/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/100418.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, April 18, 2010, Vol. 14, No. 106 Headlines ABCDS 2006-1: S&P Downgrades Ratings on Three Classes to 'D' ACE SECURITIES: Moody's Downgrades Ratings on 160 Tranches AIRCRAFT FINANCE: S&P Downgrades Ratings on Two Notes to 'B-' AMERIQUEST MORTGAGE: Moody's Downgrades Ratings on 67 Tranches ARGENT SECURITIES: Moody's Downgrades Ratings on 38 Tranches ASSOCIATES MANUFACTURED: Moody's Changes Rating on Class B-2 to D BANC OF AMERICA: S&P Downgrades Ratings on 12 Certificates BANC OF AMERICA: S&P Downgrades Ratings on Eight 2000-2 Certs. BCAP LLC: S&P Affirms Ratings on 15 2009-RR10 Certificates BEAR STEARNS: Fitch Takes Rating Actions on 2002-TOP8 Certs. BEAR STEARNS: Fitch Takes Rating Actions on Various Classes BERNOULLI HIGH: Moody's Downgrades Ratings on Two Classes of Notes C-BASS MORTGAGE: Moody's Downgrades Ratings on 95 Tranches CBA COMMERCIAL: Fitch Downgrades Ratings on Five Classes of Notes CBA COMMERCIAL: Fitch Downgrades Ratings on Three Classes CBA COMMERCIAL: Fitch Junks Ratings on Five Classes of Notes CBA COMMERCIAL: Fitch Junks Ratings on Three Classes of Notes CBA COMMERCIAL: Fitch Takes Rating Actions on Various Classes CHL MORTGAGE: Moody's Downgrades Ratings on 166 Tranches CHL MORTAGE: Moody's Downgrades Ratings on 323 Tranches CITY OF ORLANDO: S&P Downgrades Ratings on Tax Revenue Bonds CREDIT LINKED: Fitch Affirms Ratings on Two Classes of Notes CREDIT SUISSE: Moody's Reviews Ratings on 13 2003-CPN1 Certs. CREDIT SUISSE: S&P Downgrades Ratings on Three 2002-CKP1 Certs. CREDIT SUISSE: S&P Downgrades Ratings on 2004-C1 Securities CREST 2003-1: Fitch Downgrades Ratings on Two Classes of Notes CTX CDO: S&P Downgrades Ratings on Nine Classes of CRE CDOs CWABS ASSET-BACKED: Moody's Downgrades Ratings on 441 Tranches CWALT INC: Moody's Downgrades Ratings on 211 Tranches CWALT INC: Moody's Downgrades Ratings on 468 Tranches DAVIS SQUARE: Moody's Downgrades Rating on Class A-1 to 'Ca' FIRST UNION: Fitch Affirms Ratings on 2001-C3 Certificates FULTON STREET: Moody's Downgrades Rating on Class A-1B to 'Caa3' GE COMMERCIAL: Fitch Affirms Ratings on Various 2004-C2 Certs. GMAC COMMERCIAL: S&P Downgrades Ratings on Nine 2001-C2 CMBS GREENWICH CAPITAL: S&P Downgrades Ratings on 11 2006-RR1 Certs. HILLCREST CDO: Moody's Downgrades Ratings on Four Classes of Notes JP MORGAN: Fitch Downgrades Ratings on Various 2001-CIBC3 Notes JP MORGAN: Moody's Downgrades Ratings on 89 Tranches JP MORGAN: Moody's Reviews Ratings on Eight 2002-C3 Certificates JPMORGAN CHASE: S&P Downgrades Ratings on Eight 2004-CIBC10 CMBS JPMORGAN CHASE: S&P Puts Five Ratings on CreditWatch Negative LB-UBS COMMERCIAL: Moody's Reviews Ratings on Seven 2000-C3 Certs. LEHMAN ABS: Moody's Downgrades Ratings on Three Tranches LITTLEFIELD: Fitch Puts BB Rating on $1.2MM in Tax, Revenue Certs. LNR CDO: Fitch Downgrades Ratings on 11 Classes of 2006-1 Notes MANSFIELD TRUST: Fitch Takes Rating Actions on 2001-1 Certs. MORGAN STANLEY: Fitch Takes Various Rating Actions on Notes MORGAN STANLEY: S&P Downgrades Ratings on 12 2004-IQ8 Securities MORGAN STANLEY: S&P Downgrades Ratings on Six 2005-RR6 Securities MOUNTAIN CAPITAL: Moody's Reviews Ratings on Three Classes NOB HILL: Moody's Reviews Ratings on Two Classes of Notes PARCS-R MASTER: Moody's Downgrades Ratings on Class 2007-15 Units PROVIDENT FUNDING: Moody's Downgrades Ratings on 12 Tranches PRUDENTIAL'S ROCK: Fitch Affirms Ratings on 2001-C1 Certs. RFMSI SERIES: Moody's Downgrades Ratings on 176 Tranches RFMSI SERIES: S&P Corrects Ratings on Class III-A-4 to 'CCC' REAL ESTATE: Moody's Affirms Ratings on 15 Classes of Notes REAL ESTATE: Moody's Affirms Ratings on 18 Series 2006-1 Certs. REAL ESTATE: Moody's Affirms Ratings on 18 Series 2006-2 Certs. SATURN VENTURES: Moody's Downgrades Ratings on Three Classes SCHOONER TRUST: Moody's Affirms Ratings on Series 2004-CF2 Certs. SHEFFIELD CDO: Moody's Downgrades Ratings on Three Classes SORIN REAL: S&P Downgrades Ratings on Seven Classes of CRE CDOs SOUTH CAROLINA: Fitch Upgrades Ratings on Bonds From 'BB-/B' STRUCTURED ADJUSTABLE: Moody's Downgrades Ratings on Five Tranches STRUCTURED ASSET: Moody's Downgrades Ratings on 77 Tranches STRUCTURED ASSET: Moody's Downgrades Ratings on 155 Tranches SUMMER STREET: Moody's Downgrades Ratings on Two Classes of Notes TARGETED RETURN: S&P Affirms 'B+' Rating on Certificates TRAINER WORTHAM: Moody's Downgrades Ratings on Two Classes WACHOVIA BANK: S&P Downgrades Rating on 2004-C11 Certificates WACHOVIA BANK: S&P Downgrades Ratings on 13 2005-C17 Securities WAMU MORTGAGE: Moody's Downgrades Ratings on 159 Tranches WASHINGTON MUTUAL: Moody's Downgrades Ratings on Four Tranches WELLS FARGO: Moody's Downgrades Ratings on 102 Tranches WELLS FARGO: Moody's Downgrades Ratings on 134 Tranches WELLS FARGO: Moody's Downgrades Ratings on 201 Tranches * Fitch Takes Rating Actions on 153 Global Synthetic CDO Deals * Fitch Takes Various Rating Actions on Notes by Various SF CDOs * S&P Downgrades Ratings on 80 Tranches From 34 Synthetic CDOs * S&P Downgrades Ratings on 93 Tranches From 40 CDO Transactions * S&P Puts Ratings on 104 Classes on CreditWatch Negative * S&P Puts Ratings on 318 Classes on CreditWatch Negative ********* ABCDS 2006-1: S&P Downgrades Ratings on Three Classes to 'D' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings to 'D' from 'CC' on three classes of notes from ABCDS 2006-1 Ltd. Additionally, S&P lowered its ratings on 11 classes from Sorin Real Estate CDO II Ltd. to 'CC' from various rating levels and removed them from CreditWatch negative. At the same time, S&P affirmed its 'AAA' ratings on the series P-1, series P-2, and series P-3 notes and its 'CC' ratings on the SupSrSwap, C, D, E, and series B-1 notes issued by ABCDS 2006-1 Ltd. ABCDS 2006-1 and Sorin Real Estate CDO II Ltd. each missed an interest payment to nondeferrable classes. As a result, ABCDS 2006-1 issued an event of default notice and Sorin Real Estate CDO II Ltd. issued a notice of default. ABCDS 2006-1 missed interest payments to the A-2, A-3, and B nondeferrable tranches, and Sorin Real Estate CDO II Ltd. missed interest payments to its nondeferrable SS, A, X, and B tranches. Rating Actions Rating ------ Transaction Class To From ----------- ----- -- ---- ABCDS 2006-1 Ltd. A-2 D CC ABCDS 2006-1 Ltd. A-3 D CC ABCDS 2006-1 Ltd. B D CC Sorin Real Estate CDO II Ltd. X CC AA+/Watch Neg Sorin Real Estate CDO II Ltd. SS CC A/Watch Neg Sorin Real Estate CDO II Ltd. A CC A-/Watch Neg Sorin Real Estate CDO II Ltd. B CC BBB/Watch Neg Sorin Real Estate CDO II Ltd. C CC BB+/Watch Neg Sorin Real Estate CDO II Ltd. D CC B+/Watch Neg Sorin Real Estate CDO II Ltd. E CC B+/Watch Neg Sorin Real Estate CDO II Ltd. F CC B-/Watch Neg Sorin Real Estate CDO II Ltd. G CC CCC/Watch Neg Sorin Real Estate CDO II Ltd. H CC CCC-/Watch Neg Sorin Real Estate CDO II Ltd. J CC CCC-/Watch Neg Ratings Affirmed Transaction Class Rating ----------- ----- ------ ABCDS 2006-1 Ltd. SupSrSwap CCsrb ABCDS 2006-1 Ltd. C CC ABCDS 2006-1 Ltd. D CC ABCDS 2006-1 Ltd. E CC ABCDS 2006-1 Ltd. Series B-1 CC ABCDS 2006-1 Ltd. Series P-1 AAA ABCDS 2006-1 Ltd. Series P-2 AAA ABCDS 2006-1 Ltd. Series P-3 AAA ACE SECURITIES: Moody's Downgrades Ratings on 160 Tranches ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 160 tranches from 40 RMBS transactions issued by ACE Securities Corp. Three classes from these were upgraded due to faster than anticipated paydown relative to erosion of credit support. Additionally, 50 classes from these transactions had their ratings confirmed. The collateral backing these deals 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 CIFG Assurance North America, Inc (Insured Rating Withdrawn November 12, 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: ACE Securities Corp. HEL Tr 2007-HE4 -- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Ca; previously on Jan 13, 2010 Caa1 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 -- Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005- AG1 -- Cl. A-1A, Downgraded to A3; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-1B1, Downgraded to Aa3; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-1B2, Downgraded to Ba3; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Baa3; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ca; previously on Jan 13, 2010 Ba1 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 Caa3 Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005- ASAP1 -- Cl. A-1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2D, Confirmed at Aa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa3; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005- HE1 -- Cl. M-3, Upgraded to Aa3; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to B1; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Ba3 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 Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005- HE2 -- Cl. M-2, Confirmed at Aa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-3, Confirmed at Aa3; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to A3; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca; 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 -- Cl. M-5, Downgraded to B2; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005- HE3 -- 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 Ba3; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3; 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 Caa3 Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005- HE4 -- 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 Ba2; previously on Jan 13, 2010 A1 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 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Ba3 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 Ca Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005- HE5 -- Cl. M-1, Confirmed at Aa1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba3; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3; 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: ACE Securities Corp. Home Equity Loan Trust, Series 2005- HE6 -- Cl. A-1, Downgraded to Aa1; 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-2D, Downgraded to Baa3; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa2; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005- HE7 -- Cl. A-1A, Downgraded to Aa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-1B1, Upgraded to Aa1; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. A-1B2, Downgraded to B2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Confirmed at Aa1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to B1; 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: ACE Securities Corp. Home Equity Loan Trust, Series 2005- RM1 -- Cl. M-2, Downgraded to Ba1; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005- RM2 -- Cl. M-2, Upgraded to Aaa; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to A3; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa1; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Ba3 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: ACE Securities Corp. Home Equity Loan Trust, Series 2005- WF1 -- Cl. A-1, 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. M-1, Downgraded to Aa2; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B3; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa2; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. M-8, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006- ASAP1 -- Cl. A-1, Downgraded to Ba3; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Confirmed at Ba2; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-2D, 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 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: ACE Securities Corp. Home Equity Loan Trust, Series 2006- ASAP2 -- Cl. A-1, Downgraded to Baa2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ba3; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Caa1; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006- ASAP3 -- Cl. A-1, Downgraded to Caa2; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Confirmed at Ba3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-2D, 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: ACE Securities Corp. Home Equity Loan Trust, Series 2006- ASAP4 -- Cl. A-1, Downgraded to Caa2; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Confirmed at Ba3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Caa3; 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 Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006- ASAP5 -- Cl. A-1A, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to Caa2; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Caa2; previously on Jan 13, 2010 A2 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, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006- ASAP6 -- Cl. A-1A, Downgraded to Caa3; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to Caa3; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Caa3; 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: ACE Securities Corp. Home Equity Loan Trust, Series 2006- CW1 -- Cl. A-1, Downgraded to Caa2; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Baa3; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2D, 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: ACE Securities Corp. Home Equity Loan Trust, Series 2006- FM1 -- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa1 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, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006- FM2 -- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to B2; 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: ACE Securities Corp. Home Equity Loan Trust, Series 2006- HE1 -- Cl. A-1A, Downgraded to Ba2; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-1B1, Downgraded to Baa3; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. A-1B2, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Financial Guarantor: CIFG Assurance North America, Inc (Insured Rating Withdrawn November 12, 2009) -- Underlying Rating: Downgraded to Ca; previously on Mar 16, 2009 Downgraded to Ba3 -- Cl. A-2C, Downgraded to B1; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-2D, 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 Caa2 Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006- HE2 -- Cl. A-1, Downgraded to Caa2; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Confirmed at Aa2; previously on Jan 13, 2010 Aa2 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. A-2D, 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 Ca Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006- HE3 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to B1; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 Caa2 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: ACE Securities Corp. Home Equity Loan Trust, Series 2006- HE4 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Caa3; previously on Jan 13, 2010 Caa2 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 -- Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006- NC1 -- Cl. A-1, Downgraded to B2; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ba3; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-2D, 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: ACE Securities Corp. Home Equity Loan Trust, Series 2006- NC2 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Ba3 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 B2 Placed Under Review for Possible Downgrade -- Cl. A-2D, 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: ACE Securities Corp. Home Equity Loan Trust, Series 2006- NC3 -- Cl. A-1A, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-2A, Confirmed at B3; previously on Jan 13, 2010 B3 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, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006- OP1 -- Cl. A-1A, Downgraded to Caa2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to Caa1; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. A-2B, Confirmed at A2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Caa3; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-2D, 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: ACE Securities Corp. Home Equity Loan Trust, Series 2006- OP2 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Caa1; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-2D, 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 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: ACE Securities Corp. Home Equity Loan Trust, Series 2007- ASAP1 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to B1; 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: ACE Securities Corp. Home Equity Loan Trust, Series 2007- ASAP2 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to B2; previously on Jan 13, 2010 Baa2 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, 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: ACE Securities Corp. Home Equity Loan Trust, Series 2007- HE1 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Caa3; previously on Jan 13, 2010 B3 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 -- Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2007- HE2 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Caa1; previously on Jan 13, 2010 B2 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: ACE Securities Corp. Home Equity Loan Trust, Series 2007- HE3 -- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to C; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2007- HE5 -- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Caa3; previously on Jan 13, 2010 Caa1 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 -- Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2007- WM1 -- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Caa3; previously on Jan 13, 2010 Caa1 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 -- Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2007- WM2 -- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Ca; previously on Jan 13, 2010 Caa3 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 -- Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Mortgage Loan Trust, Series 2007-D1 -- Cl. A-M, Downgraded to C; 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 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 -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade AIRCRAFT FINANCE: S&P Downgrades Ratings on Two Notes to 'B-' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on Aircraft Finance Trust series 1999-1's class A-1 and A-2 notes to 'B-' from 'B' and 'BB-', respectively. The outlooks on the ratings of both classes remain negative. The downgrades primarily reflect S&P's view of the reported ongoing value declines for some planes in the transaction's portfolio and the reduced ability of the older planes in the portfolio to generate future lease revenues, as well as the effect of payment priority mechanisms within the structure of the transaction. As with other aircraft securitizations originated in the late 1990s to early 2000s, the fleet underlying this transaction has a significant concentration of older aircraft designed in the 1980s, some of which, in S&P's view, are likely to become economically obsolete earlier than S&P originally anticipated. The weighted average age of the fleet backing the Aircraft Finance Trust's series 1999-1 transaction is approximately 15.5 years, which is older than those of most aircraft securitizations. The demand for these planes, which include older Boeing 737s and Boeing MD80s, is weaker and the planes are less fuel-efficient than newer models, which led S&P to adjust S&P's useful life and depreciation assumptions. The trust reported that the average of the three base-value appraisals of the fleet was approximately $462.0 million as of Dec. 31, 2009, compared with $524.5 million (excluding the value of two MD80s sold in 2009) as of Dec. 31, 2008. Changes in the value of the portfolio tend, in S&P's view, to correlate with expected future lease revenues. S&P believes the lease revenues are unlikely to recover to the pre-recession level, especially for the older aircraft. Any recovery in values and lease rates for certain other aircraft designed in the 1980s, such as the Boeing 767, are likely to be restrained by the introduction of successor models, such as the Boeing 787. In addition to the reduction in lease revenues, maintenance expenses for the aging fleet have increased, further reducing cash flows available to service debt obligations. The class A-1 and A-2 notes are currently rated at the same level. S&P no longer differentiate between the ratings on the A-1 and A-2 notes because S&P believes that the A-2 notes do not have a higher likelihood than the A-1 notes of payment in full by the May 15, 2024, legal maturity date. While the A-2 notes had been receiving 100% of principal payments, amortization for the A-1 notes started in June 2009. Going forward, the A-1 notes will begin to receive an increasing share of principal. Though the A-2 notes have a significantly smaller outstanding balance ($41.7 million) than the A-1 notes ($500.8 million) and are currently receiving about 52% of available principal payments, the payment mechanism within the structure that allocates principal among subclasses will eventually divert the majority of cash to pay down the A-1 notes, to the detriment of the A-2 notes. S&P's rating outlook for both classes is negative. S&P's rating actions and outlooks incorporate S&P's current expectations for a downturn and the prospect of recovery in the global aviation market, driven by recessions or slow growth in all regions of the world. AMERIQUEST MORTGAGE: Moody's Downgrades Ratings on 67 Tranches -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 67 tranches from 14 RMBS transactions issued by Ameriquest. The collateral backing these deals 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 comprised 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. In addition, Moody's has adjusted the ratings of 9 of these tranches to address certain principal allocation features of the transactions that had not been accurately accounted for in a previous rating action on March 13, 2009. Two of the adjusted ratings announced reflect the fact that Ameriquest Mortgage Securities Inc., Series 2006-M3 distributes principal to the Group II senior tranches on a pro rata basis after the related group's collateral balance exceeds that of the Group II senior tranches. The seven other adjusted ratings reflect the fact that Ameriquest Mortgage Securities Inc., Series 2005-R9 utilizes a parity structure by which losses on the Group III pool are covered by diverting principal funds which would otherwise be distributed to the Group I and Group II certificates. This structural feature effectively subordinates the Group I and Group II certificates to the Group III certificates. Complete rating actions are: These updated rating actions are a result of the updated loss expectations on the pool: Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R1 -- 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-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. A-3C, 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 Aa3; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Baa2; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B3; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca; 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: Ameriquest Mortgage Securities Inc., Series 2005-R10 -- Cl. A-1, Confirmed at Aa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Confirmed at Aa3; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-2C, Confirmed at A1; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa2; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B2; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa2; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa3; previously on Jan 13, 2010 Caa1 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: Ameriquest Mortgage Securities Inc., Series 2005-R11 -- Cl. A-1, Confirmed at Aa3; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-2C, Confirmed at Aa3; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to A2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba3; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca; 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: Ameriquest Mortgage Securities Inc., Series 2005-R2 -- 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-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. A-3C, 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, Downgraded to Baa1; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B1; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa3; 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 -- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R3 -- 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-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. 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, Downgraded to A3; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ba1; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa1; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Caa3; previously on Jan 13, 2010 Ba3 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: Ameriquest Mortgage Securities Inc., Series 2005-R4 -- 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-2D, 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 A1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B3; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa2; previously on Jan 13, 2010 Ba1 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 Caa2 Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R5 -- 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-2C, 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 Baa2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B2; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa2; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R6 -- 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-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R7 -- Cl. A-1D, Downgraded to Aa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Aa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa2; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B3; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa2; previously on Jan 13, 2010 Ba2 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 Caa3 Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R8 -- Cl. A-1, Downgraded to Aa1; 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-2D, Downgraded to Aa2; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba1; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa1; previously on Jan 13, 2010 Baa2 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 B3 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: Ameriquest Mortgage Securities Inc., Series 2006-M3 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 B3 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: Ameriquest Mortgage Securities Inc., Series 2006-R1 -- Cl. A-1, Downgraded to Aa2; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-2C, Confirmed at Aa1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to A1; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B3; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca; 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: Ameriquest Mortgage Securities Inc., Series 2006-R2 -- Cl. A-1, Downgraded to A3; previously on Jan 13, 2010 Aa1 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-2C, Downgraded to A2; previously on Jan 13, 2010 Aa2 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 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 -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade These updated rating actions are a result of both updated loss expectations on the pool and corrections to principal allocations: Issuer: Ameriquest Mortgage Securities Inc., Series 2006-M3 -- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R9 -- Cl. A-1, Downgraded to Aa3; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to A1; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to A2; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. AF-3, Upgraded to Aaa; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. AF-4, Upgraded to Aaa; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. AF-5, Upgraded to Aaa; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. AF-6, Upgraded to Aaa; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade ARGENT SECURITIES: Moody's Downgrades Ratings on 38 Tranches ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 38 tranches from 10 RMBS transactions issued by Argent. The collateral backing these deals 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 comprised 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. In addition, Moody's has adjusted the ratings of 12 of these tranches to address certain principal allocation features of the transactions that had not been accurately accounted for in a previous rating action on March 24, 2009. The corrected ratings announced reflect the fact that distribution of principal to senior tranches goes pro rata after the related group's collateral balance exceeds that of the senior tranches. Complete rating actions are: These updated rating actions are a result of the updated loss expectations on the pool: Issuer: Argent Securities Inc., Series 2005-W2 -- Cl. A-1, Downgraded to A3; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-2B1, Downgraded to Baa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-2B2, Downgraded to Baa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ba2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa2; previously on Jan 13, 2010 Ba3 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: Argent Securities Inc., Series 2005-W3 -- Cl. A-1, Downgraded to A2; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Ba1; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Confirmed at Aa3; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa1; 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: Argent Securities Inc., Series 2005-W5 -- Cl. A-1, Downgraded to B2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to B3; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-2D, 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 Caa2 Placed Under Review for Possible Downgrade Issuer: Argent Securities Trust 2006-M1 -- Cl. A-1, Downgraded to Caa2; previously on Jan 13, 2010 Ba3 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: Argent Securities Trust 2006-M2 -- Cl. A-1, Downgraded to Caa2; previously on Jan 13, 2010 B3 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: Argent Securities Trust 2006-W1 -- Cl. A-1, Downgraded to B1; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Caa2; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Caa3; 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: Argent Securities Trust 2006-W2 -- Cl. A-1, Downgraded to Caa1; previously on Jan 13, 2010 Ba1 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: Argent Securities Trust 2006-W3 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 B3 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: Argent Securities Trust 2006-W4 -- Cl. A-1, Downgraded to Caa2; previously on Jan 13, 2010 Ba2 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: Argent Securities Trust 2006-W5 -- Cl. A-1, Downgraded to Caa2; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade These updated rating actions are a result of both updated loss expectations on the pool and corrections to principal allocations: Issuer: Argent Securities Trust 2006-M1 -- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: Argent Securities Trust 2006-M2 -- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: Argent Securities Trust 2006-W2 -- Cl. A-2B, Downgraded to Caa3; previously on Jan 13, 2010 B3 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: Argent Securities Trust 2006-W3 -- Cl. A-2B, Downgraded to Caa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: Argent Securities Trust 2006-W4 -- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 Aa1 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: Argent Securities Trust 2006-W5 -- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade ASSOCIATES MANUFACTURED: Moody's Changes Rating on Class B-2 to D ----------------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on the class B-2 notes from Associates Manufactured Housing Contract Pass-Through Certificates Series 1996-2 by lowering it to 'D' from 'CCC-'. The downgrade reflects a payment default, which resulted from an interest shortfall that this class experienced on the April 2006 payment date. Due to an error, the rating change did not occur contemporaneously with the payment default. Rating Lowered Associates Manufactured Housing Contract Pass-Through Certificates Series 1996-2 Rating ------ Class To From ----- -- ---- B-2 D CCC- BANC OF AMERICA: S&P Downgrades Ratings on 12 Certificates ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 12 classes of commercial mortgage pass-through certificates from Banc of America Commercial Mortgage Inc.'s series 2003-2 and removed seven of them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 23 other classes from the same transaction and removed three of them from CreditWatch negative. The downgrades follow S&P's analysis of the transaction using its U.S. conduit and fusion commercial mortgage-backed securities criteria. The downgrades also reflect credit support erosion that S&P anticipate will occur upon the eventual resolution of five of the nine specially serviced assets and three loans that S&P determined to be credit-impaired. In addition, interest shortfalls, primarily due to appraisal subordinate entitlement reductions and special servicing fees, prompted us to lower S&P's ratings on classes N and O to 'D'. S&P expects the interest shortfalls to classes N and O to continue for the foreseeable future. S&P lowered its ratings on the five "HS" raked certificates following its analysis of the Hines-Sumitomo Life Office Portfolio (Hines-Sumitomo) loan. The Hines-Sumitomo loan is the largest loan in the pool with a whole-loan balance of $316.4 million. The whole-loan balance is divided into two pari passu pieces totaling $264.6 million, of which $160.0 million makes up 15.2% of the pooled balance in the trust and a $51.8 million subordinate interest supports the "HS" raked certificates. The "HS" raked certificates derive 100% of their cash flows from the junior subordinate nonpooled portion of the Hines-Sumitomo loan. The lowered ratings on the "HS" certificates reflect the low occupancy and resulting decline in net cash flow of two of the three office buildings, which S&P discuss in detail below. 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 1.55x and a loan-to-value ratio of 79.1%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 1.32x and an LTV ratio of 100.1%. The implied defaults and loss severity under the 'AAA' scenario were 29.1% and 28.3%, respectively. The DSC and LTV calculations noted above exclude 27 defeased loans ($418.0 million, 30.0%), five specially serviced assets ($84.4 million, 6.1%), and three credit- impaired loans ($17.0 million, 1.2%). S&P separately estimated losses for the eight specially serviced and credit-impaired assets and included them in S&P's 'AAA' scenario implied default and loss figures. The affirmations of the ratings on the principal and interest certificates reflect subordination levels that are consistent with the outstanding ratings. S&P affirmed its 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 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. S&P affirmed its 'AAA' ratings on the "BW" raked certificates to reflect that the 1328 Broadway loan, which is defeased, is paying debt service in accordance with S&P's expectations. The loan has a whole-loan balance of $125.7 million, $92.0 million of which is the pooled balance in the trust. The "BW" raked certificates derive 100% of their cash flows from the junior subordinate nonpooled component (totaling $33.7 million) of the loan. Credit Considerations As of the March 11, 2010, trustee remittance report, nine assets ($136.9 million, 9.8%) in the pool were with the special servicer, ORIX Capital Markets LLC. The payment status of the specially serviced assets is: two are current ($43.3 million, 3.1%), three are in their grace periods ($44.3 million, 3.2%), three are real estate owned ($44.9 million, 3.2%), and one is a matured balloon ($4.4 million, 0.3%). Three of the specially serviced assets ($44.9 million, 3.2%) have appraisal reduction amounts in effect totaling $27.2 million. The related monthly ASER amount on the March 2010 remittance report for these ARAs was $116,239. Two ($76.6 million, 5.5%) of the nine specially serviced assets are among the top 10 real estate exposures. Details of the two largest assets with the special servicer are: The Newgate Mall loan ($40.2 million, 2.9%), the second-largest nondefeased loan in the pool, is the largest asset with the special servicer. This loan is secured by 605,400 sq. ft. of a 724,300-sq.-ft. regional mall in Ogden, Utah. The property securing the loan is owned by General Growth Properties. The loan, which is current, was transferred to ORIX on April 20, 2009, following GGP's bankruptcy filing on April 16, 2009. On Dec. 15, 2009, the bankruptcy court confirmed a modification plan for 85 GGP loans, including this loan. The loan modification closed on Dec. 30, 2009, and the terms include, among other items, a maturity extension of the loan to June 1, 2014. According to ORIX, the loan will be returned to the master servicer in the near future. The reported year-end 2009 occupancy was 95.9%. The reported DSC was 2.34x for the three months ended March 31, 2009. The Sterling Estates Manufactured Home Community loan ($36.4 million, 2.6%), the third-largest nondefeased loan in the pool and the second-largest asset with ORIX, is secured by a 806-pad manufactured home community in Justice, Ill. The loan, which is in its grace period, was transferred to ORIX on Oct. 19, 2009, due to the filing of a $187,000-mechanics lien against the collateral property. The reported occupancy and DSC for the nine months ended Sept. 30, 2009, were 96.2% and 1.80x, respectively. ORIX is currently awaiting revised financial statements from the borrower and has ordered an updated appraisal. S&P expects a moderate loss upon the eventual resolution of this asset. The remaining seven specially serviced assets ($60.3 million, 4.3%) have balances that individually represent less than 1.6% of the total pool balance. S&P estimated losses for four ($48.0 million, 3.4%) of these specially serviced assets. The weighted average loss severity for these four assets was 75.8%. For the remaining three specially serviced assets ($12.3 million, 0.9%), ORIX is reviewing resolution strategies. In addition to the specially serviced assets, S&P determined three loans ($17.0 million, 1.2%) to be credit-impaired. Two of the three loans are secured by multifamily properties in Georgia and Ohio. The third loan is secured by a small strip-retail center in Park City, Utah. One of the credit-impaired loans is 30-plus days delinquent and another is a matured balloon. The remaining loan had a reported DSC of 0.20x as of year-end 2009. As a result, S&P views these loans to be at an increased risk of default and loss. Transaction Summary As of the March 11, 2010, trustee remittance report, the collateral pool balance was $1.39 billion, which is 82.9% of the balance at issuance. The pool includes 123 loans and three REO assets, down from 150 loans at issuance. The master servicer, Bank of America N.A., provided financial information for 99.6% of the nondefeased loans in the pool, a majority of which was full- year 2008, interim-2009 data, or full-year 2009 data. S&P calculated a weighted average DSC of 1.79x for the nondefeased loans in the pool based on the servicer-reported figures. S&P's adjusted DSC and LTV were 1.55x and 79.1%, respectively. S&P's adjusted DSC and LTV figures exclude 27 defeased loans ($418.0 million, 30.0%), five specially serviced assets ($84.4 million, 6.1%), and three credit-impaired loans ($17.0 million, 1.2%), for which S&P has estimated losses separately. The transaction has experienced $4.0 million in principal losses to date. Twenty-two loans ($298.0 million, 21.4%) in the pool are on the master servicer's watchlist, including the largest loan in the pool, which S&P discuss in detail below. Sixteen loans ($119.9 million, 8.6%) have reported DSC below 1.10x, nine of which ($59.8 million, 4.3%) 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 $424.9 million (34.2%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 2.23x for the top 10 real estate exposures. One of the top 10 exposures ($160.0 million, 15.2%) appears on the master servicer's watchlist, which S&P discuss in detail below. S&P's adjusted DSC and LTV for the top 10 exposures are 1.66x and 73.3%, respectively. The largest loan in the pool, the Hines-Sumitomo loan with a pooled trust balance of $160.0 million (15.2%), is on the master servicer's watchlist due to low occupancy. The whole loan is secured by three office buildings totaling 1.2 million sq. ft. in Manhattan and Washington, D.C. S&P based its analysis of the loan on the borrower's operating statements for the year ended Dec. 31, 2009, the borrower's rent rolls as of Dec. 31, 2009, as well as the borrower's 2010 budgets. When deriving S&P's adjusted net cash flow for the portfolio, S&P also considered each property's submarket rental rate and occupancy using market data from Torto Wheaton Research and CoStar Realty Information Inc. While one of the office buildings reported occupancy of 100% as of year-end 2009, the remaining two office properties reported year-end 2009 occupancies of 75.4% and 30.3%, respectively. The lowered ratings on the "HS" certificates reflect the low occupancy and resulting decline in net cash flow of these two properties. The combined reported occupancy for the portfolio as of Dec. 31, 2009, was 76.9%. Using a weighted average cap rate of 9.1%, S&P's adjusted valuation yielded a stressed LTV ratio of 72.4%. 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 (Pooled Certificates) Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2003-2 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- H BBB BBB+/Watch Neg 6.04 J B+ BBB/Watch Neg 4.69 K CCC BB+/Watch Neg 3.93 L CCC- BB-/Watch Neg 3.18 M CCC- B+/Watch Neg 2.58 N D B/Watch Neg 1.97 O D B-/Watch Neg 1.67 Ratings Lowered (Nonpooled Certificates) Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2003-2 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- HS-A A+ AA+ N/A HS-B A- AA N/A HS-C BBB+ AA- N/A HS-D BBB A+ N/A HS-E BB+ A N/A Ratings Affirmed And Removed From Creditwatch Negative (Pooled Certificates) Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2003-2 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- E AA AA/Watch Neg 10.71 F A+ A+/Watch Neg 9.21 G A- A-/Watch Neg 7.55 Ratings Affirmed (Pooled Certificates) Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2003-2 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1A AAA 21.11 A-2 AAA 21.11 A-3 AAA 21.11 A-4 AAA 21.11 B AAA 17.04 C AAA 15.53 D AA+ 12.37 XC AAA N/A XP AAA N/A Ratings Affirmed (Nonpooled Certificates) Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2003-2 Class Rating Credit enhancement (%) ----- ------ ---------------------- BW-A AAA N/A BW-B AAA N/A BW-C AAA N/A BW-D AAA N/A BW-E AAA N/A BW-F AAA N/A BW-G AAA N/A BW-H AAA N/A BW-J AAA N/A BW-K AAA N/A BW-L AAA N/A N/A - Not applicable. BANC OF AMERICA: S&P Downgrades Ratings on Eight 2000-2 Certs. -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on eight classes of commercial mortgage pass-through certificates from Banc of America Commercial Mortgage Inc.'s series 2000-2 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on seven classes from the same transaction and removed one of them from CreditWatch with negative implications. The downgrades follow S&P's analysis of the transaction and its review of the credit characteristics of all of the assets in the pool. The downgrades of the subordinate and mezzanine classes primarily reflect credit support erosion that S&P anticipates will occur upon the eventual resolution of nine of the 14 specially serviced assets ($79.8 million, 24.1% of the pool). S&P downgraded classes N and O to 'D' because of recurring interest shortfalls that are primarily due to appraisal subordinate entitlement reductions and special servicing fees. S&P expects these classes to continue to experience interest shortfalls for the foreseeable future. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.36x and a loan-to-value ratio of 69.8%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average DSC of 1.17x and an LTV ratio of 91.1%. The implied defaults and loss severity under S&P's 'AAA' scenario were 43.6% and 37.0%, respectively. The DSC and LTV calculations S&P noted above exclude 10 defeased loans ($76.6 million, 23.1%) and nine specially serviced assets ($79.8 million, 24.1%). S&P separately estimated losses for the nine specially serviced 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 rating on the class X interest-only certificate based on its current criteria. S&P published a request for comment proposing changes to its IO criteria on June 1, 2009. After S&P finalize its criteria review, S&P may revise its IO criteria, which may affect outstanding ratings, including the rating on the IO certificate that S&P affirmed. Credit Considerations As of the March 15, 2010, trustee remittance report, 12 assets ($111.0 million, 33.5%) in the pool were with the special servicer, LNR Partners Inc. Additionally, two loans ($16.9 million, 5.1%) were transferred to the special servicer after the March trustee remittance report date. The payment status of the specially serviced assets is: one is current ($5.3 million, 1.6%); one is in its grace period ($11.7 million, 3.5%); seven are matured balloons ($67.0 million; 20.2%); one is in foreclosure ($7.3 million, 2.2%); and four are real estate owned ($36.8 million, 11.1%). The specially serviced assets include six ($89.5 million, 27.0%) of the top 10 real estate exposures in the pool, which S&P discuss in detail below. The 111 W. Jackson loan is the largest nondefeased loan in the pool and has a trust balance of $23.8 million (7.2%). The loan is secured by a 540,000-sq.-ft. office building in downtown Chicago. The loan's payment status is reported as a matured balloon, and it was transferred to LNR on Dec. 18, 2009, for imminent default prior to the March 1, 2010, maturity date. The reported occupancy and DSC were 45.0% and 0.16x, respectively, for the nine months ended Sept. 30, 2009. LNR has indicated that it continues to collect data and evaluate the situation. The borrower had made principal and interest payments through Feb. 1, 2010. The Towngate Community Shopping Center is the second-largest nondefeased loan in the pool with a total exposure, including advancing and interest thereon, of $21.0 million. The loan has a balance of $20.6 million (6.2%) and is secured by a 287,000-sq.- ft. anchored retail center in Moreno Valley, Calif. The loan was transferred to LNR on Dec. 23, 2009, for imminent default prior to the Jan. 1, 2010, maturity date. The property was 80% leased and 54.0% occupied as of December 2009. According to LNR, the borrower is attempting to refinance the loan. The borrower had made principal and interest payments through Jan. 1, 2010. S&P expects a moderate loss upon the eventual resolution of this asset. The SCI Portfolio - 1401 Elm St. and 500 W 7th St. is the third- largest real estate exposure in the pool, with a total exposure of $20.9 million. While the original collateral consisted of two office buildings totaling 717,855 sq. ft. in Dallas, the allocated loan balance for the 500 W 7th St. building was defeased and subsequently paid off. The remaining 1401 Elm Street property became REO on April 17, 2009. While the building was 99.3% occupied as of September 2009, LNR has since confirmed that the largest tenant, Bank of America (97.5% of net rentable area), vacated its space following its lease expiration on Dec. 31, 2009. An appraisal reduction amount (ARA) totaling $16.3 million is in effect for this asset, and LNR has said that it is continuing to market the property for sale. S&P expects a significant loss upon the eventual resolution of this asset. The Rio Apartments loan ($11.7 million (3.5%) is the seventh- largest real estate exposure in the pool. The loan is secured by a 294-unit multifamily property in Miami. The loan's payment status is reported as in grace, and it was transferred to LNR on April 6, 2010, for maturity default. According to the master servicer, KeyCorp Real Estate Capital Markets Inc., the borrower has applied for a Housing and Urban Development loan to refinance the loan. KeyCorp anticipates that the application will eventually be approved; if so, the loan balance should be paid in full. The borrower had made principal and interest payments through Feb. 1, 2010. The Sonnet Cove Apartments ($9.8 million, 2.9%) is the ninth- largest nondefeased loan in the pool. The loan has a total exposure of $10.8 million and is secured by a 332-unit multifamily property in Lexington, Ky. The loan was transferred to LNR on July 9, 2009, for imminent default prior to the March 1, 2010, maturity date. The property was 76.8% occupied as of December 2008. The reported DSC was 0.35x for year-end December 2008. An ARA totaling $2.5 million is in effect against the loan, and LNR has stated that it continues to evaluate resolution options. The borrower had made principal and interest payments through April 1, 2009. S&P expects a moderate loss upon the eventual resolution of this asset. The SCI Portfolio - 1025 Elm Street ($7.5 million total exposure) is the 10th-largest real estate exposure in the pool. The 137,000-sq.-ft. office building Dallas became REO on April 7, 2009, and was 96.3% occupied as of September 2009. However, LNR has confirmed that the sole tenant, Bank of America, vacated its space following its lease expiration on Dec. 31, 2009. An ARA totaling $5.7 million is in effect for this asset. According to LNR, CB Richard Ellis took over property management and leasing on behalf of the trust and is preparing to list property for sale. This asset is not cross-collateralized or cross-defaulted with the SCI Portfolio-1401 Elm St., although it is a related borrowing entity. S&P expects a significant loss upon the eventual resolution of this asset. The remaining eight specially serviced assets ($33.9 million, 10.2%) have balances that individually represent less than 2.2% of the total pool balance. S&P estimated losses for five of these specially serviced assets with a weighted average loss severity of 34.2%. The remaining three loans were transferred to special servicing due to refinancing issues over the past six months. S&P's analysis also considered the transaction's significant near- term maturities. Approximately 51.7% of the loans, by balance, mature by the end of 2010 after excluding the 10 defeased loans and nine specially serviced assets. Transaction Summary As of the March 15, 2010, trustee remittance report, the collateral pool balance was $331.4 million, which is 37.2% of the issuance balance. The pool includes 45 loans and four REO assets, down from 128 loans at issuance. The master servicer provided financial information for 100% of the nondefeased loans in the pool, most of which was full-year 2008, interim-2009, or full-year 2009 data. Based on these reported figures, S&P calculated a weighted average DSC of 1.39x for the pool. S&P's adjusted DSC and LTV were 1.36x and 69.8%, respectively. All of the above figures exclude nine specially serviced assets ($79.8 million, 24.1%), for which S&P estimated losses separately, and 10 defeased loans ($76.6 million, 23.1%). The transaction has experienced $16.8 million of principal losses to date. Sixteen loans ($88.9 million, 26.8%) are on the master servicer's watchlist, including three of the top 10 loans. Eleven loans in the pool ($95.9 million, 28.9%) have a reported DSC below 1.10x, 10 of which ($75.3 million, 22.7%) have a reported DSC of less than 1.0x. Summary of Top 10 Real Estate Exposures The top 10 loans secured by real estate have an aggregate outstanding balance of $152.0 million (45.9%). Using servicer- reported numbers, S&P calculated a weighted average DSC of 1.35x for the top 10 loans. S&P's adjusted DSC for the top 10 real estate exposures is 1.33x. If S&P excludes the four top 10 exposures with the special servicer, its adjusted DSC and LTV for the top 10 exposures are 1.39x and 69.4%, respectively. Three of the top 10 exposures ($38.6 million, 11.65%) appear on the master servicer's watchlist, which S&P discuss in detail below. The BVT Investment Portfolio loan ($14.2 million, 4.3%) is the fifth-largest nondefeased loan in the pool and is on the master servicer's watchlist due to an upcoming maturity date (June 1, 2010). The loan is secured by four grocery-anchored retail properties totaling 296,000 sq. ft. in Humble, Texas, Powder Springs, Ga., Deltona, Fla., and Columbus, Ga. The reported DSC as of year-end 2008 was 2.27x, with a reported occupancy of 93.4% as of June 30, 2009. The Silverado Apartments loan ($13.7 million, 4.1%) is the sixth- largest nondefeased loan in the pool and was placed on the master servicer's watchlist due to a low DSC. The loan is secured by a 440-unit multifamily property in Las Vegas. The reported DSC as of Sept. 30, 2009, was 0.76x, with a reported occupancy of 88.6% as of Dec. 9, 2009. The Toyota Office Building loan ($10.7 million, 3.2%) is the eighth-largest nondefeased loan in the pool and was placed on the master servicer's watchlist due to an upcoming maturity date of June 1, 2010. The loan is secured by a 174,000-sq.-ft. office building in downtown Memphis, Tenn. The reported DSC as of Sept. 30, 2009, was 1.56x, with a reported occupancy of 87.5% as of Oct. 31, 2009. Standard & Poor's stressed the assets in the pool according to its U.S. conduit/fusion criteria. The analysis was 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 2000-2 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- G A+ AA/Watch Neg 23.79 H BBB- A+/Watch Neg 20.43 J B- BBB/Watch Neg 10.03 K CCC+ BBB-/Watch Neg 8.35 L CCC BB/Watch Neg 6.34 M CCC- BB-/Watch Neg 5.66 N D B-/Watch Neg 3.65 O D CCC/Watch Neg 2.31 Ratings Affirmed And Removed From Creditwatch Negative Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2000-2 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- F AA+ AA+/Watch Neg 29.16 Ratings Affirmed Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2000-2 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-2 AAA 59.37 B AAA 47.95 C AAA 40.57 D AAA 35.20 E AAA 32.51 X AAA N/A N/A - Not applicable. BCAP LLC: S&P Affirms Ratings on 15 2009-RR10 Certificates ---------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on 15 classes of certificates from BCAP LLC 2009-RR10, a re-securitized real estate mortgage investment conduit transaction. Concurrently, S&P removed 14 of the affirmed ratings from CreditWatch with negative implications. 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 its analysis on the re-REMIC classes, S&P applied its 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 their current ratings. 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 BCAP LLC 2009-RR10 Trust Series 2009-RR10 Rating ------ Class CUSIP To From ----- ----- -- ---- IIA1 05532EAC9 AAA AAA/Watch Neg IVA1 05532EAG0 AAA AAA/Watch Neg VA1 05532EAJ4 AAA AAA/Watch Neg VA2 05532EAK1 B B/Watch Neg VIIA1 05532EAN5 AAA AAA/Watch Neg VIIA2 05532EAP0 BBB BBB/Watch Neg XIA1B 05532EAV7 AAA AAA/Watch Neg XIVA1A 05532EAZ8 AAA AAA/Watch Neg XIVA1B 05532ECU7 A A/Watch Neg XIVA1C 05532ECV5 BBB BBB/Watch Neg XIVA3 05532ECJ2 A A/Watch Neg XIVA4 05532ECK9 BBB BBB/Watch Neg XIVA6 05532ECY9 BBB BBB/Watch Neg XVIIA1 05532ECL7 AAA AAA/Watch Neg Rating Affirmed BCAP LLC 2009-RR10 Trust Series 2009-RR10 Class CUSIP Rating ----- ----- ------ XI-A1-A 05532EAZ8 AAA BEAR STEARNS: Fitch Takes Rating Actions on 2002-TOP8 Certs. ------------------------------------------------------------ Fitch Ratings affirms all classes, and assigns Rating Outlooks and Loss Severity ratings to Bear Stearns Commercial Mortgage Securities Trust, commercial mortgage pass-through certificates, series 2002-TOP8, as indicated: -- $57.5 million class A-1 at 'AAA/LS1'; Outlook Stable; -- $538.8 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $25.3 million class B at 'AAA/LS3'; Outlook Stable; -- $28.4 million class C at 'A+/LS3'; Outlook Stable; -- $9.5 million class D at 'A/LS3'; Outlook Stable; -- $11.6 million class E at 'BBB+/LS3'; Outlook Stable; -- $6.3 million class F at 'BBB/LS4'; Outlook Stable; -- $4.2 million class G at 'BBB-/LS4'; Outlook Stable; -- $8.4 million class H at 'BB+/LS4'; Outlook Stable; -- $3.2 million class J at 'BB/LS5'; Outlook Stable; -- $4.2 million class K at 'BB-/LS5'; Outlook Stable; -- $3.2 million class L at 'B+/LS5'; Outlook Stable; -- $3.2 million class M at 'B/LS5'; Outlook Negative; -- $3.2 million class N at 'B-/LS5'; Outlook Negative; -- $711 million interest-only class X-1 at 'AAA'; Outlook Stable; -- $454.3 million interest-only class X-2 at 'AAA'; Outlook Stable. Fitch does not rate class O. The affirmations are due to stable performance and principal paydown (15.6% since issuance), along with limited 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 approximately 1% of the remaining pool balance, 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 class. As of the March 2010 distribution date, the pool's collateral balance has paid down 15.6% to $711 million from $842.2 billion at issuance. Sixteen of the remaining loans have defeased (24.3%). As of March 2010, there are two specially serviced loans (0.7%). The largest specially serviced loan (0.5%) is secured by a 124 unit multifamily property located in Tomball, Texas. The loan transferred to special servicing in February 2010 due to technical default after one of the borrowers for the loan filed Chapter 7 bankruptcy. The second largest specially serviced loan (0.1%) is secured by a 96 unit multifamily property located in Jackson, MS. The loan transferred to special servicing in October 2009 for monetary default. However, the borrower has brought the loan current and it is expected to be returned to the master servicer. 