/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/100530.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, May 30, 2010, Vol. 14, No. 148 Headlines ABSPOKE 2005-1C2: Fitch Withdraws 'D' Rating on Notes ACAS CRE: S&P Downgrades Rating on Class A Certs. to 'D' AIRPLANES PASS: Fitch Takes Rating Actions on Three Classes ARCAP 2004-1: Fitch Downgrades Ratings on 10 2004-1 Notes ARTESIA MORTGAGE: Fitch Affirms Ratings on Series 1998-C1 Certs. BANC OF AMERICA: Moody's Affirms Ratings on Five 2002-X1 Notes BEAR STEARNS: Fitch Downgrades Ratings on Series 2000-WF2 Certs. BEAR STEARNS: Fitch Downgrades Ratings on 2003-PWR2 Certs. BEAR STEARNS: Fitch Downgrades Ratings on Series 2004-PWR3 Certs. BEAR STEARNS: Moody's Downgrades Ratings on 201 Tranches BEAR STEARNS: S&P Downgrades Rating on Class II-2A-1 Certs. to 'D' BLUEGRASS ABS: Moody's Downgrades Ratings on Two Classes of Notes CASCADE FUNDING: Moody's Downgrades Ratings on Two Classes CITY OF CENTRAL FALLS: Moody's Cuts Rating on Bonds to 'Ba1' CITY OF MIAMI BEACH: Moody's Affirms 'Ba2' Rating on Bonds COAST INVESTMENT: Moody's Downgrades Ratings on Class A to 'Caa3' COMM 2004-LNB4: S&P Downgrades Ratings on 10 2004-LNB4 Certs. CORTS TRUST: Moody's Ups Ratings on US$25,000,200 Certs. From Ba1 CORTS TRUST: Moody's Ups Ratings on 1,045,841 8.10% Certs. to Ba1 CORTS TRUST: Moody's Ups Ratings on 3,498,808 8.20% Certs. to Ba1 CORTS TRUST: Moody's Upgrades Ratings on .50% Certs. to 'Ba1' CLOVERIE NEW: Moody's Downgrades Ratings on Series 2006-009 Notes CREDIT SUISSE: Fitch Affirms Ratings on Series 2004-C2 Certs. CREDIT SUISSE: S&P Downgrades Rating on Class N 2002-CKN2 Certs. DAVIS SQUARE: Moody's Downgrades Ratings on Two Classes of Notes DEUTSCHE MORTGAGE: S&P Corrects Ratings on Class A-2 Certs. DEUTSCHE MORTGAGE: S&P Downgrades Ratings on Six 2008-RS1 Certs. DLJ COMMERCIAL: Fitch Affirms Ratings on 1998-CG1 Certificates DLJ COMMERCIAL: Fitch Takes Rating Actions on 1999-CG1 Certs. DLJ COMMERCIAL: Fitch Upgrades Ratings on 1998-CF1 Certs. EMAC OWNER: Fitch Takes Various Rating Actions on Various Classes FIRST INTERNATIONAL: Fitch Takes Rating Actions on Various Classes GE CAPITAL: Fitch Downgrades Ratings on Four Classes of Notes GLACIER FUNDING: Moody's Downgrades Ratings on Four Classes GLOBAL FRANCHISE: Fitch Takes Rating Actions on 1998-1 Notes GMACM HOME: Moody's Downgrades Ratings on 29 Tranches GS MORTGAGE: Fitch Downgrades Ratings on Series 2003-C1 Certs. HOME RE: S&P Downgrades Ratings on 11 Classes of 2005-2 Notes ISCHUS SYNTHETIC: S&P Downgrades Ratings on Eight Classes JP MORGAN: Fitch Downgrades Ratings on Seven 2006-FL2 Notes JPMORGAN CHASE: S&P Downgrades Ratings on Seven 2003-CIBC7 CMBS JUPITER HIGH-GRADE: Moody's Downgrades Ratings on Three Classes KKR FINANCIAL: Moody's Upgrades Ratings on Two Classes of Notes KKR FINANCIAL: Moody's Upgrades Ratings on Three Classes of Notes LB COMMERCIAL: Moody's Downgrades Rating on Series 1996-C2 Certs. LB-UBS COMMERCIAL: Moody's Reviews Ratings on Series 2004-C7 Notes LB-UBS COMMERCIAL: Moody's Downgrades Ratings on 12 2007-C6 Certs. LEGG MASON: S&P Downgrades Ratings on Six Classes of Notes LEGG MASON: S&P Downgrades Ratings on 10 Classes of Notes LNR CDO: Fitch Downgrades Ratings on All Classes of 2002-1 Notes MARATHON STRUCTURED: Fitch Downgrades Rating on A-1 Notes to 'C' MAX CMBS: S&P Downgrades Ratings on Six Classes of Notes ML-CFC COMMERCIAL: Moody's Affirms Ratings on Five Classes MORGAN STANLEY: Fitch Affirms Ratings on 2003-HQ2 Certificates MORGAN STANLEY: Fitch Downgrades Ratings on 1999-RM1 Certs. MORGAN STANLEY: Fitch Downgrades Ratings on 2000-LIFE2 Certs. MORGAN STANLEY: Moody's Downgrades Ratings on Series 2006-23 Notes MORGAN STANLEY: Moody's Reviews Ratings on 12 2004-TOP15 Certs. MOUNTAIN VIEW: Moody's Upgrades Ratings on Five Classes MOUNTAIN VIEW: Moody's Upgrades Ratings on Eight Classes NATIONSLINK FUNDING: Fitch Affirms Ratings on 1999-SL Certs. NATIONSLINK FUNDING: Moody's Upgrades Rating on Series 1999-1 NELSON RE: Moody's Takes Rating Actions on Catastrophe Bonds NORTH STREET: Moody's Downgrades Ratings on Four Classes PASCO COUNTY: Moody's Affirms 'Ba3' Rating on Bonds PREFERREDPLUS TRUST: Moody's Upgrades Ratings on Certs. From 'Ba1' PRUDENTIAL SECURITIES: Moody's Downgrades Rating on 1999-C2 Notes RESOURCE REAL: S&P Downgrades Ratings on Nine Classes of Notes RUTLAND RATED: Moody's Junks Ratings on Credit-Linked Notes SAGUARO ISSUER: Moody's Confirms Ratings on Two Units SALLIE MAE: S&P Downgrades Ratings on 63 Classes From 12 Deals SILVERLEAF FINANCE: S&P Assigns Rating on $151.5 Mil. Notes SOLSTICE ABS: Moody's Downgrades Ratings on Two Classes of Notes SOUTH COAST: Moody's Downgrades Ratings on Two Classes of Notes SPYGLASS TRUST-3: Moody's Confirms Ratings on Units at 'Ba1' STANFIELD CLO: Moody's Downgrades Ratings on Two Classes TIAA CMBS: Fitch Upgrades Ratings on Series 2001-C1 Certs. TIAA STRUCTURED: Moody's Downgrades Ratings on Two Classes TIMBERSTAR TRUST: Fitch Affirms Ratings on Series 2006-1 Certs. TRICADIA CDO: Moody's Downgrades Ratings on Two Classes of Notes WACHOVIA BANK: Fitch Affirms Ratings on Series 2003-C4 Certs. WACHOVIA BANK: Fitch Downgrades Ratings on 11 2006-Whale 7 Notes * Fitch Affirms Ratings on 11 Classes From Two Prime RMBS Deals * Fitch Takes Various Rating Actions on Various Classes of Notes * Moody's Affirms 'Ba3' Rating on Gainesville, Texas' 1992A Bonds * Moody's Downgrades Ratings on Three Tranches From US SF CDOs * Moody's Takes Rating Actions on Various RMBS Transactions * S&P Downgrades Ratings on 17 Tranches From Five CDO Transactions * S&P Downgrades Ratings on 28 Tranches From Five CDO Transactions * S&P Downgrades Ratings on 57 Tranches From 11 CDO Transactions * S&P Downgrades Ratings on 206 Classes From 17 RMBS Transactions * S&P Downgrades Ratings on 381 Classes From 22 RMBS Transactions * S&P Downgrades Ratings on 673 Classes of Certificates to 'D' * S&P Junks Rating on Central Falls, Rhode Island's Bonds ********* ABSPOKE 2005-1C2: Fitch Withdraws 'D' Rating on Notes ----------------------------------------------------- Fitch Ratings has withdrawn the rating on the class of notes issued by ABSpoke 2005-1C2. This rating action is a result of the exercise of the Optional Termination. The Credit Default Swap was terminated on May 10, 2010. Prior to the exercise of the Optional Termination, the notes were experiencing writedowns and were downgraded to 'D' by Fitch in March 2010. ABSpoke 2005-1C2 was an unfunded managed synthetic collateralized debt obligation that referenced a portfolio of various asset backed security assets. The transaction was designed to provide credit protection for realized losses on the referenced portfolio through a CDS between the issuer and the swap counterparty. Fitch has withdrawn this rating: -- $2,541,086 ABSpoke 2005-1C2 notes rated 'D'. ACAS CRE: S&P Downgrades Rating on Class A Certs. to 'D' -------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class A certificates from ACAS CRE CDO 2007-1 Ltd., a commercial real estate collateralized debt obligation transaction, to 'D' from 'B-'. At the same time, S&P affirmed its 'CCC-' ratings on nine other classes from the same transaction. The rating action on class A reflects S&P's analysis of the transaction following an interest shortfall to this nondeferrable class. S&P's 'CCC-' ratings on the deferrable E-FL through K classes reflect continued liquidity interruptions. According to the May 24, 2010, trustee remittance report, class A experienced an interest shortfall of $477,086 in the current period. The liquidity interruption resulted from the failure of the underlying commercial mortgage-backed securities and CMBS resecuritization collateral for ACAS 2007-1 to produce sufficient interest proceeds to pay the full interest amount due to the nondeferrable interest class. According to the most recent trustee report, ACAS 2007-1 was collateralized by 117 classes of CMBS ($1.14 billion, 99%) from 21 distinct transactions issued from 2005 through 2007 and four classes ($11.8 million, 1%) from JPMorgan-CIBC Commercial Mortgage-Backed Securities Trust 2006-RR1, which is a esecuritized real estate mortgage investment conduit transaction. The aggregate principal balance of the assets totaled $1.15 billion. S&P had previously lowered the ratings on classes B through D to 'D' when they experienced interest shortfalls according to the trustee remittance report dated Feb. 23, 2010. If S&P receive notice that the interest rate swap in the transaction has been terminated, which could require the issuer to make termination payments to the counterparty, S&P may reexamine the 'CCC-' ratings and take further actions. Standard & Poor's analyzed ACAS 2007-1 and its underlying collateral according to S&P's current criteria. S&P's analysis is consistent with the lowered and affirmed ratings. Rating Lowered ACAS CRE CDO 2007-1 Ltd. Rating ------ Class To From ----- -- ---- A D B- Ratings Affirmed ACAS CRE CDO 2007-1 Ltd. Class Rating ----- ------ E-FL CCC- E-FX CCC- F-FL CCC- F-FX CCC- G-FL CCC- G-FX CCC- H CCC- J CCC- K CCC- AIRPLANES PASS: Fitch Takes Rating Actions on Three Classes ----------------------------------------------------------- Fitch Ratings has taken these rating actions on Airplanes Pass Through Trust: -- Class A-8 affirmed at 'BB' and assigned a Stable Outlook; -- Class A-9 revised to 'CCC/RR3' from 'CCC/DR3'; -- Classes B, C, and D revised to 'C/RR6' from 'C/DR6'. The analysis of Airplanes is consistent with Fitch Rating's criteria titled 'Global Rating Criteria for Aircraft Operating Lease ABS' dated March 31, 2010. The lone exception from stated criteria is that aircraft were assumed to have a 30-year useful life under the base case scenario. While Fitch's criteria states that the typical useful life assumption for commercial aircraft is 25 years, certain aircraft in the pool have lease terms that extend beyond this threshold. ARCAP 2004-1: Fitch Downgrades Ratings on 10 2004-1 Notes --------------------------------------------------------- Fitch Ratings has downgraded 10 classes issued by ARCap 2004-1 Resecuritization Trust as a result of increased interest shortfalls and losses to the underlying commercial mortgage-backed securities. Since Fitch's last rating action in January 2009, approximately 30.2% of the portfolio has been downgraded. Currently, 18.7% is on Rating Watch Negative. Approximately 95.4% of the portfolio has a Fitch derived rating below investment grade; 28.8% has a rating in the 'CCC' category and below. As of the April 22, 2010, 5% of the portfolio is considered defaulted per the transaction documents. The CDO has experienced approximately $18.4 million in losses to date. Due to the failure of the Interest Coverage test, all interest proceeds beyond the payment of class H have been reallocated to redeem approximately $3.5 million of class A principal since Fitch's 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. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. Fitch also analyzed the structure's sensitivity to the assets that are experiencing interest shortfalls (29.7% of the portfolio). Based on this analysis, the class A notes' breakeven rates are generally consistent with the 'BBB' rating category and the breakeven rates for the B and C notes are generally consistent with the 'BB' and 'B' rating category, respectively. Similarly, the breakeven rates for the class D and E notes are generally consistent with the 'B' and 'CCC' rating category, respectively. For classes F through K, Fitch assigned the ratings based on a comparison of each class' credit enhancement relative to the percent of underlying collateral experiencing interest shortfalls. As of the April 22, 2010 trustee report, classes F through H are receiving interest; however, classes J and K are deferring interest. Class F has been downgraded to 'CCC' given sufficient credit enhancement to the amount of assets experiencing interest shortfalls. Classes G and H are downgraded to 'CC' given the likelihood that these classes will experience interest shortfalls in the near term and the marginal cushion relative to the assets experiencing interest shortfalls. Fitch believes that for classes J and K default is inevitable because Fitch does not expect interest to be recovered on these classes. As such, classes J and K have been downgraded to 'C'. The Negative Rating Outlook on the class A through D notes reflects Fitch's expectation that underlying CMBS loans will continue to face refinance risk at maturity. 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. ARCAP 2004-1 is backed by 65 tranches from 17 CMBS transactions and is considered a CMBS B-piece resecuritization (also referred to as first loss CRE CDO/ReREMIC) as it includes the most junior bonds of CMBS transactions. The transaction closed April 19, 2004. Fitch has downgraded, assigned LS ratings and revised Outlooks for these classes as indicated: -- $53,620,639 class A notes to 'BBB/LS5' from 'AA-'; Outlook to Negative from Stable; -- $30,600,000 class B notes to 'BB/LS5' from 'A'; Outlook to Negative from Stable; -- $26,500,000 class C notes to 'B/LS5' from 'BBB'; Outlook to Negative from Stable; -- $8,500,000 class D notes to 'B/LS5' from 'BBB-'; Outlook to Negative from Stable; -- $30,700,000 class E notes to 'CCC' from 'BB+'; -- $13,600,000 class F notes to 'CCC' from 'BB'; -- $36,000,000 class G notes 'CC' from 'BB-'; -- $13,000,000 class H notes 'CC' from 'B+'; -- $31,500,000 class J notes 'C' from 'B'; -- $20,500,000 class K notes 'C' from 'B-'. ARTESIA MORTGAGE: Fitch Affirms Ratings on Series 1998-C1 Certs. ---------------------------------------------------------------- Fitch Ratings has affirmed, assigned Loss Severity ratings, and revises the Rating Outlook to Artesia Mortgage CMBS, Inc.'s commercial mortgage pass-through certificates, Series 1998-C1: -- Interest-only Class X at 'AAA'; Outlook Stable; -- $5.5 million Class G at 'BB+/LS3'; Outlook to Stable from Positive. Fitch does not rate the $4.8 million Class NR. Classes A-1, A-2, B, C, D, E, and F are paid in full. The rating affirmations are the result of minimal Fitch expected losses following Fitch's prospective review of potential stresses based on loans remaining in the pool. As of the April 2010 distribution date, the pool's aggregate certificate balance was reduced 94% to $10.2 million from $187 million at issuance. The pool has become more concentrated with only 25 small balance loans remaining with an average loan size of $410,146. There are currently no delinquent or specially serviced loans in the transaction. Nine loans (33.1%) are considered Fitch loans of concern due to declines in debt service coverage ratio, occupancy, and upcoming lease expirations including two of the top five loans (14.7%) in the transaction. The largest loan of concern (8.8%) is secured by a multifamily property located in Arvada, CO. Although the property is currently 95% occupied, decreasing rental rates are causing a decline in performance. The second largest loan of concern (5.9%) is secured by an office building located in Tukwila, WA. The property has suffered declines in occupancy since 2007 as a result of tenant's vacating at lease expiration and tenant's downsizing their existing space. The borrower continues to actively market the vacant space. The most recent reported occupancy of 72% is as of December 2008. Approximately 5% of the pool is scheduled to mature through the remainder of 2010, 6% in 2011, 4%, 2012, 54%, 2013, and 17% in 2017. Fitch stressed the cash flow of the remaining loans by applying a 10% reduction to 2008 fiscal year-end net operating income, 15% to 2007, and 20% for those loans where 2008 or 2007 net operating income was not available 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 pay off at maturity. Under this scenario, one loan is not expected to pay off at maturity; however, no loss is anticipated based on Fitch's stressed value. BANC OF AMERICA: Moody's Affirms Ratings on Five 2002-X1 Notes -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of five classes, confirmed three classes and downgraded seven classes of Banc of America Structured Securities Trust, Commercial Mortgage Pass- Through Certificates, Series 2002-X1. The downgrades are due to interest shortfalls that the transaction is experiencing as a result of specially serviced loans. The confirmations and affirmations are due to key rating parameters, including Moody's loan to value ratio, stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. On March 5, 2010, Moody's placed ten classes of this transaction on review for possible downgrade. This action concludes Moody's review of this transaction. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the May 11, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 68% to $92.3 million from $287.8 million at securitization. The Certificates are collateralized by 41 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top ten loans representing 41% of the pool. Twelve loans, representing 17% 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 CRE Finance Council (formerly Commercial Mortgage Securities Association) 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. Eleven loans have been liquidated from the pool, resulting in an aggregate $5.5 million loss (30% loss severity on average). Currently, eight loans, representing 27% of the pool, are in special servicing. Moody's estimates an aggregate $15.5 million loss for all specially serviced loans (63% expected loss on average). The servicer has recognized an aggregate $2.9 million appraisal reduction for three of the specially serviced loans. In addition to recognizing losses from specially serviced loans, Moody's has assumed a high default probability on three loans which represent 10% of the pool and has estimated an aggregate loss of $3.6 million (38% expected loss based on a overall 75% probability of default) from these troubled loans. Moody's rating action recognizes potential uncertainty around the timing and magnitude of loss from these troubled loans. Based on the most recent remittance statement, Classes L through Q have experienced cumulative interest shortfalls totaling $1.1 million. Due to increased trust expenses and recovery of servicer advances, Classes K and J had also experienced interest shortfalls in March and April 2010. Although these shortfalls were reimbursed in May, Moody's anticipates that Classes K and J may periodically experience interest shortfalls because of the pool's high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs) and extraordinary trust expenses. Moody's was provided with partial 2009 or full-year 2008 operating results for 98% of the pool. Moody's weighted average LTV ratio, excluding the specially serviced and troubled loans, is 70% compared to 100% at Moody's prior review in March 2009. Moody's actual and stressed DSCR are 1.31X and 1.77X, respectively, compared to 1.18X and 1.47X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of the Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple-notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 13 compared to 19 at last review. Moody's rating action is: -- Class XC, Notional, affirmed at Aaa; previously assigned to Aaa on 7/29/2002 -- Class B, $2,716,379, affirmed at Aaa; previously upgraded to Aaa from Aa2 on 8/1/2005 -- Class C, $5,036,789, affirmed at Aaa; previously upgraded to Aaa from Aa1 on 3/19/2009 -- Class D, $6,475,871, affirmed at Aaa; previously upgraded to Aaa from Aa2 on 3/19/2009 -- Class E, $9,354,036, affirmed at Aaa; previously upgraded to Aaa from A1 on 3/19/2009 -- Class F, $5,756,330, confirmed at Aa1; previously placed on review for possible downgrade on 3/5/2010 -- Class G, $6,475,871, confirmed at Aa2 previously placed on review for possible downgrade on 3/5/2010 -- Class H, $8,634,495, confirmed at Aa3; previously placed on review for possible downgrade on 3/5/2010 -- Class J, $3,597,707, downgraded to Ba1 from A2; previously placed on review for possible downgrade on 3/5/2010 -- Class K, $4,317,248, downgraded to Ba3 from Baa2; previously placed on review for possible downgrade on 3/5/2010 -- Class L, $6,475,871, downgraded to B1 from Ba2; previously placed on review for possible downgrade on 3/5/2010 -- Class M, $2,878,166, downgraded to B2 from Ba3; previously placed on review for possible downgrade on 3/5/2010 -- Class N, $2,878,166, downgraded to B3 from B1; previously placed on review for possible downgrade on 3/5/2010 -- Class O, $2,878,166, downgraded to Caa1 from B2; previously placed on review for possible downgrade on 3/5/2010 -- Class P, $2,878,166, downgraded to C from B3; previously placed on review for possible downgrade on 3/5/2010 BEAR STEARNS: Fitch Downgrades Ratings on Series 2000-WF2 Certs. ---------------------------------------------------------------- Fitch Ratings downgrades and revises Recovery Ratings on Bear Stearns Commercial Mortgage Securities Inc.'s commercial mortgage pass-through certificates, series 2000-WF2: -- $4.2 million class L to 'C/RR6' from 'CCC/RR2'; -- $2.1 million class M to 'C/RR6' from 'CC/RR5'. In addition, Fitch affirms these classes and assigns LS ratings, as indicated: -- $145.8 million class A-2 at 'AAA/LS1'; Outlook Stable; -- Interest-only class X at 'AAA'; Outlook Stable; -- $28.3 million class B at 'AAA/LS1'; Outlook Stable; -- $26.2 million class C at 'AAA/LS1'; Outlook Stable; -- $8.4 million class D at 'AAA/LS1'; Outlook Stable; -- $23.1 million class E at 'A+/LS4'; Outlook Stable; -- $7.3 million class F at 'A-/LS5'; Outlook Stable. Fitch does not rate classes G, H, I, J, K and N. Class A-1 has paid in full. The downgrades are due to an increase in Fitch expected losses following Fitch's prospective review of potential stresses and expected losses associated with specially serviced assets. Fitch expects losses of 4.46% of the remaining pool balance, approximately $12.5 million, the majority of which are from loans currently in special servicing. As of the May 2010 distribution date, the pool's collateral balance has paid down 66.5% to $280.8 million from $838.5 million at issuance. Twenty-three of the remaining loans have defeased (40.8%). As of May 2010, there are five specially serviced loans (9.12%) in the transaction. The largest specially serviced loan (3.8%) is secured by two industrial properties in Webster, NY. The loan has been delinquent since January 2008 and the special servicer completed foreclosure in 2009. The second specially serviced asset (2.8%) is an industrial property in Westborough, MA. The property has been vacant for three years, and the borrower has been unable to locate a new tenant or buyer. The loan became real estate owned (REO) as of February 2009. The largest Fitch Loan of Concern that is not specially serviced (1.4%, is a 69,067 sf industrial park consisting of two buildings. The property was occupied by two tenants, one of whom vacated at the end of their lease reducing occupancy to 44%. Two new leases were signed during 2009 increasing occupancy to 70%. Fitch stressed the cash flow of the remaining non-defeased loans by applying a 10% reduction to 2008 fiscal year end net operating income and applying an adjusted market cap rate between 7.25% and 10.5% to determine value. Similar to Fitch's prospective analysis of recent vintage CMBS, each loan also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. Loans that could refinance to a debt service coverage ratio of 1.25 times or higher were considered to payoff at maturity. Thirty-two loans did not payoff at maturity with 11 loans incurring a loss when compared to Fitch's stressed value. BEAR STEARNS: Fitch Downgrades Ratings on 2003-PWR2 Certs. ---------------------------------------------------------- Fitch Ratings downgrades and assigns recovery ratings to Bear Stearns Commercial Mortgage Securities Trust commercial mortgage pass-through certificates series 2003-PWR2, as indicated: -- $5.3 million class M to 'CCC/RR1' from 'B'; -- $2.7 million class N to 'CCC/RR1' from 'B-'. In addition, Fitch affirms and assigns Loss Severity ratings and revised Outlooks as indicated: -- $23.8 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $36 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $608.3 million class A-4 at 'AAA/LS1'; Outlook Stable; -- Interest-only class X-1 at 'AAA'; Outlook Stable; -- Interest-only class X-2 at 'AAA'; Outlook Stable; -- $26.7 million class B at 'AAA/LS3'; Outlook Stable; -- $28 million class C at 'AA+/LS3'; Outlook Stable; -- $9.3 million class D at 'AA/LS4'; Outlook Stable; -- $12 million class E at 'A/LS4'; Outlook Stable; -- $10.7 million class F at 'A-/LS4'; Outlook Stable; -- $9.3 million class G at 'BBB+/LS4'; Outlook Stable; -- $13.3 million class H at 'BBB-/LS4'; Outlook Stable; -- $5.3 million class J at 'BB+/LS5'; Outlook to Negative from Stable; -- $5.3 million class K at 'BB/LS5'; Outlook to Negative from Stable; -- $4 million class L at 'BB-/LS5'; Outlook to Negative from Stable. Class A-1 has paid in full. Fitch does not rate the $11 million class P. The downgrades are the result of Fitch's revised loss estimates for the transaction following Fitch's prospective analysis which is similar to its recent vintage fixed rate CMBS analysis. Fitch expects potential losses of 1.6% of the remaining pool balance from the loans in special servicing and the loans that are not expected to refinance at maturity based on Fitch's refinance test. The Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. As of the May 2010 distribution date, the pool's collateral balance has paid down 23.9% to $811.1 million from $1.07 billion at issuance. Fifteen loans (20.6%) have defeased. Fitch has identified 18 Loans of Concern (16.2%), including two assets in special servicing (1.9%). The largest specially serviced asset (1.7%) is an office property located Long Beach, CA which had transferred to special servicing in December 2009. The loan is delinquent and the borrower has indicated they can no longer service the debt on the property. The second specially serviced asset (0.2%) is an office warehouse facility located in Columbus, OH and is in foreclosure. The asset transferred to special servicing in April 2009 and there is a receiver in place. Fitch stressed the cash flow of the remaining non-defeased loans by applying a 10% reduction to 2008 fiscal year end net operating income or adjusted 2009 cash flow based on performance issues, such as a significant decline in occupancy, 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. Under this scenario, nine loans are not expected to payoff at maturity with three loans incurring a loss when compared to Fitch's stressed value. BEAR STEARNS: Fitch Downgrades Ratings on Series 2004-PWR3 Certs. ----------------------------------------------------------------- Fitch Ratings downgrades and assigns Loss Severity ratings or recovery ratings to Bear Stearns commercial mortgage pass-through certificates series 2004-PWR3, as indicated: -- $6.9 million class L to 'B/LS5' from 'BB-'; Outlook Negative; -- $5.5 million class M to 'B-/LS5' from 'B+'; Outlook Negative; -- $2.8 million class N to 'CC/RR1' from 'B'; -- $2.8 million class P to 'CC/RR1' from 'B-'. In addition, Fitch affirms and assigns LS ratings as indicated: -- $133.4 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $469.9 million class A-4 at 'AAA/LS1'; Outlook Stable; -- Interest only class X-1 at 'AAA'; Outlook Stable; -- Interest only class X-2 at 'AAA'; Outlook Stable; -- $26.3 million class B at 'AAA/LS3'; Outlook Stable; -- $12.5 million class C at 'AA+/LS4'; Outlook Stable; -- $16.6 million class D at 'AA/LS4'; Outlook Stable; -- $9.7 million class E at 'A+/LS5'; Outlook Negative; -- $15.2 million class F at 'A-/LS4'; Outlook Negative; -- $11.1 million class G at 'BBB+/LS4'; Outlook Negative; -- $13.9 million class H at 'BBB-/LS4'; Outlook Negative; -- $2.8 million class J at 'BB+/LS5'; Outlook Negative; -- $5.5 million class K at 'BB/LS5'; Outlook Negative. Fitch does not rate the $10.7 million class Q certificates. The downgrades are the result of Fitch's revised loss estimates for the transaction following Fitch's prospective analysis which is similar to its recent vintage fixed rate CMBS analysis. Fitch expects potential losses of 2% of the remaining pool balance from the loans in special servicing and the loans that are not expected to refinance at maturity based on Fitch's refinance test. The Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. As of the May 2010 distribution date, the pool's collateral balance has paid down 32.7% to $745.6 million from $1.11 billion at issuance. Seven loans (9.1%) have defeased. Fitch has identified 25 Loans of Concern (28.8%), including one asset in special servicing (0.5%). The specially serviced asset is a retail property located Lombard, IL which had transferred to special servicing in August 2009. The property is in foreclosure and is vacant. The largest Fitch Loan of Concern (5.9%) is secured by an anchored retail property located in Aurora, CO. The property has suffered a decline in occupancy due to bankrupt tenants vacating their space. The servicer-reported March 2010 occupancy was 65%. The second largest Fitch Loan of Concern (5.2%) is an anchored mall located in Clay, NY. The collateral was approximately 74% occupied as of March 2010. The former Bon-Ton space is vacant. In addition, the Macy's and Sears spaces are not part of the collateral. Fitch stressed the cash flow of the remaining non-defeased loans by applying a 10% reduction to 2008 fiscal year end net operating income or adjusted 2009 cash flow based on performance issues, such as a significant decline in occupancy, 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. Under this scenario, 20 loans are not expected to payoff at maturity with eight loans incurring a loss when compared to Fitch's stressed value. BEAR STEARNS: Moody's Downgrades Ratings on 201 Tranches -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 201 tranches, confirmed the ratings of 16 tranches, and upgraded 1 tranche from 40 RMBS transactions issued by Bear Stearns. The collateral backing these deals primarily consists of first-lien, fixed and/or 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 WorkstationR (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. 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. 