apartments loan discussed above. S&P discusses the
three remaining top 10 real exposures on the master servicer's
watchlist below. S&P's adjusted DSC and LTV for the top 10
exposures are 1.35x and 81.4%, respectively.
The Sea Aire Apartments loan ($13.1 million, 2.1%) is the fifth-
largest nondefeased loan in the pool and is secured by a 336-unit
multifamily apartment complex in Somers Point, N.J. The loan
appears on Berkadia's watchlist due to a low DSC. The reported
occupancy and DSC for year-end 2009 were 84.2% and 0.82x,
respectively. The borrower indicated that the low DSC is mainly
attributable to low occupancy and higher operating expenses, but
expects revenue to increase during the upcoming spring and summer
months.
The Parkway Manor Apartments loan ($12.6 million, 2.0%) is the
seventh-largest nondefeased loan in the pool and is secured by a
176-unit multifamily apartment complex in Carson City, Nev. The
loan is on Berkadia's watchlist due to a low DSC. The occupancy
and DSC for the three months ended March 31, 2009, were 84.0% and
1.08x, respectively. The low DSC is attributable to a decline in
occupancy. Berkadia indicated that occupancy had increased to
93.0% as of February 2010.
The Riverside Business Park loan ($11.6 million, 1.9%) is the
ninth-largest nondefeased loan in the pool and is secured by a
487,300-sq.-ft. industrial property in Riverside, Calif. The loan
is on Berkadia's watchlist due to low occupancy. The property was
66.3% occupied as of December 2009, and the reported DSC for the
nine months ended Sept. 30, 2009, was 1.88x.
Standard & Poor's stressed the assets in the pool according to its
U.S. conduit/fusion criteria. The resultant credit enhancement
levels are consistent with its lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
GMAC Commercial Mortgage Securities Inc.
Mortgage pass-through certificates series 2002-C3
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
H BBB+ A-/Watch Neg 8.29
J BB+ BBB/Watch Neg 5.34
K B+ BB+/Watch Neg 3.94
L CCC+ B+/Watch Neg 3.01
M CCC- CCC+/Watch Neg 2.23
Ratings Affirmed And Removed From Creditwatch Negative
GMAC Commercial Mortgage Securities Inc.
Mortgage pass-through certificates series 2002-C3
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
D AA+ AA+/Watch Neg 14.81
E AA AA/Watch Neg 12.95
F AA- AA-/Watch Neg 11.40
G A A/Watch Neg 9.84
N CCC- CCC-/Watch Neg 1.61
O-1 CCC- CCC-/Watch Neg 1.18
O-2 CCC- CCC-/Watch Neg 0.99
Ratings Affirmed
GMAC Commercial Mortgage Securities Inc.
Mortgage pass-through certificates series 2002-C3
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 24.29
A-2 AAA 24.29
B AAA 19.63
C AAA 17.77
X-1 AAA N/A
N/A - Not applicable.
GREEN TREE: Fitch Takes Rating Actions on Various Note Classes
--------------------------------------------------------------
Fitch Ratings has affirmed 16 and downgraded four classes in seven
Green Tree U.S. Residential Mortgage Backed Securities
transactions. The reviewed transactions were issued between 1996
and 1998. The rating actions are listed below.
Green Tree Financial Corp. (HEL & HIL), series 1996-C
-- Class HEB1 affirmed at 'AA-'and assigned a Loss Severity
rating of 'LS3';
-- Class HEB2 remains at 'C' and the Recovery Rating is revised
from 'DR6' to 'RR2';
-- Class HIB2 affirmed at 'CCC/RR1'.
Green Tree Financial Corp. (HEL & HIL), series 1996-D
-- Class HEB1 Affirmed at 'A+' and assigned a Loss Severity
rating of 'LS3';
-- Class HEB2 Downgraded to 'CC/RR2' from 'CCC/DR1';
-- Class HIB2 Downgraded to 'CC/RR1' from 'CCC/DR1'.
Green Tree Financial Corp. (HEL & HIL), series 1996-F
-- Class HEB1 affirmed at 'AA' and assigned a Loss Severity
rating of 'LS4';
-- Class HEB2 downgraded to 'C/RR1' from 'CCC/DR1';
-- Class HIB2 remains at 'CCC' and the Recovery Rating is
revised from 'DR2' to 'RR1'.
Green Tree Financial Corp. (HEL & HIL), series 1997-C
-- Class HEB1 affirmed at 'AA-'and assigned a Loss Severity
rating of 'LS4';
-- Class HEB2 Remains at 'C' and the Recovery Rating is revised
from 'DR6' to 'RR2';
-- Class HIB2 Affirmed at 'CCC/RR1'.
Green Tree Financial Corp. (HEL & HIL), series 1997-D
-- Class HEB1 affirmed at 'A+' and assigned a Loss Severity
rating of 'LS3';
-- Class HEB2 Downgraded to 'C/RR2' from 'CCC/DR1';
-- Class HIB2 Remains at 'C' and the Recovery Rating is revised
from 'DR6' to 'RR2'.
Green Tree Financial Corp. (HEL & HIL), series 1997-E
-- Class HEB1 affirmed at 'A' and assigned a Loss Severity
rating of 'LS3';
-- Class HEB2 remains at 'C' and the Recovery Rating is revised
from 'DR6' to 'RR2';
-- Class HIB2 affirmed at 'CCC/RR1'.
Green Tree Financial Corp. (HEL & HIL), series 1998-B
-- Class HEB2 remains at 'C' and the Recovery Rating is revised
from 'DR6' to 'RR2';
-- Class HIB2 affirmed at 'CCC/RR1'.
The bonds are primarily collateralized with closed-end first and
second lien home-equity and home-improvement mortgage loans.
To project future defaults, Fitch used the net loss rate average
over the past 12 months adjusted higher or lower for differences
in each pool's current 60+ day delinquencies. Loss severities on
defaulted loans were assumed to be 100%. The average expected
loss for the pools reviewed was 22% as a percentage of the
remaining pool balance and 7% as a percentage of the initial pool
balance.
After determining each pool's projected base-case and stressed
scenario loss assumptions, Fitch analyzes each transaction's
credit support, excess spread and payment priority using cash flow
projections in affirming or revising ratings.
On average, the pools reviewed have an outstanding remaining
balance of approximately 2% of the original balance. Due to the
performance volatility associated with small mortgage pools, bonds
that exceeded their current rating stressed thresholds were
affirmed.
In addition to the long-term ratings Fitch also provides Loss
Severity and Recovery Ratings. Loss Severity ratings are assigned
to classes with long-term ratings of 'B' or higher while Recovery
Ratings are assigned to classes with long-term ratings below 'B'.
Additional information is available on Fitch's website in the
reports 'Criteria for Structured Finance Loss Severity Ratings'
and 'Criteria for Structured Finance Recovery Ratings'.
Fitch will continue to closely monitor these transactions.
GREYWOLF CLO: Moody's Reviews Ratings on Five Classes of Notes
--------------------------------------------------------------
Moody's Investors Service announced that it has placed the ratings
of these notes issued by Greywolf CLO, Ltd., under review for
possible upgrade:
-- US$365,000,000 Class A Floating Rate Notes Due 2021 (current
balance of $358,368,543), A3 Placed Under Review for Possible
Upgrade; previously on June 9, 2009 Downgraded to A3;
-- US$22,500,000 Class B Floating Rate Notes Due 2021, Baa3
Placed Under Review for Possible Upgrade; previously on
June 9, 2009 Downgraded to Baa3;
-- US$25,000,000 Class C Deferrable Floating Rate Notes Due
2021, Ba3 Placed Under Review for Possible Upgrade;
previously on June 9, 2009 Downgraded to Ba3;
-- US$30,000,000 Class D Deferrable Floating Rate Notes Due
2021, Caa3 Placed Under Review for Possible Upgrade;
previously on June 9, 2009 Downgraded to Caa3;
-- US$17,500,000 Class E Deferrable Floating Rate Notes Due 2021
(current balance of $14,253,157), C Placed Under Review for
Possible Upgrade; previously on June 9, 2009 Downgraded to C.
According to Moody's, the rating action taken on the notes results
primarily from improvement in the credit quality of the underlying
portfolio and a significant increase in the overcollateralization
of the notes since the last rating action in June 2009. In
Moody's view, these positive developments coincide with
reinvestment of sale proceeds (including higher than previously
anticipated recoveries realized on defaulted securities) 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
latest trustee report dated February 8, 2010, defaulted securities
total about $19.4MM of the underlying portfolio, compared to
$32.4MM in the May 2009 report. Additionally, the weighted
average rating factor is currently 2836 compared to 3146 in May
2009 and securities rated Caa1 or lower make up approximately 7.5%
of the underlying portfolio versus 10.2% in May 2009.
Additionally, the overcollateralization ratios of the rated notes
have increased significantly since the last rating actions in June
2009. The Class A/B, Class C, Class D and Class E
overcollateralization ratios are reported at 122.18%, 114.66%,
106.77% and 103.38%, respectively, versus May 2009 levels of
113.65%, 106.77%, 99.53% and 95.74%, respectively, and are all
currently in compliance. In particular, the Class E notes have
been paid down by approximately $3.2 million due to the diversion
of excess interest related to the failure of the Class E
overcollateralization test. Moody's also notes that the Class D
and Class E notes are no longer deferring interest.
Greywolf CLO I, Ltd., issued in January 2007, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans. On June 9, 2009, Moody's downgraded the Class A, B, C, D
and E notes 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.
HESPERIA REDEVELOPMENT: S&P Raises 2005A Bond Rating From 'BB'
--------------------------------------------------------------
Standard & Poor's Ratings Services corrected and raised to 'BBB-'
from 'BB' its long-term rating and underlying rating on Hesperia
Redevelopment Agency, California's tax allocation bonds series
2005A. The outlook remains stable.
The bonds are guaranteed by a bond insurance policy from Syncora
Guarantee Inc. (not rated). According to S&P's criteria, the
rating on a fully credit-enhanced bond issuance is the higher of
the rating on the credit enhancer and the SPUR on the bonds.
On March 15, 2010, due to an error, S&P lowered the long-term
rating and SPUR on the series 2005A bonds to 'BB' instead of
'BBB-' from 'BBB'.
HOMETOWN COMMERCIAL: Fitch Downgrades Ratings on Nine Classes
-------------------------------------------------------------
Fitch Ratings downgrades nine classes of Hometown Commercial
Trust, Series 2007-1:
-- $2.1 million class D to 'D/RR6' from 'C/RR6';
-- $0 class E to 'D/RR6' from 'C/RR6';
-- $0 class F to 'D/RR6' from 'C/RR6';
-- $0 class G to 'D/RR6' from 'C/RR6';
-- $0 class H to 'D/RR6' from 'C/RR6';
-- $0 class J to 'D/RR6' from 'C/RR6';
-- $0 class K to 'D/RR6' from 'C/RR6';
-- $0 class L to 'D/RR6' from 'C/RR6';
-- $0 class M to 'D/RR6' from 'C/RR6'.
Fitch also revises the Recovery Rating of this class:
-- $4.6 million class C to 'CCC/RR6' from 'CCC/RR5';
The downgrades are the result of realized losses to the trust
which have either caused the class to incur principal losses or
reduced the class balance to zero.
Fitch expects to resolve the Rating Watch status of classes A, B,
and X shortly with a prospective review of the remaining
collateral which may result in significant downgrades to the
remaining classes.
HSBC USA: Moody's Confirms Ratings on 48 Tranches From 10 RMBS
--------------------------------------------------------------
Moody's Investors Service has confirmed the ratings of 48 tranches
from 10 RMBS transactions issued by HSBC USA. Additionally,
Moody's downgraded the ratings of 13 tranches from 4 of these
transactions. The collateral backing these deals primarily
consists of first-lien, fixed-rate subprime residential mortgages.
The downgrades are a result of the continued performance
deterioration in Subprime pools in conjunction with home price and
unemployment conditions that remain under duress. The actions
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2007.
To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the
different pools and the structural features of the transaction
including priorities of payment distribution among the different
tranches, average life of the tranches, current balances of the
tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
Complete rating actions are:
Issuer: HSBC Home Equity Loan Trust (USA) 2006-1
-- Cl. A-1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
Issuer: HSBC Home Equity Loan Trust (USA) 2006-2
-- Cl. A-1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
Issuer: HSBC Home Equity Loan Trust (USA) 2006-3
-- Cl. A-2F, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3F, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-4, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2V, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3V, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to A1; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
Issuer: HSBC Home Equity Loan Trust (USA) 2006-4
-- Cl. A-2F, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3F, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-4, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2V, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3V, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to A2; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
Issuer: HSBC Home Equity Loan Trust (USA) 2007-1
-- Cl. A-S, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-M, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-1F, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-1V, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2F, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2V, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3F, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3V, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-4, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to A1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to A3; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
Issuer: HSBC Home Equity Loan Trust (USA) 2007-2
-- Cl. A-S, Downgraded to Aa1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-M, Downgraded to A2; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to A1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-1F, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-1V, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2F, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2V, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3F, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3V, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ba1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to B2; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
Issuer: HSBC Home Equity Loan Trust (USA) 2007-3
-- Cl. A-PT, Downgraded to Aa2; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Aa2; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Baa2; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ba1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
Issuer: HSBC Home Equity Loan Trust 2005-1
-- Cl. A, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
Issuer: HSBC Home Equity Loan Trust 2005-2
-- Cl. A-1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
Issuer: HSBC Home Equity Loan Trust 2005-3
-- Cl. A-1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Confirmed at Aa2; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
JEFFERSON COUNTY: S&P Affirms 'C' Rating on Various Revenue Bonds
-----------------------------------------------------------------
Standard & Poor's Ratings Services has affirmed its 'C' underlying
rating on Jefferson County, Ala.'s series 1997A, 1997D, 2001A,
2003-B-8, 2003 B-1-A through series 2003 B-1-E, and series 2003 C-
1 through 2003 C-10 sewer system revenue bonds. S&P has removed
the ratings from CreditWatch with negative implications, where
they had been placed Sept. 16, 2008. The outlook is negative.
Although the system depleted its cash reserves and a portion of
its surety reserves in late 2008, according to the trustee, there
have been no additional draws against its surety reserves. The
trustee estimates the system currently has $176 million remaining
in total combined surety reserves with Financial Guaranty
Insurance Co. (not rated), Syncora Guarantee Inc. (D/--/--), and
Financial Security Assurance Inc. (AAA/Negative/--), which can be
applied on a pro rata basis to any parity debt. Syncora's surety
reserve totals $137.4 million, or 77% of the total surety
reserves.
"Standard & Poor's believes that the volatility associated with
the system's auction rate warrants, increased interest rates in
conjunction with accelerated principal repayments under the
standby warrant purchase agreements, termination events of the
swap agreements, as well as the system's very high debt burden
have placed significant financial pressure on the county's sewer
system," said Standard & Poor's credit analyst James Breeding.
The county did raise sewer rates in 2009 as management suspended
the automatic rate increase mechanism. Interest payments on the
auction-rate sewer revenue obligations are due on a near-daily
basis throughout the month while interest on the variable-rate
demand warrants is due at the first of each month. Regularly
scheduled principal payments are due Feb. 1 of each year. In the
event the system fails to make a principal or interest payment on
the auction-rate bonds when due, S&P expects to lower the SPUR on
the bonds to 'D'.
On April 1, 2008, Standard & Poor's lowered its SPUR on Jefferson
County's variable-rate demand series 2003 B-2 through 2003 B-7
sewer revenue refunding warrants to 'D' from 'CCC' due to the
sewer system's failure to make a principal payment on the bank
warrants when due on April 1, 2008, in accordance with the terms
of the standby warrant purchase agreement.
The negative outlook reflects the potential for further rating
deterioration should debt service expenses continue to outpace
system revenues. Although numerous forbearance agreements are
currently in place and the county is currently making the required
payments on its fixed rate and auction rate warrants, in S&P's
view, continued high interest rates and mounting deferred payments
related to the accelerated variable rate warrants could increase
the already-significant pressure on the sewer system's financial
position.
JEFFERSON COUNTY: S&P Keeps 'B' Rating on Outstanding GO Warrants
-----------------------------------------------------------------
Standard & Poor's Ratings Services has affirmed the 'B' rating on
Jefferson County, Alabama's general obligation warrants
outstanding. In addition, S&P has affirmed the 'B-' rating on the
Jefferson County Public Building Authority's series 2006 lease-
revenue warrants. Revenues available for payment of debt service
on the GO warrants include ad valorem, sales, business license and
occupational taxes; however, none of these legally available
revenues is specifically pledged for payment of debt service.
"County officials have indicated that the lease payment related to
the PBA's bonds outstanding will be made on April 1, 2010, as
scheduled," said Standard & Poor's credit analyst James Breeding.
Standard & Poor's affirmed the 'B' rating on Birmingham-Jefferson
Civic Center Authority, Ala.'s special tax bonds series 2002-C and
2005-A special tax bonds.
Standard & Poor's also affirmed the 'BBB' ratings on Jefferson
County's limited obligation school warrants secured by sales tax
revenues.
In addition, Standard & Poor's affirmed the 'B' rating on
Jefferson County's series 2000 limited obligation school warrants
secured by lease payments from the Jefferson County Board of
Education to the county.
S&P has removed all the ratings from CreditWatch, where they were
placed March 6, 2008. The outlook is developing.
The outlook is developing, reflecting the potential for the rating
to move in either direction. Should the county not be able to
restructure its sewer warrants outstanding and it proceeds with a
bankruptcy filing, S&P could lower the rating. However, if the
county is able to negotiate a restructuring of its sewer debt
outstanding, resulting in relative stability and the avoidance of
a bankruptcy filing, then S&P could raise the ratings.
JP MORGAN: Moody's Reviews Ratings on 20 2007-LDP11 Certs.
----------------------------------------------------------
Moody's Investors Service placed 20 classes of J.P. Morgan Chase
Commercial Mortgage Securities Trust 2007-LDP11 Commercial
Mortgage Pass-Through Certificates, Series 2007-LDP11 on review
for possible downgrade due to higher expected losses for the pool
resulting from anticipated losses from loans in special servicing,
concerns about loans approaching maturity in an adverse
environment and increased credit quality dispersion. The rating
action is the result of Moody's on-going surveillance of
commercial mortgage backed securities transactions.
Moody's has included Classes A-4, A-SB and A-1A in the review
because these classes have the longest weighted average life among
the super senior Aaa classes with 30% initial credit support.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans the credit
enhancement cushion for the super senior classes is likely to be
eroded, creating a potential differential in expected loss between
those super senior classes benefiting first from paydowns and
those classes receiving paydowns last. Although Moody's believe
that it is unlikely that Classes A-4, A-SB and A-1A will actually
experience losses, the expected level of credit enhancement and
their priority in the cash flow waterfall may be insufficient for
the current ratings of these classes.
As of the March 15, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by less than 1% to
$5.37 billion from $5.41 billion at securitization. The
Certificates are collateralized by 265 mortgage loans ranging in
size from less than 1% to 5% of the pool, with the top ten loans
representing 33% of the pool.
Seventy-six loans, representing 34% 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.
Twenty-seven loans, representing 13% of the pool, are currently in
special servicing. The largest specially serviced loan is the
ChampionsGate Hotel Loan ($97.9 million -- 1.8% of the pool),
which is secured by a 730-room hotel located near Orlando,
Florida. This loan is currently 60+ days delinquent. The
remaining twenty-six specially serviced loans are secured by a mix
of multifamily, manufactured housing, office, retail, industrial
and hotel properties.
In addition to projecting losses for specially serviced loans,
Moody's will also be assuming a high default probability for
thirty-four loans, representing approximately 23% of the pool.
These loans mature within the next 36 months and have a Moody's
stressed debt service coverage ratio less than 1.0X, are currently
delinquent or have significantly declined in performance since
securitization.
Moody's review will focus on the performance of the overall pool
and potential losses from specially serviced loans.
Moody's rating action is:
-- Class A-4, $1,179,634,000, Aaa on review for possible
downgrade; previously assigned Aaa on 8/01/2007
-- Class A-SB, $123,791,000, Aaa on review for possible
downgrade; previously assigned Aaa on 8/01/2007
-- Class A-1A, $1,154,548,309, Aaa on review for possible
downgrade; previously assigned Aaa on 8/01/2007
-- Class A-M, $541,415,000, Aaa on review for possible
downgrade; previously assigned Aaa on 8/01/2007
-- Class A-J, $426,365,000, A2 on review for possible downgrade;
previously downgraded to A2 from Aaa on 2/10/2009
-- Class B, $33,839,000, Aa3 on review for possible downgrade;
previously downgraded to A3 from Aa1 on 2/10/2009
-- Class C, $81,212,000, Baa1 on review for possible downgrade;
previously downgraded to Baa1 from Aa2 on 2/10/2009
-- Class D, $54,141,000, Baa2 on review for possible downgrade;
previously downgraded to Baa2 from Aa3 on 2/10/2009
-- Class E, $27,071,000, Baa3 on review for possible downgrade;
previously downgraded to Baa3 from A1 on 2/10/2009
-- Class F, $47,374,000, Ba1 on review for possible downgrade;
previously downgraded to Ba1 from A2 on 2/10/2009
-- Class G, $54,142,000, Ba2 on review for possible downgrade;
previously downgraded to Ba2 from A3 on 2/10/2009
-- Class H, $67,676,000, Ba3 on review for possible downgrade;
previously downgraded to Ba3 from Baa1 on 2/10/2009
-- Class J, $47,374,000, B2 on review for possible downgrade;
previously downgraded to B2 from Baa2 on 2/10/2009
-- Class K, $74,445,000, B3 on review for possible downgrade;
previously downgraded to B3 from Baa3 on 2/10/2009
-- Class L, $20,303,000, Caa1 on review for possible downgrade;
previously downgraded to Caa1 from Ba1 on 2/10/2009
-- Class M, $13,535,000, Caa1 on review for possible downgrade;
previously downgraded to Caa1 from Ba2 on 2/10/2009
-- Class N, $20,304,000, Caa2 on review for possible downgrade;
previously downgraded to Caa2 from Ba3 on 2/10/2009
-- Class P, $6,767,000, Caa2 on review for possible downgrade;
previously downgraded to Caa2 from B1 on 2/10/2009
-- Class Q, $13,536,000, Caa3 on review for possible downgrade;
previously downgraded to Caa3 from B2 on 2/10/2009
-- Class T, $20,303,000, Caa3 on review for possible downgrade;
previously downgraded to Caa3 from B3 on 2/10/2009
LAGUNA ABS: Moody's Downgrades Ratings on Four Classes of Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of four classes of notes issued by Laguna ABS CDO, Ltd.
The notes affected by the rating action are:
-- Class A1SB-1 Notes, Downgraded to Ca; previously on 3/6/09
Downgraded to B3
-- Class A1SB-2 Notes, Downgraded to Ca; previously on 3/6/09
Downgraded to B3
-- Class A1ST Notes, Downgraded to Ca; previously on 3/6/09
Downgraded to B3
-- Class A1J Senior Secured Floating Rate Notes, Downgraded to
C; previously on 3/6/09 Downgraded to Ca
Laguna ABS CDO, Ltd., is a collateralized debt obligation issuance
backed by a portfolio of primarily Residential Mortgage-Backed
Securities originated between 2002 and 2006, with the majority
originated in 2004.
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 712 in February 2009 to 2693 in February 2010. During the
same time, defaulted securities increased from $118 million to
$207 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
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 2004-C6 Certs.
---------------------------------------------------------------
Fitch Ratings downgrades, revises Rating Outlooks and assigns Loss
Severity ratings to LB-UBS Commercial Mortgage Trust commercial
mortgage pass-through certificates, series 2004-C6, as indicated:
-- $16.8 million class K to 'B/LS4' from 'BB-'; Outlook to
Negative from Stable;
-- $1.7 million class L to 'B/LS5' from 'B+'; Outlook Negative.
In addition, Fitch affirms these classes and revises Outlooks and
assigns LS ratings as indicated:
-- $87.6 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- $38.5 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $109 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $60 million class A-4 at 'AAA/LS1'; Outlook Stable;
-- $54 million class A-5 at 'AAA/LS1'; Outlook Stable;
-- $470.1 million class A-6 at 'AAA/LS1'; Outlook Stable;
-- Interest-only class X-CL at 'AAA'; Outlook Stable;
-- Interest-only class X-CP at 'AAA'; Outlook Stable;
-- $13.5 million class B at 'AA+/LS5'; Outlook Stable;
-- $23.6 million class C at 'AA/LS4'; Outlook Stable;
-- $15.1 million class D at 'AA-/LS4'; Outlook Stable;
-- $13.5 million class E at 'A+/LS5'; Outlook Stable;
-- $15.1 million class F at 'A/LS4'; Outlook Stable;
-- $11.8 million class G at 'BBB+/LS5'; Outlook to Negative from
Stable;
-- $11.8 million class H at 'BBB-/LS5'; Outlook to Negative from
Stable;
-- $8.4 million class J at 'BB/LS5'; Outlook to Negative from
Stable;
-- $6.7 million class M at 'B-/LS5'; Outlook Negative.
The $5 million class N remains at 'CCC/RR1'.
Fitch does not rate classes P, Q, S and T. Class A-1 has paid in
full.
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% of the remaining pool
balance, approximately $20.2 million, from the loans in special
servicing and loans that cannot refinance at maturity based on
Fitch's refinance test. These losses are expected to be absorbed
by the non-rated classes.
As of the March 2010 distribution date, the pool's collateral
balance has paid down 26.9% to $983.8 million from $1.34 billion
at issuance. Five of the remaining loans have defeased (10.2%).
As of March 2010, there are 15 specially serviced loans (12.3%).
The largest specially serviced loan (3.7%) is secured by a 471,034
square foot office building located in Atlanta, GA. The loan
transferred to special servicing in November 2009 for imminent
default.
The second largest specially serviced loan (2.7%) is a performing
matured loan and is secured by a 203,007 sf retail property
located in Harrisonburg, VA. The loan transferred to special
servicing in December 2008 for imminent default. The loan was
scheduled to mature in June 2009; however, the borrower was not
able to refinance the loan.
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
10.5% 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. Thirty-one loans did not payoff at maturity with
three loans incurring a loss when compared to Fitch's stressed
value.
LB-UBS COMMERCIAL: S&P Affirms Ratings on 21 2003-C7 CMBS
---------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on 21
classes of commercial mortgage-backed securities from LB-UBS
Commercial Mortgage Trust 2003-C7 and removed 14 of them from
CreditWatch with negative implications.
The affirmations follow S&P's analysis of the transaction using
its U.S. conduit and fusion CMBS criteria. S&P's analysis
included a review of the credit characteristics of all of the
assets in the pool. Using servicer-provided financial
information, S&P calculated an adjusted debt service coverage of
2.09x and a loan-to-value ratio of 74.6%. S&P further stressed
the loans' cash flows under its 'AAA' scenario to yield a weighted
average DSC of 1.45x and an LTV of 96.9%. The implied defaults
and loss severity under the 'AAA' scenario were 46.4% and 18.5%,
respectively. These calculations exclude 11 defeased loans
($136.6 million, 14.4%).
The affirmations of the ratings on the principal and interest
classes reflect subordination levels that are consistent with the
outstanding ratings. The analysis considered the number of
nondefeased loans that have imminent final maturities in 2010
(five loans, $153.6 million, 16.2%). S&P affirmed its ratings on
the class X-CL and X-CP 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 that S&P affirmed.
Specially Serviced Loans
As of the March 2010 remittance report, three assets
($233.4 million, 24.6%) in the pool were with the special
servicer, ING Clarion Capital Loan Servicing LLC. The special
servicer has since returned two ($133.4 million, 14.0%) of these
assets to the master servicer. S&P discuss all three assets
below.
The Parklawn Building loan ($100.4 million total exposure, 10.6%)
is the second-largest loan in the pool and the only loan currently
with the special servicer. The loan is secured by a 1,375,229-
sq.-ft. office property in Rockville, Md. The loan was
transferred to the special servicer on Feb. 5, 2010, due to
imminent maturity default. The U.S. Federal Government, the
General Services Administration tenant that occupied 98% of the
property, had a lease scheduled to expire this coming July.
According to the special servicer, the tenant has recently
extended its lease for an additional five years. The new lease
downsized the GSA's occupancy to 62% of total net rentable area
(NRA), but its total rent amount has increased. As of September
2009, the reported DSC was 2.09x, down from 2.51x at issuance.
Standard & Poor's projected DSC is higher than 2.09x based on the
increase in the GSA's total rent amount. The special servicer has
indicated that it is evaluating resolution strategies.
The formerly second- and third-largest loans with the special
servicer ($133.4 million, 14.0%) are top 10 loans, which have
General Growth Properties as the borrowing entity. These loans
were transferred to the special servicer in April 2009 following
GGP's bankruptcy filing on April 16, 2009. On Dec. 31, 2009, the
special servicer and the borrower completed a reorganization and
modification plan. According to ING, both loans were recently
returned to the master servicer. Details of the two loans are:
The Valley Plaza Shopping Center loan, which has a total exposure
of $93.6 million (9.9%), is the third-largest loan in the pool.
The loan is secured by a 1,154,768-sq.-ft. super-regional mall in
Bakersfield, Calif. ING has confirmed that the loan no longer has
an anticipated repayment date of July 11, 2012, and that the final
maturity date of the loan is now Jan. 11, 2016. DSC was 2.80x,
2.77x, and 2.15x as of September 2009, December 2007, and
issuance, respectively. Occupancy was 98.3%, 87.4%, and 96.0%, as
of the same periods, respectively.
The Visalia Mall loan, which has a total exposure of $40.5 million
(4.3%), is the sixth-largest loan in the pool. The property is a
439,833-sq.-ft. regional mall in Visalia, Calif. ING has
confirmed that the loan no longer has an ARD (which was Jan. 11,
2010), and that the final maturity date of the loan is now Jan.
11, 2014. DSC was 2.20x, 2.51x, and 2.05x as of September 2009,
December 2007, and issuance, respectively. Occupancy was 95.7%,
97.9%, and 98.0%, as of the same periods, respectively.
Transaction Summary
As of the March 2010 remittance report, the collateral pool had an
aggregate trust balance of $950.6 million, down from $1.46 billion
at issuance. The pool includes 47 assets, down from 68 at
issuance. The master servicer, Wachovia Bank N.A., provided full-
year 2008, interim 2009, or full-year 2009 financial information
for 99.4% of the nondefeased assets in the pool. S&P calculated a
weighted average DSC of 2.19x for the pool based on the reported
figures. S&P's adjusted DSC and LTV were 2.09x and 74.6%,
respectively. The master servicer reported a watchlist of six
loans ($64.0 million, 6.7%), including one of the top 10 loan
exposures, which S&P discuss below. Two assets ($18.4 million,
1.9%) in the pool have a reported DSC of less than 1.00x.
Summary of Top 10 Loans
The top 10 loan exposures have an aggregate outstanding trust
balance of $682.2 million (71.8%). Using servicer-reported
numbers, S&P calculated a weighted average DSC of 2.33x for the
top 10 loans. S&P's adjusted DSC and LTV for the top 10 loans are
2.21x and 72.2%, respectively. The Shops at Gainey Village loan,
which is the seventh-largest loan in the pool, is the only top 10
loan exposure on the master servicer's watchlist. The loan has a
trust balance of $36.4 million (3.8%) and is secured by a 138,342-
sq.-ft. retail property in Scottsdale, Ariz. The asset appears on
the watchlist due to low DSC. According to the March 2010
watchlist report comments, the main reason for the decline in
performance was the fall in base rents as the borrower tried to
retain tenants. Reported DSC and occupancy were 0.92x and 86.0%,
respectively, as of September 2009. These compare with September
2008 DSC and occupancy figures of 1.44x and 85.8%, respectively.
Standard & Poor's stressed the assets in the pool according to its
U.S. conduit/fusion criteria. The resultant credit enhancement
levels are consistent with the affirmed ratings.
Ratings Affirmed And Removed From Creditwatch Negative
LB-UBS Commercial Mortgage Trust 2003-C7
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
C AAA AAA/Watch Neg 18.51
D AAA AAA/Watch Neg 16.79
E AA+ AA+/Watch Neg 15.06
F AA AA/Watch Neg 13.72
G AA- AA-/Watch Neg 11.23
H A A/Watch Neg 8.94
J BBB+ BBB+/Watch Neg 7.40
K BBB BBB/Watch Neg 5.87
L BB+ BB+/Watch Neg 4.53
M BB BB/Watch Neg 3.77
N BB- BB-/Watch Neg 3.38
P B+ B+/Watch Neg 3.00
Q B B/Watch Neg 2.62
S B- B-/Watch Neg 2.23
Ratings Affirmed
LB-UBS Commercial Mortgage Trust 2003-C7
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-2 AAA 22.72
A-3 AAA 22.72
A-4 AAA 22.72
A-1b AAA 22.72
B AAA 20.81
X-CL AAA N/A
X-CP AAA N/A
N/A - Not applicable.
LIBRA CDO: Moody's Downgrades Rating on Senior Swap Agreement
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating on the senior swap transaction entered into by Libra CDO
Limited:
-- US$1,050,000,000 Senior Swap Agreement dated as of
October 17, 2006 (remaining unfunded notional amount of
$894,020,234), Downgraded to Caa2 and Remains on Review for
Possible Downgrade; previously on June 9, 2008 Downgraded to
B2 and Remained On Review for Possible Downgrade.
Libra CDO Limited is a hybrid collateralized debt obligation
issuance backed primarily by a portfolio of residential mortgage-
backed securities originated in 2005 and 2006.
Lehman Brothers Special Financing acts as a credit default swap
counterparty in the transaction. Its obligations as such are
guaranteed by Lehman Brothers Holdings Inc. as credit support
provider under the swap agreement. LBSF and LBHI each filed for
bankruptcy protection in 2008. As per the Trustee notice dated as
of June 19, 2009, an additional event of default occurred under
the Credit Default Swap Agreement as a result of LBSF and LBHI
filing for bankruptcy protection, and the failure by LBSF to pay
the Fixed Payment (as defined in the Credit Default Swap
Agreement) to the Issuer. On October 10, 2008, the Trustee, at
the direction of the Senior Swap Counterparty, delivered a notice
of termination of the Credit Default Swap Agreement to LBSF
establishing October 10, 2008, as the "Early Termination Date"
under the Credit Default Swap Agreement.
Moody's received a notice from the Trustee, dated as of June 19,
2009, that LBSF filed a Complaint for Declaratory and Injunctive
Relief (the "LBSF Complaint") on February 3, 2009, in the United
States Bankruptcy Court for the Southern District of New York (the
"Bankruptcy Court") seeking judicial determination that the
termination of the Credit Default Swap Agreement is invalid. The
Issuer responded to the LBSF Complaint by filing a Complaint for
Declaratory and Injunctive Relief (the "Libra Complaint") seeking
judicial determination that the termination of the Credit Default
Swap Agreement is valid.
According to Moody's, the rating action reflects the increased
risk and uncertainties as to the enforceability of rated
structures designed to insulate investors from counterparty credit
risk. These uncertainties stem from not only the possible outcome
of the LBSF Complaint, which if successful would have a
significant effect on the expected losses associated with the
Senior Swap, but also following a recent Bankruptcy Court
decision, LBSFI v. BNY Corporate Trustee Services Ltd.,
January 25, 2010 (the "Dante Ruling"). The Bankruptcy Court in
the Dante Ruling held that certain assumptions relating to the
subordination of swap termination payments owed to a swap
counterparty subject to U.S. bankruptcy law following its
bankruptcy are unenforceable under the U.S. Bankruptcy Code.
The resolution of the rating on the Senior Swap will depend on,
among other factors, the future development of litigation with
regard to the LBSF Complaint, the Libra Complaint, and the Dante
Ruling which is expected to be appealed by BNY Corporate Trustee
Services Ltd.
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.
LITIGATION SETTLEMENT: Moody's Cuts Rating on Certificates to Ba1
------------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of the
Subordinated Certificates issued by the Litigation Settlement
Monetized Fee Trust I, Series 2001-1. The complete rating action
is:
Issuer: Litigation Settlement Monetized Fee Trust, Series 2001-1
* Subordinated Deferrable Interest Certificates (the Subordinated
Certificates), downgraded to Ba1 from Baa3; previously on
September 25, 2003 confirmed at Baa3
The Trust was formed to securitize payments to several law firms
resulting from the settlement of tobacco-related litigation
between the State of Florida and the four largest tobacco
companies (the Tobacco Companies). Pursuant to a fee payment
agreement, the Tobacco Companies agreed to make quarterly payments
to the law firms that represented Florida in the negotiation of
the Master Settlement Agreement of 1998. The Tobacco Companies
agreed to pay, with minor exceptions, up to $125 million per
quarter and up to $500 million per year, to be divided pro rata
among all law firms entitled to fees under the MSA. In addition,
over the 2004 through 2008 period, the Tobacco Companies also paid
Liquidated Fee Excess amounts, which resulted from excess payments
from privately negotiated fee agreements between certain law firms
and the Tobacco Companies.
Several of the Florida law firms elected to monetize their rights
to these periodic payments by participating in a securitization.
The securitization trust issued Senior Certificates backed by the
participating law firms' portion of the quarterly payments from
the Tobacco Companies. The law firms were entitled to residual
payments after distributions to the Senior Certificates had been
made. The law firms also securitized those residual payments with
the issuance of the Subordinated Certificates.
The interest and principal payments to the Subordinated
Certificates were subordinated to the Senior Certificates. Two
reserve accounts were established for the benefit of the
Subordinated Certificates at closing. The Subordinated Note
Reserve Account was funded at closing with an initial amount equal
to 19% of the initial principal balance. A second reserve
account, Subordinated Note Liquidated Fee Reserve Account, was
unfunded at closing, but was established to receive the
aforementioned Liquidated Fee Excess. The current balance of this
account is approximately $19 million.
It was expected that withdrawals from the SNRA and SNLFRA would be
used to pay interest on the Subordinated Certificates while the
Senior Certificates are outstanding. As of the January 2010
payment date, the SNRA was depleted. At the same time, the monies
on deposit in the SNLFRA cannot be drawn upon to pay interest due
to pending litigation described below. As a result, the
Subordinated Certificates are experiencing an interest shortfall.
The current amount of shortfall is approximately $1.7 million.
Interest shortfall accrues interest if not paid. Failure to pay
interest on any payment date prior to the Subordinated
Certificates' legal final maturity date is not an event of
default.
The balance of Subordinated Certificates interest shortfall will
continue to grow until either the Senior Certificates are fully
paid off (which is likely to occur by 2012), or the litigation is
decided in favor of the Trustee and the SNLFRA is released from
escrow. It is possible that the Subordinated Certificates will
not receive any interest payment until 2012.
The methodology used to determine the new rating was "Moody's
Approach to Rating Structured Finance Securities in Default,"
November 2009. As discussed in that report, when interest
payments on a security are delayed, Moody's assesses the situation
and considers the expected timing and level of recovery of
interest as well as the uncertainty around that expectation,
irrespective of whether the transaction documents identify a
missed payment as an event of default under the indenture or not.
Litigation between the Issuer of the Subordinated Certificates and
the Indenture Trustee
The Tobacco Companies made Liquidated Fee Excess payments from
2004 through 2008. The funds have been distributed to the
indenture trustee and are being held in the SNLFRA pursuant to the
terms of the indentures.
The Florida law firms filed objections in the Ohio District Court
in 2005, contending that the indenture trustee was not entitled to
the Liquidated Fee Excess as security for the Subordinated
Certificates under the securitization documents. The Florida law
firms alleged that the Liquidated Fee Excess was not part of the
fee awards subject to the indentures.
The indenture trustee, in order to protect the noteholders'
interests, filed with the Ohio District Court memoranda in
opposition to the objections and in response to other filings by
the Florida law firms.
The dispute over the funds on deposit in the SNLFRA continues to
be litigated and a final judicial determination has not yet been
rendered.
If the court decides in favor of the indenture trustee, the funds
in the SNLFRA will be released from escrow and will be available
to pay interest due to the Subordinated Certificates. However, if
the court decides in favor of the Florida law firms, the funds in
the SNLFRA will be released to the Florida law firms and will not
benefit the Subordinated Certificates. In that case, after (and
only after) the Senior Certificates are fully paid off, funds from
regular collections will be available to pay interest due to the
Subordinated Certificates.
LNR CDO: Moody's Downgrades Ratings on 14 Classes of Notes
----------------------------------------------------------
Moody's Investors Service downgraded 14 classes of Notes issued by
LNR CDO IV Ltd. due to the deterioration in the credit quality of
the underlying portfolio as evidenced by the occurrence of an
Event of Default, an increase in the weighted average rating
factor, and an increase in the percentage of collateral
experiencing interest shortfalls since Moody's last review. The
rating actions are the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation
transactions.
LNR CDO IV Ltd. is a CRE CDO transaction backed by 100% commercial
mortgage backed securities, 83% of which was issued in 2005 and
2006. As of the March 24, 2010 Note Valuation Report, the
collateral par amount is $1.52 billion, representing a
$61.4 million decrease since securitization due to realized losses
to the collateral pool.
As of the March 29, 2010 payment date, interest shortfalls from
the underlying collateral resulted in a default in the payment of
interest on the Class B Note, the Non-PIKable class, which caused
an Event of Default on April 2, 2010, pursuant to Section 5.1(a)
of the Indenture dated as of March 2, 2006. Moody's will continue
monitoring the transaction as the Holders of the Notes may vote to
direct the Trustee to take particular action with respect to the
Collateral Debt Securities and the Notes.
As of the March 24, 2010 Note Valuation Report, approximately 62%
of the collateral experienced interest shortfall, interest
received was only 50% of what was expected, and 11% of the
collateral was classified as Impaired Securities.
Moody's has identified s parameters as key indicators of the
expected loss within CRE CDO transactions: WARF, weighted average
life, WARR, and Moody's asset correlation.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's have completed updated credit estimates for the non-
Moody's rated collateral. The bottom-dollar WARF is a measure of
the default probability within a collateral pool. Moody's modeled
a bottom-dollar WARF of 7,681 compared to 4,421 at last review.
The distribution of current ratings and credit estimates is: Baa1-
Baa3 (2% compared to 0% at last review), Ba1-Ba3 (8% compared to
29% at last review), B1-B3 (15% compared to 27% at last review),
and Caa1-C (75% compared to 44% at last review).
WAL acts to adjust the probability of default of the reference
obligations in the pool for time. Moody's modeled to the actual
WAL of 7.7 years, the same as at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR
of 2.7% compared to 5.3% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 100% compared to 21% at last review. The
higher MAC is due to the increase of very-high risk collateral
concentrated within a small number of collateral names.
Moody's review also incorporated updated asset correlation
assumptions for the commercial real estate sector consistent with
one of Moody's CDO rating models, CDOROM v2.5, which was released
on April 3, 2009. These correlations were updated in light of the
systemic seizure of credit markets and to reflect higher inter-
and intra-industry asset correlations. The updated asset
correlations, depending of vintage and issuer diversity, used for
CUSIP collateral (i.e. CMBS, CRE CDOs or REIT debt) within CRE
CDOs range from 30% to 60%, compared to 15% to 35% previously.
In cases where CUSIP collateral is resecuritized, CDOROM v2.5 adds
stress to capture the leveraging effect of the derivative
transaction. Moody's had previously announced on March 4, 2009
that the additional default probability stress applied to
resecuritized collateral would not be applied to conduit and
fusion CMBS from the 2006 to 2008 vintages due to a first quarter
2009 ratings sweep of such transactions. Moody's are now applying
the resecuritization stress factor to all vintages of CMBS
collateral to address the enhanced volatility in the
resecuritization and align Moody's modeling of CRE CDOs with its
expected performance.
The cash flow model, CDOEdge v3.2, was used to analyze the cash
flow waterfall and its effect on the capital structure of the
deal.
The rating actions are:
-- Class A, Downgraded to Ca; previously on March 9, 2009
Downgraded to Ba1
-- Class B-Fx, Downgraded to C; previously on March 9, 2009
Downgraded to B1
-- Class B-Fl, Downgraded to C; previously on March 9, 2009
Downgraded to B1
-- Class C-Fx, Downgraded to C; previously on March 9, 2009
Downgraded to Caa1
-- Class C-Fl, Downgraded to C; previously on March 9, 2009
Downgraded to Caa1
-- Class D-Fx, Downgraded to C; previously on March 9, 2009
Downgraded to Caa2
-- Class D-Fl, Downgraded to C; previously on March 9, 2009
Downgraded to Caa2
-- Class E, Downgraded to C; previously on March 9, 2009
Downgraded to Caa3
-- Class F-Fl, Downgraded to C; previously on March 9, 2009
Downgraded to Caa3
-- Class F-Fx, Downgraded to C; previously on March 9, 2009
Downgraded to Caa3
-- Class G, Downgraded to C; previously on March 9, 2009
Confirmed at Caa3
-- Class H, Downgraded to C; previously on March 9, 2009
Confirmed at Caa3
-- Class J, Downgraded to C; previously on March 9, 2009
Confirmed at Caa3
-- Class K, Downgraded to C; previously on March 9, 2009
Confirmed at Caa3
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors. The
rating outcome may differ from the model output.
Moody's monitors transactions on both a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. Moody's prior full review is summarized in
a press release dated March 9, 2009.
LNR CDO: S&P Downgrades Ratings on Eight Classes of Notes
---------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on eight
classes from LNR CDO IV Ltd.'s series 2006-1, a commercial real
estate collateralized debt obligation transaction. At the same
time, S&P affirmed its 'CCC-' ratings on six other classes from
the same transaction. S&P removed all of the ratings from
CreditWatch with negative implications.
The rating actions reflect S&P's analysis of the transaction
following interest shortfalls to two nondeferrable classes, which
caused an event of default. Classes B-FL and B-FX experienced
interest shortfalls according to the March 24, 2010, trustee
remittance report, which prompted S&P's downgrades of these
classes to 'D'. S&P lowered its rating on class A to 'CCC+' to
reflect its view of the class' susceptibility to a future
liquidity interruption, while its 'CCC-' ratings on the deferrable
classes C through K reflect continued liquidity interruptions.