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. Four loans did not payoff at maturity with two loans incurring a loss when compared to Fitch's stressed value. BEAR STEARNS: Fitch Takes Rating Actions on Various Classes ----------------------------------------------------------- Fitch Ratings affirms, assigns Loss Severity ratings and Rating Outlooks to Bear Stearns Commercial Mortgage Securities Trust commercial mortgage pass-through certificates, series 2003-TOP10: -- $174.6 million class A-1 at 'AAA/LS1'; Outlook Stable; -- $749.2 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $34.8 million class B at 'AA+/LS1'; Outlook Stable; -- Interest-only class X-1 at 'AAA'; Outlook Stable; -- Interest-only class X-2 at 'AAA'; Outlook Stable; -- $37.9 million class C at 'A/LS1'; Outlook Stable; -- $12.1 million class D at 'A-/LS4'; Outlook Stable; -- $15.2 million class E at 'BBB+/LS4'; Outlook Stable; -- $9.1 million class F at 'BBB/LS4'; Outlook Stable; -- $7.6 million class G at 'BBB-/LS5'; Outlook Stable; -- $10.6 million class H at 'BB+/LS4'; Outlook Stable; -- $4.5 million class J at 'BB/LS5'; Outlook Stable; -- $6.1 million class K at 'BB-/LS5'; Outlook Stable; -- $4.5 million class L at 'B+/LS5'; Outlook Negative; -- $3 million class M at 'B/LS5'; Outlook Negative; -- $3 million class N at 'B-/LS5'; Outlook Negative. Fitch does not rate the $12.1 million class O. The affirmations are due to the pool's stable performance and minimal future expected losses following Fitch's prospective review of potential stresses to the transaction. Fitch expects losses of 1.4% of the remaining transaction balance, or $13.4 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 19.2% to $979.7 million from $1.211 billion at issuance. There are 150 of the original 167 loans remaining in the transaction, 25 of which have defeased (16.3% of the current transaction balance). There are two specially serviced loans (0.6%) as of the March 2010 remittance. The largest specially serviced loan (0.7%) is a 126,000 square foot (sq ft) retail property in Stockton, CA. The loan transferred in December 2009 for imminent default. The property's largest tenant, Mervyn's, lease was terminated in bankruptcy. The servicer reported occupancy as of 3rd quarter 2009 was 26%. The second largest specially serviced loan (0.3%) is a 70,000 sq ft industrial property in Atlanta, Georgia. The loan transferred in March 2010 for imminent default. The servicer reported the property as 100% vacant as December 2009. 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. Three loans did not pay off at maturity with two loans incurring a loss when compared to Fitch's stressed value. BERNOULLI HIGH: Moody's Downgrades Ratings on Two Classes of Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of two classes of notes issued by Bernoulli High Grade CDO I, Ltd. The notes affected by the rating action are: -- US$945,000,000 Class A-1A First Priority Senior Secured Floating Rate Notes, Downgraded to C; previously on April 24, 2009 Downgraded to Ca; -- US$360,000,000 Class A-1B First Priority Senior Secured Floating Rate Notes, Downgraded to Ca; previously on April 24, 2009 Downgraded to B3. Bernoulli High Grade CDO I, Ltd., is a collateralized debt obligation issuance backed primarily by a portfolio of residential mortgage-backed securities originated in 2004 to 2006, with the majority originated in 2005. According to Moody's, the rating downgrade action is the result of deterioration in the credit quality of the underlying portfolio. Such credit deterioration is observed through numerous factors, including a decline in the average credit rating of the portfolio (as measured by an increase in the weighted average rating factor), an increase in the dollar amount of defaulted securities, and failure of the coverage tests. In particular, the weighted average rating factor, as reported by the trustee, has increased from 2309 in March 2009 to 2858 in February 2010. During the same time, the Class A/B coverage ratio decreased from 39.68% to 28.54%. 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. C-BASS MORTGAGE: Moody's Downgrades Ratings on 95 Tranches ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 95 tranches and confirmed the ratings of nine tranches from 19 RMBS transactions issued by C-BASS. 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: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB5 -- Cl. AF-2, Downgraded to Ba3; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-3, Downgraded to Caa2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to B3; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. AV-2, Downgraded to Baa3; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. AV-3, Downgraded to Ba2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Baa1 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 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB6 -- Cl. A-3, Downgraded to B3; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B1; 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 -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB7 -- Cl. AF-3, Downgraded to Ba3; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to Ba2; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ca; 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 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: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB2 -- Cl. AV, Downgraded to Caa2; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. AF-2, Downgraded to Caa2; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. AF-3, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to Caa3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB4 -- Cl. AV-2, Downgraded to A3; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. AV-3, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. AV-4, 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: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB5 -- Cl. A-3, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB6 -- Cl. A-I, Downgraded to Caa3; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. A-II-2, Confirmed at Baa2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-II-3, Downgraded to Caa3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-II-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: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB7 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Caa1 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, Downgraded to A3; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ca; previously on Jan 13, 2010 B1 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: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB8 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Aa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to B1; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB9 -- Cl. A-1, Downgraded to Caa1; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ca; previously on Jan 13, 2010 Caa3 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 Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-CB1 -- Cl. AF-1A, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. AF-1B, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. AF-2, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. AF-3, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. AF-6, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-CB2 -- Cl. A1, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. A2-A, Confirmed at B3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A2-B, Downgraded to Caa3; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A2-C, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. A2-D, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. A2-E, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-CB3 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-2, Confirmed at Caa3; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-3, Confirmed at Caa3; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-4, Confirmed at Caa3; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-5, Confirmed at Caa3; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-CB4 -- Cl. A-1A, Downgraded to B1; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to C; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Baa1; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-CB5 -- Cl. A-1, Downgraded to Caa2; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-CB6 -- Cl. A-1, Downgraded to Caa1; 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 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 Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB3 -- Cl. AV-3, Downgraded to Caa2; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. AV-4, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Trust, Series 2005-CB4 -- Cl. AF-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-3, Downgraded to A2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to A1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. AV-3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba3; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2; 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 Ba2 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Ba3 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. B-1, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB8 -- Cl. AF-2, Downgraded to Ba3; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. AF-3, Downgraded to Ca; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to Ca; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to Caa2; 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 -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade CBA COMMERCIAL: Fitch Downgrades Ratings on Five Classes of Notes ----------------------------------------------------------------- Fitch Ratings downgrades, removes from Rating Watch Negative, assigns Loss Severity Ratings and Outlooks to CBA Commercial Assets, LLC, Series 2004-1: -- 16.9 million class A-1 to 'BBB/LS3' from 'AAA'; Outlook Negative; -- $7.4 million class A-2 to 'BBB/LS3' from 'AAA'; Outlook Negative; -- $4.0 million class A-3 to 'BBB/LS3' from 'AAA'; Outlook Negative; -- $2.9 million class M-1 to 'BB/LS3' from 'AAA'; Outlook Negative; -- $3.6 million class M-2 to 'B-/LS4' from 'A'; Outlook Negative; -- $3.7 million class M-3 to 'CCC/RR1' from 'BB'. Fitch also removes from Rating Watch Negative, affirms, and assigns a Rating Outlook to this class: -- Interest-only class IO at 'AAA'; Outlook Negative. The rating of the interest only class reflects Fitch's expectation that the class will continue to receive timely interest payments as available. Class M-5 remains at 'D/RR6'. Classes M-4, M-6, M-7 and M-8 are not rated by Fitch. The downgrades are the result of Fitch's revised loss estimates for the transaction following an in-depth review and Fitch's prospective analysis which is similar to its recent vintage fixed- rate CMBS analysis. Fitch's expected losses for the transaction are 17.33% of the current transaction balance. Of the $7.2 million in Fitch expected losses, $1.3 million is attributed to specially serviced loans, $2.8 million is the result of losses from loans that do not pass Fitch's refinance test, and $3 million is for potential future losses for loans that have not reported updated financials. As of the March 2010 distribution date, the transaction's balance has been reduced 59.5% to $41.3 million from $102 million at issuance. The transaction is collateralized by 123 small balance commercial loans secured by multifamily, retail, office, industrial, and mixed use properties. The loans are smaller than typical CMBS loans with an average loan size of $336,149 ranging from approximately $109,000 to $1.5 million. Sixteen loans (10.5%) are currently in special servicing. Fitch reviewed the workout status of the specially serviced loans and applied a haircut to the most recent property valuations provided by the special servicer based on the type and age of the valuation. For those loans that do not have recent valuations and are delinquent, Fitch assumed a 70% loss. The average loss severity of small balance loans exceeds traditional CMBS and a 70% loss reflects recent dispositions of loans with similar characteristics. Fitch stressed the cash flow of the remaining non-liquidated loans (35.8%) that reported financial performance by applying a 20% reduction to 2008 fiscal year-end net operating income and applying an adjusted market cap rate of 9% to determine the value. For loans that did not report YE 2008 financials (53.8%), Fitch assumed a 19.4% probability of default and a 70% loss severity. The 19.4% probability of default reflects the cumulative default rate since issuance for this transaction. Similar to Fitch's prospective analysis of recent vintage fixed- rate CMBS transactions, each loan that reported 2008 financial performance also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. Loans that could refinance to a debt service coverage ratio of 1.25 times or higher were considered to payoff at maturity. Of the non-specially serviced loans that have reported, 48 loans did not meet Fitch's refinance test and incurred a loss when compared to Fitch's stressed value. CBA COMMERCIAL: Fitch Downgrades Ratings on Three Classes --------------------------------------------------------- Fitch Ratings downgrades, removes from Rating Watch, and assigns Recovery Ratings to CBA Commercial Assets, LLC, Series 2006-1: -- 88.7 million class A to 'CC/RR2' from 'AAA'; /Rating Watch Negative; -- $4.6 million class M-1 to 'C'/RR2' from 'AA-'; Rating Watch Negative; -- $4.6 million class M-2 to 'C/RR6' from 'BBB'; Rating Watch Negative. Fitch also removes from Rating Watch, affirms, and assigns a Rating Outlook to this class: -- Interest-only class X-1 at 'AAA'; Outlook Negative. The rating of the interest only class reflects Fitch's expectation that the class will continue to receive timely interest payments as available. In addition, Fitch affirms this class: -- $4.9 million class M-3 at 'D/RR6'. Classes M-4 and M-5 remain at 'D/RR6'. Classes M-6, M-7, and M-8 are not rated by Fitch. The downgrades are the result of Fitch's revised loss estimates for the transaction following an in-depth review and Fitch's prospective analysis which is similar to its recent vintage fixed- rate commercial mortgage backed security analysis. Fitch's expected losses for the transaction are 26.35% of the current transaction balance. Of the $27.1 million in Fitch expected losses, $10.7 million is attributed to specially serviced loans and $16.3 million is for potential future losses. Due to the lack of financial reporting, Fitch did not perform a stressed refinance test. Fitch assumed a 27.3% probability of default and a 70% loss severity for all loans. The 27.3% probability of default reflects the cumulative default rate since issuance for this transaction and the 70% loss severity reflects loans with similar characteristics. As of the March 2010 distribution date, the transaction's balance has been reduced 38.4% to $102.8 million from $166.8 million at issuance. The transaction is collateralized by 183 small balance commercial loans secured by multifamily, retail, office, industrial, and mixed use properties. The loans are smaller than typical CMBS loans with an average loan size of $561,486 ranging from approximately $32,000 to $3.1 million. Forty-one loans (19%) are currently in special servicing. Fitch reviewed the workout status of the specially serviced loans and applied a haircut to the most recent property valuations based on the type and age of the valuations and information provided by the special servicer. For those loans that do not have recent valuations and are delinquent, Fitch assumed a 70% loss. The average loss severity of small balance loans exceeds traditional CMBS and a 70% loss reflects recent dispositions of loans with similar characteristics. CBA COMMERCIAL: Fitch Junks Ratings on Five Classes of Notes ------------------------------------------------------------ Fitch Rtings downgrades, removes from Rating Watch, and assigns Recovery Ratings to CBA Commercial Assets, LLC, Series 2005-1: -- 73.8 million class A to 'CCC/RR1' from 'AAA'; Rating Watch Negative; -- $7.5 million class M-1 to 'CCC/RR1' from 'AA'; Rating Watch Negative; -- $5.6 million class M-2 to 'CCC/RR1' from 'BBB+'; Rating Watch Negative; -- $2.7 million class M-3 to 'CCC/RR1' from 'BBB-'; Rating Watch Negative; -- $3.8 million class M-4 to 'C/RR6' from 'CCC/RR6'. Fitch also removes from Rating Watch, affirms, and assigns a Rating Outlook to this class: -- Interest-only class X-2 at 'AAA'; Outlook Negative. The rating of the interest-only class reflects Fitch's expectation that the class will continue to receive timely interest payments as available. This class is affirmed: -- $3.6 million Class M-5 at 'D/RR6'. Class X-1 has paid in full. Classes M-4, M-6, M-7, M-8, and M-9 are not rated by Fitch. The downgrades are the result of Fitch's revised loss estimates for the transaction following an in-depth review and Fitch's prospective analysis which is similar to its recent vintage fixed- rate commercial mortgage backed security analysis. Fitch's expected losses for the transaction are 25.31% of the current transaction balance. Of the $24.6 million in Fitch expected losses, $6.9 million is attributed to specially serviced loans, $8.4 million is the result of losses from loans that do not pass Fitch's refinance test, and $9.3 million is for potential future losses for loans that have not reported updated financials. As of the March 2010 distribution date, the transaction's balance has been reduced 54.8% to $97 million from $214.9 million at issuance. The transaction is collateralized by 270 small balance commercial loans secured by multifamily, retail, office, industrial, and mixed use properties. The loans are smaller than typical CMBS loans with an average loan size of $359,456 ranging from approximately $57,000 to $2.3 million. Forty-eight loans (17.7%) are currently in special servicing. Fitch reviewed the workout status of the specially serviced loans and applied a haircut to the most recent property valuations based on the type and age of the valuations and information provided by the special servicer. For those loans that do not have recent valuations and are delinquent, Fitch assumed a 70% loss. The average loss severity of small balance loans exceeds traditional CMBS and a 70% loss reflects recent dispositions of loans with similar characteristics. Fitch stressed the cash flow of the remaining non-liquidated loans (30.75%) that reported financial performance by applying a 20% reduction to 2008 fiscal year-end net operating income and applying an adjusted market cap rate of 9% to determine the value. For loans that did not report year end (YE) 2008 financials (51%), Fitch assumed a 26.7% probability of default and a 70% loss severity. The 26.7% probability of default reflects the cumulative default rate since issuance for this transaction. Similar to Fitch's prospective analysis of recent vintage fixed rate CMBS transactions, each loan also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. Loans that could refinance to a debt service coverage ratio of 1.25 times or higher were considered to payoff at maturity. Of the non-specially serviced loans, 71 loans did not meet Fitch's refinance test and incurred a loss when compared to Fitch's stressed value. CBA COMMERCIAL: Fitch Junks Ratings on Three Classes of Notes ------------------------------------------------------------- Fitch Ratings downgrades, removes from Rating Watch Negative, and assigns Recovery Ratings to CBA Commercial Assets, LLC, series 2006-2: -- 83.4 million class A to 'C/RR4' from 'AA'; -- $3.8 million class M-1 to 'C'/RR6' from 'A'; -- $4.9 million class M-2 to 'C/RR6' from 'B'. Fitch also removes from Rating Watch Negative, affirms, and assigns a Rating Outlook to this class: -- Interest-only class X-1 at 'AAA'; Outlook Negative. The rating of the interest only class reflects Fitch's expectation that the class will continue to receive timely interest payments as available. Fitch also affirms these classes: -- $2.8 million class M-3 at 'C/RR6'; -- $2.3 million class M-4 at 'C/RR6'; -- $1.1 million class M-5 at 'C/RR6'. Classes M-6, M-7, and M-8 are not rated by Fitch. The downgrades are the result of Fitch's revised loss estimates for the transaction following an in-depth review and Fitch's prospective analysis which is similar to its recent vintage fixed- rate CMBS analysis. Fitch's expected losses for the transaction are 47.18% of the current transaction balance. Of the $47.1 million in Fitch expected losses, $20.7 million is attributed to specially serviced loans and $26.4 million is for potential future losses. Due to the lack of financial reporting, Fitch did not perform a stressed refinance test. Fitch assumed a 57.1% probability of default and a 70% loss severity for all loans. The 57.1% probability of default reflects the cumulative default rate since issuance for this transaction, and the 70% loss severity reflects loans with similar characteristics. As of the March 2010 distribution date, the transaction's balance has been reduced 23.5% to $99.8 million from $130.5 million at issuance. The transaction is collateralized by 217 small balance commercial loans secured by multifamily, retail, office, industrial, and mixed use properties. The loans are smaller than typical CMBS loans with an average loan size of $459,992 ranging from approximately $50,000 to $2.9 million. Sixty-five loans (37.2%) are currently in special servicing. Fitch reviewed the workout status of the specially serviced loans and applied a haircut to the most recent property valuations based on the type and age of the valuations and information provided by the special servicer. For those loans that do not have recent valuations and are delinquent, Fitch assumed a 70% loss. The average loss severity of small balance loans exceeds traditional CMBS and a 70% loss reflects recent dispositions of loans with similar characteristics. CBA COMMERCIAL: Fitch Takes Rating Actions on Various Classes ------------------------------------------------------------- Fitch Ratings downgrades, removes from Rating Watch Negative, and assigns Recovery Ratings to CBA Commercial Assets, LLC, series 2007-1: -- 92.7 million class A to 'C/RR4' from 'AA-'/Rating Watch Negative; -- $3.5 million class M-1 to 'C'/RR6' from 'A-'/Rating Watch Negative; -- $3.7 million class M-2 to 'C/RR6' from 'BBB-'/Rating Watch Negative; -- $2.2 million class M-3 to 'C/RR6' from 'BB-'/Rating Watch Negative; -- $1.4 million class M-4 to 'C/RR6' from 'B-'/Rating Watch Negative; -- $1.8 million class M-5 to 'C/RR6' from 'CCC/RR1'. Fitch also removes from Rating Watch Negative, affirms, and assigns a Rating Outlook to this class: -- Interest-only class X-1 at 'AAA'; Outlook Negative. The rating of the interest only class reflects Fitch's expectation that the class will continue to receive timely interest payments as available. Fitch also affirms and lowers the Recovery Rating of this class: -- $1.3 million class M-6 at 'C/RR6' from 'C/RR1'. Classes M-7 and M-8 are not rated by Fitch. The downgrades are the result of Fitch's revised loss estimates for the transaction following an in-depth review and Fitch's prospective analysis which is similar to its recent vintage fixed- rate CMBS analysis. Fitch's expected losses for the transaction are 42.37% of the current transaction balance. Of the $45.6 million in Fitch expected losses, $17.4 million is attributed to specially serviced loans and $28.2 million is for potential future losses. Due to the lack of financial reporting, Fitch did not perform a stressed refinance test. Fitch assumed a 53.3% probability of default and a 70% loss severity for all loans. The 53.3% probability of default reflects the cumulative default rate since issuance for this transaction and the 70% loss severity reflects loans with similar characteristics. As of the March 2010 distribution date, the transaction's balance has been reduced 15.7% to $107.6 million from $127.6 million at issuance. The transaction is collateralized by 198 small balance commercial loans secured by multifamily, retail, office, industrial, and mixed use properties. The loans are smaller than typical CMBS loans with an average loan size of $543,352 ranging from approximately $72,000 to $2.9 million. Fifty-seven loans (32.4%) are currently in special servicing. Fitch reviewed the workout status of the specially serviced loans and applied a haircut to the most recent property valuations based on the type and age of the valuations and information provided by the special servicer. For those loans that do not have recent valuations and are delinquent, Fitch assumed a 70% loss. The average loss severity of small balance loans exceeds traditional CMBS and a 70% loss reflects recent dispositions of loans with similar characteristics. CHL MORTGAGE: Moody's Downgrades Ratings on 166 Tranches -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 166 tranches from 11 RMBS transactions, backed by prime jumbo loans, issued by CHL Mortgage Pass-Through Trust from 2007 to 2008. The collateral backing these transactions consists primarily of first-lien, fixed 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. List of actions: Issuer: CHL Mortgage Pass-Through Trust 2007-10 -- Cl. A-19, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-20, Downgraded to C; previously on Dec 17, 2009 Caa3 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2007-11 -- Cl. A-4, Downgraded to B2; previously on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa2; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2007-13 -- Cl. A-7, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2007-14 -- Cl. A-1, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2007-2 -- Cl. A-18, Downgraded to B3; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2007-3 -- Cl. A-23, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2007-4 -- 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 Caa3; previously on Dec 17, 2009 B3 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 Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-14, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. 1-A-15, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-16, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-17, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. 1-A-18, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-19, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-20, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-21, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-22, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-23, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-24, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-25, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-26, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-27, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-28, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-29, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-30, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-31, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-32, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-33, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-34, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-35, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-36, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-37, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-38, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-39, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-40, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-41, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-42, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-43, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. 1-A-44, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-45, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-46, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-47, Downgraded to Caa2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A-48, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. 1-A-49, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-50, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-51, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-52, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-54, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-55, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-56, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-57, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-58, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-59, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-60, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-61, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-62, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-63, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-64, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-65, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-66, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. 1-A-67, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. 1-A-68, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-69, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-70, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-71, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-72, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-73, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-74, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-75, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2007-5 -- Cl. A-1, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ca; previously on Dec 17, 2009 Caa2 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. A-10, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. A-12, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. A-14, Downgraded to Caa2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. A-16, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. A-18, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-19, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. A-20, Downgraded to B3; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-21, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. A-22, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-23, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. A-24, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-25, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. A-26, Downgraded to Caa2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-27, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. A-28, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-29, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-30, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-31, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-32, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-33, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-34, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-35, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-36, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-37, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-38, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-39, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-40, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-41, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-42, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-43, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-44, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-45, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-46, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-47, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-48, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-49, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-50, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. A-51, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2007-J3 -- Cl. A-1, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa3; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. A-9, Downgraded to Caa3; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Caa3; previously on Dec 17, 2009 Caa2 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. A-14, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. A-16, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. X, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2008-1 -- Cl. A-1, Downgraded to Ca; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa3; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to B1; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust, Series 2007-19 -- Cl. 2-A-1, Downgraded to Caa3; previously on Dec 17, 2009 B2 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-X, Downgraded to Caa3; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 2-PO, Downgraded to Caa3; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade CHL MORTAGE: Moody's Downgrades Ratings on 323 Tranches ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 323 tranches, confirmed the ratings of 12 tranches, and upgraded the ratings of three tranches, from 24 RMBS transactions, backed by prime jumbo loans, issued by CHL Mortage Pass-Through Trust in 2005 and 2006. The collateral backing these transactions consists primarily of first-lien, fixed and 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: CHL Mortgage Pass-Through Trust 2005-10 -- Cl. A-1, Downgraded to B2; previously on Dec 17, 2009 Ba2 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 B1; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ca; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2005-12 -- Cl. 1-A-1, Downgraded to Caa2; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa2; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa2; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to B3; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to C; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B2; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to B3; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to B2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to B3; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to C; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A-8, Downgraded to Ca; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-9, Downgraded to Caa1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-10, Downgraded to C; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A-11, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2005-16 -- Cl. A-1, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba2; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B3; previously on Dec 17, 2009 Baa1 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 Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-7, Confirmed at Baa3; previously on Dec 17, 2009 Baa3 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-9, Downgraded to B2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to B2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to B2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to B2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-15, Confirmed at Baa3; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-16, Confirmed at Baa3; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to C; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-18, Downgraded to Ca; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-19, Downgraded to B3; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-20, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-22, Downgraded to B2; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-23, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-24, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-25, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-27, Downgraded to B2; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-28, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-29, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-30, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-31, Downgraded to Ba2; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2005-19 -- Cl. 1-A-1, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Caa2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to C; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2005-21 -- Cl. A-1, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B3; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ca; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 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-7, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Caa1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Caa1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to B3; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to B3; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to B3; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-18, Downgraded to Caa2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-19, Downgraded to Caa2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-20, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-21, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-22, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-23, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-24, Downgraded to Caa1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-25, Downgraded to B3; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-26, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-27, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-28, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-29, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-30, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-31, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-32, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-33, Confirmed at Aa1; previously on Dec 17, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-34, Downgraded to B3; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-35, Downgraded to B3; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-36, Downgraded to B3; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-37, Downgraded to B1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-38, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-39, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-40, Downgraded to C; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa1; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Ca; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2005-25 -- Cl. A-1, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to C; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-8, Confirmed at Aa1; previously on Dec 17, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to B3; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Caa1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to B1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2005-27 -- Cl. 1-A-1, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to B2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to B3; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to B2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to C; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to B2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2005-31 -- Cl. 1-A-1, Downgraded to Caa3; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to C; previously on Jun 12, 2009 Downgraded to Ca -- Cl. 4-A-1, Confirmed at B3; 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-3, Downgraded to Caa3; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 4-A-4, Downgraded to C; previously on Jun 12, 2009 Downgraded to Ca Issuer: CHL Mortgage Pass-Through Trust 2005-6 -- Cl. 1-A-1, Downgraded to B3; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to B3; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to B2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to B2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to B2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to B2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Caa1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to C; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to Caa1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-14, Downgraded to B3; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-15, Downgraded to B2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-16, Downgraded to B2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2005-J2 -- Cl. 1-A-2, Upgraded to A3; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Ba3; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Ba2; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B3; previously on Dec 17, 2009 B1 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 B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to B3; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to B3; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to B1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to B1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to B2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 3-A-4, Downgraded to B2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 3-A-5, Downgraded to B1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. 3-A-6, Downgraded to B2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 3-A-7, Downgraded to B2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 3-A-8, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 3-A-9, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 3-A-10, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 3-A-11, Confirmed at B1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 3-A-12, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 3-A-13, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 3-A-14, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 3-A-16, Downgraded to B2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 3-X, Downgraded to Ba3; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2005-J4 -- Cl. A-1, Downgraded to Ba1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B3; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B2; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to B2; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Ba1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2006-11 -- 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 C; previously on May 5, 2009 Downgraded to Ca -- Cl. X, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2006-12 -- Cl. A-1, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2006-13 -- Cl. 1-A-1, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa2; previously on Dec 17, 2009 B3 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 Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to B2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to B2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to B2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to B2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to B2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-14, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-15, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-16, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-17, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-18, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-19, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-20, Downgraded to Baa3; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-21, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. 1-A-22, Downgraded to B3; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-23, Downgraded to Caa3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-24, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-25, Downgraded to Caa2; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-26, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. PO, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Baa3; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2006-14 -- Cl. A-3, Downgraded to B2; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to B2; previously on Dec 17, 2009 Aaa Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2006-15 -- Cl. A-1, Downgraded to Caa1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ba3; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to B3; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Ba1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2006-17 -- Cl. A-2, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2006-18 -- Cl. 2-A-1, Downgraded to B2; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2006-19 -- Cl. 1-A-1, Downgraded to B2; previously on Dec 17, 2009 A3 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. 1-A-3, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to C; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to B2; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2006-20 -- Cl. 1-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa2; previously on Dec 17, 2009 B1 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-5, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Ca; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-14, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-15, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-16, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-17, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-18, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-19, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-20, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-21, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-22, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-23, Downgraded to C; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-24, Downgraded to C; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-25, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-26, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-27, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-28, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-29, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-30, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-31, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-32, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-33, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-34, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-35, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-36, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-37, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2006-21 -- Cl. A-4, Downgraded to B2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2006-6 -- Cl. A-1, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to C; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2006-8 -- Cl. 1-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C; previously on May 5, 2009 Downgraded to Ca -- Cl. 1-A-3, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Dec 17, 2009 B3 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-X, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 3-X, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2006-J4 -- Cl. A-1, Upgraded to Ba3; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-2, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-3, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa3; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to C; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-9, Confirmed at B2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Ca; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. X, Upgraded to Ba3; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade CITY OF ORLANDO: S&P Downgrades Ratings on Tax Revenue Bonds ------------------------------------------------------------ Standard & Poor's Ratings Services has lowered its Standard & Poor's underlying ratings on the City of Orlando, Fla.'s tourist development tax revenue bonds series 2008A (first lien), 2008B (second lien), and 2008C (third lien). S&P lowered the SPUR on the TDT series 2008A to 'BB' from 'A'; the SPUR on the TDT series 2008B to 'CCC' from 'A'; and the SPUR on the series 2008C to 'CC' from 'BBB+'. At the same time, Standard & Poor's removed the ratings from CreditWatch, where they had been placed on April 7, 2010. The outlook on the series 2008A and 2008B bonds is developing, and the outlook on the series 2008C is negative. The bonds are insured by Assured Guaranty Corp. (AAA/Negative/--), and therefore remain rated 'AAA' with a negative outlook on an enhanced basis. "The downgrades reflect S&P's view of the substantial weakening of the revenue stream due to the national recession," said Standard & Poor's credit analyst John Sugden-Castillo. The downgrades also reflect S&P's expectation that these bonds will likely rely on their liquidity and debt service reserves for payment; and S&P's view that significant growth in pledged revenues would be required to continue to provide annual debt service coverage. The notching of the ratings between the three series is reflective of their lien priority, and the level to which the flow of funds magnifies the impact of a decline in revenues and the level of pledged revenue growth S&P believes would likely be needed at each lien level to provide at least 1x annual debt service coverage. The outlook on the series 2008A and 2008B bonds is developing. While S&P views some potential for Standard & Poor's to raise the ratings if revenues stabilize in the near term and exhibit at least moderate growth, there is also the potential for us to further lower the ratings should revenues continue to deteriorate. The negative outlook on the series C bonds reflects S&P's view of the potential for these bonds to, absent above-average growth, deplete their reserves and have insufficient funds to make their debt service payments, within the next two years. However, all three series of bonds are insured by Assured Guaranty (AAA/Negative/--). CREDIT LINKED: Fitch Affirms Ratings on Two Classes of Notes ------------------------------------------------------------ Fitch Ratings has affirmed two classes of notes issued by Gallatin Funding I Ltd. and two classes of notes issued by Credit Linked Asset Securities I Ltd. The affirmations are the result of the continued deleveraging of the liabilities and the relatively stable performance of the portfolio and the transaction swap mechanics since Fitch's last review in March 2009. The Gallatin class A-1 notes have received 18.1% of their initial principal balance since Fitch's last review and 54.8% in total since closing. The CLAwS class A notes have received an additional 25.9% of their principal since the last review and over 79% since closing. The significant principal redemption of the notes, supplemented by the release of funds from the excess spread collateral account, has helped mitigate the effects of the increase in defaulted loans since the last review. Although a significant level of the credit deterioration witnessed at Fitch's last review has culminated in defaults, the transaction's swap mechanics have enabled the Gallatin notes to be fully compensated for realized losses through the release of previously captured excess spread. At Fitch's last review, about $4.6 million of the portfolio was defaulted. Of the performing portfolio, approximately 12.4% was on Rating Watch Negative with another 30.8% with a Negative Outlook. In the subsequent months, defaulted assets reached a peak of $35.8 million of par as of the July 2, 2009 trustee report. Approximately $6.8 million of these defaulted loans remain in the portfolio as of the March 3, 2010 trustee report, while the balance of the defaulted loans realized relatively strong recoveries averaging over 75% of par. Since Fitch's last rating review, realized losses on defaults resulted in over $7.5 million being released from the excess spread collateral account to reimburse the Gallatin transaction for these losses. Over this same period an additional $5 million of excess interest was retained in the excess spread account. Therefore, the net impact was a $2.5 million reduction in the excess spread collateral account balance since the last review -- from $22.4 million to $19.9 million. Although the absolute size of the excess spread account has decreased over this period, the proportional support provided by this account has actually increased due to the smaller current portfolio size of $192 million, down from $258 million at the last review. Currently, just 2% of the performing portfolio loans are on Rating Watch Negative, and 23.6% of the performing loans have a Negative Outlook. Furthermore, the weighted average rating factor of the performing portfolio has improved slightly to 39.1 from 43.7, while remaining in the 'B-' range. Although Fitch currently considers approximately $11.7 million (6.1%) of the total portfolio to be defaulted, the projected recoveries on these loans in conjunction with the available credit enhancement available to each class of notes has been deemed appropriate to support the current ratings. Gallatin is a collateralized loan obligation established in 2002 to invest in a $402 million portfolio of primarily senior secured bank loans. Credit protection was provided to Gallatin in the form of a credit swap with Bear Stearns Capital Markets Inc. Simultaneously, BSCM entered into a credit swap with CLAwS, a special purpose vehicle capitalized with $67 million of floating- rate notes. The second swap hedges BSCM's exposure and provides CLAwS noteholders with a leveraged exposure to the loan portfolio. The $67 million proceeds from the CLAwS notes were invested in a guaranteed investment contract with FGIC. FGIC's obligations with respect to the GIC are guaranteed by GE Capital. BSCM's obligations are guaranteed by Bear Stearns Companies, LLC (formerly Bear Stearns Companies, Inc.; rated 'AA-/F1+' with a Stable Outlook), in line with the ratings of its ultimate parent company, JP Morgan Chase & Co. In March 2009, portfolio management duties were transferred to UrsaMine Credit Advisors LLC from Bear Stearns Asset Management Inc. The CLAwS transaction provides for an excess spread-capturing mechanism that serves as first-loss protection against losses on the underlying loan portfolio. The GIC would be drawn upon to repay Gallatin for credit losses only after the excess spread account has been depleted. As long as both overcollateralization tests and the payments coverage test are passing, funds from the GIC account may be released to repay the CLAwS notes sequentially according to a scheduled ratio based on the outstanding collateral amount. Fitch retains its Negative Outlook designations on the Gallatin class A-2 notes, and the CLAwS class A and class B notes. Fitch cites the significant proportion of issuers with a Negative Outlook and the sensitivity of these notes to ongoing softness in U.S. corporate recoveries as factors that may affect future rating movement. Fitch analyzed the structure's sensitivity to reduced recovery levels by lowering its average recovery rate assumptions for each asset type by 30% where explicit Recovery Ratings were not available. The Gallatin class A-2 notes, and the CLAwS class A and class B notes all displayed a degree of sensitivity to lower recovery rates. Additionally, Fitch notes that as the portfolio continues to amortize, increasing obligor concentration may become a factor. Finally, as the transaction mechanics allow funds to be released from the GIC account provided that near-term performance remains stable, a particularly severe back-loaded default scenario could strain the credit enhancement available to the notes. Each class of notes has been assigned a Loss Severity rating. The LS ratings indicate each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the base- case loss expectation for the collateral, as explained in Fitch's 'Criteria for Structured Finance Loss Severity Ratings'. The LS rating should always be considered in conjunction with the notes' long-term credit rating. Fitch affirms and assigns Loss Severity ratings on these classes as indicated: Gallatin Funding I Ltd.: -- $172,330,503 class A-1 affirmed at 'AAA/LS2'; Outlook Stable; -- $21,000,000 class A-2 affirmed at 'AA/LS4'; Outlook Negative. Credit Linked Asset Securities I Ltd.: -- $9,002,312 class A affirmed at 'A-/LS5'; Outlook Negative; -- $20,100,000 class B affirmed at 'B/LS4'; Outlook Negative. CREDIT SUISSE: Moody's Reviews Ratings on 13 2003-CPN1 Certs. ------------------------------------------------------------- Moody's Investors Service placed 13 classes of Credit Suisse First Boston Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2003-CPN1 on review for possible downgrade due to higher expected losses for the pool resulting from anticipated losses from loans in special servicing, interest shortfalls and concerns about loans approaching maturity in an adverse environment. Loans representing 18% of the pool mature within the next 36 months and have a Moody's stressed debt service coverage ratio less than 1.0X. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the March 17, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 22% to $786.1 million from $1.0 billion at securitization. The Certificates are collateralized by 159 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans representing 38% of the pool. Two loans, representing 22% of the pool, have defeased and are collateralized by U.S. Government securities. Twenty-one loans, representing 7% 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 resulting in a $10.8 million aggregate loss (55% loss severity on average). Six loans, representing 17% of the pool, are currently in special servicing. The largest specially serviced loan is the Northgate Mall ($74.5 million -- 8.7% of the pool), which is secured by the borrower's interest in a 716,000 square foot mall located in Cincinnati, Ohio. The loan was transferred to special servicing in August 2009 for imminent default. The property's performance has declined since last review due to occupancy declines. The second largest specially serviced loan is the Michigan Equities C Portfolio ($27.1 million -- 3.4% of the pool), which is secured by 16 office properties totaling 369,000 square feet and located in Michigan. The loan was transferred to special servicing in June 2008 due to a non-monetary default and is now 90+ days delinquent. The remaining four specially serviced loans are secured by a mix of retail, multifamily and office properties. The special servicer has recognized a cumulative $28.3 million appraisal reduction for the specially serviced loans. Based on the most recent remittance statement, Classes L through Q have experienced cumulative interest shortfalls totaling $1.3 million. Moody's anticipates that the pool will continue to experience interest shortfalls due to high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions and extraordinary trust expenses. Moody's rating action is: -- Class C, $10,064,000, currently rated Aaa, on review for possible downgrade; previously upgraded to Aaa from Aa3 on 8/7/2008 -- Class D, $30,191,000, currently rated Aa1, on review for possible downgrade; previously upgraded to Aa1 from A2 8/7/2008 -- Class E, $10,064,000, currently rated Aa3, on review for possible downgrade; previously upgraded to Aa3 from A1on 8/7/2008 -- Class F, $10,064,000, currently rated A1, on review for possible downgrade; previously upgraded to A1 from A2 on 8/7/2008 -- Class G, $17,612,000, currently rated Baa1, on review for possible downgrade; previously upgraded to Baa1 from Baa2 on 8/7/2008 -- Class H, $10,064,000, currently rated Baa2, on review for possible downgrade; previously upgraded to Baa2 from Baa3 on 8/7/2008 -- Class J, $20,127,000, currently rated Ba1, on review for possible downgrade; previously assigned Ba1 on 3/13/2003 -- Class K, $15,096,000, currently rated Ba2, on review for possible downgrade; previously assigned Ba2 on 3/13/2003 -- Class L, $7,548,000,currently rated Ba3, on review for possible downgrade; previously assigned Ba3 on 3/13/2003 -- Class M, $7,548,000, currently rated B3, on review for possible downgrade; previously downgraded to B3 from B1on 8/7/2008 -- Class N, $6,290,000, currently rated Caa1, on review for possible downgrade; previously downgraded to Caa1 from B2 on 8/7/2008 -- Class O, $5,032,000, currently rated Caa2, on review for possible downgrade; previously downgraded to Caa2 from B3 on 8/7/2008 -- Class P, $8,806,000, currently rated Ca, on review for possible downgrade; previously downgraded to Ca from Caa2 on 8/7/2008 CREDIT SUISSE: S&P Downgrades Ratings on Three 2002-CKP1 Certs. --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on three classes of commercial mortgage pass-through certificates from Credit Suisse First Boston Mortgage Securities Corp.'s series 2002-CKP1 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 11 classes from the same transaction and removed three of them from CreditWatch with negative implications. The downgrades follow S&P's analysis of the transaction using its U.S. conduit and fusion commercial mortgage-backed securities criteria. The downgrades of the subordinate and mezzanine classes reflect credit support erosion that S&P anticipate will occur upon the eventual resolution of the seven specially serviced assets. S&P downgraded classes N and O to 'D' because of recurring interest shortfalls that are primarily due to appraisal subordinate entitlement reductions and special servicing fees. S&P expects these classes to continue experiencing interest shortfalls for the foreseeable future. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.41x and a loan-to-value ratio of 71.4%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighed average DSC of 1.20x and an LTV ratio of 91.1%. The implied defaults and loss severity under its 'AAA' scenario were 21.7% and 25.5%, respectively. The DSC and LTV calculations S&P noted above exclude 26 defeased loans ($175.1 million, 21.7%) and the seven specially serviced assets ($35.8 million, 4.4%). S&P separately estimated losses for the seven specially serviced assets and included them in S&P's 'AAA' scenario implied default and loss figures. The affirmations of the ratings on the principal and interest certificates reflect subordination levels that are consistent with the outstanding ratings. S&P affirmed its rating on the class A-X interest-only certificate based on its current criteria. S&P published a request for comment proposing changes to its IO criteria on June 1, 2009. After S&P finalize its criteria review, S&P may revise its IO criteria, which may affect outstanding ratings, including the rating on the IO certificate that S&P affirmed. Credit Considerations As of the March 17, 2010, trustee remittance report, seven assets ($35.8 million, 4.4%) in the pool were with the special servicer, LNR Partners Inc. The payment status of the specially serviced assets is: three are 90-plus-days delinquent ($16.5 million, 2.0%), three are in foreclosure ($17.0 million, 2.1%), and one is real estate owned ($2.3 million, 0.3%). None of the seven specially serviced assets are among the top 10 real estate exposures. S&P discuss the two largest assets, as well as the REO asset, below. The Seville Place Apartments loan is the largest loan with the special servicer. The loan has a total exposure of $13.6 million (1.5%) and is secured by a 444-unit multifamily property in Orlando, Fla. The loan was transferred to the special servicer on Jan. 7, 2009, due to imminent default. An appraisal reduction amount totaling $7.35 million is in effect for this asset. Foreclosure proceedings began on March 11, 2009. According to LNR, the property is under contract, and the potential buyer is currently seeking financing. S&P expects a significant loss upon the resolution of this asset. The Park Hamilton Apartments loan is the second-largest loan with the special servicer. The loan has a total exposure of $11.6 million (1.2%) and is secured by a 330-unit multifamily property in Orlando, Fla. The loan was transferred to the special servicer on Nov. 17, 2008, due to imminent default. An ARA totaling $5.6 million is in effect for this asset. The loan payment status is 90-plus-days delinquent. According to LNR, there have been multiple offers on the property, which LNR is currently reviewing. S&P expects a significant loss upon the resolution of this asset. The 1800 Building, a 19,544-sq.-ft. office building in Torrance, Calif., is the fifth-largest asset with the special servicer and is REO. This asset has a total exposure of $2.85 million (0.3%). The property was approximately 52% occupied as of August 2009 and became REO on Aug. 6, 2009. An ARA totaling $635,050 is in effect for this asset. PM Realty Group currently manages and leases the building on behalf of the trust. According to LNR, the special servicer executed a contract for the sale of the building, and the potential buyer is currently reviewing feasibility and financing options. S&P expects a moderate loss upon the eventual resolution of this asset. The remaining four specially serviced assets ($11.9 million, 1.5%) have balances that individually represent less than 0.65% of the total pool balance. S&P estimated losses for all of these specially serviced assets. The weighted average loss severity for these four assets is 52.2%. S&P's analysis considered the outstanding nondefeased and nonspecially serviced near-term maturing loans with final maturities in 2011 and 2012, as well as S&P's concerns that the trust may experience additional interest shortfalls due to potential future revisions of ARAs. Transaction Summary As of the March 17, 2010, trustee remittance report, the collateral pool balance was $807.0 million, which is 81.3% of the issuance balance. The pool includes 135 loans and one REO asset, down from 156 loans at issuance. The master servicer, Midland Loan Services Inc., provided financial information for 99.6% of the nondefeased loans in the pool, most of which was full-year 2008, interim-2009, or full-year 2009 data. S&P calculated a weighted average DSC of 1.40x for the nondefeased loans in the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.41x and 71.4%, respectively, which exclude 26 defeased loans ($175.1 million, 21.7%) and the seven specially serviced assets ($35.8 million, 4.4%). If S&P included the specially serviced assets in its calculation, its adjusted DSC would be 1.37x. However, S&P has estimated losses separately for the seven specially serviced assets. The transaction has experienced $23.5 million of principal losses to date. Twenty-eight loans ($102.9 million, 12.75%) are on the master servicer's watchlist, including one of the top 10 loans. Thirty loans in the pool ($122.0 million, 15.1%) have reported DSC below 1.10x, 18 of which ($66.4 million, 8.2%) have a reported DSC of less than 1.0x. Summary of Top 10 Real Estate Exposures The top 10 loans secured by real estate have an aggregate outstanding balance of $319.9 million (39.6%). Using servicer- reported numbers, S&P calculated a weighted average DSC of 1.55x for the top 10 loans. S&P's adjusted DSC and LTV for the top 10 real estate exposures are 1.47x and 67.7%, respectively. One of the top 10 loans ($23.45 million, 2.9%) appears on the master servicer's watchlist, which S&P discuss in detail below. The Oak Ridge Office Portfolio loan is the sixth-largest nondefeased loan in the pool and was placed on the master servicer's watchlist due to a low DSC. The loan has a trust balance of $23.45 million (2.9%) and is secured by six office buildings totaling 414,000 sq. ft. in Oak Ridge, Tenn. The occupancy was 100% as of year-end 2009 with a reported DSC of 1.09x, up from 1.00x one year prior, but down from 1.27x 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 S&P's lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2002-CKP1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- L CCC+ BBB-/Watch Neg 3.40 N D B/Watch Neg 1.40 O D CCC/Watch Neg 0.32 Ratings Affirmed And Removed From Creditwatch Negative Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2002-CKP1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- G A+ A+/Watch Neg 9.70 H A A/Watch Neg 7.86 K-Z BBB BBB/Watch Neg 5.40 Ratings Affirmed Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2002-CKP1 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-2 AAA 24.93 A-3 AAA 24.93 B AAA 20.01 C AAA 18.31 D AA+ 15.08 E AA 13.24 F AA- 11.55 A-X AAA N/A N/A - Not applicable. CREDIT SUISSE: S&P Downgrades Ratings on 2004-C1 Securities ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes of commercial mortgage-backed securities from Credit Suisse First Boston Mortgage Securities Corp.'s series 2004-C1 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 11 additional classes from the same transaction and removed six of them from CreditWatch with negative implications. The downgrades follow S&P's analysis of the transaction using its U.S. conduit and fusion CMBS criteria. The downgrades of the subordinate and mezzanine classes also reflect credit support erosion that S&P anticipates will occur upon the eventual resolution of five specially serviced assets, as well as S&P's analysis of nine loans that S&P determined to be credit-impaired. S&P downgraded class O to 'D' because of recurring interest shortfalls. The shortfalls are primarily due to appraisal subordinate entitlement reduction amounts on two assets that are currently with the special servicer, CWCapital Asset Management LLC. S&P expects the interest shortfalls to continue for the foreseeable future. Class O has experienced cumulative interest shortfalls of $85,147. 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 1.60x and a loan-to-value ratio of 78.5%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 1.27x and an LTV ratio of 98.0%. The implied defaults and loss severity under the 'AAA' scenario were 22.5% and 30.7%, respectively. The DSC and LTV calculations S&P noted above exclude 18 defeased loans ($119.5 million, 9.9%), five ($45.2 million, 3.7%) of the nine specially serviced assets, and nine loans that S&P determined to be credit-impaired ($44.6 million, 3.7%). S&P separately estimated losses for the 14 specially serviced and credit-impaired assets and included them in S&P's 'AAA' scenario implied default and loss figures. S&P also excluded 61 cooperative apartment loans ($144.9 million, 12.0%) from all of the DSC and LTV calculations. These loans did not default under the 'AAA' scenario due to low leverage. The affirmations of the ratings on the principal and interest certificates reflect subordination levels that are consistent with the outstanding ratings. S&P affirmed its ratings on the class A- X, A-SP, and A-Y 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 ($72.7 million, 6.0%) in the pool were with CWCapital. The payment status of the specially serviced assets is: one is real estate owned (REO; $5.4 million, 0.4%), one is in foreclosure ($10.1 million, 0.8%), three are 90-plus-days delinquent ($26.5 million, 2.2%), two are 60 days delinquent ($28.2 million, 2.3%), and two are within their grace periods ($2.6 million, 0.2%). Three of the specially serviced assets have appraisal reduction amounts in effect totaling $21.1 million. The Claremore Apartment Homes loan, which has a total exposure of $21.4 million (1.7%), is the seventh-largest loan in the pool and the largest loan with the special servicer. The loan is 60 days delinquent and is secured by a 332-unit multifamily complex in San Antonio, Texas. The loan was transferred to special servicing on Oct. 17, 2007, due to imminent monetary default. As of Dec. 31, 2009, the reported occupancy was 92.8%, and the reported DSC was 0.35x as of Dec. 30, 2008, down from 1.22x at issuance. CWCapital is currently reviewing a loan assumption proposal presented by the borrower in February 2010. The Belmont Landing Apartments loan, which has a total exposure of $20.1 million (1.4%), is the 12th-largest loan in the pool and the second-largest loan with the special servicer. The loan is 90- plus-days delinquent and is secured by a 424-unit garden-style multifamily complex located in Riverdale, Ga. The loan was transferred to special servicing on Sept. 3, 2008, due to imminent monetary default. As of March 1, 2010, the reported occupancy was only 43.0%. A receiver is in place and has listed the property for sale. Offers were received on March 1, 2010, and CWCapital is reviewing the best and final counterproposals. A $13.2 million ARA is in effect for this loan. S&P expects a significant loss upon the eventual resolution of this asset. The seven remaining specially serviced assets that were listed in the March 2010 remittance report ($34.7 million, 2.9%) have balances that individually represent less than 0.9% of the total pool balance. S&P estimated losses for four of these assets, resulting in a weighted average loss severity of 54.0%. One of the remaining three loans was recently transferred to the special servicer (effective March 2, 2010), and there is limited information available for this loan; CWCapital expects to return one loan to the master servicer; and CWCapital is reviewing a workout strategy for the remaining loan. In addition to the specially serviced assets, S&P determined nine loans ($44.6 million, 3.7%) to be credit-impaired. The Bristol Park at Encino Commons Apartments loan ($22.5 million, 1.9%) is the fifth-largest loan in the pool and the largest credit-impaired loan. The loan is secured by a 324-unit garden-style apartment complex in San Antonio, Texas. The DSC was reported at 0.54x as of Sept. 30, 2009, down from 0.60x at year-end 2008 and 1.27x at issuance. Three of the eight additional credit-impaired loans ($22.1 million, 1.8%) are cross-collateralized and cross-defaulted and have an aggregate DSC below 1.00x, and four have reported DSCs below 0.60x. The final loan is secured by a property whose tenants will vacate in the near term, which will reduce occupancy to approximately 46%, and DSC will fall to approximately 0.52x from 1.32x. As a result, S&P view all of these loans to be at an increased risk of default and loss. Seven loans totaling $28.1 million (1.7%) that were previously with the special servicer have been returned to the master servicer. Pursuant to the transaction documents, the special servicer is entitled to a workout fee that is equal to 1.00% of all future principal and interest payments on the corrected loans, provided they continue to perform well and remain with the master servicer. Transaction Summary As of the March 2010 remittance report, the collateral pool balance was $1.21 billion, which is 74.6% of the balance at issuance. The pool includes 234 loans, down from 262 loans at issuance. As of the March 2010 remittance report, the master servicers, Keycorp Real Estate Capital Markets and Midland Loan Services Inc., provided financial information for 88.5% of the nondefeased loans in the pool, and 86.1% of the servicer-provided information was full-year 2008, interim-2009, or full-year 2009 data. S&P calculated a weighted average DSC of 1.80x for the pool based on the reported figures. S&P's adjusted DSC and LTV, which exclude 18 defeased loans ($119.5 million, 9.9%), five ($45.2 million, 3.7%) of the nine specially serviced assets, and nine loans that S&P determined to be credit-impaired ($44.6 million, 3.7%), were 1.60x and 78.5%, respectively. S&P estimated losses separately for the 14 specially serviced and credit-impaired assets. S&P also excluded 61 cooperative apartment loans ($144.9 million, 12.0%) from all of the DSC and LTV calculations. The transaction has experienced two principal losses totaling $2.9 million to date. Forty-four loans ($157.6 million, 13.0%) are on the master servicer's watchlist, including one of the top 10 loans, which S&P determined to be credit-impaired and discuss in detail above. Forty-four loans ($160.6 million, 13.3%) have a reported DSC below 1.10x, and 30 of these loans ($123.3 million, 10.2%) have a reported DSC of less than 1.0x. Summary of Top 10 Loans The top 10 exposures have an aggregate outstanding balance of $394.8 million (32.7%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.73x for the top 10 loans. One of the top 10 loans, the Bristol Park at Encino Commons Apartment loan ($22.5 million, 1.9%), is on the master servicer's watchlist. S&P determined this loan to be credit-impaired as discussed in detail above. S&P's adjusted DSC and LTV for the top 10 loans are 1.72x and 81.7%, respectively. 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 Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2004-C1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- H BB+ BBB-/Watch Neg 4.79 J B+ BB+/Watch Neg 4.12 K CCC+ BB/Watch Neg 3.45 L CCC- BB-/Watch Neg 2.95 M CCC- B+/Watch Neg 2.11 N CCC- B/Watch Neg 1.77 O D B-/Watch Neg 1.44 Ratings Affirmed And Removed From Creditwatch Negative Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2004-C1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- B AAA AAA/Watch Neg 15.52 C AA+ AA+/Watch Neg 14.01 D A+ A+/Watch Neg 10.99 E A- A-/Watch Neg 9.48 F BBB+ BBB+/Watch Neg 7.64 G BBB BBB/Watch Neg 6.30 Ratings Affirmed Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2004-C1 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-3 AAA 19.20 A-4 AAA 19.20 A-X AAA N/A A-SP AAA N/A A-Y AAA N/A N/A - Not applicable. CREST 2003-1: Fitch Downgrades Ratings on Two Classes of Notes -------------------------------------------------------------- Fitch Ratings has downgraded two classes of Crest 2003-1, Ltd/Corp., as a result of increased defaults on the underlying collateral. The balance of the notes are affirmed due to adequate cushion to Fitch's expected loss rates. According to the Feb. 23, 2010 trustee report, 10.6% of the portfolio is considered defaulted and 4.2% is experiencing full interest shortfalls, compared to 3.6 % and 1.5% respectively, at the last review. Approximately 57.7% of the portfolio has a Fitch derived rating below investment grade and 24.3% has a rating in the 'CCC' category and below. Currently, 0.9% is on Rating Watch Negative. The investment grade collateral (42.3%) is primarily composed of real estate investment trusts debt with a portion of seasoned commercial mortgage-backed securities collateral from the 1999 through 2002 vintages. Further, the collateralized debt obligation has paid down $21.7 million since the last review. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model for projecting future default levels for the underlying portfolio. These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in Corporate CDOs'. Based on this analysis, the class A-1/A-2 and B-1/B-2 notes' breakeven rates are generally consistent with the 'AAA' and 'AA' rating categories, respectively. Similarly, the breakeven rates of the class C-1/C-2 notes are generally consistent with the 'BBB' rating category. The class D-1/D-2 notes are downgraded to 'B' due to Fitch's expectation of further interest shortfalls to the underlying collateral. The increase in defaulted collateral poses additional risk to the class D notes: as overcollateralization haircuts increase, OC tests would breach their respective triggers and cut off interest to the class D-1/D-2 notes. Fitch notes that as of the March 1, 2010 payment date, all classes are current on interest. The class D OC test is breaching its trigger. As such, excess spread payments are being diverted to redeem the class A notes. The Negative Rating Outlook on the class A-1 through D-2 notes reflects Fitch's expectation that underlying CMBS loans will continue to face refinance risk and maturity defaults. Fitch also assigned Loss Severity ratings to the notes. The LS ratings indicate each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the expected loss for the collateral under the 'B' stress. The LS rating should always be considered in conjunction with probability of default indicated by a class' long-term credit rating. Crest 2003-1 is a static CDO which closed March 13, 2003. The collateral is composed of 74.3% CMBS and 25.7% REITs. Fitch has affirmed, assigned LS ratings and revised Outlooks for these classes as indicated: -- $147,003,609 class A-1 notes affirmed at 'AAA/LS4'; Outlook to Negative from Stable; -- $3,876,853 class A-2 notes affirmed at 'AAA/LS4'; Outlook to Negative from Stable; -- $24,000,000 class B-1 notes affirmed at 'AA/LS5'; Outlook to Negative from Stable; -- $36,000,000 class B-2 notes affirmed at 'AA/LS5'; Outlook to Negative from Stable; -- $28,000,000 class C-1 notes affirmed at 'BBB/LS4'; Outlook to Negative from Stable; -- $47,000,000 class C-2 notes affirmed at 'BBB/LS4'; Outlook to Negative from Stable. In addition, Fitch has downgraded these classes: -- $10,000,000 class D-1 notes downgraded to 'B/LS5' from 'BB'; Outlook to Negative from Stable; -- $53,000,000 class D-2 notes downgraded to 'B/LS5' from 'BB'; Outlook to Negative from Stable. CTX CDO: S&P Downgrades Ratings on Nine Classes of CRE CDOs ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on nine classes from CTX CDO I Ltd., a commercial real estate collateralized debt obligation transaction. S&P removed all of the lowered ratings from CreditWatch negative. At the same time, S&P affirmed its 'CCC-' ratings on two other classes from the same transaction. The downgrades reflect S&P's analysis of the transaction using its criteria for CDOs that have triggered events of default after S&P received a notice from the trustee that the transaction had experienced an EOD. The analysis included S&P's assessment of the market value of the collateral and the proceeds that the super- senior class may receive in a liquidation scenario. On March 26, 2010, the trustee, Bank of America N.A., notified us that CTX CDO I Ltd. had experienced an EOD. According to the notice, CTX CDO I Ltd. experienced an EOD under section 5.1 (j) of its indenture. The indenture section states that a transaction experiences an EOD if the default par value coverage ratio is less than 100% based upon S&P's understanding. Accordingly, the trustee declared an EOD after reporting a default par value coverage ratio of 94.06%. S&P has determined that the super- senior counterparty can now direct the sale or liquidation of the collateral and have applied S&P's criteria for CDOs that have triggered EODs. The March 26, 2010, trustee report stated that the collateral for CTX CDO I Ltd. consisted of credit default swaps referencing 42 commercial mortgage-backed securities classes ($450 million, 90%) from 26 distinct transactions. The collateral also included three CMBS classes ($18.3 million, 3.7%), two CRE CDO classes ($16.7 million, 3.3%), and one real estate investment trust security ($15 million, 3%). The reference and cash collateral, which S&P determined to have current weighted average credit characteristics consistent with a 'B' rated obligation, was issued between 2005 and 2007. Standard & Poor's analyzed CTX CDO I Ltd. according to its current criteria. The analysis is consistent with the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative CTX CDO I Ltd. Rating ------ Class To From ----- -- ---- Super-Senior CCC BB+/Watch Neg 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 Ratings Affirmed CTX CDO I Ltd. Class Rating ----- ------ J CCC- K CCC- CWABS ASSET-BACKED: Moody's Downgrades Ratings on 441 Tranches -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 441 tranches from 74 RMBS transactions issued by CWABS. Additionally, Moody's has confirmed the ratings of 57 tranches from these same transactions. One bond's rating has been upgraded as it has accumulated substantial protection against future losses. The collateral backing these deals primarily consists of first-lien, fixed and adjustable-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. The above mentioned approach "Subprime 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 (typically 20% for subprime pools). 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 20.20%. 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. Certain tranches included in this action, noted below, are wrapped by either Ambac Assurance (rated Caa2) or Assured Guaranty Corp (rated Aa3). 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. Furthermore, Moody's have adjusted the ratings of certain senior tranches from CWABS 2005-12 to account for Class 2-A-5 being a lock-out bond, which was not taken in to account previously. Actions related to these tranches are listed below: -- Cl. 2-A-3, Downgraded to Ba2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to B2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Ba3; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade Complete rating actions are: Issuer: CWABS Asset-Backed Certificates Trust 2005-1 -- Cl. AF-4, Downgraded to Ba1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-5A, Downgraded to B1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-5B, Downgraded to B1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B1; previously on Apr 11, 2005 Assigned Aaa -- Financial Guarantor: Ambac Assurance Corporation (Current rating at Caa2, On Review for Possible Upgrade on 3/26/2010) -- Cl. AF-6, Downgraded to Ba3; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. MF-1, Downgraded to Ca; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to C; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. MF-3, Downgraded to C; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. MF-4, Downgraded to C; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. MF-5, Downgraded to C; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. MF-6, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. MF-7, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. MV-1, Confirmed at Aa1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. MV-2, Downgraded to Aa3; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. MV-3, Downgraded to Ba1; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. MV-4, Downgraded to Caa1; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. MV-5, Downgraded to Ca; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. MV-6, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. MV-7, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. MV-8, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. MF-8, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-10 -- Cl. 2-AV-1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-AV-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-AV-3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-3, Downgraded to B2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to Caa3; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to Caa3; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. AF-6, Downgraded to Caa2; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. MF-1, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. MF-3, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. MV-1, Downgraded to A2; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. MV-2, Downgraded to Caa1; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. MV-3, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. MV-4, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. MV-5, Downgraded to C; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-11 -- Cl. 2-AV-1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-AV-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-AV-3, Downgraded to Aa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-3, Downgraded to B2; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to Caa2; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. AF-5A, Downgraded to Caa2; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. AF-5B, Downgraded to B3; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa2; previously on Mar 25, 2009 Downgraded to Ba2 -- Financial Guarantor: MBIA Insurance Corporation (Current Rating B3, Outlook Negative on 6/25/2009) -- Cl. AF-6, Downgraded to Caa1; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. MF-1, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. MV-1, Downgraded to Baa3; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. MV-2, Downgraded to Caa2; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. MV-3, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. MV-4, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. MV-5, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-12 -- Cl. 1-A-3, Downgraded to Baa3; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Ba1; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Ba1; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Ba1; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ba2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Ba2; previously on May 18, 2008 Assigned Aaa -- Financial Guarantor: MBIA Insurance Corporation (Current Rating B3, Outlook Negative on 6/25/2009) -- Cl. 2-A-4, Downgraded to B2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Ba3; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to A2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to B1; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa2; previously on Jan 13, 2010 Ba1 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 Caa2 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-13 -- Cl. 2-AV-1, Downgraded to B2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. 3-AV-3, Downgraded to Ba3; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 3-AV-4, Downgraded to Caa1; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. AF-3, Downgraded to Caa2; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to Caa3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to B3; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa3; previously on Mar 25, 2009 Downgraded to B1 -- Financial Guarantor: MBIA Insurance Corporation (Current Rating B3, Outlook Negative on 6/25/2009) -- Cl. AF-6, Downgraded to Caa2; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. MF-1, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. MV-1, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. MV-2, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-14 -- Cl. 1-A-1, Downgraded to B1; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba3; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to B2; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B2; previously on Mar 25, 2009 Downgraded to A3 -- Financial Guarantor: MBIA Insurance Corporation (Current Rating B3, Outlook Negative on 6/25/2009) -- Cl. 3-A-2, Downgraded to Ba2; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. 3-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 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: CWABS Asset-Backed Certificates Trust 2005-15 -- Cl. 2-AV-2, Downgraded to Ba1; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. 2-AV-3, Downgraded to Caa2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-AF-3, Downgraded to Ba3; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-AF-4, Downgraded to B3; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-AF-5, Current Rating at Aa3; previously on 3/25/2009 Downgraded to Aa3 -- Underlying Rating: Downgraded to B3; previously on Mar 25, 2009 Downgraded to Ba2 -- Financial Guarantor: Assured Guaranty Municipal Corp. (Rating Confirmed at Aa3, Outlook Developing on 11/12/2009) -- Cl. 1-AF-6, Downgraded to B1; 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 -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-16 -- Cl. 3-AV, Downgraded to B1; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. 4-AV-3, Downgraded to Ba2; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 4-AV-4, Downgraded to Caa2; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-AF-2, Confirmed at B3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-AF-3, Current Rating at Caa2; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Ca; previously on Mar 25, 2009 Downgraded to Caa3 -- Financial Guarantor: Ambac Assurance Corporation (Current rating at Caa2, On Review for Possible Upgrade on 3/26/2010) -- Cl. 1-AF, Current Rating at Caa2; previously on 7/29/2009 Downgraded to Caa2 -- Underlying Rating: Downgraded to Caa3; previously on Mar 25, 2009 Downgraded to Caa2 -- Financial Guarantor: Ambac Assurance Corporation (Current rating at Caa2, On Review for Possible Upgrade on 3/26/2010) -- Cl. 2-AF-5, Current Rating at Caa2; previously on 7/29/2009 Downgraded to Caa2 -- Underlying Rating: Downgraded to Ca; previously on Mar 25, 2009 Downgraded to Caa2 -- Financial Guarantor: Ambac Assurance Corporation (Current rating at Caa2, On Review for Possible Upgrade on 3/26/2010) -- Cl. MV-1, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. MV-2, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-17 -- Cl. 2-AV, Downgraded to Caa2; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 3-AV-1, Downgraded to B1; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. 3-AV-2, Downgraded to B2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 4-AV-2A, Downgraded to Caa1; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 4-AV-2B, Downgraded to Caa3; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 4-AV-3, Downgraded to C; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-AF-2, Confirmed at B3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at B3; previously on Mar 25, 2009 Downgraded to B3 -- Financial Guarantor: Ambac Assurance Corporation (Current rating at Caa2, On Review for Possible Upgrade on 3/26/2010) -- Cl. 1-AF-3, Current Rating at Caa2; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at Caa3; previously on Mar 25, 2009 Downgraded to Caa3 -- Financial Guarantor: Ambac Assurance Corporation (Current rating at Caa2, On Review for Possible Upgrade on 3/26/2010) -- Cl. 1-AF-4, Current Rating at Caa2; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at Ca; previously on Mar 25, 2009 Downgraded to Ca -- Financial Guarantor: Ambac Assurance Corporation (Current rating at Caa2, On Review for Possible Upgrade on 3/26/2010) -- Cl. 1-AF-5, Current Rating at Caa2; previously on Jul 29, 2009 Downgraded to Caa2 -- Underlying Rating: Downgraded to Caa3; previously on Mar 25, 2009 Downgraded to Caa2 -- Financial Guarantor: Ambac Assurance Corporation (Current rating at Caa2, On Review for Possible Upgrade on 3/26/2010) -- Cl. MV-1, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. MV-2, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-2 -- Cl. 1-A-1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Aa2; 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 Caa2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-3 -- Cl. AF-4, Downgraded to Ba2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-5A, Downgraded to B2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. AF-5B, Downgraded to B2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B2; previously on Mar 25, 2009 Downgraded to Aa2 -- Financial Guarantor: Ambac Assurance Corporation (Current rating at Caa2, On Review for Possible Upgrade on 3/26/2010) -- Cl. AF-6, Downgraded to Ba3; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. MF-1, Downgraded to C; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to C; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. MF-3, Downgraded to C; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. MF-4, Downgraded to C; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. MF-5, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. MF-6, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. MF-7, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. MV-1, Confirmed at Aa1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. MV-2, Downgraded to Baa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. MV-3, Downgraded to B2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. MV-4, Downgraded to Caa3; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. MV-5, Downgraded to C; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. MV-6, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. MV-7, Downgraded to C; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. MV-8, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-4 -- Cl. 2-AV-1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-AV-3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-3, Downgraded to Ba1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to B3; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-5A, Downgraded to Caa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. AF-5B, Downgraded to B3; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa2; previously on Mar 25, 2009 Downgraded to Aa2 -- Financial Guarantor: MBIA Insurance Corporation (Current Rating B3, Outlook Negative on 6/25/2009) -- Cl. AF-6, Downgraded to B3; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. MF-1, Downgraded to C; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to C; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. MF-3, Downgraded to C; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. MF-4, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. MF-5, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. MF-6, Downgraded to C; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. MV-1, Downgraded to Aa2; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. MV-2, Downgraded to B1; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. MV-3, Downgraded to Caa2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. MV-4, Downgraded to C; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. MV-5, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. MV-6, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. MV-7, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. MV-8, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. BV, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-5 -- Cl. 1-A, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Aa3; 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 A1 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-6 -- Cl. 1-A-1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-3, 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 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa2; previously on Jan 13, 2010 Baa2 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 -- Cl. M-8, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-7 -- Cl. 2-AV-1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-AV-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 3-AV-3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-3, Downgraded to A2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to B1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. AF-5W, Downgraded to B2; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B2; previously on Mar 25, 2009 Downgraded to Aa3 -- Financial Guarantor: MBIA Insurance Corporation (Current Rating B3, Outlook Negative on 6/25/2009) -- Cl. AF-6, Downgraded to B1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. MF-1, Downgraded to C; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to C; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. MF-3, Downgraded to C; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. MF-4, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. MF-5, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. MF-6, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. MV-1, Downgraded to A3; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. MV-2, Downgraded to Caa1; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. MV-3, Downgraded to Ca; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. MV-4, Downgraded to C; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. MV-5, Downgraded to C; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. MV-6, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. MV-7, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-8 -- Cl. 1-A-1, Downgraded to Aa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-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 A1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2; previously on Jan 13, 2010 Baa2 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 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 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-AB1 -- Cl. A-2, Confirmed at Aa3; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Ba1 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 Caa2 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-AB2 -- Cl. 1-A-1, Downgraded to Caa3; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Baa2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, 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 Caa2 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-AB3 -- Cl. 1-A-1, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-2A, Downgraded to B3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-2B, Downgraded to Caa1; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-AB4 -- Cl. 1-A, Downgraded to Caa3; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa3; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-AB5 -- Cl. 1-A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-1M, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa2; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-2M, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-BC1 -- Cl. M-3, Confirmed at Aa3; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ba2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to B3; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Caa3; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to Ca; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to C; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-BC2 -- Cl. M-2, Confirmed at Aa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Baa3; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa1; previously on Jan 13, 2010 Baa2 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 Caa1 Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C; previously on Jan 13, 2010 Caa3 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. B, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-BC4 -- 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 Baa3; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to B3; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Caa3; 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 Caa1 Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to C; previously on Jan 13, 2010 Caa3 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: CWABS Asset-Backed Certificates Trust 2005-BC5 -- Cl. 1-A, Downgraded to A2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Baa2; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Baa3; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Baa3; previously on Mar 25, 2009 Downgraded to A1 -- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on 3/9/1009) -- Cl. 3-A-3, Downgraded to Baa2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. 3-A-2, 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 Baa2 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: CWABS Asset-Backed Certificates Trust 2006-1 -- Cl. AF-3, Downgraded to B3; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. AF-4, Downgraded to Ca; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. AF-6, Downgraded to Caa3; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. MF-1, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. AV-2, Downgraded to Ba3; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. AV-3, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-10 -- Cl. 1-AF-1, Downgraded to Aa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-AF-2, Downgraded to Ba2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-AF-3, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-AF-4, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-AF-5, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 1-AF-6, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-AV, Downgraded to Caa3; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 3-AV-3, Downgraded to Caa2; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 3-AV-4, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 3-AV-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. MV-1, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-11 -- Cl. 2-AV, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 3-AV-2, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 3-AV-3, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 1-AF-1, Confirmed at B3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-12 -- Cl. 1-A, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa2; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-13 -- Cl. 2-AV, Downgraded to Caa2; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 3-AV-2, Downgraded to Caa1; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 3-AV-3, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 1-AF-2, Confirmed at Caa1; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. MV-1, Downgraded to C; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-14 -- Cl. 1-A, Downgraded to Caa2; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa2; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to C; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-15 -- Cl. A-2, Downgraded to Ba1; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-5A, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. A-5B, Current Rating at Aa3; previously on 3/25/2009 Downgraded to Aa3 -- Underlying Rating: Downgraded to Ca; previously on Mar 25, 2009 Downgraded to Caa2 -- Financial Guarantor: Assured Guaranty Municipal Corp. (Rating Confirmed at Aa3, Outlook Developing on 11/12/2009) -- Cl. A-6, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-16 -- Cl. 1-A, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-17 -- Cl. 1-A, Downgraded to Caa2; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-18 -- Cl. 1-A, Downgraded to Caa2; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa2; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-19 -- Cl. 1-A, Downgraded to Caa2; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa2; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 2-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: CWABS Asset-Backed Certificates Trust 2006-2 -- Cl. 1-A-1, Downgraded to Caa1; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa1; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Caa3; previously on Jan 13, 2010 Ba2 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: CWABS Asset-Backed Certificates Trust 2006-20 -- Cl. 1-A, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Confirmed at Ba3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-21 -- Cl. 1-A, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa3; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Confirmed at Aa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Confirmed at Ba3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-22 -- Cl. 1-A, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Baa2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to B1; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-23 -- Cl. 1-A, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa3; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Confirmed at Aa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Confirmed at Ba3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-24 -- Cl. 1-A, Downgraded to Caa3; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Baa3; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Confirmed at B3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-25 -- Cl. 1-A, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Confirmed at A2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Confirmed at B3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-26 -- Cl. 1-A, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Confirmed at A2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Confirmed at B3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-3 -- Cl. 1-A, Downgraded to B1; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to B2; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to B3; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to C; previously on Jan 13, 2010 Ba3 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: CWABS Asset-Backed Certificates Trust 2006-4 -- Cl. 1-A-1, Downgraded to Caa2; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-1M, Downgraded to Caa3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to B2; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-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 Caa2 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-5 -- Cl. 1-A, Downgraded to Caa2; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to B2; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-6 -- Cl. 1-A-1, Downgraded to Caa2; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-1M, Downgraded to Ca; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Confirmed at B2; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-7 -- Cl. 1-A, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa1; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-8 -- Cl. 1-A, Downgraded to Caa2; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to A3; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-9 -- Cl. 1-AF-2, Downgraded to Ba1; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. 1-AF-3, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-AF-4, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 1-AF-5, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 1-AF-6, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-AV, Downgraded to Caa3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 3-AV-3, Downgraded to Caa2; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 3-AV-4, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 3-AV-2, Confirmed at Aa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-ABC1 -- Cl. A-2, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-BC1 -- Cl. 1-A, Downgraded to B1; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to A3; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. 2-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 Ba2 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: CWABS Asset-Backed Certificates Trust 2006-BC2 -- Cl. 1-A, Downgraded to B1; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to B2; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-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 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: CWABS Asset-Backed Certificates Trust 2006-BC3 -- Cl. 1-A, Downgraded to Ba2; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Upgraded to Aa2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa1; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-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 Caa1 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-BC4 -- Cl. 1-A, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa2; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-BC5 -- Cl. 1-A, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba1; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Confirmed at B3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2007-1 -- Cl. 1-A, Downgraded to Caa3; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba1; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa1; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2007-10 -- Cl. 1-A-1, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa1; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2007-11 -- Cl. 1-A-1, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Baa3; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa3; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Confirmed at B3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2007-12 -- Cl. 1-A-1, Downgraded to Caa2; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Ca; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Baa3; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Confirmed at B3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 1-M-1, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. 2-M-1, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2007-13 -- Cl. 1-A, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2007-2 -- Cl. 1-A, Downgraded to Caa3; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Baa3; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Confirmed at B3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2007-3 -- Cl. 1-A, Downgraded to Caa3; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Confirmed at Ba3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa2; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2007-4 -- Cl. A-1A, Downgraded to Baa3; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to Baa3; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B1; previously on Jan 13, 2010 Ba3 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. A-4W, Current Rating at Aa3; previously on 3/25/2009 Downgraded to Aa3 -- Underlying Rating: Downgraded to Ca; previously on Mar 25, 2009 Downgraded to B3 -- Financial Guarantor: Assured Guaranty Municipal Corp. (Rating Confirmed at Aa3, Outlook Developing on 11/12/2009) -- Cl. A-5, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-5W, Current Rating at Aa3; previously on 11/23/2008 Downgraded to Aa3 -- Underlying Rating: Downgraded to Ca; previously on Mar 25, 2009 Downgraded to Caa1 -- Financial Guarantor: Assured Guaranty Municipal Corp. (Rating Confirmed at Aa3, Outlook Developing on 11/12/2009) -- Cl. A-6, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-6W, Current Rating at Aa3; previously on 3/25/2009 Downgraded to Aa3 -- Underlying Rating: Downgraded to Caa3; previously on Mar 25, 2009 Downgraded to B2 -- Financial Guarantor: Assured Guaranty Municipal Corp. (Rating Confirmed at Aa3, Outlook Developing on 11/12/2009) -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2007-5 -- Cl. 1-A, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba1; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa1; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2007-6 -- Cl. 1-A, Downgraded to Caa3; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa1; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2007-7 -- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Baa3; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Confirmed at B3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2007-8 -- Cl. 1-A-1, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa1; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2007-9 -- Cl. 1A, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2A1, Downgraded to Ba1; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. 2A3, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 2A4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. 2A2, Confirmed at B3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2007-BC1 -- Cl. 1-A, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa2; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Confirmed at Ba3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2007-BC2 -- Cl. 1-A, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Baa3; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Confirmed at B3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2007-BC3 -- Cl. 1-A, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to C; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Confirmed at B3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade CWALT INC: Moody's Downgrades Ratings on 211 Tranches ----------------------------------------------------- Moody's Investors Service has downgraded the ratings of 211 tranches and confirmed the ratings of 4 tranches from 13 CWALT-J transactions issued in 2005. The collateral backing these transactions consists primarily of first-lien, fixed and 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. -- Cl. 1-A-3 issued by CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-J1 is wrapped by MBIA Insurance Corporation. 