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. Certain tranches included in this action, noted below, are wrapped by CIFG Assurance North America, Inc.; these securities are rated at their underlying rating pursuant to the withdrawal of CIFG's insurance financial strength rating on November 2, 2009. Complete rating actions are: Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AQ1 -- Cl. M-1, Downgraded to A2; 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 Baa3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 B2 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: Bear Stearns Asset Backed Securities I Trust 2005-AQ2 -- Cl. A-3, Downgraded to Ba2; 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 B2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2005-EC1 -- Cl. A-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Aa3; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca; previously on Jan 13, 2010 A1 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 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: Bear Stearns Asset Backed Securities I Trust 2005-FR1 -- Cl. M-1, Downgraded to Ba3; previously on Jan 13, 2010 A2 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: Bear Stearns Asset Backed Securities I Trust 2005-HE1 -- Cl. M-1, Confirmed at Aa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Ca 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: Bear Stearns Asset Backed Securities I Trust 2005-HE10 -- Cl. A-3, Downgraded to Aa2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE11 -- Cl. A-2, Downgraded to Aa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to A3; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B3; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE12 -- Cl. I-A-2, Downgraded to A2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to Baa2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A, Downgraded to Aa3; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B3; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE2 -- Cl. M-1, Downgraded to Baa3; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE4 -- Cl. M-1, Confirmed at Aa3; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE5 -- Cl. M-1, Confirmed at A1; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 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 Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE6 -- Cl. M-1, Confirmed at Aa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE8 -- Cl. A-3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE9 -- Cl. I-A-3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Financial Guarantor: CIFG Assurance North America, Inc. (Insured Rating Withdrawn on Nov 2,2009) -- Underlying Rating: Currently Aaa; previously on Jan 17, 2008 Assigned Aaa Issuer: Bear Stearns Asset Backed Securities I Trust 2005-TC1 -- Cl A-3, Downgraded to Aa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa1; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Mar 24, 2009 Downgraded to Baa3 -- 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 Ba2 Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2005-TC2 -- Cl. A-2, Downgraded to Aa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to A1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 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 B1 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 B3 Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2006-EC1 -- Cl. A-2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Aa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2006-EC2 -- Cl. A-3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Aa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE1 -- Cl. I-A-2, Downgraded to A1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to Baa3; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. I-M-1, Downgraded to Caa1; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. I-M-2, Downgraded to C; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. I-M-3, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. I-M-4, Downgraded to C; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Confirmed at Aa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to A2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. II-M-1, Downgraded to B1; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. II-M-2, Downgraded to Ca; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. II-M-3, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. II-M-4, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE10 -- Cl. I-A-1, Confirmed at A1; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Caa2; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to C; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. I-M-1, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. I-M-2, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE2 -- Cl. I-A-2, Downgraded to Ba2; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to B3; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. II-A, Downgraded to Ba3; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE3 -- Cl. A-2, Downgraded to Ba2; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa1; 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 B3 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE4 -- Cl. I-A-2, Downgraded to Caa3; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. II-A, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE5 -- Cl. I-A-2, Downgraded to Caa1; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to C; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. II-A, Downgraded to Caa2; previously on Jan 13, 2010 Ba1 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: Bear Stearns Asset Backed Securities I Trust 2006-HE6 -- Cl. I-A-2, Downgraded to Caa2; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. I-M-1, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Caa2; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to C; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. II-M-1, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. II-M-2, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE7 -- Cl. I-A-1, Downgraded to Ba2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to C; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. II-1A-1, Downgraded to Ba1; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. II-1A-2, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. II-1A-3, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. II-2A, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE8 -- Cl. I-A-2, Downgraded to Caa2; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE9 -- Cl. I-A-1, Confirmed at Baa2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. II-A, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. III-A, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2006-PC1 -- Cl. A-2, Downgraded to A1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Baa3; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2007-AQ1 -- Cl. A-1, Downgraded to Caa2; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C; 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: Bear Stearns Asset Backed Securities I Trust 2007-AQ2 -- 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 C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2007-FS1 -- Cl. I-A-1, Confirmed at Ba3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Caa2; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. I-A-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. II-A, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE1 -- Cl. I-A-1, Confirmed at B3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. II-1A-1, Upgraded to Ba1; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. II-1A-2, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. II-1A-3, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. II-2A, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. II-3A, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. II-M-1, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE2 -- Cl. I-A-1, Downgraded to B1; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. I-A-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. II-1A-1, Downgraded to Baa3; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. II-1A-2, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. II-1A-3, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. II-1A-4, Downgraded to C; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. II-2A, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. II-3A, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE3 -- Cl. I-A-1, Downgraded to Ba1; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Caa2; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. I-A-4, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. II-A, Downgraded to Caa3; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. III-A, Downgraded to Caa3; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE4 -- Cl. I-A-1, Downgraded to Ba2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Caa2; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to Ca; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. I-A-4, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. II-A, Downgraded to Caa2; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE5 -- Cl. I-A-1, Downgraded to Baa2; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Caa1; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. I-A-4, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. II-A, Downgraded to Caa3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. III-A, Downgraded to Caa2; 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: Bear Stearns Asset Backed Securities I Trust 2007-HE6 -- Cl. I-A-1, Downgraded to Caa3; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. II-A, 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: Bear Stearns Asset Backed Securities I Trust 2007-HE7 -- Cl. I-A-1, Downgraded to Caa2; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. III-A-2, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Bear Stearns Structured Products Trust 2007-EMX1 -- Cl. A-1, Confirmed at A1; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba3; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa1; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade BEAR STEARNS: S&P Downgrades Rating on Class II-2A-1 Certs. to 'D' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating to 'D' on the class II-2A-1 mortgage pass-through certificates from Bear Stearns Alt-A Trust 2006-4, a U.S. residential mortgage-backed securities transaction. The downgrade to 'D' reflects S&P's assessment of principal write- downs on the affected class during recent remittance periods. Standard & Poor's will continue to monitor its ratings on securities that experience principal write-downs, and S&P will adjust the ratings as S&P determine appropriate. Rating Action Bear Stearns Alt-A Trust 2006-4 Series 2006-4 Rating ------ Class CUSIP To From ----- ----- -- ---- II-2A-1 073871AC9 D CC BLUEGRASS ABS: 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 Bluegrass ABS CDO III, Ltd. The notes affected by the rating actions are: -- US$280,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2039, Downgraded to Ca; Previously on April 22, 2009, Downgraded to B2; -- US$49,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2039, Downgraded to C; Previously on April 22, 2009, Downgraded to Ca. Bluegrass ABS CDO III, Ltd., is a collateralized debt obligation issuance backed primarily by a portfolio of structured finance securities. Residential Mortgage-Backed Securities comprise over 25% of the underlying portfolio, the majority of which were 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 an increase in the dollar amount of defaulted securities, failure of the coverage tests, and the number of assets that are currently on review for possible downgrade. The dollar amount of defaulted securities, as reported by the trustee, has increased from $64 million in March 2009 to $76 million in April 2010. All the overcollateralization and interest coverage tests are failing and have been continuously deteriorating. Additionally, in April 2010, the Moody's ratings of approximately $56 million of pre-2005 RMBS within the underlying portfolio were placed on review for possible downgrade as a result of Moody's updated expected loss projections for certain RMBS. An Event of Default under Section 5.01(i) of the Indenture was declared by the Trustee on August 1, 2008, due to the ratio of the Net Outstanding Portfolio Collateral Balance to the Aggregate Outstanding Amount of the Class A Notes being less than 100%. On December 11, 2008, an acceleration of maturity was declared by the Trustee. As provided in Article V 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 and the Notes, including the sale and liquidation of the assets. The severity of losses of certain tranches may be different depending on the timing and outcome of a liquidation. Moody's explained that in arriving at the rating actions noted above, the ratings of 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 pre-2005 vintage RMBS, Moody's considered the various factors indicating continued negative performance that were described in Moody's press releases dated April 8th for subprime, April 12th for Option-ARM and April 13 for Alt-A. Such seasoned deals will have varying stress based on RMBS asset type. For pre-2005 Alt-A, Aaa rated securities were stressed by four notches, Aa rated securities by six notches, and A or Baa rated securities by nine notches. Pre-2005 Option-ARM securities currently rated Aaa were stressed by two notches, Aa and A by six notches, and Baa by nine notches. For pre-2005 subprime, Aaa and Aa rated securities were stressed by two notches, A rated securities were stressed by six notches, and Baa rated securities were stressed by nine notches. All subprime, Alt-A and Option-ARM RMBS securities which originated prior to 2005, are currently rated Ba or below, and are also currently on review for possible downgrade have been stressed to Ca. 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 that are no longer on review for downgrade. 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. CASCADE FUNDING: 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 Cascade Funding CDO I, Ltd. The notes affected by the rating actions are: -- Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes due March 2042; Downgraded to Caa3; Previously on February 10, 2009 Downgraded to B1 -- Class A-2 Second Priority Senior Secured Floating Rate Notes due March 2042; Downgraded to C; Previously on February 10, 2009 Downgraded to Ca Cascade Funding CDO I, Ltd., is a collateralized debt obligation issuance backed primarily by a portfolio of structured finance securities. Residential Mortgage-Backed Securities comprise over 90% of the underlying portfolio, the majority of which were 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 an increase in the dollar amount of defaulted securities, failure of the coverage tests, and number of assets that are currently on review for possible downgrade. The dollar amount of defaulted securities, as reported by the trustee, has increased from $43 million in February 2009 to $85 million in April 2010. The overcollateralization and interest coverage tests are failing and have been continuously deteriorating. Additionally, in April 2010, the Moody's ratings of approximately $84 million of pre-2005 RMBS within the underlying portfolio were placed on review for possible downgrade as a result of Moody's updated expected loss projections for certain RMBS. An Event of Default under Section 5.1(a) of the Indenture was declared by the Trustee on December 8, 2008, because of a default in the payment of accrued interest on a Class B Note. On January 26, 2009, an acceleration of maturity was declared by the Trustee. As provided in Article V 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 and the Notes, including the sale and liquidation of the assets. The severity of losses of certain tranches may be different depending on the timing and outcome of a liquidation. Moody's explained that in arriving at the rating actions noted above, the ratings of 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 pre-2005 vintage RMBS, Moody's considered the various factors indicating continued negative performance that were described in Moody's press releases dated April 8th for subprime, April 12th for Option-ARM and April 13th for Alt-A. Such seasoned deals will have varying stress based on RMBS asset type. For pre-2005 Alt-A, Aaa rated securities were stressed by four notches, Aa rated securities by six notches, and A or Baa rated securities by nine notches. Pre-2005 Option-ARM securities currently rated Aaa were stressed by two notches, Aa and A by six notches, and Baa by nine notches. For pre-2005 subprime, Aaa and Aa rated securities were stressed by two notches, A rated securities were stressed by six notches, and Baa rated securities were stressed by nine notches. All subprime, Alt-A and Option-ARM RMBS securities which originated prior to 2005, are currently rated Ba or below, and are also currently on review for possible downgrade have been stressed to Ca. 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 that are no longer on review for downgrade. 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. CITY OF CENTRAL FALLS: Moody's Cuts Rating on Bonds to 'Ba1' ----------------------------------------------------------- Moody's Investors Service has downgraded to Ba1 from Baa1 the City of Central Falls (Rhode Island) general obligation bond rating, affecting approximately $21.9 million in outstanding debt. The bonds are secured by a general obligation unlimited tax pledge. At this time, Moody's has also downgraded the city's Rhode Island Health and Education Building Corporation Bond Issue, Series 2007B to Ba1 from A1. Both ratings are also under review for possible downgrade. The downgrade reflects the appointment of a temporary receiver by the Superior Court with broad fiscal powers that may threaten bondholder security. The rating action also reflects the city's weak financial position, including a sizable fiscal 2010 projected deficit of $3 million or 17% of revenues. The Watchlist action reflects the possibility of further rating movement in the near term. Resolution of the Watchlist will reflect Moody's evaluation of the powers of the receiver as it relates to the city's obligations, including contracts with public employee unions, and Moody's assessment of the city's financial position and liquidity levels. Further, it is also not clear that the city will benefit from continued access to the capital markets to fund operations potentially threatening the ability to refinance outstanding tax anticipation notes, payable June 30, 2010, and finance government operations. The last rating action with respect to the City of Central Falls (RI), was on December 16, 2009, when a municipal finance scale rating of Baa3 was affirmed. The rating was subsequently recalibrated to Baa1 on May 1, 2010. CITY OF MIAMI BEACH: Moody's Affirms 'Ba2' Rating on Bonds ---------------------------------------------------------- Moody's Investors Service has affirmed the Ba2 rating on $520,000 of outstanding Housing Authority of the City of Miami Beach, FL, Mortgage Revenue Refunding Bonds, Series 1997A (Section 8 Assisted - Midtown Plaza Project). The outlook has been revised to Stable from Negative. The affirmation is based on the property's recent financial performance, most notably the increase in debt service coverage to 1.25x in 2009. Shep Davis, formerly known as Midtown Plaza, is a 49 unit building located in Miami Beach, FL. The housing project is designated for elderly and handicapped tenants who receive rent subsidies under the US Section 8 code. Credit Strengths Audited financial statements show that prior to 2007, the property's Debt Service Coverage Ratios were below 1.0x, but have recently increased to (2007) 1.03x, (2008) 1.09x, and (2009) 1.25x. Additionally, total revenues and Net Operating Income have increased approximately 11% and 23%, respectively, since 2007. Operating expenses during this time have only increased 4%. The current levels of debt service coverage and growth in revenue and NOI indicate improving financial performance. The property was at 100% physical occupancy as of April 7, 2010, and has had great historical success with maintaining a low vacancy rate. This factor is especially important for small housing developments such as this. Currently, studio and one-bedroom rents are 77% and 73% of fair market rents. Therefore, future increases in rental rates are possible with approval from HUD. Shep Davis' building and property are in excellent physical conditions, as seen by the most recent Real Estate Assessment Center score of 97b. Credit Weaknesses Although the past three fiscal years have shown signs of the property's financial improvement, only the DSCRs of the past two fiscal years were comparable to other Section 8 investment grade benchmarks. Years prior to 2007 showed signs of rapid financial deterioration and inconsistent levels of net operating income. As a result, it may be too soon to tell if the project will be able to maintain this type of elevated performance over the life of the bonds. The bonds do not amortize evenly, specifically during the last debt service payment in September 2012. At this time there is a bullet payment of $234,000 in principal that will deplete the Debt Service Reserve Fund, currently valued at $170,000, and a significant portion of other funds pledged to debt service. Since there is the risk that the additional pledged funds (ie: Reserve and Replacement) may be tapped for purposes other debt service, the remaining payments of principal and interest will be heavily dependent on NOI over the next few years. The property is contractually obligated to release excess funds from the Surplus Fund to the developer when the DSCR is above 1.15x (after remedying funds pledged to debt service). In 2009 the property's DSCR exceeded this level, and as a result, it will soon forfeit the excess money. Recent Developments In 2008, Shep Davis received a real estate tax rebate that it had appealed in the previous year. Moody's has adjusted this rebate in an effort to accurately report 2008's revenues and 2007's tax expenses. Outlook The outlook on the bonds has been revised to Stable from Negative as a result of the property's recent financial performance. Key Statistics -- 2009 Debt Service Coverage Ratio: 1.25x -- September 1, 2012 Principal Due: $234,000 -- Debt Service Reserve Fund: $170,000 -- April 7, 2010 Occupancy: 100% -- Rents are below fair market rents (Studio 77%, 1-BR 73%) -- Bond Maturity: 9/1/2012 The last rating action for this program was taken on March 5, 2008, when the rating was downgraded to Ba2 from A3 and the outlook was revised to Negative from Stable. COAST INVESTMENT: Moody's Downgrades Ratings on Class A to 'Caa3' ----------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the rating of one class of notes issued by Coast Investment Grade 2002-1, Limited. The notes affected by the rating action are: * $246,900,000 Class A Floating Rate Senior Secured Notes, Due 2017, Downgraded to Caa3; previously on 7/21/2009, Downgraded to Caa1 and Remained On Review for Possible Downgrade. Coast Investment Grade 2002-1, Limited is a collateralized debt obligation issuance originally backed by a portfolio primarily comprised of Collateralized Loan Obligations from 2004-2006 vintages. The rating downgrade action reflects deterioration in the credit quality of the underlying portfolio. Credit deterioration of the collateral pool is observed through several factors, including a decline in the average credit rating (as measured by an increase in the weighted average rating factor), an increase in assets rated Caa1 or below and a failure of principal and interest coverage tests. The ratings of approximately 27% of the underlying assets have been downgraded since Moody's last review of the transaction in July 2009. The WARF of the portfolio is currently 4264 compared to 3742 in July 2009. In this same period, the percent of performing securities rated Caa1 and below increased from approximately 43% to 52%. In addition, the trustee reports that all Overcollateralization Ratio Tests are currently failing. Moody's also notes that on April 1, 2009, as reported by the Trustee, an Event of Default occurred as described in Section 5.1 (d) of the Indenture dated May 30, 2002, due to a failure to satisfy the minimum Class A Overcollateralization Ratio. As provided in Article V 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 and the Notes, including the sale and liquidation of the assets. The severity of losses of certain tranches may be different depending on the timing and outcome of a liquidation. 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. COMM 2004-LNB4: S&P Downgrades Ratings on 10 2004-LNB4 Certs. ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 10 classes of commercial mortgage pass-through certificates from COMM 2004-LNB4, a commercial mortgage-backed securities transaction. S&P lowered seven of the ratings to 'D' and S&P lowered its ratings on three classes to 'CCC-'. The downgrades of the class N and O certificates to 'D' follow principal losses sustained by the classes as reported in the May 17, 2010, remittance report. The class N certificate reported a loss of 3.8% of its opening certificate balance ($3.1 million), and the class O certificate lost 100% of its $3.1 million opening balance. In addition, the class P certificate, which Standard & Poor's does not rate, lost 100% of its $1.5 million opening balance. The principal losses resulted from the liquidation of the Mercado Del Rancho asset that was with the special servicer, CWCapital Asset Management LLC. The asset consisted of a two-building, 71,200-sq.-ft. office property in Scottsdale, Ariz., and had a total exposure of $8.4 million. The asset was transferred to CWCapital in January 2009 due to imminent payment default. The trust incurred a $4.7 million realized loss when the asset was liquidated on April 13, 2010, which was reflected in the most recent remittance report. The downgrades of the class H, J, K, L, and M certificates to 'D' reflect recurring interest shortfalls primarily resulting from appraisal subordinate entitlement reductions related to eight assets that are currently with CWCapital. As of the May 17, 2010, remittance report, appraisal reduction amounts totaling $45.5 million were in effect for these eight assets. The total reported ASER amount for the May report was $270,461, and the reported cumulative ASER amount was $1.3 million. Standard & Poor's considered the eight ASERs ($270,461), all of which were based on MAI appraisals, as well as current special servicing fees, in determining its rating actions. Interest shortfalls have affected the class H, J, and K certificates for the past six months, the class L certificate for the past seven months, and class M certificate for the past right months. The total accumulated shortfalls across the five classes totaled $828,571 as of the May 17, 2010, remittance report. S&P expects these shortfalls to recur for the foreseeable future. As of the May 17, 2010, remittance report, the collateral pool consisted of 101 assets with an aggregate trust balance of $951.1 million, down from 118 assets totaling $1.22 billion at issuance. Nine assets, totaling $113.5 million (11.9%), are with the special servicer. The payment status of the delinquent assets is: two ($26.8 million, 2.8%) are real estate owned (REO), six ($67.5 million, 7.1%) are in foreclosure, and one ($19.3 million, 2.0%) is 30 days delinquent. To date, the trust has experienced principal losses on four loans totaling $18.2 million. Based on the May 17, 2010, remittance report, the weighted average loss for these loans was approximately 53.0%. Ratings Lowered COMM 2004-LNB4 Commercial mortgage pass-through certificates Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement (%) Current Accumulated ----- -- ---- ---------------------- ------- ----------- E CCC- B- 7.05 0 0 F CCC- CCC+ 5.45 0 0 G CCC- CCC 3.84 25,145 191,707 H D CCC 2.56 56,001 286,761 J D CCC- 2.08 17,511 105,065 K D CCC- 1.75 11,673 70,036 L D CCC- 1.11 23,349 158,022 M D CCC- 0.31 29,184 208,687 N D CCC- 0.00 11,673 94,797 O D CCC- 0.00 11,673 105,054 CORTS TRUST: Moody's Ups Ratings on US$25,000,200 Certs. From Ba1 ----------------------------------------------------------------- Moody's Investors Service announced that it has upgraded these certificates issued by CorTS Trust for Unum Notes: * US$25,000,200 7.5% Corporate-Backed Trust Securities Certificates; Upgraded to Baa3; Previously on May 19, 2004 Downgraded to Ba1 The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of the underlying securities which are the $27,778,000 6.75% Notes due December 15, 2028, issued by UNUM Corporation which were upgraded to Baa3 by Moody's on May 12, 2010. CORTS TRUST: Moody's Ups Ratings on 1,045,841 8.10% Certs. to Ba1 ----------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the rating of these certificates issued by CorTS Trust III for Provident Financing Trust I: * 1,045,841 8.10% Corporate-Backed Trust Securities Certificates; Upgraded to Ba1; Previously on May 19, 2004 Downgraded to Ba2 The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of the underlying securities which are the $28,600,000 7.405% Capital Securities issued by Provident Financing Trust I which were upgraded to Ba1 by Moody's on May 12, 2010. CORTS TRUST: Moody's Ups Ratings on 3,498,808 8.20% Certs. to Ba1 ----------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the rating of these certificates issued by CorTS Trust II for Provident Financing Trust I: * 3,498,808 8.20% Corporate-Backed Trust Securities Certificates; Upgraded to Ba1; Previously on May 19, 2004 Downgraded to Ba2 The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of the underlying securities which are the $96,861,000 7.405% Capital Securities issued by Provident Financing Trust I which were upgraded to Ba1 by Moody's on May 12, 2010. CORTS TRUST: Moody's Upgrades Ratings on .50% Certs. to 'Ba1' ------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the rating of these certificates issued by CorTS Trust for Provident Financing Trust I: * 2,090,823 8.50% Corporate-Backed Trust Securities Certificates; Upgraded to Ba1; Previously on May 19, 2004 Downgraded to Ba2 The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of the underlying securities which are the $60,000,000 7.405% Capital Securities issued by Provident Financing Trust I which were upgraded to Ba1 by Moody's on May 12, 2010. CLOVERIE NEW: Moody's Downgrades Ratings on Series 2006-009 Notes ----------------------------------------------------------------- Moody's Investors Service announced that it has downgraded its rating on notes issued by Cloverie New Mexico 2006-9, a collateralized debt obligation transaction referencing a static portfolio of corporate entities. The rating action is: Issuer: Cloverie New Mexico 2006-9 -- EUR19.5M Cloverie Certificates, Series 2006-009 Notes, Downgraded to Caa3; previously on Feb 25, 2009 Downgraded to Caa2 Moody's explained that the rating action taken is the result of the deterioration of the credit quality of the reference portfolio. The 10 year weighted average rating factor of the portfolio has deteriorated from 939 from the last rating action to 989, equivalent to an average rating of the current portfolio of Ba2. The reference portfolio includes an exposure to Ambac Assurance Corporation which has experienced a credit event in March. Since inception of the transaction , the subordination of the rated tranche has been reduced due to credit events on Lehman Brothers Inc., Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Tribune Corporation. These credit events lead to a decrease of approximately 2% of the subordination of the tranche. The portfolio has the highest industry concentrations in Insurance (12%), Telecommunications (12%), Banking (11%) and Utilities:Electric (8%). CREDIT SUISSE: Fitch Affirms Ratings on Series 2004-C2 Certs. ------------------------------------------------------------- Fitch Ratings affirms Credit Suisse First Boston Mortgage Securities Corp. Commercial Mortgage Pass-Through Certificates, Series 2004-C2, assigns Loss Severity Ratings, and revises Rating Outlooks as indicated: -- $73.8 million class A-1 at 'AAA/LS1'; Outlook Stable; -- $205.7 million class A-1-A at 'AAA/LS1'; Outlook Stable; -- $392.8 million class A-2 at 'AAA/LS1'; Outlook Stable; -- Interest-only classes A-X and A-SP at 'AAA'; Outlook Stable; -- $26.6 million class B at 'AA+/LS1'; Outlook Stable; -- $10.9 million class C at 'AA/LS1'; Outlook Stable; -- $20.5 million class D at 'A/LS1'; Outlook Stable; -- $9.7 million class E at 'A-/LS3'; Outlook Stable; -- $9.7 million class F at 'BBB+/LS3'; Outlook to Stable from Negative; -- $9.7 million class G at 'BBB/LS3'; Outlook to Stable from Negative; -- $10.9 million class H at 'BB+/LS3'; Outlook Negative; -- $6.0 million class J at 'BB-/LS4'; Outlook Negative; -- $3.6 million class K at 'B+/LS5'; Outlook Negative; -- $3.6 million class L at 'B-/LS5'; Outlook Negative; -- $2.4 million class N at 'CCC/RR1'; -- $1.2 million class O at 'CC/RR3'. Fitch does not rate the $6 million class M and the $11.3 million class P. The rating affirmations are the result of sufficient credit enhancement to offset losses following Fitch's prospective review of potential stresses and expected losses associated with specially serviced loans. Fitch expects losses of 1% of the remaining pool balance, approximately $8 million, from loans in special servicing and the loans that are not expected to refinance at maturity based on Fitch's refinance test. Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. As of the May 2010 distribution date, the transaction has paid down 16.8% to $804.5 million from $966.8 million at issuance. Fourteen loans, representing 17.7% of the pool are fully defeased. Two loans totaling 1% of the pool are currently specially serviced. The largest loan of concern (2.9%) is secured by a 360-unit multifamily complex in Fort Meyers, FL. The loan transferred to special servicing in early 2009 after the pervious operator did not have sufficient cash flow to fund debt service payments. The special servicer took control of the asset as permitted under the loan documents, and in July 2009, the loan was transferred back to the master servicer. Although the loan remains current, performance continues to be impacted by weakness in the local economy. The operator remains focused on aggressively marketing the property in an effort to attract more prospective tenants to the subject. The next loan of concern (1.6%) is secured by a 400-unit multifamily complex in Houston, TX. The loan is being monitored for delinquency, due to a history of late payments. In addition, the property's cash flow has declined since issuance as a result of impacts felt from the weak economy. The servicer continues to monitor the delinquency. The largest specially serviced loan (0.6%) is secured by a 92-unit multifamily complex in De Witt Township, MI. The loan transferred to special servicing in November 2009 for payment default. Foreclosure is being pursued while the servicer continues discussions with the borrower. Approximately 5% of the pool matures in 2011, 21.6% in 2013, and 54.4% in 2014. There are no loan maturities in 2010 or 2012. Fitch stressed the cash flow of the remaining loans by applying a 10% reduction to 2008 fiscal year end net operating income (15% decline for 2007 or 5% decline for 2009 net operating income when 2008 income was not available) and applying an adjusted market cap rate between 7.25% and 10.5% to determine value. Similar to Fitch's prospective analysis of recent vintage CMBS, each loan also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. Loans that could refinance to a debt service coverage ratio of 1.25 times or higher were considered to payoff at maturity. Under this scenario, 36 loans are not expected to payoff at maturity, with five loans incurring a loss when compared to Fitch's stressed value. CREDIT SUISSE: S&P Downgrades Rating on Class N 2002-CKN2 Certs. ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class N commercial mortgage pass-through certificates from Credit Suisse First Boston Mortgage Securities Corp.'s series 2002-CKN2, a commercial mortgage-backed securities transaction, to 'D' from 'CCC-' and removed it from CreditWatch with negative implications. The downgrade follows principal losses sustained by the class as reported in the May 17, 2010, remittance report. The class N certificate reported a loss of 31.3% of its opening certificate balance ($2.3 million). In addition, the class O certificate, which Standard & Poor's does not rate, has lost 100% of its $3.0 million opening balance. The principal losses resulted from the liquidation of the Fayette Promenade Shopping Center asset that was with the special servicer, C-III Asset Management LLC. The Fayette Promenade Shopping Center asset is a 31,512-sq.-ft. retail property in Fayetteville, Ga., and had a total exposure of $7.1 million. The asset was transferred to C-III on May 30, 2007, due to payment default. The trust incurred a $3.1 million realized loss when the asset was liquidated on April 21, 2010, and the loss was reflected in the most recent remittance report. Based on the May 2010 remittance report data, the loss severity for this loan was 80%. As of the May 17, 2010, remittance report, the collateral pool consisted of 185 assets with an aggregate trust balance of $754.8 million, down from 204 assets totaling $918.1 million at issuance. Eleven assets, totaling $32.8 million (4.4%), are with the special servicer. To date, the trust has experienced losses on eight loans totaling $16.5 million. Based on the May 2010 remittance report, the weighted average loss severity for these loans was approximately 48.0%. Standard & Poor's rates 15 additional classes from this transaction. S&P's ratings on 11 of the 15 classes are currently on CreditWatch with negative implications. Rating Lowered And Off Creditwatch Negative CSFB Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2002-CKN2 Rating ------ Class To From ----- -- ---- N D CCC-/Watch Neg DAVIS SQUARE: 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 Davis Square Funding IV Limited. The notes affected by the rating action are: -- US$387,000,000 Class A-1LT-a Floating Rate Notes Due 2040 (current balance of $308,837,709), Downgraded to Ca; previously on October 21, 2009 Downgraded to Caa2. -- US$950,000,000 Class A-1LT-b Floating Rate Notes Due 2040 (current balance of $758,128,743), Downgraded to Ca; previously on October 21, 2009 Downgraded to Caa2. Davis Square Funding IV Limited is a collateralized debt obligation issuance backed by a portfolio of primarily Residential Mortgage-Backed Securities originated between 2003 and 2007. According to Moody's, the rating downgrade actions are the result of deterioration in the credit quality of the underlying portfolio. 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. Moody's notes that the weighted average rating factor, as reported by the trustee, has increased from 634 in October 2009 to 707 in May 2010. The defaulted securities, as reported by the trustee, have increased from $213 million to $270 million in that period. Also, in May 2010, approximately $477 million of pre-2005 RMBS within the underlying portfolio were on review for possible downgrade as a result of Moody's updated loss projections. In addition, the Trustee reports that the transaction is currently failing its par coverage tests. Moody's notes that the transaction is negatively effected by a large pay-fixed, receive-floating interest rate swap where payments to the hedge counterparty absorb a large portion of the excess spread in the deal. Moody's explained that in arriving at the rating action noted above, the ratings of 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 pre-2005 vintage RMBS, Moody's considered the various factors indicating continued negative performance that were described in Moody's press releases dated April 8th for subprime, April 12th for Option-ARM and April 13 for Alt-A. Such seasoned deals will have varying stress based on RMBS asset type. For pre-2005 Alt-A, Aaa rated securities were stressed by four notches, Aa rated securities by six notches, and A or Baa rated securities by nine notches. Pre-2005 Option-ARM securities currently rated Aaa were stressed by two notches, Aa and A by six notches, and Baa by nine notches. For pre-2005 subprime, Aaa and Aa rated securities were stressed by two notches, A rated securities were stressed by six notches, and Baa rated securities were stressed by nine notches. All subprime, Alt-A and Option-ARM RMBS securities which originated prior to 2005, are currently rated Ba or below, and are also currently on review for possible downgrade have been stressed to Ca. 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 that are no longer on review for downgrade. 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. DEUTSCHE MORTGAGE: S&P Corrects Ratings on Class A-2 Certs. ----------------------------------------------------------- Standard & Poor's Ratings Services corrected its ratings on the class A-2 certificates from five resecuritized real estate mortgage investment conduit RMBS transactions issued by Deutsche Mortgage Securities Inc. Re-REMIC Trust in 2007 by lowering them to 'D'. The downgrades reflect S&P's assessment of principal write-downs the certificateholders for these classes sustained during recent remittance periods. The rating actions did not occur earlier due to a system error. First period of Issue name Class write-down ---------- ----- --------------- Deutsche Mortgage Securities Inc. Re-REMIC Trust Certificates Series 2007-RS3 A-2 January 2010 Deutsche Mortgage Securities Inc. Re-REMIC Trust Certificates Series 2007-RS4 A-2 March 2010 Deutsche Mortgage Securities Inc. Re-REMIC Trust Certificates Series 2007-RS5 A-2 February 2010 Deutsche Mortgage Securities Inc. Re-REMIC Trust Certificates Series 2007-RS6 A-2 February 2010 Deutsche Mortgage Securities Inc. Re-REMIC Trust Certificates Series 2007-RS7 A-2 February 2010 S&P lowered all of the affected ratings from the 'AAA' rating category. Rating Actions Deutsche Mortgage Securities Inc. Re-REMIC Trust Certificates, Series 2007-RS5 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 25157RAB4 D AAA Deutsche Mortgage Securities Inc. Re-REMIC Trust Certificates Series 2007-RS7 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 25157NAB3 D AAA Deutsche Mortgage Securities Inc. Re-REMIC Trust Certificates, Series 2007-RS3 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 25156VAB6 D AAA Deutsche Mortgage Securities Inc. Re-REMIC Trust Certificates, Series 2007-RS6 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 25157QAB6 D AAA Deutsche Mortgage Securities Inc. Re-REMIC Trust Certificates, Series 2007-RS4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 25157PAB8 D AAA DEUTSCHE MORTGAGE: S&P Downgrades Ratings on Six 2008-RS1 Certs. ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on six classes of certificates from Deutsche Mortgage Securities Inc. REMIC Trust Certificates Series 2008-RS1 and removed them from CreditWatch with negative implications. At the same time, S&P affirmed its 'AAA' ratings on classes 2-A-1 and 2-A-X and removed them from CreditWatch with negative implications. S&P initially rated certificates from loan groups 2, 3, and 4 out of the four group structures within DMS 2008-RS1. The downgrades reflect the significant deterioration in performance of the loans backing the underlying certificates. Because guarantees from Fannie Mae support the underlying assets backing classes 2-A-1 and 2-A-X, the performance deterioration is severe. However, S&P believes credit enhancement is sufficient to maintain the ratings on these classes. S&P lowered the ratings on classes 3-A-2 and 3-A-3 to 'D' from 'AAA' and removed them from CreditWatch negative. The 'D' ratings reflect the occurrence of realized losses during recent remittance periods. These losses were passed through from one of the underlying certificates (class II-2-A1 from Bear Stearns Alt-A Trust 2006-4) that incurred recent losses. DMS 2008-RS1, which closed in February 2008, is a residential mortgage-backed securities resecuritized real estate mortgage investment conduit transaction, collateralized by four underlying classes that support four independent groups within the re-REMIC. On the closing date, S&P rated certificates for groups 2, 3, and 4 within the DMS 2008-RS1. The loans securing the three underlying classes supporting these groups, which are included in three different trusts, consist predominantly of fixed-rate and long- reset adjustable-rate Alternative-A mortgage loans. The 3-A-1, 3-A-2, and 3-A-3 classes from DMS 2008-RS1 are supported by the II-2A-1 class from Bear Stearns ALT-A Trust 2006- 4 (currently rated 'D'). The performance of the loans securing the II-2A-1 certificate from Bear Stearns ALT-A Trust 2006-4 has declined precipitously in recent months to the point that the II- 2A-1 certificate has incurred a principal loss. The losses that passed through from this underlying class caused classes 3-A-2 and 3-A-3 from DMS 2008-RS1 to default. This pool had experienced losses of 13.96% as of the April 2010 distribution, and currently has approximately 27.42% in delinquent loans. Based on the losses to date, the current pool factor of 0.4069 (40.69%), which represents the outstanding pool balance as a proportion of the original balance, and the dollar amount of loans in the transaction that are currently delinquent, in foreclosure, or whose underlying properties are in REO, as well as S&P's projection of future defaults, S&P's current projected loss for this pool is 29.73%, which exceeds the level of credit enhancement available to cover losses to the 3-A-1 class. The 4-A-1, 4-A-2, and 4-A-3 classes from DMS 2008-RS1 are supported by the 3-A-1 class from IndyMac INDX Mortgage Loan Trust 2007-AR5 (currently rated 'CC'). The performance of the loans securing this trust has declined precipitously in recent months. This pool had experienced losses of 10.32% as of the April 2010 distribution, and currently has approximately 14.15% in delinquent loans. Based on the losses to date, the current pool factor of 0.6665 (66.65%), and the dollar amount of loans in the transaction that are currently delinquent, in foreclosure, or whose underlying properties are in REO, as well as S&P's projection of future defaults, S&P's current projected loss for this pool is 20.54%, which exceeds the level of credit enhancement available to cover losses to the 4-A-1, 4-A-2, and 4-A-3 classes. Over the past two years, S&P has revised its RMBS default and loss assumptions, and consequently its projected losses, to reflect the continuing decline in mortgage loan performance. The performance deterioration of most U.S. RMBS has continued to outpace the market's expectation. Rating Actions Deutsche Mortgage Securities Inc. REMIC Trust Certificates Series 2008-RS1 Rating ------ Class CUSIP To From ----- ----- -- ---- 2-A-1 25156BAE4 AAA AAA/Watch Neg 2-A-X 25156BAF1 AAA AAA/Watch Neg 3-A-1 25156BAG9 CCC AAA/Watch Neg 3-A-2 25156BAH7 D AAA/Watch Neg 3-A-3 25156BAJ3 D AAA/Watch Neg 4-A-1 25156BAL8 CCC AAA/Watch Neg 4-A-2 25156BAM6 CC AAA/Watch Neg 4-A-3 25156BAN4 CC AAA/Watch Neg DLJ COMMERCIAL: Fitch Affirms Ratings on 1998-CG1 Certificates -------------------------------------------------------------- Fitch Ratings has affirmed and assigned Rating Outlooks and Loss Severity ratings to DLJ Commercial Mortgage Corp.'s commercial mortgage pass-through certificates, series 1998-CG1. The affirmations are the result of sufficient credit enhancement to the remaining Fitch rated classes following Fitch's prospective review of potential stressed and expected losses associated with specially serviced assets. Fitch expects losses of 4.6%, or $8.5 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 unrated class NR. As of the April 2010 distribution date, the pool's certificate balance has paid down 88.1% to $186.5 million from $1.564 billion at issuance. Of the remaining 46 loans, eight (37.7%) have defeased. There are five specially serviced loans in the pool (8.7%), two are 60 days delinquent and three are 90+ days delinquent. The largest specially serviced asset (2%) is a 160 unit limited service hotel located in Tallahassee, FL. The loan transferred in September 2008 due to monetary default. As a result of the current market, the property has experienced significant performance decline. A receiver was appointed and listed the property for sale. The receiver has chosen a buyer to work with, and a purchase agreement is being prepared. The other specially serviced asset (2%) is a 168 unit garden-style apartment in Savannah, GA. The loan transferred to special servicing in April 2010 and is over 60 days delinquent. As of YE 2010, the property was 83% occupied with a 1.39 times NOI (net operating income) DSCR (debt-service coverage ratio). Fitch stressed the cash flow of the remaining non defeased loans by applying a 10% reduction to 2008 fiscal year end net operating income and applying an adjusted market cap rate between 7.25% and 10% to determine value. Similar to Fitch's prospective analysis of recent vintage CMBS, each loan also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. Loans that could refinance to a DSCR of 1.25x or higher were considered to pay off at maturity. Of the non- defeased or non-specially serviced loans, two loans (3.1% of the pool) incurred a loss when compared to Fitch's stressed value. Fitch has affirmed, assigned Outlooks and LS ratings to these classes: -- Interest-only class S at 'AAA'; Outlook Stable; -- $11 million class B-1 at 'AAA/LS3'; Outlook Stable; -- $23.4 million class B-2 at 'AAA/LS3'; Outlook Stable; -- $15.6 million class B-3 at 'AAA/LS3'; Outlook Stable; -- $66.5 million class B-4 at 'AAA/LS3'; Outlook Stable; -- $15.6 million class B-5 at 'AA/LS3'; Outlook Stable; -- $27.4 million class B-6 at 'BBB-/LS3'; Outlook Negative; -- $15.6 million class B-7 at 'B-/LS3'; Outlook Negative. Fitch does not rate the $11.2 million NR class. Classes A-1A, A- 1B, A-1C, A-2, A-3, and A-4 have paid in full. DLJ COMMERCIAL: Fitch Takes Rating Actions on 1999-CG1 Certs. ------------------------------------------------------------- Fitch Ratings takes various rating actions to DLJ Commercial Mortgage Corp., series 1999-CG1: Fitch downgrades this class and assigns RR ratings as indicated: -- $12.4 million class B-6 to 'CC/RR1' from 'B+'; -- $12.4 million class B-7 to 'C/RR4' from 'CCC/RR1'. Fitch downgrades this class as indicated: -- $2 million class B-8 to 'D' from 'C/RR6'. Fitch affirms this class and assigns LS ratings as indicated: -- $21.7 million class B-4 at 'A-/LS5'; Outlook Stable; -- Interest-Only class S at 'AAA'; Outlook Stable. Fitch affirms this class, assigns LS rating, and revises Outlook as indicated: -- $9.3 million class B-5 at 'BBB-/LS5'; Outlook revised to Stable from Negative. Fitch upgrades this class and assigns LS rating as indicated: -- $13.6 million B-3 at 'AAA/LS5'; Outlook Stable. Classes A-1A, A-1B, A-2, A-3, A-4, B-1, and B-2 are paid in full. Fitch does not rate class C. The rating actions are due to Fitch expected losses (13.5% of the current deal balance) upon the disposition of specially serviced assets along with expected losses from Fitch's prospective review of potential stresses. Rating Outlooks reflect the likely direction of any changes to the ratings over the next one to two years. There are 19 of the original 278 loans remaining in the transaction, three of which have defeased (1.9% of the current transaction balance). There are 11 specially serviced loans of which, two are non-performing matured, one is real estate owned, three are in foreclosure, and five are current. 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. One loan did not payoff at maturity and one loan incurred a loss when compared to Fitch's stressed value. DLJ COMMERCIAL: Fitch Upgrades Ratings on 1998-CF1 Certs. --------------------------------------------------------- Fitch Ratings upgrades and assigns Loss Severity ratings to DLJ Commercial Mortgage Corp.'s commercial mortgage pass-through certificates, series 1998-CF1: -- $27.1 million class B-4 to 'AAA/LS2' from 'AA+'; Outlook Stable; In addition, Fitch affirms these classes, revises Outlooks and assigns LS ratings as indicated: -- Interest-Only class S at 'AAA'; Outlook Stable; -- $1.6 million class B-3 at 'AAA/LS1'; Outlook Stable; -- $6.3 million class B-7 at 'B-/LS3' from 'BBB-'; Outlook Negative. Fitch does not rate the $15 million class B-5, $15 million class B-6 or $5.6 million class C certificates. Classes A-1A, A-1B, A- 2, A-3, C-P, and B-1, and B-2 are paid in full. The upgrade is due to significant paydown resulting in increased credit enhancement to the remaining bonds. Fitch expected losses following Fitch's prospective review of potential stresses and expected losses associated with specially serviced assets are 4.3% of the remaining pool balance, approximately $3 million. As of the May 2010 distribution date, the pool's collateral balance has paid down 91.6% to $70.7 million from $838.8 million at issuance. Three of the remaining loans have defeased (11.7%). As of March 2010, there is one specially serviced loan secured by a 70,325 square foot retail property in St. Louis, MO. The loan transferred to the special servicer on Nov. 17, 2009 due to imminent default. The property is currently 70% occupied and the anchor tenant renewed their lease at a 50% reduction to the previous rent. The special servicer is pursuing foreclosure. Receiver has been appointed and the foreclosure is anticipated for July 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 7.25% and 10.5% to determine value. Similar to Fitch's prospective analysis of recent vintage CMBS, each loan also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. Loans that could refinance to a debt service coverage ratio of 1.25 times or higher were considered to payoff at maturity. EMAC OWNER: Fitch Takes Various Rating Actions on Various Classes ----------------------------------------------------------------- Fitch Ratings takes various rating actions on these classes of EMAC Owner Trust Note Pool Certificates: Series 1998-1 -- Class IO remains at 'CC'; -- Class A-3 revised to 'CC/RR3' from 'CC/RR1'; -- Classes B, C, D, E, and PI affirmed at 'D/RR6'. Series 1999-1 -- Class IO affirmed at 'CC'; -- Class A-1 revised to 'D/RR6' from 'D/RR2'; -- Class A-2 revised to 'D/RR4' from 'D/RR3'; -- Classes B, C, D, E, F, and G affirmed at 'D/RR6'. Series 2000-1 -- Class IO downgraded to 'CC' from 'CCC'; -- Classes A-1 and A-2 affirmed at 'D/RR2'; -- Classes B, C, D, E, and F affirmed at 'D/RR6'. Based on Fitch's analysis, potential recoveries for the Class A-3 notes in 1998-1 and the Class A-1 and A-2 notes in 1999-1 have decreased, resulting in RR rating revisions. The RR differential between the class A-1 and A-2 notes in 1999-1 is a result of the class A-1 notes no longer having an outstanding balance due to both principal payments received and writedowns incurred, while the class A-2 notes are expected to receive future interest and principal payments. In the 2000-1 transaction, default is probable for the Class IO notes. As such, they have been downgraded to 'CC'. In addition, classes that have incurred principal writedowns have been affirmed at 'D', consistent with Fitch's rating definitions. In reviewing the transactions, Fitch took into account analytical considerations outlined in Fitch's 'Global Structured Finance Rating Criteria,' dated Sept. 30, 2009, including asset quality, credit enhancement, financial structure, legal structure, and originator and servicer quality. Fitch's analysis first incorporated anticipated losses on currently defaulted collateral, if any, given Fitch's recovery expectations. Fitch's recovery expectations are based on historical collateral-specific recoveries experienced in the franchise asset backed securities sector since 1994. The resulting anticipated collateral losses were then applied to the transaction structure, enabling Fitch to assess the impact of the expected losses on the securities and available credit enhancement. Next, to assess the structure's ability to withstand additional loan defaults, Fitch assumed additional borrowers would default based on their current fixed charged coverage ratios. Under specific scenarios for each rating category, borrowers with an FCCR below a defined level were assumed to default and realize a loss in the near future. If a class was able to withstand the assumed defaults without incurring a loss, it was considered to have passed that particular scenario. These FCCR 'hurdles' for the respective scenarios ranged from 1.0 times for the 'B' case to 2.0x for the 'AAA' case. FCCR default levels were based on an analysis of historical franchise loan obligor FCCR data from 2005- 2009 and particularly focused on the level of borrower deterioration that occurred in the most recent economic downturn. Additionally, to review possible concentration risks within the pool, Fitch evaluated the impact of the default of the largest performing obligors. Similar to the analysis detailed above, Fitch applied loss and recovery expectations to the performing obligors based on collateral type and historical recovery performance. The expected loss assumption was then compared to the credit support available to the outstanding notes given Fitch's expected losses on the currently defaulted loans, if any. Consistent with the obligor approach detailed in 'Rating US Equipment Lease and Loan Securitizations,' dated June 16, 2008, Fitch applied losses from the largest performing obligors commensurate with the individual rating category. The number of obligors ranges from 1.5 at 'BB' up to 5-6 at 'AAA'. Fitch will continue to closely monitor these transactions and may take additional rating actions in the event of changes in performance and credit enhancement measures. FIRST INTERNATIONAL: Fitch Takes Rating Actions on Various Classes ------------------------------------------------------------------ Fitch Ratings has taken these rating actions, including assigning Recovery Ratings as indicated, on the First International Bank small business loan asset-backed securities transactions listed below: FIB Business Loan Trust, Series 2000-A -- Class A downgraded to 'C/RR3' from 'B-'; -- Class M-1 affirmed at 'C/RR6'; -- Class M-2 affirmed at 'C/RR6'; -- Class B affirmed at 'C/RR6'. FIB SBA Loan Trust, Series 2000-1 -- Class A downgraded to 'C/RR5' from 'CC/RR4'; -- Class M affirmed at 'C/RR6'. The downgrades reflect continued deterioration within the collateral pools for both outstanding series. In particular, the 2000-A series recently experienced a loss which led to an undercollateralized position for the class A note. The 2000-1 series remains significantly undercollateralized with minimal recovery expectations for the pool. As delinquencies and losses continue to roll through the trusts, Fitch anticipates available credit support to further decline for the outstanding notes. As of the April 2010 reporting period, cumulative net losses were 23.21% and 31.93% for the 2000-A and 2000-1 series, respectively. As a result of continued deterioration in performance, Fitch's recovery expectations for the distressed notes have changed, leading to an affirmation of long-term ratings on the subordinate notes for both series, and revisions, if applicable, to the Recovery Ratings. For additional detail, please refer to Fitch's 'Criteria for Structured Finance Recovery Ratings', dated Aug. 17, 2009. In reviewing the transactions, Fitch took into account analytical considerations outlined in "Fitch's Global Structured Finance Rating Criteria", issued Sept. 30, 2009, including asset quality, credit enhancement, financial structure, legal structure, and originator and servicer quality. Fitch's analysis incorporated a review of collateral characteristics, in particular, focusing on delinquent and defaulted loans within the pool. All loans over 60 days delinquent were deemed defaulted loans. The defaulted loans were applied loss and recovery expectations based on collateral type and historical recovery performance to establish an expected net loss assumption for the transaction. Fitch stressed the cashflow generated by the underlying assets by applying its