On April 2, 2010, S&P received a notice from the trustee, Wells
Fargo Bank N.A., that LNR CDO IV had experienced an EOD under
section 5.1 (a) of its indenture. The notice indicates a default
in the payment of interest accrued on the class B notes that
continued for a period of four business days, which resulted in an
EOD.
The liquidity interruption resulted from the failure of the
underlying commercial mortgage-backed securities collateral for
LNR CDO IV to produce sufficient interest proceeds to pay the full
interest amounts due to the nondeferrable interest classes.
According to the trustee's remittance reports, the amount of
interest available each month from the collateral has steadily
declined in each of the past six months, to $3.3 million in March
2010 from $4.9 million in October 2009. According to the most
recent trustee report, LNR CDO IV was collateralized by 151
classes of CMBS ($1.52 billion, 100%) from 38 distinct
transactions issued in 1997 through 2006.
Standard & Poor's analyzed LNR CDO IV according to its current
criteria. The analysis is consistent with the lowered and
affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
LNR CDO IV Ltd.
Series 2006-1
Rating
------
Class To From
----- -- ----
A CCC+ BBB+/Watch Neg
B-FL D BB+/Watch Neg
B-FX D BB+/Watch Neg
C-FL CCC- B+/Watch Neg
C-FX CCC- B+/Watch Neg
D-FL CCC- B-/Watch Neg
D-FX CCC- B-/Watch Neg
E CCC- CCC/Watch Neg
Ratings Affirmed And Removed From Creditwatch Negative
LNR CDO IV Ltd.
Series 2006-1
Rating
------
Class To From
----- -- ----
F-FL CCC- CCC-/Watch Neg
F-FX CCC- CCC-/Watch Neg
G CCC- CCC-/Watch Neg
H CCC- CCC-/Watch Neg
J CCC- CCC-/Watch Neg
K CCC- CCC-/Watch Neg
LONGPORT FUNDING: Moody's Downgrades Ratings on Four Classes
------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of four classes of notes issued by Longport Funding Ltd.
The notes affected by the rating action are:
-- Class A-1A Senior Secured Floating Rate Notes, Downgraded to
Caa3; previously on 3/24/09 Downgraded to Caa1
-- Class A-1 Senior Secured Interest Only Notes, Downgraded to
Caa3; previously on 3/24/09 Downgraded to B1
-- Class A Participating Notes, Downgraded to Ca; previously on
3/24/09 Downgraded to Caa3
-- Class A-2I Senior Secured Interest Only Notes, Downgraded to
Ca; previously on 3/24/09 Downgraded to Caa3
Longport Funding Ltd. is a collateralized debt obligation issuance
backed by a portfolio of primarily Residential Mortgage-Backed
Securities originated between 2002 and 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 an increase in the dollar amount of defaulted
securities and failure of the coverage tests. The defaulted
securities, as reported by the trustee, have increased from
25.5 million in March 2009 to 62.7 million in February 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 14 for Alt-A, and January 27 for Option-ARM. Based on the
anticipated ratings impact of the updated cumulative loss numbers,
the stress varied based on vintage, current rating, and RMBS asset
type.
For 2005 Alt-A and Option-ARM securities, securities that are
currently rated Aaa or Aa were stressed by eleven notches, and
securities currently rated A or Baa were stressed by eight
notches. Those securities currently rated in the Ba or B range
were stressed to Caa3, while current Caa securities were treated
as Ca. For 2006 and 2007 Alt-A and Option-ARM securities,
currently Aaa or Aa rated securities were stressed by eight
notches, and securities currently rated A, Baa or Ba were stressed
by five notches. Those securities currently rated in the B range
were stressed to Caa3, while current Caa securities were treated
as Ca.
For 2005 subprime RMBS, those currently rated Aa, A or Baa were
stressed by five notches, Ba rated securities were stressed to
Caa3, and B or Caa securities were treated as Ca. For subprime
RMBS originated in the first half of 2006, those currently rated
Aaa were stressed by four notches, while Aa, A and Baa rated
securities were stressed by eight notches. Those securities
currently rated in the Ba range were stressed to Caa3, while
current B and Caa securities were treated as Ca. For subprime
RMBS originated in the second half of 2006, those currently rated
Aa, A, Baa or Ba were stressed by four notches, currently B rated
securities were treated as Caa3, and currently Caa rated
securities were treated as Ca. For 2007 subprime RMBS, currently
Ba rated securities were stressed by four notches, currently B
rated securities were treated as Caa3, and currently Caa rated
securities were treated as Ca.
Moody's noted that the stresses applicable to categories of 2005-
2007 subprime RMBS that are not listed above will be two notches
if the RMBS ratings are on review for possible downgrade.
Moody's further explained that these stresses are based on a
preliminary sample analysis of deals from a given vintage and
asset type, and that they will be utilized in its SF CDO rating
analysis while subprime, Alt-A and Option-ARM securities remain on
review for downgrade. Current public ratings will be used for
securities that have undergone an in depth review by Moody's RMBS
team and are no longer on review for downgrade.
MASSACHUSETTS HEALTH: Fitch Cuts Rating on $26.7 Mil. Bonds to 'B'
------------------------------------------------------------------
Fitch Ratings downgrades $26.7 million of Massachusetts Health and
Educational Facilities Authority (Northern Berkshire Healthcare;
NBH) revenue bonds, series 2004 to 'B' from 'BB'. Fitch removed
the rating from Rating Watch Negative and assigned a Negative
Outlook.
Rating Rationale:
-- The downgrade is based on worsening operating losses, a
deteriorating cash position, and continued delay in the sale
of its underperforming senior care businesses.
-- Since Fitch downgraded NBH to 'BB' from 'BB+' on Oct. 1,
2009, operating losses continue, with NBH producing a
$3.34 million operating loss (negative 9.6% margin) during
the first five months of fiscal year 2010. Losses continue
due to lower inpatient volumes, occupancy challenges at its
senior care businesses, increased physician practice costs
from newly hired doctors, and higher employee benefit
expenses. Moreover, NBH incurred $325,000 in onetime costs
due to a threatened work stoppage from one of the unions that
represent workers at its hospital.
-- Unrestricted cash and investments dropped to $6.2 million as
of Feb. 28, 2010, from $10.1 million as of June 30, 2009.
This level of cash represents only 26 days operating expenses
or 11.8% of long-term debt.
-- Fitch expects poor operating performance to persist until the
disposition of NBH's Sweet Brook Care Center and
Sweetwood Continuing Care Retirement Community.
-- The 'B' rating also reflects the likelihood that the asset
sale proceeds will not be sufficient to redeem outstanding
debt relating to SBCC and SCCRC. Additionally, the net sale
proceeds may not be adequate enough to fund working capital
requirements and necessary capital expenses, as well as
rebuild unrestricted cash balances. As a result, even after
the asset sale, NBH could be highly leveraged with modest
cash balances.
-- Management has also indicated that they are in negotiations
with other healthcare providers to develop an affiliation
that could result in the formation of a consolidated health
system. The 'B' rating and Negative Outlook do not reflect
the affect of any potential affiliation arrangement.
What Could Trigger A Downgrade?
-- Continued profitability deterioration that causes further
liquidity reductions.
-- The inability to improve acute care and physician group
practice operations.
-- The failure to divest its senior care businesses.
MERRILL LYNCH: Moody's Downgrades Ratings on 23 Tranches
--------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 23
tranches from 3 RMBS transactions, backed by Alt-A loans, issued
by Merrill Lynch.
The collateral backing these transactions consists primarily of
first-lien, fixed and/or adjustable-rate, Alt-A residential
mortgage loans. The actions are a result of the rapidly
deteriorating performance of Alt-A pools in conjunction with
macroeconomic conditions that remain under duress. The actions
reflect Moody's updated loss expectations on Alt-A pools issued
from 2005 to 2007. For details regarding Moody's approach to
estimating losses on Alt-A pools originated in 2005, 2006, and
2007, please refer to the methodology publication "Alt-A RMBS Loss
Projection Update: February 2010" available on Moodys.com.
To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
Complete rating actions are:
Issuer: Merrill Lynch Mortgage Investors Trust 2005-A3
-- Cl. A-1, Downgraded to Ba1; previously on Jan 14, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to B2; previously on Jan 14, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 14, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 14, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: Merrill Lynch Mortgage Investors Trust 2005-A6
-- Cl. I-A-1, Downgraded to Caa2; previously on Jan 14, 2010
Baa2 Placed Under Review for Possible Downgrade
-- Cl. I-A-2, Downgraded to C; previously on Jan 14, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. II-A-2, Downgraded to Caa1; previously on Jan 14, 2010
Baa2 Placed Under Review for Possible Downgrade
-- Cl. II-A-3, Downgraded to Caa3; previously on Jan 14, 2010
Baa3 Placed Under Review for Possible Downgrade
-- Cl. II-A-4, Downgraded to C; previously on Jan 14, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 14, 2010 Caa3
Placed Under Review for Possible Downgrade
Issuer: Merrill Lynch Mortgage Investors Trust 2005-A8
-- Cl. A-1A, Downgraded to A3; previously on Jan 14, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-1B2, Downgraded to A3; previously on Jan 14, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. A-1B3, Downgraded to A3; previously on Jan 14, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-1B4, Downgraded to A3; previously on Jan 14, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. A-1C1, Downgraded to A3; previously on Jan 14, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. A-1C2, Downgraded to A3; previously on Jan 14, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-2A, Downgraded to Caa1; previously on Jan 14, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-2B1, Downgraded to Caa1; previously on Jan 14, 2010
Baa2 Placed Under Review for Possible Downgrade
-- Cl. A-2B2, Downgraded to Ca; previously on Jan 14, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-3A2, Downgraded to B2; previously on Jan 14, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-3A3, Downgraded to Caa1; previously on Jan 14, 2010
Baa3 Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 14, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 14, 2010 Caa3
Placed Under Review for Possible Downgrade
MERRILL LYNCH: S&P Downgrades Ratings on 13 2004-BPC1 Securities
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 13
classes of commercial mortgage-backed securities from Merrill
Lynch Mortgage Trust 2004-BPC1 and removed them from CreditWatch
with negative implications. In addition, S&P affirmed its ratings
on eight other classes from the same transaction.
The rating actions follow S&P's analysis of the transaction using
its U.S. conduit and fusion CMBS criteria. The downgrades of the
subordinate classes also reflect credit support erosion that S&P
anticipate will occur upon the eventual resolution of four
specially serviced assets, as well as S&P's view of one loan that
S&P has determined to be credit-impaired. S&P's analysis included
a review of the credit characteristics of all of the loans in the
pool. Using servicer-provided financial information, Standard &
Poor's calculated an adjusted debt service coverage (DSC) of 1.68x
and a loan-to-value ratio of 89.4%. S&P further stressed the
loans' cash flows under its 'AAA' scenario to yield a weighted
average DSC of 1.10x and an LTV of 113.3%. The implied defaults
and loss severity under the 'AAA' scenario were 54.9% and 27.3%,
respectively. All of the adjusted DSC and LTV calculations
excluded four ($48.9 million, 4.7%) of the seven specially
serviced assets, one ($4.7 million, 0.5%) credit-impaired loan,
and three ($33.3 million, 3.4%) defeased loans. S&P separately
estimated losses for the specially serviced loans and credit-
impaired assets, which S&P included in its 'AAA' scenario implied
default and loss figures.
The affirmations of the ratings on the principal and interest
certificates reflect subordination levels that are consistent with
the outstanding ratings. S&P affirmed its ratings on the class XC
and XP interest-only certificates based on its current criteria.
S&P published a request for comment proposing changes to the IO
criteria on June 1, 2009. After S&P finalize 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, seven assets
($76.4 million, 7.4%) are with the special servicer, J.E. Robert
Co. Inc. The payment status of the assets is: One ($5.2 million,
0.5%) is real estate owned, five ($57.3 million, 5.5%) are matured
balloons, and one ($13.9 million, 1.3%) is current. Several of
the specially serviced assets were transferred for reasons
relating to maturity defaults. The two largest specially serviced
assets, which have balances of $21.9 million (2.1%) and
$14.2 million (1.4%), respectively, are each secured by
multifamily properties in Tallahassee, Fla. Appraisals for these
properties indicate valuations in excess of total exposure.
The REO asset, the Carlyle Crossing Apartments asset, has a total
exposure of $8.4 million, which consists of a $5.2 million unpaid
principal balance and $3.2 million of advancing and interest
thereon. The asset was transferred to the special servicer on
Oct. 17, 2007, due to payment default. In September 2009, the
master servicer, Midland Loan Services Inc., determined that
further advancing in respect to this loan would be nonrecoverable.
The 138-unit multifamily property is in Fort Worth, Texas, and was
built in 1980. As of March 8, 2010, the property was 79.0%
occupied. Ongoing deferred maintenance issues affect the
property, and S&P anticipate a severe loss on the ultimate
resolution of this asset. It is possible that the trust could
experience a full principal loss.
In addition to the specially serviced assets, S&P determined one
loan ($4.7 million, 0.5%) to be credit-impaired. The Clarion
Hotel loan is secured by a 148-room full-service hotel in Waco,
Texas. As of Dec. 31, 2009, DSC for the property was 0.25x, and
occupancy was 44.0%. This property is operating in close
proximity to competitors and has not had positive cash flow since
2007. Consequently, S&P has determined this loan to be at an
increased risk of default.
Three loans totaling $18.8 million (1.1%) were previously with the
special servicer and were subsequently returned to the master
servicer. One of these loans, the Mirada Apartment Homes loan
($13.9 million, 0.7%), was since transferred back to the special
servicer due to payment default. This default has been cured, and
S&P expects the loan to be returned to the master servicer soon.
Pursuant to the transaction documents, the special servicer is
entitled to a workout fee for each loan that is successfully
returned to performing status. Each of the two performing loans
has a 1.00% workout fee associated with it, which is payable as a
percentage of all future principal and interest payments. With
respect to the Mirada Apartment Homes loan, JER has indicated that
the borrower had previously stated that it would reimburse the
trust for any corrected mortgage fees payable in connection with
it.
Transaction Summary
As of the March 2010 remittance report, the aggregate trust
balance was $1.04 billion, which represents 83.5% of the aggregate
pooled trust balance at issuance. There are 79 assets in the
pool, down from 94 at issuance. The master servicer for the
transaction provided financial information for 98.2% of the loans
in the pool, and 100.0% of the servicer-provided information was
full-year 2008, interim-2009, or full-year 2009 data.
S&P calculated a weighted average DSC of 1.78x for the pool based
on the reported figures. S&P's adjusted DSC and LTV were 1.68x
and 89.4%, respectively, which exclude four specially serviced
assets ($48.9 million, 4.7%), one loan S&P deemed credit-impaired
($4.7 million, 0.5%), and three defeased loans ($33.3 million,
3.4%). To date, no assets have realized a principal loss.
Seventeen loans ($173.9 million, 16.8%), including the fourth-
largest real estate exposure in the pool, are on the master
servicer's watchlist. Thirteen loans ($150.4 million, 14.5%) have
a reported DSC of less than 1.10x, and 10 of these loans
($93.5 million, 9.0%) have a reported DSC of less than 1.0x.
Summary of Top 10 Loans
The top 10 real estate exposures have an aggregate outstanding
balance of $468.1 million (45.1%). Using servicer-reported
numbers, S&P calculated a weighted average DSC of 2.14x for the
top 10 exposures. S&P's adjusted DSC and LTV for these loans were
1.91x and 92.4%, respectively. The fourth-largest real estate
exposure, the Mall 205 loan, appears on the master servicer's
watchlist due to a low DSC. In addition, the master servicer has
indicated that it will place the eighth-largest real estate
exposure, the Simon- Washington Square Mall loan, on its watchlist
as of the April 2010 remittance report.
The Mall 205 loan ($42.6 million, 4.1%) is secured by 305,103 sq.
ft. of anchored retail space spread over five buildings in
Portland, Oregon. The loan appears on the master servicer's
watchlist due to low DSC. As of the nine months ended Sept. 30,
2009, the reported DSC was 1.09x. As of Oct. 22, 2009, the
property was 86.0% occupied.
The Simon ? Washington Square Mall loan ($29.7 million, 2.8%) is
secured by 448,762 sq. ft. of a 922,164-sq.-ft. regional mall in
Indianapolis, Indiana. The master servicer has indicated that the
loan will appear on its watchlist on the April 2010 remittance
report for low DSC. The property is currently 89.0% occupied, and
the reported DSC was 0.89x as of Dec. 31, 2009.
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
Merrill Lynch Mortgage Trust 2004-BPC1
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
B A+ AA/Watch Neg 12.27
C A AA-/Watch Neg 11.08
D A- A/Watch Neg 9.28
E BBB+ A-/Watch Neg 8.38
F BBB BBB+/Watch Neg 6.88
G BBB- BBB/Watch Neg 5.84
H BB BBB-/Watch Neg 4.34
J BB- BB+/Watch Neg 3.74
K B+ BB/Watch Neg 3.29
L B+ BB-/Watch Neg 2.69
M B B+/Watch Neg 2.24
N CCC+ B/Watch Neg 1.94
P CCC B-/Watch Neg 1.64
Ratings Affirmed
Merrill Lynch Mortgage Trust 2004-BPC1
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A2 AAA 23.95
A3 AAA 23.95
A4 AAA 23.95
A5 AAA 23.95
A1A AAA 23.95
AJ AAA 14.82
XC AAA N/A
XP AAA N/A
N/A -- Not applicable.
MERRILL LYNCH: S&P Downgrades Rating on Class E 1998-C1-CTL Certs.
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on class E
from Merrill Lynch Mortgage Investors Inc.'s mortgage pass-though
certificates series 1998-C1-CTL. Concurrently, S&P affirmed its
ratings on five other classes from this transaction.
Interest shortfalls to the class E certificate prompted S&P's
analysis of this transaction, which led to the downgrade of class
E. The shortfalls resulted from the recovery of advances on five
specially serviced assets by the master servicer, Berkadia
Commercial Mortgage LLC.
The affirmations of the remaining ratings on the transaction
follow S&P's analysis of all of the assets in the pool. S&P's
analysis incorporated the use of Standard & Poor's credit lease
default model and an examination of trust liquidity. Liquidity
considerations and uncertainties about the ultimate disposition of
the seven specially serviced assets currently constrain the
ratings on the class C and D certificates.
S&P affirmed its rating on the class IO interest-only certificate
based on its current criteria. S&P published a request for
comment proposing changes to S&P's 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 rating on the IO certificates S&P affirmed.
According to the remittance report dated March 16, 2010, the
unrated F, G, and H classes have accumulated interest shortfalls
totaling $2.7 million. The interest shortfalls were related
primarily to seven specially serviced assets ($27.6 million, 7.5%
of aggregate principal balance) that were formerly leased to
Circuit City Inc. It is S&P's understanding that the interest
shortfalls resulted from appraisal subordinate entitlement
reductions, the master servicer's nonrecoverability determinations
on advances, special servicing fees, and the master servicer's
recovery of prior advances and interest thereon.
Berkadia made an advance nonrecoverability declaration on five
specially serviced assets and sought to recover approximately
$730,000 in prior advance amounts. Thus far, approximately
$300,000 of prior advances have been recovered, which was the
primary cause of the interest shortfalls to class E. S&P expects
class E's accumulated interest shortfalls to be recovered after
Berkadia recoups an additional $430,000 of advances that it
previously made on the assets. If this does not occur within the
next several remittance periods, S&P will reexamine its
outstanding ratings on the transaction and may lower the class E
rating further.
As of the March 16, 2010, remittance report, the pool consisted of
78 credit tenant lease assets ($256.7 million), five real estate
owned assets ($18.3 million), and 11 defeased loans
($93.7 million) with an aggregate principal balance of
$368.7 million. Of the 78 CTL assets, 72 ($235 million, 63.7%)
were bondable CTL loans, while the remaining six ($21.7 million,
5.9%) were triple- and double-net CTL loans supplemented by a
lease enhancement policy from Chubb Custom Insurance Co.
('AA/Stable'). Excluding the defeased loans and REO assets, 41
assets ($179.5 million, 48.7%) are fully amortizing, while the
remaining 37 assets ($77.2 million, 20.9%) have balloon maturities
with residual value insurance provided by R.V.I. America
Insurance Co. ('BBB/Negative').
Tenants representing greater than 5% of the transaction include
Rite Aid Corp. ($90 million, 24%, B-/Stable); Georgia Power Co.
($57 million, 15%, A/Stable); Kroger Co. ($30.1 million, 8%,
BBB/Stable); and 24 Hour Fitness Worldwide Inc. ($28 million, 8%,
B/Stable). The liquidation of 14 assets has resulted in realized
losses totaling $12.3 million. Heilig-Meyers Co., Kmart Corp.,
and Circuit City Inc. were the underlying tenants/guarantors for
the loans that experienced losses.
Two loans and five REO assets are with the special servicer.
These seven assets have an aggregate principal balance of
$27.6 million and total exposure (including outstanding advances)
of $32.7 million. The properties were previously leased to
Circuit City Inc. and are currently vacant following the company's
bankruptcy. Based on recent appraisal values or brokers' opinions
of values, S&P expects significant losses upon the ultimate
resolution of these assets. The master servicer has determined
that advances on the former loans for the five REO assets
($18.3 million, 5.0%) are nonrecoverable. Accordingly, the
servicer is not advancing interest on the assets and has begun
recovering prior advances from the trust.
The remaining two Circuit City loans ($9.3 million, 2.5%) are 90-
plus days delinquent. The loans are secured by properties in
Boardman, Ohio, and Wilkins Township, Pa., and have appraisal
reduction amounts of $1.9 million and $2.7 million, respectively.
The master servicer reported 47 loans ($90 million, 24.4%) on its
watchlist as of March 10, 2010. All of the watchlist placements
followed the downgrade of the tenant, Rite Aid Corp.
Standard & Poor's analyzed the transaction and its underlying
collateral according to its current criteria. S&P's analysis is
consistent with the lowered and affirmed ratings.
Rating Lowered
Merrill Lynch Mortgage Investors Inc.
Mortgage Pass-Through Certificates series 1998-C1-CTL
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
E BB+ BBB 16.83
Ratings Affirmed
Merrill Lynch Mortgage Investors Inc.
Mortgage Pass-Through Certificates series 1998-C1-CTL
Class Rating Credit enhancement (%)
----- ------ ----------------------
A3 AAA 49.25
B AAA 38.73
C AA- 29.97
D BBB+ 19.46
IO AAA N/A
N/A - Not applicable.
MERRILL LYNCH: S&P Downgrades Ratings on Two 1999-C1 Certs.
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on two
classes of U.S. commercial mortgage pass-through certificates from
Merrill Lynch Mortgage Investors Inc.'s series 1999-C1.
Concurrently, S&P affirmed its rating on one other class from the
same transaction.
S&P lowered its rating on class F to 'D' due to recurring interest
shortfalls to the class that S&P expects will continue. S&P
downgraded the class IO interest-only certificate to 'BB+' due to
the significant reduction in interest payments to the subordinate
classes. S&P believes that these reductions have increased the
susceptibility of the IO class to liquidity interruptions at some
point in the future, given the transaction's relatively low
remaining loan count and the fact that seven of the nine remaining
assets are with the special servicer.
S&P affirmed its 'CCC' rating on class E following the repayment
of all accumulated interest shortfalls that were previously
outstanding on this class, according to the February 2010
remittance reports.
There are seven specially serviced assets in the pool, which
represent 77.0% of the aggregate outstanding balance and include
the largest loan ($14.6 million, 34.4%) in the pool. According to
the March 2010 remittance report, classes K, J, H, G, and F have
accumulated outstanding interest shortfalls totaling $22.02
million. A significant portion of the accumulated interest
shortfalls resulted from the recovery of $15.4 million of advances
by the master servicer, KeyBank Real Estate Capital. The advance
recoveries were related to the Arlington Apartments asset, which
is the second-largest exposure ($6.2 million, 14.6%) with the
special servicer.
Class F has experienced interest shortfalls for the past nine
months, and the outstanding accumulated interest shortfalls
affecting this class totaled $447,614 as of the March 2010
remittance. S&P expects that the interest shortfalls to the class
will continue for the foreseeable future.
Although class E experienced interest shortfalls from July 2009
through January 2010, the $968,328 in outstanding accumulated
interest shortfalls on the class were repaid in February 2010,
according to the trustee remittance reports. The class had
received all interest due as of the March 2010 remittance report.
The collateral pool for the transaction consists of nine exposures
with an aggregate trust balance of $51.5 million. In addition to
the seven assets ($32.7 million, 77.0%) with the special servicer,
ORIX Capital Markets LLC, the collateral pool includes one
defeased loan ($7.0 million, 16.6%) and one loan ($2.7 million,
6.4%) that had an anticipated repayment date of Oct. 1, 2009, and
is current according to the March 2010 remittance report. Of the
seven assets with the special servicer, two are in foreclosure
($3.6 million, 8.6%), three are 90-plus-days delinquent
($10.1 million, 23.8%), and two are current ($19.0 million,
44.7%).
Standard & Poor's analyzed the transaction and its underlying
collateral according to its current criteria. S&P's analysis is
consistent with the lowered and affirmed ratings.
Ratings Lowered
Merrill Lynch Mortgage Investors Inc.
Commercial mortgage pass-through certificates series 1999-C1
Rating
------
Class To From
----- -- ----
F D CCC-
IO BB+ AAA
Rating Affirmed
Merrill Lynch Mortgage Investors Inc.
Commercial mortgage pass-through certificates series 1999-C1
Class Rating
----- ------
E CCC
MIDWEST FAMILY: Moody's Affirms Low-B Ratings on Various Bonds
--------------------------------------------------------------
Moody's downgrades to Baa3 from Baa2 the rating assigned to the
Midwest Family Housing LLC Military Housing Taxable Revenue Bonds
(Navy Midwest Housing Privatization Project) 2006 Series A Class I
and affirms the ratings on the 2006 Series A Class II at Ba3;
Class III at B3; & Class IV at B3.
The downgrade on the Class I Bonds reflects the withdrawal of the
rating of the provider of the debt service reserve surety policy
and bond insurance provider CIFG Assurance North America, Inc..
Moody's considers the Debt Service Reserve Fund to be an important
component of support for the Bonds and therefore a key factor in
the rating. The affirmation on the Class II, Class III and Class
IV Bonds, reflect the improving performance of the overall
project.
The Bonds were placed on review for possible downgrade on
August 24, 2009, in order to provide the issuer and other
interested parties time to take action to provide alternate
funding of the Debt Service Reserve Fund consistent with the
ratings.
Strengths
-- The Project has shown growth in occupancy.
-- Funds in the Construction Fund are available to pay debt
service through the end of IDP.
Challenges
-- The deterioration of the credit quality of the debt service
reserve fund provided by mean of surety has diminished
management ability to potentially address unforeseen problems
such as decline in net operating income in periods of
economic downturns, increased competition from outside of the
gate housing or as a result of military deployments or
restructurings.
Outlook
The outlook on the Bonds is negative.
What Could Change The Rating Up
-- Increases in the project revenue that result in higher debt
service coverage levels over a period of several years.
-- Replacement of the debt service reserve surety bond with cash
or an appropriate rated surety provider.
What Could Change The Rating Down
-- Further declines in debt service coverage resulting from
reductions in occupancy or increases in expenses.
-- Uncertainty of future financial performance
Recalibration Of Rating To The Global Rating Scale;
Principal Methodology
The rating assigned to the Bonds was issued on Moody's municipal
rating scale. Moody's has announced its plans to recalibrate all
U.S. municipal ratings to its global scale and therefore, upon
implementation of the methodology published in conjunction with
this initiative, the rating will be recalibrated to a global scale
rating comparable to other credits with a similar risk profile.
Market participants should not view the recalibration of municipal
ratings as rating upgrades, but rather as a recalibration of the
ratings to a different rating scale. This recalibration does not
reflect an improvement in credit quality or a change in Moody's
credit opinion for rated municipal debt issuers.
The last rating action was on October 21, 2009, when the ratings
were placed on review for possible downgrade.
MIDWEST FAMILY: S&P Downgrades Rating on Series 2006A Bonds
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its underlying rating
on Midwest Family Housing LLC's series 2006A class I bonds to
'AA-' from 'AA', its SPUR on the class III bonds to 'BB' from
'BB+', and its long-term rating on the class IV bonds to 'B' from
'BB'. At the same time, Standard & Poor's affirmed 'BBB-' SPUR on
the class II bonds. The outlooks on the ratings are negative.
The class I, II, and III bonds are insured by CIFG Assurance North
America Inc., which is currently unrated by Standard & Poor's.
The rating actions reflect S&P's view of low all-in-debt service
coverage of 1.04x for the class I through IV bonds for fiscal
2008, and 2009 unaudited statements indicating all-in-coverage
below 1.0x; delays in the sale of land at Sabana Seca, Puerto Rico
that comprises part of the Navy's equity contribution; suspension
of work at the project; and surety policy provided CIFG, and
unrated provider.
In S&P's view, the above weaknesses are offset by the high
essentiality of the projects with which the housing units and
project revenue are associated; and the quality of the project's
real estate and units, which, when completed, should be superior
to units available in the surrounding markets at a price level
compatible with the basic allowance for housing.
"The negative outlook reflects the project's declining financial
performance, as well as a halt in construction," said Standard &
Poor's credit analyst Mikiyon Alexander.
Midwest Family Housing LLC previously issued debt to finance the
acquisition and new construction of 1,976 units of military
housing primarily at Naval Station Great Lakes in Illinois and NSA
Crane in Indiana. In 2007, the scope of the project was amended
to include units in Navy Mid-South in Millington, Tennessee.
MILLSTONE FUNDING: Fitch Downgrades Ratings on All Classes
----------------------------------------------------------
Fitch Ratings has downgraded and subsequently withdrawn ratings on
all classes of notes issued by Millstone Funding, Ltd.
In November 2009, Millstone completed collateral liquidation
following an event of default in August 2009 and subsequent
direction by the requisite noteholders in September 2009 to
liquidate the collateral.
On the last distribution date, investors in funding notes received
approximately $1 million in interest and $388.6 million in
principal payments. No distributions were made to other classes
of notes.
Principal payment received on the last distribution date amounted
to 48% of the then outstanding balance of funding notes, which
stood at $804.3 million immediately prior to the distribution.
Millstone is a cash flow CDO which closed in February 2004. The
transaction exited the reinvestment period in March 2009. In
February 2009, Stone Tower Debt Advisors, LLC, replaced Church
Tavern Advisors, LLC as the manager of this transaction.
Millstone's portfolio was comprised of primarily RMBS and SF CDO
bonds.
Fitch has taken these rating actions:
-- $415,733,370 funding notes downgraded to 'D' from 'CCC' and
subsequently withdrawn;
-- $37,117,622 class A-1 notes downgraded to 'D' from 'CCC' and
subsequently withdrawn;
-- $10,000,000 class A-2 notes downgraded to 'D' from 'CC' and
subsequently withdrawn;
-- $65,000,000 class B notes downgraded to 'D' from 'C' and
subsequently withdrawn.
MINT 2005-1: S&P Downgrades Ratings on Four Classes to 'CC'
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes of notes issued by Mint 2005-1 Ltd. to 'CC' from 'CCC-'.
The downgrades follow a number of recent credit events within the
reference portfolio. Specifically, write-downs in the
transaction's underlying reference portfolio have caused the class
D-1 and D-2 notes each to incur a partial principal loss, while
the class E and 2E notes have both incurred a full principal loss.
Ratings Lowered
Mint 2005-1 Ltd.
Rating
------
Class To From
----- -- ----
D-1 CC CCC-
D-2 CC CCC-
E CC CCC-
2E CC CCC-
MKP VELA: Moody's Downgrades Rating on Senior Swap Transaction
--------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating on the senior swap transaction entered into by MKP Vela
CBO, Ltd.:
-- US$1,012,500,000 Senior Swap Agreement dated as of
November 16, 2006 (remaining unfunded notional amount of
$926,127,916), Downgraded to Caa2 and Remains on Review for
Possible Downgrade; previously on June 2, 2008 Downgraded to
B3 and Remained On Review for Possible Downgrade.
MKP Vela CBO, Ltd., is a hybrid collateralized debt obligation
issuance that at closing was backed primarily by a portfolio of
residential mortgage-backed securities originated in 2005 and
2006. The transaction experienced an Event of Default as reported
by the Trustee in a written notice dated May 2, 2008. On
October 27, 2008, the Trustee provided written notice that it had
disposed of all Collateral following an earlier direction to
dispose of the Collateral that it had received.
Lehman Brothers Special Financing acts as a credit default swap
counterparty in the transaction. Its obligations as such are
guaranteed by Lehman Brothers Holdings Inc. as credit support
provider under the swap agreement. LBSF and LBHI each filed for
bankruptcy protection in 2008.
Moody's received a notice from the Trustee, dated as of March 27,
2009, that the Trustee was contacted by LBSF, who challenged the
Trustee's authority to Dispose of the Collateral, particularly to
terminate the Credit Default Swap Agreement. According to the
Trustee notice, the merit of the claims and issues raised by LBSF
are being examined by relevant parties, and as a result, no
distribution of any proceeds from the disposition of the
Collateral, or any other funds currently on hand, will be made
until the issues addressed in the LBSF Challenge are resolved.
According to Moody's, the rating action reflects the increased
risk and uncertainties as to the enforceability of rated
structures designed to insulate investors from counterparty credit
risk. These uncertainties stem not only from the possible outcome
of the LBSF Challenge, which will have a significant effect on the
expected losses associated with the Senior Swap, but also
following a recent Bankruptcy Court decision, LBSFI v. BNY
Corporate Trustee Services Ltd., January 25, 2010 (the "Dante
Ruling"). The Bankruptcy Court in the Dante Ruling held that
certain assumptions relating to the subordination of swap
termination payments owed to a swap counterparty subject to U.S.
bankruptcy law following its bankruptcy are unenforceable under
the U.S. Bankruptcy Code.
The resolution of the rating on the Senior Swap will depend on,
among other factors, the resolution of the LBSF Challenge, and the
Dante Ruling which is expected to be appealed by BNY Corporate
Trustee Services Ltd.
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.
ML-CFC COMMERCIAL: Moody's Reviews Ratings on 21 Certificates
-------------------------------------------------------------
Moody's Investors Service placed 21 classes of ML-CFC Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2007-7 on review for possible downgrade due to higher
expected losses for the pool resulting from anticipated losses
from loans in special servicing and highly leveraged watchlisted
loans.
Moody's has included Classes A-SB, A-4, A-4FL and A-1A in the
review because these classes have the longest weighted average
life among the super senior Aaa classes with 30% initial credit
support. Depending on the timing of loan payoffs and the severity
and timing of losses from specially serviced loans the credit
enhancement cushion for the super senior classes is likely to be
eroded, creating a potential differential in expected loss between
those super senior classes benefiting first from paydowns and
those classes receiving paydowns last. Although Moody's believe
that it is unlikely that Classes A-SB, A-4, A-4FL and A-1A will
actually experience principal losses, the expected level of credit
enhancement and their priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
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 $2.73 billion
from $2.79 billion at securitization. The Certificates are
collateralized by 323 mortgage loans ranging in size from less
than 1% to 4% of the pool, with the top ten loans representing 20%
of the pool. The pool contains two loans, representing 1% of the
pool, with investment grade underlying ratings.
Seventy-seven loans, representing 25% 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.
Four loans have been liquidated from the pool since
securitization, resulting in a $1.9 million realized loss (9% loss
severity on average). Forty-four loans, representing 19% of the
pool, are currently in special servicing. The specially serviced
loans are secured by a mix of industrial, multifamily, office,
retail and hospitality properties.
Moody's review will focus on the performance of the overall pool
and potential losses from specially serviced and other poorly
performing loans.
Moody's rating action is:
-- Class A-SB, $102,775,000, currently rated Aaa, on review for
possible downgrade; previously assigned to Aaa on 6/20/2007
-- Class A-4, $787,943,000, currently rated Aaa, on review for
possible downgrade; previously assigned to Aaa on 6/20/2007
-- Class A-4FL, $55,000,000, currently rated Aaa, on review for
possible downgrade; previously assigned to Aaa on 6/20/2007
-- Class A-1A, $599,170,145, currently rated Aaa, on review for
possible downgrade; previously assigned to Aaa on 6/20/2007
-- Class AM, $233,551,000, currently rated Aaa, on review for
possible downgrade; previously assigned to Aaa on 6/20/2007
-- Class AM-FL, $45,000,000, currently rated Aaa, on review for
possible downgrade; previously assigned to Aaa on 6/20/2007
-- Class AJ, $174,358,000, currently rated A1, on review for
possible downgrade; previously downgraded to A1 on 2/11/2009
-- Class AJ-FL, $45,000,000, currently rated A1, on review for
possible downgrade; previously downgraded to A1 on 2/11/2009
-- Class B, $55,710,000, currently rated A3, on review for
possible downgrade; previously downgraded to A3 on 2/11/2009
-- Class C, $27,855,000, currently rated Baa1, on review for
possible downgrade; previously downgraded to Baa1 on
2/11/2009
-- Class D, $45,264,000, currently rated Baa3, on review for
possible downgrade; previously downgraded to Baa3 on
2/11/2009
-- Class E, $27,856,000, currently rated Ba1, on review for
possible downgrade; previously downgraded to Ba1 on 2/11/2009
-- Class F, $34,818,000, currently rated Ba2, on review for
possible downgrade; previously downgraded to Ba2 on 2/11/2009
-- Class G, $27,855,000, currently rated B1, on review for
possible downgrade; previously downgraded to B1 on 2/11/2009
-- Class H, $24,373,000, currently rated B3, on review for
possible downgrade; previously downgraded to B3 on 2/11/2009
-- Class J, $10,446,000, currently rated Caa1, on review for
possible downgrade; previously downgraded to Caa1 on 2/9/2009
-- Class K, $10,446,000, currently rated Caa1, on review for
possible downgrade; previously downgraded to Caa1 on 2/9/2009
-- Class L, $10,445,000, currently rated Caa2, on review for
possible downgrade; previously downgraded to Caa2 on 2/9/2009
-- Class M, $6,964,000, currently rated Caa2, on review for
possible downgrade; previously downgraded to Caa2 on 2/9/2009
-- Class N, $6,964,000, currently rated Caa3, on review for
possible downgrade; previously downgraded to Caa3 on 2/9/2009
-- Class P, $6,964,000, currently rated Caa3, on review for
possible downgrade; previously downgraded to Caa3 on 2/9/2009
MORGAN STANLEY: Fitch Downgrades Ratings on 2004-IQ8 Certs.
-----------------------------------------------------------
Fitch Ratings downgrades, assigns Loss Severity ratings and Rating
Outlooks to Morgan Stanley Capital I Trust Commercial Mortgage
pass-through certificates, series 2004-IQ8:
-- $8.5 million class E to 'BBB/LS4' from 'BBB+'; Outlook
Negative;
-- $4.7 million class F to 'BB/LS5' from 'BBB'; Outlook
Negative;
-- $6.6 million class G to 'BB/LS5' from 'BBB-'; Outlook
Negative;
-- $5.7 million class H to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $2.8 million class J to 'B-/LS5' from 'BB'; Outlook Negative;
-- $3.8 million class K to 'B-/LS5' from 'BB-'; Outlook
Negative.
Fitch also downgrades and assigns Recovery Ratings to these
classes:
-- $2.8 million class L to 'CCC/RR6' from 'B+';
-- $0.9 million class M to 'CC/RR6' from 'B';
-- $0.9 million class N to 'C/RR6' from 'B-'.
In addition, Fitch affirms these classes and assigns LS ratings
and Rating Outlooks:
-- $37.1 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $123.5 million class A-4 at 'AAA/LS1'; Outlook Stable;
-- $354.1 million class A-5 at 'AAA/LS1'; Outlook Stable;
-- Interest only class X-1 at 'AAA'; Outlook Stable;
-- Interest only class X-2 at 'AAA'; Outlook Stable;
-- $19 million class B at 'AA/LS3'; Outlook Stable;
-- $21.8 million class C at 'A/LS3'; Outlook Negative;
-- $7.6 million class D at 'A-/LS4'; Outlook Negative.
Fitch does not rate the $5.6 million class O certificates.
Classes A-1 and A-2 have been paid in full.
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 1.8% of the remaining pool
balance, approximately $11.1 million, from the loans in special
servicing and loans that cannot refinance at maturity based on
Fitch's refinance test. The Negative Outlooks reflect the high
level of Fitch loans of concern (29%).
As of the March 2010 distribution date, the pool's collateral
balance has paid down 20.2% to $605.7 million from $759.2 million
at issuance. Four of the remaining loans have defeased (6.4%).
As of March 2010, there are four specially serviced loans (5.4%).
The largest specially serviced loan (3.1%) is secured by an office
building located in Las Vegas, NV. The loan transferred to
special servicing in August 2009 for imminent default.
The second largest specially serviced loan (1.5%) is a performing
matured loan and is secured by an office property located in
Murfreesboro, TN. The loan transferred to special servicing in
May 2009 for imminent default. The loan was scheduled to mature
in July 2009; however, the borrower was not able to refinance the
loan.
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
10.5% 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. Ten loans did not pay off at maturity with three
loans incurring a loss when compared to Fitch's stressed value.
MORGAN STANLEY: Fitch Takes Rating Actions on 2001-TOP3 Certs.
--------------------------------------------------------------
Fitch Ratings takes various rating actions to Morgan Stanley Dean
Witter Capital I Trust's commercial mortgage pass-through
certificates, series 2001-TOP3:
Fitch downgrades and assigns LS Ratings and Outlooks to these
classes:
-- $28.3 million class C to 'AA/LS3' from 'AA+'; Outlook
Negative;
-- $12.8 million class D to 'A/LS4' from 'AA-'; Outlook
Negative;
-- $18 million class E to 'BB/LS4' from 'A-'; Outlook Negative;
-- $11.6 million class F to 'B-/LS4' from 'BBB+'; Outlook
Negative;
-- $11.6 million class G to 'B-/LS4' from 'BBB-'; Outlook
Negative;
Fitch downgrades and assigns Recovery Ratings to these classes:
-- $10.3 million class H to 'CCC/RR3' from 'BB';
-- $9 million class J to 'CC/RR6' from 'BB-';
-- $3.9 million class K to 'CC/RR6' from 'B+';
-- $5.1 million class L to 'CC/RR6' from 'B';
-- $1.3 million class M to 'D/RR6' from 'B-';
In addition, Fitch affirms these classes and assigns LS ratings
and Outlooks as indicated:
-- $558.6 million class A-4 at 'AAA/LS1'; Outlook Stable;
-- Interest-only class X-1 at 'AAA'; Outlook Stable;
-- Interest-only class X-2 at 'AAA'; Outlook Stable;
-- $30.8 million class B at 'AAA/LS3'; Outlook Stable;
Fitch does not rate class N. Classes A-1, A-2 and A-3 have paid
in full.
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 3.8% of the remaining
transaction balance, or $26.9 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 32% to $701.3 million from $1 billion at
issuance.
There are 133 of the original 158 loans remaining in transaction,
19 of which have defeased (14.8% of the current transaction
balance). Fitch identified 18 Loans of Concern (11.9%) within the
pool, of which five (3.3%) are specially serviced.
The largest specially serviced loan (2%) is a 365,430 square foot
(sq ft) industrial property in Sterling Heights, MI. The loan
transferred in December 2009 for imminent default. The property's
single tenant vacated upon its lease expiration.
The second largest specially serviced asset (1%) is a 66,000 sq ft
retail property in Dallas, Texas. The loan transferred in January
2010 for payment default. There servicer reported December 2009
occupancy was 55% as result of the departure of a major tenant.
The third largest specially serviced asset (1%) is a 221,374 sq ft
industrial property in Duluth, GA. The loan transferred in
January 2010 for payment default. Per the servicer, the borrower
has been unresponsive and the building is reported to be vacant.
Fitch stressed the cash flow of the remaining non defeased loans
by applying a 10% reduction to 2008 fiscal year end net operating
income and applying an adjusted market cap rate between 7.5% and
10% to determine value.
Similar to Fitch's prospective analysis of recent vintage CMBS,
each loan also underwent a refinance test by applying an 8%
interest rate and 30-year amortization schedule based on the
stressed cash flow. Loans that could refinance to a debt service
coverage ratio of 1.25 times or higher were considered to payoff
at maturity. Eleven loans did not payoff at maturity, with five
loans incurring a loss when compared to Fitch's stressed value.
N-45 FIRST: Fitch Affirms Ratings on Series 2003-1 Notes
--------------------------------------------------------
Fitch Ratings affirms and assigns Loss Severity ratings and Rating
Outlooks to N-45 First CMBS Issuer Corporation, Series 2003-1:
-- $171.5 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $8.4 million class B at 'AAA/LS3'; Outlook Stable;
-- $16.8 million class C at 'AAA/LS2'; Outlook Stable;
-- $19.6 million class D at 'A/LS2'; Outlook Stable;
-- $14 million class E at 'BBB-/LS2'; Outlook Stable;
-- $9.1 million class F at 'B+/LS3'; Outlook Stable;
-- Interest-Only class IO at 'AAA'; Outlook Stable.
Fitch does not rate the $13.3 million class G.
The affirmations are due to the pool's stable performance and low
future expected losses following Fitch's prospective review of
potential stresses to the transaction. As of the March 2010
distribution date, the pool's certificate balance has paid down
54.9% to $252.6 million from $559.7 million at issuance.
There are 22 of the original 63 loans remaining in the
transaction. There are no specially serviced loans as of the
March 2010 remittance report. Fitch expects losses of
approximately 1.3% of the remaining pool balance from two loans
that cannot refinance at maturity based on Fitch's refinance test.
These losses are expected to be absorbed by the non-rated class G.
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
10.5% to determine value.
Similar to Fitch's prospective analysis of recent vintage
commercial mortgage backed securities, 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. Two loans did not
pay off at maturity, and the same two loans incurred a loss when
compared to Fitch's stressed value.
NEXTSTUDENT MASTER: Fitch Puts Nine Note Ratings on Negative Watch
------------------------------------------------------------------
Fitch Ratings has placed all notes from NextStudent Master Trust I
auction-rate student loan-backed notes, series 2006-1, on Rating
Watch Negative.