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: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-J1 -- Cl. 1-A-1, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa1; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to B3; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Current Underlying Rating: Downgraded to Caa1; previously on Jan 21, 2010 Baa3 Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Developing on 2/18/2009) -- Cl. 1-A-4, Downgraded to Caa1; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Ca; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. PO-A, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. X-A, Downgraded to Caa1; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B3; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. PO-B, Downgraded to B3; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. X-B, Downgraded to B3; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to B3; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. PO-C, Downgraded to B3; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. X-C, Downgraded to B3; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to B1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. X-D, Downgraded to B1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. PO-D, Downgraded to B3; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 5-A-2, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 5-A-3, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 5-A-4, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 6-A-1, Downgraded to B2; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. X-E, Downgraded to B2; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. 7-A-1, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. X-F, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-J10 -- Cl. 1-A-1, Downgraded to Caa2; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa2; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa3; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa2; previously on Jan 14, 2010 Ba3 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, Downgraded to Caa1; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Caa3; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Caa3; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Caa2; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Caa2; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Caa2; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to Caa3; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to Caa2; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-14, Downgraded to Caa2; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-15, Downgraded to Caa2; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-16, Downgraded to Caa3; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-17, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa3; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa3; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa3; previously on Jan 14, 2010 B2 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-X, Downgraded to Caa3; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-J11 -- Cl. 1-A-1, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa3; previously on Jan 14, 2010 B3 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 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Caa1; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to Caa3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-15, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-16, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-17, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. PO-A, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa3; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. PO-C, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Caa1; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. PO-B, Downgraded to Caa1; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to Caa3; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 3-X, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 4-X, Downgraded to Caa1; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to Caa1; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 5-X, Downgraded to Caa1; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 6-A-1, Downgraded to Caa1; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 6-X, Downgraded to Caa1; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 7-A-1, Confirmed at B1; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 7-X, Confirmed at B1; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-J12 -- Cl. 1-A-2, Downgraded to Caa1; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa2; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa2; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa2; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Caa2; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to B2; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Ca; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-M-1, Downgraded to C; previously on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-J13 -- Cl. 1-A-1, Downgraded to Caa3; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa3; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa3; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Ca; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-X, 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 -- Cl. 2-A-1, Downgraded to Caa2; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa2; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa2; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Caa2; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Caa2; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to Caa2; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-9, Downgraded to Caa2; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-10, Downgraded to Caa2; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to Caa1; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-11, Confirmed at Caa1; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-J14 -- Cl. A-1, Downgraded to Ba3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa2; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa3; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa3; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa3; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Ba3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-J3 -- Cl. 1-A-1, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to C; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. X-A, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. PO-A, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M-A, Downgraded to C; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to C; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A-8, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A-9, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A-10, Downgraded to Caa3; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-A-11, Downgraded to Caa2; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-13, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A-14, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. X-B, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. PO-B, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-J4 -- Cl. 1-A-1, Confirmed at Aaa; previously on Jan 14, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Aa2; previously on Jan 14, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Aa1; previously on Jan 14, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Aa1; previously on Jan 14, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Aa1; previously on Jan 14, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba3; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 14, 2010 Ba2 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: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-J5 -- Cl. 1-A-1, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa2; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa2; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to C; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to Caa1; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. PO-A, Downgraded to Caa2; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. MA, Downgraded to C; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa2; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to Caa2; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. PO-B, Downgraded to Caa2; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-J6 -- Cl. 1-A-1, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to B2; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to B2; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to C; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to B2; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. PO-1, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C; previously on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. PO-2, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 3-X, Downgraded to B1; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. PO-3, Downgraded to B1; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to B1; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-J7 -- Cl. 1-A-1, Downgraded to Caa3; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa2; previously on Jan 14, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa2; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa3; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa3; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Caa3; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Caa2; previously on Jan 14, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to C; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. X-A, Downgraded to Caa2; previously on Jan 14, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. PO-A, Downgraded to Caa3; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B1; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. X-B, Downgraded to B1; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. PO-B, Downgraded to B1; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-J8 -- Cl. 1-A-1, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. X-A, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. PO-A, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. X-B, Downgraded to B3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. PO-B, Downgraded to B3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-J9 -- Cl. 1-A-1, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to C; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. PO-A, Downgraded to Caa3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba2; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Ba2; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to Ba2; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. PO-B, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade CWALT INC: Moody's Downgrades Ratings on 468 Tranches ----------------------------------------------------- Moody's Investors Service has downgraded the ratings of 468 tranches and confirmed the ratings of 5 tranches from 35 CWALT-CB transactions issued in 2005. 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. 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. -- Cl. A-6 issued by CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-13CB is wrapped by Radian Asset Assurance, -- Cl. 1-A-3 issued by CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-52CB is wrapped by Syncora Guarantee Inc., and -- Cl. 1-A-3 issued by CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-34CB is wrapped by MBIA Insurance Corporation. 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: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-10CB -- Cl. 1-A-1, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to B3; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to B3; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to B3; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to B3; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to C; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to C; 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. 2-A-1, Downgraded to B3; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-13CB -- Cl. A-1, Downgraded to Caa1; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa1; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa1; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa2; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa2; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Ba1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Radian Asset Assurance (Downgraded to Ba1, Outlook Stable on 3/12/2009) -- Cl. A-7, Downgraded to Caa2; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C; previously on Jan 14, 2010 B2 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: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-18CB -- Cl. A-5, Downgraded to Caa1; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to B3; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa1; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa1; previously on Jan 14, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to C; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to C; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C; previously on Jan 14, 2010 B2 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: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-1CB -- Cl. 1-A-1, Downgraded to B3; previously on Jan 14, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa1; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa1; previously on Jan 14, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa1; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to B3; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to B3; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Ca; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to C; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa2; previously on Jan 14, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa1; previously on Jan 14, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 14, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Caa2; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Caa3; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to Caa3; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to C; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 3-X, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 4-A-2, Downgraded to C; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 4-A-3, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. PO-A, Downgraded to Caa2; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. PO-B, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-20CB -- Cl. 1-A-1, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-A-8, Downgraded to C; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 3-A-4, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 3-A-5, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 3-A-6, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 3-A-7, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 3-A-8, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 3-A-10, Downgraded to C; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to B3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C; previously on Jan 14, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-21CB -- Cl. A-1, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa1; previously on Jan 14, 2010 A3 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-4, Downgraded to Caa1; previously on Jan 14, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to C; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Caa1; previously on Jan 14, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to Caa1; previously on Jan 14, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C; 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: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-23CB -- Cl. A-1, Downgraded to Caa1; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa2; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B3; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B3; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa1; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Ca; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa2; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa2; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Caa2; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa2; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Caa2; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Caa2; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Caa1; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to C; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to Caa1; previously on Jan 14, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C; previously on Jan 14, 2010 Ba3 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: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-26CB -- Cl. A-1, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to B2; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C; 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: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-28CB -- Cl. 1-A-2, Downgraded to Caa2; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa1; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Caa2; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to C; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa2; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa3; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Caa1; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to Caa3; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-8, Downgraded to Caa2; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-9, Downgraded to C; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-10, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to Caa3; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to Caa3; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 3-A-5, Downgraded to Caa2; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 3-A-6, Downgraded to Caa3; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 3-A-7, Downgraded to Caa3; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to B3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 4-A-2, 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 Ba3 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-29CB -- Cl. A-1, Downgraded to Caa2; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa2; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa2; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to C; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-30CB -- Cl. 1-A-1, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa2; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa2; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to C; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C; previously on Jan 14, 2010 Caa1 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: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-33CB -- Cl. A-1, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C; previously on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-34CB -- Cl. 1-A-1, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to B3; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to B3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa2; previously on Jan 21, 2010 Ba1 Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009) -- Cl. 1-A-4, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to B3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to B3; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to C; 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. M, Downgraded to C; previously on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-35CB -- Cl. 1-A-1, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa2; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-3CB -- Cl. 1-A-1, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-14, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B3; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C; previously on Jan 14, 2010 Ba3 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: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-40CB -- Cl. A-1, Downgraded to Caa2; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-42CB -- Cl. A-1, Downgraded to Caa1; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa1; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa1; previously on Jan 14, 2010 B2 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 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa1; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-9, Confirmed at Ba3; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-10, Confirmed at Ba3; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Caa1; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to C; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-47CB -- Cl. A-1, Downgraded to C; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to C; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to C; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to C; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa1; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Caa3; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa1; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Caa3; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-49CB -- Cl. A-1, Downgraded to B3; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa2; previously on Jan 14, 2010 B2 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-4, Downgraded to C; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa1; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-50CB -- Cl. 4-A-1, Downgraded to Caa1; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-1, Downgraded to Ca; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Confirmed at Caa2; previously on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Confirmed at Caa2; previously on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Ca; previously on Jan 14, 2010 Caa1 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: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-52CB -- Cl. 1-A-1, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on 3/9/2009) -- Cl. 1-A-4, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Caa2; previously on Jan 14, 2010 B1 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. 1-A-8, Downgraded to Caa2; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to C; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to C; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-54CB -- 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 Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Caa3; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to C; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C; previously on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 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 C; previously on Jan 14, 2010 Caa2 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. 3-A-2, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 3-A-4, Downgraded to Caa2; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 3-A-5, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 3-A-6, Downgraded to C; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-A-7, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 3-A-8, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 3-A-9, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 3-A-10, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 3-A-11, Downgraded to C; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-A-12, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 3-A-13, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-55CB -- Cl. 1-A-1, Downgraded to Caa2; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-PO, Downgraded to Caa2; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-PO, Downgraded to Caa2; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-57CB -- Cl. 1-A-1, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 3-A-5, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 3-A-7, Downgraded to Caa2; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 3-X, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 4-A-2, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 4-A-3, Downgraded to Caa2; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 4-A-5, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 4-A-6, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 4-X, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-64CB -- Cl. 1-A-1, Downgraded to Caa2; previously on Jan 14, 2010 B2 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 B3 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-5, Downgraded to Caa2; previously on Jan 14, 2010 B3 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 B3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-14, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-15, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A-16, Downgraded to C; previously on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 1-A-17, Downgraded to C; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-18, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to B3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa3; previously on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to Caa3; previously on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa2; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-X, Downgraded to Caa2; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-65CB -- Cl. 1-A-1, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 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 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa2; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Caa2; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Caa2; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to C; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-14, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa2; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa2; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A-8, Downgraded to C; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C; previously on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-67CB -- Cl. A-1, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C; previously on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-70CB -- Cl. A-1, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 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 C; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to C; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to C; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-73CB -- Cl. 1-A-1, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 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 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 B3 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 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to C; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to C; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa3; previously on Jan 14, 2010 Ba3 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 Caa3; previously on Jan 14, 2010 B3 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 C; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to Caa3; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-75CB -- Cl. A-1, Downgraded to Caa1; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa2; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to C; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to C; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-79CB -- Cl. A-1, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to C; previously on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to C; previously on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to C; previously on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-80CB -- Cl. 1-A-1, Downgraded to Caa3; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to Caa3; previously on Jan 14, 2010 Caa1 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. 2-X, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Ca; previously on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 3-X, Downgraded to Ca; previously on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Ca; previously on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 4-X, Downgraded to Ca; previously on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. PO, 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 B3 Placed Under Review for Possible Downgrade -- Cl. 5-X, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-83CB -- Cl. A-1, Downgraded to Caa2; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C; previously on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa2; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. PO, Confirmed at Ca; previously on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-86CB -- Cl. A-1, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C; previously on Jan 14, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C; previously on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa2; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa3; previously on Jan 14, 2010 B1 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-9, Downgraded to Caa3; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Caa3; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa1; previously on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-9CB -- Cl. 1-A-1, Downgraded to Caa1; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa1; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa1; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa1; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa1; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa1; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa1; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade DAVIS SQUARE: Moody's Downgrades Rating on Class A-1 to 'Ca' ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the rating of one class of notes issued by Davis Square Funding II, Ltd. The notes affected by the rating action are: -- Class A-1 Long Term Floating Rate Notes, Downgraded to Ca; previously on December 30, 2009 Downgraded to Caa3. Davis Square Funding II, Ltd. is a collateralized debt obligation issuance backed by a portfolio of primarily Residential Mortgage- Backed Securities originated between 2001 and 2007. According to Moody's, the rating downgrade action is the result of deterioration in the credit quality of the underlying portfolio. Such credit deterioration is observed through numerous factors, including a decline in the average credit rating of the portfolio (as measured by an increase in the weighted average rating factor), an increase in the dollar amount of defaulted securities, and failure of the coverage tests. The weighted average rating factor, as reported by the trustee, has increased from 593 in December 2009 to 664 in March 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 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. FIRST UNION: Fitch Affirms Ratings on 2001-C3 Certificates ---------------------------------------------------------- Fitch Ratings has affirmed and assigned Rating Outlooks and Loss Severity ratings to First Union National Bank Commercial Mortgage Trust's commercial mortgage pass-through certificates, series 2001-C3. The affirmations are due to stable performance and defeasance, along with limited Fitch expected losses upon disposition of specially serviced assets along with expected losses from Fitch's prospective review of potential stresses. Fitch expects losses of 1.2%, or $6.9 million from loans in special servicing and loans that cannot refinance at maturity based on Fitch's refinance. These losses will be absorbed by the class not rated by Fitch. The majority of Fitch's expected losses are associated with loans currently in special servicing. As of the March 2010 distribution date, the pool's certificate balance has paid down 31.6% to $560.2 million from $818.8 million at issuance. Of the remaining 106 loans, 27 (37.2%) have defeased and 68 have anticipated repayment dates or maturity dates within 10 months. The weighted average coupon of the loans with upcoming maturities is 7.45%. There are three specially serviced loans in the pool (2%). One loan is in foreclosure, one is delinquent and one is real estate owned. The largest specially serviced asset (0.8%) is a 129,400 square foot industrial building located in Warren, MI. The loan transferred to special servicing in October 2009 and the special servicer is pursuing foreclosure. As of Hune, the net operating income debt service coverage ratio was 0.99 with an occupancy of 72%. The second largest specially serviced asset (0.7%) is a 55,674 sf office building located in Addison, TX. The loan transferred in August 2008 and was REO as of April 2009. The property is 64.9% occupied and is the headquarters for Mattress Giant. The special servicer is preparing to list the property for sale. 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 DSCR of 1.25x or higher were considered to payoff at maturity. Of the non- defeased or non-specially serviced loans, two loans (0.4% of the pool) incurred a loss when compared to Fitch's stressed value. Fitch has affirmed, assigned Outlooks and LS ratings to these classes: -- $380.6 million class A-3 at 'AAA/LS1'; Outlook Stable; -- Interest-only classes IO-I and IO-II at 'AAA'; Outlook Stable; -- $33.8 million class B at 'AAA/LS3'; Outlook Stable; -- $12.3 million class C at 'AAA/LS3'; Outlook Stable; -- $23.5 million class D at 'AAA/LS3'; Outlook Stable; -- $11.3 million class E at 'AAA/LS3'; Outlook Stable; -- $12.3 million class F at 'AAA/LS3'; Outlook Stable; -- $12.3 million class G at 'AAA/LS3'; Outlook Stable; -- $12.3 million class H at 'AAA/LS3'; Outlook Stable; -- $18.4 million class J at 'A/LS3'; Outlook Negative; -- $14.3 million class K at 'BBB/LS3'; Outlook Negative; -- $6.1 million class L at 'BBB-/LS4'; Outlook Negative; -- $4.1 million class M at 'BB+/LS5'; Outlook Negative; -- $6.1 million class N at 'BB/LS5'; Outlook Negative; -- $4.1 million class O at 'B-/LS5'; Outlook Negative. Fitch does not rate the $22.5 million class P. FULTON STREET: Moody's Downgrades Rating on Class A-1B to 'Caa3' ---------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the rating of one class of notes issued by Fulton Street CDO, Ltd. The notes affected by the rating action are: -- US$148,000,000 Class A-1B Floating Rate Notes Due April 20, 2032 (current balance of $77,608,779), Downgraded to Caa3; previously on March 24, 2009 Downgraded to Caa2. Fulton Street CDO, Ltd., is a collateralized debt obligation issuance backed primarily by a diversified portfolio of structured finance securities such as RMBS, CMBS and other ABS asset classes. RMBS are approximately 20% of the underlying portfolio. According to Moody's, the rating downgrade action is the result of deterioration in the credit quality of the underlying portfolio. Such credit deterioration is observed through numerous factors, including a decline in the average credit rating of the portfolio (as measured by an increase in the weighted average rating factor), and failure of the coverage tests. The weighted average rating factor, as reported by the trustee, has increased from 1893 in February 2009 to 2456 in March 2010. During the same time, the Class A1 overcollateralization ratio decreased from 87.17% to 70.3% and the coverage test is failing. 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. GE COMMERCIAL: Fitch Affirms Ratings on Various 2004-C2 Certs. -------------------------------------------------------------- Fitch Ratings affirms and assigns Rating Outlooks and Loss Severity ratings to GE Commercial Mortgage Corporation, commercial mortgage pass-through certificates, series 2004-C2: -- $52.6 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $73.4 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $574.5 million class A-4 at 'AAA/LS1'; Outlook Stable; -- $212.2 million class A-1A at 'AAA/LS1'; Outlook Stable; -- Interest-only class X-1 at 'AAA'; Outlook Stable; -- Interest-only class X-2 at 'AAA'; Outlook Stable; -- $41.3 million class B at 'AA+/LS3'; Outlook Stable; -- $17.2 million class C at 'AA/LS3'; Outlook Stable; -- $25.8 million class D at 'A+/LS3'; Outlook Stable; -- $15.5 million class E at 'A-/LS4'; Outlook Stable; -- $18.9 million class F at 'BBB+/LS3'; Outlook Stable; -- $17.2 million class G at 'BBB/LS3'; Outlook Stable; -- $18.9 million class H at 'BBB-/LS3'; Outlook Negative; -- $10.3 million class J at 'BB+/LS4'; Outlook Negative; -- $8.6 million class K at 'BB/LS4'; Outlook Negative; -- $6.9 million class L at 'BB-/LS5'; Outlook Negative; -- $5.2 million class M at 'B+/LS5'; Outlook Negative; -- $3.1 million class PPL-1 at 'BBB-'; Outlook Stable; -- $3.1 million class PPL-2 at 'BBB-'; Outlook Stable; -- $4.7 million class PPL-3 at 'BB+'; Outlook Stable; -- $6 million class PPL-4 at 'BB-'; Outlook Stable; -- $3.8 million class PPL-5 at 'B+'; Outlook Stable; -- $4.6 million class PPL-6 at 'B'; Outlook Stable. Fitch does not rate the $5.2 million class N, the $3.4 million class O, or the $17.7 million class P certificates. Class A-1 has been paid in full. Affirmations are due to the pool's stable performance and minimal future expected losses following Fitch's prospective review of potential stresses to the transaction. Fitch expects potential losses of 1.1% of the remaining pooled balance, approximately $12.5 million, from the loan in special servicing and the loans that cannot refinance at maturity based on Fitch's refinance test. As of the March 2010 distribution date, the pool's collateral balance has paid down 18% to $1.13 billion from $1.38 billion at issuance. Twelve loans have defeased (12.5%). As of the March 2010 distribution date, there is one specially serviced loan (0.7%). The specially serviced loan is secured by a manufactured housing community located in Massillon, OH. The loan transferred to special servicing in March 2009 and was scheduled to mature in February 2009. The loan is current, with an extended maturity of October 2010. Fitch stressed the cash flow of the remaining non-defeased loans by applying a 10% reduction to 2008 fiscal year end net operating income and applying an adjusted market cap rate between 7.5% and 10.5% 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-two loans did not payoff at maturity with eight loans incurring a loss when compared to Fitch's stressed value. GMAC COMMERCIAL: S&P Downgrades Ratings on Nine 2001-C2 CMBS ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on nine classes of commercial mortgage-backed securities from GMAC Commercial Mortgage Securities Inc.'s series 2001-C2 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on six other classes from the same transaction and removed three of them from CreditWatch with negative implications. The actions follow S&P's analysis of the transaction using its U.S. conduit and fusion CMBS criteria. The downgrades of the mezzanine and subordinate classes also reflect credit support erosion that S&P anticipates will occur upon the eventual resolution of seven specially serviced loans and one credit- impaired loan. S&P lowered its ratings on classes N and O to 'D' due to recurring interest shortfalls. The shortfalls primarily reflect appraisal subordinate entitlement reduction amounts on three assets that are currently with the special servicer, Berkadia Commercial Mortgage LLC. S&P expects the interest shortfalls to continue for the foreseeable future. Classes N and O have accumulated outstanding interest shortfalls of $95,841 and $122,688, 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 of 1.31x and a loan-to-value ratio of 79.8%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average DSC of 1.13x and an LTV ratio of 106.4%. The implied defaults and loss severity under the 'AAA' scenario were 36.0% and 36.6%, respectively. The DSC and LTV calculations S&P noted above exclude 26 defeased loans ($203.9 million, 35.0%), seven specially serviced assets ($78.1 million, 13.5%), and one loan that S&P determined to be credit-impaired ($13.5 million, 2.3%). S&P separately estimated losses for the specially serviced assets and the credit-impaired loan and included them in S&P's 'AAA' scenario implied default and loss figures. The affirmations of the ratings on the principal and interest certificates reflect subordination levels that are consistent with the outstanding ratings. S&P affirmed its rating on the class X-1 interest-only certificate 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 2010 remittance report, seven assets ($78.1 million, 13.5%) in the pool were with the special servicer, Berkadia, including three of the top 10 exposures. The payment status of the specially serviced assets is: two are real estate owned (REO; $16.5 million, 2.9%), one is in foreclosure ($17.8 million, 3.1%), and four are 90-plus-days delinquent ($43.8 million, 7.6%). Three of the specially serviced assets have appraisal reduction amounts in effect totaling $21.7 million. The related monthly ASER amount on the March 2010 trustee remittance report for these ARAs was $182,374. The Lichtenstein Portfolio is the largest exposure with the special servicer and also the largest exposure in the pool. The portfolio consists of three cross-collateralized and cross- defaulted loans with a total exposure of $47.8 million: two are with the special servicer ($40.1 million, 7.0%) and one is partially defeased. The Lichtenstein Pennsylvania Office Portfolio loan and the Lichtenstein Florida Portfolio loan are the two loans with the special servicer, and the Lichtenstein Maryland Portfolio loan is partially defeased. The Lichtenstein Pennsylvania Office Portfolio loan is secured by four office properties in Allentown, Reading, and Harrisburg, Pa. The Lichtenstein Florida Portfolio loan is secured by one office and four industrial properties in Jacksonville, Fla. Both loans were transferred to the special servicer in July 2009 due to payment default. The reported combined DSC for the two portfolios was 0.72x as of year-end 2008. The special servicer rejected a modification proposal from the borrower and Berkadia is moving forward with foreclosure. The borrower has stated that it will not contest the foreclosure. An ARA totaling $10.4 million is in effect for this asset. S&P expects a moderate loss upon the eventual resolution of this loan. The Princeton Park Corporate Center loan ($20.7 million total exposure, 3.1%) is the second-largest asset with the special servicer and the fifth-largest asset in the pool. The loan was transferred to the special servicer in May 2008 due to payment default and is now in foreclosure. The loan is secured by a 178,591-sq.-ft. office building in South Brunswick, N.J. The property's revenue declined sharply following the departure of a major tenant when its lease expired in July 2007. Then in July 2008, a fire caused significant damage to the building. Berkadia tried to negotiate a settlement of the loan with the borrower while overseeing the administration of the insurance claim related to the fire. After settlement terms could not be reached, the special servicer initiated foreclosure proceedings on the loan. The reported DSC was 0.14x as of year-end 2008. An ARA totaling $1.4 million is in effect for this asset. S&P expects a significant loss upon the eventual resolution of this loan. 400 Horsham Road is the third-largest asset with the special servicer and the eighth-largest asset in the pool, with a total exposure of $16.3 million (2.6%). The property is a 150,581-sq.- ft. office building in Horsham, Pa., built in 1960 and renovated in 2000. This loan was transferred to the special servicer on May 6, 2008, and became REO on Sept. 24, 2008. An ARA totaling $9.5 million is in effect for this asset. A sale of the property has been approved and a contract has been signed with an anticipated closing on April 28, 2010. S&P expects a significant loss upon the eventual resolution of this asset. The three remaining specially serviced assets that were listed on the March 2010 remittance report have balances that individually represent less than 0.4% of the total pool balance. S&P estimated losses for all of these loans to arrive at a weighted average loss severity of 25%. One of the assets is REO and two are 90-plus- days delinquent with foreclosure proceedings underway. In addition to the specially serviced assets, S&P determined the Courtyard by Marriott loan ($13.5 million; 2.3%), which is the ninth-largest exposure in the pool, to be credit-impaired. This loan, which is secured by a 155-room limited-service hotel in Milpitas, Calif., is on the master servicer's watchlist. As of December 2009, the DSC and occupancy were 0.62x and 65%, respectively. Due to the low occupancy and DSC, S&P considers this loan to be at increased risk of default and loss. S&P's analysis also considered the transaction's significant near- term loan maturities. Excluding the 26 defeased loans and seven specially serviced assets, approximately 48.5% of the loans, by balance, mature by June 2011. Transaction Summary As of the March 2010 remittance report, the collateral pool balance was $576.8 million, which is 76.4% of the balance at issuance. The pool includes 82 loans, down from 96 at issuance. As of the March 2010 remittance report, the master servicer provided financial information for 97.7% of the pool, and 47.2% of the servicer-provided information was interim-2009 or full-year 2009 data. S&P calculated a weighted average DSC of 1.21x for the nondefeased loans in the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.31x and 79.8%, respectively, after excluding the 26 defeased loans ($203.9 million, 35.0%), seven specially serviced assets ($78.1 million, 13.5%), and one credit-impaired loan ($13.5 million, 2.3%). S&P estimated losses separately for the specially serviced loans and the credit- impaired loan. Without these eight assets, S&P's adjusted DSC would be 1.18x. Fourteen loans ($94.2 million, 16.3%) are on the master servicer's watchlist, including two of the top 10 loans, one of which is discussed above and one is discussed below. Thirteen loans ($154.9 million, 26.9%) have a reported DSC of less than 1.10x, and eight of these loans ($113.6 million, 19.7%) have a reported DSC of less than 1.0x. The transaction has experienced six principal losses to date totaling $10.1 million. Summary of The Top 10 Loans The top 10 exposures have an aggregate outstanding balance of $208.8 million (36.2%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.08x for the top 10 loans. As of the March 2010 remittance report, two of the top 10 loans appear on the master servicer's watchlist. S&P's adjusted DSC and LTV for the top 10 loans are 1.22x and 90.7%, respectively, which exclude three specially serviced assets and one credit-impaired loan. If S&P include these assets, S&P's adjusted DSC for the top 10 loans is 1.01x. The Corporate Woods Office Building loan ($29.2 million, 5.1%) is the largest loan on the watchlist and the second largest exposure in the pool. The loan is secured by a 282,850-sq.-ft. office complex in Earth City, Mo. The loan is on the watchlist due to a low DSC and because a major tenant's lease is expiring. The low DSC was caused by Sara Lee vacating the property in August 2009 after its lease expired. In addition, SBC Advanced Solutions Inc. occupies 50% of the net rentable area and has a lease that expires Aug. 31, 2010. The borrower is in discussions with SBC to renew the lease. The reported year-end 2009 DSC was 1.09x. Standard & Poor's stressed the loans in the pool according to its conduit/fusion criteria. The resultant credit enhancement levels support the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2001-C2 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- F A+ AA-/Watch Neg 13.63 G BBB- A/Watch Neg 11.83 H B A-/Watch Neg 10.19 J CCC+ BBB-/Watch Neg 6.10 K CCC BB/Watch Neg 5.12 L CCC- B-/Watch Neg 4.14 M CCC- CCC+/Watch Neg 2.18 N D CCC/Watch Neg 1.52 O D CCC-/Watch Neg 0.87 Ratings Affirmed And Removed From Creditwatch Negative GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2001-C2 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- C AAA AAA/Watch Neg 20.50 D AA+ AA+/Watch Neg 17.88 E AA AA/Watch Neg 16.25 Ratings Affirmed GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2001-C2 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-2 AAA 28.35 B AAA 22.46 X-1 AAA N/A N/A - Not applicable. GREENWICH CAPITAL: S&P Downgrades Ratings on 11 2006-RR1 Certs. --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 11 classes of commercial mortgage-backed securities pass-through certificates from Greenwich Capital Commercial Mortgage Trust 2006-RR1, a U.S. resecuritized real estate mortgage investment conduit transaction. At the same time, S&P removed the lowered ratings from CreditWatch with negative implications. S&P downgraded classes E through K to 'D' to reflect interest shortfalls that S&P expects to continue for the foreseeable future. The downgrades of the remaining classes reflect S&P's view that these securities may be susceptible to continued or future liquidity interruptions. The liquidity interruptions to GCCMT 2006-RR1 resulted from interest shortfalls on the underlying CMBS collateral. The interest shortfalls were primarily due to special servicing fees, servicers' nonrecoverability determinations for advances, and appraisal subordinate entitlement reductions. According to the March 22, 2010, trustee report, classes A2 through S experienced interest shortfalls totaling $657,559 during the payment period. The accumulated interest shortfalls reported for these certificates totaled $3.9 million. GCCMT 2006-RR1 is collateralized by 74 CMBS classes ($660.9 million, 100%) from 34 distinct transactions. The CMBS collateral was issued in 1998- 2006, with 99.5% of the collateral issued in 2005 and 2006. S&P previously downgraded classes L through Q to 'D'. Standard & Poor's analyzed GCCMT 2006-RR1 and its underlying collateral according to S&P's current criteria. S&P's analysis supports the lowered ratings. Ratings Lowered And Removed From Creditwatch Negative Greenwich Capital Commercial Mortgage Trust 2006-RR1 CMBS pass-through certificates Rating ------ Class To From ----- -- ---- A1 B+ BBB-/Watch Neg A2 CCC B/Watch Neg B CCC- CCC+/Watch Neg C CCC- CCC+/Watch Neg D CCC- CCC/Watch Neg E D CCC-/Watch Neg F D CCC-/Watch Neg G D CCC-/Watch Neg H D CCC-/Watch Neg J D CCC-/Watch Neg K D CCC-/Watch Neg HILLCREST CDO: 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 Hillcrest CDO I Ltd. The notes affected by the rating action are: -- Class A-1a Floating Rate Senior Secured Notes Due 2039, Downgraded to Ca; previously on 3/18/2009, Downgraded to Caa2 -- Class A-1b Fixed Rate Senior Secured Notes Due 2039, Downgraded to Ca; previously on 3/18/2009, Downgraded to Caa2 -- Class 2 Composite Notes, Downgraded to Ca; previously on 12/22/2008 Downgraded to Caa2 -- Class 3 Composite Notes, Downgraded to Caa3; previously on 3/18/2009 Downgraded to Ba1 Hillcrest CDO I Ltd. is a collateralized debt obligation issuance backed by a portfolio of primarily Residential Mortgage-Backed Securities originated between 2003 and 2006. According to Moody's, the rating downgrade actions are the result of deterioration in the credit quality of the underlying portfolio. Such credit deterioration is observed through numerous factors, including a decline in the average credit rating of the portfolio (as measured by an increase in the weighted average rating factor), 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 1347 in March 2009 to 2350 in March 2010. During the same time, defaulted securities increased from $92 million to $128 million. In addition, the trustee reports that the transaction is currently failing its overcollateralization tests. 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. JP MORGAN: Fitch Downgrades Ratings on Various 2001-CIBC3 Notes --------------------------------------------------------------- Fitch Ratings downgrades, revises Rating Outlooks and assigns Loss Severity ratings, Recovery Ratings, and Outlooks to J.P. Morgan Chase Commercial Mortgage Securities Corp. 2001-CIBC3, as indicated: -- $17.3 million class G to 'BBB/LS4' from 'BBB+'; Outlook Negative; -- $6.5 million class H to 'BB/LS5' from 'BBB'; Outlook Negative; -- $6.5 million class J to 'B/LS5' from 'BBB-'; Outlook Negative; -- $7.6 million class K to 'B-/LS5' from 'BB'; Outlook Negative; -- $4.3 million class L to 'B-/LS5' from 'B+'; Outlook Negative; -- $4.3 million class M to 'CCC/RR4' from 'B-'. In addition, Fitch affirms these classes and assigns Outlooks & LS ratings as indicated: -- $27.5 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $457.3 million class A-3 at 'AAA/LS1'; Outlook Stable; -- Interest-only class X-1 at 'AAA'; Outlook Stable; -- $36.9 million class B at 'AAA/LS3'; Outlook Stable; -- $36.9 million class C at 'AAA/LS3'; Outlook Stable; -- $9.8 million class D at 'AAA/LS4'; Outlook Stable; -- $27.1 million class E at 'AAA/LS3; Outlook Stable; -- $10.8 million class F at 'AA/LS4' Outlook Negative. Fitch does not rate class NR. 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 2.86% of the remaining pool balance, approximately $19 million, from the loans in special servicing and loans that cannot refinance at maturity based on Fitch's refinance test. As of the March 2010 distribution date, the pool's collateral balance has paid down 23.4% to $664.7 million from $867.5 billion at issuance. Twenty-nine of the remaining loans have defeased (32.1%). As of March 2010, there are seven specially serviced loans (4.08%). The largest specially serviced loan (1.43%) is secured by a 233,709 square foot retail property located in Madison, WI. The loan transferred to special servicing in March 2009 for imminent payment default and is now 90 days delinquent. The special servicer is working with the borrower to stabilize the property and increase occupancy. The second largest specially serviced asset (0.83%) is a real estate owned (REO) office property located in Milpitas, CA. The property became REO in September and is vacant generating no income. The special servicer has engaged CB Richard Ellis to manage and market the property. Fitch stressed the cash flow of the remaining non-defeased loans by applying a 10% reduction to 2008 fiscal year end net operating income and applying an adjusted market cap rate between 7.25% 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 payoff at maturity. Ten loans did not payoff at maturity with five loans incurring a loss when compared to Fitch's stressed value. JP MORGAN: Moody's Downgrades Ratings on 89 Tranches ---------------------------------------------------- Moody's Investors Service has downgraded the ratings of 89 tranches, confirmed the ratings of 22 tranches, and upgraded the rating of 9 tranches from six RMBS transactions, backed by prime jumbo loans, issued by J.P. Morgan Mortgage Trust. The collateral backing these transactions consists primarily of first-lien, fixed, 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 Mortage Trust 2006-S2 -- Cl. 1-A-1, Downgraded to B2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C; previously on Jun 24, 2009 Downgraded to Ca -- Cl. 1-A-3, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-14, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-15, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-16, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-17, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-18, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-19, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-20, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-21, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-22, Downgraded to Caa2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A-24, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa1; previously on Dec 17, 2009 B3 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 Caa1; 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 Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 3-A-7, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 3-A-8, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 3-A-9, Downgraded to C; previously on Jun 24, 2009 Downgraded to Ca -- Cl. 3-A-10, Downgraded to Caa3; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 3-A-11, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 3-A-12, Downgraded to Caa3; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 3-A-13, Downgraded to C; previously on Jun 24, 2009 Downgraded to Ca -- Cl. 3-A-14, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-P, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade Issuer: J.P. Morgan Mortgage Trust 2006-S1 -- Cl. 1-A-1, Downgraded to B1; previously on Dec 17, 2009 Baa1 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 B2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Ba2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to B2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Ba3; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to B3; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to B1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-8, Downgraded to B3; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2-A-9, Downgraded to B2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to B2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to B2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to Baa1; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. 3-A-4, Downgraded to Ba3; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 3-A-5, Confirmed at Baa1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 3-A-6, Downgraded to B2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. 