The Rating Watch Negative is due to the trust's inability to build
parity. Fitch used its Global Structured Finance Criteria to
review the transaction.
Since the last rating action in January 2009, senior parity
decreased from 101.62% to 100.57% and total parity decreased from
97.12% to 95.61% as of the February 2010 servicer report.
The notes are 100% taxable auction-rate securities which are
currently earning interest at the maximum interest rate. The
collateral supporting the bonds consists entirely of federally
guaranteed loans originated under the FFELP (Federal Family
Education Loan Program). FFELP loans are guaranteed by an
eligible guarantor and reinsured by the U.S. Department of
Education to at least 97% of principal and accrued interest. The
loans in the trust are serviced by ACS Education Services, Inc.
and Great Lakes Educational Loan Services, Inc.
Fitch has placed these notes on Rating Watch Negative:
-- Series 2006A-1 'BBB';
-- Series 2006A-2 'BBB';
-- Series 2006A-3 'BBB';
-- Series 2006A-4 'BBB';
-- Series 2006A-5 'BBB';
-- Series 2006A-6 'BBB';
-- Series 2006A-7 'BBB';
-- Series 2006A-8 'BBB';
-- Series 2006B-1 'B'.
NEXTSTUDENT MASTER: Fitch Puts 16 Note Ratings on Negative Watch
----------------------------------------------------------------
Fitch Ratings has placed all notes from NextStudent Master Trust I
auction-rate student loan-backed notes, series 2007-1, on Rating
Watch Negative.
The Rating Watch Negative is due to the trust's inability to build
parity. Fitch used its Global Structured Finance Criteria to
review the transaction.
Since the last rating action in January 2009, senior parity
decreased from 101.62% to 100.57% and total parity decreased from
97.12% to 95.61% as of the February 2010 servicer report.
The notes are 100% taxable auction-rate securities which are
currently earning interest at the maximum interest rate. The
collateral supporting the bonds consists entirely of federally
guaranteed loans originated under the FFELP (Federal Family
Education Loan Program). FFELP loans are guaranteed by an
eligible guarantor and reinsured by the U.S. Department of
Education to at least 97% of principal and accrued interest. The
loans in the trust are serviced by ACS Education Services, Inc.
and Great Lakes Educational Loan Services, Inc.
Fitch has placed these notes on Rating Watch Negative:
-- Series 2007A-1 'BBB';
-- Series 2007A-2 'BBB';
-- Series 2007A-3 'BBB';
-- Series 2007A-4 'BBB';
-- Series 2007A-5 'BBB';
-- Series 2007A-6 'BBB';
-- Series 2007A-7 'BBB';
-- Series 2007A-8 'BBB';
-- Series 2007A-9 'BBB';
-- Series 2007A-10 'BBB';
-- Series 2007A-11 'BBB';
-- Series 2007A-12 'BBB';
-- Series 2007A-13 'BBB';
-- Series 2007A-14 'BBB';
-- Series 2007A-15 'BBB'.
-- Series 2007B-1 'B'.
NORTHEAST HOUSING: Moody's Downgrades Ratings on $355 Mil. Bonds
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings for Northeast
Housing, LLC's $355 million of outstanding Taxable Military
Housing Revenue Refunding Bonds (Navy Northeast Family Housing
Privatization Project), Series 2007. The ratings on the three
series of Bonds are:
-- Series 2007 A-1 (Class I) in the amount of $259 million, from
Baa2 to Ba1
-- Series 2007 A-2 (Class I) in the amount of $25 million, from
Baa2 to Ba1; and
-- Series 2007 B (Class II) in the amount of $71 million, from
Baa3 to Ba3.
The outlook on the ratings is negative. This rating action
removes the bonds from Watchlist for possible downgrade.
This rating action reflects (i) the deteriorated credit quality of
the debt service reserve surety policy provided by Ambac Assurance
Corporation, which has been downgraded to Caa2 and (ii) lower than
expected occupancy rates at the projects that has resulted in
weaker financial performance than initially projected.
Credit Strengths:
* All units of new construction have been delivered, while
renovation and demolition work is 90% complete, on budget, and
scheduled to be completed by the end of the initial development
period in October 2010.
* The project received an overall increase in the basic allowance
for housing of 3.4% in December 2009.
* Balfour Beatty, as developer and property manager, has
significant experience in privatized military housing, which is
further enhanced by their actual presence and active management
of the property over the past several years.
Credit Weaknesses:
* The debt service reserve fund is funded by a surety bond from
Ambac which is currently rated Caa2. In the event of rental
income shortfall and insufficient moneys in operating reserve
accounts, bondholders would rely on the credit strength of Ambac
for debt service payment. For further information on the effect
of surety bond provider downgrades on the underlying ratings of
military housing transactions, please see Moody's Methodology
Update, Downgrade of Surety Bond Provider Could Result in Review
of Underlying Military Housing Ratings, April 2008 (108687).
* The aggregate occupancy rate for the 7 bases making up the Navy
Northeast Region averaged 84% for 2009. The lower than expected
occupancy rate was driven by weak demand at Naval Station
Newport, which represents 22% of end-state units. Occupancy
averaged 75% for 2009 at this base and continued to drop to 68%
for the first quarter 2010. Although the tenant waterfall has
been opened up to civilians throughout 2008 and 2009, Naval
Station Newport has had difficult increasing occupancy due to
soft market conditions in the local real estate market.
* Financial performance of the project has weakened due to high
vacancy rates and declining interest earnings for 2009. Based
on year-end financial statements for 2009, debt service coverage
was approximately 1.43x on the 2007A (Class I Bonds) and 1.14x
on the 2007B (Class II Bonds). Debt service on both classes of
bonds will increase in 2011 after the interest-only period ends
at the end of the initial development period. Debt service
coverage of maximum annual debt service for 2009 is
approximately 1.31x on the 2007A (Class I Bonds) and 1.05x on
the 2007B (Class II Bonds).
Outlook
The outlook is negative due to occupancy rates significantly lower
than anticipated, which has impacted the financial performance of
the project. The decrease in net operating income over the past
year, together with the absence of a debt service reserve fund,
increases the project's vulnerability to short-term operating
risks.
What Could Change The Rating Up
-- Improvement of financial performance and achievement of high
occupancy levels for several reporting periods.
-- Cash funding of debt service reserve fund, replacement of the
surety provider or an upgrade of the current surety bond
provider while maintaining strong financial performance.
What Could Change The Rating Down
-- Significant decline in BAH or continued stressed occupancy
levels that result in a decline in debt service coverage.
-- Downsizing or closure of any of the seven naval installations
that support the housing units.
Recalibration Of Rating To The Global Rating Scale;
Principal Methodology
The rating assigned to Northeast Housing, LLC, was issued on
Moody's municipal rating scale. Moody's has announced its plans
to recalibrate all U.S. municipal ratings to its global scale and
therefore, upon implementation of the methodology published in
conjunction with this initiative, the rating will be recalibrated
to a global scale rating comparable to other credits with a
similar risk profile. Market participants should not view the
recalibration of municipal ratings as rating upgrades, but rather
as a recalibration of the ratings to a different rating scale.
This recalibration does not reflect an improvement in credit
quality or a change in Moody's credit opinion for rated municipal
debt issuers.
OFFUTT AFB: Moody's Affirms 'Ba3' Rating on Taxable 2005 Bonds
--------------------------------------------------------------
Moody's Investors Service has affirmed the Ba3 rating on Offutt
AFB America First Communities, LLC Military Taxable Housing
Revenue Bonds Series 2005 Class I bonds; and the B1 rating on
Series 2005 Class II bonds. The rating is reflective of a debt
service reserve surety policy provided by Syncora Holdings Ltd.
(formerly XL Capital Assurance), and recent project performance.
Interest Rate Derivitives: None
Strengths
-- Occupancy has steadily improved to 93%.
-- Debt service coverage for 2009 is 1.51x for Class I and 1.21x
for Class II.
-- Construction is nearly complete, over 2 years ahead of
schedule.
Challenges
-- The debt service reserves are surety polices provided by
Syncora Holdings Ltd. (formerly XL Capital Assurance) which
is rated Ca with a developing outlook, as of the release of
this opinion.
-- Occupancy is below 95% (full occupancy) of end-state units; a
substantial number of occupants are unaccompanied soldiers
with BAH levels below that of accompanied soldiers.
-- Maximum annual debt service coverage is 1.29x for Class I and
1.03x for Class II; debt service begins to escalate in 2013.
-- The near term debt service coverage of the government direct
loan will likely be below 1.0x.
Recent Developments
The properties are currently in the fifth year of an eight-year
Initial Development Period. Construction is well ahead of
schedule. America First expects new construction will be complete
in April 2010, and the remaining few renovations will be complete
in summer, rather than the original projected completion date of
March 2013.
Occupancy continues to be lower than 95%, but has improved
substantially. March 2010 occupancy is 93% of end-state units,
substantially above the 81% experienced in 2008. However, 289 of
the 1,508 tenants were unaccompanied soldiers, which have BAHs
below that of accompanied soldiers, which are the intended
tenants.
Weighted average BAH growth based on end-state units rank mix was
strong in 2009 at 6.96%. Debt service coverage derived from 2009
audited financial statements is 1.51x for Class I and 1.21 Class
II. MADS coverage is 1.29x for Class I and 1.03x for Class II.
Moody's believes 2010 debt service coverage will likely decline as
2010 BAH increased by only .08%. However, the low BAH growth
could be offset if occupancy increases.
Outlook
The rating is stable due to the improved performance of the
project and near completion of IDP.
What Could Change The Rating Up
-- Higher than forecasted debt service coverage
-- Substantial BAH and occupancy increases
-- Replacement of the debt service reserve with cash or an
appropriate rated surety provider
What Could Change The Rating Down
-- BAH levels decreasing or a long period of no growth
-- Declining debt service coverage
-- Downsizing or closure of military facilities
-- Substantial or prolonged declines in occupancy
The rating assigned to Offutt AFB America First Communities LLC
was issued on Moody's municipal rating scale. Moody's has
announced its plans to recalibrate all U.S. municipal ratings to
its global scale and therefore, upon implementation of the
methodology published in conjunction with this initiative, the
rating will be recalibrated to a global scale rating comparable to
other credits with a similar risk profile. Market participants
should not view the recalibration of municipal ratings as rating
upgrades, but rather as a recalibration of the ratings to a
different rating scale.
OMEGA CAPITAL: S&P Withdraws 'CCC-' Rating on Class C-1U Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its 'CCC-' rating on
the class C-1U notes from Omega Capital Investments PLC's series
19, a synthetic corporate investment-grade collateralized debt
obligation transaction. S&P withdrew the rating because the
issuer purchased the notes and subsequently cancelled them.
Rating Withdrawn
Omega Capital Investments PLC
Palladium CDO I secured floating-rate notes series 19
Rating
------
Class To From
----- -- ----
C-1U NR CCC-
NR - Not rated.
PANHANDLE REGIONAL: Moody's Affirms 'Ca' Rating on Senior Bonds
---------------------------------------------------------------
Moody's Investors Service has affirmed the Ca rating on the Senior
Series 2000 A bonds the C ratings on the Subordinate Series 2000 C
and the Junior Subordinate Series 2000 D bonds for the Panhandle
(TX) Regional Housing Finance Corporation Multi-Family Housing
Revenue Bonds (Canterbury/Three Fountains/River Falls/Puckett
Place Apartments). The affirmation is based on continued
principal and interest payment defaults and failure to replenish
the debt service reserves. The Senior Series 2000 B bonds have
matured and the Subordinate E Series bonds are not rated.
No principal payment has been made on the bonds since March 1,
2006. On June 2, 2008, the trustee received sufficient funds from
the owner of the project, American Housing Foundation (AHF), in
order to pay the interest due on the Series A, C and D Bonds
through March 1, 2008. It has been reported that AHF filed
bankruptcy in 2009. No payments of principal or interest were
made towards the bonds on March 1, 2010.
According to both the August 10, 2007 notice to bondholders and a
February 22, 2007 notice, the trustee does not intend to make up
any shortfalls in the Bond Funds by transferring amounts from the
applicable Debt Service Reserve Funds. The trustee intends to
reserve these resources and apply them in the pursuit of remedial
actions to conserve the projects.
Outlook
The outlook for the bonds is negative based on Moody's expectation
that payment defaults will continue.
Recalibration Of Rating To The Global Rating Scale;
Principal Methodology
The rating assigned to the bonds was issued on Moody's municipal
rating scale. Moody's has announced its plans to recalibrate all
U.S. municipal ratings to its global scale and therefore, upon
implementation of the methodology published in conjunction with
this initiative, the rating will be recalibrated to a global scale
rating comparable to other credits with a similar risk profile.
Market participants should not view the recalibration of municipal
ratings as rating upgrades, but rather as a recalibration of the
ratings to a different rating scale. This recalibration does not
reflect an improvement in credit quality or a change in Moody's
credit opinion for rated municipal debt issuers.
The last rating action was on July 7, 2008, when Moody's
downgraded to Ca from Caa3 the rating on the Senior Series 2000 A
bonds and affirmed the C ratings on the Subordinate Series 2000 C
and the Junior Subordinate Series 2000 D bonds.
PARCS-R MASTER: S&P Downgrades Rating on 2007-19 Units to 'CC'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the trust
units from PARCS-R Master Trust's series 2007-19 to 'CC' from
'CCC'.
The transaction is directly linked to the rating on the M-2 notes
from ACE Securities Corp. Home Equity Loan Trust Series 2007-HE5
(a residential mortgage-backed securities subprime transaction),
which Standard & Poor's lowered to 'CC' on March 2, 2010.
PARK PLACE: Moody's Downgrades Ratings on 46 Tranches
-----------------------------------------------------
Moody's Investors Service has downgraded the ratings of 46
tranches and confirmed 21 ratings from 8 RMBS transactions issued
by Park Place. The collateral backing these deal primarily
consists of first-lien, adjustable and fixed rate subprime
residential mortgages.
The actions are a result of the continued performance
deterioration in Subprime pools in conjunction with home price and
unemployment conditions that remain under duress. The actions
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2007.
To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the
different pools and the structural features of the transaction
including priorities of payment distribution among the different
tranches, average life of the tranches, current balances of the
tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
Complete rating actions are:
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WCH1
-- Cl. A-2A, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ba1; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Caa2; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WCW1
-- Cl. A-1A, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-1B, Downgraded to Aa2; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2A, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to Aa3; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3D, Downgraded to Aa2; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ba3; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Caa2; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WCW3
-- Cl. A-1A, Downgraded to Aa1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-1B, Downgraded to A3; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Downgraded to A2; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Caa1; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WHQ1
-- Cl. A-2B, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3D, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Confirmed at Aa2; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Baa2; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to B3; previously on Jan 13, 2010 A3
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to Ca; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-7, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WHQ2
-- Cl. A-1A, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-1B, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2D, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Confirmed at A2; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to B1; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Caa2; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WHQ3
-- Cl. A-1A, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-1B, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2D, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Baa1; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to B2; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to Caa2; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-7, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WHQ4
-- Cl. A-1A, Downgraded to A2; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2D, Downgraded to Baa2; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Caa2; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WLL1
-- Cl. A-1B, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ba1; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Caa2; previously on Jan 13, 2010 A3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. M-7, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
PETRA CRE: S&P Downgrades Ratings 11 Classes of CRE CDO Deals
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 11
classes from Petra CRE CDO 2007-1 Ltd., a commercial real estate
collateralized debt obligation transaction. At the same time, S&P
removed the ratings from CreditWatch negative.
The downgrades follow S&P's analysis of the transaction using its
updated U.S. CRE CDO criteria, which was the primary driver of its
rating actions. The downgrades also reflect S&P's estimated
asset-specific recovery rates for the 11 loan assets
($261.6 million, 24.1%) reported as defaulted. S&P's analysis
included a review of the current credit characteristics of all of
the underlying collateral assets, as well as the transaction's
liability structure.
According to the March 25, 2010, trustee report, the transaction's
current asset pool included these:
* Twenty-six whole loans ($673.3 million, 62.0% of the collateral
pool);
* Fourteen subordinate interest loans ($270.7 million, 24.9%);
* Six commercial mortgage-backed securities (CMBS) tranches
($46.5 million, 4.3%);
* Eight CRE CDO tranches ($46.3 million, 4.3%); and
* One real estate investment trust (REIT) security ($50.0 million,
4.6%).
Standard & Poor's reviewed and updated credit estimates for all of
the nondefaulted loan assets. S&P based the analyses on its
adjusted net cash flow, which S&P derived from the most recent
financial data provided by the collateral manager, Petra Capital
Management, and the trustee, Wells Fargo Bank, N.A., as well as
market and valuation data from third-party providers.
The reported defaulted assets include 11 loan assets
($261.6 million, 24.1%). Standard & Poor's estimated asset-
specific recovery rates for the loan assets reported as defaulted,
which ranged from 0% through 35.7%. S&P based the recovery rates
on information from the collateral manager, special servicer, and
third-party data providers. The defaulted assets are:
* The 114 East 32nd Street senior interest loan ($67.7 million,
6.2%);
* The Bank of America Plaza subordinated loan ($34.6 million,
3.2%);
* The Fort Tryon senior interest loan ($30.5 million, 2.8%);
* The 272-276 West 86th Street senior interest loan
($24.5 million, 2.3%);
* The 160-08 Jamaica Avenue senior interest loan ($22.7 million,
2.1%);
* The Paladin senior interest loan ($18.0 million, 1.7%);
* The Resorts International senior interest loan ($17.1 million,
1.6%);
* The 1122-28 Chestnut Street senior interest loan ($16.5 million,
1.5%);
* The Mondrian Scottsdale subordinated loan ($13.9 million, 1.3%);
* The Allerton subordinated loan ($10.0 million, 0.9%); and
* The 357 West 16th Street senior interest loan ($6.1 million,
0.6%).
Standard & Poor's analyzed the transaction and its underlying
collateral assets in accordance with its current criteria. S&P's
analysis is consistent with the lowered ratings.
Ratings Lowered And Removed From Creditwatch Negative
Petra CRE CDO 2007-1 Ltd.
Collateralized debt obligation notes
Rating
------
Class To From
----- -- ----
A-1 A+ AAA/Watch Neg
A-2 A- AAA/Watch Neg
B BBB+ AA/Watch Neg
C BBB- A+/Watch Neg
D BB+ A/Watch Neg
E BB+ A-/Watch Neg
F BB+ BBB+/Watch Neg
G BB BBB/Watch Neg
H B+ BBB-/Watch Neg
J B BB/Watch Neg
K CCC+ B/Watch Neg
PNC MORTGAGE: Moody's Reviews Ratings on Seven 2000-C1 Certs.
-------------------------------------------------------------
Moody's Investors Service placed seven classes of PNC Mortgage
Acceptance Corp., Commercial Mortgage Pass-Through Certificates,
Series 2000-C1 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 loans
approaching maturity in an adverse environment. Although the pool
has paid down significantly since Moody's last review, the
exposure to specially serviced loans has also increased, from 1%
to 50% of pool. Additionally, a large portion of the pool, 80%,
is scheduled to mature within the next six months in a challenged
refinancing 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 distribution date, the transaction's
aggregate certificate balance has decreased by 81% to
$156.3 million from $801.0 million at securitization. The
Certificates are collateralized by 54 mortgage loans ranging in
size from less than 1% to 11% of the pool, with the top ten loans
representing 51% of the pool. Two loans, representing 2% of the
pool, have defeased and are collateralized by U.S. Government
securities.
Fourteen 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.
Twenty-one loans have been liquidated from the pool resulting in a
$13.1 million aggregate loss (21% loss severity on average).
Twenty-one loans, representing 50% of the pool, are currently in
special servicing. The specially serviced loans are secured by a
mix of retail, multifamily, office, industrial and hotel
properties. Twenty of the specially serviced loans have, or are
scheduled to mature within the next month.
Moody's rating action is:
-- Class F, $ 12,016,000, currently rated A1, on review for
possible downgrade; previously upgraded to A1 from A3 on
09/25/2008
-- Class G, $ 12,017,000, currently rated Baa1, on review for
possible downgrade; previously upgraded to Baa1 from Baa2 on
09/25/2008
-- Class H, $ 18,024,000, currently rated Ba2, on review for
possible downgrade; previously assigned at Ba2 on 11/08/2000
-- Class J, $ 8,011,000, currently rated Ba3, on review for
possible downgrade; previously assigned at Ba3 on 11/08/2000
-- Class K, $ 7,010,000, currently rated B2, on review for
possible downgrade; previously downgraded to B2 from B1 on
05/23/2006
-- Class L, $ 8,011,000, currently rated Caa2, on review for
possible downgrade; previously downgraded to Caa2 from Caa1
on 05/23/2006
-- Class M, $ 5,957,324, currently rated Ca, on review for
possible downgrade; previously downgraded to Ca from Caa2 on
05/23/2006
PNCMT TRUST: S&P Corrects Ratings on Series 2000-1 Notes From 'B'
-----------------------------------------------------------------
Standard & Poor's Ratings Services corrected its ratings on
classes II-A-1, II-X, III-P, and V-P from PNCMT Trust Series 2000-
1 by raising them to 'AAA' from 'B'.
On March 1, 2010, as part of a larger review of U.S. residential
mortgage-backed securities backed by prime jumbo and Alternative-A
collateral, S&P lowered the 'AAA' ratings on these classes to 'B'
based on incorrect data regarding the current interest shortfall
amount on the II-A-1 class. The downgrade of class II-A-1
prompted us to downgrade class II-X, which is an interest-only
class, and classes III-P and V-P, which are principal-only
classes.
Ratings Corrected
PNCMT Trust Series 2000-1
Rating
------
Class CUSIP Current March 1 Pre-March 1
----- ----- ------- ------- -----------
II-A-1 23321P5P9 AAA B AAA
II-X 23321P5U8 AAA B AAA
III-P 23321P5X2 AAA B AAA
V-P 23321P5Y0 AAA B AAA
PRINCETON: S&P Upgrades Rating on Bonds to 'BB' From 'BB-'
----------------------------------------------------------
Standard & Poor's Ratings Services raised its rating to 'BB' from
'BB-' on Princeton, West Virginia's series 1993 and 1999 revenue
bonds, issued for Princeton Community Hospital.
The upgrade reflects Standard & Poor's assessment of PCH's
improved balance sheet metrics over historical levels that are
more consistent with a higher rating. Also, Princeton has posted
positive operating results since 2006 and expects continued
improvement following the ramp up of the new behavior health
facility.
The 'BB' rating reflects S&P's view of PCH's improvement in
operating performance through fiscal year-to-date with
$1.9 million operating income through the seven months ended
Jan. 31, 2010; solid balance sheet with 82% unrestricted cash to
long term debt at 2009 fiscal year-end and long-term debt to
capital equal to 46.5%; improving liquidity with 113 days' cash on
hand on Jan. 31, 2010, that has increased marginally from fiscal
2009 (June 30 year-end) with 99 days' cash on hand; and weak
demographic factors, including a declining population and below-
average income levels.
"The outlook is positive based on S&P's assessment of PCH's stable
balance sheet and improved operating performance through the
interim seven months of fiscal 2010," said Standard & Poor's
credit analyst Jessica Goldman. "S&P expects the hospital's
capital needs to be manageable and within the hospital's ability
to finance with internally generated cash flow," said Ms. Goldman.
In Standard & Poor's opinion, a higher rating is possible but
would need to be accompanied by continued improvement in the
balance sheet and debt service coverage, while demonstrating
continued strong operations. While not expected, Standard &
Poor's believes a substantial decline in operating income or
balance sheet strength could pressure the rating, as could an
unexpected and sizable capital program or related debt issuance.
Standard & Poor's considers PCH's debt leverage moderate with
long-term debt to capitalization at 46.5% at the end of fiscal-
year 2009. Cash to debt is strong in Standard & Poor's view at
82.0% as of June 30, 2009. Capital spending has been constrained
in the past few years, leading to an age of plant of 17.8 years.
Management expects approximately $7 million on capital
expenditures in fiscal 2010.
A revenue pledge of PCH secures the bonds. PCH is consolidated
with St. Luke's Hospital, which closed in May 2007, and a
foundation. PCH is the primary entity and operates a 267-bed
acute-care facility in Princeton, in Mercer County.
PRUDENTIAL COMMERCIAL: Fitch Takes Rating Action on Certs.
----------------------------------------------------------
Fitch Ratings downgrades and assigns Rating Outlooks and Loss
Severity ratings to Prudential Commercial Mortgage Trust
commercial mortgage pass-through certificates, series 2003-PWR1,
as indicated:
-- $7.2 million class J to 'BB/LS5' from 'BBB-'; Outlook
Negative;
-- $4.8 million class K to 'BB/LS5' from 'BBB-'; Outlook
Negative;
-- $7.2 million class L to 'B/LS5' from 'BB'; Outlook Negative;
-- $3.6 million class M to 'B-/LS5' from 'B+'; Outlook Negative;
-- $3.6 million class N to 'B-/LS5' from 'B'; Outlook Negative.
In addition, Fitch affirms these classes and assigns Outlooks and
LS ratings as indicated:
-- $88.1 million class A-1 at 'AAA/LS1'; Outlook Stable;
-- $518.2 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- Interest-only class X-1 at 'AAA'; Outlook Stable;
-- Interest-only class X-2 at 'AAA'; Outlook Stable;
-- $32.4 million class B at 'AAA/LS3'; Outlook Stable;
-- $36 million class C at 'AAA/LS3'; Outlook Stable;
-- $14.4 million class D at 'AA+/LS4'; Outlook Stable;
-- $9.6 million class E at 'AA/LS5'; Outlook Stable;
-- $10.8 million class F at 'A+/LS5'; Outlook Stable;
-- $12 million class G at 'A/LS5'; Outlook Stable;
-- $16.8 million class H at 'BBB/LS4'; Outlook Negative.
Fitch does not rate the $14.4 million class P certificates.
The downgrades are due to an increase in Fitch expected losses
following Fitch's prospective review of potential stresses and
expected losses associated with specially serviced assets. Fitch
expects losses of 2.6% of the remaining pool balance,
approximately $19.9 million, the majority of which are from loans
that cannot refinance at maturity based on Fitch's stressed
refinance test.
As of the March 2010 distribution date, the pool's collateral
balance has paid down 18.8% to $779.1 million from $960 million at
issuance. Fourteen of the remaining loans have defeased (20.4%).
As of March 2010, there are two specially serviced loans (6.9%).
The largest specially serviced loan, Brandywine Office Building &
Garage (5.9%), is secured by a 443,632 square foot office building
located in Wilmington, DE. The loan transferred to special
servicing in December 2009 for imminent default. The anticipated
repayment date for the loan was October 2009. The building's
largest tenant continues to pay rent after vacating its space
prior to lease expiration and another large tenant is expected to
vacate at a later date.
The second largest specially serviced loan (0.9%) is secured by an
85,384 sf retail property located in Muskegon, MI. The loan
transferred to special servicing in February 2009 for imminent
default after the borrower requested a loan modification. The
property lost a large tenant, Circuit City, and the reported
occupancy was 63% as of June 2009.
The largest Fitch Loan of Concern that is not specially serviced
is the Renaissance Pere Marquette Hotel (2.8%), a full-service
hotel located in the French Quarter area of New Orleans, LA. The
property underwent renovations after the hotel had experienced
damage due to Hurricane Katrina. The loan remains current;
however, the currently reported cash flow is insufficient to
service the debt.
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
10.5% 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. Sixteen loans did not payoff at maturity with six
loans incurring a loss when compared to Fitch's stressed value.
REMIC MORTGAGE: Fitch Affirms 'BB+/LS3' Rating on 1996-M5 Certs.
----------------------------------------------------------------
Fitch Ratings affirms, and assigns a Loss Severity rating and
Rating Outlook Wisconsin Avenue Securities, subordinate REMIC
mortgage pass-through certificates, series 1996-M5:
-- $4.4 million class C at 'BB+/LS3'; Outlook Stable.
The $6.5 million class D certificates are not rated by Fitch. To
date, the deal has suffered $3 million in losses.
The rating affirmation reflects sufficient credit support to class
C given Fitch expected losses and the highly concentrated nature
of the transactions. As of the October 2007 distribution date,
the transaction's aggregate principal balance has decreased 96% to
$10.9 million from $216 million at issuance. Currently, three of
the original 63 loans remain outstanding, of which two loans are
specially serviced. Fitch expected losses from specially serviced
loans will be absorbed by class D.
The largest remaining loan (44.9%) in the transaction is a real
estate owned multifamily property in Atlanta, Georgia. The most
recent occupancy as of March 2010 is 57%. The special servicer is
working to stabilize the asset before marketing it of sale.
REVE SPC: S&P Downgrades Rating on Class B Notes to 'CC'
--------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
B notes from REVE SPC's series 58 to 'CC' from 'CCC-'.
The lowered rating follows a number of recent losses the
transaction incurred due to credit events affecting underlying
reference entities, which have caused the notes to incur partial
principal losses.
Rating Lowered
REVE SPC Series 58
Rating
------
Class To From
----- -- ----
B CC CCC-
SANDELMAN PARTNERS: S&P Downgrades Ratings on Three Classes
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on three
classes from Sandelman Partners CRE CDO I Ltd., a commercial real
estate collateralized debt obligation transaction. At the same
time, S&P removed the ratings from CreditWatch negative.
The downgrades follow S&P's analysis of the transaction using
S&P's updated U.S. CRE CDO criteria, which was the primary driver
of S&P's rating actions. The downgrades also reflect S&P's
estimated asset-specific recovery rates for the four loan assets
($169.0 million, 34.1%) reported as defaulted. S&P's analysis
included a review of the current credit characteristics of all of
the underlying collateral assets, as well as the transaction's
liability structure.
According to the March 18, 2010, trustee report, the transaction's
current asset pool includes these:
* Three whole loans and senior interest loans ($139.0 million,
28.0% of the collateral pool);
* Five subordinate interest loans ($124.5 million, 25.1%);
* Thirty-six commercial mortgage-backed securities tranches
($192.6 million, 38.8%); and
* Two term loans ($40.3 million, 8.1%).
Standard & Poor's reviewed and updated credit estimates for all of
the nondefaulted loan assets. S&P based the analyses on its
adjusted net cash flow, which S&P derived from the most recent
financial data provided by the collateral manager, Sandelman
Partners L.P., and trustee, Deutsche Bank Trust Co. Americas, as
well as market and valuation data from third-party providers.
According to the trustee report, the transaction includes five
defaulted assets: four loan assets ($169.0 million, 34.1%) and one
CMBS tranche ($5.0 million, 1.0%). Based on information provided
by the collateral manager, special servicer, and market data,
Standard & Poor's estimated asset-specific recovery rates for the
loan assets reported as defaulted ranged from 0% through 70.9%.
The defaulted assets are:
* The Spanish Peaks senior interest loan ($49.2 million, 9.9%);
* The Oakwood Center senior interest loan ($47.5 million, 9.6%);
* The Marriott Sawgrass senior interest loan ($42.3 million,
8.5%);
* The Fountainebleau Florida Hotel term loan ($30.0 million,
6.0%); and
* The GS Mortgage Securities Corp. II 2006-GG8, class K
($5.0 million, 1.0%).
According to the trustee report, the deal is passing all interest
coverage tests but failing three overcollateralization coverage
tests.
Standard & Poor's analyzed the transaction and its underlying
collateral assets in accordance with S&P's current criteria.
S&P's analysis is consistent with the lowered ratings.
Ratings Lowered And Removed From Creditwatch Negative
Sandelman Partners CRE CDO I Ltd.
Collateralized debt obligations
Rating
------
Class To From
----- -- ----
A-1 AA AAA/Watch Neg
A-2 BBB+ AAA/Watch Neg
B BB+ AA/Watch Neg
SCHOONER TRUST: Moody's Affirms Ratings on 14 2006-5 Certificates
-----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 14 classes of
Schooner Trust, Commercial Mortgage Pass-Through Certificates,
Series 2006-5. The affirmations are due to overall stable pool
performance and 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. 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 9% to
$442.7 million from $486.6 million at securitization. The
Certificates are collateralized by 91 mortgage loans ranging in
size from less than 1% to 6% of the pool, with the top ten non-
defeased loans representing 36% of the pool. Three loans,
representing 5% of the pool, have defeased and are secured by
Canadian Government securities. Defeasance at last review
represented a similar amount of the pool. Two loans, representing
9% of the pool, have investment grade underlying ratings.
Five loans, representing 4% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance.
The transaction has not experienced any realized losses and
currently there are no loans in special servicing.
Moody's was provided with year-end 2008 or partial-or full year
2009 operating statements for 91% of the pool. Moody's weighted
average LTV for the conduit pool is 85% compared to 87% at Moody's
prior full review.
Moody's actual and stressed DSCRs are 1.43X and 1.23X,
respectively, compared to 1.39X and 1.13X 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 46, essentially the same as last review.
The largest loan with an underlying rating is the Briton House
Loan ($28.1 million -- 6.3% of the pool), which is secured by a
220-unit retirement facility located in downtown Toronto, Ontario.
As of April 2009, the property was 90% leased, the same as last
review. Moody's underlying rating and stressed DSCR are Baa2 and
1.49X, respectively, compared to Baa2 and 1.54X at last review.
The second loan with an underlying rating is the Greenwood Beach
Retail Center ($12.8 million -- 2.9% of the pool), which is
secured by a 105,000 square foot retail center located in Toronto,
Ontario. The largest tenants include a six-screen movie theater,
an off-track betting center and a physical fitness club. As of
July 2009, the center was 100% leased, the same as last review.
Performance has improved since last review and the loan benefits
from a 20-year amortization schedule. The loan has amortized 8%
since last review. Moody's underlying rating and stressed DSCR
are Baa2 and 1.57X, respectively, compared to Baa3 and 1.41X at
last review.
The top three non-defeased conduit loans represent 12% of the
pool. The largest loan is the Lindsay Square Loan ($19.3 million
-- 4.4% of the pool), which is secured by a 193,000 square foot
retail center located in Lindsay, Ontario. The center is anchored
by Zellers (51% of the net rentable area; lease expiration August
2012) and Pharma Plus (5% of the NRA; lease expiration December
2015). As of March 2009, the property was 97% leased compared to
94% at last review. Moody's LTV and stressed DSCR are 87% and
1.12X, respectively, compared to 88% and 1.11X at last review.
The second largest conduit loan is the 380 & 400 Waterloo Avenue
Loan ($17.5 million -- 4.0% of the pool), which is secured by a
262-unit multifamily property located in Guelph, Ontario. As of
February 2009 the property was 97% leased, the same as last
review. Moody's LTV and stressed DSCR are 93% and 0.90X,
respectively, the same as last review.
The third largest conduit loan is Springdale Square Loan
($16.4 million -- 3.7% of the pool), which is secured by a 105,000
square foot retail property located in Brampton, Ontario. The
center is anchored by Fortino's, which leases 59% of the NRA
through March 2011. The property was 100% leased as of March
2009, essentially the same as at last review. Moody's LTV and
stressed DSCR are 94% and 0.97X, respectively, compared to 95% and
0.97X at last review.
Moody's rating action is:
-- Class A-1, $148,677,374, affirmed at Aaa; previously assigned
Aaa on 2/28/2006
-- Class A-2, $241,000,000, affirmed at Aaa; previously assigned
Aaa on 2/28/2006
-- Class XP, Notional, affirmed at Aaa; previously assigned Aaa
on 2/28/2006
-- Class XC, Notional, affirmed at Aaa; previously assigned Aaa
on 2/28/2006
-- Class B, $9,200,000, affirmed at Aa2; previously assigned Aa2
on 2/28/2006
-- Class C, $10,340,000, affirmed at A2; previously assigned A2
on 2/28/2006
-- Class D, $13,399,322, affirmed at Baa2; previously assigned
Baa2 on 2/28/2006
-- Class E, $3,041,325, affirmed at Baa3; previously assigned
Baa3 on 2/28/2006
-- Class F, $3,649,591, affirmed at Ba1; previously assigned Ba1
on 2/28/2006
-- Class G, $1,824,795, affirmed at Ba2; previously assigned Ba2
on 2/28/2006
-- Class H, $1,216,530, affirmed at Ba3; previously assigned Ba3
on 2/28/2006
-- Class J, $1,216,530, affirmed at B1; previously assigned B1
on 2/28/2006
-- Class K, $1,216,530, affirmed at B2; previously assigned B2
on 2/28/2006
-- Class L, $2,433,060, affirmed at B3; previously assigned B3
on 2/28/2006
SCHOONER TRUST: Moody's Affirms Ratings on 17 2005-3 Certs.
-----------------------------------------------------------
Moody's Investors Service affirmed the ratings of 17 classes of
Schooner Trust, Commercial Mortgage Pass-Through Certificates,
Series 2005-3. The affirmations are due to overall stable pool
performance and key rating parameters, including Moody's loan to
value ratio, Moody's debt service coverage ratio and the
Herfindahl Index, remaining within acceptable ranges. The 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 14% to $339 million
from $396 million at securitization. The Certificates are
collateralized by 86 mortgage loans ranging in size from less than
1% to 7% of the pool, with the top ten loans representing 45% of
the pool. The pool includes two loans, representing 7% of the
pool, with investment grade underlying ratings. Six loans,
representing 4% of the pool, have defeased and are secured by
Canadian Government securities.
Nine loans, representing 4% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance.
The pool has not experienced any losses since securitization and
currently there are no loans in special servicing. There are full
or partial recourse provisions on 54% of the loans in the pool.
Moody's was provided with full-year 2008 operating results for
100% of the pool. Moody's weighted average LTV for the conduit
pool is 75% compared to 80% at last review. Although the overall
LTV has declined slightly, credit quality dispersion has
increased. Based on Moody's analysis, 10% of the conduit pool has
an LTV greater than 100% compared to 1% at last review.
Excluding the loans with underlying ratings, Moody's actual and
stressed DSCRs are 1.46X and 1.38X, respectively, compared to
1.22X and 1.24X 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
conduit pool has a Herf of 31 compared to 36 at last review.
The largest loan with an underlying rating is the Vaughan
Industrial Pool Loan ($12.2 million -- 3.6% of the pool), which is
secured by 17 industrial buildings located in Vaughan, Ontario.
The portfolio was 76% leased as of December 2008 compared to 94%
at last review. The decline in property performance due to higher
vacancy has been offset by principal amortization. The loan is
structured with a 15-year amortization schedule and has amortized
22% since last review. The loan is 100% recourse to the borrower.
Moody's current underlying rating and stressed DSCR are Baa1 and
1.51X, respectively, compared to Baa1 and 1.56X at last review.
The second loan with an underlying rating is the 71 Rexdale
Boulevard Loan ($11.1 million -- 3.3% of the pool), which is
secured by a 167,000 square foot single-tenant industrial
building. The property is currently 100% leased to Cargill
Limited (Moody's senior unsecured rating A2, stable outlook)
through September 2012. Moody's current underlying rating and
stressed DSCR are Baa3 and 1.27X, respectively, compared to Baa3
and 1.23X at last review.
The three largest conduit loans represent 18% of the outstanding
pool balance. The largest conduit loan is the Portsmouth Place
Loan ($22.1 million -- 6.5% of the pool), which is secured by
three multifamily complexes located in Kingston, Ontario. As of
February 2009, all three of the properties were 100% leased. The
loan is 100% recourse to the borrower. Moody's current LTV and
stressed DSCR are 80% and 1.05X, respectively, compared to 81% and
1.03X at last review.
The second largest loan is the Metro Self Storage Portfolio Loan
($20.0 million -- 5.9% of the pool), which is secured by seven
self-storage properties located across Halifax and Nova Scotia.
The portfolio was 93% leased as of December 2008 compared to 87%
at last review. Property performance has been stable and the loan
has benefited from principal amortization. The loan has amortized
6% since last review. Moody's current LTV and stressed DSCR are
76% and 1.32X, respectively, compared to 82% and 1.22X at last
review.
The third largest conduit loan is the Corner Brook Plaza Loan
($19.7 million -- 5.8% of the pool), which is secured by a 233,347
square foot retail center located in Corner Brook, Newfoundland.
The property was 96% leased as of December 2008, essentially the
same as at last review. Although occupancy has remained stable,
Moody's is concerned about near-term lease rollovers. Leases
representing approximately 51% of the net rentable area expire
within the next 18 months. Moody's analysis reflects a stressed
cash flow to reflect potential increased vacancy due to lease
rollovers. Moody's current LTV and stressed DSCR are 93% and
1.11X, respectively, compared to 75% and 1.36X at last review.
Moody's rating action is:
-- Class A-1, $93,103,351, affirmed at Aaa, previously assigned
Aaa on 4/7/2005
-- Class A-2, $204,700,000, affirmed at Aaa, previously assigned
Aaa on 4/7/2005
-- Class XP-1, Notional, affirmed at Aaa, previously assigned
Aaa on 4/7/2005
-- Class XP-2, Notional, affirmed at Aaa, previously assigned
Aaa on 4/7/2005
-- Class XC-1, Notional, affirmed at Aaa, previously assigned
Aaa on 4/7/2005
-- Class XC-2, Notional, affirmed at Aaa, previously assigned
Aaa on 4/7/2005
-- Class B, $6,400,000, affirmed at Aa2, previously assigned Aa2
on 4/7/2005
-- Class C, $8,500,000, affirmed at A2, previously assigned A2
on 4/7/2005
-- Class D-1, $4,000,000, affirmed at Baa2, previously assigned
Baa2 on 4/7/2005
-- Class D-2, $5,400,000, affirmed at Baa2, previously assigned
Baa2 on 4/7/2005
-- Class E, $2,500,000, affirmed at Baa3, previously assigned
Baa3 on 4/7/2005
-- Class F, $2,969,745, affirmed at Ba1, previously assigned Ba1
on 4/7/2005
-- Class G, $1,979,830, affirmed at Ba2, previously assigned Ba2
on 4/7/2005
-- Class H, $1,484,873, affirmed at Ba3, previously assigned Ba3
on 4/7/2005
-- Class J, $989,915, affirmed at B1, previously assigned B1 on
4/7/2005
-- Class K, $1,484,873, affirmed at B2, previously assigned B2
on 4/7/2005
-- Class L, $1,979,830, affirmed at B3, previously assigned B3
on 4/7/2005
SEAWALL SPC: Moody's Downgrades Ratings on Series 2008-39 Notes
---------------------------------------------------------------
Moody's Investors Service downgraded one class of Notes issued by
Seawall SPC -- Series 2008-39 due to deterioration in the credit
quality of the underlying reference obligation since last review.
The rating action is the result of Moody's on-going surveillance
of commercial real estate collateralized debt obligation
transactions.
Seawall SPC -- Series 2008-39 is a synthetic CRE CDO pass-through
structure referencing $20 million, or 12% of the aggregate class
principal balance, of Class A-2A of COMM 2008-RS3 Commercial
Mortgage Related Securities, Series 2008-RS3 (Underlying
Certificate).
On March 26, 2010, Moody's downgraded the Underlying Certificate
to Ba2 due to deterioration in the credit quality of the
underlying portfolio as evidenced by deterioration in the weighted
average rating factor.
Since the rating of the Seawall SPC -- Series 2008-39 Note is
linked to the rating of the Underlying Certificate, any rating
action on the Underlying Certificate may trigger a review of the
rating of the Notes.
The rating action is:
-- Seawall SPC- Series 2008-39, Downgraded to Ba2; previously on
March 19, 2009 Downgraded to Aa3
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors. The
rating outcome may differ from the model output.
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.
SPARKS REGIONAL: Moody's Upgrades Rating on Series 2002 Certs.
--------------------------------------------------------------
Moody's Investors Service upgraded the rating of Sparks Regional
Medical Center Lease Certificates of Participation Series 2002.
For this credit tenant lease transaction, the upgrade is primarily
based on the rating of Health Management Associates, Inc., which
acquired substantially all of the assets of Sparks Regional
Medical Center, the original lessee of the facilities supporting
the transaction with consideration given to the source of funds
(lease payments versus refinance proceeds) for the repayment of
the three certificates.
The rating action is the result of Moody's on-going surveillance
of commercial mortgage backed securities transactions.
The transaction currently consists of three Certificates which are
due June 15, 2012, June 15, 2017, and June 15, 2022, respectively.
The Certificates evidence proportionate undivided interests in 19
medical facilities which were originally leased to Sparks. On
December 1, 2009, HMA (long term issuer rating B1, stable outlook)
acquired substantially all of Sparks assets, including the
assignment of Sparks' interest under the lease supporting this
transaction. The lease expires on June 30, 2017, subject to a
five year extension option.
The scheduled lease payments are sufficient to completely pay off
the Certificates due June 2012 and June 2017. Because there still
will be an outstanding balance for the Certificates due June 2022
at the end of the tenant's initial lease term, the transaction was
structured with a residual value insurance policy issued by R.V.I.
America Insurance Company (RVI). The policy is for $10,750,000,
which is the principal amount of the Certificates due June 2022.
On February 4, 2009, Moody's downgraded RVI's financial strength
rating to Baa3 from A3 and subsequently withdrew the rating.
Moody's upgraded the Certificates due June 2012 and 2017 to B1
based on the credit rating of HMA. The rating on the Certificates
due June 2022 is notched down from HMA's rating due to the size of
the loan balance at maturity relative to the value of the
collateral assuming the existing tenant is no longer in occupancy
(the "dark" value).
Moody's rating action is:
-- Term Certificates due June 15, 2012, $5,995,000, upgraded to
B1 from Caa1; previously downgraded to Caa1 from B2 on
1/29/2009
-- Term Certificates due June 15, 2017, $14,570,000, upgraded to
B1 from Caa1; previously downgraded to Caa1 from B2 on
1/29/2009
-- Term Certificates due June 15, 2022, $10,175,000, upgraded to
B2 from Caa1; previously downgraded to Caa1 from B2 on
1/29/2009
The ratings on the notes were assigned by evaluating factors
determined to be applicable to the credit profile of the notes,
such as: i) the nature, sufficiency and quality of historical
performance information regarding the asset class as well as for
the transaction sponsor; ii) an analysis of the collateral being
securitized; iii) an analysis of the policies, procedures and
alignment of interests of the key parties to the transaction, most
notably the originator and the servicer; iv) an analysis of the
transaction's governance and legal structure; and vi) a comparison
of these attributes against those of other similar transactions.
In rating this transaction, Moody's used its CTL financing rating
methodology. Under Moody's CTL approach, the rating of a
transaction's certificates is primarily based on the senior
unsecured debt rating (or the corporate family rating) of the
tenant, usually an investment grade rated company, leasing the
real estate collateral supporting the bonds. This tenant's credit
rating is the key factor in determining the probability of default
on the underlying lease. The lease generally is "bondable", which
means it is an absolute net lease, yielding fixed rent paid to the
trust through a lock-box, sufficient under all circumstances to
pay in full all interest and principal of the loan. The leased
property should be owned by a bankruptcy-remote, special purpose
borrower, which grants a first lien mortgage and assignment of
rents to the securitization trust. The dark value of the
collateral, which assumes the property is vacant or "dark", is
then examined; the dark value must be sufficient, assuming a
bankruptcy of the tenant and rejection of the lease, to support
the expected loss consistent with the certificates' rating. The
certificates' rating will change as the senior unsecured debt
rating (or the corporate family rating) of the tenant may change.
Moody's also considers the overall structure and legal integrity
of the transaction.
TARRANT COUNTY: Moody's Affirms 'Ca' Rating on Revenue Bonds
------------------------------------------------------------
Moody's Investor's Service has affirmed the underlying Ca rating
on Tarrant County Housing Finance Corporation's Multifamily
Housing Revenue Bonds (Crossroads Apartment Project d/b/a The
Brentwood Apartments) Senior Series 2001A. The senior series
bonds continue to be insured by National Public Finance Guarantee
Corporation. Moody's also affirms the C rating on the Subordinate
Series 2001C bonds. The outlook on both series of debt remains
stable.
Legal Security:
Special obligation of the issuer; bonds are secured by rental
revenue and any funds pledged to bondholders under the trust
indenture.
Recent Developments:
The property owner, PWA Coalition of Dallas, the property manager,
Pacific West Management, and the senior series bond insurer,
National Public Finance Guarantee Corporation, continue to work to
revive the property. Fiscal year 2008 financial statements
indicate an improvement in debt service coverage from prior years.
In 2008, coverage on the Series 2001A bonds was 0.24x, as compared
to 0.064x in fiscal year 2007. Coverage on the Series 2001C bonds
was 0.21x, as compared to 0.056x in fiscal year 2007. Property
management has provided Moody's with unaudited operating
statements for the 2009 fiscal year. The debt service coverage on
the Series 2001A bonds improved to 0.63x, and the coverage on the
Series 2001C bonds improved to 0.56x. Despite the improvement in
the operating performance of the property, the Series 2001C bonds
remain in default and Series 2001A bondholders are dependent on
National Public Finance Guarantee for continuing debt service
payments. The Debt Service Reserve Fund for both series of bonds
remains unfunded.
Outlook
The outlook on the bonds remains stable.
What could change the rating -- UP
* Sustained and significant improvement in debt service coverage
ratio
* Replenishing the Debt Service Reserve Funds and Replacement
Reserve Fund
What could change the rating -- DOWN
* n/a
The ratings assigned to Tarrant County Housing Finance
Corporation's Multifamily Housing Revenue Bonds, Series 2001A and
Series 2001C were issued on Moody's municipal rating scale.
Moody's has announced its plans to recalibrate all U.S. municipal
ratings to its global scale and therefore, upon implementation of
the methodology published in conjunction with this initiative, the
rating will be recalibrated to a global scale rating comparable to
other credits with a similar risk profile. Market participants
should not view the recalibration of municipal ratings as rating
upgrades, but rather as a recalibration of the ratings to a
different rating scale. This recalibration does not reflect an
improvement in credit quality or a change in Moody's credit
opinion for rated municipal debt issuers.
The last rating action was taken on October 23, 2009, when the
ratings and outlook on Tarrant County Housing Finance
Corporation's Multifamily Housing Revenue Bonds, Series 2001A and
Series 2001C were affirmed.
TRAVIS COUNTY: Moody's Affirms 'Ba3' Rating on Series 2002A Bonds
-----------------------------------------------------------------
Moody's Investors Service has affirmed the underlying rating on
Travis County (TX) Housing Finance Corporation Multifamily Housing
Revenue Bonds (Park at Wells Branch Apartments Project) Series
2002A at Ba3 and the rating on Subordinate Series 2002C at Ca.
The outlook on both series remains stable. The rating affirmation
is based on stabilizing debt service coverage ratios on both
series of bonds while maintaining the balance of the Series 2002A
Debt Service Reserve Fund.
The Series 2002B bonds have matured and the Junior Subordinate
Series 2002D bonds are not rated. The Series 2002A bonds continue
to be insured by National Public Finance Guarantee (formerly MBIA)
and carry National's financial strength rating (currently rated
Baa1). The Subordinate Series 2002C bonds are not insured.
Park at Wells Branch is a 304-unit apartment complex composed of
18 apartment buildings, and is located in the northern section of
the Austin metropolitan area in Travis County, Texas. The
property has been experiencing financial difficulties since 2003,
largely due to the weakness of the Austin multifamily rental
market. Occupancy rates fell during that time and the property
offered substantial concessions to tenants. The ensuing reduction
in rental revenues caused the property's financial performance to
deteriorate. The Series 2002C bonds first defaulted in June 2005,
and subsequent debt service payments were missed on the
subordinate series.
Legal Security: The bonds are limited obligations payable solely
from the revenues, receipts and security pledged in the Trust
Indenture. Funds are pledged first to the payment of the
principal and interest due on the Series 2002A bonds, then to the
principal and interest due on the Series 2002C bonds, and last, to
the principal and interest due on the Series 2002D bonds. The
Indenture provides for a Debt Service Reserve Fund for each series
of bonds. As of August, 2008, the Trustee reports that only the
Debt Service Reserve Fund for Series 2002A bonds remains fully
funded at the maximum annual debt service on the Series 2002A
bonds. The 2002C Debt Service Reserve Fund has been depleted.
Interest Rate Derivatives: none
Credit Strengths:
* Stabilizing debt service coverage ratios: Based on fiscal year
2008 audited financial statements, Moody's has calculated 1.21x
debt service coverage for Series 2002A bonds and 0.99x debt
service coverage for Series 2002C bonds. The subordinate series
coverage ratio was calculated net of National's insurance fee.
These debt service coverage levels show improving financial
performance. The Series 2002A bonds had coverage levels of
1.16x in 2007 and 1.12x in 2006. The Series 2002C bonds had
coverage levels of 0.96x in 2007 and 0.92x in 2006. The
improving debt service coverage ratios may be attributed to
rental revenue growth due to increasing occupancy rates and
lower concession charges. Operating reports show the current
occupancy rate is 94%, representing a substantial improvement
over the 80% occupancy rate of August 2003.
* Commitment from Community Housing Corporation of America, Inc.:
CHC, the owner of the property, has contributed substantial
amounts in 2007 to fund working capital and debt service
requirements. The contribution augmented rental revenues and
funded portions of debt service payments made on the Series
2002C bonds. CHC has been making contributions to the property
since 2003.
* Series 2002A Reserves: Fund balances provided to Moody's by the
property Trustee show the Series 2002A Debt Service Reserve Fund
remains fully funded.
Credit Challenges:
* Series 2002C Reserves: Fund balances provided to Moody's by the
property Trustee show that the Series 2002C Debt Service Reserve
Fund has been depleted.
* Local Multifamily Rental Market: Though the demand for
affordable multifamily housing has strengthened in the Austin
market since 2005, the future performance of the property
remains linked to the strength of the market. Strong market
demand and high occupancy rates are necessary for the property
to regain financial solvency.
Recent Developments
Park at Wells Branch has been experiencing financial difficulties
since 2003. In 2004, the Series 2002C Debt Service Reserve Fund
was tapped to make the June 2004 debt service payment on Series
2002C bonds. The Series 2002C bonds have defaulted on each
interest payment date since June 2005.
Outlook
The outlook on the bonds remains stable. The stable outlook
reflects the stabilizing occupancy of the property and debt
service coverage levels on the bonds.
What could change the rating -- UP
* Consistent debt service payments on the Series 2002C bonds
* Replenishing the Series 2002C Debt Service Reserve Fund
* Reduced reliance on CHC contributions
What could change the rating -- DOWN
* Drawing on the Series 2002A Debt Service Reserve Fund
* Low occupancy rates resulting in debt service coverage
deterioration
The ratings assigned to Travis County Housing Finance Corporation
Multifamily Housing Revenue Bonds (Park at Wells Branch Apartments
Project) Series 2002A and Series 2002C were issued on Moody's
municipal rating scale. Moody's has announced its plans to
recalibrate all U.S. municipal ratings to its global scale and
therefore, upon implementation of the methodology published in
conjunction with this initiative, the rating will be recalibrated
to a global scale rating comparable to other credits with a
similar risk profile. Market participants should not view the
recalibration of municipal ratings as rating upgrades, but rather
as a recalibration of the ratings to a different rating scale.
This recalibration does not reflect an improvement in credit
quality or a change in Moody's credit opinion for rated municipal
debt issuers.
The last rating action was taken on September 24, 2008, when the
ratings and outlook on Travis County Housing Finance Corporation
Multifamily Housing Revenue Bonds (Park at Wells Branch Apartments
Project) Series 2002A and Series 2002C were affirmed.
TW HOTEL: S&P Puts Ratings on 13 Certs. on CreditWatch Developing
-----------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 13
classes of commercial mortgage pass-through certificates from TW
Hotel Funding 2005 LLC's series 2005-LUX on CreditWatch with
developing implications.
The CreditWatch placements follow S&P's preliminary analysis of a
pending loan modification. The terms of the modification have yet
to be finalized, but may include a partial paydown of the loan and
a maturity extension. The loan's sponsor may also provide
additional collateral in the form of a property. Once the terms
are finalized, S&P will evaluate the rating impact, if any, and
issue a CreditWatch update and/or initiate a ratings change.
As of the March 2010 remittance report, the Ty Warner Hotel &
Resorts Loan had a trust and whole-loan balance of $344.6 million.
In addition, the borrower's equity interests in the collateral
properties secure a $155.0 million mezzanine loan. The value of
the loan has declined 44% since issuance; however, the loan's
performance has been stable since S&P's last review.
Ratings Placed On Creditwatch Developing
TW Hotel Funding 2005 LLC
Commercial mortgage pass-through certificates series 2005-LUX
Rating
------
Class To From
----- -- ----
A-2 A/Watch Dev A
B BBB+/Watch Dev BBB+
C BBB-/Watch Dev BBB-
D BB+/Watch Dev BB+
E BB/Watch Dev BB
F B/Watch Dev B
G B-/Watch Dev B-
H CCC+/Watch Dev CCC+
J CCC/Watch Dev CCC
K CCC-/Watch Dev CCC-
L CCC-/Watch Dev CCC-
M CCC-/Watch Dev CCC-
N CCC-/Watch Dev CCC-
UBS AG: S&P Downgrades Ratings on Credit-Linked Notes to 'D's
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the 2.5-
4.5 and the 4.5-9.0 credit-linked notes issued by UBS AG's series
AMP AA to 'D' from 'CCC-'.
The downgrades follow the March 2, 2010, notice from the issuer
that the notes, which synthetically reference a pool of
collateralized debt obligation of asset-backed securities (CDO of
ABS) transactions, have been written down to zero.
WACHOVIA AUTO: Moody's Raises Ratings on Six Subordinate Tranches
-----------------------------------------------------------------
Moody's has upgraded six subordinate tranches from two Wachovia
near prime auto loan transactions that closed in 2007 and 2008.
Upgrades were prompted by stabilization in performance and build-
up in credit enhancement relative to remaining expected losses
since previous rating actions in February 2009 when performance
was affected by the severe economic downturn. Twelve more months
of performance have demonstrated substantial stabilization in both
delinquencies and losses. Cumulative losses as a percentage of
the pool that has liquidated, (original pool balance -- current
pool balance), an indicator of projected lifetime losses
trajectories, have also been leveling off for both transactions.
Moody's expects Wachovia Auto Loan Owner Trust 2007-1 and 2008-1
transactions to incur lifetime cumulative net losses of
approximately 9.00% and 8.75% respectively as a percentage of the
original pool balance (or approximately 9.70% and 8.70%
respectively as a percentage of the remaining pool balance). The
original expectations for 2007-1 and 2008-1 were 3.00% and 4.25%
respectively. For 2007-1, hard credit support (excluding excess
spread which is approximately 5.10% per annum) is currently
approximately 42%, 28% and 13% of outstanding pool balance for
classes B, C and D respectively compared to an initial hard credit
support of 10.75%, 6.75%, and 2.75% of original pool balance.
Principal payments are allocated sequentially between Class A, B,
C, D and E notes. Moody's Volatility proxy Aaa level for this
transaction is approximately 34% of the remaining pool balance.
For 2008-1, hard credit support (excluding excess spread which is
approximately 4.80% per annum) is currently approximately 34%, 23%
and 9% of outstanding pool balance for classes B, C and D
respectively compared to an initial hard credit support of 13.25%,
8.75%, and 3.00% of original pool balance. Principal payments are
also allocated sequentially between Class A, B, C, D and E notes.
Moody's Volatility proxy Aaa level for this transaction is
approximately 30% of the remaining pool balance. The transactions
are serviced by Wells Fargo Bank, N.A. (as successor by merger to
Wachovia Bank, N.A.), a direct wholly-owned subsidiary of Wells
Fargo & Company.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given
range may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated when the related
securities ratings were issued. Even so, a deviation from the
expected range will not necessarily result in a rating action nor
does performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of assumption
uncertainty are the current macroeconomic environment, in which
unemployment continues to rise, and weakness in the used vehicle
market. Moody's currently views the used vehicle market as
stronger now than it was a year ago, when the uncertainty relating
to the economy as well as the future of the U.S auto manufacturers
was significantly greater. Overall, Moody's central global
scenario remains "Hook-shaped" for 2010 and 2011; Moody's expect
overall a sluggish recovery in most of the world largest
economies, returning to trend growth rate with elevated fiscal
deficits and persistent unemployment levels.
Complete rating actions are:
Issuer: Wachovia Auto Loan Owner Trust 2007-1
-- Cl. B, Upgraded to Aaa; previously on Dec 22, 2009 Aa3 Placed
Under Review for Possible Upgrade
-- Cl. C, Upgraded to Aa1; previously on Dec 22, 2009 Baa2
Placed Under Review for Possible Upgrade
-- Cl. D, Upgraded to Baa3; previously on Dec 22, 2009 Ba3
Placed Under Review for Possible Upgrade
Issuer: Wachovia Auto Loan Owner Trust 2008-1
-- Cl. B, Upgraded to Aaa; previously on Dec 22, 2009 A1 Placed
Under Review for Possible Upgrade
-- Cl. C, Upgraded to Aa2; previously on Dec 22, 2009 Baa3
Placed Under Review for Possible Upgrade
-- Cl. D, Upgraded to Ba2; previously on Dec 22, 2009 Ba3 Placed
Under Review for Possible Upgrade
WACHOVIA CRE: S&P Downgrades Ratings on 14 Classes of CRE CDOs
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 14
classes from Wachovia CRE CDO 2006-1 Ltd., a commercial real
estate collateralized debt obligation transaction. At the same
time, S&P removed these ratings from CreditWatch with negative
implications.
The downgrades follow S&P's analysis of the transaction using
S&P's updated U.S. CRE CDO criteria, which was the primary driver
of S&P's rating actions. The downgrades also reflect S&P's
estimated asset-specific recovery rates for the eight underlying
loan assets ($109.0 million, 10.9%) reported as defaulted. S&P's
analysis included a review of the current credit characteristics
of all of the underlying collateral assets, as well as the
transaction's liability structure.
According to the March 16, 2010, trustee report, the transaction's
current asset pool included these:
* Fifty-one whole loans and senior participations ($799.5 million,
79.9% of the collateral pool);
* Eight subordinate-interest loans ($122.6 million, 12.3%);
* Four commercial mortgage-backed securities tranches
($65.4 million, 6.5%); and
* Two real estate investment trust (REIT) securities
($13.3 million, 1.3%).
Standard & Poor's reviewed and updated credit estimates for all of
the nondefaulted loan assets. S&P based the analyses on its
adjusted net cash flow, which S&P derived from the most recent
financial data provided by the collateral managers, Structured
Asset Investors LLC and Wachovia Bank N.A., and the trustee, Wells
Fargo Bank N.A., as well as market and valuation data from third-
party providers.
The reported defaulted assets include eight loan assets
($109.0 million, 10.9%). Standard & Poor's estimated asset-
specific recovery rates for these assets, which ranged from 28.2%
through 76.4%. S&P based its recovery rates on information from
the collateral managers, special servicer, and third-party data
providers. The defaulted assets are:
* The South Gate Land senior-interest loan ($42.9 million, 4.3%);
* The Dillingham Ranch A-note pari passu loan ($15.6 million,
1.6%);
* The Dillingham Ranch 2 A-note pari passu loan ($15.6 million,
1.6%);
* The Magnolia Reno senior-interest loan ($14.7 million, 1.5%);
* The LAAP-Arwyn Manor senior-interest loan ($6.2 million, 0.6%);
* The LAAP-Elmwood senior-interest loan ($5.3 million, 0.5%);
* The LAAP-Avalon senior-interest loan ($4.6 million, 0.5%); and
* The LAAP-715 St. Andrews senior-interest loan ($4.3 million,
0.4%).
Standard & Poor's analyzed the transaction and its underlying
collateral assets in accordance with its current criteria. S&P's
analysis is consistent with the lowered ratings.
Ratings Lowered And Removed From Creditwatch Negative
Wachovia CRE CDO 2006-1 Ltd.
Collateralized debt obligations
Rating
------
Class To From
----- -- ----
A-1A BBB AAA/Watch Neg
A-1B BB+ AAA/Watch Neg
A-2A A- AAA/Watch Neg
A-2B BB+ AAA/Watch Neg
B BB AA/Watch Neg
C B+ A+/Watch Neg
D B A/Watch Neg
E B A-/Watch Neg
F B- BBB+/Watch Neg
G CCC+ BBB/Watch Neg
H CCC- BBB-/Watch Neg
J CCC- BB+/Watch Neg
K CCC- BB/Watch Neg
L CCC- BB-/Watch Neg
WELLS FARGO: Moody's Downgrades Ratings on 49 Tranches
------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 49
tranches and confirmed the ratings of 4 tranches from 15 RMBS
transactions, backed by prime jumbo loans, issued by Wells Fargo
Mortgage Backed Securities from 2005 to 2008.
The collateral backing these transactions consists primarily of
first-lien, adjustable-rate, prime jumbo residential mortgage
loans. The actions are a result of the rapidly deteriorating
performance of jumbo pools in conjunction with macroeconomic
conditions that remain under duress. The actions reflect Moody's
updated loss expectations on prime jumbo pools issued from 2005 to
2008.
To assess the rating implications of the updated loss levels on
prime jumbo RMBS, each individual pool was run through a variety
of scenarios in the Structured Finance Workstation(R), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
The above mentioned approach "Jumbo RMBS Loss Projection Update:
January 2010" is adjusted to estimate losses on pools with a small
number of loans. To project losses on pools with fewer than 100
loans, Moody's first estimates a "baseline" average rate of new
delinquencies for the pool that is dependent on the vintage of
loan origination (3.5%, 6.5% and 7.5% for the 2005, 2006 and 2007
vintage respectively). This baseline rate is higher than the
average rate of new delinquencies for the vintage to account for
the volatile nature of small pools. Even if a few loans in a
small pool become delinquent, there could be a large increase in
the overall pool delinquency level due to the concentration risk.
Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility and hence
the stress applied. Once the loan count in a pool falls below 75,
the rate of delinquency is increased by 1% for every loan less
than 75. For example, for a pool with 74 loans from the 2005
vintage, the adjusted rate of new delinquency would be 3.535%. If
the current delinquency level in a small pool is low, future
delinquencies are expected to reflect this trend. To account for
that, the rate calculated above is multiplied by a factor ranging
from 0.2 to 1.8 for current delinquencies ranging from less than
2.5% to greater than 30% respectively. Delinquencies for
subsequent years and ultimate expected losses are projected using
the approach described in the methodology publication.
Issuer: Wells Fargo Mortgage Backed Securities 2005-AR1 Trust
-- Cl. I-A-1, Downgraded to B2; previously on Dec 17, 2009 A3
Placed Under Review for Possible Downgrade
-- Cl. I-A-2, Downgraded to Ca; previously on Dec 17, 2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. I-B-1, Downgraded to C; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. II-A-1, Downgraded to B3; previously on Dec 17, 2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. II-B-1, Downgraded to C; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. A-IO, Downgraded to B2; previously on Dec 17, 2009 A3
Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2005-AR11 Trust
-- Cl. I-A-1, Downgraded to Baa2; previously on Dec 17, 2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. II-A-1, Confirmed at Ba2; previously on Dec 17, 2009 Ba2
Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2005-AR14 Trust
-- Cl. A-1, Downgraded to Ba2; previously on Dec 17, 2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-2, Confirmed at Baa3; previously on Dec 17, 2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Ba2; previously on Dec 17, 2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Ba3; previously on Dec 17, 2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Ba3; previously on Dec 17, 2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2005-AR6 Trust
-- Cl. A-1, Downgraded to Baa3; previously on Dec 17, 2009 A3
Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2006-AR12 Trust
-- Cl. I-A-1, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. I-A-2, Downgraded to C; previously on Apr 28, 2009
Downgraded to Ca
-- Cl. II-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. II-A-2, Downgraded to C; previously on Apr 28, 2009
Downgraded to Ca
Issuer: Wells Fargo Mortgage Backed Securities 2006-AR15 Trust
-- Cl. A-1, Downgraded to Caa1; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Caa1; previously on Dec 17, 2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to C; previously on Apr 28, 2009
Downgraded to Ca
-- Cl. A-4, Downgraded to Caa1; previously on Dec 17, 2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-IO, Downgraded to Caa1; previously on Dec 17, 2009 Ba3
Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2006-AR16 Trust
-- Cl. A-1, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. A-IO, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2006-AR18 Trust
-- Cl. I-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. I-A-IO, Downgraded to Caa1; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. II-A-1, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. II-A-2, Downgraded to C; previously on Apr 28, 2009
Downgraded to Ca
-- Cl. II-A-IO, Downgraded to Caa2; previously on Dec 17, 2009
B3 Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2006-AR19 Trust
-- Cl. A-1, Downgraded to Caa1; previously on Dec 17, 2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Ba3; previously on Dec 17, 2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa1; previously on Dec 17, 2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to B2; previously on Dec 17, 2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to B2; previously on Dec 17, 2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Caa2; previously on Dec 17, 2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to B2; previously on Dec 17, 2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. A-IO, Downgraded to B2; previously on Dec 17, 2009 Ba1
Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2007-AR3 Trust
-- Cl. A-1, Downgraded to Caa2; previously on Dec 17, 2009 Caa1
Placed Under Review for Possible Downgrade
-- Cl. A-2, Confirmed at Caa2; previously on Dec 17, 2009 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-3, Confirmed at Caa2; previously on Dec 17, 2009 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Caa2; previously on Dec 17, 2009 Caa1
Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to C; previously on Apr 28, 2009
Downgraded to Ca
Issuer: Wells Fargo Mortgage Backed Securities 2007-AR7 Trust
-- Cl. A-1, Downgraded to Caa3; previously on Dec 17, 2009 Caa2
Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2007-AR8 Trust
-- Cl. A-1, Downgraded to Caa2; previously on Dec 17, 2009 Caa1
Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2007-AR9 Trust
-- Cl. A-1, Downgraded to B1; previously on Dec 17, 2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Ca; previously on Dec 17, 2009 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-IO, Downgraded to B1; previously on Dec 17, 2009 Baa2
Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2008-AR1 Trust
-- Cl. A-1, Downgraded to B2; previously on Dec 17, 2009 Baa3
Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Mortgage Backed Securities 2008-AR2 Trust
-- Cl. A-1, Downgraded to Caa3; previously on Dec 17, 2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to C; previously on Jun 5, 2009
Downgraded to Ca
-- Cl. A-IO, Downgraded to Caa3; previously on Dec 17, 2009 Ba1
Placed Under Review for Possible Downgrade
* Fitch Affirms Ratings on 26 Classes in 11 RMBS Transactions
-------------------------------------------------------------
Fitch Ratings has affirmed 26 classes in 11 U.S. High Loan-to-
Value Residential Mortgage Backed Securities transactions. The
rating actions are listed below.
125 Home Loan Owner Trust, Series 1998-1
-- Class A-5 affirmed at 'AAA' and assigned a Loss Severity
rating of 'LS4';
-- Class M-1 affirmed at 'AAA' and assigned a Loss Severity
rating of 'LS4';
-- Class M-2 affirmed at 'AA+' and assigned a Loss Severity
rating of 'LS4';
-- Class B-1 affirmed at 'A+' and assigned a Loss Severity
rating of 'LS4'.
Firstplus Asset-Backed Certificate Series 1995-2
-- Class B affirmed at 'BB' and assigned a Loss Severity rating
of 'LS2'.
Irwin Home Equity Loan Trust 2002-1
-- Class IIM1 affirmed at 'AAA' and assigned a Loss Severity
rating of 'LS3';
-- Class IIM2 affirmed at 'A+' and assigned a Loss Severity
rating of 'LS4';
-- Class IIB1 affirmed at 'BBB+' and assigned a Loss Severity
rating of 'LS4'.
MEGO Mortgage Home Loan Owner Trust, Series 1997-3
-- Class A-4 affirmed at 'AAA' and assigned a Loss Severity
rating of 'LS5';
-- Class M-1 affirmed at 'AA' and assigned a Loss Severity
rating of 'LS3'.
MEGO Mortgage Home Loan Owner Trust, Series 1997-4
-- Class A-4 affirmed at 'AAA' and assigned a Loss Severity
rating of 'LS4'.
Money Store Trust Series 1998-B
-- Class BH affirmed at 'A+' and assigned a Loss Severity rating
of 'LS3'.
PSB Lending Home Loan Owner Trust, Series 1997-4
-- Class B-1 affirmed at 'BBB' and assigned a Loss Severity
rating of 'LS3';
-- Class B-2 affirmed at 'BB' and assigned a Loss Severity
rating of 'LS4'.
Residential Funding Mortgage Securities II, Series 1998-HI2
-- Class M1 affirmed at 'AAA' and assigned a Loss Severity
rating of 'LS4';
-- Class M2 affirmed at 'AA+' and assigned a Loss Severity
rating of 'LS4';
-- Class B1 affirmed at 'A+' and assigned a Loss Severity rating
of 'LS4';
-- Class B2 affirmed at 'BBB+' and assigned a Loss Severity
rating of 'LS5'.
Empire Funding Home Loan Owner Trust, Series 1997-4
-- Class A-5 affirmed at 'AAA' and assigned a Loss Severity
rating of 'LS3'.
Empire Funding Home Loan Owner Trust, Series 1999-1
-- Class A-5 affirmed at 'AAA' and assigned a Loss Severity
rating of 'LS3';
-- Class M1 affirmed at 'AA' and assigned a Loss Severity rating
of 'LS3';
-- Class M2 affirmed at 'A' and assigned a Loss Severity rating
of 'LS4';
-- Class B1 affirmed at 'BBB' and assigned a Loss Severity
Rating of 'LS4'.
Empire Funding Home Loan Owner Trust, Series 1997-5
-- Class A-4 affirmed at 'AAA' and assigned a Loss Severity
rating of 'LS3';
-- Class A-4IO affirmed at 'AAA';
-- Class M-1 affirmed at 'AA' and assigned a Loss Severity
rating of 'LS5'.
The mortgage pools collateralizing the bonds primarily consist of
closed-end second lien loans with combined loan-to-values above
100% at origination. The reviewed transactions were issued
between 1995 and 2002.
To project future defaults, Fitch used the net loss rate average
over the past 12 months adjusted higher or lower for differences
in each pool's current 60+ day delinquencies. Loss severities on
defaulted loans were assumed to be 100%. The average expected
loss for the pools reviewed was 22% as a percentage of the
remaining pool balance and 10% as a percentage of the initial pool
balance.
After determining each pool's projected base-case and stressed
scenario loss assumptions, Fitch analyzes each transaction's
credit support, excess spread and payment priority using cash flow
projections in affirming or revising ratings.
On average, the pools reviewed have an outstanding remaining
balance of approximately 1% of the original balance. Due to the
performance volatility associated with small mortgage pools, bonds
with credit support that exceeded their current rating stressed
thresholds were affirmed.
In addition to the long-term ratings Fitch also provides Loss
Severity and Recovery Ratings. Loss Severity ratings are assigned
to classes with long-term ratings of 'B' or higher while Recovery
Ratings are assigned to classes with long-term ratings below 'B'.
Additional information is available on Fitch's website in the
reports 'Criteria for Structured Finance Loss Severity Ratings'
and 'Criteria for Structured Finance Recovery Ratings'.
Fitch will continue to closely monitor these transactions.
* Fitch Downgrades Ratings on 268 Bonds From 217 RMBS Deals to 'D'
------------------------------------------------------------------
Fitch Ratings has downgraded 268 bonds in 217 residential
mortgage-backed securities transactions to 'D' indicating that the
bond has incurred a principal write-down. The bonds being
downgraded to 'D' as part of this review were all previously rated
'CC' or 'C' indicating that a default was expected. The action is
limited to just the bonds with write-downs. The remaining bonds
in these transactions have not been analyzed as part of this
review.
Of the 217 transactions impacted by these downgrades 84 are Prime,
72 are Alt-A, and 47 are Sub-prime. The remaining 16 bonds are in
other transaction types. Ninety-six percent were previously rated
'C'.
Fitch downgrades bonds to 'D' as part of the ongoing surveillance
process and will continue to monitor these transactions for
additional defaults.
The spreadsheet also details Fitch's assignment of Recovery
Ratings to the transactions. The Recovery Rating scale is based
upon the expected relative recovery characteristics of an
obligation. For structured finance, Recovery Ratings are designed
to estimate recoveries on a forward-looking basis while taking
into account the time value of money. The methodology used to
assign Recovery Ratings is described in Fitch's Dec. 16, 2009
report 'U.S. RMBS Criteria for Recovery Ratings'.
* Fitch Says AMBAC Credit Event Pushes 32 CDOs Near Default
-----------------------------------------------------------
Fitch Ratings estimates that 32 corporate synthetic CDO tranches
will default following the recent ISDA ruling which called a
credit event on Ambac Assurance Corporation. Such a level of
defaults would represent 10% of Fitch's global synthetic CDO
tranches.
"Ambac Assurance is a widely referenced name, present in 58% of
the 169 global Fitch-rated synthetic CDO transactions," says
Jeffery Cromartie, Senior Director and Head of EMEA Structured
Credit Surveillance at Fitch. "Therefore, Fitch expects to see
negative rating pressure as well as principal impairments on
exposed tranches rated 'CCC' and below."
Assuming a 30% recovery estimate on the Ambac Assurance credit
event (as reported on CreditFlux), an estimated 32 CDO tranches
would likely face impairment. All the 32 tranches are rated 'CCC'
or lower.
"Given the current economic climate, the impairment of synthetic
CDO tranches rated 'CCC' and below should not come as a surprise,"
adds Cromartie. "Fitch has been expecting impairment in this
sector, and the agency's ratings as well as the EMEA sector-wide
outlook reports have reflected this view for the last three
quarters - specifically in the 'Areas to Watch' section of the
sector outlook reports."
Any impairment is likely to result in a significant loss to a
tranche. For example, relative to their respective reference
portfolios many tranches are less than 1% thick (from attachment
point to detachment point). As the initial credit enhancement is
largely exhausted, any further portfolio losses are likely to
completely impair an affected tranche. If a tranche is written
down or experiences a payment default, Fitch will downgrade the
tranche to 'D'.
No investment grade tranches are facing impairment. Due to a
recent wave of pre-payments or bilateral exchanges the number of
investment grade tranches outstanding has declined. Currently,
less than 5% of the 339 remaining global CDO tranches rated by
Fitch are investment grade.
The agency is currently conducting a global sector-wide review
which it expects to complete in coming weeks. The preliminary
analysis suggests that any downgrades are expected to affect
tranches rated 'B' and below.
* Fitch Takes Various Rating Actions on Synthetic SF CDO Deals
--------------------------------------------------------------
Fitch Ratings has taken the rating actions detailed at the end of
this press release for classes of notes issued by several
synthetic diversified structured finance collateralized debt
obligations with exposure to structured finance assets.
Rated notes in all but three transactions have experienced partial
or complete writedowns of principal balances.
For all of the classes rated 'D' below, Fitch does not expect that
future reversals, if any, of principal writedowns will be of a
magnitude sufficient to ensure that these classes will be paid in
full at or prior to maturity.
Fitch withdraws the ratings on classes of notes issued by CDOs
where all rated classes have been written down to zero.
Abacus 2005-CB1, Ltd.:
-- $112,480,920 class A-1 notes downgrade to 'D' from 'C';
-- $0 class A-2 notes downgrade to 'D' from 'C' ;
-- $0 class B notes downgrade to 'D' from 'C' ;
-- $0 class C notes downgrade to 'D' from 'C';
-- $0 class D notes downgrade to 'D' from 'C';
-- $0 class E-1 notes downgrade to 'D' from 'C';
-- $0 class E-2 notes downgrade to 'D' from 'C';
-- $0 class F notes downgrade to 'D' from 'C'.
Abacus 2005-CB1, Ltd., is a partially funded synthetic CDO
transaction with the portfolio comprised primarily of subprime
residential mortgage-backed securities and commercial mortgage-
backed securities bonds. All but class A-1 notes balances have
been written down to zero, and class A-1 notes are currently
taking writedowns.
ABSpoke 2005-1C, Ltd.:
-- $15,321,717 ABSpoke 2005-1C notes downgrade to 'D' from 'CC'.
ABSpoke 2005-1C, Ltd., is a static synthetic CDO with the
reference portfolio comprised primarily of RMBS, asset-backed
securities, CMBS and CDO bonds. The rated class of notes is
currently experiencing writedowns.
ABSpoke 2005-1C2, Ltd.:
-- $3,053,865 ABSpoke 2005-1C2 notes downgrade to 'D' from 'CC'.
ABSpoke 2005-1C2, Ltd., is a static synthetic CDO with the
reference portfolio comprised primarily of RMBS, ABS, CMBS, and
CDO bonds. The rated class of notes is currently experiencing
writedowns.
Benazzi CDO 2005-1, Ltd.
-- $0 class A notes downgrade to 'D' from 'CC' and withdraw the
rating;
-- $0 class B notes downgrade to 'D' from 'CC' and withdraw the
rating;
-- $0 class C notes downgrade to 'D' from 'CC' and withdraw the
rating.
Benazzi CDO 2005-1, Ltd., is a static synthetic CDO with a
portfolio comprised primarily of RMBS and CDO bonds. All rated
classes of notes have been written down to zero.
Cloverie Plc 2006-1:
-- $10,000,000 class A notes downgrade to 'C' from 'CCC'.
Cloverie Plc 2006-1 is a partially funded static synthetic CDO
that closed in January 2006 with the reference portfolio comprised
primarily of RMBS bonds. While settled credit losses to date
remained below the credit enhancement level of the class, expected
future losses from the defaulted assets currently in the portfolio
are expected to exceed the class A credit enhancement level,
rendering class A default inevitable.
Corvus Investments Ltd./LLC.
-- $260,595,037 class A-1 notes downgrade to 'C' from 'CCC';
-- $100,518,914 class A-2 notes downgrade to 'C' from 'CCC'.
Corvus Investments Ltd./LLC. is a synthetic CDO with cashflow
features, such as overcollateralization triggers, that closed on
June 30, 2000. The reference portfolio is primarily comprised of
CDO, CMBS, RMBS, and ABS bonds. Fitch expects that future losses
in the portfolio will exceed credit enhancement to class A-1 and
class A-2 notes and excess spread available to pay down these
classes of notes. Therefore, Fitch believes that default is
inevitable for these classes.
COUNTS Trust, Series 2004-1.
-- $50,000,000 trust certificates downgrade to 'C' from 'CCC'.
COUNTS 2004-1 is a credit linked note with the reference portfolio
comprised primarily of RMBS and CDO bonds.
Dunloe 2005-1, Ltd.:
-- $35,000,000 class A notes downgrade to 'C' from 'CC';
-- $24,110,864 class B notes downgrade to 'D' from 'CC';
-- $0 class C notes downgrade to 'D' from 'C'.
Dunloe 2005-1, Ltd., is a synthetic CDO with the reference
portfolio comprised of RMBS, ABS, CMBS, and CDO bonds. Class C
notes have been written down to zero, while class B notes are
currently experiencing writedowns. Class A notes' are expected to
experience some level of losses given Fitch's expectation that
further credit losses will exceed credit enhancement levels for
that class.
Magnolia Finance II Plc.:
-- $0 series 2006-5A ABS portfolio variable rate notes downgrade
to 'D' from 'CC' and withdraw the ratings;
-- $0 series 2006-5B ABS portfolio variable rate notes downgrade
to 'D' from 'CC' and withdraw the ratings;
-- $0 series 2006-5CU ABS portfolio variable rate notes
downgrade to 'D' from 'CC' and withdraw the ratings;
-- EUR0 series 2006-5CE ABS portfolio variable rate notes
downgrade to 'D' from 'CC' and withdraw the ratings;
-- GBP0 series 2006-5CG ABS portfolio variable rate notes
downgrade to 'D' from 'CC' and withdraw the ratings.
Magnolia Finance II Plc. is a static synthetic structured finance
CDO with a reference portfolio comprised of RMBS bonds. To date,
all rated classes of notes have been written down to zero.
Nerva Ltd. Series I:
-- $202,649,848 class A notes affirm at 'C' and withdraw the
'RR6' rating.
Nerva Ltd. Series I is a synthetic CDO with cashflow features,
such as OC triggers, that closed on June 30, 2000. The reference
portfolio is primarily comprised of CMBS, RMBS, CDO, ABS bonds and
corporate debt. Settled credit events already significantly
exceed credit enhancement levels for the class A notes, however,
the implied writedowns are expected to be reflected in the
outstanding class balance only at maturity of the CDO. The
recovery rating is withdrawn because Fitch is currently not
assigning RRs to structured finance CDO bonds.
North Street Referenced Linked Notes 2002-4 Ltd.:
-- $352,749,200 class A floating rate notes downgrade to 'D'
from 'CCC';
-- $0 class B floating rate notes downgrade to 'D' from 'CC';
-- $0 class C floating rate notes downgrade to 'D' from 'CC';
-- $0 class D floating rate notes downgrade to 'D' from 'CC'';
-- $0 class E floating rate notes downgrade to 'D' from 'CC';
-- $0 fixed rate income notes downgrade to 'D' from 'C'.
North Street Referenced Linked Notes 2002-4 Ltd. is a partially
funded synthetic structured finance CDO that closed on March 15,
2002. The reference portfolio is composed of CDO, RMBS, CMBS,
ABS, and corporate bonds. All rated classes of notes have been
written down to zero and class A is currently experiencing
writedowns.
Salisbury International Investments Ltd., Series 2005-14:
-- $0 class D credit linked note withdraw the rating 'D/RR6'.
Salisbury International Investments Ltd., Series 2005-14 is a
partially funded, static synthetic CDO that closed on Dec. 8,
2005. The reference portfolio is comprised primarily of RMBS
bonds. Since last review in September 2009, the notes have been
written down to zero.
* Moody's Affirms Ratings on Deals From Housing Finance Agencies
----------------------------------------------------------------
Moody's has affirmed the Aaa ratings of seven transactions
totaling approximately $38.5 million issued by seven local housing
finance agencies. The affirmations are based on the determination
that the transactions have a sufficient over-collateralization of
mortgage-backed securities and other investments to outstanding
debt.
1. $2,050,000 of Manatee County Housing Finance Authority, FL
Single Family Mortgage Revenue Bonds Series 2004, Sub Series
One. Affirmed Aaa. Last rated on 10/28/2009 when the rating
was affirmed Aaa.
2. $3,550,000 of New Orleans Home Mortgage Authority Single
Family Mortgage Revenue Bonds Series 1998A, 1998B-1 & 1998B-2.
Affirmed Aaa. Last rated on 9/30/2009 when the rating was
affirmed Aaa.
3. $2,795,000 of Orange County Housing Finance Authority,
Homeowner Revenue Bonds, Series 2001 A-1, A-2, & (Taxable) A-
3. Affirmed Aaa. Last rated on 9/17/2009 when the rating was
affirmed Aaa.
4. $17,380,000 of Sedgwick & Shawnee (Counties of), KS, Single
Family Mortgage Revenue Bonds (Mortgage-Backed Securities
Program) 2006 A-4. Affirmed Aaa. Last rated on 10/30/2009
when the rating was affirmed Aaa.
5. $5,195,000 of Columbus Metropolitan Housing Authority, OH
Multifamily Housing Mortgage Revenue Bonds (GNMA
Collateralized - New Village Homes Project) Series 2002A.
Affirmed Aaa. Last rated on 10/13/2009 when the ratings were
affirmed Aaa.
6. $5,440,000 of Illinois Health Facility Authority Health
Facilities Revenue Bonds (GNMA Collateralized - Midwest Care
Center IX, Inc), Series 2000. Affirmed Aaa. Last rated on
3/9/2005 when the rating was affirmed Aaa.
7. $2,065,000 of Summit County Port Authority Multifamily Housing
Revenue Bonds (GNMA Collateralized -- Eastland Woods project)
2004A & B. Affirmed Aaa. Last rated on 9/25/2009 when the
rating was affirmed Aaa.
The rating assigned to the bonds listed above were issued on
Moody's municipal rating scale. Moody's has announced its plans
to recalibrate all U.S. municipal ratings to its global scale and
therefore, upon implementation of the methodology published in
conjunction with this initiative, the rating will be recalibrated
to a global scale rating comparable to other credits with a
similar risk profile. Market participants should not view the
recalibration of municipal ratings as rating upgrades, but rather
as a recalibration of the ratings to a different rating scale.
This recalibration does not reflect an improvement in credit
quality or a change in Moody's credit opinion for rated municipal
debt issuers.
* Moody's Downgrades Ratings on 92 Tranches From 6 IndyMac RMBS
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 92
tranches from 6 RMBS transactions, backed by Alt-A loans, issued
by IndyMac.
The collateral backing these transactions consists primarily of
first-lien, fixed-rate, Alt-A residential mortgage loans. The
actions are a result of the rapidly deteriorating performance of
Alt-A pools in conjunction with macroeconomic conditions that
remain under duress. The actions reflect Moody's updated loss
expectations on Alt-A pools issued from 2005 to 2007.
To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the
different pools and the structural features of the transaction
including priorities of payment distribution among the different
tranches, average life of the tranches, current balances of the
tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
Complete rating actions are:
Issuer: Residential Asset Securitization Trust 2005-A11CB
-- Cl. 1-A-1, Downgraded to Ba3; previously on Jan 14, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Ba3; previously on Jan 14, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Caa2; previously on Jan 14, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to Caa2; previously on Jan 14, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-5, Downgraded to Caa2; previously on Jan 14, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-6-A, Downgraded to C; previously on Jan 14, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-6-B, Downgraded to C; previously on Jan 14, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-X, Downgraded to Ba3; previously on Jan 14, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Caa3; previously on Jan 14, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Caa3; previously on Jan 14, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to C; previously on Jan 14, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to Caa3; previously on Jan 14, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-5, Downgraded to Caa3; previously on Jan 14, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-X, Downgraded to Caa3; previously on Jan 14, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. PO, Downgraded to Caa1; previously on Jan 14, 2010 B3
Placed Under Review for Possible Downgrade
Issuer: Residential Asset Securitization Trust 2005-A12
-- Cl. A-1, Downgraded to B3; previously on Jan 14, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to B3; previously on Jan 14, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to B3; previously on Jan 14, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to B3; previously on Jan 14, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to C; previously on Jan 14, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Caa1; previously on Jan 14, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to B3; previously on Jan 14, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to Caa1; previously on Jan 14, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. A-9, Downgraded to Caa1; previously on Jan 14, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. A-10, Downgraded to B3; previously on Jan 14, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-11, Downgraded to B3; previously on Jan 14, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-12, Downgraded to B3; previously on Jan 14, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to B3; previously on Jan 14, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. PO, Downgraded to Caa1; previously on Jan 14, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C; previously on Jan 14, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: Residential Asset Securitization Trust 2005-A13
-- Cl. 1-A-1, Downgraded to Caa2; previously on Jan 14, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Caa2; previously on Jan 14, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Caa2; previously on Jan 14, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to Caa2; previously on Jan 14, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-6, Downgraded to Caa2; previously on Jan 14, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-7, Downgraded to Caa2; previously on Jan 14, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Caa2; previously on Jan 14, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to Caa2; previously on Jan 14, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. PO, Downgraded to Caa2; previously on Jan 14, 2010 B3
Placed Under Review for Possible Downgrade
Issuer: Residential Asset Securitization Trust 2005-A15
-- Cl. 1-A-1, Downgraded to Caa2; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Caa2; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Caa2; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to Caa2; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 1-A-5, Downgraded to Caa2; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 1-A-6, Downgraded to Caa2; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 1-A-7, Downgraded to Caa2; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 1-A-8, Downgraded to Caa2; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 1-A-9, Downgraded to C; previously on Jan 14, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. 1-A-X, Downgraded to Caa2; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Caa3; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Caa3; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Caa3; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to Caa3; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-5, Downgraded to Caa3; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-6, Downgraded to Caa3; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-7, Downgraded to Caa3; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-8, Downgraded to Caa3; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-9, Downgraded to Caa3; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-10, Downgraded to Caa3; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-11, Downgraded to Caa3; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-12, Downgraded to Caa3; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-13, Downgraded to C; previously on Jan 14, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. 2-A-X, Downgraded to Caa3; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Caa3; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Caa3; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to Caa3; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 5-A-2, Downgraded to Caa3; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 5-A-3, Downgraded to Caa3; previously on Jan 14, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Cl. PO, Downgraded to Caa2; previously on Jan 14, 2010 Caa1
Placed Under Review for Possible Downgrade
Issuer: Residential Asset Securitization Trust 2005-A5
-- Cl. A-1, Downgraded to B3; previously on Jan 14, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to B3; previously on Jan 14, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa1; previously on Jan 14, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Caa2; previously on Jan 14, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Caa1; previously on Jan 14, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to Caa2; previously on Jan 14, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to Caa1; previously on Jan 14, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-10, Downgraded to C; previously on Jan 14, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-11, Downgraded to B3; previously on Jan 14, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-12, Downgraded to B3; previously on Jan 14, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. PO, Downgraded to Caa1; previously on Jan 14, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to B3; previously on Jan 14, 2010 Baa3
Placed Under Review for Possible Downgrade
Issuer: Residential Asset Securitization Trust 2005-A6CB
-- Cl. A-1, Downgraded to Caa1; previously on Jan 14, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Caa1; previously on Jan 14, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa1; previously on Jan 14, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to C; previously on Jan 14, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Caa1; previously on Jan 14, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Caa1; previously on Jan 14, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to Caa1; previously on Jan 14, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to C; previously on Jan 14, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-9, Downgraded to C; previously on Jan 14, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. PO, Downgraded to Caa1; previously on Jan 14, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to Caa1; previously on Jan 14, 2010 Ba1
Placed Under Review for Possible Downgrade
* Moody's Downgrades Ratings on 125 Tranches From 29 RMBS Deals
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 125
tranches, confirmed the ratings of 23 tranches and upgraded the
ratings of 6 tranches from 29 RMBS transactions issued by
Citigroup Mortgage Loan Trust. The collateral backing these deal
primarily consists of first-lien, fixed and adjustable-rate
subprime residential mortgages.