3-A-7, Downgraded to Ba1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 3-A-8, Downgraded to B2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-M, Downgraded to C; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to B2; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to B3; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade Issuer: J.P. Morgan Mortgage Trust 2006-S3 -- 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 B3; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Ba1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Confirmed at B2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-14, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-15, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-16, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-17, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-18, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-19, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-21, Downgraded to Caa2; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-22, Downgraded to Caa2; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-23, Downgraded to Ca; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-24, Downgraded to B3; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A-25, Downgraded to C; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-26, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-27, Downgraded to C; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-28, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-29, Downgraded to C; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-30, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A-31, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Upgraded to B1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Confirmed at Ba3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Upgraded to B1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Upgraded to Baa3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Upgraded to B1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A-8, Upgraded to B2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-P, Upgraded to B1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to B3; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade Issuer: J.P. Morgan Mortgage Trust 2006-S4 -- Cl. A-1, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to B1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-10, Upgraded to B1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-11, Upgraded to B1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-13, Upgraded to B1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-P, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade Issuer: J.P. Morgan Mortgage Trust 2007-S1 -- Cl. 2-A-1, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade Issuer: J.P. Morgan Mortgage Trust 2007-S2 -- Cl. 1-A-4, Downgraded to Caa3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Caa3; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to C; previously on May 1, 2009 Downgraded to Ca -- Cl. 1-A-11, Downgraded to Caa3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade JP MORGAN: Moody's Reviews Ratings on Eight 2002-C3 Certificates ---------------------------------------------------------------- Moody's Investors Service placed eight classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2002-C3 on review due to higher expected losses for the pool resulting from estimated losses from specially serviced and watchlisted loans and interest shortfalls. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the March 12, 2010 distribution date, the transaction's aggregate certificate balance has decreased by approximately 25% to $558.7 million from $745.3 million at securitization. The Certificates are collateralized by 77 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top 10 non- defeased loans representing 29% of the pool. Thirteen loans, representing 33% of the pool, have defeased and are collateralized by U.S. Government securities. Eighteen loans, representing 21% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Three loans have been liquidated from the pool since securitization, resulting in an aggregate $32.2 million loss (52% loss severity on average). Classes M, N and the nonrated class have been 100% eliminated due to losses and Class L has experienced a 91% principal loss. Four loans, representing 7% of the pool, are currently in special servicing. The largest specially serviced loan is the 78 Corporate Center Loan ($17.5 million -- 3.1% of the pool), which is secured by a 185,850 square foot office building located in Lebanon, New Jersey. The loan was transferred to special servicing in January 2009 and is currently 90+ days delinquent. The servicer has recognized a $12.3 million appraisal reduction for this loan. The remaining three specially serviced loans are secured by multifamily, office and hotel properties. As of the most recent statement date, Classes L through H have experienced cumulative interest shortfalls totaling $896,764. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions and extraordinary trust expenses. According to the master servicer, Berkadia Commercial Mortgage LLC, interest shortfalls are expected to increase in April and also affect Classes G through D. The increase in interest shortfalls is primarily due to on-going litigation expenses associated with the 318 West Adams Loan as well as Berkadia's plans to reduce its outstanding advances on the Maple Glen Loan. The 318 West Adams Loan was sold in September 2005 for a significant loss (loan balance at sale -- $10.7 million; 79% loss severity). The special servicer, ING Clarion Capital Loan Servicing LLC, has been in litigation against multiple defendants, including the loan guarantor and the loan seller, for fraud and breach of reps & warrantees. The litigation has been on-going for several years and is expected to go to trial in September 2010. The legal expenses that will be passed through the trust in the April remittance is approximately $243,000. These expenses may increase as the case approaches the trial date. The Maple Glen Loan ($7.8 million -- 1.4% of the pool), is secured by a 705 unit multifamily property located in Columbus, Ohio. The property was transferred to special servicing in August 2008. In March 2010 Berkadia declared the loan non-recoverable, allowing it to recoup advances previously made on the loan. As of the most recent remittance date, Berkadia has advanced approximately $1.8 million for principal and interest payments and property protection advances. Berkadia has indicated that it plans to reduce its outstanding advances by about $65,000 in April. The property is currently under contract for sale for $1.8 million and is expected to close by the end of April. Moody's review will focus on potential losses from specially serviced and watchlisted loans, the performance of the overall pool and interest shortfalls. Moody's rating action is: -- Class C, $9,316,000, currently rated Aaa, on review for possible downgrade; previously upgraded to Aaa from Aa3 on 12/20/2005 -- Class D, $24,224,000, currently rated Aa1, on review for possible downgrade; previously upgraded to Aa1 from Aa2 on 5/7/2008 -- Class E, $9,316,000, currently rated Aa3, on review for possible downgrade; previously upgraded to Aa3 from A3 on 12/20/2005 -- Class F, $22,360,000, currently rated Baa1, on review for possible downgrade; previously upgraded to Baa1 from Baa2 on 12/20/2005 -- Class G, $11,180,000, currently rated Baa3, on review for possible downgrade; previously assigned Baa3 on 12/23/2002 -- Class H, $14,907,000, currently rated Ba3, on review for possible downgrade; previously downgraded to Ba3 from Ba2 on 3/23/2007 -- Class J, $13,043,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from B2 on 3/23/2007 -- Class K, $2,795,000, currently rated Ca, on review for possible downgrade; previously downgraded to Ca from B3 on 3/23/2007 JPMORGAN CHASE: S&P Downgrades Ratings on Eight 2004-CIBC10 CMBS ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on eight classes of commercial mortgage-backed securities from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2004-CIBC10 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 14 additional classes from the same transaction and removed six of them from CreditWatch with negative implications. The downgrades follow S&P's analysis of the transaction using its U.S. conduit and fusion CMBS criteria. The downgrades of the subordinate and mezzanine classes also reflect credit support erosion that S&P anticipates will occur upon the eventual resolution of 11 specially serviced assets, as well as its analysis of two loans that S&P 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, S&P calculated an adjusted debt service coverage of 1.43x and a loan-to-value ratio of 87.4%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 1.13x and an LTV ratio of 109.7%. The implied defaults and loss severity under the 'AAA' scenario were 45.8% and 25.7%, respectively. The DSC and LTV calculations S&P noted above exclude 20 defeased loans ($288.2 million, 17.4%), 11 ($184.4 million, 11.2%) of the 13 specially serviced assets, and two loans that S&P determined to be credit-impaired ($6.4 million, 0.4%). S&P separately estimated losses for these 13 specially serviced and credit-impaired assets and included them in S&P's 'AAA' scenario implied default and loss figures. The affirmations of the ratings on the principal and interest certificates reflect subordination levels that are consistent with the outstanding ratings. S&P affirmed its ratings on the class X- 1 and X-2 interest-only certificates based on S&P's current criteria. S&P published a request for comment proposing changes to 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, 13 assets ($201.1 million, 12.2%) in the pool were with the special servicer, LNR Partners Inc. The payment status of the specially serviced assets is: three are real estate owned (REO; $12.4 million, 0.8%), four are in foreclosure ($107.8 million, 6.5%), one is 90-plus-days delinquent ($3.9 million, 0.2%), two are 60 days delinquent ($10.3 million, 0.6%), one is less than 30 days delinquent ($50.0 million, 3.0%), and two are within their grace periods ($16.7 million, 1.0%). Seven of the specially serviced assets have appraisal reduction amounts in effect totaling $28.8 million. The Continental Plaza loan, which has a total exposure of $89.0 million (5.3%), is the largest loan in the pool and is currently with the special servicer. The loan is secured by a 639,315-sq.-ft. office complex in Hackensack, New Jersey, built in 1968 and renovated in 1999. The loan was transferred to the special servicer on April 17, 2009, due to maturity default. The loan matured on Sept. 1, 2009. The borrower was unable to refinance the loan, and the property is now in foreclosure. The reported DSC for year-end 2008 was 1.19x, and occupancy as of September 2008 was 80.6%. S&P expects a significant loss upon the eventual resolution of this asset. The ABB Building loan, which has a total exposure of $50.0 million (3.0%), is the second-largest loan in the pool and the second- largest loan with the special servicer. The loan is less than 30 days delinquent and is secured by a 469,027-sq.-ft. single-tenant office property built in 1999 in Houston, Texas. The loan was transferred to the special servicer on Oct. 7, 2009, due to imminent maturity default. The single tenant, ABB Holdings Inc., vacated the property upon its lease expiration in December 2009, and the loan matured on Nov. 1, 2009. The borrower has indicated that it is not able to refinance. According to the special servicer, the borrower has been attempting to re-lease the property and has one tenant signed and in place for 13.5% of the net rentable area. LNR is awaiting a loan modification proposal from the borrower while concurrently pursuing foreclosure. Should the modification not occur, S&P expects a significant loss upon the eventual resolution of this asset. The 11 remaining specially serviced assets listed in the March 2010 remittance report ($63.1 million, 3.8%) have balances that individually represent less than 0.9% of the total pool balance. S&P estimated losses for nine of these assets, resulting in a weighted average loss severity of 20.5%. One of the remaining two loans was recently transferred to the special servicer (effective Feb. 5, 2010), and there is limited information available for this loan. LNR is reviewing a workout strategy for the other remaining loan. In addition to the specially serviced assets, S&P determined two loans ($6.4 million, 0.4%) to be credit-impaired. Both loans are secured by properties that have lost numerous tenants and are experiencing high vacancy rates. One property was 62% occupied as of July 2009, and one was 39% occupied as of September 2009. As a result, S&P views both of these loans to be at an increased risk of defaults and losses. Two loans totaling $8.4 million (0.4%) that were previously with the special servicer have been returned to the master servicer. According to the transaction documents, the special servicer is entitled to a workout fee equal to 1.00% of all future principal and interest payments on the corrected loans, provided that they continue to perform and remain with the master servicer. Transaction Summary As of the March 2010 remittance report, the collateral pool balance was $1.65 billion, which is 84.3% of the balance at issuance. The pool includes 193 loans, down from 202 loans at issuance. As of the March 2010 remittance report, the master servicer, Berkadia Commercial Mortgage LLC, had provided financial information for 82.3% of the nondefeased loans in the pool, and 80.3% of the information was full-year 2008, interim-2009, or full-year 2009 data. S&P calculated a weighted average DSC of 1.45x for the pool based on the reported figures. S&P's adjusted DSC and LTV, which exclude 20 defeased loans ($288.2 million, 17.4%), 11 ($184.4 million, 11.2%) of the 13 specially serviced assets, and two loans that S&P determined to be credit-impaired ($6.4 million, 0.4%), were 1.43x and 87.4%, respectively. S&P separately estimated losses for these 13 specially serviced and credit-impaired assets. Forty-eight loans ($340.8 million, 20.6%) are on the master servicer's watchlist, including two of the top 10 loans. Thirty-three loans ($208.3 million, 12.6%) have a reported DSC below 1.10x, and 24 of these loans ($133.6 million, 8.1%) have a reported DSC of less than 1.0x. Summary of Top 10 Loans The top 10 exposures have an aggregate outstanding balance of $373.1 million (22.6%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.41x for the top 10 loans. Two of the top 10 loans ($60.8 million, 3.7%) appear on the master servicer's watchlist. S&P's adjusted DSC and LTV for the top 10 loans are 1.34x and 90.4%, respectively. The Fountain Square loan is the fifth-largest loan in the pool and the largest loan on the master servicer's watchlist. The loan has a trust balance of $34.6 million (2.1%) and is secured by a 242,139-sq.-ft. office complex built in 1987 and renovated in 1998 in Boca Raton, Fla. According to the March 2010 watchlist report comments, the loan appears on the watchlist due to a decrease in occupancy. Reported DSC and occupancy as of June 30, 2009, were 1.29x and 79.5%, respectively. Reported occupancy as of the Dec. 31, 2009, rent roll was 75.0%, down from 96.0% at issuance. The Piilani Garden Apartments loan is the seventh-largest loan in the pool and the second-largest loan on the watchlist. The loan has a trust balance of $26.1 million (1.6%) and is secured by a 200-unit apartment complex built in 2004 in Kihei, Hawaii. According to the March 2010 watchlist report comments, the asset appears on the watchlist due to a low DSC and a decline in occupancy. Reported DSC and occupancy as of June 30, 2009, were 1.02x and 76.0%, respectively, down from 1.17x and 97.0% at issuance. Standard & Poor's stressed the loans in the pool according to its conduit/fusion criteria. The resultant credit enhancement levels are consistent with the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2004-CIBC10 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- H BBB- BBB/Watch Neg 5.64 J B BBB-/Watch Neg 4.01 K CCC+ BB+/Watch Neg 3.71 L CCC BB/Watch Neg 3.26 M CCC- BB-/Watch Neg 2.52 N CCC- B+/Watch Neg 2.23 P CCC- B/Watch Neg 1.78 Q CCC- B-/Watch Neg 1.63 Ratings Affirmed And Removed From Creditwatch Negative JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2004-CIBC10 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- B AA AA/Watch Neg 12.91 C AA- AA-/Watch Neg 11.87 D A+ A+/Watch Neg 10.98 E A A/Watch Neg 9.94 F A- A-/Watch Neg 8.60 G BBB+ BBB+/Watch Neg 6.97 Ratings Affirmed JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2004-CIBC10 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-3 AAA 23.74 A-4 AAA 23.74 A-5 AAA 23.74 A-6 AAA 23.74 A-1A AAA 23.74 A-J AAA 16.62 X-1 AAA N/A X-2 AAA N/A N/A - Not applicable. JPMORGAN CHASE: S&P Puts Five Ratings on CreditWatch Negative ------------------------------------------------------------- Standard & Poor's Ratings Services placed its ratings on five classes of commercial mortgage pass-through certificates from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2002- C3, a U.S. commercial mortgage-backed securities transaction, on CreditWatch with negative implications. The negative CreditWatch placements on classes D, E, F, and G reflect interest shortfalls on these classes as shown on the April 12, 2010, trustee remittance report. It is S&P's understanding that the interest shortfalls are primarily the result of legal expenses in connection with ongoing litigation relating to the 318 West Adams Street loan and the recovery of past advances made by the master servicer, Berkadia Commercial Mortgage LLC, on the Maple Glen loan. S&P placed its rating on the class C certificates on CreditWatch negative due to its determination that this class may be susceptible to liquidity interruption as a result of additional legal expenses that may be incurred in future periods. Litigation-Related Expenses Based on the April 2010 trustee remittance report, $242,451 was taken from the trust's general collection account to cover legal fees incurred over the past two months. It is S&P's understanding that the trust has incurred legal fees in connection with an ongoing litigation regarding the 318 West Adams Street loan. S&P referred to this litigation in S&P's March 11, 2010, release announcing six downgrades and five affirmations on this transaction. As S&P noted in that release, the trust has incurred approximately $1.5 million of legal and other related expenses to date. During S&P's March 2010 surveillance review, S&P inquired with the special servicer, ING Clarion Capital Loan Services LLC, about the status of the 318 West Adams Street loan litigation and the associated legal expenses. ING indicated that it was not in a position to quantify the litigation-related expenses. On April 7, 2010, the master servicer informed us that $242,451 in legal expenses would be passed through to the trust. This amount has been reflected in the April 2010 trustee remittance report. S&P believes that the trust will continue to incur litigation-related expenses with respect to the 318 West Adams Street loan, particularly since the trial, originally set for May 3, 2010, has been rescheduled for September 2010. In S&P's view, this could cause significant liquidity interruptions to the trust, and S&P may take additional rating actions if the rated classes experience further interest shortfalls. Nonrecoverable Advances The nonrecoverable advances are related to the Maple Glen asset, which currently has a total exposure of $9.6 million. In S&P's March 11 press release, S&P indicated that S&P expects a significant loss upon the eventual resolution of this asset. At the time of S&P's review, the master servicer had determined future advances nonrecoverable on March 4, 2010. Berkadia recently changed its position and indicated that it is recovering a substantial portion of its past advances made on this loan. Berkadia has indicated that there is approximately $1.7 million in outstanding advances on this loan. The master servicer recovered $65,000 of the past advances in the April 2010 trustee remittance report. Standard & Poor's is in discussions with the master servicer and special servicer in S&P's efforts to evaluate the impact of the legal expenses associated with the 318 West Adams Street loan and the recovery of advances related to the Maple Glen loan on the transaction's payment waterfall. The duration and extent of the interest shortfalls will depend on the amount of additional trust expenses that may be passed through to the trust. The liquidity interruptions may prompt Standard & Poor's to lower its ratings on the outstanding senior classes by multiple rating categories. S&P may lower some of the ratings on the subordinate classes to 'D' if the interest shortfalls continue for an extended period. Standard & Poor's expects to resolve the negative CreditWatch placements as more information concerning the litigation expenses and recovery of advances becomes available. Ratings Placed on Creditwatch Negative JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2002-C3 Rating ------ Class To From ----- -- ---- C AAA/Watch Neg AAA D AA/Watch Neg AA E A+/Watch Neg A+ F BB-/Watch Neg BB- G B-/Watch Neg B- LB-UBS COMMERCIAL: Moody's Reviews Ratings on Seven 2000-C3 Certs. ------------------------------------------------------------------ Moody's Investors Service placed seven classes of LB-UBS Commercial Mortgage Trust 2000-C3, Commercial Mortgage Pass- Through Certificates, Series 2000-C3 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 5% to 70% of the pool. The significant increase in specially serviced loans is largely due to the limited refinancing options for loans maturing in the current environment. Loans representing 93% of the pool have matured or are scheduled to mature within the next four months. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the March 17, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 80% to $257.0 million from $1.3 billion at securitization. The Certificates are collateralized by 41 mortgage loans ranging in size from less than 1% to 17% of the pool, with the top ten loans representing 67% of the pool. The pool includes a credit tenant lease component, which represents 3% of the pool. Three loans, representing 8% of the pool, have defeased and are collateralized by U.S. Government securities. Ten loans, representing 21% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twelve loans have been liquidated from the pool, resulting in a $5.4 million aggregate loss (21% loss severity on average). Twenty-two loans, representing 70% of the pool, are currently in special servicing. The largest specially serviced loan is the Sangertown Square Loan ($55.2 million -- 22.4% of the pool), which is secured by the borrower's interest in a 855,000 square foot retail property located in New Hartford, New York. The loan was transferred to special servicing in December 2009 for imminent default. The loan was structured with an anticipated repayment date of December 2009. The borrower is in negotiations with the special servicer on a loan medication. The remaining specially serviced loans are secured by a mix of retail, multifamily, and office properties. All of the specially serviced loans have either matured or are scheduled to mature within the next month. 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 G, $11,751,000, currently rated A2, on review for possible downgrade; previously upgraded to A2 from Baa2 on 11/7/2006 -- Class H, $20,891,000, currently rated Baa2, on review for possible downgrade; previously upgraded to Baa2 from Ba1 on 11/7/2006 -- Class J, $16,322,000, currently rated Ba1, on review for possible downgrade; previously upgraded to Ba1 from Ba2 on 11/7/2006 -- Class K, $9,792,000, currently rated Ba3, on review for possible downgrade; previously assigned Ba3 on 5/18/2000 -- Class L, $10,446,000, currently rated B2, on review for possible downgrade; previously downgraded to B2 from B1on 2/7/2008 -- Class M, $11,751,000, currently rated Caa1, on review for possible downgrade; previously downgraded to Caa1 from B2 on 2/7/2008 -- Class N, $3,917,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from Caa1 on 2/7/2008 LEHMAN ABS: Moody's Downgrades Ratings on Three Tranches -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of three tranches and confirmed the ratings of two tranches from one RMBS transaction issued by Lehman ABS Mortgage Loan Trust. The collateral backing this 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: Lehman ABS Mortgage Loan Trust 2007-1 -- Cl. 1-A1, Downgraded to Caa3; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Caa3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to Caa3; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 2-A3, Confirmed at Caa3; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. 2-A4, Confirmed at Caa3; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade LITTLEFIELD: Fitch Puts BB Rating on $1.2MM in Tax, Revenue Certs. --------------------------------------------------------------- Fitch Ratings takes this rating action on Littlefield, Texas' as part of its continuous surveillance effort; -- Approximately $1.2 million in outstanding combination tax and revenue certificates of obligation, series 1997 rated 'BB.' The Rating Outlook remains Negative. Rating Rationale: -- The majority of the city's outstanding debt is for a detention center (not rated by Fitch), which had been self- supporting from detention center operations. However, both detention center prisoners and the private operator left the facility in 2009, and despite the city's active efforts to locate prisoners or sell the facility, the detention center remains vacant. -- The lack of a debt service tax levy has resulted in considerable operating pressure. -- A fully funded debt service reserve remains in place, with the February 2010 principal and interest payment made from available funds, primarily excess water and sewer system revenues. Officials plan to make the next interest payment in August 2010 from available funds as well, although there is a possibility debt service reserve funds may be needed. -- General fund reserves are minimal; however, the water and sewer fund maintained about $800,000 in unrestricted net assets for the close of fiscal 2009. The city is considering making future detention center debt service payments from a combination of budget reductions, available city funds, and the imposition of an interest and sinking fund tax beginning in fiscal 2011. -- The city's tax base has shown moderate annual growth, and county unemployment rates, although higher than a year ago, remain below the state and nation. Proximity to the Lubbock metropolitan area offers additional employment opportunities for residents. What Could Trigger A Downgrade: -- Failure to identify a near-term financial solution in the fiscal 2011 budget is of immediate credit concern. -- The inability to develop a long solution may also lead to a negative credit action; such a solution may remain a challenge given current national economic conditions, tighter governmental budgets, and an overall reduction in the jail population. Security: The 1997 CO's constitute a general obligation of the city, payable from ad valorem taxes limited to $2.50 per $100 taxable assessed valuation (TAV). Administratively, the state attorney general will permit allocation of $1.50 of the $2.50 maximum tax rate for all general obligation debt based on 90% tax collection rate. Additionally, the COs are secured by a pledge of surplus water and sewer revenues. Credit Summary: The speculative grade rating and Negative Outlook reflect the uncertainty as to when and if the city can secure an operator or buyer for the detention center as well as the city's limited financial resources to repay the detention center debt. To the surprise of city officials, the state of Idaho announced their plans to leave the Littlefield facility in January 2009, citing the need to consolidate all of its out-of-state prisoners into a larger facility in Oklahoma. In addition, the detention center's private operator, the Geo Group, unexpectedly announced termination of their agreement to manage the facility effective January 2009. The move to leave Littlefield by the Geo Group is significant, given that the established private operator had made sizable equity investments in the detention center reportedly totaling approximately $2 million. In the past, the ability of the Geo Group to quickly replace prisoners with little disruption in operations, as well as their investment in the Littlefield detention center were cited as credit strengths. Since GEO's announcement, the city has actively pursued a solution to the detention center situation, including the hiring of an outside consultant to identify potential operators and prisoners as well as buyers for the facility. The city entered into an operator agreement with Southwestern Correctional, which has been unable to successfully negotiate an agreement to house prisoners in Littlefield. The agreement with Southwestern Correctional is not exclusive and the city continues to seek discussions with other operators. Exacerbating city efforts is the current national recession, cuts in governmental spending, and a reduced jail population. In the interim, the city continues to meet debt service obligations. The city made the February 2010 principal and interest payment from available funds, primarily from the water and sewer system. As of the end of fiscal 2009, the water and sewer fund had approximately $800,000 in unrestricted net assets. Officials believe that sufficient city funds are available to make the smaller August 2010 interest payment, although there is a possibility that the debt service reserve fund may have to be tapped. The detention center fund maintained $786,000 in restricted assets for debt service (equal to one year's debt service) as of Sept. 30, 2009. Financial flexibility remains limited. The general fund balance is modest, with the city recording a $57,000 fund balance, or 1.4% of expenditures and transfers out. The city maintains some reserves in its other governmental funds, although their use may be restricted. While the water and sewer fund has historically provided significant general fund and detention center fund support, available surplus funds are expected to decline as excess revenues are transferred to the general fund. Officials have indicated, rather than drawing upon the debt service reserve fund, that the city is considering levying an interest and sinking fund tax to pay a portion of the detention center debt service, with the balance of detention center debt service requirements coming from expenditure reductions and available surplus funds. The city would have to almost double the property tax rate to pay for the entire detention center debt, which is not feasible. Developing a financial solution to meeting the city's debt service obligation beginning in the fiscal 2011 budget is an important credit consideration. Littlefield, with a population of 6,500, is located approximately 35 miles northwest of Lubbock and serves as the county seat for Lamb County. The area is primarily rural in nature, with agriculture services, government, manufacturing, and trade as key components of the county's economy. County unemployment rates have risen, with a 7.9% posted for February 2010; however, the rate remains below the statewide average of 8.2%. The city's population and TAV had been flat until recently; over the past several years, the tax base has increased by a compound annual growth rate of 4.6%, with another 7.2% gain for fiscal 2010. While there is moderate taxpayer concentration among the top 10 taxpayers, there is generally a good mix of industries within the list. LNR CDO: Fitch Downgrades Ratings on 11 Classes of 2006-1 Notes --------------------------------------------------------------- Fitch Ratings has downgraded 11 classes issued by LNR CDO 2006-1, Ltd./LLC(IV) as a result of increased interest shortfalls to the underlying collateral. On the March 29, 2010 payment date, the class B-FL and B-FX notes did not receive their full interest distributions as a result of insufficient interest proceeds due to interest shortfalls on the underlying collateral. On April 2, 2010, the trustee declared an event of default due to non-payment of full and timely accrued interest to the class B-FL and B-FX notes. Fitch rates the class B notes to the timely receipt of interest and has therefore downgraded these classes to 'D'. Noteholders had not given direction to accelerate the notes or liquidate the portfolio at the time of this review. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model for projecting future default levels for the underlying portfolio. The degree of correlated default risk of this collateral is high given the CMBS and vintage concentrations. Further, in its review, Fitch analyzed the structure's sensitivity to the default of the distressed collateral ('CCC' category and lower) and assets that are experiencing interest shortfalls (56.9%). Approximately 98.3% of the collateral is rated below investment grade, with 63.7% of the portfolio with a Fitch derived rating in the 'CCC' category or lower. Fitch's loss expectation exceeds the credit enhancement available to classes C and below. Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, classes C through G have been downgraded to 'C', indicating that default is inevitable at maturity. According to the March 29, 2010 trustee report, the class A notes received their full interest payment. However, after payment of the class A interest, only $27,122 in interest proceeds remained. Fitch anticipates that further interest shortfalls to the underlying collateral will cause an interest shortfall to the class A notes, due to the slim margin of interest proceeds available beyond the interest due on the class A notes. As a result, the class A notes have been downgraded to 'C', indicating that default is inevitable. LNR CDO IV is collateralized by all or a portion of 151 classes in 36 separate underlying CMBS transactions. Approximately 27% of the collateral currently is not rated and represents the first loss position of the respective underlying CMBS transaction. All underlying classes are thin, junior tranches that are susceptible to losses in the near-term. Fitch has downgraded these classes: -- $474,385,000 Class A Notes to 'C' from 'BB-' and remove from Rating Watch Negative; -- $204,174,000 Class B-FL Notes to 'D' from 'B' and remove from Rating Watch Negative; -- $ 10,000,000 Class B-FX Notes to 'D' from 'B' and remove from Rating Watch Negative; -- $73,154,000 Class C-FL Notes to 'C' from 'CCC'; -- $54,950,000 Class C-FX Notes to 'C' from 'CCC'; -- $10,000,000 Class D-FL Notes to 'C' from 'CCC'; -- $54,052,000 Class D-FX Notes to 'C' from 'CCC'; -- $72,058,000 Class E Notes to 'C' from 'CCC'; -- $25,000,000 Class F-FL Notes to 'C' from 'CC'; -- $31,046,000 Class F-FX Notes to 'C' from 'CC'; -- $78,063,000 Class G Notes to 'C' from 'CC'. MANSFIELD TRUST: Fitch Takes Rating Actions on 2001-1 Certs. ------------------------------------------------------------ Fitch Ratings affirms and assigns Rating Outlooks and Loss Severity ratings to Mansfield Trust's commercial mortgage pass- through certificates, series 2001-1, as indicated: -- C$13.1 million class A-2 at 'AAA/LS1'; Outlook Stable; -- Interest-only class X at 'AAA'; Outlook Stable; -- C$7.3 million class B at 'AAA/LS3'; Outlook Stable; -- C$6.6 million class C at 'AAA/LS3'; Outlook Stable; -- C$8 million class D at 'A/LS3'; Outlook Stable; -- C$4 million class E at 'BB+/LS3'; Outlook Stable; -- C$3.3 million class F at 'B+/LS3'; Outlook Stable. Class A-1 has been paid in full. Fitch does not rate the C$4.6 million class G certificates. Affirmations are warranted following Fitch's prospective review of potential stresses as the pool has exhibited consistently stable performance since issuance. As of the March 2010 distribution date, the pool has paid down 82.3% to C$47 million from C$265.2 million at issuance. Six loans, 15.5% of the pool, are defeased. The weighted average remaining amortization term of the remaining loans is six months. The loans' weighted average seasoning is over 11 years and the short amortization term leads to increased equity and limited loss exposure on the loans. In addition there are no delinquent loans or specially serviced loans and the loans have significant borrower recourse in the event of default. Limited performance information is available for the loans with only 60% of the remaining loans reporting year end 2008 financials. The pool is comprised entirely of loans secured by properties in Canada. Specifically, the certificates are collateralized by 24 fixed-rate mortgage loans, consisting primarily of industrial (54.9%), office (17.3%) and retail (11.7%) properties, with concentrations in the provinces of Ontario (36.9%) and British Columbia (17.1%). Two loans (8.9%) have a most recent servicer- reported debt service coverage ratio below 1.0 times (x). Seventeen of the loans (17.3% of the pool) are scheduled to mature in 2010 with the non-defeased loans having a weighted average servicer-reported debt service coverage ratio of 1.43x. Fitch stressed the cash flow of the remaining non-defeased loans by applying a 10% reduction to 2008 fiscal year end or most recent reported net operating income and applying an adjusted market cap rate of 8.25% 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 1.25x or higher were considered to payoff at maturity. The loans are expected to payoff at maturity with no loans incurring a loss when compared to Fitch's stressed value. MORGAN STANLEY: Fitch Takes Various Rating Actions on Notes ----------------------------------------------------------- Fitch Ratings affirms, assigns Loss Severity ratings and Outlooks to Morgan Stanley Dean Witter Capital I Trust commercial mortgage pass-through certificates, series 2003-TOP9: -- $67 million class A-1 at 'AAA/LS1'; Outlook Stable; -- $610.8 million class A-2 at 'AAA/LS1'; Outlook Stable; -- Interest-only (IO) class X-1 at 'AAA'; Outlook Stable; -- Interest-only (IO) class X-2 at 'AAA'; Outlook Stable; -- $32.3 million class B at 'AAA/LS1'; Outlook Stable; -- $35 million class C at 'AA/LS1'; Outlook Stable; -- $12.1 million class D at 'A+/LS2'; Outlook Stable; -- $14.8 million class E at 'A-/LS2'; Outlook Stable; -- $6.7 million class F at 'BBB+/LS3'; Outlook Stable; -- $5.4 million class G at 'BBB/LS3'; Outlook Stable; -- $10.8 million class H at 'BBB-/LS3'; Outlook Stable; -- $4 million class J at 'BB+/LS3'; Outlook Negative; -- $5.4 million class K at 'BB/LS3'; Outlook Negative; -- $5.4 million class L at 'B+/LS3'; Outlook Negative; -- $2.7 million class M at 'B/LS4'; Outlook Negative; -- $2.7 million class N at 'B-/LS4'; Outlook Negative. Fitch does not rate the $8.3 million class O. Affirmations are due to the pool's stable performance and minimal future expected losses following Fitch's prospective review of potential stresses to the transaction. Fitch expects losses of 1% of the remaining pool balance, approximately $8.2 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 certificate balance has paid down 23.5% to $824.1 million from $1.1 billion at issuance. There are 127 of the original 137 loans remaining in transaction, 24 of which have defeased (14% of the current transaction balance). As of the March 2010 distribution date, there was one specially serviced loan (0.1% of the pool) which was sold in a combined Loan Note Sale on April 1, 2010 with a Realized loss of approximately $605,000, and will be passed thru the Trust in the April remittance period. Fitch expects the loss from the liquidated asset to be absorbed by the unrated class O. Fitch stressed the cash flow of the remaining non defeased loans by applying a 10% reduction to 2008 fiscal year end net operating income and applying an adjusted market cap rate between 7.5% and 10% to determine value. Similar to Fitch's prospective analysis of recent vintage CMBS, each loan also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. Loans that could refinance to a debt service coverage ratio of 1.25 times or higher were considered to payoff at maturity. Fourteen loans did not payoff at maturity and six loans incurred a minimal loss when compared to Fitch's stressed value. MORGAN STANLEY: S&P Downgrades Ratings on 12 2004-IQ8 Securities ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 12 classes of commercial mortgage-backed securities from Morgan Stanley Capital I Trust 2004-IQ8 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on five other classes from the same transaction. The downgrades follow S&P's analysis of the transaction using its U.S. conduit and fusion CMBS criteria, which was the primary driver of the rating actions. The downgrades of the subordinate classes also reflect the credit support erosion that S&P anticipates will occur upon the eventual resolution of five specially serviced loans. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.50x and a loan-to-value ratio of 81.0%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average DSC of 1.16x and an LTV of 107.9%. The implied defaults and loss severity under the 'AAA' scenario were 54.1% and 26.9%, respectively. S&P's weighted average DSC and LTV calculations exclude five specially serviced loans ($34.9 million; 5.8%) and four defeased loans ($38.9 million; 6.4%). S&P separately estimated losses for the five specially serviced loans, which S&P included in its 'AAA' scenario implied default and loss severity figures. The affirmations of the ratings on the principal and interest certificates reflect subordination levels that are consistent with the outstanding ratings. S&P affirmed its ratings on the class X- 1 and X-2 interest-only certificates based on its current criteria. S&P published a request for comment proposing changes to its IO criteria on June 1, 2009. Once S&P finalizes the 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, four loans ($32.5 million; 5.4%) in the pool were with the special servicer, Midland Loan Services Inc. One additional loan was transferred to the special servicer ($2.4 million; 0.4%) subsequent to the March 2010 remittance date. The payment status of the specially serviced loans is: one has a matured balloon balance ($9.2 million; 1.5%), three are 90-plus-days delinquent ($23.3 million; 3.9%), and one is current ($2.4 million; 0.4%). S&P separately estimated losses for the five specially serviced assets ($34.9 million; 5.8%) and arrived at a weighted average loss severity of 29%. Two of the specially serviced assets are top 10 loans ($27.8 million; 4.6%) and are discussed below. The Westcliff House Office Park loan ($18.6 million; 3.1%) is the largest loan with the special servicer and the seventh-largest loan in the pool. This loan was transferred to the special servicer on Aug. 12, 2009, due to imminent default. The loan is secured by 10, two-story office buildings and a single one-story office building in Las Vegas containing approximately 134,907 sq. ft. Located approximately eight miles from the Las Vegas Strip, the properties were built between 1994 and 1996. For year-end 2008 and for the six months ended June 30, 2009, the reported occupancy and DSC were 59% and 0.73x and 57% and 0.63x, respectively, down from 89% and 1.30x at issuance. The loan is currently 90-plus-days delinquent and in the process of foreclosure. Standard & Poor's expects a significant loss upon the eventual resolution of this asset. The River Rock Business Center loan ($9.2 million; 1.5%) is the second-largest loan with the special servicer and the ninth- largest loan in the pool. This loan was transferred to the special servicer on May 19, 2009, because the borrower failed to repay the loan at its July 1, 2009, maturity. The loan is secured by a 158,220-sq.-ft. office building in Murfreesboro, Tenn., approximately 30 miles southeast of Nashville, that was built in 1980 and renovated in 2003. The property is 100% leased to Verizon Wireless pursuant to a lease expiring Aug. 31, 2013. For year-end 2008, the occupancy and DSC were 100% and 1.87x, respectively. At this time, Standard & Poor's expects a minor loss upon the eventual resolution of this asset. The three remaining specially serviced loans ($7.1 million; 1.2%) have balances that individually represent less than 0.6% of the total pool balance. S&P separately estimated losses for all of these loans. S&P's analysis results in a weighted average loss severity of 26%. Transaction Summary As of the March 2010 remittance report, the transaction had an aggregate trust balance of $605.6 million (90 loans), compared with $759.2 million (100 loans) at issuance. Wells Fargo Bank N.A., the master servicer, provided financial information for all of the nondefeased loans in the pool. Thirty-nine percent of the servicer-provided financial information was either full-year 2008 or partial-year 2009 data and 61% was full-year 2009 data. S&P calculated a weighted average DSC of 1.45x for the nondefeased loans in the pool based on the master servicer's reported figures. S&P's adjusted DSC and LTV were 1.50x and 107.9%, respectively, and exclude five specially serviced loans ($32.9 million; 5.8%), and four defeased loans ($38.9 million; 6.4%). S&P separately estimated losses for the five specially serviced loans. Standard & Poor's adjusted DSC was higher than the DSC calculated from servicer figures in part due to adjustments made to the Anaheim Marriott loan ($67.8 million; 11.2%). The reported DSC was 0.73x for year-end 2009. The servicer's cap-ex figure for the Anaheim Marriott loan was in excess of 9% of the collateral property's total revenue. Standard & Poor's adjusted this figure to a 4%-6% range, which is consistent with its property evaluation criteria, resulting in a DSC of 1.21x. The trust has experienced $130,976 in principal losses. Twenty loans are on the master servicer's watchlist ($69.3 million; 11.4%). Two loans ($2.2 million, 0.4%) have a reported DSC between 1.0x and 1.1x, and 12 loans ($106.8 million, 17.6%) have a reported DSC of less than 1.0x. Summary Of Top 10 Loans The top 10 loans secured by real estate have an aggregate outstanding balance of $362.1 million (59.8%). Using servicer- reported information, S&P calculated a weighted average DSC of 1.38x. S&P's adjusted DSC and LTV figures for these top 10 loans were 1.45x and 87.6%, respectively. These calculations exclude the Westcliff House Office Park loan ($18.6 million; 3.1%) and the River Rock Business Center loan ($9.2 million; 1.5%), for which S&P separately estimated losses as discussed above. One of the top 10 loans is on the master servicer's watchlist and is discussed below. The World Apparel Center loan is the fifth-largest loan in the pool and is on the master servicer's watchlist. The loan has a $34.5 million trust balance (5.7%) and a $211.3 million whole-loan balance. The whole loan consists of four pari passu notes: a $34.5 million note was contributed to this transaction, a $35.9 million note was contributed to the BSCMS 2004-PWR5 transaction, a $70.4 million note was contributed to the JPM 2004- LN2 transaction, and $70.4 million note was contributed to the LBUBS 2004-C7 transaction. The loan is on the master servicer's watchlist due to a decline in occupancy at the collateral property. The loan is secured by a 1,150,705-sq.-ft., 40-story class A office building located at 1411 Broadway in midtown Manhattan. The building was constructed in 1970 and was renovated from 1998-1999 and 2001-2002. For year-end 2009, the occupancy and DSC were 75% and 1.23x, respectively. Standard & Poor's stressed the loans in the pool according to its U.S. conduit/fusion criteria. The resultant credit enhancement levels are consistent with S&P's lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative Morgan Stanley Capital I Trust 2004-IQ8 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- B A AA+/Watch Neg 11.89 C BBB+ A/Watch Neg 8.28 D BBB A-/Watch Neg 7.03 E BB+ BBB+/Watch Neg 5.62 F BB BBB/Watch Neg 4.84 G B+ BBB-/Watch Neg 3.74 H B- BB+/Watch Neg 2.80 J CCC BB/Watch Neg 2.33 K CCC- BB-/Watch Neg 1.70 L CCC- B+/Watch Neg 1.23 M CCC- B/Watch Neg 1.08 N CCC- B-/Watch Neg 0.92 Ratings Affirmed Morgan Stanley Capital I Trust 2004-IQ8 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- A-3 AAA 15.02 A-4 AAA 15.02 A-5 AAA 15.02 X-1 AAA N/A X-2 AAA N/A N/A -- Not applicable. MORGAN STANLEY: S&P Downgrades Ratings on Six 2005-RR6 Securities ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on six classes of commercial mortgage-backed securities pass-through certificates from Morgan Stanley Capital I Inc.'s series 2005-RR6, a U.S. resecuritized real estate mortgage investment conduit transaction. S&P removed three of these ratings from CreditWatch negative after lowering them to 'D', and 15 ratings remain on CreditWatch negative. The downgrades primarily reflect interest shortfalls that are affecting the transaction. S&P lowered its ratings on classes L, M, and N to 'D' from 'CCC-' due to accumulated interest shortfalls. S&P expects these classes to continue experiencing interest shortfalls for the foreseeable future. S&P lowered its rating on class G to 'B' due to S&P's determination that the class is susceptible to future liquidity interruptions. Fifteen ratings remain on CreditWatch negative primarily because of MSC 2005-RR6's exposure to CMBS collateral with ratings on CreditWatch negative ($18.8 million, 4%). S&P may take additional rating actions if S&P determine that any class' interest shortfalls are recurring and expected to continue for the foreseeable future. The liquidity interruptions to MSC 2005-RR6 resulted from interest shortfalls on the underlying CMBS collateral. The interest shortfalls were primarily due to special servicing fees and appraisal subordinate entitlement reductions. According to the March 24, 2010, trustee report, MSC 2005-RR6 is collateralized by 77 CMBS classes ($468.1 million, 100%) from 51 distinct transactions issued between 1996 and 2005. S&P's analysis of MSC 2005-RR6 reflected the transaction's exposure to these CMBS certificates that Standard & Poor's has downgraded: * Morgan Stanley Capital I Trust 2005-HQ5 (class J; $10 million, 2.1%); and * PNC Mortgage Acceptance Corp.'s series 2001-C1 (classes K and M; $9.9 million, 2.1%). S&P will update or resolve its CreditWatch placements on the classes from MSC 2005-RR6 as S&P deem appropriate following the CreditWatch resolutions of the underlying CMBS assets. S&P may take additional rating actions if S&P determine that any class' interest shortfalls are recurring and expected to continue for the foreseeable future. Rating Lowered And Remaining On Creditwatch Negative Morgan Stanley Capital I Inc. Commercial mortgage-backed securities pass-through certificates series 2005-RR6 Rating ------ Class To From ----- -- ---- G B/Watch Neg BB/Watch Neg H CCC/Watch Neg B/Watch Neg J CCC-/Watch Neg CCC+/Watch Neg Ratings Lowered And Removed From Creditwatch Negative Morgan Stanley Capital I Inc. Commercial mortgage-backed securities pass-through certificates series 2005-RR6 Rating ------ Class To From ----- -- ---- L D CCC-/Watch Neg M D CCC-/Watch Neg N D CCC-/Watch Neg Ratings Remaining On Creditwatch Negative Morgan Stanley Capital I Inc. Commercial mortgage-backed securities pass-through certificates series 2005-RR6 Class Rating ----- ------ A2FX AAA/Watch Neg A2FL AAA/Watch Neg A3FX AAA/Watch Neg A3FL AAA/Watch Neg AJ AA/Watch Neg B A+/Watch Neg C BBB+/Watch Neg D BBB+/Watch Neg E BBB-/Watch Neg F BB+/Watch Neg K CCC-/Watch Neg X AAA/Watch Neg MOUNTAIN CAPITAL: Moody's Reviews Ratings on Three Classes ---------------------------------------------------------- Moody's Investors Service announced that it has placed the ratings of these notes issued by Mountain Capital CLO III Ltd. under review for possible upgrade: -- US$18,500,000 Class A-2L Floating Rate Notes Due February 2016, Ba1 Placed Under Review for Upgrade; previously on August 6, 2009 Downgraded to Ba1; -- US$13,500,000 Class A-3L Floating Rate Notes Due February 2016, B2 Placed Under Review for Upgrade; previously on August 6, 2009 Downgraded to B2; -- US$6,000,000 Class A-3F 5.744% Notes Due February 2016, B2 Placed Under Review for Upgrade; previously on August 6, 2009 Downgraded to B2. 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. The notes also benefited from the delevering of the Class A-1LA notes, which have been paid down by approximately $27MM, accounting for roughly 14% of the total Class A-1LA outstanding balance reported in August 2009. Moody's expects delevering to continue as a result of the end of the deal's reinvestment period in August 2009. Improvement in the credit quality is observed in a decrease in the proportion of securities from issuers rated Caa1 and below. As of the latest trustee report dated March 2, 2010, securities rated Caa1 or lower make up approximately 7% of the underlying portfolio versus 9% in August 2009. Additionally, the dollar amount of defaulted securities has decreased to about $14MM from approximately $25MM in August 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 ratios have increased since August 2009. The Senior Class A, Class A, and Class B-1L overcollateralization ratios are reported at 118.6%, 109.8% and 102.8%, respectively, versus August 2009 levels of 115%, 107.2% and 100.5%, respectively, and all related overcollateralization tests are currently in compliance. Mountain Capital CLO III Ltd., issued in May 2004, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. On August 6, 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. NOB HILL: Moody's Reviews Ratings on Two Classes of Notes --------------------------------------------------------- Moody's Investors Service announced that it has upgraded the rating of these notes issued by Nob Hill CLO II, Limited: -- US$263,700,000 Class A-1 Floating Rate Notes due 2022 (current balance of $252,422,601), Upgraded to A1; previously on June 12, 2009 Downgraded to A2. In addition, Moody's has placed under review for possible upgrade the ratings of these notes: -- US$17,000,000 Class D Deferrable Floating Rate Notes due 2022, Ca Placed Under Review for Possible Upgrade; previously on June 12, 2009 Downgraded to Ca; -- US$17,000,000 Class E Deferrable Floating Rate Notes due 2022 (current balance of $16,368,969), C Placed Under Review for Possible Upgrade; previously on June 12, 2009 Downgraded to C. The upgrade action taken on the Class A-1 notes reflects the combined impact of remodeling the priority of payments using corrected assumptions, and improvements in the credit quality of the underlying portfolio. The correction relates to the modeling of the priority of payments: in the previous rating action dated June 12, 2009, the priority of payments was modeled using incorrect assumptions. The priority of payments has been remodeled, and the rating action reflects the corrected assumptions. In addition, the rating actions taken on the Class D and Class E notes result primarily from the improvements in the credit quality of the underlying portfolio and a significant increase in the overcollateralization of the rated notes since the last rating action in June 2009. The improvements in the credit quality are observed through an increase in the average credit rating (as measured through the weighted average rating factor) and a decrease in the percentage of securities rated Caa1 and below. In particular, the weighted average rating factor has decreased to 2989 as of the last trustee report dated February 15, 2010, compared to 3207 as of the May 2009 trustee report. Based on the same report, securities rated Caa1 and below make up approximately 15.28% of the underlying portfolio versus 19.98% reported in May 2009. The overcollateralization ratios of the rated notes have increased significantly since the last rating action. As of the February 2010 trustee report, the Class A/B, Class C, Class D, and Class E overcollateralization test levels are reported at 119.16%, 111.8%,106.22% and 101.35%, versus May 2009 levels of 107.31%, 100.73%, 95.67% and 91.04%, respectively. Additionally, the Class C, Class D and Class E notes have resumed paying interest and do not carry a deferred interest balance. Nob Hill CLO II, Limited, issued in June 6, 2007, is a collateralized loan obligation, backed primarily by a portfolio of senior secured loans. On June 12, 2009, Moody's downgraded all the notes issued by Nob Hill CLO II, Limited 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. PARCS-R MASTER: Moody's Downgrades Ratings on Class 2007-15 Units ----------------------------------------------------------------- Moody's Investors Service announced that it has downgraded its ratings of $4,000,000 Class 2007-15 Units issued by PARCS-R Master Trust: -- $4,000,000 Class 2007-15 Units, Downgraded to C; previously on 4/2/2009 Downgraded to Caa2 The transaction is a structured note whose rating changes with the rating of the applicable reference obligation. In this case the reference rbligation is RASC 20006-KS3 M2, the rating of which was downgraded to C by Moody's on April 6, 2010. PROVIDENT FUNDING: Moody's Downgrades Ratings on 12 Tranches ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 12 tranches from two RMBS transactions, backed by prime jumbo loans, issued by Provident Funding Loan Trust in 2005. 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: Provident Funding Mortgage Loan Trust 2005-1 -- Cl. 1A-1, Downgraded to B1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. 2A-1, Downgraded to Baa2; previously on Dec 17, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. 2A-2, Downgraded to B2; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. 3A-1, Downgraded to Ba1; previously on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. 