The actions are a result of the continued performance
deterioration in Subprime pools in conjunction with home price and
unemployment conditions that remain under duress. The actions
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2007.
To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
Complete rating actions are:
Issuer: Citigroup Mortgage Loan Trust 2006-AMC1
-- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2006-HE1
-- Cl. A-4, Downgraded to A2; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to B3; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2006-HE2
-- Cl. A-1, Downgraded to B1; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Upgraded to Aa1; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Downgraded to B3; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-2D, Downgraded to Caa3; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2006-HE3
-- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-2A, Upgraded to A1; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2006-NC1
-- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to B2; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. A-2D, Downgraded to Ca; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2006-NC2
-- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2006-WFHE1
-- Cl. A-1D, Downgraded to A2; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to B2; previously on Jan 13, 2010 A3
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Caa3; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2006-WFHE2
-- Cl. A-2A, Downgraded to Caa1; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to Caa1; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Ca; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2006-WFHE3
-- Cl. A-2, Upgraded to Aa3; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to B1; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Caa3; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2006-WFHE4
-- Cl. A-2, Confirmed at Baa2; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to B3; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Caa3; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2007-AHL1
-- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-2A, Confirmed at Ba3; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2007-AHL2, Asset-Backed
Pass-Through Certificates, Series 2007-AHL2
-- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Ca; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. A-3A, Downgraded to Caa1; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-3B, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. A-3C, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2007-AHL3
-- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Ca; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. A-3A, Downgraded to Caa1; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-3B, Downgraded to Ca; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-3C, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2007-AMC1
-- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. A-2A, Downgraded to Caa1; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2007-AMC2
-- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Ca; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-3A, Confirmed at Caa2; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-3B, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. A-3C, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2007-AMC3
-- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. A-2A, Downgraded to B3; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2007-AMC4
-- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-2A, Downgraded to B1; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-2D, Downgraded to Ca; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2007-FS1
-- Cl. I-A1, Downgraded to Caa3; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. II-A1A, Downgraded to Caa3; previously on Jan 13, 2010
Caa2 Placed Under Review for Possible Downgrade
-- Cl. II-A1B, Downgraded to Caa3; previously on Jan 13, 2010
Caa2 Placed Under Review for Possible Downgrade
-- Cl. II-A2, Downgraded to Caa3; previously on Jan 13, 2010
Caa2 Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2007-WFHE1
-- Cl. A-2, Downgraded to Baa3; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa1; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Caa3; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2007-WFHE2
-- Cl. A-2, Downgraded to Ba3; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa3; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Ca; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2007-WFHE3
-- Cl. A-1, Upgraded to Aa2; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Caa3; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Ca; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2007-WFHE4
-- Cl. A-1, Downgraded to Caa2; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-2A, Downgraded to Ba2; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Downgraded to C; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust Inc. 2006-WMC1
-- Cl. A-1, Downgraded to B1; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. A-2D, Downgraded to Ca; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Confirmed at Ba3; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust, Series 2005-HE1
-- Cl. M-1, Upgraded to Aaa; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Confirmed at Aa2; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Caa3; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust, Series 2005-HE3
-- Cl. A-1, Downgraded to Aa1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2D, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ba1; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Caa2; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust, Series 2005-HE4
-- Cl. A-1, Downgraded to A3; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Upgraded to Aa3; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. A-2D, Downgraded to Ba1; previously on Jan 13, 2010 A3
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Caa2; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust, Series 2005-OPT1
-- Cl. M-1, Confirmed at Aa3; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to B1; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Caa1; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to Ca; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. M-7, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. M-8, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. M-9, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. M-10, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust, Series 2005-OPT3
-- Cl. A-1D, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to A2; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Ba2; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to Caa2; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 A3
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. M-7, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-8, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust, Series 2005-OPT4
-- Cl. A-2D, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to A2; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Ba3; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to Caa2; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. M-7, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-8, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-9, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
* Moody's Downgrades Ratings on 130 Tranches From 30 RMBS Deals
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 130
tranches from 30 RMBS transactions issued by RAMP. Additionally,
Moody's confirmed the existing ratings of 16 tranches and upgraded
the rating of one tranche from these transactions. The collateral
backing these deal primarily consists of first-lien, fixed and
adjustable-rate subprime residential mortgages.
The actions are a result of the continued performance
deterioration in Subprime pools in conjunction with home price and
unemployment conditions that remain under duress. The actions
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2007.
To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the
different pools and the structural features of the transaction
including priorities of payment distribution among the different
tranches, average life of the tranches, current balances of the
tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
Certain tranches included in this action, noted below, are wrapped
by Financial Guaranty Insurance Company (Insured Rating Withdrawn
3/25/2009). For securities insured by a financial guarantor, the
rating on the securities is the higher of (i) the guarantor's
financial strength rating and (ii) the current underlying rating
(i.e., absent consideration of the guaranty) on the security. The
principal methodology used in determining the underlying rating is
the same methodology for rating securities that do not have a
financial guaranty and is as described earlier.
Complete rating actions are:
Issuer: RAMP Series 2005-EFC1 Trust
-- Cl. M-1, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to B1; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Ca; previously on Jan 13, 2010 A3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2005-EFC2 Trust
-- Cl. M-1, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ba1; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Caa1; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2005-EFC3 Trust
-- Cl. M-1, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ba1; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Caa1; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-7, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-II, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-I-3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2005-EFC4 Trust
-- Cl. A-2, Downgraded to Aa1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Aa2; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ba2; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Caa2; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 A3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2005-EFC5 Trust
-- Cl. A-2, Downgraded to A1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Baa1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to B3; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 A3
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2005-EFC6 Trust
-- Cl. A-I-2, Downgraded to Aa3; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-I-3, Downgraded to A3; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-II, Downgraded to A1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to B2; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2005-EFC7 Trust
-- Cl. A-I-3, Downgraded to Caa3; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Underlying Rating: Downgraded to Caa3; previously on Mar 20,
2009 Downgraded to B3
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn 3/25/2009)
-- Cl. A-I-4, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Underlying Rating: Downgraded to C; previously on Apr 8, 2008
Downgraded to B3
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn 3/25/2009)
-- Cl. A-II, Downgraded to Ca; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Underlying Rating: Downgraded to Ca; previously on Mar 20,
2009 Downgraded to B3
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn 3/25/2009)
Issuer: RAMP Series 2005-NC1 Trust
-- Cl. A-I-3, Downgraded to Caa3; previously on Jan 13, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Underlying Rating: Downgraded to Caa3; previously on Mar 20,
2009 Downgraded to Caa1
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn 3/25/2009)
-- Cl. A-I-4, Downgraded to C; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Underlying Rating: Downgraded to C; previously on Oct 17,
2008 Downgraded to Caa1
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn 3/25/2009)
-- Cl. A-II, Downgraded to Ca; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Underlying Rating: Downgraded to Ca; previously on Mar 20,
2009 Downgraded to Caa1
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn 3/25/2009)
Issuer: RAMP Series 2005-RS1 Trust
-- Cl. A-I-4, Downgraded to B1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. A-I-5, Downgraded to Caa2; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-I-6, Downgraded to Ba2; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. M-II-1, Downgraded to Caa2; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. M-II-2, Downgraded to C; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. M-I-1, Downgraded to C; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. M-I-2, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-I-3, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2005-RS2 Trust
-- Cl. A-I-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-II-3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to A3; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Caa1; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2005-RS3 Trust
-- Cl. A-I-A3, Downgraded to Aa3; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-I-B1, Downgraded to Aa3; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-I-B2, Downgraded to A1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-II, Downgraded to Aa2; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ba2; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Caa2; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Ca; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2005-RS4 Trust
-- Cl. A-4, Downgraded to Aa2; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Baa3; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Caa1; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2005-RS5 Trust
-- Cl. A-I-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-I-3, Downgraded to A2; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-II, Downgraded to A2; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Caa1; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2005-RS6 Trust
-- Cl. A-I-3, Downgraded to Aa1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-II-1, Downgraded to Aa1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-II-2, Downgraded to Aa2; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to B1; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ca; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2005-RS7 Trust
-- Cl. A-2, Downgraded to Baa2; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa1; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2005-RS8 Trust
-- Cl. A-2, Confirmed at Ba2; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa2; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2005-RS9 Trust
-- Cl. A-I-3, Downgraded to Caa2; previously on Jan 13, 2010
Caa1 Placed Under Review for Possible Downgrade
-- Underlying Rating: Downgraded to Caa2; previously on Oct 17,
2008 Downgraded to Caa1
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn 3/25/2009)
-- Cl. A-I-4, Downgraded to Ca; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Underlying Rating: Downgraded to Ca; previously on Mar 20,
2009 Downgraded to Caa3
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn 3/25/2009)
-- Cl. A-II, Downgraded to Ca; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Underlying Rating: Downgraded to Ca; previously on Mar 20,
2009 Downgraded to Caa2
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn 3/25/2009)
Issuer: RAMP Series 2006-EFC1 Trust
-- Cl. A-2, Downgraded to Baa2; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to B2; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ca; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2006-EFC2 Trust
-- Cl. A-2, Confirmed at Baa3; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa2; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-1S, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-2S, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2006-NC1 Trust
-- Cl. A-2, Downgraded to B2; previously on Jan 13, 2010 A3
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to C; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2006-NC2 Trust
-- Cl. A-2, Downgraded to Caa1; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to C; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2006-NC3 Trust
-- Cl. A-2, Downgraded to Caa1; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2006-RS1 Trust
-- Cl. A-I-2, Downgraded to Caa1; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-I-3, Downgraded to Ca; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. A-II, Downgraded to Caa3; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2006-RS2 Trust
-- Cl. A-2, Downgraded to Caa1; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. A-3A, Downgraded to Ca; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. A-3B, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2006-RS3 Trust
-- Cl. A-2, Confirmed at B3; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa3; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-4, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2006-RS4 Trust
-- Cl. A-2, Upgraded to Aa1; previously on Mar 20, 2009
Downgraded to A2
-- Cl. A-3, Downgraded to Caa2; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2006-RS5 Trust
-- Cl. A-3, Confirmed at B3; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to C; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2006-RS6 Trust
-- Cl. A-2, Downgraded to Caa1; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2007-RS1 Trust
-- Cl. A-1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Remained On Review for Possible Downgrade
-- Cl. A-2, Confirmed at Aa2; previously on Jan 13, 2010 Aa2
Remained On Review for Possible Downgrade
-- Cl. A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2007-RS2 Trust
-- Cl. A-1, Confirmed at B3; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Ca; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
* Moody's Downgrades Ratings on 151 Tranches From 39 RMBS Deals
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 151
tranches from 39 RMBS transactions issued by First Franklin.
Additionally, Moody's confirmed the ratings of 57 tranches from
the same transactions. The collateral backing these deal
primarily consists of first-lien, fixed and adjustable-rate
subprime residential mortgages.
The actions are a result of the continued performance
deterioration in Subprime pools in conjunction with home price and
unemployment conditions that remain under duress. The actions
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2007.
To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the
different pools and the structural features of the transaction
including priorities of payment distribution among the different
tranches, average life of the tranches, current balances of the
tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
Complete rating actions are:
Issuer: First Franklin Mortgage Loan Trust 2005-FF1
-- Cl. A-1A, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-1B, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to B2; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2005-FF11
-- Cl. A-1, Confirmed at Aa3; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-2D, Confirmed at A2; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Caa3; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2005-FF12
-- Cl. A-1, Downgraded to A2; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to Ba1; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Downgraded to Ba2; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Caa3; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2005-FF2
-- Cl. M-1, Confirmed at Aa3; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. M-2, Confirmed at A3; previously on Jan 13, 2010 A3
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to B3; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to Caa3; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2005-FF3
-- Cl. A3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A4, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M1, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M2, Downgraded to Baa2; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. M3, Downgraded to B3; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M4, Downgraded to Ca; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. M5, Downgraded to C; previously on Jan 13, 2010 B3 Placed
Under Review for Possible Downgrade
-- Cl. M6, Downgraded to C; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. M7, Downgraded to C; previously on Jan 13, 2010 Ca Placed
Under Review for Possible Downgrade
-- Cl. M8, Downgraded to C; previously on Jan 13, 2010 Ca Placed
Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2005-FF4
-- Cl. I-A1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. II-A4, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to A2; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to B1; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Caa2; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2005-FF7
-- Cl. A-1, Downgraded to Aa1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-4, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Aa3; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ba1; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Caa2; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2005-FF8
-- Cl. A-1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2D, Upgraded to Aa3; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Caa1; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2005-FFH1
-- Cl. A-1A, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-1B, Downgraded to Aa1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Caa2; previously on Jan 13, 2010 A3
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2005-FFH2
-- Cl. M1, Confirmed at A1; previously on Jan 13, 2010 A1 Placed
Under Review for Possible Downgrade
-- Cl. M2, Downgraded to Caa1; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M3, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2005-FFH3
-- Cl. I-A1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Confirmed at Baa1; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to B3; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Caa3; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2005-FFH4
-- Cl. I-A1, Downgraded to A1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. II-A3, Downgraded to Aa1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. II-A4, Downgraded to A2; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Caa1; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2006-FF1
-- Cl. I-A, Downgraded to Baa3; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. II-A-3, Upgraded to Baa2; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. II-A-4, Downgraded to B2; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ca; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2006-FF10
-- Cl. A1, Downgraded to Caa3; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A4, Downgraded to B3; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. A5, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A6, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A7, Downgraded to B3; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2006-FF11
-- Cl. I-A-1, Downgraded to B3; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. I-A-2, Downgraded to Ca; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. II-A-2, Confirmed at Ba3; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. II-A-3, Downgraded to Caa3; previously on Jan 13, 2010
Caa2 Placed Under Review for Possible Downgrade
-- Cl. II-A-4, Downgraded to Ca; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2006-FF12
-- Cl. A1, Downgraded to Caa2; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Remained On Review for Possible Downgrade
-- Cl. A3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Remained On Review for Possible Downgrade
-- Cl. A4, Downgraded to Caa1; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A5, Downgraded to C; previously on Jan 13, 2010 Ca Placed
Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2006-FF13
-- Cl. A-1, Downgraded to Caa2; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Confirmed at B3; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Downgraded to Caa3; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-2D, Confirmed at Caa3; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2006-FF14
-- Cl. A1, Downgraded to Caa3; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A2, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. A3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A4, Confirmed at Aa2; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. A5, Downgraded to Caa2; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A6, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed
Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2006-FF15
-- Cl. A1, Downgraded to Caa3; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. A2, Downgraded to Caa2; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. A3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A4, Confirmed at A1; previously on Jan 13, 2010 A1 Placed
Under Review for Possible Downgrade
-- Cl. A5, Downgraded to Caa3; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2006-FF16
-- Cl. I-A1, Downgraded to Caa3; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. II-A2, Downgraded to Caa2; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. II-A3, Confirmed at Caa3; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. II-A4, Confirmed at Caa3; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2006-FF17
-- Cl. A1, Downgraded to Caa3; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A2, Downgraded to Caa3; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A4, Downgraded to A2; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. A5, Downgraded to Ca; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2006-FF18
-- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-2A, Confirmed at Aa2; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to Caa3; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. A-2D, Downgraded to Ca; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2006-FF3
-- Cl. A-1, Downgraded to B2; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to B3; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Downgraded to Caa2; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2006-FF4
-- Cl. A-2, Downgraded to Caa1; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa3; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2006-FF5
-- Cl. I-A, Downgraded to Caa1; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. II-A-3, Downgraded to Caa1; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. II-A-4, Downgraded to Caa2; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. II-A-5, Downgraded to Caa1; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2006-FF6
-- Cl. A-2, Confirmed at A2; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa1; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Caa2; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2006-FF7
-- Cl. I-A, Downgraded to Caa1; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. II-A-3, Downgraded to Caa3; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. II-A-4, Downgraded to Ca; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2006-FF8
-- Cl. I-A-1, Downgraded to B2; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. II-A-2, Confirmed at Baa2; previously on Jan 13, 2010
Baa2 Placed Under Review for Possible Downgrade
-- Cl. II-A-3, Downgraded to Caa2; previously on Jan 13, 2010
Ba3 Placed Under Review for Possible Downgrade
-- Cl. II-A-4, Downgraded to Ca; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2006-FF9
-- Cl. I-A, Confirmed at B2; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. II-A-2, Confirmed at Baa2; previously on Jan 13, 2010
Baa2 Placed Under Review for Possible Downgrade
-- Cl. II-A-3, Confirmed at Caa2; previously on Jan 13, 2010
Caa2 Placed Under Review for Possible Downgrade
-- Cl. II-A-4, Upgraded to Caa3; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2006-FFH1
-- Cl. A-3, Downgraded to Ba1; previously on Jan 13, 2010 A3
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to B1; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust 2007-FF1
-- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-2A, Confirmed at Baa2; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Confirmed at Caa3; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust Mortgage Loan Asset-
Backed Certificates, Series 2007-FF2
-- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. A-2A, Downgraded to Caa1; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: First Franklin Mortgage Loan Trust Series 2005-FF6
-- Cl. A-1A, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-1B, Downgraded to Aa2; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Downgraded to Aa1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to B1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Caa3; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
Issuer: Merrill Lynch First Franklin Mortgage Loan Trust, Series
2007-1
-- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-2A, Confirmed at Ba3; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: Merrill Lynch First Franklin Mortgage Loan Trust, Series
2007-2
-- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-2A, Downgraded to Baa3; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: Merrill Lynch First Franklin Mortgage Loan Trust, Series
2007-3
-- Cl. A-1A, Downgraded to Caa1; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-1B, Downgraded to Caa3; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. A-1C, Downgraded to Ca; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. A-1D, Downgraded to Ca; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. A-2A, Downgraded to Ba1; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to Caa3; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. A-2D, Downgraded to Ca; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
Issuer: Merrill Lynch First Franklin Mortgage Loan Trust, Series
2007-4
-- Cl. 1-A, Downgraded to Caa3; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. 2-A1, Downgraded to B1; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 2-A2, Confirmed at Caa3; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. 2-A3, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. 2-A4, Confirmed at Ca; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: Merrill Lynch First Franklin Mortgage Loan Trust, Series
2007-5
-- Cl. 1-A, Downgraded to Caa3; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A1, Downgraded to Ba1; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. 2-A2, Downgraded to Caa3; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A3, Downgraded to Ca; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: Merrill Lynch First Franklin Mortgage Loan Trust, Series
2007-H1
-- Cl. 1-A1, Downgraded to Caa1; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. 1-A2, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. 2-A2, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. 2-A3A, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. 2-A3B, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. 2-A1, Confirmed at Caa2; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. X-A, Downgraded to Caa1; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
* Moody's Downgrades Ratings on 209 Tranches From 43 RMBS Deals
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 209
tranches from 43 RMBS transactions issued by RASC. Additionally,
Moody's has confirmed the existing ratings of 27 tranches from
these same transactions. The collateral backing these deals
primarily consist of first-lien, fixed and adjustable-rate
subprime residential mortgages.
The actions are a result of the continued performance
deterioration in Subprime pools in conjunction with home price and
unemployment conditions that remain under duress. The actions
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2007.
To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
Certain tranches included in this action, noted below, are wrapped
by Financial Guaranty Insurance Company (Insured Rating Withdrawn
3/25/2009). For securities insured by a financial guarantor, the
rating on the securities is the higher of (i) the guarantor's
financial strength rating and (ii) the current underlying rating
(i.e., absent consideration of the guaranty) on the security. The
principal methodology used in determining the underlying rating is
the same methodology for rating securities that do not have a
financial guaranty and is as described earlier.
Complete rating actions are:
Issuer: RASC Series 2005-AHL1 Trust
-- Cl. A-2, Downgraded to Aa1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Aa2; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to B2; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2005-AHL2 Trust
-- Cl. A-2, Downgraded to Ba1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa2; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2005-AHL3 Trust
-- Cl. A-2, Downgraded to B2; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Ca; previously on Jan 13, 2010 A3
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2005-EMX1 Trust
-- Cl. M-1, Downgraded to Baa2; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ca; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2005-EMX2 Trust
-- Cl. A-4, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Confirmed at Aa3; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ba3; previously on Jan 13, 2010 A3
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Caa2; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. M-7, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2005-EMX3 Trust
-- Cl. A-I-4, Downgraded to Aa1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-II, Downgraded to Aa1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ba1; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Caa2; previously on Jan 13, 2010 A3
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2005-EMX4 Trust
-- Cl. A-2, Downgraded to A1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Baa3; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Caa1; previously on Jan 13, 2010 A3
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2005-EMX5 Trust
-- Cl. A-2, Confirmed at Caa3; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Underlying Rating: Confirmed at Caa3; previously on Mar 20,
2009 Downgraded to Caa3
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn 3/25/2009)
-- Cl. A-3, Downgraded to C; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Underlying Rating: Downgraded to C; previously on Mar 20,
2009 Downgraded to Caa3
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn 3/25/2009)
Issuer: RASC Series 2005-KS1 Trust
-- Cl. A-3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Caa1; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2005-KS10 Trust
-- Cl. A-I-2, Downgraded to A3; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-I-3, Downgraded to Ba3; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. A-II, Downgraded to Ba3; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ca; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2005-KS11 Trust
-- Cl. A-I-3, Downgraded to Aa3; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. A-I-4, Downgraded to B2; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. A-II, Downgraded to B1; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2005-KS12 Trust
-- Cl. A-2, Downgraded to Ba1; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to B3; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2005-KS2 Trust
-- Cl. A-I-3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-II-1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-II-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Caa3; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2005-KS3 Trust
-- Cl. M-2, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Ba1; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to Caa2; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 A3
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. M-7, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-8, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2005-KS4 Trust
-- Cl. A-3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-4B, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Baa2; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ca; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2005-KS5 Trust
-- Cl. M-2, Downgraded to Aa3; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Ba1; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to Caa2; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 A3
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. M-7, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2005-KS6 Trust
-- Cl. A-4, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Confirmed at Aa1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ba2; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Caa1; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to Ca; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-7, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-8, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2005-KS7 Trust
-- Cl. A-3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to A3; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to B2; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Caa3; previously on Jan 13, 2010 Aa3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-7, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2005-KS8 Trust
-- Cl. A-4, Downgraded to Aa1; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Baa3; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Caa1; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2005-KS9 Trust
-- Cl. A-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Aa2; previously on Jan 13, 2010 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ba1; previously on Jan 13, 2010 Aa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Caa1; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Ca; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-7, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2006-EMX1 Trust
-- Cl. A-2, Downgraded to Ba2; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa1; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2006-EMX2 Trust
-- Cl. A-2, Downgraded to B2; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Ca; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2006-EMX3 Trust
-- Cl. A-2, Downgraded to Caa2; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2006-EMX4 Trust
-- Cl. A-3, Downgraded to Caa2; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2006-EMX5 Trust
-- Cl. A-3, Downgraded to Caa3; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to C; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. A-2, Confirmed at A2; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2006-EMX6 Trust
-- Cl. A-3, Downgraded to Caa3; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-2, Confirmed at Ba3; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2006-EMX7 Trust
-- Cl. A-3, Downgraded to Caa3; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-2, Confirmed at Ba3; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2006-EMX8 Trust
-- Cl. A-I-2, Confirmed at B3; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-I-3, Downgraded to Ca; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Cl. A-I-4, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. A-II, Downgraded to Ca; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2006-EMX9 Trust
-- Cl. A-I-2, Confirmed at B2; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. A-I-3, Downgraded to Ca; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-I-4, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-II, Downgraded to Caa3; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2006-KS1 Trust
-- Cl. A-3, Downgraded to Ba1; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Caa2; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2006-KS2 Trust
-- Cl. A-3, Downgraded to Ba1; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Caa2; previously on Jan 13, 2010 A1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2006-KS3 Trust
-- Cl. A-I-3, Downgraded to Ba1; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-I-4, Downgraded to Ca; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-II, Downgraded to Caa1; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2006-KS4 Trust
-- Cl. A-3, Downgraded to B2; previously on Jan 13, 2010 Baa1
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Ca; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2006-KS5 Trust
-- Cl. A-2, Confirmed at A2; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa2; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2006-KS6 Trust
-- Cl. A-2, Confirmed at A2; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa2; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to C; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2006-KS7 Trust
-- Cl. A-2, Confirmed at A2; previously on Jan 13, 2010 A2
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa1; previously on Jan 13, 2010 Baa3
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Ca; previously on Jan 13, 2010 Ba1
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2006-KS8 Trust
-- Cl. A-2, Downgraded to Ba2; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa3; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2006-KS9 Trust
-- Cl. A-I-2, Confirmed at B2; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. A-I-3, Downgraded to Ca; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-I-4, Downgraded to C; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Cl. A-II, Downgraded to Ca; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2007-EMX1 Trust
-- Cl. A-I-2, Downgraded to Caa3; previously on Jan 13, 2010
Caa2 Placed Under Review for Possible Downgrade
-- Underlying Rating: Downgraded to Caa3; previously on Oct 17,
2008 Downgraded to Caa2
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn 3/25/2009)
-- Cl. A-I-3, Downgraded to Ca; previously on Jan 13, 2010 Caa3
Placed Under Review for Possible Downgrade
-- Underlying Rating: Downgraded to Ca; previously on Oct 17,
2008 Downgraded to Caa3
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn 3/25/2009)
-- Cl. A-I-4, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Underlying Rating: Downgraded to C; previously on Mar 20,
2009 Downgraded to Ca
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn 3/25/2009)
-- Cl. A-II, Downgraded to Ca; previously on Jan 13, 2010 Caa2
Placed Under Review for Possible Downgrade
-- Underlying Rating: Downgraded to Ca; previously on Oct 17,
2008 Downgraded to Caa2
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn 3/25/2009)
-- Cl. A-I-1, Confirmed at B3; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Underlying Rating: Confirmed at B3; previously on Oct 17,
2008 Downgraded to B3
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn 3/25/2009)
Issuer: RASC Series 2007-KS1 Trust
-- Cl. A-1, Downgraded to A1; previously on Jan 13, 2010 Aa2
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to B2; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Ca; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to C; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-1S, Downgraded to C; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2007-KS2 Trust
-- Cl. A-I-1, Confirmed at Baa2; previously on Jan 13, 2010 Baa2
Placed Under Review for Possible Downgrade
-- Cl. A-I-2, Confirmed at B3; previously on Jan 13, 2010 B3
Placed Under Review for Possible Downgrade
-- Cl. A-I-3, Downgraded to Ca; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
-- Cl. A-I-4, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
-- Cl. A-II, Downgraded to Caa3; previously on Jan 13, 2010 Caa1
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2007-KS3 Trust
-- Cl. A-I-1, Confirmed at Ba2; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. A-I-2, Downgraded to B3; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-I-3, Downgraded to Ca; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. A-I-4, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. A-II, Downgraded to Caa3; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. M-1S, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
Issuer: RASC Series 2007-KS4 Trust
-- Cl. A-1, Confirmed at Ba2; previously on Jan 13, 2010 Ba2
Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Caa1; previously on Jan 13, 2010 Ba3
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Ca; previously on Jan 13, 2010 B1
Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to C; previously on Jan 13, 2010 B2
Placed Under Review for Possible Downgrade
-- Cl. M-1S, Downgraded to C; previously on Jan 13, 2010 Ca
Placed Under Review for Possible Downgrade
* Moody's Downgrades Ratings on 284 Tranches From 13 RMBS Deals
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 284
tranches, confirmed the ratings of 38 tranches, and upgraded the
rating of one tranche from 13 RMBS transactions, backed by prime
jumbo loans, issued by J.P. Morgan Mortgage Trust.
The collateral backing these transactions consists primarily of
first-lien, adjustable-rate, prime jumbo residential mortgage
loans. The actions are a result of the rapidly deteriorating
performance of jumbo pools in conjunction with macroeconomic
conditions that remain under duress. The actions reflect Moody's
updated loss expectations on prime jumbo pools issued from 2005 to
2008.
To assess the rating implications of the updated loss levels on
prime jumbo RMBS, each individual pool was run through a variety
of scenarios in the Structured Finance Workstation(R), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
The above mentioned approach "Jumbo RMBS Loss Projection Update:
January 2010" is adjusted to estimate losses on pools left with a
small number of loans. To project losses on pools with fewer than
100 loans, Moody's first estimates a "baseline" average rate of
new delinquencies for the pool that is dependent on the vintage of
loan origination (3.5%, 6.5% and 7.5% for the 2005, 2006 and 2007
vintage respectively). This baseline rate is higher than the
average rate of new delinquencies for the vintage to account for
the volatile nature of small pools. Even if a few loans in a
small pool become delinquent, there could be a large increase in
the overall pool delinquency level due to the concentration risk.
Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility and hence
the stress applied. Once the loan count in a pool falls below 75,
the rate of delinquency is increased by 1% for every loan less
than 75. For example, for a pool with 74 loans from the 2005
vintage, the adjusted rate of new delinquency would be 3.535%. If
the current delinquency level in a small pool is low, future
delinquencies are expected to reflect this trend. To account for
that, the rate calculated above is multiplied by a factor ranging
from 0.2 to 1.8 for current delinquencies ranging from less than
2.5% to greater than 30% respectively. Delinquencies for
subsequent years and ultimate expected losses are projected using
the approach described in the methodology publication.
List of actions:
Issuer: J.P. Morgan Mortgage Trust 2005-A1
-- Cl. 1-A-1, Downgraded to Baa1; previously on Dec 17, 2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Baa1; previously on Dec 17, 2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Baa1; previously on Dec 17, 2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to Baa3; previously on Dec 17, 2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to A1; previously on Dec 17, 2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to Baa2; previously on Dec 17, 2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to A1; previously on Dec 17, 2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to A1; previously on Dec 17, 2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 3-A-5, Downgraded to Baa2; previously on Dec 17, 2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 3-A-6, Downgraded to A1; previously on Dec 17, 2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to A2; previously on Dec 17, 2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to Baa3; previously on Dec 17, 2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to A3; previously on Dec 17, 2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 5-A-2, Downgraded to A3; previously on Dec 17, 2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 5-A-3, Downgraded to Ba1; previously on Dec 17, 2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. I-B-1, Downgraded to B3; previously on Dec 17, 2009 A1
Placed Under Review for Possible Downgrade
-- Cl. I-B-2, Downgraded to Ca; previously on Dec 17, 2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. I-B-3, Downgraded to C; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. I-B-4, Downgraded to C; previously on Dec 17, 2009 Caa3
Placed Under Review for Possible Downgrade
-- Cl. I-B-5, Downgraded to C; previously on May 21, 2009
Downgraded to Ca
-- Cl. 6-T-1, Downgraded to A2; previously on Dec 17, 2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. T-B-1, Downgraded to B1; previously on Dec 17, 2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. T-B-2, Downgraded to Caa3; previously on Dec 17, 2009 A3
Placed Under Review for Possible Downgrade
-- Cl. T-B-3, Downgraded to Ca; previously on Dec 17, 2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. T-B-4, Downgraded to C; previously on Dec 17, 2009 Caa2
Placed Under Review for Possible Downgrade
-- Cl. T-B-5, Downgraded to C; previously on May 21, 2009
Downgraded to Ca
Issuer: J.P. Morgan Mortgage Trust 2005-A2
-- Cl. 1-A-1, Downgraded to Ba3; previously on Dec 17, 2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to B2; previously on Dec 17, 2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Ba1; previously on Dec 17, 2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to B1; previously on Dec 17, 2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to Ba3; previously on Dec 17, 2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to Ba3; previously on Dec 17, 2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to B2; previously on Dec 17, 2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Ba3; previously on Dec 17, 2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to Ba1; previously on Dec 17, 2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 5-A-2, Downgraded to Ba2; previously on Dec 17, 2009 Aa2
Placed Under Review for Possible Downgrade
-- Cl. 5-A-3, Downgraded to B1; previously on Dec 17, 2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 6-A-1, Downgraded to Ba2; previously on Dec 17, 2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 6-A-2, Downgraded to B2; previously on Dec 17, 2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 7CB1, Downgraded to Ba2; previously on Dec 17, 2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. 7CB2, Downgraded to B2; previously on Dec 17, 2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 8-A-1, Downgraded to Ba2; previously on Dec 17, 2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 9-A-1, Downgraded to Ba3; previously on Dec 17, 2009 A2
Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C; previously on Dec 17, 2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C; previously on Dec 17, 2009 Caa2
Placed Under Review for Possible Downgrade
Issuer: J.P. Morgan Mortgage Trust 2005-A4
-- Cl. 1-A-1, Downgraded to Ba1; previously on Dec 17, 2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Ba1; previously on Dec 17, 2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Ba1; previously on Dec 17, 2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to Baa3; previously on Dec 17, 2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to Ba1; previously on Dec 17, 2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Baa2; previously on Dec 17, 2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to Ba1; previously on Dec 17, 2009 Baa1
Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Ca; previously on Dec 17, 2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C; previously on Dec 17, 2009 Caa2
Placed Under Review for Possible Downgrade
Issuer: J.P. Morgan Mortgage Trust 2005-A7
-- Cl. 1-A-1, Confirmed at Ba2; previously on Dec 17, 2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to B2; previously on Dec 17, 2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Caa1; previously on Dec 17, 2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to Caa1; previously on Dec 17, 2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-5, Downgraded to Ca; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to B1; previously on Dec 17, 2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to B3; previously on Dec 17, 2009 B1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Caa1; previously on Dec 17, 2009 B1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to B2; previously on Dec 17, 2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-5, Downgraded to Caa1; previously on Dec 17, 2009 B1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-6, Downgraded to Ca; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to B2; previously on Dec 17, 2009 Baa3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to Ca; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Confirmed at B1; previously on Dec 17, 2009 B1
Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C; previously on Mar 27, 2009
Downgraded to Ca
Issuer: J.P. Morgan Mortgage Trust 2005-A8
-- Cl. 1-A-1, Downgraded to B2; previously on Dec 17, 2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Ca; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to B1; previously on Dec 17, 2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to Ca; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Confirmed at B1; previously on Dec 17, 2009 B1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to B3; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Caa1; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-6, Confirmed at B1; previously on Dec 17, 2009 B1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-7, Downgraded to Caa1; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-8, Downgraded to Ca; previously on Dec 17, 2009 Caa1
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to B2; previously on Dec 17, 2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to B1; previously on Dec 17, 2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to B3; previously on Dec 17, 2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to Ca; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 6-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 6-A-3, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 6-A-4, Downgraded to Ca; previously on Dec 17, 2009 Caa1
Placed Under Review for Possible Downgrade
-- Cl. 6-A-2, Upgraded to Ba3; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C; previously on May 21, 2009
Downgraded to Ca
Issuer: J.P. Morgan Mortgage Trust 2006-A2
-- Cl. 1-A-1, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Caa3; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to C; previously on May 1, 2009
Downgraded to Ca
-- Cl. 2-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Caa1; previously on Dec 17, 2009
Baa2 Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to C; previously on Dec 17, 2009 Caa1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-5, Downgraded to C; previously on May 1, 2009
Downgraded to Ca
-- Cl. 3-A-1, Downgraded to B2; previously on Dec 17, 2009 B1
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to Caa1; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to Caa1; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to C; previously on May 1, 2009
Downgraded to Ca
-- Cl. 4-A-1, Confirmed at A3; previously on Dec 17, 2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to B1; previously on Dec 17, 2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to Aa3; previously on Dec 17, 2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 5-A-2, Downgraded to Baa3; previously on Dec 17, 2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 5-A-3, Downgraded to A3; previously on Dec 17, 2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. 5-A-4, Downgraded to B1; previously on Dec 17, 2009 Ba3
Placed Under Review for Possible Downgrade
Issuer: J.P. Morgan Mortgage Trust 2006-A3
-- Cl. 1-A-1, Downgraded to Caa3; previously on Dec 17, 2009
Caa2 Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to C; previously on Jun 24, 2009
Downgraded to Ca
-- Cl. 2-A-1, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Caa3; previously on Dec 17, 2009
Caa2 Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Caa3; previously on Dec 17, 2009
Caa2 Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to C; previously on Jun 24, 2009
Downgraded to Ca
-- Cl. 3-A-1, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-5, Downgraded to C; previously on Oct 5, 2009
Downgraded to Ca
-- Cl. 3-A-6, Downgraded to C; previously on Jun 24, 2009
Downgraded to Ca
-- Cl. 4-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to C; previously on Jun 24, 2009
Downgraded to Ca
-- Cl. 5-A-2, Downgraded to Caa3; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 5-A-3, Downgraded to C; previously on Jun 24, 2009
Downgraded to Ca
-- Cl. 6-A-1, Downgraded to B2; previously on Dec 17, 2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Confirmed at Caa1; previously on Dec 17, 2009 Caa1
Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 7-A-1, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
Issuer: J.P. Morgan Mortgage Trust 2006-A4
-- Cl. 1-A-1, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Caa1; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Caa3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to Caa3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-5, Downgraded to C; previously on May 1, 2009
Downgraded to Ca
-- Cl. 2-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to B3; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to C; previously on May 1, 2009
Downgraded to Ca
-- Cl. 3-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to B3; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-5, Downgraded to C; previously on May 1, 2009
Downgraded to Ca
-- Cl. 4-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Confirmed at B2; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 4-A-3, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-4, Downgraded to B2; previously on Dec 17, 2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 4-A-5, Downgraded to Ca; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-6, Downgraded to C; previously on May 1, 2009
Downgraded to Ca
-- Cl. 5-A-1, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 5-A-2, Downgraded to C; previously on May 1, 2009
Downgraded to Ca
Issuer: J.P. Morgan Mortgage Trust 2006-A5
-- Cl. 1-A-1, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Caa1; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Caa3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to Caa3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-5, Downgraded to C; previously on Jun 24, 2009
Downgraded to Ca
-- Cl. 3-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to Caa3; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-5, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 3-A-6, Downgraded to Caa3; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to C; previously on Jun 24, 2009
Downgraded to Ca
-- Cl. 5-A-1, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 5-A-2, Downgraded to C; previously on Jun 24, 2009
Downgraded to Ca
-- Cl. 6-A-1, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 6-A-2, Downgraded to C; previously on Jun 24, 2009
Downgraded to Ca
Issuer: J.P. Morgan Mortgage Trust 2006-A6
-- Cl. 1-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-1M, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-1S, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to B3; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-3M, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-3S, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4L, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4F, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4M, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-4S, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 1-A-5, Downgraded to C; previously on Jul 17, 2009
Downgraded to Ca
-- Cl. 2-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1M, Downgraded to Caa1; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-1S, Downgraded to Caa1; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Confirmed at Ba1; previously on Dec 17, 2009 Ba1
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3L, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3F, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3M, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3S, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4L, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4F, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4M, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4S, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-5, Downgraded to C; previously on Jul 17, 2009
Downgraded to Ca
-- Cl. 3-A-1, Downgraded to B3; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1M, Downgraded to B3; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1S, Downgraded to B3; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Confirmed at B2; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2M, Confirmed at B2; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2S, Confirmed at B2; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3L, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3F, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3M, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3S, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to B1; previously on Dec 17, 2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-5, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-6, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-6L, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-6F, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-6M, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-6S, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-7, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-7L, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-7F, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-7M, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-7S, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-L1, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-L2, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-8, Downgraded to C; previously on Jul 17, 2009
Downgraded to Ca
-- Cl. 4-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to C; previously on Jul 17, 2009
Downgraded to Ca
Issuer: J.P. Morgan Mortgage Trust 2006-A7
-- Cl. 1-A-1, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to C; previously on May 1, 2009
Downgraded to Ca
-- Cl. 1-A-4, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 1-A-4L, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 1-A-4F, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-1R, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-1K, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Caa3; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-3L, Downgraded to Caa3; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-3F, Downgraded to Caa3; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-3M, Downgraded to Caa3; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-3S, Downgraded to Caa3; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to Caa3; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-4L, Downgraded to Caa3; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-4F, Downgraded to Caa3; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-4M, Downgraded to Caa3; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-4S, Downgraded to Caa3; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-4R, Downgraded to Caa3; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-4K, Downgraded to Caa3; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 2-A-5, Downgraded to C; previously on May 1, 2009
Downgraded to Ca
-- Cl. 3-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 3-A-2L, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 3-A-2F, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 3-A-2M, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 3-A-2S, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 3-A-3L, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 3-A-3F, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 3-A-3M, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 3-A-3S, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to C; previously on May 1, 2009
Downgraded to Ca
-- Cl. 4-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 4-A-2L, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 4-A-2F, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 4-A-2M, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 4-A-2S, Downgraded to Caa2; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 4-A-3, Downgraded to C; previously on May 1, 2009
Downgraded to Ca
Issuer: J.P. Morgan Mortgage Trust 2007-A1
-- Cl. 1-A-1, Downgraded to Ba3; previously on Dec 17, 2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Caa3; previously on Dec 17, 2009
Caa2 Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to B3; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to B2; previously on Dec 17, 2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to Ba3; previously on Dec 17, 2009 A3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to Caa3; previously on Dec 17, 2009
Caa1 Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Confirmed at B1; previously on Dec 17, 2009 B1
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to Ba3; previously on Dec 17, 2009 A2
Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to B2; previously on Dec 17, 2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 5-A-2, Downgraded to B1; previously on Dec 17, 2009 A1
Placed Under Review for Possible Downgrade
-- Cl. 5-A-5, Downgraded to Baa2; previously on Dec 17, 2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. 5-A-6, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 6-A-1, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 6-A-3, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 6-A-4, Confirmed at B3; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 7-A-1, Downgraded to B3; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 7-A-2, Confirmed at B1; previously on Dec 17, 2009 B1
Placed Under Review for Possible Downgrade
-- Cl. 7-A-3, Downgraded to B3; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 7-A-3M, Downgraded to B3; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 7-A-3S, Downgraded to B3; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
Issuer: J.P. Morgan Mortgage Trust 2007-A2
-- Cl. 1-A-1, Downgraded to Caa2; previously on Dec 17, 2009 B1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-1M, Downgraded to Caa2; previously on Dec 17, 2009 B1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-1S, Downgraded to Caa2; previously on Dec 17, 2009 B1
Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to C; previously on May 1, 2009
Downgraded to Ca
-- Cl. 2-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3M, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3S, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3L, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-3F, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to C; previously on May 1, 2009
Downgraded to Ca
-- Cl. 2-A-5, Downgraded to Caa2; previously on May 1, 2009
Downgraded to B3
-- Cl. 2-A-5M, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 2-A-5S, Downgraded to Caa2; previously on Dec 17, 2009 B3
Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to B3; previously on Dec 17, 2009 Baa2
Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to Caa2; previously on Dec 17, 2009
Baa3 Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to Caa2; previously on Dec 17, 2009
Baa3 Placed Under Review for Possible Downgrade
-- Cl. 3-A-3M, Downgraded to Caa2; previously on Dec 17, 2009
Baa3 Placed Under Review for Possible Downgrade
-- Cl. 3-A-3S, Downgraded to Caa2; previously on Dec 17, 2009
Baa3 Placed Under Review for Possible Downgrade
-- Cl. 3-A-3L, Downgraded to Caa2; previously on Dec 17, 2009
Baa3 Placed Under Review for Possible Downgrade
-- Cl. 3-A-3F, Downgraded to Caa2; previously on Dec 17, 2009
Baa3 Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to C; previously on May 1, 2009
Downgraded to Ca
-- Cl. 3-A-5, Downgraded to Caa1; previously on Dec 17, 2009
Baa3 Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Caa1; previously on Dec 17, 2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 4-A-1M, Downgraded to Caa1; previously on Dec 17, 2009
Ba2 Placed Under Review for Possible Downgrade
-- Cl. 4-A-1S, Downgraded to Caa1; previously on Dec 17, 2009
Ba2 Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to Caa2; previously on Dec 17, 2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. 4-A-2M, Downgraded to Caa2; previously on Dec 17, 2009
Ba3 Placed Under Review for Possible Downgrade
-- Cl. 4-A-2S, Downgraded to Caa2; previously on Dec 17, 2009
Ba3 Placed Under Review for Possible Downgrade
-- Cl. 4-A-2L, Downgraded to Caa2; previously on Dec 17, 2009
Ba3 Placed Under Review for Possible Downgrade
-- Cl. 4-A-2F, Downgraded to Caa2; previously on Dec 17, 2009
Ba3 Placed Under Review for Possible Downgrade
-- Cl. 4-A-3, Downgraded to C; previously on May 1, 2009
Downgraded to Ca
-- Cl. 4-A-4, Downgraded to Caa1; previously on Dec 17, 2009 Ba2
Placed Under Review for Possible Downgrade
-- Cl. 4-A-4M, Downgraded to Caa1; previously on Dec 17, 2009
Ba2 Placed Under Review for Possible Downgrade
-- Cl. 4-A-4S, Downgraded to Caa1; previously on Dec 17, 2009
Ba2 Placed Under Review for Possible Downgrade
* Moody's Reviews Ratings on 75 Classes From 15 Student Loans
-------------------------------------------------------------
Moody's Investors Service placed under review for possible
downgrade the ratings on 75 classes of notes in 15 National
Collegiate student loan securitizations backed by private (i.e.
non-government guaranteed) student loans. First Marblehead Data
Services, Inc., and First Marblehead Education Resources, Inc.,
subsidiaries of First Marblehead Corporation, are the
administrator and special servicer respectively of the
transactions.