3A-2, Downgraded to B2; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Baa2; previously on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade Issuer: Provident Funding Mortgage Loan Trust 2005-2 -- Cl. 1-A-1A, Downgraded to Ba3; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A-1B, Downgraded to Caa1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1A, Downgraded to B1; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. 2-A-1B, Downgraded to Caa2; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to B1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Ba3; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade PRUDENTIAL'S ROCK: Fitch Affirms Ratings on 2001-C1 Certs. ---------------------------------------------------------- Fitch Ratings affirms and assigns Rating Outlooks and Loss Severity ratings to Prudential's ROCK commercial mortgage pass- through certificates, series 2001-C1: -- $495.8 million class A-2 at 'AAA/LS1'; Outlook Stable; -- Interest-only class X-2 at 'AAA'; Outlook Stable; -- $27.2 million class B at 'AAA/LS3'; Outlook Stable; -- $38.6 million class C at 'AAA/LS2'; Outlook Stable; -- $9.1 million class D at 'AAA/LS3'; Outlook Stable; -- $11.4 million class E at 'AAA/LS3'; Outlook Stable; -- $15.9 million class F at 'AAA/LS3'; Outlook Stable; -- $13.6 million class G at 'AAA/LS3'; Outlook Stable; -- $13.6 million class H at 'AA/LS3'; Outlook Stable; -- $22.7 million class J at 'BBB+/LS3'; Outlook Negative; -- $6.8 million class K at 'BBB-/LS4'; Outlook Negative; -- $4.5 million class L at 'BB+/LS4'; Outlook Negative; -- $9.1 million class M at 'B/LS3'; Outlook Negative; -- $4.5 million class N at 'B-/LS4'; Outlook Negative. Fitch does not rate the $7.6 million class O certificates. Classes A-1 and X-1 have been paid in full. The affirmations are the result of sufficient credit support to the Fitch rated classes due to defeasance and minimal Fitch expected losses within the transaction following Fitch's prospective review of potential stresses and expected losses associated with specially serviced assets. Fitch expects losses of approximately 1% of the remaining pool balance, approximately $6.8 million, the majority of which are from loans currently in special servicing. As of the March 2010 distribution date, the pool's collateral balance has paid down 25.1% to $680.5 million from $908.2 million at issuance. Thirty-eight of the remaining loans have defeased (46.5%). As of March 2010, there are five specially serviced loans (8.5%). The largest specially serviced loan, IDT Building (3.7%), is secured by a 444,180 square foot office building located in Newark, NJ. The loan transferred to special servicing in February 2009 for imminent default. The servicer is working with the borrower to secure a new tenant. The loan has been modified for 48 months during which interest will be paid at 6.9% while accruing at the original note rate of 8.9%. Unpaid interest during the term will be capitalized to the loan. The second largest specially serviced loan (0.9%) is secured by an 146,340 sf office property located in Columbus, OH. The loan transferred to special servicing in November 2009 for imminent default after the borrower requested a loan modification. The special servicer has meet with the borrower and continues to explore a potential modification of 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 7.25% 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 pay off at maturity. Seven loans did not pay off at maturity with one loan incurring a loss when compared to Fitch's stressed value. RFMSI SERIES: Moody's Downgrades Ratings on 176 Tranches -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 176 tranches, confirmed the ratings of six tranches, and upgraded the ratings of four tranches from 17 RMBS transactions, backed by prime jumbo loans, issued by RFMSI Series Trust. The collateral backing these transactions consists primarily of first-lien, fixed, 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. Tranche A1 issued by RFMSI Series 2005-S2 Trust and tranche A2 issued by RFMSI Series 2005-S7 Trust are wrapped by Financial Guaranty Insurance Company (rated Caa3). 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. 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: Complete rating actions are: Issuer: RFMSI Series 2005-S2 Trust -- Cl. A-1, Downgraded to B2; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade Issuer: RFMSI Series 2005-S3 Trust -- Cl. A-1, Upgraded to Ba1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-P, Upgraded to Ba1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-V, Upgraded to Ba1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade Issuer: RFMSI Series 2005-S4 Trust -- Cl. A-1, Downgraded to B1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to B3; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to B1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade Issuer: RFMSI Series 2005-S7 Trust -- Cl. A-1, Downgraded to B1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B2; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to B2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to B1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Ca; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to C; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to B1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade Issuer: RFMSI Series 2005-S8 Trust -- Cl. A-1, Downgraded to Caa2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade Issuer: RFMSI Series 2005-S9 Trust -- Cl. A-1, Downgraded to B2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B2; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ca; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to B2; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to C; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to B2; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to B3; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to C; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to B2; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade Issuer: RFMSI Series 2006-S12 Trust -- Cl. I-A-1, Downgraded to B1; previously on Dec 17, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. I-A-P, Downgraded to B1; previously on Dec 17, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to B2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. I-A-V, Downgraded to B1; previously on Dec 17, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to B2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Caa2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to C; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. II-A-5, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. II-A-6, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. II-A-7, Downgraded to C; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. II-A-P, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. II-A-V, Downgraded to B2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. III-A-2, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. III-A-3, Downgraded to B3; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. III-A-4, Downgraded to B2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. III-A-5, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. III-A-6, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. III-A-7, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. III-A-8, Downgraded to C; previously on Dec 17, 2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. III-A-9, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. III-A-10, Downgraded to C; previously on Dec 17, 2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. III-A-P, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. III-A-V, Downgraded to B2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade Issuer: RFMSI Series 2006-S5 Trust -- Cl. A-1, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-3, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-4, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa2; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to C; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to Ca; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-18, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to B3; previously on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade Issuer: RFMSI Series 2006-S6 Trust -- Cl. A-1, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-11, Confirmed at Ba3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Caa2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to Caa2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Caa2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to C; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade Issuer: RFMSI Series 2006-S7 Trust -- Cl. A-1, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to C; previously on Apr 21, 2009 Downgraded to Ca -- Cl. A-6, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to C; previously on Apr 21, 2009 Downgraded to Ca -- Cl. A-P, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade Issuer: RFMSI Series 2006-S8 Trust -- Cl. A-1, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to C; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to Caa2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to Caa1; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade Issuer: RFMSI Series 2006-S9 Trust -- Cl. A-1, Downgraded to Caa2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C; previously on Dec 17, 2009 B3 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 Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade Issuer: RFMSI Series 2007-S1 Trust -- Cl. A-1, Downgraded to B3; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B3; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to C; previously on Apr 21, 2009 Downgraded to Ca -- Cl. A-7, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to C; previously on Apr 21, 2009 Downgraded to Ca -- Cl. A-9, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Ca; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Ca; previously on Dec 17, 2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to C; previously on Apr 21, 2009 Downgraded to Ca -- Cl. A-17, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to B3; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade Issuer: RFMSI Series 2007-S2 Trust -- Cl. A-6, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade Issuer: RFMSI Series 2007-S4 Trust -- Cl. A-1, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to C; previously on Apr 21, 2009 Downgraded to Ca -- Cl. A-12, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade Issuer: RFMSI Series 2007-S5 Trust -- Cl. A-1, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to C; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to C; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to C; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-10, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade Issuer: RFMSI Series 2007-S6 Trust -- Cl. I-A-4, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. I-A-6, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. I-A-13, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. I-A-17, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. I-A-19, Downgraded to C; previously on Apr 21, 2009 Downgraded to Ca -- Cl. II-A-2, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. II-A-5, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. II-A-7, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. II-A-10, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. II-A-14, Downgraded to C; previously on Apr 21, 2009 Downgraded to Ca -- Cl. I-A-14, Upgraded to Caa2; previously on Apr 21, 2009 Downgraded to Ca RFMSI SERIES: S&P Corrects Ratings on Class III-A-4 to 'CCC' ------------------------------------------------------------ Standard & Poor's Ratings Services corrected its rating on class III-A-4 from RFMSI Series 2007-SA3 Trust by raising it to 'CCC' from 'D'. On Dec. 24, 2009, S&P incorrectly lowered its rating on class III- A-4 to 'D' due to an error. This class is an exchangeable class of III-A-1 and III-A-2 certificates, which have not experienced losses. Therefore, S&P has corrected its rating on this class by restoring it to 'CCC'. Rating Corrected RFMSI Series 2007-SA3 Trust Rating ------ Class CUSIP Current Dec. 24 Pre-Dec. 24, 2009 ----- ----- ------- ------- ----------------- III-A-4 74958TAJ2 CCC D CCC REAL ESTATE: Moody's Affirms Ratings on 15 Classes of Notes ----------------------------------------------------------- Moody's Investors Service affirmed the ratings of 15 classes and downgraded three classes of Real Estate Asset Liquidity Trust, Series 2005-2. The downgrades are due to higher expected losses for the pool caused by a decline in performance of several loans in the pool which has resulted in increased credit quality dispersion. The affirmations are due to key rating parameters, including Moody's loan to value ratio, stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. 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 12% to $550 million from $622 million at securitization. The Certificates are collateralized by 87 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans representing 48% of the pool. Three loans, representing 3% of the pool, have defeased and are secured by Canadian Government securities. Four loans, representing 18% of the pool, have investment grade underlying ratings. At last review the InnVest Portfolio Loan ($29.2 million -- 5.3% of the pool), also had an underlying rating. Due to a decline in performance and increased leverage, this loan no longer has an underlying rating and is analyzed as part of the conduit pool. Twenty-two loans, representing 21% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. The pool has not realized any losses since securitization and currently there is one loan, representing less than 1% of the pool, in special servicing. The specially serviced loan is the Millrise Plaza Loan ($2.0 million), which is secured by a 13,441 square foot retail center located in Calgary, Alberta. The loan was transferred to special servicing in July 2009 due to financial issues associated with the sponsor. The loan is performing and Moody's is not anticipating a loss at this time from this loan. Moody's has assumed a high default probability on two loans, representing 1% of the pool, which mature within the next six months and have a Moody's stressed DSCR less than 1.0X. Moody's has estimated an aggregate loss of $1.3 million based on a weighted average 60% default probability and an 23% average loss severity. Moody's was provided with year-end 2008 operating statements for 55% of the pool. Moody's weighted average LTV for the conduit pool is 83% compared to 85% at last review. Although the pool's overall leverage has improved, credit quality dispersion has increased since last review. Based on Moody's analysis, 14% of the pool has an LTV greater than 100% compared to 0% at last review and at securitization. Moody's conduit actual and stressed DSCRs are 1.45X and 1.28X, respectively, compared to 1.43X and 1.21X 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 30 compared to 38 at last review. The largest loan with an underlying rating is the SRI Portfolio Loan ($55.0 million -- 10.0% of the pool), which is secured by 190 stand-alone restaurants totaling 424,589 square feet and located in seven provinces. The largest geographic concentrations are Ontario (43%) and Quebec (33%). The loan is also encumbered by a $10 million B-note which is held outside the trust. The properties are subject to eight separate 15-year master leases which expire in 2017 and 2018. Moody's current underlying rating and stressed DSCR are A1 and 1.86X, respectively, compared to A1 and 1.51X at Moody's last review. The second loan with an underlying rating is the Toronto Congress Centre Loan ($18.2 million -- 3.3% of the pool), which is secured by a 500,000 square foot convention center located in Mississauga, Ontario. The property is 100% leased to an affiliate of the borrower through December 2018. Moody's current underlying rating and stressed DSCR are Aa3 and 1.42X, respectively, compared to Aa3, and 1.43X at Moody's last review. The third loan with an underlying rating is 1849 Yonge Street Loan ($13.5 million -- 2.5% of the pool), which is secured by a 97,125 square foot office building located in downtown Toronto. The property was 99% leased as of December 2008. The loan is on the master servicer's watchlist due to deferred maintenance. Moody's current underlying rating and stressed DSCR are Baa3 and 1.46X, respectively, compared to Baa3 and 1.49X at Moody's last review. The fourth loan with an underlying rating is Jutland Road Loan ($7.0 million -- 1.3% of the pool), which is secured by an 87,908 square foot office building located in Victoria, British Columbia. The property was 100% leased as of February 2010. The loan has experienced stable performance, but leases for 90% of the net rentable area expire within the next 18 months. Moody's analysis reflects a stressed cash flow due to property's significant lease rollover risk. The loan benefits from a 15-year amortization schedule and has amortized 13% since last review. Moody's current underlying rating and stressed DSCR are Baa2 and 1.69X, respectively, compared to Baa2, and 1.15X at Moody's last review. The loan that previously had an underlying rating is the InnVest Portfolio Loan ($29.2 million -- 5.3% of the pool), which is secured by four Radisson hotels totaling 707-rooms and located in four distinct markets. Performance has declined since last review due to the downturn in the hospitality sector. The hotel's revenue per participating room for calendar year 2009 was $59 compared to $74 at last review. Moody's LTV and stressed DSCR are 100.5% and 1.24X, respectively, compared to 77% and 1.52X at last review. The top three conduit loans represent 16.1% of the pool. The largest conduit loan is the AMEC Building Loan ($34.4 million -- 6.2% of the pool), which is secured by a 222,291 square foot, Class A office building located in downtown Vancouver. The property was 99% leased as of September 2009, essentially the same as at last review. Moody's LTV and stressed DSCR are 72% and 1.27X, respectively, compared to 81% and 1.13X at last review. The second largest conduit loan is the Kitchener Portfolio Loan ($29.3 million -- 5.3% of the pool), which is secured by two office properties totaling 400,219 square feet and located in Kitchener, Ontario. The properties were 94% leased as of July 2008 compared to 91% at last review. Property performance has improved since last review and the loan has benefitted from principal amortization. The loan has amortized 6% since last review. Moody's LTV and stressed DSCR are 76% and 1.35X, respectively, compared to 94% and 1.07X at last review. The third largest conduit loan is LaSalle Portfolio Loan ($25.1 million -- 4.6% of the pool), which is secured by a 798,391 square foot warehouse/office complex located in LaSalle, Quebec. The property was 91% leased as of February 2010 compared to 99% at last review. Moody's LTV and stressed DSCR are 93% and 1.02X, respectively, compared to 91% and 1.04X at last review. Moody's rating action is: -- Class A-1, $276,917,593, affirmed at Aaa; previously assigned Aaa on 11/4/2005 -- Class A-2, $212,794,000, affirmed at Aaa; previously assigned Aaa on 11/4/2005 -- Class XP-1, Notional, affirmed at Aaa; previously assigned Aaa on 11/4/2005 -- Class XP-2, Notional, affirmed at Aaa; previously assigned Aaa on 11/4/2005 -- Class XC-1 Notional, affirmed at Aaa; previously assigned Aaa on 11/4/2005 -- Class XC-2, Notional, affirmed at Aaa; previously assigned Aaa on 11/4/2005 -- Class B, $9,330,000, affirmed at Aa2; previously assigned Aa2 on 11/4/2005 -- Class C, $14,773,000, affirmed at A2; previously assigned A2 on 11/4/2005 -- Class D-1, $8,805,000, affirmed at Baa2; previously assigned Baa2 on 11/4/2005 -- Class D-2, $4,413,000, affirmed at Baa2; previously assigned Baa2 on 11/4/2005 -- Class E-1, $1,943,500, affirmed at Baa3; previously assigned Baa3 on 11/4/2005 -- Class E-2, $1,943,500, affirmed at Baa3; previously assigned Baa3 on 11/4/2005 -- Class F, $4,665,000, affirmed at Ba1; previously assigned Ba1 on 11/4/2005 -- Class G, $3,110,000, affirmed at Ba2; previously assigned Ba2 on 11/4/2005 -- Class H, $1,555,000, affirmed at Ba3; previously assigned Ba3 on 11/4/2005 -- Class J, $1,555,000, downgraded to B2 from B1; previously assigned B1 on 11/4/2005 -- Class K, $1,555,000, downgraded to B3 from B2; previously assigned B2 on 11/4/2005 -- Class L, $777,000, downgraded to Caa1 from B3; previously assigned B3 on 11/4/2005 REAL ESTATE: Moody's Affirms Ratings on 18 Series 2006-1 Certs. --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 18 classes of Real Estate Asset Liquidity Trust, Commercial Mortgage Pass- Through Certificates, Series 2006-1 due to overall stable 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 11% to $351.51 million from $396.23 million at securitization. The Certificates are collateralized by 80 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans representing 58% of the pool. Currently, four loans, representing 28% of the pool, have investment grade underlying ratings. Two loans, representing 4% of the pool have defeased and are collateralized with Canadian government securities. Thirteen loans, representing 13% 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 delinquent or specially serviced loans. Moody's has assumed a high default probability for two loans, representing less than 1% of the pool, which mature within the next 12 months and have a Moody's stressed DSCR less than 1.0X. Moody's has estimated an aggregate $334,000 loss for these loans based on a 60% default probability and a 12% weighted average loss severity. Moody's was provided with full-year 2008 operating results for 82% of the pool. Excluding troubled loans, Moody's weighted average LTV is 73% compared to 79% at Moody's prior full review. Excluding the troubled loans, Moody's actual and stressed DSCRs are 1.54X and 1.50X, respectively, compared to 1.41X and 1.29X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) 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 pool has a Herf of 21 compared to 23 at Moody's prior review. The largest loan with an underlying rating is the Crombie Portfolio ($45.8 million -- 14.8% of the pool), which is secured by seven cross-collateralized and cross-defaulted loans secured by seven retail and mixed use properties located in New Brunswick, Nova Scotia, and Newfoundland. At last review, the portfolio included eight loans. However, one loan has defeased and is no longer part of the portfolio. As of March 2009, the portfolio was 88% leased compared to 85% in May 2007. Performance has been stable. Moody's current underlying rating and stressed DSCR are Baa2 and 1.43X, respectively, compared to Baa2 and 1.42X at last review. The second largest loan with an underlying rating is the Lawson Heights Loan ($26.2 million -- 7.5% of the pool), which is secured by a 307,089 square foot enclosed mall located in Saskatoon, Saskatchewan. The property is anchored by Zeller's, Safeway, and London Drugs. The property was 96% leased as of February 2009, essentially the same as at last review. Although performance has improved since last review, Moody's stressed the cash flow due to concerns about near-term lease expirations. Leases representing approximately 27% of the net rentable area expire in 2010. The decline in Moody's NCF has been offset by amortization. The loan is structured with a 20-year amortization schedule and has amortized 7% since last review. Moody's current underlying rating and stressed DSCR are Baa2 and 1.39X compared to Baa2 and 1.34X, respectively, at last review. The third largest loan with an underlying rating is the InnVest Loan ($15.2 million -- 4.2% of the pool), which is secured by two hotels located in London and Scarborough, Ontario. The Delta Armoires London hotel is a 245 key full service hotel in downtown London proximate to the convention center and hockey rink. The Holiday Inn Scarborough is a 140 key limited service hotel approximately 15 miles north of Pearson International Airport. For the 12-month period ending December 2008, the portfolio's occupancy and revenue per available room were 66% and $77.51, respectively, compared to 70% and $78.08 at year-end 2007. The decline in performance has been offset by amortization. The loan has amortized 5% since last review. Moody's current underlying rating and stressed DSCR are Baa2 and 1.85X, respectively, compared to Baa2 and 1.64X at last review. The fourth largest loan with an underlying rating is the Royal Centre Loan ($9.9 million -- 2.8% of the pool), which is secured by a 163,844 square foot office building with ground floor retail located in Vaughan, Ontario. The property was 92% leased as of April 2009 compared to 95% at last review. The largest tenant is the Royal Bank of Canada, which leases 27% of the NRA through May 2011. The loan has amortized 8% since last review. Moody's current underlying rating and stressed DSCR are Aaa and 2.37X, respectively, compared to Aaa and 1.88X at last review. The top three conduit loans represent 21% of the pool balance. The largest loan is The Landing Loan ($29.4 million -- 8.4% of the pool), which is secured by a 183,058 square foot office building located in the historic Gastown district of downtown Vancouver, British Columbia. The loan is currently on the servicer's watchlist due to upcoming tenant lease expirations. These tenants have since renewed, modified, or extended their leases. The loan amortizes on a 25-year schedule and has amortized 5% since last review. Moody's LTV and stressed DSCR are 86% and 1.13X, respectively, compared to 89% and 0.98X at last review. The second largest loan is the Dominion Square Loan ($27.99 million -- 8.0% of the pool), which represents a pari passu interest in a $55.97 million first mortgage loan. The loan is secured by a 374,402 square foot mixed use building on Rue St. Catherine in downtown Montreal. As March 2010, the property was 96% leased compared to 72% at securitization. The largest tenants are The Montreal Gazette (21% of the NRA; lease expiration in December 2018); Travaux Publique du Canada (20% of the NRA; lease expiration in March 2018) and Societe Immobiliere du Quebec (9% of the NRA; lease expiration in January 2011). Approximately 32% of the NRA is leased to local and provincial government agencies. While the property's occupancy and revenues have improved since securitization, operating costs, specifically real estate taxes and repairs and maintenance, have increased significantly. Moody's LTV and stressed DSCR are 91% and 1.07X, respectively, compared to 82% and 1.20X at last review. The third largest loan is the Sandman Portfolio Loan ($15.8 million -- 4.5% of the pool), which is secured by four full service hotels located in British Columbia (3) and Alberta (1). All four hotels are operated and managed by Sandman Hotels. Performance has improved since last review. As of the trailing 12-month period ending December 2008, the portfolio's occupancy and RevPAR were 63% and $64.13, respectively, compared to 58% and $47.45 at securitization. Moody's LTV and stressed DSCR are 47% and 2.78X, respectively, compared to 63% and 1.90X at last review. Moody's rating action is: -- Class A-1, $170,276,396, affirmed at Aaa, previously assigned Aaa on 3/10/2006 -- Class A-2, $142,361,000, affirmed at Aaa, previously assigned Aaa on 3/10/2006 -- Class XP-1, Notional, affirmed at Aaa, previously assigned Aaa on 3/10/2006 -- Class XP-2, Notional, affirmed at Aaa, previously assigned Aaa on 3/10/2006 -- Class XC-1, Notional, affirmed at Aaa, previously assigned Aaa on 3/10/2006 -- Class XC-2, Notional, affirmed at Aaa, previously assigned Aaa on 3/10/2006 -- Class B, $6,676,000, affirmed at Aa2, previously assigned Aa2 on 3/10/2006 -- Class C, $8,915,000, affirmed at A2, previously assigned A2 on 3/10/2006 -- Class D-1, $1,000, affirmed at Baa2, previously assigned Baa2 on 3/10/2006 -- Class D-2, $8,419,000, affirmed at Baa2, previously assigned Baa2 on 3/10/2006 -- Class E-1, $1,000, affirmed at Baa3, previously assigned Baa3 on 3/10/2006 -- Class E-2, $2,931,000, affirmed at Baa3, previously assigned Baa3 on 3/10/2006 -- Class F, $2,773,000, affirmed at Ba1, previously assigned Ba1 on 3/10/2006 -- Class G, $2,179,000, affirmed at Ba2, previously assigned Ba2 on 3/10/2006 -- Class H, $1,030,000, affirmed at Ba3, previously assigned Ba3 on 3/10/2006 -- Class J, $990,000, affirmed at B1, previously assigned B1 on 3/10/2006 -- Class K, $990,000, affirmed at B2, previously assigned B2 on 3/10/2006 -- Class L, $496,000, affirmed at B3, previously assigned B3 on 3/10/2006 REAL ESTATE: Moody's Affirms Ratings on 18 Series 2006-2 Certs. --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 18 classes of Real Estate Asset Liquidity Trust, Commercial Mortgage Pass- Through Certificates, Series 2006-2. 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 10% to $370.8 million from $412.2 million at securitization. The Certificates are collateralized by 63 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans representing 60% of the pool. The pool includes five loans, representing 30% of the pool, with investment grade underlying ratings. A sixth loan, the Crombie Pool B Loan ($25.6 million -- 6.9% of the pool), had an underlying rating at securitization. However, due to a decline in performance and increased leverage, it is now analyzed as part of the conduit pool. Three loans, representing 2% of the pool, have defeased and are secured by Canadian Government securities. There are full or partial recourse provisions on 87% of the loans in the pool. Eleven loans, representing 10% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. One loan has been liquidated since securitization, resulting in a $30,000 loss (loss severity of 1%). Currently there are no loans in special servicing but the master servicer has indicated that one loan, representing less than 1% of the pool, is being transferred to special servicing. The transfer to special servicing will be reflected in the April remittance report. Moody's was provided with full-year 2008 operating results for 80% of the pool. Moody's weighted average LTV for the conduit pool is 83% compared to 84% at securitization. Although the overall LTV has been stable, credit quality dispersion has increased since securitization. Based on Moody's analysis, 5% of the conduit pool has an LTV greater than 100% compared to 1% at securitization. Moody's actual and stressed DSCRs for the conduit pool are 1.35X and 1.22X, respectively, compared to 1.43X and 1.16X at securitization. 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 19 compared to 21 at securitization. The largest loan with an underlying rating is the Crombie Pool A Loan ($34.6 million -- 9.3% of the pool), which is secured by five retail centers located throughout the provinces of Nova Scotia, Newfoundland and New Brunswick. The portfolio totals 579,000 square feet with County Fair Mall, 260,000 SF, as the largest property. As of December 2008, the portfolio was 94% leased compared to 96% at securitization. The portfolio's largest tenants are Sobey's (25% of the net rentable area; lease expirations vary); Zellers (18% of the NRA; lease expiration in March 2010) and Sears Canada (5% of the NRA; lease expiration in October 2029). The portfolio's performance has declined due to increased operating expenses, specifically real estate taxes and repairs & maintenance. The decline in net operating income has been partially offset by principal amortization. The loan is structured with a 25-year amortization schedule and has amortized 8% since securitization. The loan sponsor is Crombie Development which is a subsidiary of the Empire Company and owns Sobeys. Moody's current underlying rating and stressed DSCR are Baa3 and 1.29X, respectively, compared to Baa2 and 1.32X at securitization. The second loan with an underlying rating is the Trinity Crossing Orleans Loan ($30.3 million -- 8.2% of the pool), which is secured by a 191,000 SF shopping center located in the Ottawa suburb of Orleans, Ontario. The center is shadow-anchored by Loblaws Supermarket, which is not part of the collateral. As of January 2009, the property was 100% leased, essentially the same as at securitization. The largest tenant's are Winners (24% of the NRA; lease expiration in May 2016); Value Village (15% of the NRA; lease expiration in March 2019) and Michael's (11% of the NRA; lease expiration in August 2016). The loan was previously on the watchlist due to the bankruptcy of Linen 'N Things which occupied 15% of the NRA at securitization. The space formerly occupied by Linen 'N Things has been leased to Value Village at the same rental rate previously paid by Linen 'N Things. Property's performance has been stable and the loan benefits from principal amortization. The loan has amortized 5% since securitization. The loan is full recourse to RioCan REIT, the sponsor. Moody's current underlying rating and stressed DSCR are Baa3 and 0.99X, respectively, compared to Baa3 and 0.93X at securitization. The third loan with an underlying rating is the Sandman Vancouver Hotel Loan ($23.6 million -- 6.4% of the pool), which is secured by a 302-room full service hotel located in downtown Vancouver, British Columbia. For the 12-month period ending December 2008, revenue per available room and occupancy were $68.68 and 64%, respectively, compared to $67.60 and 65% at securitization. Performance has been stable and the loan benefits from principal amortization. The loan is structured on a 20-year amortization schedule and has amortized 11% since securitization. The loan is full recourse to Northland Properties, the sponsor. Moody's current underlying rating and stressed DSCR are Baa2 and 1.72X, respectively, compared to Baa3 and 1.47X at securitization. The fourth loan with an underlying rating is the Merivale Market Shopping Center Loan ($14.2 million -- 3.8% of the pool), which is secured by a 79,000 SF grocery-anchored shopping center located in the Ottawa suburb of Nepean, Ontario. As of February 2009, the property was 100% leased compared to 95% at securitization. The largest tenants are Food Basics (44% of the NRA; lease expiration in May 2026) and Shopper's Drug Mart (22% of the NRA; lease expiration in October 2016). Performance has been stable. The loan has amortized 5% since securitization. The loan is full recourse to RioCan REIT, the sponsor. Moody's current underlying rating and stressed DSCR are Baa3 and 1.0X, respectively, compared to Baa3 and 0.94X at securitization. The fifth loan with an underlying rating is the Abbey Plaza Loan ($8.7 million -- 2.3% of the pool), which is secured by a 95,000 SF grocery-anchored shopping center located in Oakville, Ontario. As of January 2009, the property was 100% leased, essentially the same as at securitization. The largest tenant is Sobey's (47% of the NRA; lease expiration in September 2015). Performance has been stable. The loan is structured on a 20-year amortization schedule and has amortized 11% since securitization. The loan is full recourse to RioCan REIT, the sponsor. Moody's current underlying rating and stressed DSCR are Aa1 and 1.78X, respectively, compared to Aa1 and 1.65X at securitization. The three largest conduit loans represent 20% of the outstanding pool balance. The largest conduit loan is the Distillery District Loan ($31.4 million -- 8.5% of the pool), which is secured by a 328,434 SF mixed-use property that is an historic landmark located in downtown Toronto, Ontario. As of December 2009, the property was 96% leased compared to 98% at securitization. Performance has been stable. The largest tenant is Toronto Artscape (15% of the NRA; lease expiration in August 2022). The loan is structured with a 25-year amortization schedule and has amortized 7% since securitization. The loan is full recourse to Dundee REIT, the sponsor. Moody's current LTV and stressed DSCR are 74% and 1.32X, respectively, compared to 78% and 1.27X at securitization. The second largest conduit loan is the Dominion Square Loan ($31.4 million -- 8.5% of the pool), which represents a pari passu interest in a $55.9 million first mortgage loan. The loan is secured by a 12-story, 374,402 SF mixed-use building located on St. Catherine Street in downtown Montreal, Quebec. As March 2010, the property was 96% leased compared to 72% at securitization. The largest tenants are The Montreal Gazette (21% of the NRA; lease expiration in December 2018); Travaux Publique du Canada (20% of the NRA; lease expiration in March 2018) and Societe Immobiliere du Quebec (9% of the NRA; lease expiration in January 2011). Approximately 32% of the NRA is leased to local and provincial government agencies. While the property's occupancy and revenues have improved since securitization, operating costs, specifically real estate taxes and repairs and maintenance, have increased significantly. Moody's LTV and stressed DSCR are 91% and 1.07X, respectively, compared to 83% and 1.14X at securitization. The third largest conduit loan is the Howe Street Loan ($15.7 million -- 4.2% of the pool), which is secured by a 101,000 SF office building located in downtown Vancouver, British Columbia. As of January 2010, the property was 95% leased compared to 100% at securitization. The largest tenant is Telligence Communications which leases 42% of the NRA through July 2011. Performance has improved due to higher rental revenue and expense recoveries. The loan is structured on a 25-year amortization schedule and has amortized 7% since securitization. Moody's current LTV and stressed DSCR are 86% and 1.07X, respectively, compared to 99% and 0.93X at securitization. Moody's rating action is: -- Class A-1, $143,115,500, affirmed at Aaa, previously assigned Aaa on 10/13/2006 -- Class A-2, $185,549,000, affirmed at Aaa, previously assigned Aaa on 10/13/2006 -- Class XC-1, Notional, affirmed at Aaa, previously assigned Aaa on 10/13/2006 -- Class XC-2, Notional, affirmed at Aaa, previously assigned Aaa on 10/13/2006 -- Class XP-1, Notional, affirmed at Aaa, previously assigned Aaa on 10/13/2006 -- Class XP-2, Notional, affirmed at Aaa, previously assigned Aaa on 10/13/2006 -- Class B, $8,243,000, affirmed at Aa2, previously assigned Aa2 on 10/13/2006 -- Class C, $8,861,000, affirmed at A2, previously assigned A2 on 10/13/2006 -- Class D-1, $4,781,000, affirmed at Baa2, previously assigned Baa2 on 10/13/2006 -- Class D-2, $4,782,000, affirmed at Baa2, previously assigned Baa2 on 10/13/2006 -- Class E-1, $1,000, affirmed at Baa3, previously assigned Baa3 on 10/13/2006 -- Class E-2, $4,120,000, affirmed at Baa3, previously assigned Baa3 on 10/13/2006 -- Class F, $3,091,000, affirmed at Ba1, previously assigned Ba1 on 10/13/2006 -- Class G, $1,546,000, affirmed at Ba2, previously assigned Ba2 on 10/13/2006 -- Class H, $1,030,000, affirmed at Ba3, previously assigned Ba3 on 10/13/2006 -- Class J, $1,030,000, affirmed at B1, previously assigned B1 on 10/13/2006 -- Class K, $515,000, affirmed at B2, previously assigned B2 on 10/13/2006 -- Class L, $742,000, affirmed at B3, previously assigned B3 on 10/13/2006 SATURN VENTURES: Moody's Downgrades Ratings on Three Classes ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of three classes of notes issued by Saturn Ventures II, Limited. The notes affected by the rating action are: -- US$289,000,000 Class A-1 Short Term Notes Bond, Downgraded to C; previously on March 26, 2009 Downgraded to B2; -- US$50,000,000 Class A-2 Floating Rate Senior Notes Bond, Downgraded to C; previously on March 26, 2009 Downgraded to Ca; -- US$25,000,000 Class A-3 Floating Rate Senior Notes Bond, Downgraded to C; previously on March 26, 2009 Downgraded to Ca. Saturn Ventures II, Limited is a collateralized debt obligation issuance backed primarily by a portfolio of residential mortgage- backed securities. The transaction experienced an Event of Default under the Indenture on October 27, 2009, as reported by the Trustee. As provided in Article 5 of the Indenture, during the occurrence and continuance of an Event of Default, certain parties to the transaction may be entitled to direct the Trustee to take particular actions with respect to the Collateral Debt Securities and the Notes. In this regard, the majority of the Controlling Class directed the Trustee to proceed with the disposition of the Collateral in accordance with the Indenture. Moody's received notification that the Trustee completed the disposition of or termination of all of the Collateral and made a final distribution, applying the proceeds of the liquidation in accordance with applicable provisions of the Indenture on January 11,2010. The rating actions taken reflect the changes in severity of loss associated with certain tranches and reflect the final liquidation distribution. SCHOONER TRUST: Moody's Affirms Ratings on Series 2004-CF2 Certs. ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 13 classes of Schooner Trust, Commercial Mortgage Pass-Through Certificates, Series 2004-CF2. The affirmations are due to overall stable performance and key rating parameters, including Moody's loan to value ratio and Moody's debt service coverage ratio remaining within acceptable ranges. The pool's loan diversity, as measured by the Herfindahl Index has declined since last review. However, the decline in Herf has been partially offset by increased subordination resulting from principal amortization and loan payoffs. The pool has amortized 15% since Moody's last review. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the March 12, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 15% to $307.3 million from $363.3 million at securitization. The Certificates are collateralized by 54 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans representing 55% of the pool. The pool includes two loans, representing 13% of the pool, with investment grade underlying ratings. Six loans, representing 7% of the pool, have defeased and are secured by Canadian Government securities. There are full or partial recourse provisions on loans representing 72% of the pool. Four loans, representing 8% 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. Moody's has assumed a high default probability for one poorly performing loan that is currently on the servicer's watch list. Moody's estimates a $440,000 loss (20% loss severity) for this troubled loan. Moody's was provided with full-year 2008 operating results for 91% of the pool. Excluding the troubled loan, Moody's weighted average LTV for the conduit pool is 77% compared to 83% at last review. Despite improvement in the pool's overall leverage, credit quality dispersion has increased. Based on Moody's analysis, 4% of the pool has a LTV in excess of 100% compared to 2% at last review and securitization. Excluding the troubled loan, Moody's actual and stressed DSCRs are 1.42X and 1.36X, respectively, compared to 1.34X and 1.21X 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 18 compared to 30 at last review. The largest loan with an underlying rating is the Chrysler Building Loan ($26.7 million -- 8.7% of the pool), which is secured by a 196,952 square foot Class A office building located in Windsor, Ontario. The largest tenant is Chrysler Canada which leases approximately 67% of the property's net rentable area (NRA) through August 2022. The property was 88% leased as of April 2010 compared to 100% at last review. Although occupancy has decreased, performance has remained stable and the loan benefits from amortization. The loan has amortized 4% since last review. Moody's current underlying rating and stressed DSCR are Baa3 and 1.11X, respectively, compared to Baa3 and 1.06X at last review. The second largest loan with an underlying rating is the Confederation Mall Loan ($10.8 million -- 3.5% of the pool), which is secured by a 327,474 SF retail center located in Saskatoon, Saskatchewan. The largest tenant is Wal-Mart which leases 45% of the NRA through January 2011. The center's web site indicates that Wal-Mart is vacating the center in Spring 2010 and a new anchor will be moving into the space. Although property performance has been stable, Moody's analysis incorporates a stressed cash flow due to the uncertainty of the borrower's releasing plans. The decline in Moody's net cash flow is partially offset by amortization. The loan is structured with a 25-year amortization schedule and has amortized 6% since last review. The loan is 100% recourse to the borrower. Moody's current underlying rating and stressed DSCR are Baa3 and 1.46X compared to at Baa2 and 1.68X at last review. The three largest conduit loans represent 26% of the outstanding pool balance. The largest conduit loan is the PD Kanco Multifamily Portfolio Loan ($37.1 million -- 12.1% of the pool), which is secured by seven multifamily properties located in Kitchener, Ontario. As of June 2009, the portfolio was 94% leased compared to 98% at last review. Property performance has been stable since securitization. The loan is structured with a 30- year amortization schedule and is partial recourse to the borrower. Moody's LTV and stressed DSCR are 87% and 1.02X, respectively, compared to 93% and 0.94X at last review. The second largest conduit loan is the Westmount Square Loan ($26.7 million -- 8.7% of the pool), which is secured by a 330,422 SF mixed used property located in Montreal, Quebec. The center is comprised of 248,170 SF of office space and 82,128 SF of retail space. As of February 2010, the property was 95% leased which is the same as at last review. The loan is structured with a 25-year amortization schedule and is 100% recourse to the borrower. Moody's LTV and stressed DSCR are 80% and 1.32X, respectively, compared to 91% and 1.09X at last review. The third largest conduit loan is the Stillwater Creek Loan ($15.8 million -- 5.1% of the pool), which is secured by a three- building facility offering independent living, assisted living and retirement care services located in Nepean, Ontario. The property was 95% leased as of December 2008 compared to 97% at last review. The loan is structured with a 25-year amortization schedule and has amortized 6% since last review. Moody's LTV and stressed DSCR are 63% and 1.79X, respectively, compared to 67% and 1.71X at last review. Moody's rating action is: -- Class A-1, $97,177,535, affirmed at Aaa, previously assigned Aaa on 9/10/2004 -- Class A-2, $161,000,000, affirmed at Aaa, previously assigned Aaa on 9/10/2004 -- Class X, Notional, affirmed at Aaa, previously assigned Aaa on 9/10/2004 -- Class B, $8,200,000, affirmed at Aa2, previously assigned Aa2 on 9/10/2004 -- Class C, $10,045,000, affirmed at A2, previously assigned A2 on 9/10/2004 -- Class D, $9,080,000, affirmed at Baa2, previously assigned Baa2 on 9/10/2004 -- Class E, $3,180,000, affirmed at Baa3, previously assigned Baa3 on 9/10/2004 -- Class F, $3,179,111, affirmed at Ba1, previously assigned Ba1 on 9/10/2004 -- Class G, $3,179,000, affirmed at Ba2, previously assigned Ba2 on 9/10/2004 -- Class H, $1,816,635, affirmed at Ba3, previously assigned Ba3 on 9/10/2004 -- Class J, $1,816,635, affirmed at B1, previously assigned B1 on 9/10/2004 -- Class K, $1,816,635, affirmed at B2, previously assigned B2 on 9/10/2004 -- Class L, $1,816,635, affirmed at B3, previously assigned B3 on 9/10/2004 SHEFFIELD CDO: Moody's Downgrades Ratings on Three Classes ---------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of three classes of notes issued by Sheffield CDO II, Ltd. The notes affected by the rating action are: -- US$169,300,000 Class A-1 Variable Funding Notes due 2051, Downgraded to C; previously on July 30, 2009 Downgraded to Caa1; -- US$32,500,000 Class A-2 Senior Secured Floating Rate due 2051, Downgraded to C; previously on July 30, 2009 Downgraded to Ca; -- US$32,500,000 Class A-3 Senior Secured Floating Rate Notes due 2051, Downgraded to C; previously on July 30, 2009 Downgraded to Ca. Sheffield CDO II, Ltd. is a collateralized debt obligation issuance backed primarily by a portfolio of residential mortgage- backed securities. The transaction experienced an Event of Default under the Trust Deed on July 21, 2009, as reported by the Trustee. As provided in Section 7 of the Trust Deed, during the occurrence and continuance of an Event of Default, certain parties to the transaction may be entitled to direct the Trustee to take particular actions with respect to the Mortgaged Property and the Notes. In this regard, the Controlling Class of Noteholders directed the Trustee to proceed with the disposition of the Mortgaged Property in accordance with the Trust Deed. Moody's received notification that the Trustee completed the disposition of or termination of all of the Mortgaged Property and made a final distribution, applying the proceeds of the liquidation in accordance with applicable provisions of the Trust Deed on March 9, 2010. The rating actions taken reflect the changes in severity of loss associated with certain tranches and reflect the final liquidation distribution. SORIN REAL: S&P Downgrades Ratings on Seven Classes of CRE CDOs --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes from Sorin Real Estate CDO IV Ltd., a commercial real estate collateralized debt obligation transaction, and removed them from CreditWatch negative. At the same time, S&P affirmed two ratings. 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 six underlying loan assets ($52.3 million, 14.1%) 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 Feb. 26, 2010, trustee report, the transaction's current asset pool includes these: * Ten subordinate interest loans ($155.4 million, 42.0%) of the collateral pool; * Fifteen commercial mortgage-backed securities tranches ($137.3 million, 37.1%); * Six whole loans and senior-interest loans ($57.2 million, 15.5%); and * Three CDO tranches ($20.2 million, 5.5%). Standard & Poor's reviewed and updated credit estimates for all of the nondefaulted loan assets. S&P based the analyses on its adjusted net cash flow, which S&P derived from the most recent financial data provided by the collateral manager, Sorin Capital Management 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 nine defaulted assets: six loan assets ($52.3 million, 14.1%) and three CDO tranches ($20.2 million, 5.5%). Based on information provided by the collateral manager, special servicer, and third-party market data providers, Standard & Poor's estimated that there would be no recovery upon the ultimate resolution of any of the defaulted loan assets. The defaulted loan assets are: * The Rhodes Ranch senior interest loan ($14.5 million, 3.9%); * The Yellowstone Mountain Club LLC senior interest loan ($12.5 million, 3.4%); * The Chico Mall senior interest loan ($8.5 million, 2.3%); * The Weststate senior interest loan ($8.0 million, 2.2%); * The Flag Luxury Properties subordinated loan ($7.1 million, 1.7%); and * The Yellowstone Mountain Club LLS senior interest loan ($4.4 million, 1.2%). According to the trustee report, the transaction is failing two interest coverage tests and three principal 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 Removed From Creditwatch Negative Sorin Real Estate CDO IV Ltd. Floating-rate notes Rating ------ Class To From ----- -- ---- A1 BBB- A+/Watch Neg A2 BB+ A-/Watch Neg A3 BB+ BBB+/Watch Neg B BB BBB/Watch Neg C B- BB-/Watch Neg D CCC+ B/Watch Neg E CCC- CCC/Watch Neg Ratings Affirmed Sorin Real Estate CDO IV Ltd. Floating-rate notes Class Rating ----- ------ F CCC- G CCC- SOUTH CAROLINA: Fitch Upgrades Ratings on Bonds From 'BB-/B' ------------------------------------------------------------ On April 14, 2010, Fitch Ratings will upgrade the rating to 'AAA/F1+' from 'BB-/B' on the South Carolina Jobs-Economic Development Authority's variable rate demand economic development revenue bonds (Woodhead, LLC Project), consisting of: -- $4125,000 series 2007A; -- $3,235,000 ($1,735,000 currently outstanding) series 2010B. The rating will be based on the support provided by two separate series substitute irrevocable confirming letters of credit to be issued by the Federal Home Loan Bank of Atlanta (rated 'AAA/F1+' by Fitch), which will confirm two separate series substitute irrevocable, direct-pay letters of credit to be issued by AFB&T. The LOC bank is obligated to make payments of principal of and interest on the bonds upon maturity, acceleration and redemption, as well as purchase price for tendered bonds. The CLOC bank is obligated to make a purchase price payment for all outstanding bonds in the event the LOC bank fails to honor any draw or repudiates its obligations under the LOC. The ratings will expire upon the earliest of: (a) April 14, 2011, the initial stated expiration date of the CLOCs, unless such date is automatically extended for one year periods; (b) conversion to the fixed interest rate; (c) any prior termination of the CLOCs; and (d) defeasance of the bonds. The LOCs provide full and sufficient coverage of principal plus an amount equal to 40 days of interest at a maximum rate of 10% based on a year of 365 days and purchase price for tendered bonds for the series 2007A bonds and amount equal to 40 days of interest at a maximum rate of 12% based on a year of 360 days and purchase price for tendered bonds for the series 2007B bonds, while in the weekly rate mode. The CLOCs provides the same full and sufficient coverage as the LOCs. The Remarketing Agent for the bonds continues to be Synovus Securities. The bonds are expected to be reoffered on or about April 14, 2010. The bonds currently bear interest at a weekly rate, but may be converted to a fixed interest rate. While bonds bear interest in the weekly rate mode, interest payments are on the first business day of each month, with the next interest payment date scheduled for May 3, 2010. The trustee is obligated to make timely draws on the LOCs to pay principal, interest, and purchase price. In the event the respective LOC bank fails to honor a draw or repudiates its obligations under the related LOC then the trustee directs a mandatory tender and draws on the CLOCs for the full purchase price of all outstanding bonds. Funds drawn under the LOCs are invested in accordance with rating guidelines and mature when needed, and are free from any lien prior to that of the bondholders. Bond proceeds were used for the purpose of (i) financing the acquisition, by construction or purchase, of certain land and improvements constituting a coated fabric manufacturing facility, certain additions to and machinery and equipment. STRUCTURED ADJUSTABLE: Moody's Downgrades Ratings on Five Tranches ------------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of five tranches and confirmed the ratings of one tranche from one RMBS transaction, backed by prime jumbo loans, issued by Structured Adjustable Rate Mortgage Loan 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. List of actions: Issuer: Structured Adjustable Rate Mortgage Loan Trust, Series 2008-1 -- Cl. A1, Downgraded to Caa2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A1X, Downgraded to Caa2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A21, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A22, Downgraded to C; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to Ca; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. AP, Confirmed at Aaa; previously on Dec 17, 2009 Aaa Placed Under Review for Possible Downgrade STRUCTURED ASSET: Moody's Downgrades Ratings on 77 Tranches ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 77 tranches, confirmed the ratings of 32 tranches, and upgraded the ratings of 2 tranches from 21 RMBS transactions issued by Structured Asset Investment Loan Trust. The collateral backing these deals 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. In addition, Moody's has adjusted the rating on the A-3 tranche for Structured Asset Investment Loan Trust 2006-1 to address credit enhancement which had not been properly modeled in the previous rating action on March 20, 2009. Due to an incorrect calculation of the credit enhancement level in that earlier action, credit was given for a larger amount of subordination to absorb losses for the senior bonds than actually existed. This calculation has been corrected, and the rating action reflects the appropriate enhancement level. The above mentioned approach "Subprime 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 (typically 20% for subprime pools). 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 20.20%. 