The reviews were prompted by worse than expected collateral
performance, and in particular by the higher than expected
defaults to date for loans originated through school financial aid
offices as well as those originated through the direct-to-consumer
channel. DTC loans accounted for up to 80-90% of most pools at
closing. As of the February 28, 2010 distribution date, the more
seasoned pools securitized in 2001-2004 had experienced in excess
of 15% cumulative gross defaults, as a percent of the original
collateral balance including cumulative capitalized interest; the
pool factors for these transactions are still in the 50-60% range.
The more recent pools securitized after 2005, on the other hand,
have incurred lower cumulative defaults to date; however, 30% to
50% (depending on the pool) of the loans are still "in school"
status.
The elevated defaults have significantly eroded the collateral
base as shown by the steady decline in parity level (i.e. the
ratio of total assets to total liabilities) for all
securitizations. Total parity including the TERI pledge fund has
decreased from 96-98% as of February 2009 to 90-94% as of February
2010 for the more seasoned transactions.
The available credit enhancement for each class of notes includes
overcollateralization, reserve fund, TERI pledge fund,
subordination, and excess spread. Significant structural features
include note interest triggers, reserve fund floors, and the
change in cash flow allocations among the senior classes under the
occurrence of certain events.
During the review period, Moody's will continue to refine its
assessment of losses relative to the credit enhancement available.
Primary sources of uncertainty with regard to expected losses are
the weak economic environment and the high unemployment rate,
which adversely impacts the income-generating ability of the
borrowers. The performance of DTC loans in particular is highly
sensitive to these factors. In addition, the historical loss
performance data available for these pools is relatively limited
particularly for the most recent securitizations, as over 90% of
the borrowers in the pools were still in school when the notes
were issued.
The complete rating actions are:
Issuer: The National Collegiate Master Student Loan Trust I (2001
Indenture)
-- NCT-2003AR-11, A3 Placed Under Review for Possible Downgrade;
previously on Jun 11, 2009 Confirmed at A3
-- NCT-2003AR-12, A3 Placed Under Review for Possible Downgrade;
previously on Jun 11, 2009 Confirmed at A3
-- NCT-2003AR-13, A3 Placed Under Review for Possible Downgrade;
previously on Jun 11, 2009 Confirmed at A3
-- NCT-2003AR-14, A3 Placed Under Review for Possible Downgrade;
previously on Jun 11, 2009 Confirmed at A3
-- NCT-2005AR-15, A3 Placed Under Review for Possible Downgrade;
previously on Jun 11, 2009 Confirmed at A3
-- NCT-2005AR-16, Ba3 Placed Under Review for Possible
Downgrade; previously on Apr 13, 2009 Downgraded to Ba3
Issuer: National Collegiate Student Loan Trust 2003-1 (The)
-- Cl. A-7, A1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to A1
-- Cl. IO, A1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to A1
-- Cl. B-1, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
-- Cl. B-2, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
Issuer: National Collegiate Student Loan Trust 2004-1
-- Cl. A-3, Aa3 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at Aa3
-- Cl. A-4, A2 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to A2
-- Cl. A-IO-1, A2 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to A2
-- Cl. A-IO-2, A2 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to A2
-- Cl. B-1, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
-- Cl. B-2, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
Issuer: The National Collegiate Student Loan Trust 2004-2
-- Cl. A-5-1, A2 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to A2
-- Cl. A-IO, A2 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to A2
-- Cl. B, Ba3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Ba3
-- Cl. C, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
Issuer: National Collegiate Student Loan Trust 2005-1
-- Cl. A-4, Aa2 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at Aa2
-- Cl. A-5-1, A2 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at A2
-- Cl. A-5-2, A2 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at A2
-- Cl. B, Ba2 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at Ba2
-- Cl. C, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
Issuer: National Collegiate Student Loan Trust 2005-2
-- Cl. A-3, Aa1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Aa1
-- Cl. A-4, Aa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Aa3
-- Cl. A-5, Baa1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Baa1
-- Cl. A-5-2, Baa1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Baa1
-- Cl. A-IO, Baa1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Baa1
-- Cl. B, B1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to B1
-- Cl. C, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
Issuer: National Collegiate Student Loan Trust 2005-3
-- Cl. A-4, Aa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Aa3
-- Cl. A-5-1, Baa1 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at Baa1
-- Cl. A-5-2, Baa1 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at Baa1
-- Cl. A-IO-1, Baa1 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at Baa1
-- Cl. B, Ba3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Ba3
-- Cl. C, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
-- Cl. A-IO-2, Baa1 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at Baa1
Issuer: National Collegiate Student Loan Trust 2006-1
-- Cl. A-4, Aa1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Aa1
-- Cl. A-5, A3 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at A3
-- Cl. A-IO, A3 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at A3
-- Cl. B, Ba3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Ba3
-- Cl. C, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
Issuer: National Collegiate Student Loan Trust 2006-2
-- Cl. A-3, Aa1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Aa1
-- Cl. A-4, A3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to A3
-- Cl. A-IO, A3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to A3
-- Cl. B, Ba3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Ba3
-- Cl. C, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
Issuer: National Collegiate Student Loan Trust 2006-3
-- Cl. A-4, Aa2 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at Aa2
-- Cl. A-5, A3 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at A3
-- Cl. IO, A3 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at A3
-- Cl. B, Baa2 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at Baa2
-- Cl. C, B1 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at B1
-- Cl. D, B3 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at B3
Issuer: National Collegiate Student Loan Trust 2006-4
-- Cl. A-3, Aa1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Aa1
-- Cl. A-4, A2 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to A2
-- Cl.A-IO, A2 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to A2
-- Cl. B, Ba2 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Ba2
-- Cl. C, B1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to B1
-- Cl. D, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
Issuer: National Collegiate Student Loan Trust 2007-1
-- Cl. A-3, Aa2 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at Aa2
-- Cl. A-4, A3 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at A3
-- Cl.A-IO, A3 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at A3
-- Cl. B, Ba1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Ba1
-- Cl. C, B2 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to B2
-- Cl. D, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
Issuer: National Collegiate Student Loan Trust 2007-2
-- Cl. A-3, Aa1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Aa1
-- Cl. A-4, A2 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at A2
-- Cl.A-IO, A2 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at A2
-- Cl. B, Baa2 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Baa2
-- Cl. C, Ba2 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at Ba2
-- Cl. D, B2 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at B2
Issuer: National Collegiate Student Loan Trust 2007-3
-- Cl. A-3-AR-6, Caa1 Placed Under Review for Possible
Downgrade; previously on Jul 29, 2009 Downgraded to Caa1
Issuer: National Collegiate Student Loan Trust 2007-4
-- Cl. A-3-AR-6, Caa1 Placed Under Review for Possible
Downgrade; previously on Jul 29, 2009 Downgraded to Caa1
* S&P Downgrades Ratings on 10 Classes From Seven CMBS to 'D'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D' on
10 classes of certificates from seven separate U.S. commercial
mortgage-backed securities transactions due to recurring interest
shortfalls that S&P expects to continue in the foreseeable future.
Nine of the downgraded classes have experienced interest
shortfalls for seven or more months. The recurring interest
shortfalls for the respective certificates are primarily due to
one or more of these factors:
* Appraisal subordinate entitlement reductions in effect for the
specially serviced assets;
* Trust expenses that may include, but are not limited to,
property operating expenses, property taxes, insurance payments,
and legal expenses;
* Nonrecoverable advance declarations; and
* Special servicing fees.
Standard & Poor's analysis primarily considered the ASERs based on
appraisal reduction amounts calculated using recent Member of the
Appraisal Institute appraisals. S&P also considered servicer
nonrecoverable advance declarations, trust expenses, and special
servicing fees that are likely, in S&P's view, to cause recurring
interest shortfalls.
ARAs and resulting ASERs are implemented in accordance with each
respective transaction's terms. Typically, these terms call for
the automatic implementation of an ARA equal to 25% of the stated
principal balance of a loan when a loan is 60 days past due, and
an appraisal or other valuation is not available within a
specified timeframe. S&P primarily considered ASERs based on ARAs
calculated from MAI appraisals when deciding which classes from
the affected transactions to downgrade to 'D'. S&P used this
approach because ARAs based on a principal balance haircut are
highly subject to change, or even reversal, once the special
servicer obtains the MAI appraisals.
Morgan Stanley Capital I Trust 2006-IQ11
S&P lowered its ratings on the class L and M certificates from
Morgan Stanley Capital I Trust's series 2006-IQ11 due to recurring
interest shortfalls resulting from ASERs related to five assets
that are currently with the special servicer, LNR Partners Inc.,
as well as special servicing fees and interest not advanced on one
asset due to a nonrecoverable advance declaration. As of the
March 15, 2010, remittance report, ARAs totaling $27.4 million
were in effect for five assets. The resulting reported ASER
amount was $62,258, and the reported cumulative ASER amount was
$479,440. Standard & Poor's considered the ASERs, which are
derived from ARAs based on recent MAI appraisals, as well as
current special servicing fees and interest not advanced due to a
nonrecoverable advance declaration, to determine its ratings
actions for this transaction. Reported interest shortfalls total
$274,984, which prompted interest shortfalls to the class L and M
certificates. Classes L and M have experienced interest
shortfalls for the past six and seven months, respectively, and
S&P expects these shortfalls to recur in the foreseeable future.
The collateral pool for the MSCI 2006-IQ11 transaction consists of
232 loans with an aggregate trust balance of $1.56 billion. As of
the March 15, 2010, remittance report, 12 assets ($123.8 million;
8.0%) in the pool were with the special servicer, including one of
the top 10 assets. The payment status of the delinquent assets
is: eight ($57.8 million, 3.7%) are more than 90 days delinquent,
one ($1.7 million, 0.1%) is 60 days delinquent, and three
($64.5 million, 4.1%) are 30 days delinquent.
Credit Suisse Commercial Mortgage Trust 2007-C3
S&P lowered its rating on the class L certificates from Credit
Suisse Commercial Mortgage Trust's series 2007-C3 due to recurring
interest shortfalls primarily resulting from ASERs related to 11
assets that are currently with the special servicer, LNR. As of
the March 10, 2010, remittance report, ARAs totaling $95.5 million
were in effect for 19 assets. The total reported ASER amount was
$417,477, and the reported cumulative ASER amount was
$3.2 million. Standard & Poor's considered 11 ASERs ($357,025),
all of which were based on MAI appraisals, as well as current
special servicing fees, in determining its rating actions.
Reported interest shortfalls total $593,160 and have resulted in
interest shortfalls to the class L certificates for the past seven
months. S&P expects these shortfalls to recur in the foreseeable
future.
The collateral pool for the Credit Suisse Commercial Mortgage
Trust series 2007-C3 transaction consists of 236 loans with an
aggregate trust balance of $2.67 billion. As of the March 17,
2010, remittance report, 29 assets ($428.8 million; 16.1%) in the
pool were with the special servicer. The payment status of the
delinquent assets is: 17 ($170.3 million, 6.4%) are more than 90
days delinquent, two ($11.1 million, 0.4%) are 60 days delinquent,
one ($3.2 million, 0.1%) is 30 days delinquent, seven
($184.9 million, 6.9%) are less than 30 days delinquent, and two
($11.1 million, 0.4%) are current.
JPMorgan Chase Commercial Mortgage Securities Trust 2007-C1
S&P lowered its ratings on the class K and L certificates from
JPMorgan Chase Commercial Mortgage Securities Trust 2007-C1 (JPMCC
2007-C1) to 'D' due to recurring interest shortfalls primarily
resulting from ASERs related to three assets, including the third-
largest loan in the pool, that are currently with the special
servicer, Midland Loan Services Inc. As of the March 15, 2010,
remittance report, ARAs totaling $56.2 million were in effect for
five assets. The total reported ASER amount was $298,430, and the
reported cumulative ASER amount was $2.6 million. Standard &
Poor's considered three ASERs ($260,458), all of which were based
on MAI appraisals, as well as current special servicing fees, in
determining its rating actions. Reported interest shortfalls
totaled $337,277 and have affected all of the classes subordinate
to class J. Classes K and L have experienced interest shortfalls
for seven and eight months, respectively, and S&P expects these
shortfalls to recur in the foreseeable future.
The collateral pool for the JPMCC 2007-C1 transaction consists of
60 loans with an aggregate trust balance of $1.17 billion. As of
the March 15, 2010, remittance report, seven assets
($184.5 million; 15.8%) in the pool were with the special
servicer, including the third-largest asset in the pool. The
payment status of the delinquent assets is: five assets
($136.5 million; 11.7%) are more than 90 days delinquent, one
($13.9 million, 1.2%) is 60 days delinquent, and one
($34.1 million, 2.9%) is 30 days delinquent.
JPMorgan Chase Commercial Mortgage Securities Trust 2006-CIBC14
S&P lowered its rating on the class H certificates from JPMorgan
Chase Commercial Mortgage Securities Corp.'s series 2007-CIBC19 to
'D' due to recurring interest shortfalls resulting from ASERs
related to four assets that are currently with the special
servicer, LNR, as well as special servicing fees and interest not
advanced due to nonrecoverable advance declarations. As of the
March 12, 2010, remittance report, ARAs totaling $78.7 million
were in effect for 15 assets. The total reported ASER amount was
$337,972, and the reported cumulative ASER amount was
$3.1 million. Standard & Poor's considered four ASERs ($85,645),
all of which were based on MAI appraisals, as well as current
special servicing fees and interest not advanced due to
nonrecoverable advance declarations, in determining its rating
actions. Reported interest shortfalls totaled $606,577 and have
affected all of the classes subordinate to class F. Class H has
experienced interest shortfalls for eight months, and S&P expects
these shortfalls to recur in the foreseeable future.
The collateral pool for the JPMCC 2006-CIBC14 transaction
consists of 198 loans with an aggregate trust balance of
$2.68 billion. As of the March 12, 2010, remittance report,
30 assets ($425.6 million; 15.9%) in the pool were with the
special servicer. The payment status of these assets is: 20
($203.2 million, 7.6%) are more than 90 days delinquent, five
($36.5 million, 1.4%) are 60 days delinquent, two ($160.9 million,
6.0%) are 30 days delinquent, and three ($25.0 million, 0.9%) are
less than 30 days delinquent.
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC19
S&P lowered its ratings on the class Q certificates from JPMorgan
Chase Commercial Mortgage Securities Corp.'s series 2007-CIBC19
(JPMCC 2007-CIBC19) to 'D' due to recurring interest shortfalls
resulting from ASERs related to seven assets that are currently
with the special servicer, LNR, as well as special servicing fees
and interest not advanced due to nonrecoverable advance
declarations. As of the March 12, 2010, remittance report, ARAs
totaling $99.0 million were in effect for 16 assets. The total
reported ASER amount was $393,076, and the reported cumulative
ASER amount was $2.6 million. Standard & Poor's considered three
ASERs ($235,953), all of which were based on MAI appraisals, as
well as current special servicing fees and interest not advanced
due to nonrecoverable advance declarations, in determining its
rating actions. Reported interest shortfalls totaled $527,047 and
have affected all of the classes subordinate to class H. Class Q
has experienced interest shortfalls for eight months, and S&P
expects these shortfalls to recur for the foreseeable future.
The collateral pool for the JPMCC 2007-CIBC19 transaction
consists of 240 loans with an aggregate trust balance of
$3.24 billion. As of the March 12, 2010, remittance report, 27
assets ($330.8 million; 10.2%) in the pool were with the special
servicer, including one of the top 10 assets. The payment status
of these assets is: 21 ($237.8 million, 7.3%) are more than
90 days delinquent, three ($52.9 million, 1.6%) are 60 days
delinquent, two ($30.5 million, 0.9%) are 30 days delinquent, and
one ($9.6 million, 0.3%) is less than 30 days delinquent.
ML-CFC Commercial Mortgage Trust 2006-4
S&P lowered its ratings on the class P and Q certificates from ML-
CFC Commercial Mortgage Trust's series 2006-4 due to recurring
interest shortfalls primarily resulting from ASERs related to nine
assets that are currently with the special servicer, LNR, as well
as special servicing fees. As of the March 12, 2010, remittance
report, ARAs totaling $91.1 million were in effect for 24 assets.
The total reported ASER amount was $381,653, and the reported
cumulative ASER amount was $2.0 million. Standard & Poor's
considered nine ASERs ($357,025), all of which were based on MAI
appraisals, as well as current special servicing fees in
determining its rating actions. Reported interest shortfalls
total $544,261 and have affected all of the classes subordinate to
class J. Classes P and Q have experienced interest shortfalls for
seven and nine months, respectively, and S&P expects these
shortfalls to recur in the foreseeable future.
The collateral pool for the ML-CFC 2006-4 transaction consists of
280 loans with an aggregate trust balance of $4.47 billion. As of
the March 12, 2010, remittance report, 32 assets ($448.8 million;
10.0%) in the pool were with the special servicer. The payment
status of the delinquent assets is: 23 ($275.3 million, 10.3%) are
more than 90 days delinquent, one ($14.0 million, 0.5%) is 60 days
delinquent, five ($85.7 million, 3.2%) are 30 days delinquent, two
($29.4 million, 1.1%) are less than 30 days delinquent, and one
($44.4 million, 1.7%) is current.
GE Commercial Mortgage Corporation Series 2007-C1
S&P lowered its rating on the class Q certificates from GE
Commercial Mortgage Corp.'s series 2007-C1 due to recurring
interest shortfalls primarily resulting from special servicing
fees, as well as ASERs related to three assets that are currently
with the special servicer, LNR. As of the March 10, 2010,
remittance report, ARAs totaling $68.4 million were in effect for
15 assets. The total reported ASER amount was $268,098, and the
reported cumulative ASER amount was $2.0 million. Standard &
Poor's considered three ASERs ($98,048), all of which were based
on MAI appraisals, as well as current special servicing fees, in
determining its rating actions. Reported interest shortfalls
total $705,836 and have affected all of the classes subordinate to
class J. Class Q has experienced interest shortfalls for nine
months, and S&P expects these shortfalls to recur for the
foreseeable future.
The collateral pool for the GECM 2007-C1 transaction consists of
197 loans with an aggregate trust balance of $3.90 billion. As of
the March 12, 2010, remittance report, 30 assets ($902.0 million;
23.1%) in the pool were with the special servicer. The payment
status of the delinquent assets is: one ($17.1 million, 0.4%) is a
matured balloon, 18 ($208.8 million, 5.4%) are more than 90 days
delinquent, five ($203.8 million, 5.2%) are 30 days delinquent,
two ($6.3 million, 0.1%) are less than 30 days delinquent, and
four ($466.0 million, 12.0%) are current or within their
respective grace periods.
Ratings Lowered
Morgan Stanley Capital I Trust 2006-IQ11
Commercial mortgage pass-through certificates
Rating Reported interest shortfalls ($)
------ Credit --------------------------------
Class To From enhancement (%) Current Accumulated
----- -- ---- --------------- ------- -----------
L D CCC- 2.02 18,631 72,014
M D CCC- 1.63 27,947 212,284
Credit Suisse Commercial Mortgage Trust Series 2007-C3
Commercial mortgage pass-through certificates
Rating Reported interest shortfalls ($)
------ Credit --------------------------------
Class To From enhancement (%) Current Accumulated
----- -- ---- --------------- ------- -----------
L D CCC- 2.67 46,883 322,996
JPMorgan Chase Commercial Mortgage Securities Trust 2007-C1
Commercial mortgage pass-through certificates
Rating Reported interest shortfalls ($)
------ Credit --------------------------------
Class To From enhancement (%) Current Accumulated
----- -- ---- --------------- ------- -----------
K D CCC- 5.04 71,223 433,423
L D CCC- 4.41 28,247 197,730
JPMorgan Chase Commercial Mortgage Securities Trust 2006-CIBC14
Commercial mortgage pass-through certificates
Rating Reported interest shortfalls ($)
------ Credit --------------------------------
Class To From enhancement (%) Current Accumulated
----- -- ---- --------------- ------- -----------
H D B- 2.94 189,848 1,288,731
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC19
Commercial mortgage pass-through certificates
Rating Reported interest shortfalls ($)
------ Credit --------------------------------
Class To From enhancement (%) Current Accumulated
----- -- ---- --------------- ------- -----------
Q D CCC- 1.09 55,995 268,910
ML-CFC Commercial Mortgage Trust 2006-4
Commercial mortgage pass-through certificates
Rating Reported interest shortfalls ($)
------ Credit --------------------------------
Class To From enhancement (%) Current Accumulated
----- -- ---- --------------- ------- -----------
P D CCC 1.52 69,578 441,714
Q D CCC- 1.39 23,191 173,413
GE Commercial Mortgage Corporation, Series 2007-C1
Commercial mortgage pass-through certificates
Rating Reported interest shortfalls ($)
------ Credit --------------------------------
Class To From enhancement (%) Current Accumulated
----- -- ---- --------------- ------- -----------
Q D CCC- 1.39 63,999 406,550
* S&P Downgrades Ratings on 11 Classes From Five RMBS Transactions
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 11
classes from five U.S. residential mortgage-backed securities
transactions backed primarily by scratch-and-dent mortgage loan
collateral issued in 2005, 2006, and 2007. Additionally, S&P
affirmed its ratings on 21 classes from the downgraded
transactions, as well as two additional transactions.
The "scratch-and-dent" collateral backing these transactions
originally consisted predominantly of reperforming and outside-
the-guidelines first-lien, fixed- and adjustable-rate residential
mortgage loans secured by one- to four-family properties.
The downgrades and affirmations incorporate its current and
projected losses, which S&P based on the dollar amounts of loans
currently in the transactions' delinquency, foreclosure, and real
estate owned pipelines, as well as S&P's projection of future
defaults. S&P also incorporated cumulative losses to date in its
analysis when assessing rating outcomes.
S&P derived its loss assumptions using its criteria listed in the
"Related Criteria And Research" section below. As part of S&P's
analysis, S&P considered the characteristics of the underlying
mortgage collateral, as well as macroeconomic influences. For
example, the risk profile of the underlying mortgage pools
influences S&P's default projections, while its outlook for
housing-price declines and the health of the housing market
influence its loss severity assumptions. Furthermore, S&P
adjusted its loss expectations for each deal based on upward
trends in 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 S&P's analysis. In order to maintain a rating higher than 'B',
S&P assessed whether the class could withstand losses exceeding
the base-case 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.
The downgrades reflect S&P's belief that the amount of credit
enhancement available for the downgraded classes is not sufficient
to cover losses at the previous rating levels, given its current
projected losses, due to increased delinquencies. The
affirmations reflect S&P's belief that there is sufficient credit
enhancement to support the ratings at their current levels.
Certain senior classes also benefit from senior-support classes
that would provide support to a certain extent before any
applicable losses could affect the super-senior certificates. The
subordination of classes within each structure provides credit
support for the affected transactions.
S&P monitors these transactions to incorporate updated losses and
delinquency-pipeline performance to assess whether, in S&P's view,
the applicable credit enhancement features are sufficient to
support the current ratings. S&P will continue to monitor these
transactions and take additional rating actions as S&P deem
appropriate.
Rating Actions
RAAC Series 2007-RP3 Trust
Series 2007-RP3
Rating
------
Class CUSIP To From
----- ----- -- ----
A 74978BAA6 CCC B
RAAC Series 2007-RP4 Trust
Series 2007-RP4
Rating
------
Class CUSIP To From
----- ----- -- ----
A 74919LAD0 B- B
RAMP Series 2005-RS6 Trust
Series 2005-RS6
Rating
------
Class CUSIP To From
----- ----- -- ----
M-3 76112BTU4 A- AA-
M-4 76112BTV2 B- BBB
M-5 76112BTW0 B- BB
RAMP Series 2005-RS8 Trust
Series 2005-RS8
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 76112BZJ2 BBB- AA+
M-2 76112BZK9 CCC A
M-3 76112BZL7 CCC BB
M-4 76112BZM5 CC B
M-5 76112BZN3 CC CCC
RAMP Series 2007-RS1 Trust
Series 2007-RS1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-3 74923RAC3 CCC B
Ratings Affirmed
RAAC Series 2005-RP3 Trust
Series 2005-RP3
Class CUSIP Rating
----- ----- ------
A-2 76112BP79 AAA
M-1 76112BP87 A
M-2 76112BP95 CCC
RAAC Series 2007-RP3 Trust
Series 2007-RP3
Class CUSIP Rating
----- ----- ------
M-1 74978BAB4 CCC
RAAC Series 2007-RP4 Trust
Series 2007-RP4
Class CUSIP Rating
----- ----- ------
M-1 74919LAE8 CCC
RAAC Series 2007-SP2 Trust
Series 2007-SP2
Class CUSIP Rating
----- ----- ------
A-1 74919XAD4 B+
A-2 74919XAE2 CCC
A-3 74919XAF9 CCC
M-1 74919XAG7 CCC
M-2 74919XAH5 CCC
RAMP Series 2005-RS6 Trust
Series 2005-RS6
Class CUSIP Rating
----- ----- ------
A-I-3 76112BTP5 AAA
A-II-1 76112BTQ3 AAA
A-II-2 76112BTR1 AAA
M-1 76112BTS9 AA+
M-2 76112BTT7 AA
M-6 76112BTX8 CCC
RAMP Series 2005-RS8 Trust
Series 2005-RS8
Class CUSIP Rating
----- ----- ------
A-2 76112BZF0 AAA
A-3 76112BZG8 AAA
RAMP Series 2007-RS1 Trust
Series 2007-RS1
Class CUSIP Rating
----- ----- ------
A-1 74923RAA7 AAA
A-2 74923RAB5 AAA
A-4 74923RAD1 CCC
* S&P Downgrades Ratings on 12 Tranches From Three CLO Deals
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 12
tranches from three U.S. collateralized loan obligation
transactions and removed them from CreditWatch with negative
implications. The affected tranches have a total issuance amount
of $1.711 billion. At the same time, S&P affirmed its ratings on
six tranches from four transactions and removed three of them from
CreditWatch negative. S&P also withdrew its ratings on two
unfunded tranches from A4 Funding L.P., as it is no longer able to
fund the tranches.
The downgrades reflect two primary factors:
* The application of its updated corporate collateralized debt
obligation criteria; and
* Deterioration in the credit quality of certain CLO tranches due
to increased exposure to obligors that have either defaulted or
experienced downgrades into the 'CCC' range.
The downgrades of two classes from two transactions resulted from
its application of the largest-obligor default test, which is one
of the supplemental stress tests S&P introduced as part of its
criteria update.
The affirmations reflect S&P's view that the tranches have
adequate credit support to maintain the current ratings according
to S&P's updated criteria.
S&P's analysis incorporated the asset recovery assumptions in
S&P's updated 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 (%)
----------- -----------------
A3 Funding L.P. 38.3
A4 Funding L.P. 24.2
Field Point III 29.4
Global Leveraged Capital Credit 32.5
Opportunities Fund I
New Alliance Global CDO 42.5
S&P will continue to review the remaining transactions with
ratings S&P 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
----------- ----- -- ----
A3 Funding L.P. A-1Orig AA- AAA/Watch Neg
A3 Funding L.P. A-1Add AA- AAA/Watch Neg
A3 Funding L.P. A-2Orig AA- AAA/Watch Neg
A3 Funding L.P. A-2 AA- AAA/Watch Neg
A3 Funding L.P. A-2Add AA- AAA/Watch Neg
A3 Funding L.P. QlfdJr BBB+ BBB+/Watch Neg
A4 Funding L.P. A-1Orig AAA AAA/Watch Neg
A4 Funding L.P. A-2Orig NR AAA/Watch Neg
A4 Funding L.P. A-1Add AAA AAA/Watch Neg
A4 Funding L.P. A-2Add NR AAA/Watch Neg
Field Point III A-1 AA+ AAA/Watch Neg
Global Leveraged Capital Credit A A+ AAA/Watch Neg
Opportunities Fund I
Global Leveraged Capital Credit B BB+ AA/Watch Neg
Opportunities Fund I
Global Leveraged Capital Credit C BB+ A/Watch Neg
Opportunities Fund I
Global Leveraged Capital Credit D B+ BBB/Watch Neg
Opportunities Fund I
Global Leveraged Capital Credit E-1 CCC- BB/Watch Neg
Opportunities Fund I
Global Leveraged Capital Credit E-2 CCC- BB/Watch Neg
Opportunities Fund I
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
Field Point III A-2 AAA
Field Point III B-1 AAA
New Alliance Global CDO A AAA
* S&P Downgrades Ratings on 14 Classes From 11 RMBS Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 14
classes of mortgage pass-through certificates from 11 U.S.
residential mortgage-backed securities transactions issued between
2003 and 2006. S&P lowered 12 of the ratings to 'D'.
The downgrades reflect S&P's assessment of interest shortfalls
that the affected classes have incurred during recent remittance
periods. The lowered ratings also reflect the magnitude of the
deficiencies on interest payments that each class has accumulated
to date compared with the remaining principal balances they owe;
S&P's assessment of the possibility that the certificateholders
will be reimbursed for these deficiencies; and the delinquency
performance of the related transactions.
Approximately 72.73% of the affected classes were from
transactions backed by Alternative-A or prime jumbo mortgage loan
collateral. The classes consisted of these:
* Five classes from prime jumbo transactions (35.71% of all
shortfalls);
* Three from Alt-A transactions (21.43%);
* Three from closed-end second-lien transactions (21.43%);
* Two from seasoned transactions (14.29%); and
* One from a reperforming transaction (7.14%).
S&P lowered approximately 71.43% of the affected ratings from the
'CCC' or 'CC' rating categories, approximately 14.29% from an
investment-grade category, and approximately 85.71% from a
speculative-grade category.
Standard & Poor's will continue to monitor its ratings on
securities that experience interest shortfalls, and S&P will
adjust the ratings as S&P deems appropriate.
Rating Actions
MASTR Adjustable Rate Mortgages Trust 2003-6
Series 2003-6
Rating
------
Class CUSIP To From
----- ----- -- ----
B-5 576433HA7 D CC
MASTR Adjustable Rate Mortgages Trust 2004-1
Series 2004-1
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 576433JU1 CCC B+
MASTR Reperforming Loan Trust 2006-2
Series 2006-2
Rating
------
Class CUSIP To From
----- ----- -- ----
B4 57645LAH7 D CCC
Merrill Lynch Mortgage Investors Trust Series 2005-A9
Series 2005-A9
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 59020UX26 D CC
RALI Series 2003-QS1 Trust
Series 2003-QS1
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 76110G5E7 D CC
RALI Series 2005-QS1 Trust
Series 2005-QS1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-3 76110HQ44 D CC
RAMP Series 2004-SL4 Trust
Series 2004-SL4
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 76112BGV6 B BBB
M-3 76112BGW4 D CCC
Residential Asset Securitization Trust 2005-A4
Series 2005-D
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 45660LHK8 D CC
RFMSI Series 2005-S8 Trust
Series 2005-S8
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 76111XD42 D CC
RFMSI Series 2005-SA3 Trust
Series 2005-SA3
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 76111XWG4 D CC
Soundview Home Loan Trust 2005-B
Series 2005-B
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 83611MHM3 D AA
M-3 83611MHN1 D B
M-4 83611MHP6 D CC
* S&P Downgrades Ratings on 22 Tranches From Four CDO Transactions
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 22
tranches from four U.S. corporate collateralized debt obligation
transactions and removed them from CreditWatch with negative
implications. At the same time, S&P affirmed its ratings on three
tranches from three transactions.
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 downgrade on one class resulted from S&P's application of the
largest-obligor default test, which is one of the supplemental
stress tests S&P introduced as part of its criteria update.
The 22 downgraded U.S. corporate CDO tranches have a total
issuance amount of $911.438 million. Three of the four affected
transactions are collateralized loan obligation transactions. The
other is a collateralized bond obligation transaction.
The affirmations reflect S&P's view that the tranches have
adequate credit support to maintain the current ratings according
to S&P's updated criteria.
S&P's analysis incorporated the asset recovery assumptions in
S&P's new CDO criteria. To provide additional transparency into
the assumptions S&P used in 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 (%)
----------- -----------------
BlueMountain CLO III 43.3
Peritus I CDO 12.1
Centurion CDO 8 44.8
Southfork CLO 42.1
S&P will continue to review the remaining transactions with
ratings S&P 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
----------- ----- -- ----
BlueMountain CLO III A-1b AA+ AAA/Watch Neg
BlueMountain CLO III A-2 AA+ AAA/Watch Neg
BlueMountain CLO III B A+ AA/Watch Neg
BlueMountain CLO III C BBB+ A/Watch Neg
BlueMountain CLO III D BB+ BBB/Watch Neg
BlueMountain CLO III E CCC+ B+/Watch Neg
Peritus I CDO X A A+/Watch Neg
Peritus I CDO B BBB+ A-/Watch Neg
Peritus I CDO C CCC- B+/Watch Neg
Centurion CDO 8 A AA- AAA/Watch Neg
Centurion CDO 8 B-1 BB+ A/Watch Neg
Centurion CDO 8 B-2 BB+ A/Watch Neg
Centurion CDO 8 C BB- BBB/Watch Neg
Centurion CDO 8 D CCC+ BB/Watch Neg
Centurion CDO 8 CompSec BB- BBB-/Watch Neg
Southfork CLO A-1a AA+ AAA/Watch Neg
Southfork CLO A-1b AA+ AAA/Watch Neg
Southfork CLO A-2 AA AAA/Watch Neg
Southfork CLO A-3a A+ AA/Watch Neg
Southfork CLO A-3b A+ AA/Watch Neg
Southfork CLO B BBB+ A/Watch Neg
Southfork CLO C B+ BBB/Watch Neg
Ratings Affirmed
Transaction Class Rating
------------ ----- ------
BlueMountain CLO III A-1a AAA
Peritus I CDO A AAA
Southfork CLO A-1g AAA
* S&P Downgrades Ratings on 44 Classes From 20 RMBS Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 44
classes from 20 residential mortgage-backed securities
transactions backed by U.S. closed-end second-lien, home equity
line of credit, first-lien high loan-to-value, and second-lien
high combined loan-to-value mortgage loan collateral issued
between 1997 and 2007. S&P removed 15 of the lowered ratings from
CreditWatch with negative implications. In addition, S&P affirmed
its ratings on 73 classes from 16 of the downgraded transactions,
as well as 12 other transactions, and removed 22 of the affirmed
ratings from CreditWatch negative.
Standard & Poor's has established loss projections for all HELOC
transactions rated in 2007. S&P changed its lifetime projected
losses for this transaction:
Orig. bal. Lifetime
Transaction (mil. $) exp. loss (%)
----------- ---------- -------------
Wachovia Asset Securitization 1,500 9.68
Issuance II, LLC 2007-HE1 Trust
The downgrades reflect S&P's opinion that projected credit support
for the affected classes is insufficient to maintain the previous
ratings, given S&P's current projected losses.
To assess the creditworthiness of each class, S&P reviewed the
individual delinquency and loss trends of each transaction for
changes, if any, in risk characteristics, servicing, and the
ability to withstand additional credit deterioration. In order to
maintain a 'B' rating on a class, S&P assessed whether, in its
view, a class could absorb the base-case loss assumptions S&P used
in its analysis. In order to maintain a rating higher than 'B',
S&P assessed whether the class could withstand losses exceeding
its base-case loss assumptions at a percentage specific to each
rating category, up to 150% for a 'AAA' rating. For example, in
general, S&P would assess whether one class could withstand
approximately 110% of its base-case loss assumptions to maintain a
'BB' rating, while S&P would assess whether a different class
could withstand approximately 120% of its base-case loss
assumptions to maintain a 'BBB' rating. Each class with an
affirmed 'AAA' rating can, in S&P's view, withstand approximately
150% of S&P's base-case loss assumptions under S&P's 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 consists of fixed- and adjustable-rate mortgage loans
that are secured by first and second liens on one- to four-family
residential properties.
Rating Actions
Bear Stearns Second Lien Trust 2007-SV1
Series 2007-SV1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 07401UAC7 CC CCC
M-2 07401UAD5 CC CCC
CWABS, Inc.
Series 2002-S4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-5 126671UD6 AAA AAA/Watch Neg
A-IO 126671UE4 AAA AAA/Watch Neg
M-1 126671UF1 AA AA/Watch Neg
M-2 126671UG9 CC A/Watch Neg
Home Equity Loan Trust 2005-HS1
Series 2005-HS1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-I-4 76110VRX8 CC BBB-
A-I-5 76110VRY6 CC BBB-
A-II 76110VRZ3 CC CCC
Home Loan Trust 2001-HI4
Series 2001-HI4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-7 76110VHJ0 BBB BBB/Watch Neg
Home Loan Trust 2006-HI2
Series 2006-HI2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-4 437185AD3 CC BBB-
Home Loan Trust 2006-HI3
Series 2006-HI3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-4 43718NAD4 B BBB-
Home Loan Trust 2006-HI5
Series 2006-HI5
Rating
------
Class CUSIP To From
----- ----- -- ----
A-4 43718VAD6 CC BBB
Home Loan Trust 2007-HI1
Series 2007-HI1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-4 43718WAD4 CC BBB
Irwin Home Equity Loan Trust 2007-1
Series 2007-1
Rating
------
Class CUSIP To From
----- ----- -- ----
IIA-1 46412RAB1 B B/Watch Neg
IIA-2 46412RAC9 CCC B/Watch Neg
IIA-3 46412RAD7 CCC B/Watch Neg
IIA-4 46412RAE5 CCC B/Watch Neg
VFN 46412R9A4 CC B/Watch Neg
Irwin Whole Loan Home Equity Trust 2002-A
Series 2002-A
Rating
------
Class CUSIP To From
----- ----- -- ----
I A-1 464187AA1 BBB BBB/Watch Neg
Morgan Stanley Mortgage Loan Trust 2007-4SL
Series 2007-4SL
Rating
------
Class CUSIP To From
----- ----- -- ----
A 61751PAA5 CC B
RAMP Series 2002-RZ4 Trust
Series 2002-RZ4
Rating
------
Class CUSIP To From
----- ----- -- ----
A 760985PE5 A+ A+/Watch Neg
RAMP Series 2003-RZ1 Trust
Series 2003-RZ1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-I-5 760985RN3 A A/Watch Neg
A-I-6 760985RP8 A A/Watch Neg
A-I-7 760985RQ6 A A/Watch Neg
A-II 760985RR4 A A/Watch Neg
RAMP Series 2003-RZ2 Trust
Series 2003-RZ2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 760985SH5 AAA AAA/Watch Neg
M-2 760985SL6 BBB A
M-3 760985SM4 CCC BBB
RAMP Series 2003-RZ3 Trust
Series 2003-RZ3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-5B 760985WN7 AAA AAA/Watch Neg
M-2 760985WS6 BB A
M-3 760985WT4 CCC BBB
RAMP Series 2003-RZ4 Trust
Series 2003-RZ4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-6 760985YU9 AAA AAA/Watch Neg
M-2 760985YX3 BB A
M-3 760985YY1 CCC BBB
RAMP Series 2003-RZ5 Trust
Series 2003-RZ5
Rating
------
Class CUSIP To From
----- ----- -- ----
A-6-A 760985H61 AAA AAA/Watch Neg
A-6-B 760985J44 AAA AAA/Watch Neg
A-7 760985H79 AAA AAA/Watch Neg
M-1 760985H95 AA AA/Watch Neg
M-2 760985J28 B A/Watch Neg
RAMP Series 2004-RZ2 Trust
Series 2004-RZ2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-II 7609854V0 B BB/Watch Neg
Residential Funding Mortgage Securities II Inc.
Series 2002-HI1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-7 76110VHS0 BBB BBB/Watch Neg
Residential Funding Mortgage Securities II Inc.
Series 2002-HI2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-I-7 76110VJQ2 BBB BBB/Watch Neg
A-II 76110VJN9 BBB BBB/Watch Neg
Structured Asset Securities Corp.
Series 2003-23H
Rating
------
Class CUSIP To From
----- ----- -- ----
1B2 86359AC76 BB A
2B1 86359AC84 CCC AA
2B2 86359AC92 CCC A
B3 86359AD26 CCC BBB
B4 86359AD42 CC BB
B5 86359AD59 CC B
Structured Asset Securities Corp.
Series 2003-33H
Rating
------
Class CUSIP To From
----- ----- -- ----
1B1 86359BAF8 CCC AA
1B2 86359BAG6 CCC A
B3 86359BAK7 CC BBB
B4 86359BAM3 CC BB
B5 86359BAN1 CC B
Structured Asset Securities Corp.
Series 2004-12H
Rating
------
Class CUSIP To From
----- ----- -- ----
1B1 86359BUT6 AA AA/Watch Neg
1B2 86359BUU3 CCC A/Watch Neg
2B1 86359BUV1 CCC AA/Watch Neg
2B2 86359BUW9 CC A/Watch Neg
B3 86359BUX7 CC BBB/Watch Neg
B4 86359BUZ2 CC BB/Watch Neg
Structured Asset Securities Corporation Mortgage Loan Trust
Series 2005-S6
Rating
------
Class CUSIP To From
----- ----- -- ----
A2 86359DTQ0 BBB A/Watch Neg
M1 86359DTR8 CCC BB/Watch Neg
Terwin Mortgage Trust 2006-8
Series 2006-8
Rating
------
Class CUSIP To From
----- ----- -- ----
II-A-2 88156UAW0 CC CCC
II-G 88156UBK5 CC CCC
Wachovia Asset Securitization Issuance II, LLC 2007-HE1 Trust
Series 2007-HE1
Rating
------
Class CUSIP To From
----- ----- -- ----
A 92976YAA0 CCC BBB/Watch Neg
Ratings Affirmed
ACE Securities Corp. Home Equity Loan Trust, Series 2007-SL3
Series 2007-SL3
Class CUSIP Rating
----- ----- ------
A 00443YAA8 AAA
Bear Stearns Second Lien Trust 2007-SV1
Series 2007-SV1
Class CUSIP Rating
----- ----- ------
A-1 07401UAA1 B
A-2 07401UAB9 CCC
A-3 07401UAU7 CCC
Home Equity Loan Trust 2005-HS1
Series 2005-HS1
Class CUSIP Rating
----- ----- ------
A-I-2 76110VRV2 BBB-
A-I-3 76110VRW0 BBB-
Home Equity Loan Trust 2007-HSA3
Series 2007-HSA3
Class CUSIP Rating
----- ----- ------
A-I-3 43710WAC4 BB+
A-I-4 43710WAD2 BB+
A-I-5 43710WAE0 BB+
A-I-6 43710WAF7 BB+
A-II 43710WAG5 BB+
Home Loan Trust 2006-HI2
Series 2006-HI2
Class CUSIP Rating
----- ----- ------
A-2 437185AB7 AA
A-3 437185AC5 A
Home Loan Trust 2006-HI3
Series 2006-HI3
Class CUSIP Rating
----- ----- ------
A-2 43718NAB8 AA
A-3 43718NAC6 A
Home Loan Trust 2006-HI4
Series 2006-HI4
Class CUSIP Rating
----- ----- ------
A-2 43718MAB0 BBB-
A-3 43718MAC8 BBB-
Home Loan Trust 2006-HI5
Series 2006-HI5
Class CUSIP Rating
----- ----- ------
A-1 43718VAA2 AAA
A-2 43718VAB0 A
A-3 43718VAC8 BBB
Home Loan Trust 2007-HI1
Series 2007-HI1
Class CUSIP Rating
----- ----- ------
A-1 43718WAA0 AAA
A-2 43718WAB8 A
A-3 43718WAC6 BBB
Irwin Whole Loan Home Equity Trust 2002-A
Series 2002-A
Class CUSIP Rating
----- ----- ------
II M-1 464187AF0 AA+
II M-2 464187AG8 A
II B-1 464187AH6 BB
Mego Mortgage Home Loan Owner Trust 1997-3
Series 1997-3
Class CUSIP Rating
----- ----- ------
A-4 585166AU5 AAA
M-1 585166AV3 AA
Mego Mortgage Home Loan Owner Trust 1997-4
Series 1997-4
Class CUSIP Rating
----- ----- ------
A-4 585166BB6 AAA
RAMP Series 2003-RZ2 Trust
Series 2003-RZ2
Class CUSIP Rating
----- ----- ------
M-1 760985SK8 AA
RAMP Series 2003-RZ3 Trust
Series 2003-RZ3
Class CUSIP Rating
----- ----- ------
A-5A 760985WM9 AAA
A-6 760985WP2 AAA
M-1 760985WR8 AA
RAMP Series 2003-RZ4 Trust
Series 2003-RZ4
Class CUSIP Rating
----- ----- ------
A-5 760985YT2 AAA
A-7 760985YV7 AAA
M-1 760985YW5 AA
Structured Asset Securities Corp.
Series 2003-23H
Class CUSIP Rating
----- ----- ------
1A1 86359AB93 AAA
1A-IO 86359AC27 AAA
1A-PO 86359AC35 AAA
2A1 86359AC43 AAA
1B1 86359AC68 AA
Structured Asset Securities Corp.
Series 2003-33H
Class CUSIP Rating
----- ----- ------
1A1 86359BAA9 AAA
1A-IO 86359BAB7 AAA
1A-PO 86359BAC5 AAA
2A1 86359BAD3 AAA
2A-IO 86359BAE1 AAA
2B1 86359BAH4 AA
2B2 86359BAJ0 A
Terwin Mortgage Trust 2004-10SL
Series 2004-10SL
Class CUSIP Rating
----- ----- ------
B-1 881561KQ6 BBB
B-2 881561KR4 BBB-
Terwin Mortgage Trust 2006-8
Series 2006-8
Class CUSIP Rating
----- ----- ------
II-A-1 88156UAV2 CCC
* S&P Downgrades Ratings on 58 Tranches From 11 CLO Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 58
tranches from 11 U.S. collateralized loan obligation transactions
and removed them from CreditWatch with negative implications. The
affected tranches have a total issuance amount of $3.329 billion.
At the same time, S&P affirmed its ratings on 20 tranches from
seven transactions and removed them from CreditWatch negative.
The downgrades reflect two primary factors:
* The application of S&P's updated corporate collateralized debt
obligation criteria; and
* Deterioration in the credit quality of certain CLO tranches due
to increased exposure to obligors that have either defaulted or
experienced downgrades into the 'CCC' range.
The downgrades of nine classes from five transactions resulted
from S&P's application of the largest-obligor default test, which
is one of the supplemental stress tests S&P introduced as part of
S&P's criteria update.
The affirmations reflect S&P's view that the tranches have
adequate credit support to maintain the current ratings according
to its updated criteria.
S&P's analysis incorporated the asset recovery assumptions in its
updated 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 (%)
----------- -----------------
Ares VIII CLO 40.4
Ballyrock CLO II 45.5
CoLTS 2005-1 24.8
Gillespie CLO PLC 44.5
GoldenTree Capital Solutions Fund Financing 36.2
Kennecott Funding 37.6
KKR Financial CLO 2007-1 34.1
Longhorn CDO (Cayman) 41.6
Madison Park Funding I 43.7
Mountain Capital CLO III 42.2
Oak Hill Credit Partners IV 48.1
Octagon Investment Partners X 42.6
TCW Select Loan Fund 47.5
Vinacasa CLO 43.1
S&P will continue to review the remaining transactions with
ratings S&P 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
----------- ----- -- ----
Ares VIII CLO A-1A AA AAA/Watch Neg
Ares VIII CLO A-1B AA AAA/Watch Neg
Ares VIII CLO A-2 AA+ AAA/Watch Neg
Ares VIII CLO A-3 AA AAA/Watch Neg
Ares VIII CLO B-1 A- A/Watch Neg
Ares VIII CLO B-2 A- A/Watch Neg
Ares VIII CLO C-1 BB+ BBB/Watch Neg
Ares VIII CLO C-2 BB+ BBB/Watch Neg
Ares VIII CLO D-1 BB- BB/Watch Neg
Ares VIII CLO D-2 BB- BB/Watch Neg
Ares VIII CLO D-3 BB- BB/Watch Neg
Ballyrock CLO II A AA+ AAA/Watch Neg
Ballyrock CLO II B AA AA/Watch Neg
Ballyrock CLO II C BBB+ A/Watch Neg
Ballyrock CLO II D-1 BB- BBB/Watch Neg
Ballyrock CLO II D-2 BB- BBB/Watch Neg
CoLTS 2005-1 D B+ BBB/Watch Neg
CoLTS 2005-1 E CCC BB+/Watch Neg
Gillespie CLO PLC A-1 AA+ AAA/Watch Neg
Gillespie CLO PLC A-2 AA+ AAA/Watch Neg
Gillespie CLO PLC A-3 AA- AAA/Watch Neg
Gillespie CLO PLC B A- AA/Watch Neg
Gillespie CLO PLC C BBB- A/Watch Neg
Gillespie CLO PLC D B+ BBB-/Watch Neg
Gillespie CLO PLC E CC BB-/Watch Neg
GoldenTree Capital Solutions Fund LnFac AA AA/Watch Neg
Financing
Kennecott Funding A-1 AA AAA/Watch Neg
Kennecott Funding A-2A AA+ AAA/Watch Neg
Kennecott Funding A-2B AA AAA/Watch Neg
Kennecott Funding B A+ AA/Watch Neg
Kennecott Funding C BBB+ A/Watch Neg
Kennecott Funding D-1 BB- BBB/Watch Neg
Kennecott Funding D-2 BB- BBB/Watch Neg
KKR Financial CLO 2007-1 A AAA AAA/Watch Neg
KKR Financial CLO 2007-1 B AA AA/Watch Neg
KKR Financial CLO 2007-1 C A A/Watch Neg
KKR Financial CLO 2007-1 D BBB- BBB-/Watch Neg
KKR Financial CLO 2007-1 E BB- BB-/Watch Neg
KKR Financial CLO 2007-1 F B- B-/Watch Neg
Longhorn CDO (Cayman) A-2 AAA AAA/Watch Neg
Longhorn CDO (Cayman) A-3 AAA AAA/Watch Neg
Madison Park Funding I A-T AA AAA/Watch Neg
Madison Park Funding I A-VF AA AAA/Watch Neg
Madison Park Funding I B A+ AA/Watch Neg
Madison Park Funding I C BBB A/Watch Neg
Madison Park Funding I D BB BBB/Watch Neg
Madison Park Funding I E CCC+ BB/Watch Neg
Mountain Capital CLO III A-1La AAA AAA/Watch Neg
Mountain Capital CLO III A-1Lb AA AAA/Watch Neg
Mountain Capital CLO III A-2L A- AA/Watch Neg
Mountain Capital CLO III A-3F BB+ A-/Watch Neg
Mountain Capital CLO III A-3L BB+ A-/Watch Neg
Mountain Capital CLO III B-1L CCC- BBB/Watch Neg
Oak Hill Credit Partners IV A-1a AAA AAA/Watch Neg
Oak Hill Credit Partners IV A-1b AAA AAA/Watch Neg
Oak Hill Credit Partners IV A-2a AA AA/Watch Neg
Oak Hill Credit Partners IV A-2b AA AA/Watch Neg
Oak Hill Credit Partners IV B-1 A A/Watch Neg
Oak Hill Credit Partners IV B-2 A A/Watch Neg
Oak Hill Credit Partners IV C-1 B+ BBB-/Watch Neg
Oak Hill Credit Partners IV C-2 B+ BBB-/Watch Neg
Oak Hill Credit Partners IV C-3 B+ BBB-/Watch Neg
Octagon Investment Partners X A-1 AA+ AAA/Watch Neg
Octagon Investment Partners X A-1R AA+ AAA/Watch Neg
Octagon Investment Partners X B A+ AA/Watch Neg
Octagon Investment Partners X C BBB+ A/Watch Neg
Octagon Investment Partners X D BB+ BBB/Watch Neg
Octagon Investment Partners X E CCC+ BB/Watch Neg
TCW Select Loan Fund A-2 AAA AAA/Watch Neg
TCW Select Loan Fund B AA+ AA+/Watch Neg
TCW Select Loan Fund C A A/Watch Neg
TCW Select Loan Fund Comp CCC+ BB-/Watch Neg
TCW Select Loan Fund D-1 CCC+ BB-/Watch Neg
TCW Select Loan Fund D-2 CCC+ BB-/Watch Neg
Vinacasa CLO A1 AA+ AAA/Watch Neg
Vinacasa CLO A2 A+ AA/Watch Neg
Vinacasa CLO B BBB A/Watch Neg
Vinacasa CLO C B+ BBB/Watch Neg
* S&P Downgrades Ratings on 63 Tranches From 11 CLO Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 63
tranches from 11 U.S. collateralized loan obligation transactions
and removed them from CreditWatch with negative implications. The
affected tranches have a total issuance amount of $4.836 billion.
At the same time, S&P affirmed its ratings on 17 tranches from
five transactions and removed 16 of them from CreditWatch with
negative implications. S&P also withdrew its ratings on two
tranches from Highland Legacy Ltd. and one tranche from Navigator
CDO 2003 following the full redemption of the notes.
The downgrades reflect two primary factors:
* The application of S&P's updated corporate collateralized debt
obligation criteria; and
* Deterioration in the credit quality of certain CLO tranches due
to increased exposure to obligors that have either defaulted or
experienced downgrades into the 'CCC' range.
The downgrades of 10 classes from five transactions resulted from
S&P's application of the largest-obligor default test, which is
one of the supplemental stress tests S&P introduced as part of its
criteria update.
The affirmations reflect S&P's view that the tranches have
adequate credit support to maintain the current ratings according
to its updated criteria.
S&P's analysis incorporated the asset recovery assumptions in its
updated CDO criteria. To provide additional transparency into the
assumptions used in the analysis, S&P is providing the tiered
recovery rate assumed for the cash flows generated for the 'AAA'
liability rating for each transaction.
Tiered Recovery Rate For 'AAA' Liability Rating
Transaction Recovery rate (%)
----------- -----------------
ACAS Business Loan Trust 2005-1 24.5
Ares X CLO 41.5
Ballyrock CLO 2006-1 46.5
CapitalSource Commercial Loan 39.4
Trust 2006-2
CSAM Funding III 41.6
Galaxy III CLO 44.2
Highland Legacy 48.4
Kingsland I 43.0
Kingsland V 41.9
Navigator CDO 2003 47.0
Oak Hill Credit Partners III 48.6
Venture VII CDO 43.4
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
----------- ----- -- ----
ACAS Business Loan Trust 2005-1 A-1 AA- AAA/Watch Neg
ACAS Business Loan Trust 2005-1 A-2A AAA AAA/Watch Neg
ACAS Business Loan Trust 2005-1 A-2B AA- AAA/Watch Neg
ACAS Business Loan Trust 2005-1 B A AA/Watch Neg
ACAS Business Loan Trust 2005-1 C B+ A/Watch Neg
Ares X CLO A-1 AA AAA/Watch Neg
Ares X CLO A-2 AA AAA/Watch Neg
Ares X CLO A-3 AA AAA/Watch Neg
Ares X CLO B A+ AA/Watch Neg
Ares X CLO C-1 BBB- A-/Watch Neg
Ares X CLO C-2 BBB- A-/Watch Neg
Ares X CLO D-1 CCC- BB+/Watch Neg
Ares X CLO D-2 CCC- BB+/Watch Neg
Ballyrock CLO 2006-1 A AA+ AAA/Watch Neg
Ballyrock CLO 2006-1 B A+ AA/Watch Neg
Ballyrock CLO 2006-1 C BBB+ A/Watch Neg
Ballyrock CLO 2006-1 D B+ BBB-/Watch Neg
Ballyrock CLO 2006-1 E CCC- BB-/Watch Neg
CapitalSource Commercial Loan A-1A AA+ AAA/Watch Neg
Trust 2006-2
CapitalSource Commercial Loan A-1B AA+ AAA/Watch Neg
Trust 2006-2
CapitalSource Commercial Loan A-PT AA+ AAA/Watch Neg
Trust2006-2
CapitalSource Commercial Loan B AA AA/Watch Neg
Trust 2006-2
CapitalSource Commercial Loan C BBB+ A/Watch Neg
Trust 2006-2
CapitalSource Commercial Loan D CCC- BBB-/Watch Neg
Trust 2006-2
CapitalSource Commercial Loan E CCC- BB/Watch Neg
Trust 2006-2
CSAM Funding III A-1 AA+ AAA/Watch Neg
CSAM Funding III A-2 A+ AA/Watch Neg
CSAM Funding III B BBB- A-/Watch Neg
CSAM Funding III C B+ BBB/Watch Neg
Galaxy III CLO A-1 AAA AAA/Watch Neg
Galaxy III CLO A-2 AAA AAA/Watch Neg
Galaxy III CLO B AA+ AAA/Watch Neg
Galaxy III CLO C A+ AA/Watch Neg
Galaxy III CLO D BB+ A/Watch Neg
Galaxy III CLO E-1 CCC- BBB/Watch Neg
Galaxy III CLO E-2 CCC- BBB/Watch Neg
Galaxy III CLO E-3 CCC- BBB/Watch Neg
Highland Legacy B Fixed NR AA+/Watch Neg
Highland Legacy B Floating NR AA+/Watch Neg
Kingsland I A-1a AA AAA/Watch Neg
Kingsland I A-1b AA AAA/Watch Neg
Kingsland I A-2 A+ AA/Watch Neg
Kingsland I B-1 BB+ A/Watch Neg
Kingsland I B-2 BB+ A/Watch Neg
Kingsland I C-1 CCC- BBB-/Watch Neg
Kingsland I C-2 CCC- BBB-/Watch Neg
Kingsland I D CCC- BB/Watch Neg
Kingsland V A-1 A+ AAA/Watch Neg
Kingsland V A-2B A+ AAA/Watch Neg
Kingsland V A-2R AA+ AAA/Watch Neg
Kingsland V B BBB+ AA/Watch Neg
Kingsland V C BB+ A/Watch Neg
Kingsland V D-1 B+ BBB-/Watch Neg
Kingsland V D-2 B+ BBB-/Watch Neg
Kingsland V E CCC- B+/Watch Neg
Navigator CDO 2003 A-2 AAA AAA/Watch Neg
Navigator CDO 2003 A-3A AAA AAA/Watch Neg
Navigator CDO 2003 A-3B AAA AAA/Watch Neg
Navigator CDO 2003 B AA- AA-/Watch Neg
Navigator CDO 2003 C-1 B+ BBB/Watch Neg
Navigator CDO 2003 C-2 B+ BBB/Watch Neg
Navigator CDO 2003 D CCC- BB/Watch Neg
Navigator CDO 2003 Q-1 CCC- BBB-/Watch Neg
Navigator CDO 2003 Q-2 NR BBB-/Watch Neg
Oak Hill Credit Partners III A-1a AAA AAA/Watch Neg
Oak Hill Credit Partners III A-1b AAA AAA/Watch Neg
Oak Hill Credit Partners III A-2 AA AA/Watch Neg
Oak Hill Credit Partners III B-1 A A/Watch Neg
Oak Hill Credit Partners III B-2 A A/Watch Neg
Oak Hill Credit Partners III C-1 BBB- BBB/Watch Neg
Oak Hill Credit Partners III C-2 BBB- BBB/Watch Neg
Oak Hill Credit Partners III D BB BB/Watch Neg
Oak Hill Credit Partners III Type1CMP A- A-/Watch Neg
Oak Hill Credit Partners III Type3CMP BBB+ BBB+/Watch Neg
Venture VII CDO A-1A AA+ AAA/Watch Neg
Venture VII CDO A-1AR AA+ AAA/Watch Neg
Venture VII CDO A-1B A+ AAA/Watch Neg
Venture VII CDO A-2 A+ AAA/Watch Neg
Venture VII CDO B A AA/Watch Neg
Venture VII CDO C BBB+ A/Watch Neg
Venture VII CDO D BB+ BBB/Watch Neg
Venture VII CDO E B+ BB/Watch Neg
Rating Affirmed
Transaction Class Rating
----------- ----- ------
Navigator CDO 2003 A-1 AAA
* S&P Downgrades Ratings on 107 Classes From 20 Student Loans
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 107
classes of notes and certificates from 20 private student loan
asset-backed securities transactions issued between 2003 and 2007.
First Marblehead originated and securitized all of the loans
underlying these transactions, which consist of 14 owner trusts,
one master trust, and five grantor trusts. At the same time, S&P
removed 104 of these ratings from CreditWatch with negative
implications, where they were placed on April 9, 2009. In
addition, S&P affirmed its ratings on 19 classes from 15 of the 20
transactions and removed six of the ratings from CreditWatch
negative. None of the ratings on these transactions are now on
CreditWatch.
The downgrades reflect S&P's view of the higher-than-expected
levels of delinquencies and defaults, declines in parity levels
(which represent the total asset balance divided by total note
balance), and reductions in available credit support for these
transactions, including contraction in excess spread, the
depletion of The Education Resources Institute Inc. (TERI) pledge
funds, and step-downs in the reserve funds. Based on the ongoing
performance of the First Marblehead private loan collateral pools
and S&P's negative outlook on private student loans for 2010, S&P
anticipate further deterioration in the performance of each
transaction. As a result, S&P's default projections and rating
actions for each transaction incorporate S&P's view of the
continued deterioration of the collateral pools.
The affirmed ratings reflect S&P's view that the available credit
enhancement levels are sufficient to support the related classes
at the current rating levels.
Pool Performance
The performance of the underlying pools of private student loans
in the master trust and the 14 term series issued between 2003 and
2007 has continued to deteriorate at an increasing pace (see table
1). As of the February 2010 reporting period, all transactions
had between 28 and 72 months of securitization performance, with
collateral pool factors (the percentage of the original pool
balance that remains outstanding) ranging between 61.58% and
106.75%. The percentage of loans in repayment ranges between
47.42% and 96.15% of the current pool balance, and 90-plus-day
delinquencies and total delinquencies ranged from 4.02% to 5.63%
and from 6.66% to 9.56% of the current pool balance, respectively.
In some cases, total delinquencies have shot up by roughly 85%
compared to the year prior.
The percentage of loans in forbearance, which currently ranges
from 3.02% to 6.35% of the current pool balances, has decreased
from the prior year for these transactions (with declines ranging
from approximately 0.40% to nearly 5.00%), which may be due to
stricter forbearance policies. Furthermore, cumulative gross
default percentages ranged from 6.14% to 21.47% of the original
pool balances, which represents an increase of more than 80% for
most transactions -- and, in some cases, as much as 150%-500% --
in the past year. Lastly, total parity levels for all
transactions declined 3.00%-6.00% in the past year as a result of
the ongoing deterioration in excess spread levels, and ranged
between 89.66% and 96.67%.
Default Expectations And Net Loss Projections
Based on S&P's view of the current and projected performance of
these pools of private student loans, S&P has raised its lifetime
cumulative default expectations for each trust to 30%-35% of the
original pool balance from 10%-17%. S&P assumed future stressed
recovery rates of approximately 20%-30% of the dollar amount of
cumulative defaults (versus a weighted average base case of
approximately 40%-45%, net of collections costs), which results in
S&P's expectation for remaining cumulative net losses ranging from
13.50% to 24.50%.
Credit Enhancement
Currently, the balances of the TERI pledge funds (which are assets
of the trusts and provide first-loss protection against loan
defaults) for most transactions have been reduced to such an
extent that, in S&P's view, they now provide only minimal credit
enhancement in a handful of deals. The reserve accounts for each
of the transactions are currently at their respective floors or
are amortizing toward their floors, which are 50 basis points as a
percent of the initial note balance for most transactions.
In addition, each transaction is becoming further
undercollateralized (as reflected in the declining parity levels;
see table 4) due to the high percentage of nonperforming
collateral -- in the form of delinquencies, forbearance, and
defaults -- and an increased cost of funds in some transactions
(due to the inclusion of auction-rate note coupons), which
continue to compress excess spread. The failed auction-rate
market has caused the coupon on the auction-rate notes to
increase, thereby increasing the cost of funds for the affected
transactions.
TABLE 1
Transaction Pool
Series Seasoning (Mos.) Factor (%) Repayment (1)(%)
------ ---------------- ---------- ----------------
2003-1 72 68.44 96.15
2004-1 68 69.35 95.08
2004-2 63 82.54 86.64
2005-1 59 79.64 87.04
2005-2 55 83.32 79.91
2005-3 51 90.45 75.40
2006-1 46 92.58 72.42
2006-2 43 95.79 67.65
2006-3 40 100.72 61.47
2006-4 37 101.84 59.62
2007-1 34 102.29 58.01
2007-2 31 104.38 55.78
2007-3 28 106.75 47.42
2007-4 28 106.54 47.53
NCMSLT I 52* 61.58 92.02
* As of the last series issuance.
(1) Repayment % (as a % of current collateral balance - does not
include accrued interest)
TABLE 2
90-Plus Total
Series Forbearance (%) Delinq. (2)(%) Delinq. (3)(%)
------ --------------- -------------- --------------
2003-1 3.07 5.63 9.56
2004-1 3.75 5.45 9.34
2004-2 6.20 5.03 8.36
2005-1 5.00 4.25 7.50
2005-2 6.33 5.14 8.59
2005-3 5.97 4.11 7.20
2006-1 5.87 4.39 7.43
2006-2 6.16 5.47 9.01
2006-3 6.29 4.12 7.14
2006-4 6.35 5.49 9.05
2007-1 6.27 4.82 7.85
2007-2 6.92 5.28 8.55
2007-3 5.96 4.10 6.71
2007-4 6.22 4.02 6.66
NCMSLT I 3.02 4.27 7.80
(2) 90-plus day delinquencies: as a % of the current collateral
balance
(3) Total Delinquencies: as a % of the current collateral balance
TABLE 3
Cumulative Current 12-month
Series Default(4)(%) Default(5)(%) Default(6)(%)
------ ------------- ------------- -------------
2003-1 21.47 0.47 5.85
2004-1 19.24 0.39 5.37
2004-2 17.03 0.45 6.03
2005-1 14.71 0.40 4.93
2005-2 16.64 0.50 6.40
2005-3 13.10 0.41 5.84
2006-1 13.42 0.41 6.29
2006-2 15.52 0.58 7.75
2006-3 10.74 0.43 6.32
2006-4 12.66 0.55 7.55
2007-1 10.32 0.64 6.92
2007-2 9.56 0.60 6.90
2007-3 6.19 0.52 5.19
2007-4 6.14 0.49 5.02
NCMSLT I 17.30 0.31 4.68
(4) Cumulative default: as a % of initial collateral balance
(5) Current monthly default: as a % of initial collateral balance
(6) Cumulative default: The % incurred within the past year--Feb.
2009-Feb. 2010 (as a % of initial collateral balance)
TABLE 4
Total Senior Reserve TERI
Series Parity(7)(%) Parity (8)(%) Account(9)(%) Pledge(10)(%)
------ ------------ ------------- ------------- -------------
2003-1 92.73 116.48 0.88 0.00
2004-1 89.66 106.97 1.02 0.00
2004-2 96.67 115.23 1.10 0.00
2005-1 92.48 109.20 1.11 0.00
2005-2 92.24 108.00 1.16 0.00
2005-3 94.58 109.64 1.22 0.00
2006-1 94.41 108.58 0.59 0.00
2006-2 94.51 109.60 0.68 0.00
2006-3 91.29 110.69 3.29 3.58
2006-4 92.11 113.20 2.06 2.76
2007-1 90.83 108.06 3.60 4.05
2007-2 92.15 112.31 2.07 4.94
2007-3 90.73 90.73 9.07 6.64
2007-4 90.62 90.62 9.08 6.57
NCMSLT I 95.48 95.48 0.53 0.00
(7) Total parity: the total asset balance (including collateral
balance and all trust accounts)/total note balance
(8) Senior parity: total asset balance/senior note balance
(9) Reserve account: as a % of the initial collateral balance
(10) TERI pledge fund: as a % of the initial collateral balance;
all 0.00% balances represent very small dollar balances.
Breakeven Cash Flow Modeling Assumptions
S&P ran midstream breakeven cash flows under various interest rate
scenarios and rating stress assumptions. These cash flow runs
provided breakeven percentages (breakevens) that represent the
maximum amount of remaining cumulative net losses a transaction
can absorb (as a percent of the pool balance as of the cash flow
cutoff date) before failing to pay full and timely interest and
ultimate principal. These are some of the major assumptions S&P
modeled:
* Moderately front-loaded default curves that covered periods
between two to six years, depending on the seasoning of
transaction;
* Recovery rates in the range of 20%-30%;
* Prepayment speeds starting at approximately 2 CPR (constant
prepayment rate, an annualized prepayment speed stated as a
percentage of the current loan balance) and ramping up over
eight years to a maximum rate of 8.5-10 CPR. After eight years,
S&P held the applicable maximum rate constant;
* Auctions failed for the life of each transaction. S&P
determined the coupons for auction-rate notes based on the
applicable "Maximum Rate" definition in the transaction
documents; and
* A two-year lag before each trust can access its pledge funds for
defaulted loans, due to the current TERI bankruptcy.
Breakeven Cash Flow Modeling Results/Rating Actions
In general, transactions containing auction-rate securities
yielded the lowest breakevens, due to compression in excess spread
resulting from their higher costs of funds. The higher costs of
funds are due to the increase in the class A auction-rate coupons,
which are based on their respective maximum rate definitions.
Currently, the coupons for many of the class A auction-rate notes
in these First Marblehead transactions are between LIBOR plus
1.50% and LIBOR plus 3.50%. This increase in the cost of funds--
and the resulting pressure on excess spread--has also caused
parity levels to decline, as principal collections were used to
cover interest expenses in S&P's cash flows for some periods.
Discrete Trusts (Owner Trusts) And Grantor Trusts
The class A notes from most of the trusts are able to absorb
remaining cumulative net losses in the range of 22.00%-41.00%
before a payment default would occur. After considering the
aforementioned breakevens and remaining expected net losses of
15.25%-23.00%, S&P lowered its ratings on the class A notes to
'BBB' to reflect S&P's view of the current loss coverage levels.
The breakevens for the class A notes from the other transactions
were between 4.50% and 19.00%. After considering these breakeven
levels and comparing them to S&P's remaining expected net losses
of 13.50%-24.50% for the related trusts, S&P lowered the ratings
on these class A notes to levels between 'B-' and 'BB'.
Transactions containing auction-rate class A notes yielded low
breakevens and loss coverage multiples below 1x, primarily because
S&P assumed, in its cash flows, continued failure of the auction-
rate market for the life of the related transactions. For these
transactions, S&P lowered its ratings to 'B-', reflecting its
assumption that over the next 20 or 30 years, there could be a
reemergence of the auction-rate market or a refinancing of the
class A notes. In addition, the class A auction-rate notes for
the senior/subordinate structures have an advantage over the
subordinated auction-rate notes (which have lower ratings) because
they benefit from subordination.
The affirmations of the class A notes from the National Collegiate
Student Loan Trust series 2003-1, 2004-2, 2006-3, 2007-3, and
2007-4 transactions reflect its view of the notes' relatively
short remaining lifetimes (based on the remaining class balances)
and its view that, over the short-term risk horizon, the loss
coverage given the current credit enhancement levels is consistent
with the outstanding ratings.
For the grantor trust transactions, S&P based its downgrades of
some of the certificates on its ratings on the notes from the
underlying discrete trusts. Because these transactions are pass-
through structures, S&P linked the ratings on the certificates
issued by the related grantor trusts to the ratings on the
underlying notes backing the certificates. In most cases,
however, in which S&P does not explicitly rate the underlying
notes, S&P used cash flow models and stress assumptions to assess
the credit quality of the underlying notes. S&P then assigned
ratings to the certificates that are consistent with its view of
the credit quality of the underlying notes.
S&P treated the class A notes (which consist of a number of
subclasses: A-1, A-2, etc.) within each of the 2003-1 through
2007-4 transactions as a single class of securities and assigned
the same rating to each note. S&P's reason for doing so is that
the transaction documents for each series indicate that upon the
occurrence of a nonmonetary EOD, the transaction's payment
priority for the class A notes will shift automatically from
receiving principal sequentially to receiving principal pro rata.
S&P therefore assumed in its scenarios that a nonmonetary EOD
occurs and that all class A notes receive principal pro rata.
The class B notes from a number of these transactions had what S&P
considered to be relatively strong breakevens compared with the
class B notes from other transactions, in the range of 18.25%-
28.25%. After comparing these breakevens to the related trusts'
remaining expected net losses, which ranged from 16.00% to 23.00%,
S&P lowered the class B ratings to 'BB'. The breakevens for the
class B notes from other transactions were between 0.75% and
17.50%. After comparing these breakevens to S&P's remaining
expected net losses of 13.50%-18.00% for those transactions, S&P
lowered the class B ratings to a range between 'CCC' and 'B'. For
the 2003-1 and 2004-1 transactions -- which contain auction-rate
notes -- the class B breakevens ranged from 0.75% to 1.50%, much
lower than those even for the class C and D notes in all other
transactions.
The class C notes had breakevens ranging from 9.00% to 23.00%.
After comparing these breakevens to S&P's remaining expected net
losses of 15.25%-23.00%, S&P lowered its ratings on these notes to
a range between 'CCC' and 'B'. In addition, S&P had already
lowered its ratings on the class C notes from series 2005-3 and
2006-1 to 'CCC' and 'CCC-', respectively, in December 2009 because
S&P expected these transactions to breach their class C note
interest triggers. Furthermore, in January 2010, S&P downgraded
the class C notes from the series 2005-1 and 2005-2 transactions
to 'D' due to an interest payment default resulting from a trigger
breach on the January 2010 distribution date. These ratings
remain unchanged.
The class D breakevens were in the range of 14.50% and 16.50%, and
after comparing these breakevens to S&P's remaining expected net
losses of 18.00%-23.00%, S&P lowered its ratings on the class D
notes to 'B-'.
Master Trust
The master trust transaction, National Collegiate Student Loan
Master Trust, contains only class A notes. S&P's breakeven cash
flows for this transaction assumed a sequential principal payment
structure, which S&P explain in more detail below. S&P's
sequential principal payment assumption yielded breakevens of
around 60.00% for the senior-most bonds to as low as 0.00% for the
most junior class. Even with the more robust breakevens,
considering the adverse and volatile performance of the First
Marblehead collateral pools and S&P's expectations for remaining
cumulative net losses of approximately 18.00%-19.00%, S&P does not
believe the credit support for the senior-most class A notes can
support ratings higher than 'A' over the long term.
This belief reflects S&P's view of rating stability as a secondary
credit factor in assessing creditworthiness in S&P's rating
analysis. That is, S&P believes that the potential level of
deterioration in performance of this trust over the next one to
three years could be high enough to warrant downgrades below the
maximum levels in the related time periods for the 'AAA' and 'AA'
rating categories, according to its ratings stability criteria.
As a result, S&P affirmed its 'A' rating on the most senior class
of notes (class AR-7) and lowered its ratings on the remaining
class A notes to levels ranging from 'A-' to 'CCC' based on their
breakeven levels.
Additionally, S&P lowered its ratings on the class A notes that
yielded low to zero breakevens to levels ranging from 'B' to
'CCC'. A 'B-' rating reflects S&P's belief that the affected bond
has significant speculative characteristics. S&P's 'CCC' rating
reflects S&P's belief that these classes of notes will likely
experience a future payment default but that these payment
defaults are not imminent.
The occurrence of nonmonetary events of default in the master
trust transaction documents do not automatically shift the payment
priority of the class A notes, which currently receive principal
sequentially. That is, additional actions, including
acceleration, are necessary to shift the payment structure to pro
rata after the occurrence of nonmonetary EOD.
After reviewing the additional actions required to change the
payment priority to pro rata, S&P views such a shift as unlikely
and have thus assumed that all class A notes will continue to
receive principal sequentially. As a result, S&P treated each
class A note issued out of this master trust as a separate class
of securities in S&P's analysis and have differentiated the
ratings on each class according to their individual cumulative net
loss coverage.
Interest-Only Notes
The downgrades of the interest-only notes reflect the application
of S&P's criteria for this category. S&P's ratings on the NCSLT
series 2003-1 class A-IO, series 2004-1 class A-IO-2, and NCF
series 2004-1 class A-IO-2 notes are linked to the ratings on the
senior notes of the respective transactions. S&P downgraded these
notes to 'B-', which is the same as the rating on the senior notes
from the respective transactions, primarily because their legal
maturities were the same as those of the senior notes, whose
principal balances are representative of the I/O notes' notional
amounts. In addition, the series 2003-1 and 2004-1 notes were not
able to withstand S&P's rating stresses above the 'B-' level
despite their payments being senior in the respective payment
waterfalls.
S&P's affirmations of the I/O notes and certificates from each
transaction reflect S&P's view that, based on their respective
final maturities or the dates when notional amounts are scheduled
to reduce to zero (primarily within the next two years), the notes
have sufficient protection at their current rating levels and, as
such, are unlikely to experience interest shortfalls. The I/O
notes benefit from their senior place in the payment waterfall
(the payment of interest to the class A I/O notes and certificates
is pro rata with the payment of interest to the class A notes) and
from each structure's ability to combine borrowers' interest and
principal collections to make the class A I/O interest payment.
Standard & Poor's will continue to monitor the performance of the
student loan receivables backing these trusts relative to S&P's
revised cumulative default expectations and available credit
enhancement.
Ratings Lowered And Removed From Creditwatch Negative
National Collegiate Student Loan Trust 2003-1
Rating
------
Class To From
----- -- ----
A-6 B- AAA/Watch Neg
A-7 B- AAA/Watch Neg
B-1 CCC A/Watch Neg
B-2 CCC A/Watch Neg
National Collegiate Student Loan Trust 2004-1
Rating
------
Class To From
----- -- ----
A-2 B- AAA/Watch Neg
A-3 B- AAA/Watch Neg
A-4 B- AAA/Watch Neg
B-1 ARC CCC A/Watch Neg
B-2 ARC CCC A/Watch Neg
National Collegiate Student Loan Trust 2004-2
Rating
------
Class To From
----- -- ----
A-3 BBB AAA/Watch Neg
A-4 BBB AAA/Watch Neg
B B A+/Watch Neg
C CCC+ BBB/Watch Neg
National Collegiate Student Loan Trust 2005-1
Rating
------
Class To From
----- -- ----
A-2 BB AAA/Watch Neg
A-3 BB AAA/Watch Neg
A-4 BB AAA/Watch Neg
B B- A-/Watch Neg
National Collegiate Student Loan Trust 2005-2
Rating
------
Class To From
----- -- ----
A-2 BBB AAA/Watch Neg
A-3 BBB AAA/Watch Neg
A-4 BBB AAA/Watch Neg
B B A/Watch Neg
National Collegiate Student Loan Trust 2005-3
Rating
------
Class To From
----- -- ----
A-2 BBB AAA/Watch Neg
A-3 BBB AAA/Watch Neg
A-4 BBB AAA/Watch Neg
B B A/Watch Neg
National Collegiate Student Loan Trust 2006-1
Rating
------
Class To From
----- -- ----
A-2 BBB AAA/Watch Neg
A-3 BBB AAA/Watch Neg
A-4 BBB AAA/Watch Neg
A-5 BBB AA/Watch Neg
B B A-/Watch Neg
National Collegiate Student Loan Trust 2006-2
Rating
------
Class To From
----- -- ----
A-1 BBB AAA/Watch Neg
A-2 BBB AAA/Watch Neg
A-3 BBB AAA/Watch Neg
A-4 BBB AA/Watch Neg
B BB A-/Watch Neg
C B- BBB-/Watch Neg
National Collegiate Student Loan Trust 2006-3
Rating
------
Class To From
----- -- ----
A-2 BBB AAA/Watch Neg
A-3 BBB AAA/Watch Neg
A-4 BBB AAA/Watch Neg
A-5 BBB AAA/Watch Neg
B BB AA/Watch Neg
C B- A/Watch Neg
D B- BBB/Watch Neg
National Collegiate Student Loan Trust 2006-4
Rating
------
Class To From
----- -- ----
A-1 BBB AAA/Watch Neg
A-2 BBB AAA/Watch Neg
A-3 BBB AAA/Watch Neg
A-4 BBB AAA/Watch Neg
B BB AA/Watch Neg
C B- A/Watch Neg
D B- BBB/Watch Neg
National Collegiate Student Loan Trust 2007-1
Rating
------
Class To From
----- -- ----
A-1 BBB AAA/Watch Neg
A-2 BBB AAA/Watch Neg
A-3 BBB AAA/Watch Neg
A-4 BBB AAA/Watch Neg
B BB AA/Watch Neg
C B A/Watch Neg
D B- BBB/Watch Neg
National Collegiate Student Loan Trust 2007-2
Rating
------
Class To From
----- -- ----
A-1 BBB AAA/Watch Neg
A-2 BBB AAA/Watch Neg
A-3 BBB AAA/Watch Neg
A-4 BBB AAA/Watch Neg
B BB AA/Watch Neg
C B A/Watch Neg
D B- BBB/Watch Neg
National Collegiate Student Loan Trust 2007-3
Rating
------
Class To From
----- -- ----
A-2-AR-2 B- BBB+/Watch Neg
A-2-AR-3 B- BBB+/Watch Neg
A-2-AR-4 B- BBB+/Watch Neg
A-3-L B- BBB+/Watch Neg
A-3-AR-1 B- BBB+/Watch Neg
A-3-AR-2 B- BBB+/Watch Neg
A-3-AR-3 B- BBB+/Watch Neg
A-3-AR-4 B- BBB+/Watch Neg
A-3-AR-5 B- BBB+/Watch Neg
A-3-AR-6 B- BBB+/Watch Neg
A-3-AR-7 B- BBB+/Watch Neg
National Collegiate Student Loan Trust 2007-4
Rating
------
Class To From
----- -- ----
A-2-AR-2 B- BBB+/Watch Neg
A-2-AR-3 B- BBB+/Watch Neg
A-2-AR-4 B- BBB+/Watch Neg
A-3-L B- BBB+/Watch Neg
A-3-AR-1 B- BBB+/Watch Neg
A-3-AR-2 B- BBB+/Watch Neg
A-3-AR-3 B- BBB+/Watch Neg
A-3-AR-4 B- BBB+/Watch Neg
A-3-AR-5 B- BBB+/Watch Neg
A-3-AR-6 B- BBB+/Watch Neg
A-3-AR-7 B- BBB+/Watch Neg
National Collegiate Master Student Loan Trust I
Rating
------
Class To From
----- -- ----
2002-AR-8 A- A/Watch Neg
2002-AR-9 BBB+ A/Watch Neg
2002-AR-10 BBB A/Watch Neg
2002-AR-11 BB- A/Watch Neg
2002-AR-12 B A/Watch Neg
2002-AR-13 CCC+ A/Watch Neg
2002-AR-14 CCC A/Watch Neg
2002-AR-15 CCC A/Watch Neg
2002-AR-16 CCC A/Watch Neg
NCF Grantor Trust 2004-1
Series 2004-GT1
Rating
------
Class To From
----- -- ----
A-1 B- AAA/Watch Neg
A-2 B- AAA/Watch Neg
NCF Grantor Trust 2004-2
Rating
------
Class To From
----- -- ----
A-5-1 BBB AAA/Watch Neg
NCF Grantor Trust 2005-1
Rating
------
Class To From
----- -- ----
A-5-1 BB AA+/Watch Neg
A-5-2 BB AA+/Watch Neg
NCF Grantor Trust 2005-2
Rating
------
Class To From
----- -- ----
A-5-1 BBB AA+/Watch Neg
A-5-2 BBB AA+/Watch Neg
NCF Grantor Trust 2005-3
Rating
------
Class To From
----- -- ----
A-5-1 BBB AA+/Watch Neg
A-5-2 BBB AA+/Watch Neg
Ratings Lowered
National Collegiate Student Loan Trust 2003-1
Rating
------
Class To From
----- -- ----
A-IO B- AAA
National Collegiate Student Loan Trust 2004-1
Rating
------
Class To From
----- -- ----
A-IO-2 B- AAA
NCF Grantor Trust 2004-1
Series 2004-GT1
Rating
------
Class To From
----- -- ----
A-IO-2 B- AAA
Ratings Affirmed And Removed From Creditwatch Negative
National Collegiate Student Loan Trust 2003-1
Rating
------
Class To From
----- -- ----
A-5 AAA AAA/Watch Neg
National Collegiate Student Loan Trust 2004-2
Rating
------
Class To From
----- -- ----
A-2 AAA AAA/Watch Neg
National Collegiate Student Loan Trust 2006-3
Rating
------
Class To From
----- -- ----
A-1 AAA AAA/Watch Neg
National Collegiate Student Loan Trust 2007-3
Rating
------
Class To From
----- -- ----
A-2-AR-1 BBB+ BBB+/Watch Neg
National Collegiate Student Loan Trust 2007-4
Rating
------
Class To From
----- -- ----
A-2-AR-1 BBB+ BBB+/Watch Neg
National Collegiate Student Loan Master Trust
Rating
------
Class To From
----- -- ----
2002-AR-7 A A/Watch Neg
Ratings Affirmed
National Collegiate Student Loan Trust 2004-1
Class Rating
----- ------
A-IO-1 AAA
National Collegiate Student Loan Trust 2006-1
Class Rating
----- ------
A-IO AAA
National Collegiate Student Loan Trust 2006-2
Class Rating
----- ------
A-IO AAA
National Collegiate Student Loan Trust 2006-3
Class Rating
----- ------
A-IO AAA
National Collegiate Student Loan Trust 2006-4
Class Rating
----- ------
A-IO AAA
National Collegiate Student Loan Trust 2007-1
Class Rating
----- ------
A-IO AAA
National Collegiate Student Loan Trust 2007-2
Class Rating
----- ------
A-IO AAA
National Collegiate Student Loan Trust 2007-3
Class Rating
----- ------
A-IO BBB+
National Collegiate Student Loan Trust 2007-4
Class Rating
----- ------
A-IO BBB+
NCF Grantor Trust 2004-1
Class Rating
----- ------
A-IO-I AAA
NCF Grantor Trust 2004-2
Class Rating
----- ------
A-IO AAA
NCF Grantor Trust 2005-3
Class Rating
----- ------
A-IO-1 AAA
A-IO-2 AAA
* S&P Downgrades Ratings on 45 Tranches From Eight CLO Deals
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 45
tranches from eight U.S. collateralized loan obligation
transactions and removed them from CreditWatch with negative
implications. The affected tranches have a total issuance amount
of $4.016 billion. At the same time, S&P affirmed its ratings on
23 tranches from seven transactions and removed 20 of them from
CreditWatch negative.
The downgrades reflect two primary factors:
* The application of S&P's updated corporate collateralized debt
obligation criteria; and
* Deterioration in the credit quality of certain CDO tranches due
to increased exposure to obligors that have either defaulted or
experienced downgrades into the 'CCC' range.
The downgrades of 11 classes from three transactions resulted from
S&P's application of the largest-obligor default test, which is
one of the supplemental stress tests S&P introduced as part of its
criteria update.
The affirmations reflect S&P's view that the tranches have
adequate credit support to maintain the current ratings according
to S&P's updated criteria.
S&P's analysis incorporated the asset recovery assumptions in
S&P's new CDO criteria. To provide additional transparency into
the assumptions S&P used in 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 (%)
----------- -----------------
Boston Harbor CLO 2004-1 49.3
Copper River CLO 37.8
Fortress Credit Investments II 44.5
Green Lane CLO 37.7
MAC Capital 40.5
Marathon Financing I B.V. 35.7
Osprey CDO 2006-1 37.3
Rockwall CDO 38.2
Rockwall CDO II 34.9
Sapphire Valley CDO I 38.2
Sequils-Centurion V 54.0
S&P will continue to review the remaining transactions with
ratings S&P 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
----------- ----- -- ----
Boston Harbor CLO 2004-1 A AA+ AAA/Watch Neg
Boston Harbor CLO 2004-1 B BBB+ A+/Watch Neg
Boston Harbor CLO 2004-1 C BBB+ A/Watch Neg
Boston Harbor CLO 2004-1 D CCC- BBB/Watch Neg
Copper River CLO A-1A A AAA/Watch Neg
Copper River CLO A-1B A AAA/Watch Neg
Copper River CLO A-2A A+ AAA/Watch Neg
Copper River CLO A-2B A AAA/Watch Neg
Copper River CLO B BBB- AA/Watch Neg
Copper River CLO C BB A/Watch Neg
Copper River CLO D B BBB/Watch Neg
Copper River CLO E CCC BB/Watch Neg
Fortress Credit Investments II A-1 NwRev AA+ AAA/Watch Neg
Fortress Credit Investments II A-1 NwTrm AA+ AAA/Watch Neg
Fortress Credit Investments II A-1 Rev AA+ AAA/Watch Neg
Fortress Credit Investments II A-1 Term AA+ AAA/Watch Neg
Fortress Credit Investments II A-2 A+ AA/Watch Neg
Fortress Credit Investments II A-2 NwTrm A+ AA/Watch Neg
Fortress Credit Investments II B BBB+ A/Watch Neg
Fortress Credit Investments II B NwTrm BBB+ A/Watch Neg
Green Lane CLO A-1 A+ AAA/Watch Neg
Green Lane CLO A-2 A+ AAA/Watch Neg
Green Lane CLO B BBB+ A/Watch Neg
Green Lane CLO C BB+ BB+/Watch Neg
MAC Capital A-1L AA+ AAA/Watch Neg
MAC Capital A-1LV AA+ AAA/Watch Neg
MAC Capital A-2L A+ AA/Watch Neg
MAC Capital A-3L A- A/Watch Neg
MAC Capital B-1F BBB- BBB/Watch Neg
MAC Capital B-1L BBB- BBB/Watch Neg
MAC Capital B-2F B+ BB/Watch Neg
MAC Capital B-2L B+ BB/Watch Neg
MAC Capital X AAA AAA/Watch Neg
Marathon Financing I, B.V. A-1 AA+ AAA/Watch Neg
Marathon Financing I B.V. A-2 AA+ AAA/Watch Neg
Marathon Financing I B.V. A-3 AA+ AAA/Watch Neg
Marathon Financing I B.V. B-1 A- AA/Watch Neg
Marathon Financing I B.V. C-1 BB+ A/Watch Neg
Marathon Financing I B.V. MezzTmLo BB+ A/Watch Neg
Marathon Financing I B.V. SrRev AA+ AAA/Watch Neg
Osprey CDO 2006-1 A-1LA AA- AA-/Watch Neg
Osprey CDO 2006-1 A-1LB A+ A+/Watch Neg
Osprey CDO 2006-1 A-2L BBB BBB/Watch Neg
Osprey CDO 2006-1 A-3L BB+ BB+/Watch Neg
Osprey CDO 2006-1 B-1L BB+ BB+/Watch Neg
Osprey CDO 2006-1 B-2L BB- BB-/Watch Neg
Osprey CDO 2006-1 X AAA AAA/Watch Neg
Rockwall CDO A-1LA BBB+ BBB+/Watch Neg
Rockwall CDO A-1LB BBB- BBB/Watch Neg
Rockwall CDO A-2L BB- BB/Watch Neg
Rockwall CDO A-3L B+ B+/Watch Neg
Rockwall CDO A-4L B+ B+/Watch Neg
Rockwall CDO B-1L CCC- CCC+/Watch Neg
Rockwall CDO II A-1LA BBB+ A-/Watch Neg
Rockwall CDO II A-1LB BB+ BBB-/Watch Neg
Rockwall CDO II A-2L BB- BB+/Watch Neg
Rockwall CDO II A-3L B+ B+/Watch Neg
Rockwall CDO II B-1L CCC+ B/Watch Neg
Rockwall CDO II B-2L CCC- CCC-/Watch Neg
Sapphire Valley CDO I A A+ A+/Watch Neg
Sapphire Valley CDO I B BBB BBB/Watch Neg
Sapphire Valley CDO I C BB+ BB+/Watch Neg
Sapphire Valley CDO I D BB- BB-/Watch Neg
Sapphire Valley CDO I E B+ B+/Watch Neg
Sequils-Centurion V A AAA AAA/Watch Neg
Other Ratings Reviewed
Transaction Class Rating
----------- ----- ------
MAC Capital P-1 AAA
Rockwall CDO X AAA
Sapphire Valley CDO I X AAA
* S&P Downgrades Ratings on 49 Tranches From 11 CLO Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 49
tranches from 11 U.S. collateralized loan obligation transactions
and removed them from CreditWatch with negative implications. The
affected tranches have a total issuance amount of $4.189 billion.