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: Structured Asset Investment Loan Trust 2005-1 -- Cl. A2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A5, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A7, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to A1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Caa1; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2005-10 -- Cl. A1, Downgraded to Caa2; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to Caa2; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to A1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to A1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A6, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2005-11 -- Cl. A1, Downgraded to Ca; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to B1; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. A3, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to Baa2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. A6, Downgraded to Baa2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. A7, Downgraded to Ca; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2005-2 -- Cl. A1, 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. A5, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A6, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to Ba1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Ca; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2005-3 -- Cl. A1, 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. A5, Confirmed at Aaa; previously on Jan 13, 2010 Aaa 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, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A8, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to A2; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Caa1; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2005-4 -- 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. A5, 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 Ba2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to Caa2; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2005-5 -- Cl. A8, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at Aaa; previously on May 23, 2008 Assigned Aaa -- Financial Guarantor: CIFG Assurance North America, Inc. (Insured Rating Withdrawn 12/11/2009) -- Cl. A9, Downgraded to Aa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Aa1; previously on May 23, 2008 Assigned Aaa -- Financial Guarantor: CIFG Assurance North America, Inc. (Insured Rating Withdrawn 12/11/2009) -- Cl. A1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A5, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to A1; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to B2; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2005-6 -- Cl. A1, Downgraded to Aa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to Aa2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A3, Downgraded to Aa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A6, Downgraded to Aa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A9, Downgraded to Aa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to Ba3; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Ca; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2005-7 -- Cl. A2, Confirmed at Aa3; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to Baa1; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to Caa1; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2005-8 -- Cl. A4, Downgraded to B3; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2005-9 -- Cl. A1, Downgraded to B1; previously on Jan 13, 2010 Baa1 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 Caa3; previously on Mar 20, 2009 Downgraded to Ba3 -- Cl. A5, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A6, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2005-HE1 -- Cl. A6, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A7, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A8, Confirmed at Aa1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. M1, Upgraded to Baa1; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Caa1; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2005-HE2 -- Cl. A3, Upgraded to Aa2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to B2; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2005-HE3 -- Cl. A5, Confirmed at A2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to Caa1; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2006-1 -- Cl. A3, Downgraded to Ba3; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2006-2 -- Cl. A3, Downgraded to Caa2; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2006-3 -- Cl. A1, Downgraded to Caa3; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to Caa3; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. A4, Confirmed at Aaa; previously on Jan 13, 2010 Aaa 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, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2006-4 -- Cl. A1, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A3, Confirmed at Aa1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2006-BNC1 -- Cl. A1, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to Caa2; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2006-BNC2 -- Cl. A1, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to Caa2; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: Structured Asset Investment Loan Trust 2006-BNC3 -- Cl. A1, Downgraded to Ca; 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 Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade STRUCTURED ASSET: Moody's Downgrades Ratings on 155 Tranches ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 155 tranches and confirmed the ratings of 28 tranches from 30 RMBS transactions issued by Structured Asset Securities Corporation Trust. The collateral backing these deals 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: Structured Asset Securities Corp 2006-W1 -- Cl. A1, Downgraded to Caa3; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. A3, Confirmed at Aa1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to Caa2; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2006-Z -- Cl. A1, Downgraded to Caa3; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to Ca; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2005-NC1 -- Cl. A5, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A9, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A10, Downgraded to Aa2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A11, Downgraded to Aa2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to B1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Caa3; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. M6, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2005-NC2 -- Cl. A1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A2, 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. M2, Downgraded to Ba1; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to Caa1; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to C; previously on Jan 13, 2010 Ba1 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 Ca Placed Under Review for Possible Downgrade -- Cl. M7, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2005-WF1 -- Cl. A3, Downgraded to A1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to B1; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Ca; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to C; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to C; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. M6, Downgraded to C; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M7, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M8, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2005-WF2 -- Cl. A3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to Baa3; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Caa1; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to Ca; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to C; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to C; previously on Mar 20, 2009 Downgraded to B1 -- Cl. M6, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. M7, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2005-WF4 -- Cl. A1, Downgraded to A1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to Aa2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to Baa3; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Caa1; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to Ca; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to C; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to C; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M6, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. M7, Downgraded to C; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. M8, Downgraded to C; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. M9, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2006-AM1 -- Cl. A1, Downgraded to Caa2; previously on Jan 13, 2010 Ba1 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 A1 Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2006-BC1 -- Cl. A1, Downgraded to Caa1; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to Caa3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to B1; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. A6, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2006-BC2 -- Cl. A1, Downgraded to Ca; previously on Jan 13, 2010 B2 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 Caa3; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2006-BC6 -- Cl. A1, Downgraded to Caa3; previously on Jan 13, 2010 Ba2 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 Baa2; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2006-EQ1 -- Cl. A1, Downgraded to Caa2; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. A3, Confirmed at Aa1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to B2; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2006-NC1 -- Cl. A1, Downgraded to Caa3; 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, Downgraded to Caa1; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to C; previously on Jan 13, 2010 Ca 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 Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2006-OPT1 -- Cl. A1, Downgraded to B3; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to Ba3; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to Caa3; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. A6, Downgraded to B3; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2006-WF1 -- Cl. A1, Downgraded to A1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. A4, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to A2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to Ba3; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Caa2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2006-WF2 -- Cl. A3, Downgraded to Baa3; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to Caa3; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2006-WF3 -- Cl. A1, Downgraded to B2; previously on Jan 13, 2010 A1 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 B1; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to Caa2; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to B2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2007-BC1 -- Cl. A1, Downgraded to Caa3; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to Aa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A3, Downgraded to Ba1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to Ca; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A6, Downgraded to Caa3; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2007-BC2 -- Cl. A1, Downgraded to Caa3; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. A2, Confirmed at A2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. A3, Confirmed at Ba2; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2007-BC3 -- Cl. 1-A1, Downgraded to Baa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to B2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. 1-A3, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A4, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Baa1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to B2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A4, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2007-BC4 -- Cl. A1, Downgraded to Caa3; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. A3, Downgraded to Baa1; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2007-MLN1 -- Cl. A1, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to A3; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. A3, Downgraded to B3; 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 Issuer: Structured Asset Securities Corp Trust 2007-OSI -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2, Confirmed at Baa2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa1; previously on Jan 13, 2010 Ba1 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-5, Downgraded to C; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2007-WF1 -- Cl. A1, Downgraded to Caa3; previously on Jan 13, 2010 Ba2 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 Baa1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A6, Downgraded to Caa3; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp, Mortgage Pass-Through Certificates, Series 2006-BC3 -- Cl. A1, Downgraded to Ca; previously on Jan 13, 2010 B2 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 Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp. Trust 2007-EQ1 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa2; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-4, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. A-5, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp., Mortgage Pass-Through Certificates, Series 2007-WF2 -- Cl. A-1, Downgraded to Caa1; previously on Jan 13, 2010 Ba3 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, Downgraded to Caa3; previously on Jan 13, 2010 Ba2 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 -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corporation Mortgage Pass- Through Certificates, Series 2006-BC4 -- Cl. A1, Downgraded to Ca; previously on Jan 13, 2010 Caa2 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 A3; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corporation Series 2005-AR1 -- Cl. A1, Confirmed at Aa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. A2, Confirmed at A1; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Financial Guarantor: CIFG Assurance North America, Inc. (Insured Rating Withdrawn 12/11/2009) -- Cl. A4, Confirmed at Aa1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. A5, Confirmed at A1; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to Ba3; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corporation Trust 2006-BC5 -- Cl. A1, Downgraded to Caa3; previously on Jan 13, 2010 B1 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 A3; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade SUMMER STREET: Moody's Downgrades Ratings on Two Classes of Notes ----------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of two classes of notes issued by Summer Street 2004-1, Ltd. The notes affected by the rating action are: -- Class A-1 Flt. Rt. Senior Secured Notes, Downgraded to Ca; previously on 2/4/2009 Downgraded to B2 -- Class A-2 Flt. Rt. Senior Secured Notes, Downgraded to C; previously on 2/4/2009 Downgraded to Ca Summer Street 2004-1, Ltd., is a collateralized debt obligation issuance backed by a portfolio of primarily Residential Mortgage- Backed Securities originated between 2004 and 2007, with the majority originated in 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 1242 in January 2009 to 2010 in February 2010. During the same time, defaulted securities increased from $61 million to $83 million. In addition, the trustee reports that the transaction is currently failing its overcollateralization tests. 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. TARGETED RETURN: S&P Affirms 'B+' Rating on Certificates -------------------------------------------------------- Standard & Poor's Ratings Services affirmed its 'B+' weighted average rating on the certificates issued by Targeted Return Index Securities Trust Series HY 2006-1 and removed it from CreditWatch with negative implications. S&P removed its rating from CreditWatch negative due to the improvement in the credit quality of the underlying portfolio. S&P's rating on this transaction reflects its view of the average credit quality of the reference entities constituting the reference portfolio. Rating Affirmed And Removed From Creditwatch Negative Targeted Return Index Securities Trust Series HY 2006-1 Rating ------ Class To From ----- -- ---- Certificates B+ B+/Watch Neg TRAINER WORTHAM: Moody's Downgrades Ratings on Two Classes ---------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of two classes of notes issued by Trainer Wortham First Republic CBO III, Limited. The notes affected by the rating action are: -- Class A-1 Senior Secured Floating Rate Notes Due 2033, Downgraded to Caa3; previously on 2/10/2009 Downgraded to Ba1 -- Class A-2 Senior Secured Floating Rate Notes Due 2038, Downgraded to C; previously on 2/10/2009 Downgraded to Ca Trainer Wortham First Republic CBO III, Limited is a collateralized debt obligation issuance backed by a portfolio of primarily Residential Mortgage-Backed Securities originated between 2002 and 2005, with the majority originated in 2005. According to Moody's, the rating downgrade actions are the result of deterioration in the credit quality of the underlying portfolio. Such credit deterioration is observed through numerous factors, including a decline in the average credit rating of the portfolio (as measured by an increase in the weighted average rating factor), an increase in the dollar amount of defaulted securities, and failure of the coverage tests. The weighted average rating factor, as reported by the trustee, has increased from 1997 in January 2009 to 3312 in February 2010. During the same time, defaulted securities increased from $20 million to $35 million. In addition, the trustee reports that the transaction is currently failing its overcollateralization tests. 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. WACHOVIA BANK: S&P Downgrades Rating on 2004-C11 Certificates ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating the class O certificates from Wachovia Bank Commercial Mortgage Trust's series 2004-C11 and removed it from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 19 additional classes from the same transaction and removed 12 of them from CreditWatch with negative implications. The actions follow S&P's analysis of the transaction using its U.S. conduit and fusion commercial mortgage-backed securities criteria. The downgrade also reflects credit support erosion that S&P anticipates will occur upon the eventual resolution of one of the five specially serviced assets in the transaction. 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 1.64x and a loan-to-value ratio of 78.4%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 1.18x and an LTV ratio of 98.7%. The implied defaults and loss severity under the 'AAA' scenario were 35.0% and 25.9%, respectively. The DSC and LTV calculations S&P noted above exclude three defeased loans ($139.3 million, 15.2%) and one ($19.2, 2.1%) of the five specially serviced assets. S&P separately estimated losses for this specially serviced asset and included it in S&P's 'AAA' scenario implied default and loss figures. The affirmations of the ratings on the principal and interest certificates reflect subordination levels that are consistent with the outstanding ratings. S&P affirmed its ratings on the class X- C and X-P interest-only certificates based on S&P's 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 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, five assets ($252.6 million, 27.6%) in the pool were with the special servicer, CWCapital Asset Management LLC. The payment status of the specially serviced assets is: one is 90-plus-days delinquent ($19.2 million, 2.1%), one is 60 days delinquent ($8.1 million, 0.9%), two are 30 days delinquent ($201.6, 22.0%), and one ($23.7 million, 2.6%) is less than 30 days delinquent. The three largest loans with the special servicer are secured by retail malls owned by General Growth Properties Inc. All three loans were transferred to the special servicer in April 2009 following GGP's bankruptcy filing on April 16, 2009. On Dec. 15, 2009, the bankruptcy court confirmed a modification plan for 85 GGP loans, including these three loans. According to CWCapital, it will return all three loans to the master servicer when the servicers finalize the loan modifications. Details of these three loans are: The Brass Mill Center & Commons loan ($114.2 million, 12.5%) is the largest loan in the pool. The loan is secured by 864,187 sq. ft. of a 1.1 million-sq.-ft. regional mall and community center in Waterbury, Conn. The special servicer has confirmed that it extended the maturity date for this loan to April 2016. As of the 12 months ended Dec. 31, 2008, the reported DSC was 1.66x and occupancy was 94.0%, compared with 1.77x and 97.0%, respectively, at issuance. The Four Seasons Town Centre loan ($87.5 million, 9.6%) is the second-largest loan with the special servicer and is secured by 938,410 sq. ft. of a 1.1 million-sq.-ft. regional mall built in 1973 and renovated in 1999 in Greensboro, N.C. The special servicer has confirmed that it extended the maturity date of this loan to June 2017. As of the 12 months ended Dec. 31, 2008, the reported DSC was 1.64x and occupancy was 92.2%, compared with 1.54x and 96.0%, respectively, at issuance. The Bay City Mall loan ($23.7 million, 2.6%) is the seventh- largest loan with the special servicer and is secured by a 361,194-sq.-ft. anchored retail center built in 1991 in Bay City, Mich. The special servicer has informed us that it expects to modify the maturity date for this loan to two days after the emergence of GGP from bankruptcy, with an outside maturity date of no later than March 31, 2011. As of the nine months ended Sept. 30, 2008, the reported DSC was 1.48x and occupancy was 93.8%, compared with 2.02x and 92.0%, respectively, at issuance. The Essex Place Apartments loan, which has a total exposure of $19.2 million (2.1%), is the 10th-largest loan in the pool. The loan is more than 90 days delinquent and is secured by a 352-unit apartment complex built in 1970 in Overland Park, Kan. The loan was transferred to special servicing on Jan. 7, 2010, due to imminent monetary default. CWCapital is awaiting a loan modification proposal from the borrower, while pursuing foreclosure. If the modification does not occur, S&P expects a moderate loss to the trust. The remaining specially serviced asset that was listed in the March 2010 remittance report ($8.2 million) has a balance that represents less than 0.9% of the total pool balance. The loan was modified and will be returned to the master servicer. As of year- end 2008, the loan reported a DSC of 1.85x and occupancy of 92.6%. The three GGP loans ($225.3 million, 24.6%) that are with the special servicer will be returned to the master servicer in the near future. Pursuant to the transaction documents, the special servicer is entitled to a workout fee that is 1.0% of all future principal and interest payments, provided they are returned to the master servicer and continue to perform. These three 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. Transaction Summary As of the March 2010 remittance report, the collateral pool balance was $915.9 million, which is 87.9% of the balance at issuance. The pool includes 51 loans, down from 54 loans at issuance. As of the March 2010 remittance report, the master servicer, Wachovia Bank N.A., provided financial information for 99.3% of the nondefeased loans in the pool, and 96.2% of the servicer-provided information was full-year 2008, interim-2009, or full-year 2009 data. S&P calculated a weighted average DSC of 1.70x for the pool based on the reported figures. S&P's adjusted DSC and LTV, which exclude three defeased loans ($139.3 million, 15.2%) and one ($184.4 million, 11.2%) of the five specially serviced assets, were 1.64x and 78.4%, respectively. S&P separately estimated losses for one of the five specially serviced assets. Fifteen loans ($195.1 million, 21.3%) are on the master servicer's watchlist, including two of the top 10 loans. Seven loans ($63.8 million, 7.0%) have a reported DSC below 1.10x, and four of these loans ($38.7 million, 4.2%) have a reported DSC of less than 1.0x. Summary of Top 10 Loans The top 10 exposures secured by real estate have an aggregate outstanding balance of $500.9 million (54.7%). Using servicer- reported numbers, S&P calculated a weighted average DSC of 1.77x for the top 10 loans. Two of the top 10 loans ($99.6 million, 10.9%) appear on the master servicer's watchlist, which S&P discuss in detail below. S&P's adjusted DSC and LTV for the top 10 loans are 1.69x and 75.5%, respectively. The Bank of America Tower loan is the third-largest loan secured by real estate in the pool and the largest loan on the master servicer's watchlist. The loan has a trust balance of $71.5 million (7.8%) and is secured by a 697,341-sq.-ft. office building built in 1990 in Jacksonville, Fla. According to the March 2010 watchlist report comments, the asset appears on the watchlist due to a decrease in occupancy, resulting from a reduction of both leased space and rental rate by the largest tenant, Bank of America. Reported DSC and occupancy as of Dec. 31, 2009, were 1.38x and 74.0% respectively, down from 1.51x and 80.0% at issuance. The Amargosa Commons Shopping Center loan is the sixth-largest loan in the pool and the second-largest loan on the master servicer's watchlist. The loan has a trust balance of $28.2 million (3.1%) and is secured by a 173,302-sq.-ft. anchored retail center, constructed in 2003 in Palmdale, Calif. According to the March 2010 watchlist report comments, the asset appears on the watchlist due to a low DSC and decrease in occupancy. Reported DSC and occupancy as of Dec. 31, 2009, were 0.86x and 73.0%, respectively, down from 1.21x and 96.0% at issuance. Standard & Poor's stressed the loans in the pool according to our conduit/fusion criteria. The resultant credit enhancement levels are consistent with the lowered and affirmed ratings. Rating Lowered And Removed From Creditwatch Negative Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2004-C11 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- O CCC+ B-/Watch Neg 1.28 Ratings Affirmed And Removed From Creditwatch Negative Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2004-C11 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- B AA+ AA+/Watch Neg 14.21 C AA AA/Watch Neg 12.79 D A+ A+/Watch Neg 10.23 E A A/Watch Neg 8.95 F BBB+ BBB+/Watch Neg 7.39 G BBB BBB/Watch Neg 5.97 H BBB- BBB-/Watch Neg 4.83 J BB+ BB+/Watch Neg 2.98 K BB BB/Watch Neg 2.42 L BB- BB-/Watch Neg 2.13 M B+ B+/Watch Neg 1.85 N B B/Watch Neg 1.56 Ratings Affirmed Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2004-C11 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-2 AAA 17.34 A-3 AAA 17.34 A-4 AAA 17.34 A-5 AAA 17.34 A-1A AAA 17.34 X-C AAA N/A X-P AAA N/A N/A - Not applicable. WACHOVIA BANK: S&P Downgrades Ratings on 13 2005-C17 Securities --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 13 classes of commercial mortgage-backed securities from Wachovia Bank Commercial Mortgage Trust's series 2005-C17 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on eight other classes from the same transaction and removed one of them from CreditWatch with negative implications. The downgrades follow S&P's analysis of the transaction using its U.S. conduit and fusion CMBS criteria, which was the primary driver of the rating actions. 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 1.59x and a loan-to-value ratio of 89.8%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average DSC of 1.12x and an LTV of 117.0%. The implied defaults and loss severity under the 'AAA' scenario were 57.7% and 23.7%, respectively. All of the DSC and LTV calculations S&P noted above exclude 23 defeased loans ($260.8 million, 10.7%), six of the transaction's 13 specially serviced assets ($52.7 million, 2.2%), and two loans ($60.2 million, 2.5%) that S&P determined to be credit-impaired. S&P separately estimated losses for the six specially serviced and two credit-impaired assets and included them in the 'AAA' scenario implied default and loss figures. The affirmations of the ratings on the principal and interest classes 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 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 that S&P affirmed. Credit Considerations As of the March 2010 remittance report, 13 ($231.9 million, 9.5%) assets in the pool were with the special servicer, CWCapital Asset Management. The payment status of the specially serviced assets is: eight ($157.8 million, 6.5%) are matured balloons, one ($2.7 million, 0.1%) is real estate owned, one ($14.9 million, 0.6%) is in foreclosure, two ($28.4 million, 1.2%) are 90-plus days delinquent, and one ($28.0 million, 1.2%) is late but less than 30 days delinquent. One of the specially serviced assets has an appraisal reduction amount of $1.9 million in effect. The Falchi Building loan ($44.1 million total exposure, 1.8%) is the 10th-largest exposure in the pool and the largest loan with the special servicer. The loan is secured by a 638,712-sq.-ft. mixed-use property in Long Island City, N.Y. The loan was transferred to the special servicer on Dec. 22, 2009, due to imminent monetary default. The loan was scheduled to mature on March 11, 2010, and is now classified as a matured balloon asset. As of September 2009, the reported DSC was 1.27x, compared with 1.21x at issuance. As of October 2009, occupancy was 89.1% compared with 93.5% at issuance. It is S&P's understanding that the special servicer is evaluating resolution strategies for this loan. The Cabrillo Palisades loan ($42.2 million total exposure, 1.7%) is the second-largest loan with the special servicer. The loan is secured by a 369-unit multifamily property in San Diego, California. The loan was transferred to the special servicer on April 25, 2008, due to imminent monetary default. The loan was scheduled to mature on Feb. 11, 2010, and is now classified as a matured balloon asset. As of September 2009, the reported DSC was 1.42x, compared with 1.49x at issuance. According to the special servicer, extension documents are being circulated for signature. The 11 ($146.1 million, 6.0%) remaining specially serviced assets that were listed in the March 2010 remittance report have balances that individually represent less than 1.2% of the total pool balance. S&P estimated losses for six ($52.7 million, 2.2%) of these assets, resulting in a weighted average loss severity of 18.0%. The remaining five loans were transferred to the special servicer relatively recently. The reported DSC for the five loans ranges from 1.38x to 2.93x. CWCapital is reviewing workout strategies for the remaining five loans. In addition to the specially serviced assets, S&P determined two ($60.2 million, 2.5%) loans to be credit-impaired. The larger of these is the Great Wolf Resorts Pool loan ($44.9 million, 1.8%), which is the ninth-largest exposure in the pool. This loan also appears on the master servicer's watchlist. The loan is secured by two full-service lodging properties comprising 562 rooms. Both properties also include indoor water park facilities. One of the properties is located in Traverse City, Michigan, while the other is located in Kansas City, Kansas. As of December 2009, DSC and consolidated occupancy were 0.80x and 60.9%, respectively. These compare to the issuance DSC and consolidated occupancy of 3.08x and 63.6%, respectively. As a result of the decline in performance, S&P views this asset to be at an increased risk of default and loss. The second asset S&P determined to be credit- impaired and at an increased risk of default and loss had a reported DSC of 0.39x as of September 2009 and accounts for 0.6% of the pool balance. Two loans totaling $50.6 million (2.1%) were previously with the special servicer and have been returned to the master servicer. Pursuant to the transaction documents, the special servicer is entitled to a workout fee equal to 1.00% of all future principal and interest payments on the loans if they continue to perform well and remain with the master servicer. CWCapital has indicated that the trust will bear the workout fee for both assets. The pool contains nine ($166.6 million, 6.8%) nondefeased loans with final maturities in 2010. Transaction Summary As of the March 2010 remittance report, the collateral pool had an aggregate trust balance of $2.44 billion, down from $2.72 billion at issuance. The pool includes 218 assets, down from 226 at issuance. The master servicer, Wachovia Bank N.A., provided full- year 2008, interim-2009, or full-year 2009 financial information for 96.0% of the nondefeased assets in the pool. S&P calculated a weighted average DSC of 1.61x for the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.59x and 89.8%, respectively. S&P's adjusted DSC and LTV figures exclude 23 ($260.8 million, 10.7%) defeased loans, six ($52.7 million, 2.2%) of the transaction's 13 specially serviced assets, and two loans ($60.2 million, 2.5%) that S&P determined to be credit-impaired. S&P separately estimated losses for the six specially serviced and two credit-impaired assets. The master servicer reported a watchlist of 52 ($546.9 million, 22.4%) loans, including one of the top 10 loan exposures which is discussed above, as well as portions of two other top 10 loan exposures which are discussed below. Twenty-five ($283.4 million, 11.6%) assets in the pool have a reported DSC of less than 1.10x, and eighteen ($207.3 million, 8.5%) assets have a reported DSC of less than 1.00x. Summary of Top 10 Loan Exposures The top 10 loan exposures have an aggregate outstanding trust balance of $765.0 million (31.4%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.77x for the top 10 real estate assets. S&P's adjusted DSC and LTV for the top 10 exposures are 1.71x and 77.0%, respectively. The Digital Realty Trust Portfolio exposure ($143.4 million, 5.9%) is the second-largest exposure in the pool. The asset is comprised of six cross-collateralized and cross-defaulted loans. Five of the loans are collateralized by office properties, while the remaining loan is collateralized by a mixed-use property. The properties comprise 1,421,884 sq. ft. across the U.S. Three ($75.9 million, 3.1%) of the loans appear on the master servicer's watchlist for significant, impending tenant lease expirations. Reported DSC and occupancy for the entire exposure was 2.72x and 97.1%, respectively, as of September 2009. The Olympia Portfolio exposure ($58.0 million, 2.4%) is the fourth-largest exposure in the pool. The asset is composed of 16 cross-collateralized and cross-defaulted loans. Fifteen of the loans are collateralized by retail assets and one is collateralized by an office asset. The properties comprise 295,492 sq. ft. in Florida and Georgia. Three ($12.5 million, 0.5%) of the loans appear on the master servicer's watchlist, two for low DSC, and one for deferred maintenance. Reported DSC for the entire exposure was 1.19x as of December 2008. 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 lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2005-C17 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- B A+ AA/Watch Neg 11.58 C A AA-/Watch Neg 10.60 D A- A/Watch Neg 8.65 E BBB+ A-/Watch Neg 7.53 F BBB BBB+/Watch Neg 6.42 G BBB- BBB/Watch Neg 5.16 H BB- BBB-/Watch Neg 3.63 J B+ BB+/Watch Neg 3.35 K B BB/Watch Neg 2.93 L B- B/Watch Neg 2.37 M CCC+ B-/Watch Neg 2.09 N CCC CCC+/Watch Neg 1.81 O CCC- CCC/Watch Neg 1.53 Rating Affirmed And Removed From Creditwatch Negative Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2005-C17 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-J AAA AAA/Watch Neg 14.65 Ratings Affirmed Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2005-C17 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-2 AAA 22.32 A-3 AAA 22.32 A-PB AAA 22.32 A-4 AAA 22.32 A-1A AAA 22.32 X-P AAA N/A X-C AAA N/A N/A -- Not applicable. WAMU MORTGAGE: Moody's Downgrades Ratings on 159 Tranches --------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 159 tranches and confirmed the ratings on 3 tranches from 8 RMBS transactions, backed by Alt-A loans, issued by the WaMu Mortgage Pass-Through Certificates Trust. 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. 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: WaMu Mortgage Pass-Through Certificates Series 2005-3 Trust -- Cl. 1-CB-1, Downgraded to Caa3; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-CB-2, Downgraded to C; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-CB-3, Downgraded to Caa3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-CB-4, Downgraded to Caa3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-CB-5, Downgraded to Ca; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-CB-6, Downgraded to C; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa3; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa3; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa3; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Caa3; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Caa3; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to C; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. C-X, Downgraded to Caa3; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. C-P, Downgraded to Caa3; previously on Jan 14, 2010 Ba3 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: WaMu Mortgage Pass-Through Certificates, WMALT Series 2005-10 Trust -- Cl. 1-CB, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. C-X, Downgraded to B3; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. C-P, Downgraded to Ca; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C; previously on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Ca; 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 Ca; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to Ca; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-8, Downgraded to Ca; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A-9, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-10, Downgraded to Ca; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-CB-1, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 3-CB-2, Downgraded to C; previously on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. 4-CB-1, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 4-CB-2, Downgraded to C; previously on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. 4-CB-3, Downgraded to Ca; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 4-CB-4, Downgraded to Ca; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 4-CB-5, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 4-CB-6, Downgraded to Ca; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to B3; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2005-11 Trust -- Cl. A-1, Downgraded to Ca; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa3; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ca; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to C; previously on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa3; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. P, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2005-4 Trust -- Cl. CB-1, Downgraded to Ca; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. CB-2, Downgraded to Ca; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. CB-3, Downgraded to Ca; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. CB-4, Downgraded to Ca; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. CB-5, Downgraded to C; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. CB-6, Downgraded to Ca; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. CB-7, Downgraded to Ca; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. CB-8, Downgraded to C; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. CB-9, Downgraded to Ca; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. CB-10, Downgraded to Ca; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. CB-11, Downgraded to Ca; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. CB-12, Downgraded to C; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. CB-13, Downgraded to Ca; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. CB-14, Downgraded to Ca; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. CB-15, Current rating Aa3; previously on Dec 18, 2009 Confirmed at Aa3 Financial Guarantor: Assured Guaranty Corp. (Confirmed at Aa3, Outlook Negative on Dec 18, 2009) -- Cl. CB-16, Downgraded to Ca; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. C-X, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. C-P, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-CB, Downgraded to B2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. 3-CB, Downgraded to B3; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Caa1; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. 4-A-2, Downgraded to C; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 5-A-2, Downgraded to Caa3; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 5-A-3, Downgraded to Caa3; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 5-A-4, Downgraded to Caa3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 5-A-5, Downgraded to Caa3; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 5-A-6, Downgraded to Caa3; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 5-A-7, Downgraded to Caa3; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 5-A-8, Downgraded to Caa3; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 5-A-9, Downgraded to C; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 5-A-10, Downgraded to C; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. D-X, Downgraded to B2; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. D-P, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2005-5 Trust -- Cl. CB-1, Downgraded to Caa2; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. CB-2, Downgraded to Caa2; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. CB-3, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. CB-4, Downgraded to Caa2; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. CB-5, Downgraded to C; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. CB-6, Downgraded to Caa3; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. CB-7, Downgraded to Caa3; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. CB-8, Downgraded to Caa3; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. CB-9, Downgraded to Caa3; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. CB-10, Downgraded to Caa3; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. CB-11, Downgraded to Caa3; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. CB-12, Downgraded to Caa3; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. CB-13, Downgraded to C; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. CB-14, Downgraded to Caa2; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa2; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. P, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C; previously on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2005-8 Trust -- Cl. 1-A-1, Downgraded to Caa3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to C; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. C-X, Downgraded to B3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. C-P, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-CB-1, Downgraded to Ca; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-CB-2, Downgraded to C; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-CB-3, Downgraded to Ca; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-CB-4, Downgraded to Ca; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-CB-5, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 3-CB-1, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 3-CB-2, Downgraded to C; previously on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to B3; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2005-9 Trust -- Cl. 1-CB, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa3; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa1; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Caa3; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Caa3; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to Caa1; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to C; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 3-CB, Downgraded to B3; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Ca; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 4-A-2, Downgraded to Ca; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 4-A-3, Downgraded to Ca; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 4-A-4, Downgraded to Ca; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 4-A-5, Downgraded to C; previously on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to Ca; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 5-A-2, Downgraded to C; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 5-A-3, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 5-A-4, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 5-A-5, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 5-A-6, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 5-A-7, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 5-A-8, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 5-A-9, Downgraded to Ca; previously on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. C-X, Downgraded to B3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. C-P, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade Issuer: Washington Mutual Mortgage Pass-Through Certificates, WMALT Series 2005-7 -- Cl. 1-A-1, Downgraded to Caa3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to C; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-CB-1, Downgraded to Caa2; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-CB-2, Downgraded to C; previously on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 2-CB-3, Confirmed at B3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-CB-4, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-CB-5, Downgraded to Caa2; previously on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-CB-6, Downgraded to Caa2; previously on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-CB-7, Confirmed at Caa2; previously on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. 3-CB, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 4-CB, Downgraded to Ca; previously on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. C-X, Downgraded to B3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. C-P, Confirmed at Caa2; previously on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade WASHINGTON MUTUAL: Moody's Downgrades Ratings on Four Tranches -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of four tranches from one RMBS transaction, backed by prime jumbo loans, issued by Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR4. The collateral backing the transaction 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. List of actions: Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR4 -- Cl. A-4A, Downgraded to Ba2; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-4B, Downgraded to Ba2; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to B3; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Ba2; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade WELLS FARGO: Moody's Downgrades Ratings on 102 Tranches ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 102 tranches, confirmed the ratings of 16 tranches and upgraded two tranches from 11 RMBS transactions, backed by prime jumbo loans, issued by Wells Fargo Mortgage-Backed Securities in 2005. The collateral backing these transactions consists primarily of first-lien, fixed 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. Tranche A1 issued by Wells Fargo Mortgage Backed Securities 2005- 16 Trust is wrapped by MBIA Insurance Corporation (rated B3). 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 in the methodology publication. 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: Wells Fargo Mortgage Backed Securities 2005-10 Trust -- Cl. A-1, Downgraded to Ba3; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba3; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Ba3; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2005-14 Trust -- Cl. I-A-1, Downgraded to Baa3; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to Ba1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. I-A-4, Downgraded to Ba2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. I-A-5, Downgraded to Baa3; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. I-A-6, Downgraded to Baa3; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. I-A-7, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. I-A-8, Downgraded to B2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. I-A-9, Downgraded to Ba2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. I-A-10, Confirmed at Baa3; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. I-A-11, Downgraded to Ba3; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. I-A-PO, Downgraded to Ba3; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Ba2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Caa3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. II-A-PO, Confirmed at B1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2005-15 Trust -- Cl. A-1, Downgraded to A2; previously on Dec 17, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Aa1; previously on Dec 17, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Baa2; previously on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to A2; previously on Dec 17, 2009 Aa1 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2005-16 Trust -- Cl. A-2, Downgraded to Ba2; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Baa3; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Caa3; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Ca; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-19, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-3, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-5, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-6, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-7, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-9, Upgraded to Ba2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-10, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-11, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-12, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-14, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-16, Upgraded to Ba3; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-17, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-18, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-PO, Upgraded to B2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2005-18 Trust -- Cl. I-A-PO, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Ba3; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Ca; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. II-A-5, Downgraded to B1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. II-A-6, Downgraded to Ba2; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. II-A-7, Downgraded to B1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. II-A-8, Downgraded to B1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. II-A-9, Downgraded to Ba3; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. II-A-10, Downgraded to B1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. II-A-11, Downgraded to B2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. II-A-PO, Downgraded to B1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. I-A-1, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Confirmed at Baa2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2005-2 Trust -- Cl. I-A-1, Downgraded to Ba2; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Ba2; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to Ba2; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. I-A-4, Downgraded to Ba3; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. I-A-5, Downgraded to A2; previously on Dec 17, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-6, Downgraded to B3; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. I-A-7, Downgraded to Ba3; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. I-A-8, Downgraded to A2; previously on Dec 17, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-9, Downgraded to Caa1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. I-A-10, Downgraded to A1; previously on Dec 17, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. I-A-11, Downgraded to Baa1; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. I-A-12, Downgraded to Ba2; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. I-A-PO, Downgraded to Ba3; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. II-A-PO, Downgraded to Baa1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Baa1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2005-3 Trust -- Cl. A-1, Downgraded to Baa3; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Baa3; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Baa2; previously on Dec 17, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba3; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Ba1; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Baa1; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Ba2; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Ba3; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to Caa1; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to B3; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Ba2; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-8, Confirmed at A2; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities Trust 2005-4 Trust -- Cl. A-1, Downgraded to B2; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B2; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ba2; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B3; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to B2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to B2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to B2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to B2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to B2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to B2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2005-6 Trust -- Cl. A-1, Downgraded to Ba1; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba1; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ba1; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba1; previously on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to B1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to B1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to B1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to B1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to B1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to B1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to B2; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to B1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Caa2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to B1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to B1; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to B2; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Ba3; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2005-7 Trust -- Cl. A-1, Downgraded to Baa3; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ba1; previously on Dec 17, 2009 Baa3 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 Ba3; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Ba3; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Ba2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2005-8 Trust -- Cl. A-1, Downgraded to Ba3; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ca; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade WELLS FARGO: Moody's Downgrades Ratings on 134 Tranches ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 134 tranches, confirmed the ratings of 7 tranches and upgraded the ratings of 2 tranches from 14 RMBS transactions, backed by prime jumbo loans, issued by Wells Fargo Mortgage-Backed Securities in 2006. The collateral backing these transactions consists primarily of first-lien, fixed, 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: Wells Fargo Mortgage Backed Securities 2006-1 Trust -- Cl. A-1, Downgraded to B1; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa3; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B2; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to B2; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2006-10 Trust -- Cl. A-1, Downgraded to Ba3; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B3; previously on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to B1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to B1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Caa1; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to C; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to B2; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to B2; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. A-18, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-19, Downgraded to B3; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-20, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-21, Downgraded to B3; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-22, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-23, Downgraded to C; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-25, Downgraded to B3; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2006-11 Trust -- Cl. A-1, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to B2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Ba2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-14, Confirmed at B1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to C; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-18, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-19, Downgraded to B2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-20, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2006-13 Trust -- Cl. A-3, Downgraded to Baa1; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba1; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to B3; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to C; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Ba1; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to B1; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to B2; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to B3; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Ca; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to B3; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-1, Confirmed at A2; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-2, Confirmed at Baa2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2006-14 Trust -- Cl. A-1, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2006-15 Trust -- Cl. A-1, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2006-16 Trust -- Cl. A-1, Downgraded to Baa3; previously on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Baa3; previously on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to A1; previously on Dec 17, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba1; previously on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Baa3; previously on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Baa2; previously