At the same time, S&P affirmed its ratings on seven tranches from
four 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 CLO tranches due
to increased exposure to obligors that have either defaulted or
experienced downgrades into the 'CCC' range.
The downgrades of four 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.
The affirmations reflect S&P's view that the tranches have
adequate credit support to maintain the current ratings according
to S&P's updated criteria.
S&P's analysis incorporated the asset recovery assumptions in
S&P's new CDO criteria. To provide additional transparency into
the assumptions S&P used in 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 (%)
----------- -----------------
ACAS Business Loan Trust 2006-1 18.0
ACAS Business Loan Trust 2007-1 34.2
ARCC Commercial Loan Trust 2006 32.5
Callidus Debt Partners CLO Fund II 40.6
Canyon Capital CLO 2006-1 Ltd. 43.0
Ivy Hill Middle Mkt Credit Fund 39.7
Jersey Street CLO Ltd. 46.5
MCG Commercial Loan Trust 2006-1 30.4
Race Point III CLO 43.3
Sagamore CLO Ltd. 42.0
Wasatch CLO Ltd. 43.2
S&P will continue to review the remaining transactions with
ratings S&P 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
----------- ----- -- ----
ACAS Business Loan Trust 2006-1 A A+ AAA/Watch Neg
ACAS Business Loan Trust 2006-1 B BBB- AA/Watch Neg
ACAS Business Loan Trust 2006-1 C CCC+ A/Watch Neg
ACAS Business Loan Trust 2006-1 D CCC- BBB/Watch Neg
ACAS Business Loan Trust 2007-1 A AA+ AAA/Watch Neg
ACAS Business Loan Trust 2007-1 B A+ AA/Watch Neg
ACAS Business Loan Trust 2007-1 C CCC+ A/Watch Neg
ACAS Business Loan Trust 2007-1 D CCC- BBB/Watch Neg
ARCC Commercial Loan Trust 2006 A-1A AA+ AAA/Watch Neg
ARCC Commercial Loan Trust 2006 A-1AVF AA+ AAA/Watch Neg
ARCC Commercial Loan Trust 2006 A-1B A+ AAA/Watch Neg
ARCC Commercial Loan Trust 2006 A-2B A+ AAA/Watch Neg
ARCC Commercial Loan Trust 2006 A-2A AAA AAA/Watch Neg
ARCC Commercial Loan Trust 2006 B BBB+ AA/Watch Neg
ARCC Commercial Loan Trust 2006 C BB+ A/Watch Neg
ARCC Commercial Loan Trust 2006 D CCC+ BBB/Watch Neg
Callidus Debt Partners CLOFund II A A+ AAA/Watch Neg
Callidus Debt Partners CLOFund II B BBB+ A+/Watch Neg
Callidus Debt Partners CLOFund II C-1 CCC- BBB/Watch Neg
Callidus Debt Partners CLOFund II C-2 CCC- BBB/Watch Neg
Canyon Capital CLO 2006-1 Ltd. A1 AA+ AAA/Watch Neg
Canyon Capital CLO 2006-1 Ltd. A2 AA+ AAA/Watch Neg
Canyon Capital CLO 2006-1 Ltd. B AA AA/Watch Neg
Canyon Capital CLO 2006-1 Ltd. C A A/Watch Neg
Canyon Capital CLO 2006-1 Ltd. D BBB- BBB/Watch Neg
Canyon Capital CLO 2006-1 Ltd. E B+ BB/Watch Neg
Ivy Hill Middle Mkt Credit Fund A A+ AA/Watch Neg
Ivy Hill Middle Mkt Credit Fund B BBB- BBB-/Watch Neg
Jersey Street CLO Ltd. A AA+ AAA/Watch Neg
Jersey Street CLO Ltd. B AA AA/Watch Neg
Jersey Street CLO Ltd. C BBB BBB/Watch Neg
Jersey Street CLO Ltd. D BB- BB-/Watch Neg
MCG Commercial Loan Trust 2006-1 A-1 A- AAA/Watch Neg
MCG Commercial Loan Trust 2006-1 A-2 A- AAA/Watch Neg
MCG Commercial Loan Trust 2006-1 A-3 A- AAA/Watch Neg
MCG Commercial Loan Trust 2006-1 B A- AA/Watch Neg
MCG Commercial Loan Trust 2006-1 C BBB+ A/Watch Neg
MCG Commercial Loan Trust 2006-1 D BB BBB/Watch Neg
Race Point III CLO A A+ AAA/Watch Neg
Race Point III CLO B A- AA/Watch Neg
Race Point III CLO C BB+ A/Watch Neg
Race Point III CLO D BB+ BBB/Watch Neg
Race Point III CLO E B+ BB/Watch Neg
Sagamore CLO Ltd. A-1 A+ AAA/Watch Neg
Sagamore CLO Ltd. A-2 A+ AAA/Watch Neg
Sagamore CLO Ltd. A-3 A+ AAA/Watch Neg
Sagamore CLO Ltd. B B+ A/Watch Neg
Sagamore CLO Ltd. C-1 CCC+ BBB/Watch Neg
Sagamore CLO Ltd. C-2 CCC+ BBB/Watch Neg
Wasatch CLO Ltd. A-1a AA- AAA/Watch Neg
Wasatch CLO Ltd. A-1b AA- AAA/Watch Neg
Wasatch CLO Ltd. A-2 A+ AA/Watch Neg
Wasatch CLO Ltd. B BBB+ A/Watch Neg
Wasatch CLO Ltd. C BB+ BBB-/Watch Neg
Wasatch CLO Ltd. D B+ BB-/Watch Neg
Wasatch CLO Ltd. Type 4 B AAA/Watch Neg
* S&P Downgrades Ratings on 55 Tranches From Nine CDO Deals
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 55
tranches from nine synthetic collateralized debt obligation
transactions.
Due to an error, the ratings on these transactions were not
revised to reflect S&P's current credit opinion regarding the
collateral backing the funded notes. S&P downgraded these
tranches to reflect its current view of the credit quality of the
collateral assets backing these transactions, which considers
downgrades that have affected some of these assets.
For these funded synthetic CDOs, the issuer purchased collateral
assets with note issuance proceeds at the time each transaction
closed or later. The collateral assets are available to either
repay the notes at maturity or to fund protection payments if the
issuer owes a floating-amount payment to the buyer of protection.
These transactions have been structured and documented to provide
that the issuer takes the default risk of the collateral assets.
According to the swap confirmation documents governing these
transactions, the default of one or more of the collateral assets
in the reserve funds provides the protection buyer with an option
to terminate the swap.
None of these transactions have, to date, triggered an event of
default (EOD) due to the default of one or more collateral assets.
However, such an EOD, according to the transaction documents,
could cause the issuer to lose a guaranteed return on investment;
potentially become obligated for termination payments on the
credit default swap portfolio; and cause the issuer to incur
trading losses from the sale of the collateral. All of these
outcomes could impair the return of interest and principal to the
rated synthetic CDO notes.
This risk is separate from the risk of credit migration and credit
events occurring in the reference portfolio. Standard & Poor's
assesses credit migration and credit events in the referenced
portfolio via its monthly synthetic rated overcollateralization
surveillance process.
Pursuant to its criteria, the ratings on the notes are the lower
of:
* The rating that would be consistent with S&P's assessment of the
credit enhancement and credit risk of the referenced portfolio;
and
* The rating that is commensurate with S&P's view regarding the
likelihood that any of the collateral assets would default,
based on the lowest of the current ratings assigned to the
various collateral assets for each synthetic CDO transaction.
In accordance with the above, S&P lowered its ratings on these
transactions to reflect its current opinion of the risk of default
by the collateral. While the ratings on these synthetic CDO
tranches are now lower than those that the SROC metric in S&P's
monthly SROC report might imply, S&P will continue to include
these tranches in the report while noting the reason for the lower
ratings.
Rating Actions
Abacus 2005-1 Ltd.
Rating
------
Class To From
----- -- ----
A-1 CCC BB+
Abacus 2005-2 Ltd.
Rating
------
Class To From
----- -- ----
A-1 CCC BB-/Watch Neg
Abacus 2005-3 Ltd.
Rating
------
Class To From
----- -- ----
A-1 CCC- AAA
A-2 CCC- AA+/Watch Neg
B CCC- B+/Watch Neg
B Series 2 CCC- B+/Watch Neg
C CCC- CCC+/Watch Neg
C Series2 CCC- CCC+/Watch Neg
Abacus 2005-4 Ltd.
Rating
------
Class To From
----- -- ----
A-1 CCC- AAA
A-2 CCC- AA+/Watch Neg
B CCC- AA-
C CCC- BBB+/Watch Neg
D CCC- BBB
E CCC- BB+
Abacus 2005-5 Ltd.
Rating
------
Class To From
----- -- ----
A-1 CCC- B-/Watch Neg
Abacus 2006-10 Ltd.
Rating
------
Class To From
----- -- ----
A CCC- A/Watch Neg
B CCC- BBB+/Watch Neg
C CCC- BBB+/Watch Neg
D CCC- BBB+/Watch Neg
E CCC- BBB/Watch Neg
F CCC- BB+/Watch Neg
G CCC- BB+/Watch Neg
J CCC- BB+/Watch Neg
K CCC- BB/Watch Neg
L CCC- BB/Watch Neg
Abacus 2006-13 Ltd.
Rating
------
Class To From
----- -- ----
A CCC BBB+/Watch Neg
B CCC BBB-/Watch Neg
C CCC BB+/Watch Neg
D CCC BB+/Watch Neg
E CCC BB/Watch Neg
F CCC BB-/Watch Neg
G CCC B+/Watch Neg
H CCC B+/Watch Neg
K CCC B-/Watch Neg
L CCC CCC+/Watch Neg
M CCC CCC+/Watch Neg
Abacus 2006-17 Ltd.
Rating
------
Class To From
----- -- ----
A-1 CCC A+/Watch Neg
A-2 CCC BBB-/Watch Neg
B CCC BB/Watch Neg
C CCC BB-/Watch Neg
D CCC B+/Watch Neg
E CCC B/Watch Neg
F CCC B-/Watch Neg
G CCC B-/Watch Neg
H CCC CCC+/Watch Neg
Abacus 2006-NS1 Ltd.
Rating
------
Class To From
----- -- ----
A CCC BB+/Watch Neg
B CCC BB+/Watch Neg
C CCC BB/Watch Neg
D CCC BB-/Watch Neg
E CCC B+/Watch Neg
F CCC B+/Watch Neg
G CCC B/Watch Neg
H CCC CCC+/Watch Neg
J CCC CCC+/Watch Neg
K CCC CCC+/Watch Neg
* S&P Downgrades Ratings on 81 Classes From 11 RMBS Deals
---------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 81
classes of certificates from 11 resecuritized real estate mortgage
investment conduit residential mortgage-backed securities
transactions. At the same time, S&P affirmed its ratings on six
classes from two of the downgraded re-REMIC transactions, as well
as one additional deal, and removed one of the affirmed ratings
from CreditWatch with negative implications.
The downgrades reflect S&P's assessment of the significant
deterioration in performance of the loans backing the underlying
certificates. As a result of this performance deterioration, the
downgraded classes were unable to maintain the previous ratings at
the applicable rating stresses. The affirmations reflect S&P's
assessment of the credit enhancement available to the underlying
certificates, which, in S&P's opinion, is sufficient to maintain
the ratings on the re-REMIC classes. In addition, certain re-
REMIC classes may also benefit from support classes within the re-
REMIC transaction.
When performing S&P's analysis of the re-REMIC classes, S&P
applied S&P's loss projections to the underlying collateral in
order to identify the magnitude of losses that S&P believes could
be passed through to the applicable re-REMIC classes. Generally,
S&P's projected losses depend on the related underlying collateral
type. S&P then stressed these loss projections at various rating
categories in order to assess whether the re-REMIC classes could
withstand such stressed losses associated with the applicable
rating levels.
Over the past several years S&P has revised its RMBS default and
loss assumptions, and consequently its projected losses, to
reflect its view of the continuing decline in mortgage loan
performance. The performance deterioration of most U.S. RMBS has
continued to outpace the market's expectations.
Rating Actions
Banc of America Funding 2006-R1 Trust
Series 2006-R1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 05950CAB8 AAA AAA/Watch Neg
BCAP LLC 2008-RR2 Trust
Series 2008-RR2
Rating
------
Class CUSIP To From
----- ----- -- ----
A1 05531TAA1 CCC AAA
A2 05531TAB9 BBB- AAA
A3 05531TAC7 CCC AAA
A4 05531TAD5 BBB+ AAA
A5 05531TAE3 CCC AAA
A6 05531TAF0 A- AAA
A7 05531TAG8 CCC AAA
A8 05531TAH6 A AAA
A9 05531TAJ2 CCC AAA
A10 05531TAK9 B- AAA
A11 05531TAL7 B- AAA
A12 05531TAM5 BB AAA
A13 05531TAN3 B- AAA
A14 05531TAP8 BBB AAA
A15 05531TAQ6 BB- AAA
A16 05531TAR4 BBB AAA
A17 05531TAS2 BB- AAA
A18 05531TAT0 BBB+ AAA
A19 05531TAU7 BB AAA
A20 05531TAV5 BBB+ AAA
A21 05531TAW3 BB AAA
A22 05531TAX1 A- AAA
A23 05531TAY9 BB+ AAA
A24 05531TAZ6 A AAA
A25 05531TBA0 BB+ AAA
A26 05531TBB8 A AAA
A27 05531TBC6 BBB AAA
A28 05531TBD4 A+ AAA
A29 05531TBE2 BBB AAA
A30 05531TBG7 BBB AAA
A31 05531TBH5 CCC AAA
A32 05531TBJ1 BBB AAA
A33 05531TBK8 BB- AAA
A34 05531TBL6 BBB AAA
A35 05531TBM4 BB- AAA
Bear Stearns ARM Trust 2005-8
Series 2005-8
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 07387AEA9 A AAA
A-3 07387AEB7 BBB- AAA
A-4 07387AEC5 BBB- AAA
BSSP Series 2005-11
Series 2005-11
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 07383UJY2 CC AA
A-2 07383UJZ9 CC A
A-3 07383UKA2 CC BBB
A-4 07383UKB0 CC BB-
CHL Mortgage Pass Through Trust Resecuritization 2008-2R
Series 2008-2R
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 12544NAA5 CCC AAA
Citigroup Mortgage Loan Trust 2007-12
Series 2007-12
Rating
------
Class CUSIP To From
----- ----- -- ----
2-A1 17314CAE8 CCC AAA
2-A2 17314CAF5 CCC AAA
2-A3 17314CAG3 CC B
2-A4 17314CAH1 CC B
2-A5 17314CAJ7 CCC AAA
2-A6 17314CAK4 CCC AAA
2-A7 17314CAL2 CCC AAA
2-A8 17314CAM0 CCC AAA
2-A9 17314CAN8 CCC AAA
2-A10 17314CAT5 CC AAA
2-A11 17314CAU2 CC B
Citigroup Mortgage Loan Trust Inc.
Series 2005-12
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A1 17307GY36 CC AAA
I-A2 17307GY44 CC AAA
I-A3 17307GY51 CC AAA
II-A1 17307GY69 CCC AAA
II-A2 17307GY77 CCC AAA
II-A3 17307GY85 CCC AAA
Citigroup Mortgage Loan Trust Inc.
Series 2006-8
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 17310CAA0 BBB- AAA
A-2 17310CAB8 BBB- AAA
A-3 17310CAC6 BBB- AAA
A-4 17310CAD4 BBB- AAA
Credit Suisse First Boston Mortgage Securities Corp. CSMC
Series 2008-3R
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 12640WAA8 CCC AAA
1-A-2 12640WAC4 CCC AAA
1-A-3 12640WAE0 CCC AAA
2-A-2 12640WAJ9 BBB+ AAA
Credit Suisse First Boston Mortgage Securities Corp., CSMC
Series 2005-1R
Rating
------
Class CUSIP To From
----- ----- -- ----
2-A-1 22546MAG1 CCC AAA
2-A-2 22546MAJ5 CCC AAA
2-A-3 22546MAL0 CCC AAA
2-A-4 22546MAN6 CCC AAA
2-A-5 22546MAQ9 CCC AAA
2-A-6 22546MAS5 CCC AAA
2-A-7 22546MAU0 CCC AAA
2-A-8 22546MAW6 CCC AAA
GSAA Resecuritization Mortgage Trust 2005-R1
Series 2005-R1
Rating
------
Class CUSIP To From
----- ----- -- ----
1A1 36242D3R2 BB- AAA
1A2 36242D3S0 BB- AAA
JPMorgan Mortgage Trust, Series 2008-R1
Series 2008-R1
Rating
------
Class CUSIP To From
----- ----- -- ----
2-A-1 46632GAC7 CCC AAA
2-A-2 46632GAD5 CCC AAA
2-A-X 46632GAE3 CCC AAA
Ratings Affirmed
Banc of America Funding 2006-R1 Trust
Series 2006-R1
Class CUSIP Rating
----- ----- ------
A-1 05950CAA0 CCC
A-3 05950CAC6 CCC
Bear Stearns ARM Trust 2005-8
Series 2005-8
Class CUSIP Rating
----- ----- ------
A-1 07387ADZ5 AAA
X 07387AEE1 AAA
Credit Suisse First Boston Mortgage Securities Corp. CSMC
Series 2008-3R
Class CUSIP Rating
----- ----- ------
2-A-1 12640WAG5 AAA
* S&P Downgrades Ratings on 132 Classes From 23 Securitizations
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 132
classes of certificates from 23 securitizations backed by U.S.
small-balance commercial mortgage loans on properties including,
but not limited to, multifamily, office, motel, restaurant,
warehouse, and retail. In addition, S&P affirmed its ratings on
73 classes from 18 of the downgraded transactions and four other
transactions.
The downgrades reflect S&P's opinion that projected credit support
for the affected classes is insufficient to maintain the previous
ratings, given S&P's projected losses on these transactions. The
affirmations reflect S&P's belief that the applicable classes can
maintain the rating stresses commensurate with their current
ratings.
Generally, S&P applies its monthly default rate (MDR) vectors,
which S&P obtain from both the existing delinquency pipeline and
change in performance over the past six months. S&P then applies
these MDRs on a period-by-period basis for 10 years after the
transaction closes in order to identify if each class could
survive the applicable stress scenario.
When stressing losses, S&P generally increase its MDR and loss
severity stresses proportionately as S&P stresses different rating
scenarios. For example, S&P may apply its base-case MDR and loss
severity assumptions based on its methodology and assumptions to
derive a 'B' scenario, while S&P may stress both the base-case MDR
and loss severity assumptions by a factor of 1.225x to derive a
'AAA' scenario. S&P would disperse rating category stresses
between 'B' and 'AAA' linearly based on the 1.225x factors. When
S&P applies the stressed MDR and loss severity assumptions, the
'AAA' loss would generally be close to 1.5x the base-case loss
assumption and will vary depending on the default and CPR
assumptions S&P applies in its analysis.
Subordination, overcollateralization, and excess interest
generally provide credit support for the classes within these
small-balance commercial transactions. The trusts are backed by
adjustable- and fixed-rate, first-lien mortgage loans secured by
small-balance commercial properties.
Rating Actions
Bayview Commercial Asset Trust 2004-2
Series 2004-2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 07324SAT9 BBB A
B-1 07324SAU6 B BBB+
B-2 07324SAV4 B BBB
Bayview Commercial Asset Trust 2005-1
Series 2005-1
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 07324SBK7 B BBB
B-3 07324SBL5 CCC BBB-
Bayview Commercial Asset Trust 2005-2
Series 2005-2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-5 07324SBU5 B A
M-6 07324SBV3 CCC A-
B-1 07324SBW1 CCC A-
B-2 07324SBX9 CCC BBB+
B-3 07324SBY7 CCC BBB+
B-4 07324SBZ4 CCC BBB-
Bayview Commercial Asset Trust 2005-3
Series 2005-3
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 07324SCK6 CCC BBB+
B-2 07324SCL4 CCC BBB
B-3 07324SCM2 CCC BBB
Bayview Commercial Asset Trust 2005-4
Series 2005-4
Rating
------
Class CUSIP To From
----- ----- -- ----
IO 07324SCQ3 A AAA
A-1 07324SCR1 A AAA
B-1 07324SCZ3 CCC BBB
B-2 07324SDA7 CCC BBB
B-3 07324SDB5 CCC BBB
Bayview Commercial Asset Trust 2006-1
Series 2006-1
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 07324SDN9 CCC BBB
B-2 07324SDP4 CCC BBB
B-3 07324SDQ2 CCC BBB
Bayview Commercial Asset Trust 2006-2
Series 2006-2
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 07324YAK5 CCC BBB
B-2 07324YAL3 CCC BBB
B-3 07324YAM1 CCC BBB
Bayview Commercial Asset Trust 2006-3
Series 2006-3
Rating
------
Class CUSIP To From
----- ----- -- ----
IO 07324NAM5 BBB AAA
A-1 07324NAA1 BBB AAA
B-1 07324NAJ2 CCC BBB
B-2 07324NAK9 CCC BBB
B-3 07324NAL7 CCC BBB
Bayview Commercial Asset Trust 2006-4
Series 2006-4
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 07325BAK4 CCC BBB
B-2 07325BAL2 CCC BBB
B-3 07325BAM0 CCC BBB
Bayview Commercial Asset Trust 2006-SP2
Series 2006-SP2
Rating
------
Class CUSIP To From
----- ----- -- ----
IO 07325KAN8 A AAA
B-1 07325KAH1 CCC BBB
B-2 07325KAJ7 CCC BBB
B-3 07325KAK4 CCC BBB
Bayview Commercial Asset Trust 2007-1
Series 2007-1
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 07325MAJ3 CCC BBB
B-2 07325MAK0 CCC BBB
B-3 07325MAL8 CCC BBB-
Bayview Commercial Asset Trust 2007-2
Series 2007-2
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 07325XAJ9 CCC BBB+
B-2 07325XAK6 CCC BBB
B-3 07325XAL4 CCC BBB
B-4 07325XAM2 CCC BBB-
Bayview Commercial Asset Trust 2007-3
Series 2007-3
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 07325YAJ7 CCC BBB
B-2 07325YAK4 CCC BBB-
B-3 07325YAL2 CCC BBB-
Bayview Commercial Asset Trust 2007-4
Series 2007-4
Rating
------
Class CUSIP To From
----- ----- -- ----
IO 07326BAM9 AA AAA
A-1 07326BAA5 AA AAA
B-1 07326BAJ6 CCC BBB
B-2 07326BAK3 CCC BBB-
B-3 07326BAL1 CC BBB-
Bayview Commercial Asset Trust 2007-5
Series 2007-5
Rating
------
Class CUSIP To From
----- ----- -- ----
A-4 07325WAE2 B AAA
M-1 07325WAF9 CCC AA+
M-2 07325WAG7 CCC AA+
M-3 07325WAH5 CCC AA
M-4 07325WAJ1 CCC A+
M-5 07325WAK8 CCC A+
M-6 07325WAL6 CCC A
B-1 07325WAM4 CCC BBB+
B-2 07325WAN2 CCC BBB
Bayview Commercial Asset Trust 2007-6
Series 2007-6
Rating
------
Class CUSIP To From
----- ----- -- ----
A-4A 07326FAE8 AA AAA
A-4B 07326FAU2 AA AAA
M-1 07326FAF5 CCC AA+
M-2 07326FAG3 CCC AA+
M-3 07326FAH1 CCC AA+
M-4 07326FAJ7 CCC AA
M-5 07326FAK4 CCC A+
M-6 07326FAL2 CCC A+
B-1 07326FAM0 CCC BBB+
B-2 07326FAN8 CCC BBB
Bayview Commercial Asset Trust 2008-1
Series 2008-1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 07324AAG6 BB AA+
M-2 07324AAH4 B AA+
M-3 07324AAJ0 CCC AA+
M-4 07324AAK7 CCC AA
M-5 07324AAL5 CCC A+
M-6 07324AAM3 CCC A+
B-1 07324AAN1 CCC BBB+
B-2 07324AAP6 CCC BBB-
Bayview Commercial Asset Trust 2008-2
Series 2008-2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 07326HAE4 BBB AAA
A-3 07326HAH7 BBB AAA
A-4A 07326HAJ3 BBB AAA
A-4B 07326HAK0 BBB AAA
M-1 07326HAL8 CCC AA+
M-2 07326HAM6 CCC AA+
M-3 07326HAN4 CCC AA+
M-4 07326HAP9 CCC AA+
M-5 07326HAQ7 CCC AA
M-6 07326HAR5 CCC AA-
B-1 07326HAS3 CCC A
B-2 07326HAT1 CCC BBB-
Bayview Commercial Asset Trust 2008-3
Series 2008-3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 07326JAD2 A AAA
A-3 07326JAE0 BBB AAA
A-4 07326JAF7 BBB AAA
M-1 07326JAG5 CCC AA+
M-2 07326JAH3 CCC AA+
M-3 07326JAJ9 CCC AA+
M-4 07326JAK6 CCC AA
M-5 07326JAL4 CCC AA-
M-6 07326JAM2 CCC A+
B-1 07326JAN0 CCC A-
B-2 07326JAP5 CCC BBB-
Bayview Commercial Asset Trust 2008-4
Series 2008-4
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 07326KAF4 AA AA+
M-2 07326KAG2 A AA+
M-3 07326KAH0 BBB AA+
M-4 07326KAJ6 BB AA
M-5 07326KAK3 B AA-
M-6 07326KAL1 CCC A+
B-1 07326KAM9 CCC A-
B-2 07326KAN7 CCC BBB-
Bayview Commercial Mortgage Pass-Through Trust 2006-SP1
Series 2006-SP1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-3 07324MAF2 CCC A
M-4 07324MAG0 CCC A-
B-1 07324MAH8 CCC BBB+
B-2 07324MAJ4 CCC BBB
B-3 07324MAK1 CCC BBB-
C-BASS 2006-SC1 Trust
Series 2006-SC1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-4 12498SAE2 BBB A
M-5 12498SAF9 BB A-
B-1 12498SAG7 B BBB+
B-2 12498SAH5 CCC BBB
B-3 12498SAJ1 CCC BBB-
C-Bass 2007 MX-1 Trust
Series 2007 MX-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 1248MPAA2 BB- AAA
A-2 1248MPAB0 B AAA
A-3 1248MPAC8 B AAA
A-4 1248MPAD6 B AAA
M-1 1248MPAE4 CCC AA+
M-2 1248MPAF1 CCC AA-
M-3 1248MPAG9 CCC A+
M-4 1248MPAH7 CCC A-
M-5 1248MPAJ3 CCC BBB
M-6 1248MPAK0 CCC BBB-
B-1 1248MPAL8 CCC BB+
B-2 1248MPAM6 CC BB+
Ratings Affirmed
Bayview Commercial Asset Trust 2003-2
Series 2003-2
Class CUSIP Rating
----- ----- ------
A 07324SAF9 AAA
IO 07324SAE2 AAA
M-1 07324SAG7 AA
M-2 07324SAH5 A
B 07324SAJ1 BBB
Bayview Commercial Asset Trust 2004-1
Series 2004-1
Class CUSIP Rating
----- ----- ------
A 07324SAL6 AAA
IO 07324SAK8 AAA
M-1 07324SAM4 AA
M-2 07324SAN2 A
B 07324SAP7 BBB
Bayview Commercial Asset Trust 2004-2
Series 2004-2
Class CUSIP Rating
----- ----- ------
A 07324SAR3 AAA
IO 07324SAQ5 AAA
M-1 07324SAS1 AA
Bayview Commercial Asset Trust 2004-3
Series 2004-3
Class CUSIP Rating
----- ----- ------
IO 07324SAW2 AAA
A-1 07324SAX0 AAA
M-1 07324SAZ5 AA
M-2 07324SBA9 A
B-1 07324SBB7 BBB+
B-2 07324SBC5 BBB+
Bayview Commercial Asset Trust 2005-1
Series 2005-1
Class CUSIP Rating
----- ----- ------
IO 07324SBD3 AAA
A-1 07324SBE1 AAA
Bayview Commercial Asset Trust 2005-2
Series 2005-2
Class CUSIP Rating
----- ----- ------
IO 07324SBM3 AAA
A-1 07324SBN1 AAA
Bayview Commercial Asset Trust 2005-3
Series 2005-3
Class CUSIP Rating
----- ----- ------
IO 07324SCN0 AAA
A-1 07324SCB6 AAA
Bayview Commercial Asset Trust 2006-1
Series 2006-1
Class CUSIP Rating
----- ----- ------
IO 07324SDD1 AAA
A-1 07324SDE9 AAA
Bayview Commercial Asset Trust 2006-2
Series 2006-2
Class CUSIP Rating
----- ----- ------
IO 07324YAA7 AAA
A-1 07324YAB5 AAA
Bayview Commercial Asset Trust 2006-4
Series 2006-4
Class CUSIP Rating
----- ----- ------
IO 07325BAA6 AAA
A-1 07325BAB4 AAA
Bayview Commercial Asset Trust 2007-1
Series 2007-1
Class CUSIP Rating
----- ----- ------
IO 07325MAM6 AAA
SIO 07325MAN4 AAA
A-1 07325MAA2 AAA
Bayview Commercial Asset Trust 2007-2
Series 2007-2
Class CUSIP Rating
----- ----- ------
IO 07325XAN0 AAA
A-1 07325XAA8 AAA
Bayview Commercial Asset Trust 2007-3
Series 2007-3
Class CUSIP Rating
----- ----- ------
IO 07325YAM0 AAA
SIO 07325YAN8 AAA
A-1 07325YAA6 AAA
Bayview Commercial Asset Trust 2007-5
Series 2007-5
Class CUSIP Rating
----- ----- ------
IO 07325WAA0 AAA
A-1 07325WAB8 AAA
A-2 07325WAC6 AAA
A-3 07325WAD4 AAA
Bayview Commercial Asset Trust 2007-6
Series 2007-6
Class CUSIP Rating
----- ----- ------
IO 07326FAA6 AAA
A-1 07326FAB4 AAA
A-2 07326FAC2 AAA
A-3A 07326FAD0 AAA
A-3B 07326FAT5 AAA
Bayview Commercial Asset Trust 2008-1
Series 2008-1
Class CUSIP Rating
----- ----- ------
IO 07324AAA9 AAA
A-1 07324AAB7 AAA
A-2A 07324AAC5 AAA
A-2B 07324AAD3 AAA
A-3 07324AAE1 AAA
A-4 07324AAF8 AAA
Bayview Commercial Asset Trust 2008-2
Series 2008-2
Class CUSIP Rating
----- ----- ------
IO 07326HAA2 AAA
SIO 07326HAB0 AAA
A-1 07326HAC8 AAA
Bayview Commercial Asset Trust 2008-3
Series 2008-3
Class CUSIP Rating
----- ----- ------
IO 07326JAA8 AAA
SIO 07326JAB6 AAA
A-1 07326JAC4 AAA
Bayview Commercial Asset Trust 2008-4
Series 2008-4
Class CUSIP Rating
----- ----- ------
SIO 07326KAA5 AAA
A-1 07326KAB3 AAA
A-2 07326KAC1 AAA
A-3 07326KAD9 AAA
A-4 07326KAE7 AAA
Bayview Commercial Mortgage Pass-Through Trust 2006-SP1
Series 2006-SP1
Class CUSIP Rating
----- ----- ------
IO 07324MAA3 AAA
A-1 07324MAB1 AAA
Bayview Financial Asset Trust 2008-A
Series 2008-A
Class CUSIP Rating
----- ----- ------
A 07326PAA4 AAA
C-BASS 2006-SC1 Trust
Series 2006-SC1
Class CUSIP Rating
----- ----- ------
A 12498SAA0 AAA
X-1 12498SAK8 AAA
M-1 12498SAB8 AA
M-2 12498SAC6 AA-
M-3 12498SAD4 A
* S&P Downgrades Ratings on Five Classes From Five CMBS to 'D'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
classes of certificates from five separate U.S. commercial
mortgage-backed securities transactions to 'D' due to recurring
interest shortfalls that S&P expects to continue in the
foreseeable future.
Five of the downgraded classes have experienced interest
shortfalls for nine or more months. The recurring interest
shortfalls for the respective certificates are primarily due to
one or more of these factors:
* Appraisal subordinate entitlement reductions in effect for
specially serviced assets;
* Trust expenses that may include, but are not limited to,
property operating expenses, property taxes, insurance payments,
and legal expenses; and
* Special servicing fees.
Standard & Poor's analysis primarily considered the ASERs based on
appraisal reduction amounts calculated using recent Member of the
Appraisal Institute appraisals. S&P also considered servicer
nonrecoverable advance declarations, trust expenses, and special
servicing fees that are likely, in S&P's view, to cause recurring
interest shortfalls.
ARAs and resulting ASERs are implemented in accordance with each
respective transaction's terms. Typically, these terms call for
the automatic implementation of an ARA equal to 25% of the stated
principal balance of a loan when a loan is 60 days past due, and
an appraisal or other valuation is not available within a
specified timeframe. S&P primarily considered ASERs based on ARAs
calculated from MAI appraisals when deciding which classes from
the affected transactions to downgrade to 'D'. S&P used this
approach because ARAs based on a principal balance haircut are
highly subject to change, or even reversal, once the special
servicer obtains the MAI appraisals.
S&P details the five downgraded classes from the five CMBS
transactions below.
Morgan Stanley Capital I Trust 2007-IQ15
S&P lowered its rating on the class O certificates from Morgan
Stanley Capital I Trust's series 2007-IQ15 due to recurring
interest shortfalls primarily resulting from ASERs related to one
asset that is currently with the special servicer, Centerline
Servicing Inc. As of the March 12, 2010, remittance report, an
ARA totaling $24.8 million was in effect for this asset. The
resulting reported ASER amount was approximately $110,000, and the
reported cumulative ASER amount was $1,304,168. Standard & Poor's
considered the ASER, which is derived from an ARA based on a
recent MAI appraisal, as well as current special servicing fees to
determine its ratings actions for this transaction. Reported
interest shortfalls total $142,334, which prompted interest
shortfalls to the class O certificates. Class O has experienced
interest shortfalls for the past 11 months, and S&P expects these
shortfalls to recur in the foreseeable future.
The collateral pool for the MSCI 2007-IQ15 transaction consists of
134 loans with an aggregate trust balance of $2.03 billion. As of
the March 12, 2010, remittance report, six assets ($195.1 million;
9.6%) in the pool were with the special servicer, including three
top 10 assets. The payment status of the delinquent assets is:
one ($65.0 million; 0.3.2%) is real estate owned (REO), two
($66.3 million, 3.3%) are in foreclosure, two ($15.8 million,
1.5%) are 90-plus-days delinquent, and one ($48.0 million, 2.4%)
is 60-plus-days delinquent.
COMM 2004-LNB3
S&P lowered its rating on the class O certificates from COMM 2004-
LNB3 due to recurring interest shortfalls primarily resulting from
ASERs related to three assets that are currently with the special
servicer, CWCapital Asset Management LLC. As of the March 10,
2010, remittance report, ARAs totaling $11.8 million were in
effect for these three assets. The ARAs are based on recent MAI
appraisals. The resulting reported ASER amount was $67,749, and
the reported cumulative ASER amount was $270,396. Standard &
Poor's considered these three ASERs, as well as current special
servicing fees to determine its ratings actions. Reported
interest shortfalls total $74,149 and have affected all of the
classes subordinate to class K. Classes L and M have experienced
interest shortfalls for one month, and class N has experienced
interest shortfalls for the past four months. The class O
certificate has experienced interest shortfalls for the past 11
months, and S&P sets this class to 'D' because S&P expects these
shortfalls to recur in the foreseeable future.
The collateral pool for the COMM 2004-LNB3 transaction consists of
87 loans with an aggregate trust balance of $1.13 billion. As of
the March 10, 2010, remittance report, four assets ($28.4 million;
2.5%) in the pool were with the special servicer. The payment
status of the delinquent assets is: one asset ($4.4 million; 0.4%)
is REO, and three ($24.0 million, 2.1%) are in foreclosure
DLJ Commercial Mortgage Trust 2000-CF1
S&P lowered its rating on the class B-8 certificates from DLJ
Commercial Mortgage Trust 2000-CF1 to 'D' due to recurring
interest shortfalls primarily resulting from an ASER related to
one asset that is currently with the special servicer, CWCapital.
As of the March 10, 2010, remittance report, an ARA totaling
$5.6 million was in effect for this asset. The ARA is based on a
recent MAI appraisal. The total reported ASER amount was $37,675,
and the reported cumulative ASER amount was $424,090. Standard &
Poor's considered this ASER, as well as current special servicing
fees to determine its ratings actions. Reported interest
shortfalls totaled $156,423 and have affected all of the classes
subordinate to class B-4. Class B-5 has experienced interest
shortfalls for one month, and classes B-6 and B-7 have experienced
interest shortfalls for the past three months. Class B-8 has
experienced shortfalls for the past 10 months, and S&P expects
these shortfalls to recur in the foreseeable future.
The collateral pool for the DLJ 2000-CF1 transaction consists of
28 loans with an aggregate trust balance of $264.7 million. As of
the March 10, 2010, remittance report, five assets ($52.9 million;
20.0%) in the pool were with the special servicer, including two
top 10 assets. The payment status of the delinquent assets is:
one asset ($8.1 million; 3.1%) is REO, and four ($44.8 million,
16.9%) are more than 90 days delinquent.
Bear Stearns Commercial Mortgage Securities Inc.
Series 2000-WF1
S&P lowered its ratings on the class K certificates from Bear
Stearns Commercial Mortgage Securities Inc.'s series 2000-WF1 to
'D' due to recurring interest shortfalls primarily resulting from
ASERs related to three assets that are currently with the special
servicer, Berkadia Commercial Mortgage LLC. As of the March 15,
2010, remittance report, ARAs totaling $8.4 million were in effect
for these three assets. The ARAs are based on recent MAI
appraisals. The resulting reported ASER amount was $75,565, and
the reported cumulative ASER amount was $491,914. Standard &
Poor's considered these three ASERs, as well as current special
servicing fees to determine its ratings actions. An asset
liquidation in March 2010 prompted the repayment of interest
shortfalls totaling $191,198, which caused class K to receive a
partial payback of accumulated interest shortfalls. The class
experienced shortfalls for eight months prior, however, and S&P
expects it to experience additional shortfalls in the foreseeable
future.
The collateral pool for the BSCMS 2000-WF1 transaction consists of
33 loans with an aggregate trust balance of $91.9 million. As of
the March 15, 2010, remittance report, nine assets ($39.6 million;
43.1%) in the pool were with the special servicer, including five
of the top 10 assets. The payment status of these assets is: two
($20.4 million; 22.3%) are REO, one ($5.3 million, 5.8%) is in
foreclosure, and five ($13.9 million, 15.0%) are more than 90 days
delinquent.
Morgan Stanley Capital I Inc. Series 1999-LIFE1
S&P lowered its rating on the class L certificates from Morgan
Stanley Capital I Inc.'s series 1999-LIFE1 to 'D' due to recurring
interest shortfalls primarily resulting from an ASER related to
one asset that is currently with the special servicer, Wells Fargo
Bank N.A. As of the March 15, 2010, remittance report, an ARA
totaling $1.9 million was in effect for this asset. The resulting
reported ASER amount was $14,983, and the reported cumulative ASER
amount was also $14,983. Standard & Poor's considered this ASER,
which is derived from an ARA based on a recent MAI appraisal, as
well as current special servicing fees to determine its ratings
actions. Reported interest shortfalls totaled $24,330 and have
reached the class L certificates. Class L has experienced
interest shortfalls for the past nine months, and S&P expects
these shortfalls to recur in the foreseeable future.
The collateral pool for the MSCI 1999-LIFE1 transaction consists
of nine loans with an aggregate trust balance of $48.1 million.
As of the March 15, 2010, remittance report, four assets
($11.8 million; 24.5%) in the pool were with the special servicer.
The payment status of the delinquent assets is: three assets
($9.8 million; 20.4%) are more than 90 days delinquent, and one
($2.0 million, 4.2%) is in its grace period.
Ratings Lowered
Morgan Stanley Capital I Trust 2007-IQ15
Commercial mortgage pass-through certificates
Rating Reported interest shortfalls ($)
------ --------------------------------
Class To From Credit enhancement (%) Current Accumulated
----- -- ---- ---------------------- ------- -----------
O D CCC- 1.26 16,542 179,947
COMM 2004-LNB3
Commercial mortgage pass-through certificates series 2004-LNB3
Rating Reported interest shortfalls ($)
------ --------------------------------
Class To From Credit enhancement (%) Current Accumulated
----- -- ---- ---------------------- ------- -----------
O D B- 0.12 22,180 179,433
DLJ Commercial Mortgage Trust 2000-CF1
Commercial mortgage pass-through certificates
Rating Reported interest shortfalls ($)
------ --------------------------------
Class To From Credit enhancement (%) Current Accumulated
----- -- ---- ---------------------- ------- -----------
B-8 D CCC 0.73 51,686 465,857
Bear Stearns Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2000-WF1
Rating Reported interest shortfalls ($)
------ --------------------------------
Class To From Credit enhancement (%) Current Accumulated
----- -- ---- --------------------- ------- -----------
K D CCC 4.13 0 265,912
Morgan Stanley Capital I Inc.
Commercial mortgage pass-through certificates series 1999-LIFE1
Rating Reported interest shortfalls ($)
------ --------------------------------
Class To From Credit enhancement (%) Current Accumulated
----- -- ---- ---------------------- ------- -----------
L D B 2.81 16,749 121,524
* S&P Takes Various Rating Actions on Four Market Value CDO Deals
-----------------------------------------------------------------
Standard & Poor's Ratings Services took these rating actions on
four market value collateralized debt obligations:
S&P upgraded six tranches from Prospect Funding I LLC and two
tranches from Sankaty High Yield Partners III and affirmed its
ratings on five tranches from each of these transactions.
S&P withdrew its ratings on the class A-2 and senior secured loan
tranches from Sankaty High Yield Partners III and the class A-2
fixed-rate and A-2 floating-rate tranches from Sankaty High Yield
Partners II L.P. because these tranches were paid off in full.
S&P affirmed its ratings on the remaining seven tranches from
Sankaty High Yield Partners II L.P.
Lastly, S&P left its ratings on the class B and C tranches from
BlackRock Senior Income Series III plc on CreditWatch with
negative implications and affirmed its ratings on the remaining
two tranches from this deal.
The rating actions follow S&P's monthly review of market value CDO
performance.
The upgrades reflect several months of improving
overcollateralization ratios for these classes as a result of
improved prices in the leveraged loan market and paydowns to the
senior notes.
The affirmations reflect S&P's assessment of the consistent
performance of the respective tranches.
S&P will continue to monitor these transactions through its
monthly review process. S&P will take negative rating or
CreditWatch actions when appropriate if S&P sees declines in the
O/C levels. S&P will affirm or raise the ratings (and remove them
from CreditWatch negative, as applicable) if the tranches
reestablish or maintain an appropriate O/C cushion or improve
their cushion for several months.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
Prospect Funding I LLC A-2 A- BBB
Prospect Funding I LLC A-3 A- BBB
Prospect Funding I LLC A-5 A- BBB
Prospect Funding I LLC A-6 A- BBB
Prospect Funding I LLC A-7 A- BBB
Prospect Funding I LLC A-8 A- BBB
Sankaty High Yield Partners III B BB- B
Sankaty High Yield Partners III B BB- B
Ratings Remaining On Creditwatch
Transaction Class Rating
----------- ----- ------
BlackRock Senior Income Series III plc B BB/Watch Neg
BlackRock Senior Income Series III plc C CCC-/Watch Neg
Ratings Withdrawn
Rating
------
Transaction Class To From
----------- ----- -- ----
Sankaty High Yield Partners II LP A-2 Fixed NR D
Sankaty High Yield Partners II LP A-2 Float NR D
Sankaty High Yield Partners III A-2 NR A
Sankaty High Yield Partners III Sr Sc Ln NR A
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
Prospect Funding I LLC B-2 CCC
Prospect Funding I LLC C-1 CCC-
Prospect Funding I LLC D-1 CC
Prospect Funding I LLC D-2 CC
Prospect Funding I LLC SecCredAgr CCC
BlackRock Senior Income Series III plc D CC
BlackRock Senior Income Series III plc E CC
Sankaty High Yield Partners II LP B Fixed D
Sankaty High Yield Partners II LP B Float D
Sankaty High Yield Partners II LP C Fixed D
Sankaty High Yield Partners II LP C Float D
Sankaty High Yield Partners II LP D Fixed D
Sankaty High Yield Partners II LP D Float D
Sankaty High Yield Partners II LP E Float D
Sankaty High Yield Partners III C CCC
Sankaty High Yield Partners III C CCC
Sankaty High Yield Partners III D CCC-
Sankaty High Yield Partners III D CCC-
Sankaty High Yield Partners III E CC
*********
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.
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related conferences are encouraged. Send announcements to
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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
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*** End of Transmission ***