on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Baa2; previously on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Baa3; previously on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Baa3; previously on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Baa2; previously on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Baa2; previously on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to A3; previously on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to Baa3; previously on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Baa3; previously on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to Baa3; previously on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to Baa2; previously on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-18, Downgraded to Baa3; previously on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-19, Downgraded to Baa3; previously on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Baa3; previously on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-12, Confirmed at Aa2; previously on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2006-17 Trust -- Cl. A-1, Downgraded to B2; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba1; previously on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ba3; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B2; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to B2; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2006-18 Trust -- Cl. A-1, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2006-19 Trust -- Cl. A-1, Downgraded to B1; previously on Dec 17, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba2; previously on Dec 17, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa1; previously on Dec 17, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ca; previously on Dec 17, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to B2; previously on Dec 17, 2009 Aa1 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2006-20 Trust -- Cl. A-1, Downgraded to Ba3; previously on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Ba3; previously on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2006-3 Trust -- Cl. A-1, Downgraded to B2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to B2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to B1; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Ca; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-5, Upgraded to Ba3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2006-4 Trust -- Cl. I-A-1, Downgraded to Ba3; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Ba3; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to B2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. I-A-4, Downgraded to C; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. I-A-5, Downgraded to Ba2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. I-A-6, Downgraded to Ba2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. I-A-8, Downgraded to B1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. I-A-9, Downgraded to B3; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. I-A-11, Downgraded to B2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. I-A-12, Downgraded to B1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. I-A-PO, Downgraded to B2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. I-A-13, Downgraded to Ca; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. I-A-14, Downgraded to B3; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to B3; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to B3; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Ca; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. II-A-PO, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. I-A-10, Downgraded to B3; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2006-8 Trust -- Cl. A-3, Downgraded to B3; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to C; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-18, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-19, Downgraded to C; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-13, Upgraded to B2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-1, Confirmed at Ba1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-2, Confirmed at B2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-16, Confirmed at B2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade WELLS FARGO: Moody's Downgrades Ratings on 201 Tranches ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 201 tranches, confirmed the ratings of five tranches and upgraded the ratings of one tranche from 7 RMBS transactions, backed by prime jumbo loans, issued by Wells Fargo Mortgage-Backed Securities in 2007 and 2008. The collateral backing these transactions consists primarily of first-lien, fixed, 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: Wells Fargo Mortgage Backed Securities 2007-1 Trust -- Cl. A-1, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to C; previously on Dec 17, 2009 Caa2 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-8, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2007-11 Trust -- Cl. A-1, Downgraded to B3; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B3; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to B3; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-18, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-19, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-20, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-21, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-22, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-23, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-24, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-25, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-26, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-27, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-28, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-29, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-30, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-31, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-32, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-33, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-34, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-35, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-36, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-37, Downgraded to B3; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-38, Downgraded to B2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-39, Downgraded to B2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-40, Downgraded to B2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-41, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-42, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-43, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-44, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-45, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-46, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-47, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-48, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-49, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-50, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-51, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-52, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-53, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-54, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-55, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-56, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-57, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-58, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-59, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-60, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-61, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-62, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-63, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-64, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-65, Downgraded to C; previously on Dec 17, 2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-66, Downgraded to C; previously on Dec 17, 2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-67, Downgraded to C; previously on Dec 17, 2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-68, Downgraded to C; previously on Dec 17, 2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-69, Downgraded to Ca; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-70, Downgraded to Ca; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-71, Downgraded to B2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-72, Downgraded to B2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-73, Downgraded to B3; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-74, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-75, Downgraded to B3; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-76, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-77, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-78, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-79, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-80, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-81, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-82, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-83, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-84, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-85, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-86, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-87, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-88, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-89, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-90, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-91, Downgraded to B3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-92, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-93, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-94, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-95, Downgraded to C; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-96, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-97, Downgraded to C; previously on Dec 17, 2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-98, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-99, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2007-16 Trust -- Cl. II-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. II-A-5, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. II-A-6, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. II-A-PO, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Upgraded to Ba3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2007-4 Trust -- Cl. A-1, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-18, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-19, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-21, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-5, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-7, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-9, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-20, Confirmed at B2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2007-6 Trust -- Cl. A-1, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to C; previously on Apr 23, 2009 Downgraded to Ca -- Cl. A-6, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2007-7 Trust -- Cl. A-1, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ba2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-18, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-19, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-20, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-21, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-22, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-23, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-24, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-25, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-26, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-27, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-28, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-29, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-30, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-31, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-32, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-33, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-34, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-35, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-36, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-37, Downgraded to C; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-38, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-39, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-40, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-41, Downgraded to Ca; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-42, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-43, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-44, Downgraded to B3; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-45, Downgraded to C; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-46, Downgraded to C; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-47, Downgraded to C; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-48, Downgraded to C; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-49, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-50, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-51, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2008-1 Trust -- Cl. I-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to C; previously on Dec 17, 2009 Caa3 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. II-A-5, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. II-A-6, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to Aa3; previously on Dec 17, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. III-A-2, Downgraded to A3; previously on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade -- Cl. III-A-PO, Downgraded to A1; previously on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade * Fitch Takes Rating Actions on 153 Global Synthetic CDO Deals -------------------------------------------------------------- Fitch Ratings has taken rating action on 153 global synthetic corporate CDO transactions. The rating actions incorporate the downgrade of 99 tranches (affecting 87 public ratings and 12 private ratings), the affirmation of 186 tranches (affecting 133 public ratings and 53 private ratings) and the upgrade of four tranches (all public ratings). In addition, the agency has assigned Recovery Ratings to the notes rated 'CCC' or below and assigned Issuer Report Grades to European and some Asia Pacific transactions. The downgrades reflect the continued deterioration in portfolio credit quality, particularly in relation to defaulted assets and assets rated 'CCC' or below. Since the agency's prior rating action on a majority of the transactions in May 2009, a total of 14 reference entities have been subject to credit events. For the affirmed tranches, the rating action reflects low exposure to the defaulted names, lower levels of negative portfolio credit quality migration and the notes' relatively shorter terms to maturity. Tranches that have been upgraded in some cases reflect transaction restructuring which has increased credit enhancement, to which Fitch had not previously been notified. For notes rated at or below 'CCC', Fitch has either assigned a Recovery Rating, or reviewed the existing RR. Most of these are 'RR6', reflecting the tranches thinness and inability to withstand low levels of further potential credit events. In terms of outlook, Fitch expects to see increasing default rate of tranches rated 'CCC'. These tranches have limited remaining credit support and any further underlying credit events will push these tranches closer to default. For European and Asia Pacific transactions, a total of 80 IRGs have been assigned. The majority of these have been assigned "poor" (one star) reflecting the case that no regular reporting is available to investors. For transactions assigned "satisfactory" (three stars) or "good" (four stars), the reports have met many of the requirements of "outstanding" (five stars), but failed to include details of counterparties with rating thresholds and complete listing of credit events with final recovery prices. * Fitch Takes Various Rating Actions on Notes by Various SF CDOs ---------------------------------------------------------------- Fitch Ratings has taken the rating actions for classes of notes issued by several diversified structured finance collateralized debt obligations that closed in 2007 with exposure to structured finance assets. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs'. Due to the extent of collateral deterioration within the portfolios, Fitch believes that the likelihood of default for all the classes in the 12 transactions can be assessed without using the Structured Finance Portfolio Credit Model or performing cash flow model analysis under the framework described in the 'Global Criteria for Cash Flow Analysis in CDOs - Amended' report. The 12 transactions have all entered an event of default either due to failing collateralization coverage requirements or default in the payment of accrued interest to classes rated to the timely receipt of interest distributions. Six of the transactions have accelerated their maturities. Dalton CDO, Ltd., Ridgeway Court Funding II, Ltd., Robeco HG CDO I, Ltd., and Silver Marlin CDO I, Ltd. maintain positive credit enhancement levels for at least their senior tranches, using the sum of the total collateral balance and principal collection accounts as the calculation base. However, losses expected from the distressed assets in these portfolios are likely to significantly exceed the credit enhancement levels for the most senior classes of notes in these transactions with the exception of the class A-1a1 notes of Dalton CDO. For this class, while the credit enhancement levels currently exceed the expected losses from the portfolio's distressed assets, the composition of the remaining assets is expected to lead to additional defaults. Therefore, default is probable for this class. Due to the writedowns in the underlying collateral, the total collateral balances in the portfolios of the remaining eight transactions are already lower than the outstanding balances of their respective senior tranches, indicating that default is inevitable for the entire capital structure. The highest rating on the classes in these transactions is 'C'. For all 12 transactions, classes of notes which were contracted to receive timely interest under respective transaction documents but have missed their full interest payment in at least one period are downgraded or affirmed at 'D'. Fitch is taking these rating actions: C-BASS CBO XVIII, Ltd.: -- $329,728,595 class A-1 notes downgraded to 'D' from 'CCC'; -- $142,945,923 class A-2 notes downgraded to 'D' from 'CCC'; -- $46,500,000 class B notes downgraded to 'D' from 'CC'; -- $12,700,000 class C notes affirmed at 'C'; -- $17,640,000 class D notes affirmed at 'C'. C-BASS CBO XVIII, Ltd., is a cash CDO that closed on March 13, 2007, and is managed by C-BASS Investment Management LLC. On March 18, 2010, C-BASS XVIII entered an Event of Default due to failure to pay interest to the class A-1 and A-2 notes. To date the majority of controlling class of noteholders has not accelerated the transaction. As of the March 2010 trustee report, the portfolio is comprised of residential mortgage-backed securities, asset-back Securities, commercial mortgage-backed securities, and CDOs, primarily from 2005 to 2007 vintage transactions. C-BASS CBO XIX, Ltd.: -- $272,247,230 class A-1 notes downgraded to 'C' from 'CCC'; -- $100,000,000 class A-2 notes downgraded to 'D' from 'CC'; -- $42,000,000 class B notes downgraded to 'D' from 'CC'; -- $23,000,000 class C notes affirmed at 'C'; -- $9,960,000 class D notes affirmed at 'C'. C-BASS CBO XIX, Ltd is a cash CDO that closed on June 28, 2007, and is managed by C-BASS Investment Management LLC. On January 8, 2009, C-BASS XIX entered an Event of Default due to failure to pay interest to the class A-2 and B notes. To date the majority of the controlling class of noteholders has not accelerated the transaction. As of the March 2010 trustee report, the portfolio is comprised of RMBS, ABS, and CDOs, primarily from 2005 to 2007 vintage transactions. Dalton CDO, Ltd.: -- $90,823,141 class A-1a1 (undrawn TRS) notes downgraded to 'CC' from 'CCC'; -- $50,000,000 class A-1a2 notes downgraded to 'C' from 'CC'; -- $36,000,000 class A-1b1 notes downgraded to 'C' from 'CC'; -- $40,000,000 class A-1b2 notes downgraded to 'C' from 'CC'; -- $40,000,000 class A-2 notes downgraded to 'C' from 'CC'; -- $57,400,000 class B notes downgraded to 'C' from 'CC'; -- $19,513,591 class C notes affirmed at 'C'; -- $17,740,772 class D notes affirmed at 'C'. Dalton CDO, Ltd., is a hybrid cash and synthetic SF CDO that closed on June 28, 2007, and is managed by Dynamic Credit Partners, LLC. Dalton's declared an Event of Default as of Oct. 31, 2008, due to the class A-1 overcollateralization ratio declining below 100%. To date, the transaction has not been accelerated. Dalton's reinvestment period will end in July 2011, unless voted to end earlier. As of the March 2010 trustee report, the portfolio is comprised of CDOs, RMBS and CMBS, primarily from 2005 to 2007 vintage transactions. Fourth Street Funding Ltd./LLC: -- $177,717,817 class A-1 notes downgraded to 'C' from 'CC'; -- $125,000,000 class A-2 notes downgraded to 'C' from 'CC'; -- $45,000,000 class A-3 notes downgraded to 'C' from 'CC'; -- $37,500,000 class B notes downgraded to 'C' from 'CC'; -- $17,500,000 class C notes downgraded to 'D' from 'CC'; -- $21,906,831 class D notes affirmed at 'C'; -- $23,360,300 class E notes affirmed at 'C'; -- $17,547,478 class F notes affirmed at 'C'. Fourth Street Funding Ltd./LLC is a cash CDO that closed on April 26, 2007, and is managed by NIR Capital Management, LLC. On March 12, 2008, Fourth Street entered an Event of Default due to a breach of the Class A Principal Coverage test. On March 14, 2008, the majority of the controlling class of noteholders voted to terminate the reinvestment period and to accelerate the transaction. As of the March 2010 trustee report, the portfolio is comprised of RMBS and Structured Finance CDOs from 2005 to 2007 vintage transactions. Glacier Funding CDO V, Ltd: -- $176,019,595 class A-1 notes downgraded to 'D' from 'CCC'; -- $122,000,000 class A-2 notes downgraded to 'D' from 'CC'; -- $46,000,000 class A-3 notes downgraded to 'D' from 'CC'; -- $44,000,000 class B notes downgraded to 'D' from 'CC'; -- $15,000,000 class C notes downgraded to 'D' from 'CC'; -- $22,226,808 class D notes affirmed at 'C'; -- $30,524,953 class E notes affirmed at 'C'; -- $6,540,377 class F notes affirmed at 'C'; -- $8,351,529 class G notes affirmed at 'C'. Glacier Funding CDO V, Ltd, is a cash CDO that closed on March 27, 2007, and was originally managed by Terwin Money Management, LLC. Aventine Hill Capital, LLC, has managed the CDO since December 31, 2008. The entire portfolio is comprised of defaulted assets as reported by the trustee on the March 2010 report. On Jan. 15 2009, Glacier V entered an Event of Default due to failure to pay interest to the class A-2, A-3, B, and C notes. To date the majority of the controlling class of noteholders has not accelerated the transaction. None of the classes of notes are currently receiving interest. The portfolio is comprised of RMBS and CDOs, primarily from 2005 to 2007 vintage transactions. Lexington Capital Funding III, Ltd./LLC: -- $172,936,900 class A-1 notes downgraded to 'D' from 'CC'; -- $240,000,000 class A-2 notes downgraded to 'D' from 'CC'; -- $160,500,000 class A-3 notes downgraded to 'D' from 'CC'; -- $70,725,000 class B notes downgraded to 'D' from 'CC'; -- $50,200,000 class C notes downgraded to 'D' from 'CC'; -- $40,000,000 class D notes downgraded to 'C' from 'CC'; -- $35,650,000 class E notes downgraded to 'C' from 'CC'; -- $46,043,127 class F notes downgraded to 'C' from 'CC'; -- $11,546,866 class G notes affirmed at 'C'. Lexington Capital Funding III, Ltd./LLC, is a hybrid cash and synthetic SF CDO that closed on Jan. 11, 2007, and is managed by Harding Advisory LLC. Lexington III declared an Event of Default on July 22, 2009 due to default in payment of accrued interest to the class B and C notes. A majority of the controlling class voted to accelerate the transaction as of July 30, 2009. As of the most recent trustee report available dated November 30, 2009, the portfolio is comprised of RMBS and SF CDOs primarily from 2005 to 2007 vintage transactions. Maxim High Grade CDO II, Ltd.: -- $1,199,227,671 class A-1 notes downgraded to 'D' from 'CC'; -- $499,837,692 class A-2 notes downgraded to 'D' from 'CC'; -- $99,967,538 class A-3 notes downgraded to 'D' from 'C'; -- $99,967,538 class A-4 notes downgraded to 'D' from 'C'; -- $36,488,152 class B notes downgraded to 'D' from 'C'; -- $14,461,399 class C notes downgraded to 'D' from 'C'; -- $22,065,547 class D notes affirmed at 'C'; -- $21,807,197 class E notes affirmed at 'C'. Maxim High Grade CDO II, Ltd., is a cash CDO that closed on March 28, 2007 and is managed by Maxim Capital Management, LLC. On April 7, 2008, Maxim II entered an Event of Default due to a default in the payment of accrued interest on the class B and C notes. On Dec.17, 2008, the majority of the controlling class of noteholders voted to accelerate the transaction. As of the March 2010 trustee report, the portfolio is comprised of RMBS and Structured Finance CDOs from 2006 and 2007 vintage transactions. NovaStar ABS CDO I, Ltd.: -- $233,788,924 class A-1 notes downgraded to 'C' from 'CCC'; -- $34,900,000 class A-2 notes downgraded to 'D' from 'C'; -- $28,500,000 class B notes downgraded to 'D' from 'C'; -- $26,939,570 class C notes affirmed at 'C'; -- $18,032,143 class D notes affirmed at 'C'. NovaStar ABS CDO I Ltd. is a cash CDO that closed on Feb. 26, 2007, and is managed by NovaStar Asset Management Company. On Jan. 30, 2008, NovaStar entered an Event of Default due to a breach of the Class A/B Principal Coverage test. On March 20, 2008, the majority of the controlling class of noteholders voted to accelerate the transaction. As of the February 2010 trustee report, the portfolio is comprised of RMBS from 2005 to 2007 vintage transactions. Ridgeway Court Funding II, Ltd.: -- $836,511,227 class A-1A notes affirmed at 'D'; -- $657,258,821 class A-1B notes affirmed at 'D'; -- $448,131,014 class A-1C notes affirmed at 'D'; -- $300,000,000 class A-1X notes affirmed at 'D'; -- $225,000,000 class A-2 notes affirmed at 'D'; -- $225,000,000 class A-3 notes affirmed at 'D'; -- $126,000,000 class A-4 notes affirmed at 'D'; -- $80,000,000 class A-5 notes affirmed at 'D'; -- $ $41,416,957 class B notes affirmed at 'C'; -- $40,998,210 class C notes affirmed at 'C'. Ridgeway Court Funding II, Ltd., is a hybrid cash and synthetic CDO, which closed on June 27, 2007, and is managed by Credit Suisse Alternative Investments. On Jan. 10, 2008, Ridgeway Court II entered an Event of Default due due to a breach of the Class A Principal Coverage test. To date, the majority of the controlling class of noteholders has not elected to accelerate the transaction. As of the February 2010 trustee report, the portfolio is comprised of primarily of SF CDOs and RMBS from 2005 to 2007 vintage transactions. Robeco HG CDO I, Ltd.: -- $537,769,335 class A-1 notes downgraded to 'C' from 'CCC'; -- $384,598,379 class A-2 notes downgraded to 'C' from 'CC'; -- $54,952,736 class A-3 notes downgraded to 'D' from 'CC'; -- $64,844,229 class A-4 notes downgraded to 'D' from 'CC'; -- $18,983,673 class B notes downgraded to 'D' from 'CC'; -- $10,766,754 class C notes affirmed at 'C'. -- $13,101,983 class D notes affirmed at 'C'. Robeco High Grade CDO I, Ltd., is a cash CDO that closed on April 26, 2007. The transaction is currently managed by Dock Street Capital Management which replaced the original manager Robeco Investment Management, Inc. On July 16, 2008, Robeco I entered an Event of Default due to a default in the payment of accrued interest on the class A-3, A-4 and B notes. To date the majority of the controlling class of noteholders has not accelerated the transaction. As of the March 2010 trustee report, the portfolio is comprised of primarily of Structured Finance CDOs and RMBS from 2006 and 2007 vintage transactions. Silver Marlin CDO I, Ltd.: -- $588,062,007 class A-1 notes downgraded to 'C' from 'CCC'; -- $437,345,970 class A-2 notes downgraded to 'D' from 'C'; -- $62,477,996 class A-3 notes downgraded to 'D' from 'C'; -- $66,976,411 class A-4 notes downgraded to 'D' from 'C'; -- $21,492,431 class B notes downgraded to 'D' from 'C'; -- $9,396,691 class C notes downgraded to 'D' from 'C'; -- $8,064,979 class D notes affirmed at 'C'; -- $4,497,046 class E notes affirmed at 'C'; -- $11,616,910 class F notes affirmed at 'C'. Silver Marlin CDO I Ltd. (Silver Marlin I) is a cash CDO that closed on May 29, 2007, and is managed by Sailfish Structured Investment Management (G4) LLC. On Feb. 20, 2008, Silver Marlin I entered an Event of Default due to the class A overcollateralization ratio declining below 100%. On August 14, 2008, the majority of the controlling class of noteholders voted to accelerate the transaction. As of the March 2010 trustee report, the portfolio is comprised of primarily of SF CDOs and RMBS from 2005 to 2007 vintage transactions. Volans Funding 2007-1, Ltd./LLC: -- $427,604,934 class A-1 notes downgraded to 'D' from 'CC'; -- $77,500,000 class A-2 notes downgraded to 'D' from 'C'; -- $74,000,000 class B notes downgraded to 'D' from 'C'; -- $49,000,000 class C notes affirmed at 'C'; -- $43,218,910 class D notes affirmed at 'C'; -- $33,396,430 class E notes affirmed at 'C'; -- $12,267,984 class F notes affirmed at 'C'. Volans Funding 2007-1, Ltd./LLC, is a hybrid SF CDO that closed on March 14, 2007 and is managed by Vero Capital Management LLC. Volans Funding declared an Event of Default after the AAA coverage ratio test declined below 100% on Jan. 4, 2008. The required majority of the controlling class voted to accelerate the transaction on March 7, 2008. The portfolio is comprised of RMBS, SF CDOs and consumer ABS primarily from 2005 to 2007 vintage transactions. * S&P Downgrades Ratings on 80 Tranches From 34 Synthetic CDOs -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 80 tranches from 34 synthetic collateralized debt obligations backed by commercial mortgage-backed securities. S&P removed one of these ratings from CreditWatch negative and left 79 of these ratings on CreditWatch with negative implications. At the same time, S&P lowered its ratings on 15 tranches from 10 synthetic CDOs backed by residential mortgage-backed securities and removed 11 from CreditWatch negative. In addition, S&P lowered its ratings on one tranche from one synthetic CDO of CDO transaction and one tranche from one corporate-backed synthetic CDO transaction and removed both ratings from CreditWatch negative. The downgrades affected synthetic CDOs that had experienced downward rating migration in their underlying reference portfolios and had synthetic rated overcollateralization ratios below 100% as of S&P's March review and at a 90-day forward run. * S&P Downgrades Ratings on 93 Tranches From 40 CDO Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 93 tranches from 40 U.S. collateralized debt obligation transactions and removed 59 of them from CreditWatch with negative implications. The downgraded notes had an initial issuance amount of $34.43 billion. At the same time, S&P affirmed its ratings on 142 classes from these transactions. Thirty-seven of these 40 transactions are backed predominantly by residential mortgage- backed securities collateral, and the remaining three are backed by structured finance CDO collateral. S&P lowered 49 ratings from 15 transactions to 'D' because these non-payment-in-kind tranches did not receive interest payments when due. The rating actions on these tranches reflect the implementation of S&P's criteria for ratings on CDO transactions that have triggered an event of default and may be subject to acceleration or liquidation. The remaining downgrades reflect credit deterioration in these transactions. Rating Actions Rating ------ Transaction Class To From ----------- ----- -- ---- Acacia CDO 11 A CC CCC-/Watch Neg ART CDO 2006-1 A-1S CC CCC/Watch Neg AVANTI Funding 2006-1 A-1 CC CCC-/Watch Neg Belle Haven ABS CDO A-1 CC CCC-/Watch Neg 2006-1 Broderick CDO 3 A-1 CC CCC-/Watch Neg Buckingham CDO III A ST CC CCC-/Watch Neg Caldecott CDO 1 A-1 D CCC/Watch Neg Caldecott CDO 1 A-2 D CC Caldecott CDO 1 A-3 D CC Caldecott CDO 1 B D CC CETUS ABS CDO 2006-1 A-1 CC CCC/Watch Neg Citation High Grade ABS A-1 CC CCC-/Watch Neg CDO I Class V Funding III S D CCC-/Watch Neg Class V Funding III A-1 D CC Class V Funding III A-2 D CC Class V Funding III A-3 D CC Class V Funding III A-4 D CC Coldwater CDO A-1 CC CCC-/Watch Neg Coldwater CDO A-2 D CC Coldwater CDO A-3 D CC Commodore CDO V A1A CC B-/Watch Neg Commodore CDO V A1B CC B-/Watch Neg E*Trade ABS CDO VI A-1S CC CCC-/Watch Neg Fox Trot CDO A CC B/Watch Neg Fox Trot CDO B CC CCC/Watch Neg Gemstone CDO VI A-1 CC CCC+/Watch Neg Gemstone CDO VI A-2 CC CCC-/Watch Neg Glacier Funding CDO IV A-1 CC CCC/Watch Neg Grand Avenue CDO I A-1A CC CCC-/Watch Neg Grand Avenue CDO I A-1B CC CCC-/Watch Neg IMAC CDO 2006-1 A-1 D CCC-/Watch Neg IMAC CDO 2006-1 A-2 D CC Ipswich Street CDO A-1 CC B/Watch Neg Ipswich Street CDO A-2 D CCC+/Watch Neg Ipswich Street CDO B D CCC-/Watch Neg Ischus Mezzanine A-1 D B-/Watch Neg CDO III Ischus Mezzanine A-2 D CCC-/Watch Neg CDO III Ischus Mezzanine B-1 D CC CDO III Ischus Mezzanine B-2 D CC CDO III Jupiter High-Grade CDO A-1A CC B-/Watch Neg IV Jupiter High-Grade CDO A-1B CC B-/Watch Neg IV Jupiter High-Grade CDO A-2 CC CCC/Watch Neg IV Jupiter High-Grade CDO B CC CCC-/Watch Neg IV Jupiter High-Grade CDO V A-1 CC CCC/Watch Neg Kleros Preferred A-1 CC CCC-/Watch Neg Funding V Laguna Seca Funding I A-1 CC CCC+/Watch Neg Laguna Seca Funding I A-2 CC CCC-/Watch Neg Laguna Seca Funding I A-4 D CC Lexington Capital A-1 CC CCC-/Watch Neg Funding II Lexington Capital Funding V A-1 D CCC-/Watch Neg Lincoln Avenue ABS CDO A-1 CC CCC/Watch Neg McKinley Funding III A-1 CC CCC-/Watch Neg Millstone II CDO A-1M CC CCC/Watch Neg Millstone II CDO A-1Q CC CCC/Watch Neg Millstone IV CDO A-1A CC B-/Watch Neg Millstone IV CDO A-1B CC B-/Watch Neg Millstone IV CDO A-1C CC B-/Watch Neg MKP CBO VI A-1 D CCC/Watch Neg MKP CBO VI A-2 D CC MKP CBO VI B D CC Orion 2006-1 A CC CCC-/Watch Neg Pacific Pinnacle CDO X D B/Watch Neg Pacific Pinnacle CDO A-1LA D CC Pacific Pinnacle CDO A-1LB D CC Pacific Pinnacle CDO A-1LC D CC Pacific Pinnacle CDO A-2L D CC Ridgeway Court Funding A1A D B/Watch Neg II Ridgeway Court Funding A1B D CCC-/Watch Neg II Ridgeway Court Funding A1C D CCC-/Watch Neg II Ridgeway Court Funding A1X D CC II Ridgeway Court Funding A2 D CC II Ridgeway Court Funding A3 D CC II Ridgeway Court Funding A4 D CC II Ridgeway Court Funding A5 D CC II Silver Elms CDO plc A-1a CC CCC/Watch Neg Silver Elms CDO plc A-1b CC CCC/Watch Neg Silver Elms CDO plc A-2 CC CCC-/Watch Neg Silver Elms CDO plc C D CC Silver Elms CDO plc D-1 D CC Silver Elms CDO plc D-2 D CC STAtic ResidenTial CDO A-1(a) CC B-/Watch Neg 2006-A STAtic ResidenTial CDO A-1(b) D CCC+/Watch Neg 2006-A STAtic ResidenTial CDO A-2 D CC 2006-A Tahoma CDO A-1A D CCC+/Watch Neg Tahoma CDO A-1B D CC Tahoma CDO A-2 D CC Tahoma CDO A-3 D CC Tahoma CDO B D CC Topanga CDO II S CC CCC/Watch Neg Topanga CDO II A-1 D CC Topanga CDO II A-2 D CC Toro ABS CDO II A-1 CC B/Watch Neg Verde CDO A-1 CC B-/Watch Neg Ratings Affirmed Transaction Class Rating ----------- ----- ------ Acacia CDO 11 B CC Acacia CDO 11 C CC Acacia CDO 11 D CC ART CDO 2006-1 A-1J CC ART CDO 2006-1 A-2 CC ART CDO 2006-1 A-3 CC ART CDO 2006-1 B CC ART CDO 2006-1 C CC AVANTI Funding 2006-1 B (def) CC AVANTI Funding 2006-1 C (def) CC Belle Haven ABS CDO A-2 CC 2006-1 Belle Haven ABS CDO B CC 2006-1 Belle Haven ABS CDO C CC 2006-1 Belle Haven ABS CDO D CC 2006-1 Belle Haven ABS CDO E CC 2006-1 Broderick CDO 3 A-2 CC Broderick CDO 3 A-3 CC Broderick CDO 3 C CC Broderick CDO 3 D CC Broderick CDO 3 E CC Buckingham CDO III B CC Buckingham CDO III C CC Buckingham CDO III D CC Buckingham CDO III E CC Buckingham CDO III Income Nts CC Caldecott CDO 1 C CC Caldecott CDO 1 D CC Caldecott CDO 1 E CC Caldecott CDO 1 F CC CETUS ABS CDO 2006-1 B CC CETUS ABS CDO 2006-1 C CC CETUS ABS CDO 2006-1 D CC Citation High Grade ABS A-2 CC CDO I Citation High Grade ABS B-1 CC CDO I Citation High Grade ABS B-2 CC CDO I Citation High Grade ABS C CC CDO I Citation High Grade ABS D CC CDO I Class V Funding III B CC Class V Funding III C CC Class V Funding III Q Com Nts CC Coldwater CDO B-2 CC Coldwater CDO C CC Commodore CDO V A2 CC Commodore CDO V A3 CC Commodore CDO V B CC Commodore CDO V C CC Commodore CDO V D CC Commodore CDO V E CC E*Trade ABS CDO VI A-3 CC E*Trade ABS CDO VI B-1 CC E*Trade ABS CDO VI B-2 CC Fox Trot CDO C CC Fox Trot CDO CP A-1+ Fox Trot CDO D CC Gemstone CDO VI C CC Gemstone CDO VI D CC Gemstone CDO VI E CC Glacier Funding CDO IV C CC Glacier Funding CDO IV D CC Glacier Funding CDO IV E CC Grand Avenue CDO I C CC Grand Avenue CDO I D CC Grand Avenue CDO I E-1 CC Grand Avenue CDO I E-2 CC IMAC CDO 2006-1 E CC IMAC CDO 2006-1 F CC IMAC CDO 2006-1 G CC Ipswich Street CDO C CC Ipswich Street CDO D CC Ipswich Street CDO E CC Ischus Mezzanine C CC CDO III Ischus Mezzanine D CC CDO III Ischus Mezzanine E CC CDO III Jupiter High-Grade CDO C CC IV Jupiter High-Grade CDO D CC IV Jupiter High-Grade CDO E CC IV Jupiter High-Grade CDO F CC IV Jupiter High-Grade CDO A-2 CC V Jupiter High-Grade CDO B CC V Jupiter High-Grade CDO C CC V Jupiter High-Grade CDO D CC V Kleros Preferred A-2 CC Funding V Kleros Preferred A-3 CC Funding V Kleros Preferred B CC Funding V Kleros Preferred C CC Funding V Kleros Preferred D CC Funding V Kleros Preferred E CC Funding V Laguna Seca Funding I A-3 CC Laguna Seca Funding I B CC Laguna Seca Funding I C CC Laguna Seca Funding I D CC Lexington Capital A-2 CC Funding II Lexington Capital B CC Funding II Lexington Capital C CC Funding II Lexington Capital D CC Funding II Lexington Capital E CC Funding II Lexington Capital F CC Funding II Lexington Capital C CC Funding V Lexington Capital D CC Funding V Lexington Capital E CC Funding V Lincoln Avenue ABS CDO C CC Lincoln Avenue ABS CDO D CC McKinley Funding III A-2 CC McKinley Funding III B-1 CC McKinley Funding III B-2 CC McKinley Funding III C CC Millstone II CDO B CC Millstone II CDO C CC Millstone II CDO D CC Millstone IV CDO C-1 CC Millstone IV CDO C-2 CC Millstone IV CDO D CC MKP CBO VI C CC MKP CBO VI D CC Orion 2006-1 B CC Orion 2006-1 C CC Orion 2006-1 D CC Pacific Pinnacle CDO A-3L CC Pacific Pinnacle CDO B-1L CC Ridgeway Court Funding B CC II Ridgeway Court Funding C CC II Silver Elms CDO plc A-3 CC Silver Elms CDO plc B CC STAtic ResidenTial CDO C CC 2006-A STAtic ResidenTial CDO D CC 2006-A STAtic ResidenTial CDO E CC 2006-A Tahoma CDO C CC Tahoma CDO D CC Tahoma CDO E CC Topanga CDO II B CC Topanga CDO II C CC Topanga CDO II D CC Toro ABS CDO II A-2 CC Toro ABS CDO II B CC Toro ABS CDO II C CC Toro ABS CDO II D CC Toro ABS CDO II E CC Toro ABS CDO II F CC Verde CDO A-2 CC Verde CDO B CC Verde CDO C CC Verde CDO D CC Other Ratings Outstanding Transaction Class Rating ----------- ----- ------ AVANTI Funding 2006-1 A-2 D AVANTI Funding 2006-1 A-3 D Broderick CDO 3 A-4 D Broderick CDO 3 A-5 D Broderick CDO 3 B D CETUS ABS CDO 2006-1 A-2 D E*Trade ABS CDO VI A-1J D E*Trade ABS CDO VI A-2 D Gemstone CDO VI B D Glacier Funding CDO IV A-2 D Glacier Funding CDO IV B D Grand Avenue CDO I A-2 D Grand Avenue CDO I B D IMAC CDO 2006-1 B D IMAC CDO 2006-1 C D IMAC CDO 2006-1 D D Lexington Capital A-2 D Funding V Lexington Capital A-3 D Funding V Lexington Capital B D Funding V Lincoln Avenue ABS CDO A-2 D Lincoln Avenue ABS CDO B D Millstone II CDO A-2 D Millstone IV CDO A-2 D Millstone IV CDO A-3 D Millstone IV CDO B D STAtic ResidenTial CDO B D 2006-A * S&P Puts Ratings on 104 Classes on CreditWatch Negative --------------------------------------------------------- Standard & Poor's Ratings Services placed its ratings on 104 classes from 27 U.S. residential mortgage-backed securities resecuritized real estate mortgage investment conduit transactions from 2005-2008 on CreditWatch with negative implications. The CreditWatch placements are generally a result of S&P's updated increases in lifetime loss projections for 2005-2007 prime, Alternative-A (Alt-A), and subprime transactions, which may contain classes that support the applicable re-REMICs. S&P's increased loss projections reflect its view of the continuing performance deterioration of the applicable underlying pools, and in some cases, increases in losses given default. S&P will continue to review the performance of the affected classes and resolve the CreditWatch placements over the next several months. Rating Actions Bank of Internet Resecuritization Trust 2008-1 Series 2008-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A1 06279BAA4 AAA/Watch Neg AAA A2 06279BAB2 AAA/Watch Neg AAA A3 06279BAC0 AAA/Watch Neg AAA A4 06279BAD8 AAA/Watch Neg AAA A5 06279BAE6 AA/Watch Neg AA A6 06279BAF3 AA/Watch Neg AA A7 06279BAG1 AA/Watch Neg AA A8 06279BAH9 AA-/Watch Neg AA- A9 06279BAJ5 AA-/Watch Neg AA- A10 06279BAK2 AA-/Watch Neg AA- C-BASS ABS, LLC 2005-C Trust Certificates, Series 2005-C Series 2005-C Rating ------ Class CUSIP To From ----- ----- -- ---- M-4 124860FZ5 BB/Watch Neg BB M-5 124860GA9 B/Watch Neg B C-BASS ABS, LLC 2006-B Trust Certificates, Series 2006-B Series 2006-B Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 1248A9AA1 BB/Watch Neg BB B-2 1248A9AB9 B/Watch Neg B Citigroup Mortgage Loan Trust 2007-9 Series 2007-9 Rating ------ Class CUSIP To From ----- ----- -- ---- II-A-1 17313NAN5 BB-/Watch Neg BB- II-A-2 17313NAP0 B+/Watch Neg B+ II-A-3 17313NAQ8 B+/Watch Neg B+ III-A-1 17313NAS4 A-/Watch Neg A- III-A-3 17313NAU9 B/Watch Neg B III-A-4 17313NAV7 A-/Watch Neg A- III-A-5 17313NAW5 A-/Watch Neg A- III-A-6 17313NAX3 A-/Watch Neg A- III-A-7 17313NAY1 A-/Watch Neg A- III-A-8 17313NAZ8 AAA/Watch Neg AAA III-A-9 17313NBA2 A-/Watch Neg A- CMO Holdings III Ltd. Series 2007-R1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 Notes 12587PAA8 BBB/Watch Neg BBB A-2 Notes 12587PAB6 BB/Watch Neg BB CMO Holdings III Ltd. Series 2007-R2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 Notes 12587PBY5 BBB/Watch Neg BBB A-2 Notes 12587PBZ2 BB/Watch Neg BB CSMC Series 2008-1R Series 2008-1R Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 12640PAA3 AAA/Watch Neg AAA A-2 12640PAC9 AAA/Watch Neg AAA A-3 12640PAE5 AAA/Watch Neg AAA Deutsche Mortgage Securities, Inc. REMIC Trust Certificates, Series 2008-RS1 Rating ------ Class CUSIP To From ----- ----- -- ---- 2-A-1 25156BAE4 AAA/Watch Neg AAA 2-A-X 25156BAF1 AAA/Watch Neg AAA 3-A-1 25156BAG9 AAA/Watch Neg AAA 3-A-2 25156BAH7 AAA/Watch Neg AAA 3-A-3 25156BAJ3 AAA/Watch Neg AAA 4-A-1 25156BAL8 AAA/Watch Neg AAA 4-A-2 25156BAM6 AAA/Watch Neg AAA 4-A-3 25156BAN4 AAA/Watch Neg AAA 4-A-X 25156BAP9 AAA/Watch Neg AAA 3-A-X 25156BAK0 AAA/Watch Neg AAA Imperial Capital Bank Resecuritization Trust 2008-1 Series 2008-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-M-2 452684AC7 A+/Watch Neg A+ 1-M-3 452684AD5 A-/Watch Neg A- 1-B-3 452684AK9 BB-/Watch Neg BB- 1-A 452684AA1 AA/Watch Neg AA 1-B-2 452684AJ2 BB/Watch Neg BB 1-M-4 452684AE3 BBB+/Watch Neg BBB+ 1-B-1 452684AH6 BB+/Watch Neg BB+ 1-M-6 452684AG8 BBB-/Watch Neg BBB- 1-M-1 452684AB9 AA-/Watch Neg AA- 1-M-5 452684AF0 BBB/Watch Neg BBB 1-B-4 452684AL7 B/Watch Neg B JPMorgan MBS, Series 2006-R1 Series 2006-R1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 46628AAA0 AAA/Watch Neg AAA 1-A-2 46628AAB8 AAA/Watch Neg AAA 1-A-3 46628AAC6 AAA/Watch Neg AAA 2-A-1 46628AAD4 AAA/Watch Neg AAA 3-A-1 46628AAF9 AAA/Watch Neg AAA 4-A-1 46628AAG7 AAA/Watch Neg AAA 5-A-1 46628AAH5 AAA/Watch Neg AAA 5-X 46628AAJ1 AAA/Watch Neg AAA 6-A-1 46628AAK8 AAA/Watch Neg AAA Lehman Structured Securities Corp. Series 2005-1 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 52518RCC8 AAA/Watch Neg AAA A-2 52518RCD6 AAA/Watch Neg AAA IO 52518RCE4 AAA/Watch Neg AAA Residential Asset Securitization Trust 2006-R2 Series 2006-R2 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 76114AAA8 AAA/Watch Neg AAA A-2 76114AAB6 AAA/Watch Neg AAA Residential Mortgage Securities Funding 2008-1, Ltd. Series 2008-1 Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 76115CAA3 AAA/Watch Neg AAA Residential Mortgage Securities Funding 2008-2, LTD Series 2008-2 Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 76115DAA1 AA+/Watch Neg AA+ Residential Mortgage Securities Funding 2008-3, Ltd. Series 2008-3 Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 761155AA8 AAA/Watch Neg AAA SASCO Trust 2006-5 Series 2006-5 Rating ------ Class CUSIP To From ----- ----- -- ---- A 80383TAA3 AAA/Watch Neg AAA Structured Asset Securities Corporation Trust 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-2 86359DYA9 AAA/Watch Neg AAA 2-A-1 86359DYB7 AAA/Watch Neg AAA 2-A-2 86359DYC5 AAA/Watch Neg AAA Structured Asset Securities Corporation Trust 2006-10 Series 2006-10 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 863589AA5 AAA/Watch Neg AAA 1-A2 863589AB3 AAA/Watch Neg AAA Structured Asset Securities Corporation Trust 2006-13 Series 2006-13 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 86362EAA8 AAA/Watch Neg AAA 1-A2 86362EAB6 AAA/Watch Neg AAA 3-A1 86362EAC4 AAA/Watch Neg AAA 3-A2 86362EAD2 AAA/Watch Neg AAA Structured Asset Securities Corporation Trust 2006-4 Series 2006-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 86358NAA4 AAA/Watch Neg AAA 1-A2 86358NAB2 AAA/Watch Neg AAA Structured Asset Securities Corporation Trust 2006-8 Series 2006-8 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 86360VAA2 AAA/Watch Neg AAA 1-A2 86360VAB0 AAA/Watch Neg AAA Structured Asset Securities Corporation Trust 2007-3 Series 2007-3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 86363PAA2 AAA/Watch Neg AAA 1-A2 86363PAB0 AAA/Watch Neg AAA 2-A1 86363PAD6 AAA/Watch Neg AAA 2-A2 86363PAE4 AAA/Watch Neg AAA Structured Asset Securities Corporation Trust 2007-4 Series 2007-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 86363TAA4 AAA/Watch Neg AAA 1-A3 86363TAC0 AAA/Watch Neg AAA 1-A4 86363TAD8 AAA/Watch Neg AAA 3-A1 86363TAF3 AAA/Watch Neg AAA 3-A2 86363TAG1 AAA/Watch Neg AAA 1-A2A 86363TAB2 AAA/Watch Neg AAA 1-A2-B1 86363TAH9 AAA/Watch Neg AAA 1-A2-B2 86363TAJ5 AAA/Watch Neg AAA Structured Asset Securities Corporation Trust 2007-5 Series 2007-5 Rating ------ Class CUSIP To From ----- ----- -- ---- 1F 86363VAA9 AAA/Watch Neg AAA Structured Asset Securities Corporation Trust 2008-1 Series 2008-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 86365HAA8 AAA/Watch Neg AAA 1-A2 86365HAB6 AAA/Watch Neg AAA 1-A3 86365HAC4 AAA/Watch Neg AAA 1-A4 86365HAD2 AAA/Watch Neg AAA 1-A5 86365HAG5 AAA/Watch Neg AAA Structured Asset Securities Corporation Trust 2008-4 Series 2008-4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 86365GAA0 AAA/Watch Neg AAA Structured Asset Securities Corporation Trust 2008-5 Series 2008-5 Rating ------ Class CUSIP To From ----- ----- -- ---- A1 863594AA5 AAA/Watch Neg AAA * S&P Puts Ratings on 318 Classes on CreditWatch Negative --------------------------------------------------------- Standard & Poor's Ratings Services placed its ratings on 318 classes from 12 U.S. residential mortgage-backed securities resecuritized real estate mortgage investment conduit transactions issued in 2009 on CreditWatch with negative implications. The CreditWatch placements are generally a result of S&P's updated increases in lifetime loss projections for 2005-2007 prime, Alternative-A, and subprime transactions, which may contain classes that support the applicable re-REMICs. S&P's increased loss projections reflect S&P's view of the continuing performance deterioration of the applicable underlying pools, and in some cases, increases in losses given default. Although re-REMIC transactions issued in 2009 generally contain support classes, S&P may lower the ratings on certain support classes due to the application of its updated loss projections. As a result, S&P generally did not place the ratings on senior classes within the re-REMIC transactions on CreditWatch because they may have additional credit support provided by subordinate classes within the re-REMIC. S&P will continue to review the performance of the affected classes and resolve the CreditWatch placements over the next several months. Rating Actions Banc of America Funding 2009-R7 Trust Series 2009-R7 Rating ------ Class CUSIP To From ----- ----- -- ---- 4-A-2 05955GAS7 AAA/Watch Neg AAA BCAP LLC 2009-RR10 Trust Series 2009-RR10 Rating ------ Class CUSIP To From ----- ----- -- ---- XVII-A1 05532ECL7 AAA/Watch Neg AAA VII-A2 05532EAP0 BBB/Watch Neg BBB V-A2 05532EAK1 B/Watch Neg B XIV-A1-A 05532EAZ8 AAA/Watch Neg AAA II-A1 05532EAC9 AAA/Watch Neg AAA XIV-A4 05532ECK9 BBB/Watch Neg BBB XIV-A1-C 05532ECV5 BBB/Watch Neg BBB XI-A1-B 05532EAV7 AAA/Watch Neg AAA XIV-A6 05532ECY9 BBB/Watch Neg BBB VII-A1 05532EAN5 AAA/Watch Neg AAA XIV-A1-B 05532ECU7 A/Watch Neg A V-A1 05532EAJ4 AAA/Watch Neg AAA XIV-A3 05532ECJ2 A/Watch Neg A IV-A1 05532EAG0 AAA/Watch Neg AAA BCAP LLC 2009-RR5 Trust Series 2009-RR5 Rating ------ Class CUSIP To From ----- ----- -- ---- VI-A-3 05531UAY6 AAA/Watch Neg AAA Citigroup Mortgage Loan Trust 2009-4 Series 2009-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 10A2 17315EBE2 BB/Watch Neg BB Citigroup Mortgage Loan Trust 2009-6 Series 2009-6 Rating ------ Class CUSIP To From ----- ----- -- ---- 5A2 17315JAK8 B/Watch Neg B 5A1 17315JAJ1 AAA/Watch Neg AAA Citigroup Mortgage Loan Trust 2009-8 Series 2009-8 Rating ------ Class CUSIP To From ----- ----- -- ---- 7A2 17315NAR4 BB-/Watch Neg BB- 7A1 17315NAQ6 AAA/Watch Neg AAA CSMC Series 2009-2R Series 2009-2R Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-17 22944FBJ7 AAA/Watch Neg AAA 1-A-10 22944FAU3 AAA/Watch Neg AAA 4-A-2 22944FCL1 AAA/Watch Neg AAA 1-A-4 22944FAG4 AAA/Watch Neg AAA 1-A-16 22944FBG3 AAA/Watch Neg AAA 1-A-8 22944FAQ2 AAA/Watch Neg AAA 7-A-2 22944FCY3 AAA/Watch Neg AAA 1-A-6 22944FAL3 AAA/Watch Neg AAA 5-A-2 22944FCQ0 B/Watch Neg B 1-A-18 22944FBL2 AAA/Watch Neg AAA 1-A-14 22944FBC2 AAA/Watch Neg AAA CSMC Series 2009-3R Series 2009-3R Rating ------ Class CUSIP To From ----- ----- -- ---- 26-A-2 22943YTW9 AAA/Watch Neg AAA 30-AA 22943YVA4 B+/Watch Neg B+ 30-A-9 22943YUZ0 B+/Watch Neg B+ 30-A-7 22943YUX5 B+/Watch Neg B+ 30-A-2 22943YUS6 B+/Watch Neg B+ 4-A-2 22943YCK3 AAA/Watch Neg AAA J.P. Morgan Resecuritization Trust, Series 2009-10 Series 2009-10 Rating ------ Class CUSIP To From ----- ----- -- ---- 3-A-2 46634AAX2 A/Watch Neg A Jefferies Resecuritization Trust 2009-R8 Series 2009-R8 Rating ------ Class CUSIP To From ----- ----- -- ---- 47-A2 47233BPL3 BBB/Watch Neg BBB 55-A3 47233BRN7 BB/Watch Neg BB 56-AX 47233BRV9 AAA/Watch Neg AAA 49-AZ 47233BQC2 AAA/Watch Neg AAA 34-A2 47233BKV6 BBB/Watch Neg BBB 52-AY 47233BSB2 A/Watch Neg A 22-AX 47233BGG4 A/Watch Neg A 33-A2 47233BKN4 BBB/Watch Neg BBB 39-A3 47233BMG7 BB/Watch Neg BB 43-AY 47233BNK7 A/Watch Neg A 25-AX 47233BHF5 A/Watch Neg A 52-AX 47233BQW8 A/Watch Neg A 29-AZ 47233BJL0 A/Watch Neg A 41-AY 47233BMU6 A/Watch Neg A 44-AY 47233BNR2 A/Watch Neg A 44-AX 47233BNQ4 A/Watch Neg A 31-A3 47233BJX4 BB/Watch Neg BB 39-AY 47233BML6 A/Watch Neg A 24-AZ 47233BHA6 A/Watch Neg A 29-AX 47233BJJ5 A/Watch Neg A 35-A4 47233BLF0 B/Watch Neg B 35-A3 47233BLE3 BB/Watch Neg BB 35-A2 47233BLD5 BBB/Watch Neg BBB 47-AZ 47233BPQ2 A/Watch 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Neg B 29-A2 47233BJF3 BBB/Watch Neg BBB 32-A2 47233BKE4 BBB/Watch Neg BBB 31-A1 47233BJV8 A/Watch Neg A 39-AZ 47233BMM4 A/Watch Neg A 26-A2 47233BHK4 BBB/Watch Neg BBB 32-AY 47233BKK0 A/Watch Neg A 55-AX 47233BRQ0 A/Watch Neg A 27-AY 47233BHX6 A/Watch Neg A 28-AY 47233BJC0 A/Watch Neg A 46-A1 47233BPB5 A/Watch Neg A 56-AZ 47233BRX5 AAA/Watch Neg AAA 39-A1 47233BME2 A/Watch Neg A 33-AY 47233BKS3 A/Watch Neg A 55-AZ 47233BRS6 A/Watch Neg A 26-A1 47233BHJ7 A/Watch Neg A 25-A3 47233BHD0 BB/Watch Neg BB 31-A4 47233BJY2 B/Watch Neg B 36-A1 47233BLK9 AAA/Watch Neg AAA 33-AX 47233BKR5 A/Watch Neg A 48-A3 47233BPT6 BB/Watch Neg BB 33-A1 47233BKM6 A/Watch Neg A 26-A4 47233BHM0 B/Watch Neg B 33-A4 47233BKQ7 B/Watch Neg B 49-AX 47233BQA6 AAA/Watch Neg AAA 46-A3 47233BPD1 BB/Watch Neg BB 41-AZ 47233BMV4 A/Watch Neg A 51-A4 47233BQQ1 B/Watch Neg B 51-A3 47233BQP3 BB/Watch Neg BB 35-AX 47233BLG8 A/Watch Neg A 30-A4 47233BJQ9 B/Watch Neg B 29-A4 47233BJH9 B+/Watch Neg B+ 42-A4 47233BMZ5 B/Watch Neg B 54-A4 47233BRG2 B/Watch Neg B 54-A3 47233BRF4 BB/Watch Neg BB 35-AZ 47233BLJ2 A/Watch Neg A 42-A2 47233BMX0 BBB/Watch Neg BBB 48-AY 47233BPW9 A/Watch Neg A 56-A1 47233BRT4 AAA/Watch Neg AAA 30-A1 47233BJM8 A/Watch Neg A 51-A1 47233BQM0 A/Watch Neg A 55-A2 47233BRM9 BBB/Watch Neg BBB 31-AY 47233BKB0 A/Watch Neg A 21-A3 47233BFW0 BB/Watch Neg BB 54-AX 47233BRH0 A/Watch Neg A 37-A3 47233BLS2 BB/Watch Neg BB 39-AX 47233BMK8 A/Watch Neg A 54-A1 47233BRD9 A/Watch Neg A 43-AX 47233BNJ0 A/Watch Neg A 27-AX 47233BHW8 A/Watch Neg A 38-A3 47233BLZ6 BB/Watch Neg BB 48-AZ 47233BPX7 A/Watch Neg A 32-A3 47233BKF1 BB/Watch Neg BB 55-A1 47233BRL1 A/Watch Neg A 39-A2 47233BMF9 BBB/Watch Neg BBB 30-AZ 47233BJU0 A/Watch Neg A 40-AX 47233BMP7 A/Watch Neg A 47-AX 47233BPN9 A/Watch Neg A 24-A1 47233BGT6 A/Watch Neg A 23-AY 47233BGR0 A/Watch Neg A 30-A2 47233BJN6 BBB/Watch Neg BBB 50-AX 47233BQJ7 A/Watch Neg A 37-AY 47233BLV5 A/Watch Neg A 42-AX 47233BNB7 A/Watch Neg A 22-A1 47233BGC3 A/Watch Neg A 34-A4 47233BKX2 B/Watch Neg B 46-AZ 47233BPJ8 A/Watch Neg A 45-A1 47233BNT8 A/Watch Neg A 27-AZ 47233BHY4 A/Watch Neg A 56-A2 47233BRU1 AAA/Watch Neg AAA 25-AZ 47233BHH1 A/Watch Neg A 45-AZ 47233BPA7 A/Watch Neg A 47-A3 47233BPM1 BB/Watch Neg BB 28-A2 47233BJA4 BBB/Watch Neg BBB 30-AX 47233BJS5 A/Watch Neg A 50-A3 47233BQF5 BB/Watch Neg BB 46-A4 47233BPE9 B/Watch Neg B 48-AX 47233BPV1 A/Watch Neg A 49-A1 47233BPY5 AAA/Watch Neg AAA 38-A2 47233BLY9 BBB/Watch Neg BBB 52-AZ 47233BQX6 A/Watch Neg A 32-AX 47233BKJ3 A/Watch Neg A 28-AZ 47233BJD8 A/Watch Neg A 31-A2 47233BJW6 BBB/Watch Neg BBB 49-AY 47233BQB4 AAA/Watch Neg AAA 21-AZ 47233BGB5 A/Watch Neg A 34-A1 47233BKU8 A/Watch Neg A 45-A3 47233BNV3 BB/Watch Neg BB 42-A3 47233BMY8 BB/Watch Neg BB 21-A4 47233BFX8 B/Watch Neg B 23-AX 47233BGQ2 A/Watch Neg A 32-A1 47233BKD6 A/Watch Neg A 29-A3 47233BJG1 BB/Watch Neg BB 56-AY 47233BRW7 AAA/Watch Neg AAA 21-AY 47233BGA7 A/Watch Neg A 51-AY 47233BQT5 A/Watch Neg A 36-A2 47233BLL7 AAA/Watch Neg AAA 36-AY 47233BLN3 AAA/Watch Neg AAA 23-AZ 47233BGS8 A/Watch Neg A 21-AX 47233BFZ3 A/Watch Neg A 48-A1 47233BPR0 A/Watch Neg A 22-A3 47233BGE9 BB/Watch Neg BB 33-AZ 47233BKT1 A/Watch Neg A 27-A3 47233BHU2 BB/Watch Neg BB 38-AX 47233BMB8 A/Watch Neg A 28-A1 47233BHZ1 A/Watch Neg A 41-A1 47233BMS1 A/Watch Neg A 34-AX 47233BKZ7 A/Watch Neg A 45-A2 47233BNU5 BBB/Watch Neg BBB 31-AX 47233BKA2 A/Watch Neg A 34-A3 47233BKW4 BB/Watch Neg BB RBSSP Resecuritization Trust 2009-13 Series 2009-13 Rating ------ Class CUSIP To From ----- ----- -- ---- 3-A1 74928GAK4 AAA/Watch Neg AAA 9-A1 74928GBB3 AAA/Watch Neg AAA 5-A1 74928GAR9 A/Watch Neg A 10-A1 74928GBD9 AA/Watch Neg AA 4-A4 74928GAQ1 AAA/Watch Neg AAA 4-A1 74928GAM0 AAA/Watch Neg AAA 9-A2 74928GBC1 B/Watch Neg B 8-A1 74928GAZ1 BBB/Watch Neg BBB 4-A2 74928GAN8 B/Watch Neg B 2-A2 74928GAJ7 BB/Watch Neg BB 2-A1 74928GAH1 AAA/Watch Neg AAA 11-A1 74928GBK3 AA/Watch Neg AA RBSSP Resecuritization Trust 2009-6 Series 2009-6 Rating ------ Class CUSIP To From ----- ----- -- ---- 2-A1H 74928XEX5 AAA/Watch Neg AAA 2-A2 74928XAR2 AA/Watch Neg AA 3-A1D 74928XBA8 AAA/Watch Neg AAA 1-A1P 74928XEP2 AAA/Watch Neg AAA 3-A1F 74928XFM8 AAA/Watch Neg AAA 12-A4 74928XGD7 AAA/Watch Neg AAA 3-A1J 74928XFR7 AAA/Watch Neg AAA 2-A1L 74928XFB2 AAA/Watch Neg AAA 18-A2 74928XDH1 BB/Watch Neg BB 3-A1L 74928XFT3 AAA/Watch Neg AAA 1-A1F 74928XED9 AAA/Watch Neg AAA 2-A1T 74928XFK2 AAA/Watch Neg AAA 3-A1N 74928XFV8 AAA/Watch Neg AAA 3-A2 74928XBB6 AA/Watch Neg AA 1-A1L 74928XEK3 AAA/Watch Neg AAA 3-A1P 74928XFX4 AAA/Watch Neg AAA 2-A1R 74928XFH9 AAA/Watch Neg AAA 2-A1F 74928XEV9 AAA/Watch Neg AAA 2-A1P 74928XFF3 AAA/Watch Neg AAA 1-A1N 74928XEM9 AAA/Watch Neg AAA 3-A1H 74928XFP1 AAA/Watch Neg AAA 12-A3 74928XGC9 AAA/Watch Neg AAA 3-A1R 74928XFZ9 AAA/Watch Neg AAA 1-A1H 74928XEF4 AAA/Watch Neg AAA 2-A1D 74928XAQ4 AAA/Watch Neg AAA 1-A1B 74928XAC5 AAA/Watch Neg AAA 2-A1N 74928XFD8 AAA/Watch Neg AAA 3-A1T 74928XGB1 AAA/Watch Neg AAA 1-A1J 74928XEH0 AAA/Watch Neg AAA 3-A1B 74928XAY7 AAA/Watch Neg AAA 2-A1B 74928XAN1 AAA/Watch Neg AAA 1-A1D 74928XAE1 AAA/Watch Neg AAA 2-A1J 74928XEZ0 AAA/Watch Neg AAA 1-A1R 74928XER8 AAA/Watch Neg AAA 1-A2 74928XAF8 AA/Watch Neg AA 1-A1T 74928XET4 AAA/Watch Neg AAA ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers' public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. A list of Meetings, Conferences and Seminars appears in each Wednesday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com/ On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. For copies of court documents filed in the District of Delaware, please contact Vito at Parcels, Inc., at 302-658-9911. For bankruptcy documents filed in cases pending outside the District of Delaware, contact Ken Troubh at Nationwide Research & Consulting at 207/791-2852. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors' Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland, USA. Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Howard C. Tolentino, Joseph Medel C. Martirez, Denise Marie Varquez, Philline Reluya, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2010. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $775 for 6 months delivered via e- mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Christopher Beard at 240/629-3300. *** End of Transmission ***