expected net loss assumption. Furthermore, Fitch applied a loss multiplier to evaluate break-even cash flow runs to determine the level of expected cumulative losses the structure can withstand at a given rating level. The loss multiplier scale utilized is consistent with that of other commercial asset backed security transactions. Additionally, to review possible concentration risks within the pool, Fitch evaluated the impact of the default of the largest performing obligors. Similar to the analysis detailed above, Fitch applied loss and recovery expectations to the performing obligors based on collateral type and historical recovery performance. The expected loss assumption was then compared to the credit support available to the outstanding notes given Fitch's expected losses on the currently defaulted loans. Consistent with the obligor approach detailed in "Rating US Equipment Lease and Loan Securitizations," dated June 16, 2008, Fitch applied losses from the largest performing obligors commensurate with the individual rating category. The number of obligors ranges from 5-6 for 'AAA' to 1.5 for 'BB'. Fitch will continue to closely monitor these transactions and may take additional rating action in the event of changes in performance and credit enhancement measures. GE CAPITAL: Fitch Downgrades Ratings on Four Classes of Notes ------------------------------------------------------------- Fitch Ratings downgrades and assigns Rating Outlooks, Loss Severity and Recovery Ratings to GE Capital Commercial Mortgage Corp. Series 2002-1 as indicated: -- $6.5 million class L to 'BB/LS5' from 'BBB-'; Outlook Negative; -- $7.8 million class M to 'B/LS4' from 'BB'; Outlook Negative. -- $10.4 million class N to 'CCC/RR1' from 'B'; -- $5.2 million class O to 'C/RR3' from 'B-'. In addition, Fitch affirms these classes and assigns Outlooks and LS ratings as indicated: -- $88.1 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $595.3 million class A-3 at 'AAA/LS1'; Outlook Stable; -- Interest-only class X-1 at 'AAA'; Outlook Stable; -- $36.4 million class B at 'AAA/LS3'; Outlook Stable; -- $22.1 million class C at 'AAA/LS3'; Outlook Stable; -- $16.9 million class D at 'AAA/LS3'; Outlook Stable; -- $10.4 million class E at 'AAA/LS4'; Outlook Stable; -- $13.0 million class F at 'AAA/LS4'; Outlook Stable; -- $18.2 million class G at 'AA/LS3'; Outlook Stable; -- $10.4 million class H at 'A+/LS4'; Outlook Stable; -- $18.2 million class J at 'A-/LS3'; Outlook Stable; -- $16.9 million class K at 'BBB/LS3'; Outlook Negative. Class A-1 and X-2's notional have been paid in full. Fitch does not rate the $14.4 million class P certificates. The downgrades are due to an increase in Fitch expected losses following Fitch's prospective review of potential stresses and expected losses associated with specially serviced assets. Fitch expects losses of 1.71% of the remaining pool balance, approximately $13.8 million, from the loans in special servicing and the loans that are not expected to refinance at maturity based on Fitch's refinance test. As of the March 2010 distribution date, the pool's collateral balance has paid down 22.51% to $804.8 million from $1,038.6 million at issuance. Twenty-eight of the remaining loans have defeased (27.35). As of March 2010, there are three specially serviced loans (4.9%). The largest specially serviced loan, 38 Chauncy Street (2.5%), is secured by a 130,142 square foot office building located in Boston, MA. The loan transferred to special servicing in April 2010 due to imminent default. The special servicer is in negotiations with the borrower regarding a loan modification that would require the borrower to contribute additional equity. Fitch expects that the loan will not default during the term; however, upon maturity a loss of 5% is estimated based on the base case stress. The second largest specially serviced loan, Highland Greens Apt (2.1%), is secured by a 415-unit multifamily property located in Lithonia, GA. The loan transferred to special servicing in November 2009 due to monetary default and is currently real estate owned. The special servicer is working to stabilize the property, whose current occupancy is 88%, and is not marketing the property for sale. A recent appraisal valuation indicates that losses are likely upon the resolution of this asset. The third largest specially serviced loan, Park Colony Apartments (0.2%), is secured by a 86-unit multifamily property located in Houston, TX. The loan transferred to the special servicer in March 2010 due to monetary default and is currently in foreclosure. An updated appraisal valuation indicates that losses are likely upon the resolution of the asset. 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. Under this scenario, 16 loans are not expected to pay off at maturity with six loans incurring a loss when compared to Fitch's stressed value. GLACIER FUNDING: Moody's Downgrades Ratings on Four Classes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of four classes of notes issued by Glacier Funding CDO II, Ltd. The notes affected by the rating action are: -- US$100,000 Class A-1 First Priority Voting Senior Secured Floating Rate Notes due 2042 (current balance of $30,324), Downgraded to Caa1; previously on April 22, 2009 Confirmed at B1; -- US$324,900,000 Class A-1 First Priority Non-Voting Senior Secured Floating Rate Notes due 2042 (current balance of $98,521,349), Downgraded to Caa1; previously on April 22, 2009 Confirmed at B1; -- US$70,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2042, Downgraded to C; previously on April 22, 2009 Confirmed at Caa3; -- US$65,750,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2042, Downgraded to C; previously on April 22, 2009 Confirmed at Ca. Glacier Funding CDO II, Ltd., is a collateralized debt obligation issuance backed by a portfolio of primarily Residential Mortgage- Backed Securities and Commercial Mortgage-Backed Securities 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 an increase in the dollar amount of defaulted securities and failure of the coverage tests. The defaulted securities, as reported by the trustee, have increased from $38 million in March 2009 to $45 million in May 2010. During the same time, the Class A/B coverage ratio decreased from 77.63% to 62.67%. 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. GLOBAL FRANCHISE: Fitch Takes Rating Actions on 1998-1 Notes ------------------------------------------------------------ Fitch Ratings has affirmed, downgraded and assigned a Rating Outlook to classes in Global Franchise Trust 1998-1: -- Class A-X at 'BB+'; -- Class A-2 at 'BB+'; Outlook Stable; -- Class A-3 to 'CCC/RR2' from 'BB'; -- Class B to 'C/RR4' from 'CCC/RR2'; -- Class C at 'C/RR6'; -- Classes D and E at 'D/RR6'. The affirmation of and Stable Outlook assignment to the class A-2 notes reflects the class's ability to pass Fitch's 'BB+' stress case. The downgrade to the class A-3 notes reflects the class's inability to receive full principal and interest under Fitch's 'B' stress scenario. Furthermore, the class A-3, B, C, D, and E notes are experiencing accumulating interest shortfalls. As these shortfalls continue to grow, it becomes less likely they will be able to be repaid from monthly collections. In reviewing the transactions, Fitch took into account analytical considerations outlined in Fitch's 'Global Structured Finance Rating Criteria,' dated Sept. 30, 2009, including asset quality, credit enhancement, financial structure, legal structure, and originator and servicer quality. Fitch's analysis first incorporated anticipated losses on currently defaulted collateral, if any, given Fitch's recovery expectations. Fitch's recovery expectations are based on historical collateral-specific recoveries experienced in the franchise asset backed securities (ABS) sector since 1994. The resulting anticipated collateral losses were then applied to the transaction structure, enabling Fitch to assess the impact of the expected losses on the securities and available credit enhancement. Next, to assess the structure's ability to withstand additional loan defaults, Fitch assumed additional borrowers would default based on their current fixed charged coverage ratios. Under specific scenarios for each rating category, borrowers with an FCCR below a defined level were assumed to default and realize a loss in the near future. If a class was able to withstand the assumed defaults without incurring a loss, it was considered to have passed that particular scenario. These FCCR 'hurdles' for the respective scenarios ranged from 1.0 times for the 'B' case to 2.0x for the 'AAA' case. FCCR default levels were based on an analysis of historical franchise loan obligor FCCR data from 2005- 2009 and particularly focused on the level of borrower deterioration that occurred in the most recent economic downturn. Additionally, to review possible concentration risks within the pool, Fitch evaluated the impact of the default of the largest performing obligors. Similar to the analysis detailed above, Fitch applied loss and recovery expectations to the performing obligors based on collateral type and historical recovery performance. The expected loss assumption was then compared to the credit support available to the outstanding notes given Fitch's expected losses on the currently defaulted loans, if any. Consistent with the obligor approach detailed in 'Rating US Equipment Lease and Loan Securitizations,' dated June 16, 2008, Fitch applied losses from the largest performing obligors commensurate with the individual rating category. The number of obligors ranges from 1.5 at 'BB' up to 5-6 at 'AAA'. Fitch will continue to closely monitor these transactions and may take additional rating actions in the event of changes in performance and credit enhancement measures. GMACM HOME: Moody's Downgrades Ratings on 29 Tranches ----------------------------------------------------- Moody's Investors Service has downgraded the ratings of 29 tranches and confirmed the ratings of 32 tranches from 27 RMBS transactions issued by GMACM. The collateral backing these deal primarily consists of closed-end second mortgages and home equity line of credit securitizations. The actions are a result of the continued performance deterioration in second lien pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on second lien pools. Certain tranches included in this action, noted below, are 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 earlier. Certain other tranches included in this action, noted below, are wrapped by Financial Guaranty Insurance Company. Moody's withdrew the insurance financial strength rating of FGIC in March 2009. As a result securities wrapped by FGIC are rated at their underlying rating without consideration of FGIC's guaranty. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. Complete rating actions are: Issuer: GMACM Home Equity Loan Trust 2000-HE2 -- Variable Funding Notes, Confirmed at B3; previously on Mar 18, 2010 B3 Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) Issuer: GMACM Home Equity Loan Trust 2000-HE4, GMACM Home Equity Loan-Backed Term Notes, Series 2000-HE4 -- Variable Funding Notes, Confirmed at B3; previously on Mar 18, 2010 B3 Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) Issuer: GMACM Home Equity Loan Trust 2001-HE3 -- Cl. A-1, Downgraded to Caa1; previously on Mar 18, 2010 Baa2 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa1; previously on Mar 18, 2010 Baa2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. A-2, Downgraded to B3; previously on Mar 18, 2010 Baa3 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B3; previously on Mar 18, 2010 Baa3 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) Issuer: GMACM Home Equity Loan Trust 2002-HE3 -- Cl. VPRN, Confirmed at B2; previously on Mar 18, 2010 B2 Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) Issuer: GMACM Home Equity Loan Trust 2002-HE4 -- Cl. A-2, Downgraded to B1; previously on Mar 18, 2010 Baa1 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B1; previously on Mar 18, 2010 Baa1 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) Issuer: GMACM Home Equity Loan Trust 2003-HE1 -- Cl. A-3, Confirmed at B3; previously on Mar 18, 2010 B3 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at B3; previously on Mar 18, 2010 B3 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) Issuer: GMACM Home Equity Loan Trust 2003-HE2 -- Cl. A-4, Downgraded to B1; previously on Mar 18, 2010 A2 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B1; previously on Mar 18, 2010 A2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. A-5, Downgraded to B1; previously on Mar 18, 2010 A2 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B1; previously on Mar 18, 2010 A2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) Issuer: GMACM Home Equity Loan Trust 2004-HE1 -- Cl. A-3, Confirmed at Caa1; previously on Mar 18, 2010 Caa1 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at Caa1; previously on Mar 18, 2010 Caa1 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. VPRN, Confirmed at Caa1; previously on Mar 18, 2010 Caa1 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at Caa1; previously on Mar 18, 2010 Caa1 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) Issuer: GMACM Home Equity Loan Trust 2004-HE2 -- Cl. A-4, Downgraded to Baa2; previously on Mar 18, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba3; previously on Mar 18, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Confirmed at B2; previously on Mar 18, 2010 B2 Placed Under Review for Possible Downgrade Issuer: GMACM Home Equity Loan Trust 2004-HE5 -- Cl. A-5, Confirmed at B2; previously on Mar 18, 2010 B2 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at B2; previously on Mar 18, 2010 B2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. A-6, Confirmed at B2; previously on Mar 18, 2010 B2 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at B2; previously on Mar 18, 2010 B2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) Issuer: GMACM Home Equity Loan Trust 2005-HE1 -- Cl. A-2, Confirmed at Caa2; previously on Mar 18, 2010 Caa2 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at Caa2; previously on Mar 18, 2010 Caa2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. A-3, Confirmed at Caa2; previously on Mar 18, 2010 Caa2 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at Caa2; previously on Mar 18, 2010 Caa2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. A-1 VPRN, Confirmed at Caa2; previously on Mar 18, 2010 Caa2 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at Caa2; previously on Mar 18, 2010 Caa2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. A-3VPRN, Downgraded to Caa2; previously on Mar 18, 2010 Baa3 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa2; previously on Mar 18, 2010 Baa3 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) Issuer: GMACM Home Equity Loan Trust 2005-HE2 -- Cl. A-4, Downgraded to Caa1; previously on Mar 18, 2010 B2 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa1; previously on Mar 18, 2010 B2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. A-5, Confirmed at Caa2; previously on Mar 18, 2010 Caa2 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at Caa2; previously on Mar 18, 2010 Caa2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. A-6, Confirmed at Caa2; previously on Mar 18, 2010 Caa2 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at Caa2; previously on Mar 18, 2010 Caa2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) Issuer: GMACM Home Equity Loan Trust 2005-HE3 -- Cl. A-2, Confirmed at Ca; previously on Apr 16, 2010 Downgraded to Ca and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-3, Confirmed at Ca; previously on Apr 16, 2010 Downgraded to Ca and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-1VPRN, Confirmed at Ca; previously on Apr 16, 2010 Downgraded to Ca and Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-3VPRN, Downgraded to Ca; previously on Mar 18, 2010 Ba2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: GMACM Home Equity Loan Trust 2006-HE1 -- Cl. A, Confirmed at Caa2; previously on Mar 18, 2010 Caa2 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at Caa2; previously on Mar 18, 2010 Caa2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) Issuer: GMACM Home Equity Loan Trust 2006-HE2 -- Cl. A-2, Confirmed at B3; previously on Mar 18, 2010 B3 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at B3; previously on Mar 18, 2010 B3 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. A-3, Downgraded to Caa2; previously on Mar 18, 2010 Caa1 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa2; previously on Mar 18, 2010 Caa1 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. A-4, Confirmed at Ca; previously on Mar 18, 2010 Ca Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at Ca; previously on Mar 18, 2010 Ca Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) Issuer: GMACM Home Equity Loan Trust 2006-HE3 -- Cl. A-2, Downgraded to Caa3; previously on Mar 18, 2010 B3 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa3; previously on Mar 18, 2010 B3 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. A-3, Confirmed at Caa3; previously on Mar 18, 2010 Caa3 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at Caa3; previously on Mar 18, 2010 Caa3 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. A-4, Confirmed at Caa3; previously on Mar 18, 2010 Caa3 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at Caa3; previously on Mar 18, 2010 Caa3 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. A-5, Downgraded to Caa3; previously on Mar 18, 2010 Caa2 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa3; previously on Mar 18, 2010 Caa2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) Issuer: GMACM Home Equity Loan Trust 2006-HE5 -- Cl. I-A-1, Downgraded to B3; previously on Mar 18, 2010 Ba3 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B3; previously on Mar 18, 2010 Ba3 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. II-A-2, Downgraded to Caa1; previously on Mar 18, 2010 B1 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa1; previously on Mar 18, 2010 B1 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) Issuer: GMACM Home Equity Loan Trust 2007-HE2 -- Cl. A-1, Downgraded to Caa3; previously on Mar 18, 2010 B3 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa3; previously on Mar 18, 2010 B3 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. A-2, Confirmed at Caa3; previously on Mar 18, 2010 Caa3 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at Caa3; previously on Mar 18, 2010 Caa3 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. A-3, Confirmed at Caa3; previously on Mar 18, 2010 Caa3 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at Caa3; previously on Mar 18, 2010 Caa3 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. A-4, Confirmed at Caa3; previously on Mar 18, 2010 Caa3 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at Caa3; previously on Mar 18, 2010 Caa3 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. A-5, Confirmed at Caa3; previously on Mar 18, 2010 Caa3 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at Caa3; previously on Mar 18, 2010 Caa3 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. A-6, Downgraded to Caa3; previously on Mar 18, 2010 Caa2 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa3; previously on Mar 18, 2010 Caa2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) Issuer: GMACM Home Equity Loan Trust 2007-HE3 -- Cl. I-A-1, Confirmed at B2; previously on Mar 18, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. I-A-2, Confirmed at Caa3; previously on Mar 18, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa2; previously on Mar 18, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Ca; previously on Mar 18, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: GMACM Home Equity Loan Trust Series 2002-HE1 -- Cl. A1, Confirmed at B3; previously on Mar 18, 2010 B3 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at B3; previously on Mar 18, 2010 B3 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- CL. A-2, Confirmed at B3; previously on Mar 18, 2010 B3 Placed Under Review for Possible Downgrade -- Underlying Rating: Confirmed at B3; previously on Mar 18, 2010 B3 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) Issuer: GMACM Home Equity Loan-Backed Term Notes, Series 2001-HE2 -- Cl. I-A-1, Downgraded to B3; previously on Mar 18, 2010 Ba2 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B3; previously on Mar 18, 2010 Ba2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. I-A-2, Downgraded to Caa2; previously on Mar 18, 2010 B1 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa2; previously on Mar 18, 2010 B1 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. II-A-7, Downgraded to B1; previously on Mar 18, 2010 Baa3 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B1; previously on Mar 18, 2010 Baa3 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) Issuer: GMACM Home Equity Notes 2004 Variable Funding Trust Notes -- Revolving Facility, Downgraded to Baa2; previously on Mar 18, 2010 Baa1 Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on June 25, 2009) Issuer: GMACM Home Loan Trust 2001-HLTV1 -- Cl. A-I-7, Downgraded to Ba3; previously on Mar 18, 2010 Baa2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: GMACM Home Loan Trust 2001-HLTV2 -- Cl. A-I, Confirmed at Caa2; previously on Apr 16, 2010 Caa2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-II, Confirmed at Caa2; previously on Apr 16, 2010 Caa2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: GMACM Home Loan Trust 2002-HLTV1 -- Cl. A-I, Downgraded to Ba1; previously on Mar 18, 2010 Baa2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: GMACM Home Loan Trust 2004-HLTV1 -- Cl. A-4, Downgraded to Ba3; previously on Mar 18, 2010 Baa1 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Ba3; previously on Mar 18, 2010 Baa1 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) Issuer: GMACM Home Loan Trust 2006-HLTV1 -- Cl. A-3, Downgraded to Ba3; previously on Mar 18, 2010 Baa2 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Ba3; previously on Mar 18, 2010 Baa2 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. A-4, Downgraded to B3; previously on Mar 18, 2010 Baa3 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B3; previously on Mar 18, 2010 Baa3 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) -- Cl. A-5, Downgraded to Ca; previously on Mar 18, 2010 Ba1 Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Ca; previously on Mar 18, 2010 Ba1 Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Issuer Rating Withdrawn 3/25/2009) GS MORTGAGE: Fitch Downgrades Ratings on Series 2003-C1 Certs. -------------------------------------------------------------- Fitch Ratings has downgraded and assigned a Recovery Rating to this class of GS Mortgage Securities Corporation II's commercial mortgage pass-through certificates, series 2003-C1: -- $4 million class P to 'CCC/RR1' from 'B-'. Fitch has affirmed, revised the Rating Outlooks, and assigned Loss Severity ratings to these classes: -- $6 million class N at 'B+/LS5'; Outlook to Negative from Stable; -- $2 million class O at 'B/LS5'; Outlook to Negative from Stable. Additionally, Fitch has affirmed and assigned LS Ratings to these classes: -- $110.2 million class A-2B at 'AAA/LS1'; Outlook Stable; -- $676.8 million class A-3 at 'AAA/LS1'; Outlook Stable; -- Interest-Only class X-1 at 'AAA'; Outlook Stable; -- $54.4 million class B at 'AAA/LS3'; Outlook Stable; -- $16.1 million class C at 'AAA/LS4'; Outlook Stable; -- $12.1 million class D at 'AAA/LS4'; Outlook Stable; -- $18.1 million class E at 'AAA/LS3'; Outlook Stable; -- $12.1 million class F at 'AA+/LS4'; Outlook Stable; -- $20.1 million class G at 'AA-/LS3'; Outlook Stable; -- $12.1 million class H at 'A-/LS4'; Outlook Stable; -- $12.1 million class J at 'BBB+/LS4'; Outlook Stable; -- $12.1 million class K at 'BBB/LS4'; Outlook Stable; -- $8.1 million class L at 'BB+/LS5'; Outlook Stable; -- $6 million class M at 'BB/LS5'; Outlook Stable. The $14.1 million class S is not rated by Fitch. Classes A-1, A- 2A, and X-2 have paid in full. The downgrade is due to a slight increase in Fitch expected losses following Fitch's review of the specially serviced loan and its prospective review of potential stresses to the transaction. The affirmations are based on the pool's generally stable performance relative to the previous review and a strong weighted-average Fitch stressed loan-to-value ratio of 52.7% for all non-defeased loans in the pool. Fitch expects losses of approximately 1% of the remaining pool balance ($9.6 million) from loans that are not expected to refinance at maturity based on Fitch's refinance test and from the loan in special servicing. The Rating Outlooks indicate the likely direction of any changes to the ratings over the next one to two years. As of the May 2010 distribution date, the pool's aggregate certificate balance has decreased 38.2% to $996.5 million, from $1.61 billion at issuance. Nine loans (28.2%) have defeased, including the largest loan (21.7%). Of the original 76 loans, 46 remain. Of the loans in the pool, 99.6% mature (87.5%) or are anticipated to repay (12.1%) by first-quarter 2013. Fitch has identified five Loans of Concern (5.2%), including two of the top 10 remaining loans (4.6%) and one loan in special servicing (0.2%). The specially serviced loan is a 99-unit multifamily property located in Tallahassee, FL that transferred to special servicing in December 2009 for monetary default. The special servicer is attempting to negotiate with the borrower while pursuing other options including foreclosure. The largest Fitch Loan of Concern (2.5%) is secured by the leasehold interest in a 424,378-square foot office property located in Newark, NJ. As of Feb. 2, 2010, the property was 85.5% occupied, up from 76.1% at the previous review but still lower than the building's 98.5% occupancy level at issuance. The initial decline in occupancy was attributable to the loss of a major tenant in 2007; and as a result, the servicer-reported debt service coverage ratio fell to 0.83 times in 2008. The borrower has had some success in re-leasing the space and the reported DSCR rose to 1.09x for the first three quarters of 2009. In 2012, the year the loan matures, leases corresponding to an additional 31% of the space will expire. Rents for a majority of the space are below market. The loan, which represents a debt amount per square foot of $59 on the leasehold interest, remains current with the master servicer. The second-largest Fitch Loan of Concern (2.1%) is collateralized by three office properties totaling 208,067 sf, which are located in Baton Rouge, LA (two properties) and Metairie, LA (one). While previously reported hurricane damage has been repaired and the most recent servicer-reported DSCR was strong at 1.57x (for the first three quarters of 2009), upcoming rollover is significant. Leases corresponding to approximately 26% of the space expire in 2010 and an additional 30% is scheduled to expire in 2011. Several of the expiring spaces have rents that are above average market levels. The loan matures in March 2013. Fitch stressed the cash flow of the remaining non-defeased loans by generally applying a 10% reduction to 2008 fiscal year-end servicer-reported net operating income and applying an adjusted, property type-specific market capitalization rate between 7.25% and 9.5% to determine value. In the case of four loans with meaningful differentials between the 2009 versus 2008 reported NOI, the more updated 2009 performance was used to determine the Fitch value. Similar to Fitch's prospective analysis of recent vintage commercial mortgage backed securities, each loan also underwent a refinance test incorporating an 8% interest rate and a 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 be able to pay off at maturity. Under this scenario, eight loans are not expected to pay off at maturity, of which four incur a modeled loss when compared to Fitch's stressed value. HOME RE: S&P Downgrades Ratings on 11 Classes of 2005-2 Notes ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 11 classes from Home Re 2005-2 Ltd., a residential mortgage-backed securities risk transfer securitization. The downgrades are based on S&P's view that cumulative losses will increase as a result of an increase in delinquencies that S&P has observed in the transaction's reference pool. During its review, S&P look at several things, including the losses S&P is projecting based on the performance and seasoning of the mortgage pools, the change in delinquencies over time, and the rating on the applicable party responsible for making certain interest payments. The collateral for this transaction is predominantly made up of Alternative-A loans. S&P will continue to evaluate the ratings on this transaction and adjust them as necessary. Rating Actions Home Re 2005-2 Ltd. Series 2005-2LLC Rating ------ Class CUSIP To From ----- ----- -- ---- M-2 43731PAC4 CCC AA M-3 43731PAD2 CCC AA- M-4 43731PAE0 CCC A+ M-5 43731PAF7 CCC A+ M-6 43731PAG5 CCC A M-7 43731PAH3 CCC BBB+ M-8 43731PAJ9 CCC BBB M-9 43731PAK6 CCC BBB- B-1 43731PAL4 CCC BB+ B-2 43731PAM2 CCC BB B-3 43731PAN0 CCC BB ISCHUS SYNTHETIC: S&P Downgrades Ratings on Eight Classes --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on eight classes of notes from Ischus Synthetic ABS CDO 2006-1 Ltd., Sorin Real Estate CDO II Ltd., and Pinnacle Point Funding Ltd., three U.S. collateralized debt obligation of asset-backed securities transactions. One of these ratings remains on CreditWatch with negative implications. At the same time, S&P affirmed its 'CC' ratings on 12 classes from these three transactions. These rating actions reflect the implementation of S&P's criteria for ratings on CDO transactions that have triggered an event of default and may be subject to acceleration or liquidation. Ischus Synthetic ABS CDO 2006-1 Ltd. and Sorin Real Estate CDO II Ltd. each triggered an EOD following a default in the payment of interest due on the non-payment-in-kind classes (classes X, A-1LB, and A-2L for Ischus Synthetic ABS CDO 2006-1 Ltd.; and classes SS, A, X, and B for Sorin Real Estate CDO II Ltd.). For Pinnacle Point Funding Ltd., S&P has received notice from the trustee that a majority of the controlling classholders has directed the trustee to proceed with the liquidation of the collateral backing the rated notes. Rating Actions Rating ------ Deal Name Class To From --------- ----- -- ---- Ischus Syn. ABS 2006-1 Ltd. X D CCC Ischus Syn. ABS 2006-1 Ltd. A-1LB D CC Ischus Syn. ABS 2006-1 Ltd. A-2L D CC Sorin Real Estate CDO II Ltd. SS D CC Sorin Real Estate CDO II Ltd. A D CC Sorin Real Estate CDO II Ltd. X D CC Sorin Real Estate CDO II Ltd. B D CC Pinnacle Point Fdg Ltd. ABCP CCC-/Watch Neg B-/Watch Neg Ratings Affirmed Deal Name Class Rating --------- ----- ------ Ischus Syn ABS 2006-1 Ltd. A-3L CC Ischus Syn ABS 2006-1 Ltd. B-1L CC Sorin Real Estate CDO II Ltd. C CC Sorin Real Estate CDO II Ltd. D CC Sorin Real Estate CDO II Ltd. E CC Sorin Real Estate CDO II Ltd. F CC Sorin Real Estate CDO II Ltd. G CC Sorin Real Estate CDO II Ltd. H CC Sorin Real Estate CDO II Ltd. J CC Pinnacle Point Fdg Ltd. A-1 CC Pinnacle Point Fdg Ltd. A-2 CC Pinnacle Point Fdg Ltd. B CC JP MORGAN: Fitch Downgrades Ratings on Seven 2006-FL2 Notes ----------------------------------------------------------- Fitch Ratings has downgraded seven classes from J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2006-FL2, reflecting Fitch's base case loss expectation of 10.9% for the pooled classes. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. The Negative Rating Outlooks reflect additional sensitivity analysis related to further negative credit migration of the underlying collateral. Under Fitch's methodology, approximately 51.8% of the pool is expected to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the average cash flow decline is 13.8% from fourth quarter 2009 cash flows. In its review, Fitch analyzed servicer reported operating statements and rent rolls, updated property valuations, and recent lease and sales comparisons. Given that the loan positions within the pooled portion of the CMBS are the lower leveraged A-notes (average base case LTV of 108.7%), Fitch estimates the average recoveries on the pooled loans will be approximately 78.9% in the base case. The defaults are determined considering the total leverage of each asset, including additional B-notes and mezzanine debt, however, a default may not result in a loss to the pooled portion given its lower leverage position. The base case term and refinance DSCR for the pooled A-notes is 2.09x and 1.53x, respectively. The transaction is collateralized by nine loans, four of which are secured by office properties (47.7%), four secured by hotels (35.4%), and one loan secured by a retail property (16.9%). All of the final extension options on the loans are within the next five years and are: 30.2% in 2011, 2.8% in 2012, and 67.0% in 2013. Fitch identified one Loan of Concern within the pool, Menlo Oaks Corporate Center (7.3%), which is specially serviced. In addition, Fitch's analysis resulted in loss expectations for two loans in the 'B' stress scenario. The two contributors to losses (by unpaid principal balance) in the 'B' stress scenario are Menlo Oaks Corporate Center (83.7%) and Marina Village (13.6%). The two junior non-pooled component classes linked to the Lehigh Valley loan survive their base case stress resulting in no defaults and no losses. The largest contributor to loss under the 'B' stress, the Menlo Oaks Corporate Center loan, is secured by a class 'B', office park totaling 374,139 sf located in Silicon Valley in the city of Menlo Park, California. At issuance, major tenants at the property consisted of E*Trade Financial (42% of NRA), IBM (16.2%), Access Intelligence (4.8%), and FBI/US Government (4.6%). The E*Trade and IBM leases, which combined accounted for 217,524 sf (58.2% of NRA) had lease expiration dates in August 2010 and March 2010, respectively. Due to the rollover risk associated with the two leases, the loan was structured so that a cash management agreement and leasing cost reserve would become effective if the loan extended past its original two year term. The loan transferred to the special servicer in October 2009, following the loan's inability to extend at its maturity in September 2009. Also, the borrower requested to amend the loan's rollover reserve requirements associated with the E*Trade space. E*Trade has renewed 76,010 sf of the 157,026 sf they occupy at rent with the submarket but significantly below rates negotiated between years 1998 and 2000, when the submarket was booming. As a result rental revenue from E*Trade has significantly declined. The loan is still with the special servicer who is contemplating a modification to the leasing cost reserve requirements. IBM (16.2%) vacated its premises at its lease expiration of March 2010, reducing occupancy to 53.9% from 70.1%. In addition, given that E*Trade is renewing only 76,010 sf of its 157,026 sf, unless new tenants are signed on at the property, occupancy is expected to decline to approximately 32.2%. The second largest contributor to loss under the 'B' stress, the Marina Village loan, is collateralized by 34 office buildings totaling 1,162,319 sf on 73 acres, located in a 205-acre master- planned development located in Alameda, California, within the San Francisco Bay Area. The property consists of low-rise and mid- rise office buildings (collateral), a shopping center, a hotel, 178-unit residential town-home community, and open space along the waterfront (with a 990-berth marina). As of September 2009, the occupancy at the property was 69.4%, a significant drop since issuance when occupancy was 79.6%. Average rental rate at the property was approximately $22.92 psf including reimbursements, compared to $24.22 psf at issuance. The transaction follows a pro-rata pay structure which may revert to sequential pay under two conditions: a) specially serviced assets in the deal account for more than 20% of the outstanding deal balance, or b) 80% of the original pool balance has been paid down. In addition, any principal distribution received from a loan in special servicing will be applied sequentially. Also, the transaction is structured so principal disbursements and interest from the underlying mortgages are combined into one account which then is used for principal and interest distributions to the bonds. The pro-rata nature of the transaction combined with the commingling of principal and interest remittances have resulted in interest shortfalls, stemming from servicing fees, to result in a principal loss to the junior-most class L. The principal loss is recoverable in future periods, similarly to an interest shortfall, if excess interest becomes available. Since the principal loss may be recovered, class L was assigned a rating of 'C' instead of 'D'. Fitch removed these classes from Rating Watch Negative and has downgraded, assigned Rating Outlooks, Loss Severity Ratings, and Recovery Ratings, as indicated to the pooled classes: -- $21.9 million class E to 'A/LS5' from 'A+'; Outlook Negative; -- $21.9 million class F to 'BBB/LS5' from 'A'; Outlook Negative; -- $19.4 million class G to 'BB/RR1' from 'A-'; Outlook Negative; -- $24.3 million class H to 'CCC/RR4' from 'BBB+'; Outlook Negative; -- $24.3 million class J to 'CC/RR6' from 'BBB-'; Outlook Negative; -- $21.9 million class K to 'CC/RR6' from 'BB+'; Outlook Negative; -- $29 million class L to 'C/RR6' from 'BB'; Outlook Negative. In addition, Fitch removes from Rating Watch Negative and has affirmed these classes, assigns Rating Outlooks, and LS Ratings as indicated to the pooled classes: -- $285.5 million class A-1 at 'AAA/LS3'; Outlook Stable; -- $298.3 million class A-2 at 'AAA/LS3'; Outlook Stable; -- $58.5 million class B at 'AA+/LS5'; Outlook Stable; -- $53.6 million class C at 'AA/LS5'; Outlook Stable; -- $19.4 million class D at 'AA-/LS5'; Outlook Negative. Additionally, Fitch has removed from Rating Watch Negative and has affirmed, and assigned Recovery Ratings to these junior non-pooled component classes: -- $7.4 million class LV-1 at 'BB+'; Outlook Stable; -- $2.6 million class LV-2 at 'BB'; Outlook Stable. In addition, Fitch has affirmed this class and revised the Rating Outlook as indicated: -- Interest-only class X-2 at 'AAA'; Outlook to Stable from Negative. Class X1 has paid in full. This transaction was analyzed according to the 'Surveillance Criteria for U.S. Commercial Real Estate Loan CDOs'. It applies stresses to property cash flows and uses debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. This methodology was used to review this transaction as floating-rate CMBS loan pools are concentrated and similar in composition to CREL CDO pools. In many cases, the CMBS notes are senior portions of notes held in CDO transactions. The assets are generally transitional in nature, frequently underwritten with pro forma income assumptions that have not materialized as expected. Overrides to this methodology were applied on a loan-by-loan basis if the senior position of the CMBS note or property specific performance warranted an alternative analysis. For bonds rated 'B-' or better, the current credit enhancement levels were compared to the expected losses generated in each rating category divided by the total deal size. These classes were assigned Loss Severity ratings, which 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. LS ratings should always be considered in conjunction with probability of default indicated by a class' long-term credit rating. Fitch does not assign Rating Outlooks or LS ratings to classes rated 'CCC' or lower. Rating Outlooks were determined by further stressing the cash flows and fully recognizing all maturity defaults in all ratings stresses. The credit enhancements were then compared to the expected losses generated in each rating category to determine potential credit migration over the next two years. If the Rating Outlook scenario would imply a lower rating, then the class was assigned a Negative Outlook. The ratings for bonds rated 'CCC' or lower, are based on a deterministic analysis. Bonds are rated 'C' when the expected losses on currently defaulted loans exceed a classes' respective credit enhancement level. Bonds are rated 'CC' when the combined base case expected losses on the currently defaulted loans and loans likely to default exceed a classes' respective credit enhancement level. Bonds are rated 'CCC' when the base case expected loss exceeds a classes' respective credit enhancement level. Bonds rated 'CCC' and below were assigned Recovery Ratings in order to provide a forward-looking estimate of recoveries on currently distressed or defaulted structured finance securities. Recovery Ratings are calculated by subtracting the base case expected losses in reverse sequential order from the pooled certificates. Any principal recoveries first pay interest shortfalls on the bonds and then sequentially through the classes. The remaining bond principal amount is divided by the current outstanding bond balance. The resulting percentage is used to assign the Recovery Ratings on the bonds. The assignment of 'RR4' to class H reflects modeled recoveries of 34.4% of its outstanding balance. The expected recovery proceeds are broken down: -- Present value of expected principal recoveries ($8.2 million); -- Present value of expected interest payments ($59,025); -- Total present value of recoveries ($8.3 million); -- Sum of undiscounted recoveries ($9.2 million). Classes are assigned a Recovery Rating of 'RR6' when the present value of the recoveries in each case is less than 10% of each class' principal balance. JPMORGAN CHASE: S&P Downgrades Ratings on Seven 2003-CIBC7 CMBS --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes of commercial mortgage-backed securities from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2003-CIBC7 and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 16 additional classes from the same transaction, including four "FS" raked classes. S&P removed three of the 16 affirmed ratings from CreditWatch negative. The rating actions follow S&P's analysis of the transaction using its U.S. conduit and fusion CMBS criteria. The downgrades reflect credit support erosion S&P anticipate will occur upon the eventual resolution of the transaction's seven specially serviced assets, as well as potential losses associated with four loans that S&P determined to be credit-impaired. S&P's analysis included a review of the credit characteristics of all of the assets in the trust. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.80x and a loan- to-value ratio of 67.8%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average DSC of 1.45x and an LTV ratio of 84.2%. The implied defaults and loss severity under the 'AAA' scenario were 22.5% and 27.8%, respectively. All of the DSC and LTV calculations noted above exclude 24 ($211.5 million, 17.4%) defeased loans, two ($15.3 million, 1.3%) loans collateralized by cooperative housing properties, the transaction's seven ($56.9 million, 4.7%) specially serviced assets, and four ($9.8 million, 0.8%) assets that S&P determined to be credit-impaired. S&P separately estimated losses for the seven specially serviced assets and four assets that S&P determined to be credit-impaired and included them in the '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. The affirmations of the ratings on the "FS" raked certificates follow S&P's analysis of The Forum Shops loan. The raked certificates derive 100% of their cash flows from a subordinate non-pooled portion of this loan. The loan is secured by a leasehold interest in The Forum Shops at Caesars in Las Vegas. As of December 2009, the reported DSC was 2.70x/2.29x (senior component only/whole-loan balance) and occupancy was 95.0%. S&P affirmed its ratings on the class X-1 and X-2 interest-only certificates based on its current criteria. Credit Considerations As of the May 2010 remittance report, seven assets ($56.9 million, 4.7%) in the trust were with the special servicer, Midland Loan Services Inc. The payment status of the specially serviced assets is: two ($30.9 million, 2.5%) are real estate owned; two ($6.4 million, 0.5%) are in foreclosure; and three ($19.6 million, 1.6%) are 90-plus days delinquent. Six of the specially serviced assets have appraisal reduction amounts in effect totaling $24.2 million. The Rainier Office Portfolio asset ($19.0 million total exposure, 1.6%) is the eighth-largest exposure in the pool and the largest asset with the special servicer. The exposure is secured by four office properties comprising 479,717 sq. ft. in Texas. As of December 2009, consolidated DSC and occupancy were 0.50x and 57.0%, respectively. The asset was transferred to the special servicer in October 2008 and became REO in January 2010. There is a $6.3 million ARA in effect. According to the special servicer, buyers have been secured for all of the properties. S&P expects a significant loss upon the eventual resolution of this asset. The University Gardens asset ($14.6 million total exposure, 1.2%), is the second-largest exposure with the special servicer. The asset is secured by a 320-bed (80-unit) student housing complex near Florida A&M University in Tallahassee, Fla. Cash flow as of December 2008 was negative. The asset was transferred to the special servicer in February 2007 and became REO in October 2007. There is a $5.7 million ARA in effect. According to the special servicer, the property is being evaluated in preparation for a new marketing effort. S&P expects a significant loss upon the eventual resolution of this asset. The five remaining specially serviced assets have balances that, individually, represent less than 0.8% of the trust balance. S&P estimated losses for all of these assets, and the weighted average estimated loss severity was 38.9%. In addition to the specially serviced assets, S&P determined four loans ($9.8 million, 0.8%) to be credit-impaired. The credit- impaired assets have balances that individually represent less than 0.4% of the total pool balance. Each of these assets has experienced a decline in performance since issuance, which has significantly reduced the assets' DSC, all of which are under 1.00x. The current weighted average DSC for these assets is 0.40x, down from 1.48x at issuance. As a result, S&P views these loans to be at an increased risk of default and loss. S&P's analysis also considered the transaction's near-term maturities. By balance, 23.2% of the assets have final maturities through year-end 2010, excluding defeased loans and assets with the special servicer. The largest of these is The Forum Shops loan (18.3%) which S&P discuss further below. Transaction Summary As of the May 2010 remittance report, the collateral pool had an aggregate trust balance of $1.22 billion, down from $1.47 billion at issuance. The pool includes 166 assets, down from 184 at issuance. The master servicer, Midland Loan Services Inc., provided financial information for 98.0% of the nondefeased assets in the trust; 72.9% was full-year 2009 data, 24.4% was full-year 2008 data, and 2.7% was interim 2009 data. S&P calculated a weighted average DSC of 1.79x for the pool based on the reported figures. S&P's adjusted DSC and LTV ratio were 1.80x and 67.8%, respectively. S&P's adjusted DSC and LTV figures exclude 24 ($211.5 million, 17.4%) defeased loans, two ($15.3 million, 1.3%) loans collateralized by cooperative housing properties, the transaction's seven ($56.9 million, 4.7%) specially serviced assets, and four ($9.8 million, 0.8%) assets that S&P determined to be credit-impaired. S&P separately estimated losses for the seven specially serviced assets and four assets that S&P determined to be credit-impaired. Servicer- reported financial information was available for all of the specially serviced and credit-impaired assets. If S&P utilize this information in calculating its adjusted DSC, the resulting figure would be 1.73x. The master servicer reported a watchlist of 31 loans ($384.3 million, 31.6%). Twenty-eight assets ($151.2 million, 12.4%) in the pool have a reported DSC of less than 1.10x, and 20 assets ($115.5 million, 9.5%) have a reported DSC of less than 1.00x. Summary Of Top 10 Exposures The top 10 exposures secured by real estate have an aggregate outstanding balance of $523.9 million (43.1%). Using servicer- reported numbers, S&P calculated a weighted average DSC of 2.03x for the top 10 exposures. S&P's adjusted DSC and LTV ratio for the top 10 exposures are 1.95x and 63.8%, respectively. As of the May 2010 remittance report, three ($288.3 million, 23.7%) of the top 10 exposures appear on the master servicer's watchlist. Details of these are: The Forum Shops loan is the largest exposure in the pool, with a trust balance of $223.1 million (18.3%) and a whole-loan balance of $511.2 million. The $511.2 million whole-loan balance consists of a $432.2 million senior component, which is split into three pari passu notes, one ($144.1 million, 11.8%) of which is included in the subject trust, and a $79.0 million (6.5%) subordinate note which is also included in the subject trust. The "FS" rake certificates derive 100% of their cash flows from this subordinate note. The property is an anchored retail center containing a total of 655,079 sq. ft. of space. The property opened in 1992, and was expanded in 1997 and 2004. The master servicer reported a DSC of 2.29x for the whole-loan balance (2.70x for the senior component only) as of December 2009. Occupancy was 95.0% for the same period. According to the May 2010 watchlist report comments, the loan appears on the watchlist due to ongoing litigation between the current sponsor, the Simon Property Group, and a former partner in the subject's ownership group. S&P's updated valuation for this asset is comparable to its value at issuance, and the resulting LTV ratio of 47.8% for the whole-loan balance is consistent with the current ratings. The loan is scheduled to mature on Dec. 1, 2010, but the master servicer has indicated that the exposure will likely be paid off on June 1, 2010. The Potomac Run loan is the fourth-largest loan in the pool and the second-largest loan on the master servicer's watchlist. The loan has a trust balance of $42.8 million (3.5%) and is secured by a 361,375-sq.-ft. retail property in Sterling, Va. According to the watchlist report comments, the asset appears on the watchlist due to Circuit City's November 2008 bankruptcy filing. Circuit City, which occupied 9.1% of the property's net rentable area, vacated the property in March 2009. The master servicer has indicated that the space has since been leased to hhgregg Inc. Reported DSC was 1.16x as of December 2009 and occupancy was 97.6% as of March 2010. The hhgregg Inc. lease, and the associated income, should improve the DSC to approximately 1.25x. The Versailles and Dana Point Apartments Portfolio loan is the seventh-largest loan in the pool and the third-largest loan on the master servicer's watchlist. The loan has a trust balance of $22.4 million (1.8%) and is secured by two multifamily properties comprising 652 units in Dallas. According to the watchlist report comments, the asset appears on the watchlist due to poor financial performance. Reported DSC and occupancy were 0.94x and 80.2%, respectively, as of December 2008. The loan had an anticipated repayment date of July 1, 2008. The master servicer has indicated that, pursuant to the transaction's offering documents, the loan is now subject to a revised interest rate, and the difference between the revised interest rate and the initial interest rate will be deferred and become payable after the principal balance of the loan has been paid in full. The loan's maturity date is July 1, 2033. Standard & Poor's stressed the collateral assets according to its U.S. conduit/fusion criteria. The resultant credit enhancement levels are consistent with its lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2003-CIBC7 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- H BB+ BBB-/Watch Neg 3.99 J BB- BB+/Watch Neg 3.53 K B BB/Watch Neg 3.08 L CCC BB-/Watch Neg 2.31 M CCC- B/Watch Neg 1.55 N CCC- B-/Watch Neg 1.25 P CCC- CCC+/Watch Neg 0.94 Ratings Affirmed And Removed From Creditwatch Negative JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2003-CIBC7 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- E A- A-/Watch Neg 8.11 F BBB+ BBB+/Watch Neg 6.58 G BBB BBB/Watch Neg 5.67 Ratings Affirmed (Pooled Certificates) JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2003-CIBC7 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-2 AAA 16.18 A-3 AAA 16.18 A-4 AAA 16.18 A-1A AAA 16.18 B AA+ 13.13 C AA- 11.92 D A 9.48 X-1 AAA N/A X-2 AAA N/A Ratings Affirmed (Non-Pooled Certificates) JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2003-CIBC7 Class Rating Credit enhancement (%) ----- ------ ---------------------- FS-1 AAA N/A FS-2 AAA N/A FS-3 AAA N/A FS-4 AA+ N/A N/A - Not applicable. JUPITER HIGH-GRADE: 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 Jupiter High-Grade CDO Ltd. The notes affected by the rating action are: -- US$489,950,000 Class A-1A First Priority Senior Floating Rate Notes Due 2041 (current balance of $355,622,007), Downgraded to Caa2; previously on February 10, 2009 Downgraded to Ba2; -- US$113,800,000 Class A-1B First Priority Senior Floating Rate Notes Due 2041 (current balance of $83,409,821), Downgraded to Caa2; previously on February 10, 2009 Downgraded to Ba2; -- US$82,500,000 Class A-2 Second Priority Senior Floating Rate Notes Due 2041, Downgraded to Ca; previously on February 10, 2009 Downgraded to Caa3. Jupiter High-Grade CDO Ltd., issued on December 2, 2004, is a collateralized debt obligation backed primarily by a portfolio of residential mortgage-backed securities. RMBS comprise approximately 70% of the underlying portfolio, of which the majority were originated in 2004. According to Moody's, the rating downgrade actions are the result of deterioration in the credit quality of the underlying portfolio. Credit deterioration is observed through numerous factors, including an increase in the dollar amount of defaulted securities, failure of the coverage tests, and number of assets that are currently on review for possible downgrade. In this case Moody's notes that the dollar amount of defaulted securities, as reported by the trustee, has increased from $37.9 million in January 2009 to $144.5 million in April 2010. During the same time, Class A/B overcollateralization ratio decreased from 96.87% to 75.19%. Also, in April 2010, the ratings of approximately $344.8 million of pre-2005 RMBS in the underlying portfolio were placed on review for possible downgrade as a result of Moody's updated loss projections applicable to certain RMBS. Moody's explained that in arriving at the rating actions noted above, the ratings of 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 pre-2005 vintage RMBS, Moody's considered the various factors indicating continued negative performance that were described in Moody's press releases dated April 8th for subprime, April 12th for Option-ARM and April 13th for Alt-A. Such seasoned deals will have varying stress based on RMBS asset type. For pre-2005 Alt-A, Aaa rated securities were stressed by four notches, Aa rated securities by six notches, and A or Baa rated securities by nine notches. Pre-2005 Option-ARM securities currently rated Aaa were stressed by two notches, Aa and A by six notches, and Baa by nine notches. For pre-2005 subprime, Aaa and Aa rated securities were stressed by two notches, A rated securities were stressed by six notches, and Baa rated securities were stressed by nine notches. All subprime, Alt-A and Option-ARM RMBS securities which originated prior to 2005, are currently rated Ba or below, and are also currently on review for possible downgrade have been stressed to Ca. 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 that are no longer on review for downgrade. 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. KKR FINANCIAL: Moody's Upgrades Ratings on Two Classes of Notes --------------------------------------------------------------- Moody's Investors Service announced that it upgraded the ratings of these notes issued by KKR Financial CLO 2005-2, Ltd.: -- US$30,000,000 Class E Deferrable Mezzanine Floating Rate Notes, Due 2017, Upgraded to Ba3; previously on April 16, 2010 B2 Placed Under Review for Possible Upgrade; -- US$10,000,000 Class F Deferrable Mezzanine Secured Floating Rate Notes Due 2017, Upgraded to B3; previously on April 16, 2010 Caa1 Placed Under Review for Possible Upgrade. In addition, Moody's has confirmed the rating of this note: -- US$64,000,000 Class C Deferrable Mezzanine Secured Floating Rate Notes Due 2017, Confirmed at Ba1; previously on April 16, 2010 Ba1 Placed Under Review for Possible Upgrade. According to Moody's, the upgrade rating actions taken on the Class E and Class F notes result primarily from improvement in the overcollateralization of the notes, a significant reduction in the exposure to defaulted assets, and stabilization in the credit quality of the collateral since the last rating action in August 2009. The actions also consider the implications of a recent agreement announced by KKR Financial Holdings LLC which stipulates that -- subject to certain conditions -- KKR Financial Holdings LLC will not undertake any future cancellation of mezzanine and junior notes issued to it by KKR Financial CLO 2005-2, Ltd. Moody's determined that the Class C notes did not benefit from these positive developments, and as a result, the rating of the notes was confirmed. Moody's observes that the transaction's overcollateralization ratios have improved steadily since July 2009. Based on the April 2010 trustee report, the senior overcollateralization ratio is 133.92% compared to a level of 129.02% as of July 2009. The Class C/D overcollateralization ratio is 123.30% compared to 118.79% as of July 2009. The Class E overcollateralization ratio is 118.88% compared to 114.53% as of July 2009. There are no defaulted assets currently held by the deal. For comparison, the dollar amount of defaulted assets held by the deal stood at $37.9 million in July 2009. On July 10, 2009, KKR Financial Holdings LLC surrendered for cancellation $64 million of the principal amount of the Class D Notes, without receiving any payment in exchange. The surrendered notes were cancelled upon receipt by the trustee, and the related debt was extinguished by the issuer. On August 18, 2009, in consideration of the impact of this note cancellation on the operation of the overcolateralization tests and the related cash flow re-diversion throughout the entire capital structure of KKR Financial CLO 2005-2, Ltd., Moody's upgraded the Class E notes and the Class F notes. Moody's' also noted that the senior notes were negatively impacted by the note cancellation, resulting in a downgrade of the Class A-1 notes and the Class A-2 notes. In November 2009, KKR Financial Holdings LLC announced that it had agreed not to undertake a comparable surrender for cancellation of any mezzanine notes or junior notes issued to it by KKR Financial CLO 2005-1, Ltd., KKR Financial CLO 2005-2, Ltd., KKR Financial CLO 2006-1, Ltd., KKR Financial CLO 2007-1, Ltd. or KKR Financial 2007-A, Ltd. without consideration in the future, for so long as no challenge is brought to the company's prior surrender of CLO notes by the controlling class note holders of KKR Financial CLO 2005-2, Ltd. Moody's views this development as beneficial to maintaining the predictability of future cash flow diversion based on overcollateralization tests that were put in place at the deal's closing. KKR Financial CLO 2005-2, Ltd., issued in November 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. KKR FINANCIAL: Moody's Upgrades Ratings on Three Classes of Notes ----------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by KKR Financial CLO 2005-1, Ltd.: -- US$58,000,000 Class B Senior Secured Floating Rate Notes Due 2017, Upgraded to Baa1; previously on March 16, 2010 Baa3 Placed Under Review for Possible Upgrade; -- US$64,000,000 Class C Deferrable Mezzanine Secured Floating Rate Notes Due 2017, Upgraded to Ba2; previously on March 16, 2010 Ba3 Placed Under Review for Possible Upgrade; -- US$64,000,000 Class D Deferrable Mezzanine Secured Floating Rate Notes Due 2017 (current outstanding balance of $52,000,000), Upgraded to Caa1; previously on March 16, 2010 Caa2 Placed Under Review for Possible Upgrade. In addition, Moody's confirmed the ratings of these notes: -- US$15,000,000 Class E Deferrable Mezzanine Floating Rate Notes, Due 2017, Confirmed at Caa3; previously on March 16, 2010 Caa3 Placed Under Review for Possible Upgrade; -- US$5,000,000 Class F Deferrable Mezzanine Secured Floating Rate Notes Due 2017, Confirmed at Ca; previously on March 16, 2010 Ca Placed Under Review for Possible Upgrade. According to Moody's, the upgrade rating actions taken on the Class B, Class C, and Class D notes result primarily from improvement in the overcollateralization of the notes, a reduction in the exposure to defaulted assets, and stabilization in the credit quality of the collateral since the last rating action in August 2009. The actions also consider the implications of a recent agreement announced by KKR Financial Holdings LLC which stipulates that -- subject to certain conditions -- KKR Financial Holdings LLC will not undertake any future cancellation of mezzanine and junior notes issued to it by KKR Financial CLO 2005- 1, Ltd. Moody's determined that the Class E and Class F notes did not benefit from these positive developments, and as a result, the ratings of the notes were confirmed. Moody's observes that the transaction's overcollateralization ratios have improved steadily since July 2009. Based on the April 2010 trustee report, the senior overcollateralization ratio is 130.38% compared to a level of 125.97% as of July 2009. The Class C/D overcollateralization ratio is 113.37% compared to 109.53% as of July 2009. The Class E overcollateralization ratio is 111.49% compared to 107.72% as of July 2009. Additionally, the dollar amount of defaulted securities has decreased from about $74.2 million in July 2009 to $18.9 million in April 2010. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," 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. On July 10, 2009, KKR Financial Holdings LLC surrendered for cancellation $12 million of the principal amount of the Class D Notes, without receiving any payment in exchange. The surrendered notes were cancelled upon receipt by the trustee, and the related debt was extinguished by the issuer. On August 18, 2009, in consideration of the impact of this note cancellation on the operation of the overcollateralization tests and the related cash flow re-diversion throughout the entire capital structure of KKR Financial CLO 2005-1, Ltd., Moody's upgraded the Class D notes and Class E notes. Moodys' also noted that the senior notes were negatively impacted by the note cancellation, although the overall effect on their ratings was not material. In November 2009 KKR Financial Holdings LLC announced that it had agreed not to undertake a comparable surrender for cancellation of any mezzanine notes or junior notes issued to it by KKR Financial CLO 2005-1, Ltd., KKR Financial CLO 2005-2, Ltd., KKR Financial CLO 2006-1, Ltd., KKR Financial CLO 2007-1, Ltd. or KKR Financial 2007-A, Ltd. without consideration in the future, for so long as no challenge is brought to the company's prior surrender of CLO notes by the controlling class note holders of KKR Financial CLO 2005-2, Ltd. Moody's views this development as beneficial to maintaining the predictability of future cash flow diversion based on overcollateralization tests that were put in place at the deal's closing. KKR Financial CLO 2005-1, Ltd., issued in March 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. LB COMMERCIAL: Moody's Downgrades Rating on Series 1996-C2 Certs. ----------------------------------------------------------------- Moody's Investors Service downgraded the rating of one class and affirmed one class of LB Commercial Conduit Mortgage Trust II, Multiclass Pass-Through Certificates, Series 1996-C2. The downgrade is due to higher expected losses for the pool based on a decline in loan diversity, realized losses from specially serviced loans and anticipated losses from watchlisted loans. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the April 26, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $11.8 million from $397.2 million at securitization. The Certificates are collateralized by 10 mortgage loans ranging in size from 2% to 23% of the pool. No loans have underlying ratings or are defeased. Fifteen loans have been liquidated from the pool, resulting in an aggregate $30.9 million realized loss (69% loss severity on average). Realized losses have resulted in the elimination of classes H and J and a 98% principal loss to class G. No loans are currently in special servicing. Five loans, representing 49% of the pool, are on the master servicer's watchlist. Moody's has assumed a high default probability on seven poorly performing loans, representing 78% of the pool. Two of these loans are secured by multifamily properties and the remaining five loans are secured by limited service hotel properties. Moody's has estimated an aggregate $3.4 million expected loss for the troubled loans (38% expected loss severity on average assuming an overall 75% default probability). Moody's was provided with partial-year 2009 and full-year 2009 operating results for 100% and 95% of the pool, respectively. Moody's weighted average loan to value ratio is 63% compared to 96% at last review. Moody's actual and stressed debt service coverage ratio are 1.23X and 2.36X, respectively, compared to 1.05X and 1.49X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of the Herfindahl Index 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, excluding defeased loans, has a Herf of 2 compared to 9 at last review. Moody's rating action is: -- Class F, $11,602,954, downgraded to C from Caa2; previously downgraded to Caa2 from Ba2 on 7/19/2006 -- Class G, $240,331, affirmed at C; previously downgraded to C from B2 on 7/19/2006 LB-UBS COMMERCIAL: Moody's Reviews Ratings on Series 2004-C7 Notes ------------------------------------------------------------------ Moody's Investors Service placed 15 classes of LB-UBS Commercial Mortgage Trust, Series 2004-C7 on review for possible downgrade due to higher expected losses for the pool resulting from realized losses and anticipated losses from specially serviced and watchlisted loans. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the May 17, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 28% to $1 billion from $1.4 billion at securitization. The Certificates are collateralized by 80 mortgage loans ranging in size from less than 1% to 17% of the pool, with the top ten non-defeased loans representing 48% of the pool. Four loans, representing 21% of the pool, have defeased and are collateralized by U.S. Government securities. Seventeen loans, representing 20% 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 CRE Finance Council (formerly Commercial Mortgage Securities Association) 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 an aggregate realized loss of $6.2 million (52% loss severity on average). Four loans, representing 5% of the pool, are currently in special servicing. The largest specially serviced loan is the Carson Valley Plaza Loan ($45.4 million -- 4.5% of the pool), which is secured by a 265,000 square foot retail center located in Carson City, Nevada. This loan was transferred to special servicing in August 26, 2009 due to maturity default. The remaining three specially serviced loans are secured by a mix of multifamily and office properties. Moody's rating action is: -- Class B, $10,614,000, currently rated Aa1 on review for possible downgrade; previously assigned at Aa1 on 11/9/2004 -- Class C, $14,153,000, currently rated Aa2 on review for possible downgrade; previously assigned at Aa2 on 11/9/2004 -- Class D, $15,921,000, currently rated Aa3 on review for possible downgrade; previously assigned at Aa3 on 11/9/2004 -- Class E, $12,383,000, currently rated A1, on review for possible downgrade; previously assigned at A1 on 11/9/2004 -- Class F, $12,383,000, currently rated A2, on review for possible downgrade; previously assigned at A2 on 11/9/2004 -- Class G, $12,383,000, currently rated A3, on review for possible downgrade; previously assigned at A3 on 11/9/2004 -- Class H, $12,384,000, currently rated Baa1, on review for possible downgrade; previously assigned at Baa1 on 11/9/2004 -- Class J, $8,845,000, currently rated Baa2, on review for possible downgrade; previously assigned at Baa2 on 11/9/2004 -- Class K, $17,691,000, currently rated Baa3, on review for possible downgrade; previously assigned at Baa3 on 11/9/2004 -- Class L, $3,538,000, currently rated Ba1, on review for possible downgrade; previously assigned at Ba1 on 11/9/2004 -- Class M, $5,307,000, currently rated Ba2, on review for possible downgrade; previously assigned at Ba2 on 11/9/2004 -- Class N, $3,538,000, currently rated Ba3, on review for possible downgrade; previously assigned at Ba3 on 11/9/2004 -- Class P, $1,769,000, currently rated B2, on review for possible downgrade; previously downgraded to B2 from B1 on 9/4/2008 -- Class Q, $3,538,000, currently rated B3, on review for possible downgrade; previously downgraded to B3 from B2 on 9/4/2008 -- Class S, $3,538,000, currently rated Caa1, on review for possible downgrade, previously downgraded to Caa1 from B3 on 9/4/2008 LB-UBS COMMERCIAL: Moody's Downgrades Ratings on 12 2007-C6 Certs. ------------------------------------------------------------------ Moody's Investors Service downgraded the ratings of 12 classes, confirmed two classes, and affirmed five classes of LB-UBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C6. The downgrades are due to higher expected losses for the pool resulting from a decline in loan diversity and realized and anticipated losses from specially serviced and troubled loans. The confirmations and affirmations are due to key parameters, including Moody's loan to value ratio and Moody's stressed debt service coverage ratio, remaining within acceptable ranges. Moody's placed 14 classes of this transaction on review for possible downgrade on April 16, 2010. This action concludes the review. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the May 17, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 1% to $2.95 billion from $2.98 billion at securitization. The Certificates are collateralized by 180 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans representing 58% of the pool. One loan, representing 1% of the pool, has an investment grade underlying rating. Forty-four loans, representing 31% 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 CRE Finance Council (formerly the Commercial Mortgage Securities Association) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. One loan has been liquidated from the pool, resulting in a realized loss of $2.1 million (80% loss severity). Thirteen loans, representing 23% of the pool, are currently in special servicing. The largest specially serviced loan is the Innkeepers Portfolio Loan ($412.7 million -- 14% of the pool), which represents a pari-passu interest in a $825.4 million first mortgage loan. The loan is secured by 45 extended stay, limited service, and full service hotels across 16 states. The properties are primarily flagged as Residence Inns, which comprises 74% of the portfolio by loan balance. The loan was transferred to special servicing in April 2010 due to imminent default. Occupancy and revenue per available room for the 12-month period ending December 2009 were 69% and $75.65, respectively, compared to 73% and $90.29 in December 2008. The second largest specially serviced loan is the Greensboro Park Loan ($108.9 million -- 3.7% of the pool), which is secured by a 485,047 square foot two-building office property in Mclean, Virginia. The property was 86% leased as of December 2009 compared to 91% at last review. The loan transferred into special servicing in March 2010 due to imminent default. Moody's has estimated an aggregate $150.8 million loss (23% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 27 poorly performing loans representing 15% of the pool and has estimated an aggregate $97.2 million loss (22% weighted average expected loss based on a 60% probability default) from these troubled loans. Moody's rating action recognizes potential uncertainty around the timing and magnitude of loss from these troubled loans. Moody's was provided with partial year 2009 operating results for 81% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 111% compared to 148% at Moody's prior review. The previous review was part of Moody's first quarter 2009 ratings sweep of 2006-2008 vintage CMBS transactions. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.29X and 0.91X, respectively, compared to 1.03X and 0.87X at last review. Moody's actual DSCR is based on Moody's new 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 risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 15 compared to 20 at Moody's prior review. The loan with an investment grade underlying rating is the 707 Broad Street Loan ($42 million -- 1.4% of the pool), which is secured by an office building located in Newark, New Jersey. The property was 98% leased as of December 2009 compared to 95% in February 2008. Property performance has remained stable, but Moody's stressed the cash flow due to potential cash flow volatility resulting from soft market conditions and the October 2010 lease expiration of the State of New Jersey, which leases 58% of the net rentable area. Moody's current underlying rating and stressed DSCR are A2 and 1.94X, respectively, compared to Aa2 and 2.04X at Moody's last full review. The top three performing conduit loans represent 24% of the pool balance. The largest loan is the PECO Portfolio Loan ($323.8 million -- 11% of the pool), which is secured by 39 cross- collateralized retail properties totaling 4.25 million square feet. The properties are located across thirteen different states, with the majority located in New York (31%), North Carolina (14%), and Florida (13%) by portfolio NRA. Performance has remained stable since securitization, although leasing has declined to 90% as of September 2009 compared to 97% at securitization. Moody's LTV and stressed DSCR are 120% and 0.82X, respectively, compared to 152% and 0.68X at last review. The second largest loan is the Potomac Mills Loan ($246 million -- 8.3% of the pool), which represents a pari-passu interest in a $410 million first mortgage loan. The loan is secured by a 1.5 million square foot anchored retail center in Woodbridge, Virginia. The center is anchored by Costco, JC Penney Outlet, and AMC Theatre. Performance has improved since securitization due to increased rental rates and recoveries. Moody's LTV and stressed DSCR are 121% and 0.74X, respectively, compared to 151% and 0.63X at last review. The third largest loan is the One Sansome Street Loan ($139.6 million -- 4.7% of the pool), which is secured by a Class A office building located in the financial district of San Francisco, California. The loan is currently on the servicer's watchlist due to default on the bridge mezzanine loan. The property was 80% leased as of December 2009 compared to 94% in December 2008. Moody's LTV and stressed DSCR are 120% and 0.77X, respectively, compared to 100% and 0.97X at last review. Moody's rating action is: -- Class A-2, $453,173,522, affirmed at Aaa, previously assigned Aaa on 9/11/2007 -- Class A-2FL, $39,839,430, affirmed at Aaa;, previously assigned Aaa on 9/11/2007 -- Class A-3, $169,000,000, affirmed at Aaa, previously assigned Aaa on 9/11/2007 -- Class A-AB, $67,000,000, affirmed at Aaa, previously assigned Aaa on 9/11/2007 -- Class A-4, $910,408,000, confirmed at Aaa; previously on 4/16/2010 placed on review for possible downgrade -- Class A-1A, $421,129,794, confirmed at Aaa; previously on 4/16/2010 placed on review for possible downgrade -- Class X, Notional, affirmed at Aaa, previously assigned Aaa on 9/11/2007 -- Class AM, $227,893,000, downgraded to Aa2 from Aaa; previously on 4/16/2010 placed on review for possible downgrade -- Class A-MFL, $70,000,000, downgraded to Aa2 from Aaa; previously on 4/16/2010 placed on review for possible downgrade -- Class A-J, $156,395,000, downgraded to Baa2 from A1; previously on 4/16/2010 placed on review for possible downgrade -- Class B, $33,513,000, downgraded to Baa3 from A2; previously on 4/16/2010 placed on review for possible downgrade -- Class C, $37,237,000, downgraded to B1 from A3; previously on 4/16/2010 placed on review for possible downgrade -- Class D, $33,513,000, downgraded to B3 from Baa1; previously on 4/16/2010 placed on review for possible downgrade -- Class E, $29,789,000, downgraded to Caa2 from Baa2; previously on 4/16/2010 placed on review for possible downgrade -- Class F, $29,790,000, downgraded to Caa3 from Baa3; previously on 4/16/2010 placed on review for possible downgrade -- Class G, $33,513,000, downgraded to Ca from Ba1; previously on 4/16/2010 placed on review for possible downgrade -- Class H, $37,236,000, downgraded to C from Ba3; previously on 4/16/2010 placed on review for possible downgrade -- Class J, $40,961,000, downgraded to C from B1; previously on 4/16/2010 placed on review for possible downgrade -- Class K, $29,789,000, downgraded to C from B3; previously on 4/16/2010 placed on review for possible downgrade LEGG MASON: S&P Downgrades Ratings on Six Classes of Notes ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on six classes from Legg Mason Real Estate CDO II Corp. and removed them from CreditWatch with negative implications. The downgrades follow S&P's analysis of the transaction using its updated U.S. commercial real estate collateralized debt obligation criteria, which was the primary driver of its rating actions. The downgrades also reflect S&P's estimated asset-specific recovery rates for the eight underlying loan assets ($87.9 million, 15.9% of the collateral pool) reported as defaulted in the April 2010 trustee report. 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 April 26, 2010 trustee report, the transaction's current asset pool included these: * Thirty-four whole loans and senior-participation loans ($435.6 million, 79.1%); * Four commercial mortgage-backed securities (CMBS) tranches ($62.7 million, 11.4%); * Five CRE CDO tranches ($27.3 million, 4.9%); and * Two subordinate-interest loans ($25.2 million, 4.6%). Standard & Poor's reviewed and updated its credit estimates for all of the nondefaulted loan assets. S&P based the analyses on its adjusted net cash flows, which S&P derived from the most recent financial data provided by the collateral manager, Legg Mason Real Estate Capital II, 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 eight defaulted loan assets ($87.9 million, 15.9%). Standard & Poor's has estimated asset-specific recovery rates for the loan assets reported as defaulted, which ranged from 42.7% to 70.9%. S&P based S&P's recovery rates on the information from the collateral manager, special servicer, and third-party data providers. The defaulted loan assets are: * The Felcor Portfolio pari passu loan ($21.2 million, 3.9%); * The Bella Vista senior-interest loan ($14.6 million, 2.7%); * The Inwood Portfolio senior-interest loan ($11.0 million, 2.0%); * The Hamilton Building pari passu loan ($9.8 million, 1.8%); * The Huntington Ridge Apartments senior-interest loan ($8.5 million, 1.5%); * The Fairway Estates senior-interest loan ($8.2 million, 1.5%); * The Court Glen senior-interest loan ($7.9 million, 1.4%); and * The Store It Here senior-interest loan ($6.7 million, 1.2%). Standard & Poor's analyzed the transaction and its underlying collateral assets in accordance with its current criteria. S&P's analysis is consistent with the lowered ratings. Ratings Lowered And Removed From Creditwatch Negative Legg Mason Real Estate CDO II Corp. Collateralized debt obligations Rating ------ Class To From ----- -- ---- A-1T BBB+ AAA/Watch Neg A-1R BBB+ AAA/Watch Neg A-2 BB+ AAA/Watch Neg B BB+ AA+/Watch Neg C B+ A/Watch Neg D B+ A-/Watch Neg LEGG MASON: S&P Downgrades Ratings on 10 Classes of Notes --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 10 classes from Legg Mason Real Estate CDO I Ltd. and removed them from CreditWatch with negative implications. The downgrades follow S&P's analysis of the transaction using its updated U.S. commercial real estate collateralized debt obligation criteria, which was the primary driver of S&P's rating actions. The downgrades also reflect S&P's estimated asset-specific recovery rates for the six underlying loan assets ($79.9 million, 14.8% of the collateral pool) reported as defaulted in the April 2010 trustee report. 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 April 26, 2010, trustee report, the transaction's current asset pool included these: * Thirty-one whole loans and senior-participation loans ($478.9 million, 88.6%); * Three subordinate-interest loans ($36.5 million, 6.7%); and * Four commercial mortgage-backed securities (CMBS) tranches ($25.2 million, 4.7%). Standard & Poor's reviewed and updated its credit estimates for all of the nondefaulted loan assets. S&P based the analyses on its adjusted net cash flows, which S&P derived from the most recent financial data provided by the collateral manager, Legg Mason Real Estate Capital II, 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 six defaulted loan assets ($79.9 million, 14.8%) and one defaulted CMBS tranche ($5.0 million, 0.9%). Standard & Poor's has estimated asset-specific recovery rates for the loan assets reported as defaulted, which ranged from 0% to 73.2%. S&P based its recovery rates on the information from the collateral manager, special servicer, and third-party data providers. The defaulted loan assets are: * The 200 Building senior-interest loan ($19.6 million, 3.6%); * The Felcor Portfolio pari passu loan ($17.4 million, 3.2%); * The Taylors Crossing senior-interest loan ($15.2 million, 2.8%); * The Extended Stay Hotel Portfolio subordinated loan ($10.0 million, 1.9%); * The Casa Grande Apartments senior-interest loan ($9.9 million, 1.8%); and * The Hamilton Building pari passu loan ($7.9 million, 1.5%). Standard & Poor's analyzed the transaction and its underlying collateral assets in accordance with S&P's current criteria. S&P's analysis is consistent with the lowered ratings. Ratings Lowered And Removed From Creditwatch Negative Legg Mason Real Estate CDO I Ltd. Collateralized debt obligations Rating ------ Class To From ----- -- ---- A-IT BBB+ AAA/Watch Neg A-R BBB+ AAA/Watch Neg A-2 BB+ AAA/Watch Neg B BB+ AA/Watch Neg C BB A+/Watch Neg D B+ A/Watch Neg E B A-/Watch Neg F-1 B- BBB+/Watch Neg F-2 B- BBB+/Watch Neg G CCC+ BBB/Watch Neg LNR CDO: Fitch Downgrades Ratings on All Classes of 2002-1 Notes ---------------------------------------------------------------- Fitch Ratings has downgraded all classes of LNR CDO 2002-1 Ltd./Corp. as a result of increased interest shortfalls and losses to the underlying commercial mortgage-backed securities. Since Fitch's last rating action in January 2009, the credit quality of the portfolio has declined to a current weighted average Fitch derived rating of 'CCC+', down from 'B-' at last review. Further, 15.3% of the portfolio is currently on Rating Watch Negative. Approximately 89.6% of the portfolio has a Fitch derived rating below investment grade; 42% has a rating in the 'CCC' category and below. As of the April 22, 2010 trustee report, 48.2% of the portfolio is experiencing interest shortfalls. The CDO has experienced approximately $132.7 million in losses to date. Due to the failure of the class D overcollateralization tests, all interest proceeds beyond the payment of classes D-FX and D-FL have been reallocated to redeem approximately $11.7 million of class A principal since Fitch's 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. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. Fitch also analyzed the structure's sensitivity to the assets that are experiencing interest shortfalls (48.2% of the portfolio). Based on this analysis, the class A notes' breakeven rates are generally consistent with the 'A' rating category and the breakeven rates for the B and C notes are generally consistent with the 'BBB' and 'BB' rating category, respectively. The breakeven rates for classes D through H fail Fitch's base cash flow model stress. These classes' respective credit enhancement levels were compared to the percent of underlying collateral experiencing interest shortfalls. Classes D-FX and D-FL have been downgraded to 'CCC' since default is a real possibility. Although, their credit enhancement level currently exceeds the total percentage of assets experiencing interest shortfalls, further deterioration could quickly erode that cushion. Classes E-FX, E-FX, and E-FL have been downgraded to 'CC' given that default appears probable since their credit enhancement level is slightly below the total percentage of assets experiencing interest shortfalls. Fitch believes that for classes F through H default appears inevitable because Fitch does not expect full recoveries on these classes. As such, classes F through H have been downgraded to 'C'. The Negative Rating Outlook on the class A through C notes reflects Fitch's expectation that underlying CMBS loans will continue to face refinance risk at maturity. 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. LNR 2002-1 is backed by 130 tranches from 22 CMBS transactions and is considered a CMBS B-piece resecuritization (also referred to as first loss CRE CDO) as it includes the most junior bonds of CMBS transactions. The transaction closed in July 2002. Fitch has downgraded, assigned LS ratings and revised Outlooks for these classes as indicated: -- $86,379,943 class A notes to 'A/LS5' from 'AA'; Outlook to Negative from Stable; -- $80,000,000 class B notes to 'BBB/LS5' from 'A+'; Outlook to Negative from Stable; -- $25,000,000 class C notes to 'BB/LS5' from 'A'; Outlook to Negative from Stable; -- $40,150,000 class D-FX notes to 'CCC' from 'BBB-'; -- $45,000,000 class D-FL notes to 'CCC' from 'BBB-'; -- $22,000,000 class E-FX notes to 'CC' from 'BB'; -- $33,059,000 class E-FXD notes to 'CC' from 'BB'; -- $21,000,000 class E-FL notes to 'CC' from 'BB'; -- $25,000,000 class F-FX notes to 'C' from 'B+'; -- $27,041,000 class F-FL notes to 'C' from 'B+'; -- $40,032,000 class G notes to 'C' from 'B-'; -- $54,042,000 class H notes to 'C' from 'CCC'. Fitch does not assign Rating Outlooks to classes rated 'CCC' or lower. The Rating Outlooks for classes D-FX, D-FL, E-FX, E-FXD, E-FL, F-FX, F-FL, and G were Stable prior to the downgrades. MARATHON STRUCTURED: Fitch Downgrades Rating on A-1 Notes to 'C' ---------------------------------------------------------------- Fitch Ratings has downgraded one class of notes issued by Marathon Structured Funding I, LLC, as a result of continued credit deterioration in the portfolio since Fitch's last rating action in May 2009. As of the April 15, 2010 trustee report, the current balance of the portfolio is $78.8 million. Approximately 62.1% of the portfolio has been downgraded since May 2009, resulting in 88.8% of the portfolio with a Fitch derived rating below investment grade and 78% with a rating in the 'CCC' rating category or below, compared to 75.1% and 52.7%, respectively, at last review. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs'. Due to the extent of collateral deterioration and the sequential pay structure of the transaction, Fitch believes that the likelihood of default can be assessed without using the Structured Finance Portfolio Credit Model or performing cash flow model analysis under the framework described in the 'Global Criteria for Cash Flow Analysis in CDOs - Amended' report. Fitch expects the class A-1 notes to continue to receive full interest payments, but the continued deterioration of the portfolio resulted in the class A-1 notes being significantly undercollateralized. Fitch believes default is inevitable for this class of notes. Marathon I is a structured finance collateralized debt obligation that closed in March 2005 and is managed by Marathon Asset Management, LLC. The transaction exited its reinvestment period in January 2008. Marathon I's current portfolio is composed of approximately 59.3% subprime residential mortgage-backed securities, 32.9% of structured finance CDOs, 16.7% of corporate CDOs, and 2.2% commercial asset-backed securities. Fitch has downgraded this class: -- $102,710,786 class A-1 notes to 'C' from 'CCC'. Fitch does not assign Outlooks to classes rated 'CCC' and lower. MAX CMBS: S&P Downgrades Ratings on Six Classes of Notes -------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on six classes from MAX CMBS I Ltd.'s series 2007-1 and 2008-1 and COMM 2008-RS3 and removed them from CreditWatch negative. In addition, S&P affirmed its 'CCC-' ratings on 14 classes from two of these transactions. The downgrades reflect S&P's analysis of the transactions following its downgrades of 32 commercial mortgage-backed securities certificates that serve as collateral for MAX 2007-1 and MAX 2008-1. The certificates are from 23 transactions totaling $986.2 million (12.5% of the pool balance for these deals). The downgrades also reflect the lowering of S&P's credit estimates on all unrated CMBS collateral ($1.1 billion, 14.5%). The collateral for COMM 2008-RS3 consists of classes A-2A, A-2B, C, E, F, G, H, J, and K from MAX 2008-1. S&P lowered its ratings on the COMM 2008-RS3 classes concurrently with the downgrades of the respective MAX 2008-1 classes. MAX CMBS I Ltd., the issuer, has the ability to issue one or more series of notes. The first series, MAX 2007-1, is cross- collateralized with the second series, MAX 2008-1. The issuer in the COMM 2008-RS3 transaction is a grantor trust that primarily holds certain securities from MAX 2008-1 and has a similar priority of distribution. According to the May 20, 2010, trustee report, MAX 2008-1 and MAX 2007-1 are collateralized by 156 CMBS certificates ($7.114 billion, 90% of the combined transaction balances) from 99 distinct transactions issued between 2005 and 2007. The collateral also includes 12 collateralized debt obligation classes ($776.6 million, 10%) from 12 distinct transactions. MAX 2007-1 and MAX 2008-1 have exposure to Standard & Poor's downgraded CMBS, including these: * Greenwich Capital Commercial Funding Corp. 2007-GG9 (classes A- 4, A-M, and A-J; $226.2 million, 2.9%); * COMM 2007-C9 (classes A-M and A-J; $195.8 million, 2.5%); and * LB-UBS Commercial Mortgage Trust 2007-C6 (classes A-M and A-J; $70.5 million, 0.9%). Standard & Poor's analyzed MAX 2007-1, MAX 2008-1, and COMM 2008- RS3 and its underlying collateral according to S&P's current criteria. S&P's analysis is consistent with the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative MAX CMBS I Ltd. Series 2007-1 notes Rating ------ Class To From ----- -- ---- A-1 B+ BB+/Watch Neg MAX CMBS I Ltd. Series 2008-1 notes Rating ------ Class To From ----- -- ---- A-1 B+ BB+/Watch Neg A-2A CCC B/Watch Neg A-2B CCC B/Watch Neg COMM 2008-RS3 Commercial mortgage-related securities series 2008-RS3 Rating ------ Class To From ----- -- ---- A-2A CCC B/Watch Neg A-2B CCC B/Watch Neg Ratings Affirmed MAX CMBS I Ltd. Series 2008-1 notes Class Rating ----- ------ C CCC- E CCC- F CCC- G CCC- H CCC- J CCC- K CCC- COMM 2008-RS3 Commercial mortgage-related securities series 2008-RS3 Class Rating ----- ------ B CCC- C CCC- D CCC- E CCC- F CCC- G CCC- H CCC- ML-CFC COMMERCIAL: Moody's Affirms Ratings on Five Classes ---------------------------------------------------------- Moody's Investors Service affirmed the ratings of five classes, confirmed one class and downgraded 20 classes of ML-CFC Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-7. The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and highly leveraged watchlisted loans. The downgrades include Classes A-4, A-4FL and A-1A, which have the longest weighted average life among the super senior Aaa classes with 30% initial credit support. Depending on the magnitude, severity, and timing of losses from specially serviced loans and the balance of the pool, along with any loan payoffs, sequential paydowns may not reach these classes. Losses are likely to erode the credit enhancement cushion for the super senior classes creating a potential differential in expected loss between those super senior classes benefiting first from paydowns and those classes receiving paydowns last. Although Moody's believe that it is unlikely that Classes A-4, A-4FL and A-1A will actually experience losses, the expected level of credit enhancement and their priority in the cash flow waterfall no longer provide an adequate cushion to maintain Aaa ratings. The confirmation and affirmations are due to key rating parameters, including Moody's loan to value ratio, stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. On April 1, 2010, Moody's placed 21 classes of this transaction on review for possible downgrade. This action concludes Moody's review of this transaction. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the May 14, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 2% to $2.72 billion from $2.79 billion at securitization. The Certificates are collateralized by 324 mortgage loans ranging in size from less than 1% to 4% of the pool, with the top ten loans representing 20% of the pool. The pool contains two loans, representing 1% of the pool, with investment grade underlying ratings that remain unchanged since securitization. Seventy-seven loans, representing 22% 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 CRE Finance Council (formerly Commercial Mortgage Securities Association) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Five loans have been liquidated from the pool, resulting in an aggregate $9.1 million loss (24% loss severity on average). Currently, forty-nine loans, representing 23% of the pool, are in special servicing. The largest specially serviced loan is the One Pacific Plaza Loan ($105.0 million -- 3.9% of the pool), which is secured by a 428,244 square foot office building located in Huntington Beach, California. The loan was transferred to special servicing in November 2009 due to the borrower disclosing it could no longer cover debt service payments. Performance has declined since last review due to a decline in occupancy. The lender filed for foreclosure in January 2010 and a receivership hearing is scheduled for May 2010. As of April 2010 the property was 74% leased. The second largest specially serviced loan is the 10 Milk Street Loan ($58.0 million -- 2.1% of the pool), which is secured by a 229,843 SF class B office building located in the financial district area of Boston, Massachusetts. The loan was transferred to special servicing in March 2010 due to a borrower request for a loan modification. The property lost its two largest tenants resulting in a current leasing of 65%. The loan is current. The third largest specially serviced loan is the Mervyn's Corporate Headquarters Loan ($42.7 million -- 1.6% of the pool), which is secured by a 336,000 SF office building in Hayward, California. The loan was transferred to special servicing in October 2008 due to imminent default. The property was 100% leased to Mervyn's LLC for use as their corporate offices under a 20-year NNN lease. Mervyn's LLC filed for Chapter 11 bankruptcy protection in July 2008. It subsequently closed all of its stores and rejected the lease for this property in January 2009. The subject is currently 100% vacant and being marketed for sale by a local broker. The remaining 46 specially serviced loans are secured by a mix of multifamily, office, retail, industrial and lodging properties. Moody's estimates an aggregate $296.8 million loss for all specially serviced loans (47% expected loss on average). The servicer has recognized an aggregate $158.6 million appraisal reduction for 34 of the specially serviced loans. In addition to recognizing losses from specially serviced loans, Moody's has assumed a high default probability on nine loans which represent 5% of the pool and has estimated an aggregate loss of $17.5 million (overall 12% expected loss based on a overall 70% probability of default) from these troubled loans. Moody's rating action recognizes potential uncertainty around the timing and magnitude of loss from these troubled loans. Moody's was provided with partial 2009 or full-year 2008 operating results for 94% of the pool. Moody's weighted average LTV ratio, excluding the specially serviced and troubled loans, is 129% compared to 149% at Moody's prior review in February 2009. The previous review was part of Moody's first quarter 2009 ratings sweep of 2006-2008 vintage CMBS transactions. Moody's actual and stressed DSCR are 1.26X and 0.92X, respectively, compared to 1.04X and 0.85X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of the Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple-notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 122, essentially the same as at last review. The three largest performing loans represent 7% of the outstanding pool balance. The largest loan is the Commons at Calabasas Loan ($101.5 million -- 3.7% of the pool), which is secured by a 171,097 SF grocery anchored retail center located in Calabasas, California. As of January 2010 the property was 99% leased compared to 100% at year end 2008. Tenants include Ralphs Grocery Co. (31% of the net rentable area; lease expiration November 2023) and Edwards Theaters (20% of the NRA; lease expiration December 2023). The property is performing slightly below Moody's original projections due to increased operating expenses. Moody's LTV and stressed DSCR are 131% and 0.68X, respectively, compared to 151% and 0.63X at last review. The second largest performing loan is the Residence Inn Bethesda Loan ($46.3 million -- 1.7% of the pool), which is secured by a 187 room extended stay hotel located in Bethesda, Maryland. Occupancy and revenue per available room for the 12 month period ending December 2009 were 85% and $149, respectively, compared to 84% and $153 for the same period in 2008. The property has performed in-line with Moody's projections at securitization. Moody's LTV and stressed DSCR are 117% and 1.02X, respectively, compared to 154% and 0.81X at last review. The third largest performing loan is the Millbridge Apartments Loan ($40.0 million -- 1.5% of the pool), which is secured by an 848 unit multifamily complex located in Clementon, New Jersey. As of January 2010 the property was 91% leased compared to 96% at year end 2007. The property has performed in-line with Moody's projections at securitization. This loan is currently on the master servicer's watchlist for failing a debt service coverage test in September 2009 which could result in termination of the current property management company. Moody's LTV and stressed DSCR are 115% and 0.80X, respectively, compared to 157% and 0.69X at last review. Moody's rating action is: -- Class A-1, $8,692,520, affirmed at Aaa; previously assigned to Aaa on 6/20/2007 -- Class X, Notional, affirmed at Aaa; previously assigned to Aaa on 6/20/2007 -- Class A-2, $110,798,000, affirmed at Aaa; previously assigned to Aaa on 6/20/2007 -- Class A-2FL, $30,000,000, affirmed at Aaa; previously assigned to Aaa on 6/20/2007 -- Class A-3FL, $204,236,000, affirmed at Aaa; previously assigned to Aaa on 6/20/2007 -- Class A-SB, $102,775,000, confirmed at Aaa; previously placed on review for possible downgrade on 4/1/2010 -- Class A-4, $787,943,000, downgraded to Aa2 from Aaa; previously placed on review for possible downgrade on 4/1/2010 -- Class A-4FL, $55,000,000, downgraded to Aa2 from Aaa; previously placed on review for possible downgrade on 4/1/2010 -- Class A-1A, $598,664,916, downgraded to Aa2 from Aaa; previously placed on review for possible downgrade on 4/1/2010 -- Class AM, $233,551,000, downgraded to A3 from Aaa; previously placed on review for possible downgrade on 4/1/2010 -- Class AM-FL, $45,000,000, downgraded to A3 from Aaa; previously placed on review for possible downgrade on 4/1/2010 -- Class AJ, $174,358,000, downgraded to B1 from A1; previously placed on review for possible downgrade on 4/1/2010 -- Class AJ-FL, $45,000,000, downgraded to B1 from A1; previously placed on review for possible downgrade on 4/1/2010 -- Class B, $55,710,000, downgraded to Caa1 from A3; previously placed on review for possible downgrade on 4/1/2010 -- Class C, $27,855,000, downgraded to Caa2 from Baa1; previously placed on review for possible downgrade on 4/1/2010 -- Class D, $45,264,000, downgraded to Caa3 from Baa3; previously placed on review for possible downgrade on 4/1/2010 -- Class E, $27,856,000, downgraded to Ca from Ba1; previously placed on review for possible downgrade on 4/1/2010 -- Class F, $34,818,000, downgraded to C from Ba2; previously placed on review for possible downgrade on 4/1/2010 -- Class G, $27,855,000, downgraded to C from B1; previously placed on review for possible downgrade on 4/1/2010 -- Class H, $24,373,000, downgraded to C from B3; previously placed on review for possible downgrade on 4/1/2010 -- Class J, $10,446,000, downgraded to C from Caa1; previously placed on review for possible downgrade on 4/1/2010 -- Class K, $10,446,000, downgraded to C from Caa1; previously placed on review for possible downgrade on 4/1/2010 -- Class L, $10,445,000, downgraded to C from Caa2; previously placed on review for possible downgrade on 4/1/2010 -- Class M, $6,964,000, downgraded to C from Caa2; previously placed on review for possible downgrade on 4/1/2010 -- Class N, $6,964,000, downgraded to C from Caa3; previously placed on review for possible downgrade on 4/1/2010 -- Class P, $6,964,000, downgraded to C from Caa3; previously placed on review for possible downgrade on 4/1/2010 MORGAN STANLEY: Fitch Affirms Ratings on 2003-HQ2 Certificates -------------------------------------------------------------- Fitch Ratings affirms, assigns Outlooks and Loss Severity ratings to Morgan Stanley Dean Witter Capital I, Inc.'s mortgage pass- through certificates, series 2003-HQ2: -- $107.1 million class A-1 at 'AAA/LS1', Outlook Stable; -- $522.2 million class A-2 at 'AAA/LS1', Outlook Stable; -- Interest-only class X-1 at 'AAA', Outlook Stable; -- Interest-only class X-2 at 'AAA', Outlook Stable; -- $39.6 million class B at 'AAA/LS1', Outlook Stable; -- $41.9 million class C at 'AA-/LS1', Outlook Stable; -- $9.3 million class D at 'A/LS2', Outlook Stable; -- $9.3 million class E at 'A-/LS2', Outlook Stable; -- $10.5 million class F at 'BBB/LS2', Outlook Stable; -- $8.2 million class G at 'BBB-/LS3', Outlook Stable; -- $14 million class H at 'BB+/LS2', Outlook Stable. Fitch does not rate these classes: -- $5.8 million class J; -- $2.3 million class K; -- $2.3 million class L; -- $4.7 million class M; -- $2.3 million class N; -- $5.3 million class O. The affirmations are the result of stable pool performance and minimal Fitch expected losses following Fitch's prospective review of potential stresses and expected losses associated with specially serviced assets. Fitch expects losses of less than 1% of the remaining pool balance, approximately $1.7 million, from the loans in special servicing and the loans that are not expected to refinance at maturity based on Fitch's refinance test. The Rating Outlooks reflect the likely direction of any changes to the ratings over the next one to two years. As of the May 2010 distribution date, the pool's aggregate principal balance has decreased 15.8% to $784.8 million, from $931.6 million at issuance. Twelve loans (15.8%) have defeased since issuance. As of the May 2010 distribution date, there are three loans in special servicing. The largest specially serviced loan (1.2%) is a 142,360 square foot single-story retail center located in Aberdeen, Washington. The sponsor DBSI, Inc. and master tenant for the property declared bankruptcy in November 2008. A plan to replace DBSI as the lessee was received and the reinstatement case was approved. The loan remains current at the special servicer and awaits final closing of the proposed plan. The second largest specially serviced loan (1%) transferred to special servicing in June 2009 due to the risk of imminent default. The loan is current at the special servicer and is performing under a three year extension modification which closed in April 2010. The collateral is a 57,600 square foot strip retail center in Miami, FL. Occupancy has declined to 63% as two major tenants have vacated. The third largest specially serviced loan (0.5%) transferred to special servicing in January 2009 due to imminent payment default. The borrower consented to the appointment of a receiver with the right to sell the asset and it remains on the market with discussions continuing. 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. Under this scenario, eight are not expected to pay off at maturity, with two loans incurring a loss when compared to Fitch's stressed value. MORGAN STANLEY: Fitch Downgrades Ratings on 1999-RM1 Certs. ----------------------------------------------------------- Fitch Ratings downgrades and assigns Recovery Ratings to Morgan Stanley Capital I Inc. Commercial Mortgage Pass-Through Certificates series 1999-RM1, as indicated: -- $8.6 million class N to 'C/RR1' from 'CCC'. Fitch upgrades and assigns a Loss Severity rating to this class: -- $6.2 million class H to 'AAA/LS3' from 'AA'; Outlook Stable. In addition, Fitch affirms, assigns LS ratings and revises Outlooks as indicated: -- Interest Only class X at 'AAA'; Outlook Stable; -- $8.6 million class J at 'A+/LS3'; Outlook Stable; -- $12.9 million class K at 'BBB/LS3'; Outlook Stable; -- $6.4 million class L at 'BBB-/LS3'; Outlook Stable; -- $8.6 million class M at 'B+/LS3'; Outlook revised to Negative from Stable. Fitch does not rate the $3.6 million class O certificates. The downgrade is the result of Fitch's revised loss estimates for the transaction following Fitch's prospective analysis which is similar to its recent vintage fixed rate CMBS analysis. Fitch expects potential losses of 10.0%, approximately $5.5 million, of the remaining pool balance from the loans in special servicing and the loans that are not expected to refinance at maturity based on Fitch's refinance test. The Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. As of the April 2010 distribution date, the pool's collateral balance has paid down 93.6% to $54.9 million from $859.3 million at issuance. Of the remaining 24 loans, one loan (3.1%) is defeased. Fitch has identified nine Loans of Concern (39.2%), including one asset in special servicing (7.5%). The specially serviced asset is a hotel property located Lexington, NC which had transferred to special servicing in December 2009. The property is in foreclosure and operations are being stabilized by the receiver. The largest Fitch Loan of Concern (14.24%) is secured by an office property located in Boulder, CO. The owner is the sole tenant of the property and has a lease that expires in September 2010. 25% of the space is subleased. The second largest Fitch Loan of Concern (5.2%) is a manufactured housing community located in Springfield, MI. The borrower has requested a loan modification. The borrower is having trouble increasing occupancy, due to the difficulty of finding financing for renters of mobile homes. Fitch stressed the cash flow of the remaining non-defeased loans by applying a 10% reduction to 2008 fiscal year end net operating income or adjusted 2009 cash flow and applying an adjusted market cap rate between 7.25% and 10.5% to determine value. Similar to Fitch's prospective analysis of recent vintage CMBS, each loan also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. Loans that could refinance to a debt service coverage ratio of 1.25 times or higher were considered to payoff at maturity. Under this scenario, all loans are expected to refinance at maturity. MORGAN STANLEY: Fitch Downgrades Ratings on 2000-LIFE2 Certs. ------------------------------------------------------------- Fitch Ratings has downgraded and assigned Recovery Ratings to Morgan Stanley Dean Witter Capital I Trust's commercial mortgage pass-through certificates, series 2000-LIFE2: -- $9.2 million class J to 'CCC/RR1' from 'BB+'; -- $3.1 million class K to 'CCC/RR1' from 'BB'; -- $4 million class L to 'CC/RR1' from 'B+'; -- $6.7 million class M to 'C/RR4' from 'B'; -- $2.9 million class N to 'C/RR6' from 'B-'; -- $1 million class O to 'C/RR6' from 'CCC'. In addition, Fitch has affirmed these classes and assigned Loss Severity ratings and Rating Outlooks: -- $187.4 million class A-2 at 'AAA/LS1'; Outlook Stable; -- Interest-only class X at 'AAA'; Outlook Stable; -- $23 million class B at 'AAA/LS1'; Outlook Stable; -- $24.9 million class C at 'AAA/LS1'; Outlook Stable; -- $6.9 million class D at 'AAA/LS5'; Outlook Stable; -- $18.8 million class E at 'A+/LS3'; Outlook Stable; -- $7.7 million class F at 'A-/LS4'; Outlook Stable; -- $3.1 million class G at 'BBB+/LS5'; Outlook Stable; -- $9.6 million class H at 'BBB-/LS4'; Outlook Negative. Fitch does not rate the $5.5 million class P certificates. The downgrades are due to an increase in Fitch expected losses following Fitch's prospective review of potential stresses and expected losses associated with specially serviced assets. Fitch expects losses of 4.67% of the remaining pool balance, approximately $14.6 million, from the loans in special servicing and the loans that are not expected to refinance at maturity based on Fitch's refinance test. As of the May 2010 distribution date, the pool's collateral balance has paid down 59% to $313.5 million from $765.3 million at issuance. 14 of the remaining 55 loans have defeased (24.8%). As of May 2010, there are ten specially serviced loans (12.4%). The largest specially serviced loan (3.9%), is secured by a 117,792 square foot office building located in Denver, CO. The loan transferred to special servicing in June 2009 for monetary default. The special servicer is working to take title to the asset through a foreclosure sale scheduled this month. Per the servicer, the January 2010 occupancy was 97.6%. The second largest specially serviced loan (1.8%) is secured by a 202 unit multifamily property located in Rock Hill, SC. The loan transferred to special servicing due to monetary default. The special servicing is pursuing foreclosure and has reported the most recent occupancy to be 67% as of January 2010 with a year end 2009 debt service coverage ratio of .68 times. 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. Fitch considered loans that could refinance to a debt service coverage ratio of 1.25 times or higher to payoff at maturity. Under this scenario, three loans are not expected to payoff at maturity however they did not incur a loss when compared to Fitch's stressed value. MORGAN STANLEY: Moody's Downgrades Ratings on Series 2006-23 Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has downgraded its rating on notes issued by Morgan Stanley ACES SPC, Series 2006-23, a collateralized debt obligation transaction referencing a static portfolio of corporate entities. The rating actions: Issuer: Morgan Stanley ACES SPC, Series 2006-23 -- US$10,000,000 Class IB Secured Fixed Rate Notes due September 20, 2016, Downgraded to Caa3; previously on Feb 25, 2009 Downgraded to Caa2 Moody's explained that the rating actions taken are the result of the deterioration of the credit quality of the reference portfolio. The 10 year weighted average rating factor of the portfolio, not adjusted with forward looking measures, has deteriorated from 955 from the last rating action to 1354, equivalent to an average rating of the current portfolio of Ba2. Since inception of the transaction, the subordination of the rated tranches has been reduced due to credit events on CIT Group Inc., Thomson S.A., Syncora Guarantee Inc, Idearc, Federal Home Loan Mortgage Corp., Federal National Mortgage Association, Lehman Brothers Holdings Inc., Aiful Corporation and Ambac Assurance Corporation. Six of these nine credits events occured after the last rating action taken on February 25, 2009, when the transaction was downgraded to Caa2. The seven credit events for which a cash settlement has been determined lead to a decrease of approximately 3.0% of the subordination of the tranche. Based on the information provided by the last Trustee report, the determination of the losses due to the last two credit events are pending a valuation process according to the documentation of the transaction. The portfolio has the highest industry concentrations in Insurance (10%), Telecommunications (7.5%), and Energy (6.7%). MORGAN STANLEY: Moody's Reviews Ratings on 12 2004-TOP15 Certs. --------------------------------------------------------------- Moody's Investors Service placed 12 classes of Morgan Stanley Capital I Inc., Commercial Mortgage Pass-Through Certificates, Series 2004-TOP15 on review for possible downgrade due to higher expected losses for the pool resulting from anticipated losses from loans in special servicing and increased credit quality dispersion. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the May 13, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 17% to $738.8 million from $889.8 million at securitization. The Certificates are collateralized by 109 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans representing 43% of the pool. Eighteen 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 CRE Finance Council (formerly Commercial Mortgage Securities Association) 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, representing 2% of the pool, are currently in special servicing. The largest specially serviced loan is the Aiken Exchange Loan ($7.4 million -- 1.0% of the pool), which is secured by a 101,000 square foot retail center located in Aiken, South Carolina. This loan is currently in the process of foreclosure. The remaining three specially serviced loans are secured by a mix of multifamily, hotel and industrial properties. Moody's review will focus on the performance of the overall pool and potential losses from specially serviced and troubled loans. Moody's rating action is: -- Class B, $22,243,000, Aa2 on review for possible downgrade; previously assigned Aa2 on 8/4/2004 -- Class C, $23,356,000, A2 on review for possible downgrade; previously assigned A2 on 8/4/2004 -- Class D, $5,561,000, A3 on review for possible downgrade; previously assigned A3 on 8/4/2004 -- Class E, $8,897,000, Baa1 on review for possible downgrade; previously assigned Baa1 on 8/4/2004 -- Class F, $6,674,000, Baa2 on review for possible downgrade; previously assigned Baa2 on 8/4/2004 -- Class G, $8,897,000, Baa3 on review for possible downgrade; previously assigned Baa3 on 8/4/2004 -- Class H, $3,337,000, Ba1 on review for possible downgrade; previously assigned Ba1 on 8/4/2004 -- Class J, $3,337,000, Ba2 on review for possible downgrade; previously assigned Ba2 on 8/4/2004 -- Class K, $2,224,000, Ba3 on review for possible downgrade; previously assigned Ba3 on 8/4/2004 -- Class L, $2,224,000, B1 on review for possible downgrade; previously assigned B1 on 8/4/2004 -- Class M, $2,225,000, B2 on review for possible downgrade; previously assigned B2 on 8/4/2004 -- Class N, $2,224,000, B3 on review for possible downgrade; previously assigned B3 on 8/4/2004 MOUNTAIN VIEW: Moody's Upgrades Ratings on Five Classes ------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Mountain View CLO III Ltd.: -- US$75,000,000 Class A-2 Floating Rate Notes, Due April, 2021, Upgraded to A1; previously on March 17, 2010 A2 Placed Under Review for Possible Upgrade; -- US$25,000,000 Class B Floating Rate Notes, Due April, 2021, Upgraded to Baa1; previously on March 17, 2010 Baa2 Placed Under Review for Possible Upgrade; -- US$31,000,000 Class C Floating Rate Deferrable Notes, Due April, 2021, Upgraded to Ba1; previously on March 17, 2010 Ba2 Placed Under Review for Possible Upgrade; -- US$24,000,000 Class D Floating Rate Deferrable Notes, Due April, 2021, Upgraded to B2; previously on March 17, 2010 Caa2 Placed Under Review for Possible Upgrade; -- US$14,000,000 Class E Floating Rate Deferrable Notes, Due April, 2021, Upgraded to Caa3; previously on March 17, 2010 Ca Placed Under Review for Possible Upgrade. 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 rated notes since the last rating action in June 2009. Improvement in the credit quality is observed through an increase in the average credit rating (as measured through the weighted average rating factor). In particular, the weighted average rating factor has decreased from 2824 as of the May 2009 trustee report to 2588 as of the last trustee report, dated April 30, 2010. In undertaking its analysis, Moody's took into consideration a notable decrease in the proportion of securities under review for possible downgrade or with negative outlook, which was reflected in the weighted average rating factor assumed in its modeling. Credit improvement is also observed in a decrease in the dollar amount of defaulted securities, which has declined to about $10MM from approximately $12MM in May 2009. Due to the impact of revised and updated key assumptions referenced in the latest Moody's CLO methodology, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. The overcollateralization of the rated notes has increased since the last rating action in June 2009. Currently, all these tests are in compliance whereas Class E Par Value Test was failing in May 2009. As of the April 2010 trustee report, the Class A/B, Class C, Class D, and Class E Par Value Tests are reported at 121.5%, 112.7%, 106.7%, and 103.5% versus May 2009 levels of 119.7%, 111.1%, 105.2%, and 102.0%, respectively. Mountain View CLO III Ltd., issued in May 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. MOUNTAIN VIEW: Moody's Upgrades Ratings on Eight Classes -------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Mountain View Funding CLO 2006-1, Ltd.: -- US$305,000,000 Class A-1 Floating Rate Notes Due April 2019, Upgraded to Aa3; previously on April 15, 2010 A1 Placed Under Review for Upgrade; -- US$40,000,000 Class A-2 Variable Funding Floating Rate Notes Due April 2019, Upgraded to Aa3; previously on April 15, 2010 A1 Placed Under Review for Upgrade; -- US$18,000,000 Class B-1 Floating Rate Notes Due April 2019, Upgraded to Baa1; previously on April 15, 2010 Baa2 Placed Under Review for Upgrade; -- US$8,000,000 Class B-2 Fixed Rate Notes Due April 2019, Upgraded to Baa1; previously on April 15, 2010 Baa2 Placed Under Review for Upgrade; -- US$11,000,000 Class C-1 Floating Rate Deferrable Notes Due April 2019, Upgraded to Ba1; previously on April 15, 2010 Ba2 Placed Under Review for Upgrade; -- US$12,000,000 Class C-2 Fixed Rate Deferrable Notes Due April 2019, Upgraded to Ba1; previously on April 15, 2010 Ba2 Placed Under Review for Upgrade; -- US$19,500,000 Class D Floating Rate Deferrable Notes Due April 2019, Upgraded to B2; previously on April 15, 2010 Caa2 Placed Under Review for Upgrade; -- US$13,500,000 Class E Floating Rate Deferrable Notes Due April 2019, Upgraded to Caa3; previously on April 15, 2010 Ca Placed Under Review for Upgrade. According to Moody's, the rating actions taken on the notes result primarily from improvement in the credit quality of the underlying portfolio, an increase in the overcollateralization of the notes, and reduction in the exposure to second lien loans and defaulted assets since the rating action in July 2009. Improvement in the credit quality is observed through an increase in the average credit rating (as measured through the weighted average rating factor). In particular, as of the latest trustee report dated May 3, 2010, the weighted average rating factor has decreased from 2722 in July 2009 to 2617 as of the last trustee report. In undertaking its analysis, Moody's took into consideration a notable decrease in the proportion of securities under review for possible downgrade or with negative outlook, which was reflected in the weighted average rating factor assumed in its modeling. Credit improvement is also observed in a decrease in the dollar amount of defaulted securities, which has declined to about $6.4MM from approximately $13.6MM in July 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 the rating action in July 2009. The Class A/B, Class C, Class D, and Class E overcollateralization ratios are reported at 118.70%, 111.72%, 106.41%, and 103.03%, respectively, versus July 2009 levels of 117.32%, 110.39%, 105.13%, and 101.73%, respectively, and all related overcollateralization tests are currently in compliance. Moody's notes that the Class E notes are no longer deferring interest and all deferred interest has been repaid. Mountain View Funding CLO 2006-1, Ltd., issued in May 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. NATIONSLINK FUNDING: Fitch Affirms Ratings on 1999-SL Certs. ------------------------------------------------------------ Fitch Ratings affirms, assigns Loss Severity ratings, and Rating Outlooks to NationsLink Funding Corporation's commercial mortgage pass-through certificates, series 1999-SL: -- $4.5 million class F at 'BB+/LS5'; Outlook Stable; -- $6.6 million class G at 'BB/LS5'; Outlook Stable. Fitch does not rate the notional $24.1 million class X. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-IV, B, C, D, and E have paid in full. The rating affirmations are the result of stable performance, no delinquencies, and $13 million in overcollateralization to offset the increased concentration, adverse selection and limited financial reporting. As of the April 2010 distribution date, the pool's collateral balance has been reduced 99%, to $11.1 million from $1.18 billion at issuance. Although, the transaction has paid down significantly, the pool still remains diverse by property type with 169 loans of the original 2,755 remaining. The transaction's structure has reverted to standard sequential pay. The deal includes an overcollateralization feature which creates a first loss piece that absorbs any losses that otherwise would result in principal loss to the trust. The current overcollateralization amount is equal to $13 million (over 100% of the pool). To date, the overcollateralization structure of the pool has prevented any principal losses to the trust. The transaction continues to have stable performance with a history of low delinquencies. Approximately 1% of the pool is scheduled to mature through the remainder of 2010, 7% in 2011, 29% in 2012 and 62% in 2013. The weighted average mortgage coupon for the pool is 7.91%. There are currently no delinquent or specially serviced loans in the deal. Fitch has identified six loans (1.1%) as Fitch Loans of Concern due to upcoming maturities within the next six months. NATIONSLINK FUNDING: Moody's Upgrades Rating on Series 1999-1 ------------------------------------------------------------- Moody's Investors Service upgraded the rating of one class and affirmed one class of NationsLink Funding Corporation, Commercial Mortgage Pass-Through Certificates, Series 1999-1. The rating action is due to significant increased credit subordination resulting from loan payoffs and amortization and key rating parameters, including Moody's loan to value ratio and Moody's stressed debt service coverage ratio, remaining within acceptable ranges. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the May 20, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $28.0 million from $1.2 billion at securitization. The Certificates are collateralized by 21 mortgage loans ranging in size from 1% to 14% of the pool, with the top ten loans representing 76% of the pool. Two loans, representing 6% of the pool, have defeased and are secured by U.S. Government securities. No loans have underlying ratings. Six loans have been liquidated from the pool, resulting in an aggregate $5.4 million realized loss (18% loss severity on average). One loan, representing 2% of the pool, is on the master servicer's watchlist. A second loan, representing 3% of the pool, is currently in special servicing and is pending return to the master servicer. Moody's has assumed a high default probability on one poorly performing loan, representing 2% of the pool. Moody's has estimated an aggregate $0.2 million expected loss for the troubled loan (38% expected loss severity assuming a 75% probability of default). Moody's was provided with full-year 2008 and full-year 2009 operating results for 100% of the performing loans. Excluding the troubled loan, Moody's weighted average LTV ratio is 51% compared to 71% at last review. Excluding the troubled loan, Moody's actual and stressed DSCR are 1.99X and 2.91X, respectively, compared to 1.64X and 1.75X 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 the Herfindahl Index 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, excluding defeased loans, has a Herf of 10 compared to 101 at last full review. The decline in Herf has been mitigated by increased credit support. The pool balance has declined by 67% since Moody's last review. Moody's rating action is: -- Class X, Notional, affirmed at Aaa; previously assigned Aaa on 2/05/1999 -- Class J, $2,133,307, upgraded to A3 from B3; previously assigned B3 on 2/05/1999 NELSON RE: Moody's Takes Rating Actions on Catastrophe Bonds ------------------------------------------------------------ Moody's Investors Service has taken these rating actions on the Class H and Class I catastrophe bonds of Nelson Re Ltd.: -- Class H ($45.0 million) catastrophe bonds confirmed at B3 with a stable outlook (removed from under review for possible downgrade); -- Class I ($67.5 million) catastrophe bonds confirmed at B1 with a stable outlook (removed from under review for possible downgrade). The Class G ($67.5 million) catastrophe bonds remain at Ca with a developing outlook. In November 2009, Moody's placed the Class H and I notes on review for possible downgrade due to organizational changes at Nelson Re's sponsor, Glacier Reinsurance AG (and not because of incurred losses), and what impact this might have on client's perceptions and the quality of business ceded to Nelson Re. Based on discussions with Glacier Re and portfolio statistics as of April 1, 2010, Moody's believes that the quality of the bound portfolio remains largely consistent with that contemplated when the ratings were originally assigned. In particular, the average limit per contract has gone down slightly and the average modeled loss per treaty has remained stable. Furthermore, in Moody's opinion, recent Windstorm Xynthia losses will not attach the Class H or I notes. For these reasons, the rating agency has decided to remove the Class H and I notes from under review and confirmed the ratings with a stable outlook. The Ca rating on the Class G securities assumes that the notes will attach due to Hurricane Ike (2009) and that recovery of promised principal and interest will be less than 60%. The developing outlook reflects the possibility that ultimate recoveries could be significantly better or worse than contemplated. The extent of ultimate recoveries remains very uncertain at this point as ceding companies continue to report losses to Glacier and Glacier continues to pay out losses. Nelson Re issued the Class G, H and I notes in June 2008 as a way for note holders to provide per occurrence excess-of-loss reinsurance to Glacier Re for U.S. hurricane/earthquake events (Class G) and European windstorm events (Class H and I). The last rating action occurred on November 24, 2009 when Moody's downgraded the Class G bonds to Ca with a developing outlook and placed the Class H and I bonds under review for possible downgrade. NORTH STREET: Moody's Downgrades Ratings on Four Classes -------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of four class of notes issued North Street Reference Linked Notes, 2003-5 Ltd. The notes affected by the rating action are: -- US$50,000,000 Class A-1 Floating Rate Notes, Downgraded to Caa2; previously on March 12, 2009 Downgraded to Ba1; -- US$50,000,000 Class A-2 Floating Rate Notes, Downgraded to Caa2; previously on March 12, 2009 Downgraded to Ba1; -- US$25,000,000 Class B-1 Floating Rate Notes, Downgraded to Ca; previously on March 12, 2009 Downgraded to B2; -- US$25,000,000 Class B-2 Floating Rate Notes, Downgraded to Ca; previously on March 12, 2009 Downgraded to B2. North Street Reference Linked Notes, 2003-5 Ltd., is a synthetic collateralized debt obligation issuance that references a portfolio of primarily Residential Mortgage Backed Securities with the majority originated in 2003 and 2004. According to Moody's, the rating downgrade action is the result of deterioration in the credit quality of the reference obligations. Credit deterioration is observed through numerous factors, including an increase in the Moody's Weighted Average Rating Factor and an increase in assets rated Caa1 or below. As reported by the trustee, the Moody's WARF of the reference portfolio has increased from 430 in March 2009 to 842 in May 2010 and reference obligations rated Caa1 or below increased from approximately 3.3% to 7.7% respectively. Moody's explained that in arriving at the rating actions noted above, the ratings of 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 pre-2005 vintage RMBS, Moody's considered the various factors indicating continued negative performance that were described in Moody's press releases dated April 8th for subprime, April 12th for Option-ARM and April 13th for Alt-A. Such seasoned deals will have varying stress based on RMBS asset type. For pre-2005 Alt-A, Aaa rated securities were stressed by four notches, Aa rated securities by six notches, and A or Baa rated securities by nine notches. Pre-2005 Option-ARM securities currently rated Aaa were stressed by two notches, Aa and A by six notches, and Baa by nine notches. For pre-2005 subprime, Aaa and Aa rated securities were stressed by two notches, A rated securities were stressed by six notches, and Baa rated securities were stressed by nine notches. All subprime, Alt-A and Option-ARM RMBS securities which originated prior to 2005, are currently rated Ba or below, and are also currently on review for possible downgrade have been stressed to Ca. 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 that are no longer on review for downgrade. 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. PASCO COUNTY: Moody's Affirms 'Ba3' Rating on Bonds --------------------------------------------------- Moody's Investors Service has affirmed the Ba3 rating on $1,165,000 of outstanding Pasco County (Florida) Federal Assisted Housing Inc, Mortgage Revenue Bonds, Series 1979 (Hudson Hills - Section 8). The negative outlook has also been affirmed. The rating is based primarily upon a low debt service coverage ratio, as well as ongoing financial support from the Pasco County Housing Authority. Legal Security: The bonds are secured by revenues derived from operations of Hudson Hills Manor, a 64-unit multifamily rental property located in Pasco County, Florida. Pledged revenues include payments received from a Housing Assistance Payment Contract with the Department of Housing and Urban Development. Though Hudson Hills has been receiving financial support from Pasco County Housing Authority since 2003, the Authority is not legally obligated to continue to support the property. The rating on the Series 1979 addresses the operating performance of the property independent of the financial support provided by the Authority. Strengths: Rent levels: Hudson Hills Manor's rent levels are substantially less than the Fair Market Rent levels in Pasco County for each apartment type available at the property. On average, the property's rent levels are 40% below FMR. Moody's views this as a credit strength because the property is eligible for annual rental rate increases under current HUD regulations, as well as the possibility of petitioning HUD for a larger, one-time rate increase to bring the property rent levels back in line with FMRs. Petitioning HUD for such an increase is at the option of the property manager. The property manager expects to receive a 1.8% increase in its HAP contract revenue in 2010 due to an Operating Cost Adjustment Factor increase. Occupancy: Property management reports that the physical occupancy of Hudson Hills Manor is approximately 95%. In addition, there are over 500 families on the property's waiting list. Reserve Funds: Funds held for the benefit of bondholders and the property are adequately funded. Fund balances provided by the Trustee show that the Debt Service Reserve Fund remains untapped and fully-funded, an important characteristic at this rating level. The Replacement Reserve Fund has an ample amount available for capital expenses. Maintaining the property's physical condition is important to support occupancy levels and remain eligible for the Section 8 subsidy. The current HUD REAC score for the property is 82c. The property has begun to accumulate a modest Surplus Fund balance, which may be used to pay debt service only after the Debt Service Reserve Fund has been used. Challenges: Volatility of Debt Service Coverage: While revenue has increased over the past three years, and automatic future increases are limited to HUD-approved HAP contract increases, operating expenses have been trending upwards as well. From fiscal year 2007 through fiscal year 2008, rental revenue increased by 1.3%, and from FY08 to FY09 increased by an additional 14.5%. Operating expenses increased by 7.8% and then fell by 2.8% over the same time periods. The Debt Service Coverage Ratio was 0.74x (FY2007), 0.57x (FY2008), and 0.93x (FY2009). While the recent trend in Debt Service Coverage is favorable, it is unclear whether the property's operating performance will continue to improve. Small size leads to vulnerability: The small size of this property makes it vulnerable to sudden shocks. Small reductions to revenue or increases in expenses lead to large debt service coverage changes. The property does not generate enough margin to cover unexpected changes to its financial position. Outlook The outlook on the bonds is negative. The property remains dependent on external support to remain financially viable. What could change the rating - UP? * Several periods of substantial debt service coverage growth * Operating without external financial support What could change the rating - DOWN? * Using Debt Service Reserve Fund moneys to pay debt service Key Statistics: * Debt outstanding: $1,165,000 * Bond maturity: 4/1/2020 * HAP contract maturity: 9/1/2020 * Debt Service Coverage Ratio: 0.74 (FY2007); 0.57 (FY2008); 0.93 (FY2009) * Occupancy: 95% * REAC: 82c * HAP as a percentage of FMR: 60% PREFERREDPLUS TRUST: Moody's Upgrades Ratings on Certs. From 'Ba1' ------------------------------------------------------------------ Moody's Investors Service announced that it has upgraded the rating of these certificates issued by PREFERREDPLUS Trust, Series UPC-1: * US$32,363,000 PREFERREDPLUS 7.40% Trust Certificates; Upgraded to Baa3; Previously on May 19, 2004 Downgraded to Ba1 The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of the underlying securities which are the $35,480,000 aggregate principal of the 6.75% Notes due December 15, 2028, issued by UnumProvident Corporation which were upgraded to Baa3 by Moody's on May 12, 2010. PRUDENTIAL SECURITIES: Moody's Downgrades Rating on 1999-C2 Notes ----------------------------------------------------------------- Moody's Investors Service downgraded the rating of one class and affirmed five classes of Prudential Securities Secured Financing, Commercial Mortgage Pass-Through Certificates, Series 1999-C2. The downgrade is due to higher expected losses for the pool resulting from realized and estimated losses from specially serviced and troubled loans. The affirmations are due to significant increased credit subordination resulting from loan payoffs and amortization and key rating parameters, including Moody's loan to value ratio and Moody's stressed debt service coverage ratio, remaining within acceptable ranges. The action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the May 17, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 87% to $112.4 million from $869.3 million at securitization. The Certificates are collateralized by 45 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans representing 49% of the pool. Five loans, representing 15% of the pool, have defeased and are secured by U.S. Government securities. No loans have underlying ratings. Twelve loans have been liquidated from the pool, resulting in an aggregate $14.4 million realized loss (13% loss severity on average). Five loans, representing 13% of the pool, are on the master servicer's watchlist. Six loans, representing 12% of the pool, are currently in special servicing. Moody's has assumed a high default probability on five poorly performing loans, representing 13% of the pool. Moody's has estimated an aggregate $12.2 million expected loss for the specially serviced and troubled loans (43% expected loss on average, assuming a 100% probability of default for specially serviced loans and 75% probability of default for troubled loans). Moody's was provided with full-year 2009 and partial-year 2009 operating results for 96% and 100% of the performing loans, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV ratio is 65% compared to 75% at Moody's last full review. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCR are 1.40X and 1.94X, respectively, compared to 1.51X and 1.70X at last full review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of the Herfindahl Index 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, excluding defeased loans, has a Herf of 15 compared to 79 at last full review. The decline in Herf has been mitigated by increased credit support. The pool balance has declined by 41% since Moody's last review. Moody's rating action is: -- Class A-EC, Notional, affirmed at Aaa; previously assigned Aaa on 7/27/1999 -- Class A-EC2, Notional, affirmed at Aaa; previously assigned Aaa on 7/27/1999 -- Class E, $13,504,398, affirmed at Aaa; previously upgraded to Aaa from A1 on 6/29/2006 -- Class F, $15,213,000, affirmed at Aaa; previously upgraded to Aaa from Aa2 on 7/09/2007 -- Class G, $15,213,000, affirmed at Aaa; previously upgraded to Aaa from Aa3 on 9/25/2008 -- Class N, $8,693,000, downgraded to C from Caa1; previously downgraded to Caa1 from B3 on 6/29/2006 RESOURCE REAL: S&P Downgrades Ratings on Nine Classes of Notes -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on nine classes from Resource Real Estate Funding CDO 2006-1 Ltd. and removed them from CreditWatch with negative implications. The downgrades follow S&P's analysis of the transaction using its updated U.S. commercial real estate collateralized debt obligation criteria, which was the primary driver of S&P's rating actions. The downgrades also reflect S&P's estimated asset-specific recovery rates for one underlying loan asset ($10.5 million, 3.5% of the collateral pool) reported as impaired in the April 2010 trustee report. 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 April 26, 2010 trustee report, the transaction's current asset pool included these: * Eleven subordinate-interest loans ($148.9 million, 49.7%); * Seven whole loans and senior-participation loans ($116.2 million, 38.8%); * Four commercial mortgage-backed securities (CMBS) tranches ($17.5 million, 5.8%); and * Two CRE CDO tranches ($17.3 million, 5.8%). Standard & Poor's reviewed and updated its credit estimates for all of the non-impaired loan assets. S&P based the analyses on its adjusted net cash flows, which S&P derived from the most recent financial data provided by the collateral manager, Resource Real Estate Inc., and the trustee, Bank of America Merrill Lynch, as well as market and valuation data from third-party providers. According to the trustee report, the transaction includes one impaired loan asset, the Citigroup Property Investors Hilton Portfolio (Sage Portfolio) subordinated loan ($10.5 million, 3.5%). Standard & Poor's has estimated an asset-specific recovery rate of 58.3% for this asset. S&P based its recovery rate on the information from the collateral manager, special servicer, and third-party data providers. Standard & Poor's analyzed the transaction and its underlying collateral assets in accordance with its current criteria. S&P's analysis is consistent with the lowered ratings. Ratings Lowered And Removed From Creditwatch Negative Resource Real Estate Funding CDO 2006-1 Ltd. Collateralized debt obligations Rating ------ Class To From ----- -- ---- A-1 BBB+ AAA/Watch Neg A-2-FL BBB AAA/Watch Neg A-2-FX BBB AAA/Watch Neg B BBB AA/Watch Neg C BBB- A+/Watch Neg D BB+ A-/Watch Neg E BB+ BBB+/Watch Neg F BB BBB/Watch Neg G B+ BBB-/Watch Neg RUTLAND RATED: Moody's Junks Ratings on Credit-Linked Notes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the rating of one class of notes issued Rutland Rated Investments Series 13. The notes affected by the rating action are: -- Secured Floating Rate Credit Linked Notes due 2042, Downgraded to Caa3; previously on March 24, 2009 Downgraded to B3; Rutland Rated Investments Series 13 (Villa 2005-1) is a synthetic collateralized debt obligation issuance that references a portfolio of primarily Residential Mortgage Backed Securities with the majority originated in 2004 and 2005. According to Moody's, the rating downgrade action is the result of deterioration in the credit quality of the reference portfolio. Credit deterioration is observed through numerous factors, including an increase in the Moody's Weighted Average Rating Factor and an increase in the percentage of reference obligations rated Caa1 or below. As reported by the trustee, the Moody's WARF of the underlying pool of referece obligations has increased from 1,271 in March 2009 to 2,538 in May 2010 and the percentage of reference obligations rated Caa1 or below increased from approximately 10% to 22% respectively. Moody's explained that in arriving at the rating actions noted above, the ratings of 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 pre-2005 vintage RMBS, Moody's considered the various factors indicating continued negative performance that were described in Moody's press releases dated April 8th for subprime, April 12th for Option-ARM and April 13th for Alt-A. Such seasoned deals will have varying stress based on RMBS asset type. For pre-2005 Alt-A, Aaa rated securities were stressed by four notches, Aa rated securities by six notches, and A or Baa rated securities by nine notches. Pre-2005 Option-ARM securities currently rated Aaa were stressed by two notches, Aa and A by six notches, and Baa by nine notches. For pre-2005 subprime, Aaa and Aa rated securities were stressed by two notches, A rated securities were stressed by six notches, and Baa rated securities were stressed by nine notches. All subprime, Alt-A and Option-ARM RMBS securities which originated prior to 2005, are currently rated Ba or below, and are also currently on review for possible downgrade have been stressed to Ca. 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 that are no longer on review for downgrade. 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. SAGUARO ISSUER: Moody's Confirms Ratings on Two Units ----------------------------------------------------- Moody's Investors Service announced that it has confirmed the ratings of these units issued by Saguaro Issuer Trust: * Tranche: US$11,000,000 aggregate face amount of Principal Units, Series K; Confirmed at Ba1; Previously on September 18, 2009, Ba1, Placed on review for downgrade -- Underlying Security: $11,000,000 face amount of Undated Primary Capital Floating Rate Notes, Series A of National Westminster Bank PLC; Confirmed at Ba1 on April 22, 2010 * Tranche: US$34,000,000 aggregate face amount of Principal Units, Series L; Confirmed at Ba1; September 18, 2009, Ba1, Placed on review for downgrade -- Underlying Security: $34,000,000 face amount of Undated Primary Capital Floating Rate Notes, Series B of National Westminster Bank PLC; Confirmed at Ba1 on April 22, 2010 The transaction is a structured note whose ratings change with the ratings of the underlying Principal Certificates. The Principal Units are related to the Principal Certificates issued by IIG Funding Trust, which are, in turn, related to the underlying securities mentioned above. SALLIE MAE: S&P Downgrades Ratings on 63 Classes From 12 Deals -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 63 classes of notes and certificates from 12 Sallie Mae private student loan asset-backed securities transactions issued between 2002 and 2007. At the same time, S&P affirmed its ratings on the A-1 classes from series 2003-C, 2004-A, 2004-B, 2005-B, 2006-A, and 2006-B. S&P removed all 69 ratings from CreditWatch with negative implications. The downgrades reflect S&P's view of the deterioration in collateral performance for these transactions, including higher- than-expected levels of delinquencies, defaults, and net losses, as well as reductions in available credit support, including excess spread. S&P's default projections and rating actions on each transaction also incorporate its negative outlook on private student loans for 2010 and its view that private student loan performance will likely remain under pressure over the next year. The affirmed ratings reflect S&P's view that the available credit enhancement is sufficient to support the respective classes at their current rating levels. S&P expects these classes to be fully repaid over the next three to nine months. Pool Performance For the quarterly performance period ended February 2010 (March 2010 quarterly distribution date), all 12 transactions had between 12 and 30 quarters of performance, with collateral pool factors (the principal balance remaining in the pool as a percent of the original pool balance) ranging between approximately 50% and 97%. At the same time, the percentage of loans in repayment was between 65% and 93% (see table 1). Table 1 Transaction seasoning Pool Series (quarters) factor (%) Repayment* (%) ------ ----------- ---------- -------------- 2002-A 30 49.64 93.21 2003-A 28 52.77 87.54 2003-B 27 60.31 85.79 2003-C 26 62.25 87.39 2004-A 24 62.98 85.72 2004-B 23 73.43 82.01 2005-A 20 77.12 78.97 2005-B 18 83.25 76.66 2006-A 16 89.85 72.87 2006-B 15 87.22 76.06 2006-C 14 88.52 70.76 2007-A 12 96.81 64.55 * Repayment: as a percent of the current collateral balance; does not include accrued interest. Ninety-plus-day delinquencies were up 118%-165% compared with the quarterly period ended November 2008 (following Sallie Mae's changes to its forbearance policy in late 2008) and ranged from 3.5% to 6.3% in February 2010. Total delinquencies increased 50%- 92% and ranged from 7.8% to 13.9% during same period (see table 2). On a year over year basis, total delinquencies increased approximately 4.0%-22.0%. Table 2 90-plus Total Series Forbearance (1)(%) delinq. (2)(%) delinq. (3)(%) ------ ------------------ -------------- -------------- 2002-A 0.96 3.49 7.84 2003-A 1.84 4.24 8.86 2003-B 1.79 4.64 9.51 2003-C 1.79 4.57 9.75 2004-A 1.75 4.95 10.35 2004-B 2.53 4.79 9.77 2005-A 3.29 5.95 11.25 2005-B 3.58 5.22 10.96 2006-A 4.37 4.84 10.87 2006-B 4.15 5.56 12.41 2006-C 4.61 6.32 13.93 2007-A 5.45 5.07 11.66 (1) Forbearance: as a % of loans in repayment and forbearance. (2) 90-plus day delinquencies: as a % of loans in repayment. (3) Total delinquencies: as a % of loans in repayment. The rate of defaults has accelerated over the past 12 months. Cumulative default percentages ranged between 5.0% and 10.2% in February, with increases of 5%-21% from the prior quarter and 39%- 271% from February 2009 (see table 3). Since Sallie Mae tightened its forbearance policy in late 2008, the balance of loans in forbearance declined significantly, from more than 10.0% for most of the transactions before the change in policy to current levels of approximately 1.0%-5.50%for the quarterly performance period ended February 2010. From the transaction closing dates until November 2008, Sallie Mae Inc., at its option, purchased all of the loans that became 180 days delinquent out of the Series 2002-A through 2005-A trusts. Accordingly, Sallie Mae has estimated cumulative defaults for these series using its current charge-off guidelines. The cumulative default percentages for each series in table 3 reflect the amount of defaulted principal only, as a percent of the initial collateral balance. The higher levels of delinquencies and defaults have eroded available credit support, as evidenced in the declining total parities and overcollateralization amounts. Total parity (the total pool balance plus the balance of the cash capitalization account, divided by the aggregate balance of the outstanding notes) levels for most transactions declined over the past year and were between 101.00% and 104.0%. Overcollateralization levels (the pool balance plus the cash capitalization account minus the aggregate note balance, divided by the aggregate note balance) have also decreased below their floors (2.00% of initial asset balance) for all transactions, except for the 2007-A transactions. Table 3 Cumulative Current-quarter 12-month cum. Series default (4)(%) default (5)(%) default (6)(%) ------ -------------- --------------- ------------- 2002-A 7.79 0.40 2.19 2003-A 8.33 0.54 2.95 2003-B 8.70 0.58 3.36 2003-C 9.36 0.62 3.64 2004-A 10.20 0.71 4.03 2004-B 8.02 0.69 3.86 2005-A 9.66 0.90 5.04 2005-B 6.74 0.76 3.97 2006-A 5.88 0.83 3.79 2006-B 7.05 1.03 4.57 2006-C 7.75 1.07 4.96 2007-A 4.98 0.86 3.64 (4) Cumulative default: as a % of initial collateral balance. (5) Current quarterly default: as a % of initial collateral balance. (6) 12-month cumulative default: the % incurred within the past year--Feb. 2009-Feb. 2010 (as a % of initial collateral balance). Table 4 Total Mezzanine Senior Series parity (7)(%) parity(8)(%) parity(9)(%) ------ ------------- ------------ ------------ 2002-A 104.28 111.83 118.24 2003-A 102.48 110.78 117.68 2003-B 101.85 110.41 117.40 2003-C 101.52 110.13 116.98 2004-A 101.78 110.35 117.45 2004-B 102.14 110.27 116.99 2005-A 101.31 108.35 114.08 2005-B 101.72 108.50 113.99 2006-A 102.39 108.38 113.16 2006-B 101.71 107.78 112.64 2006-C 101.36 107.20 111.86 2007-A 102.48 107.90 112.19 (7) Total parity: the total pool balance plus cash capitalization account plus reserve account over total notes outstanding. (8) Mezzanine parity: total pool balance plus cash capitalization account plus reserve account over class A and B notes outstanding. (9) Senior parity: total pool balance plus cash capitalization account plus reserve account over class A notes outstanding. Table 5 O/C Current Series floor (10)($) O/C ($) ------ ------------- ------- 2002-A 14,610,252 12,420,992 2003-A 21,273,655 10,403,079 2003-B 26,997,409 10,582,571 2003-C 27,055,542 8,592,565 2004-A 26,855,942 10,705,973 2004-B 30,302,999 16,596,866 2005-A 33,181,274 11,348,397 2005-B 34,203,099 17,424,071 2006-A 45,105,432 38,930,451 2006-B 44,987,785 25,708,071 2006-C 24,108,710 10,784969 2007-A 45,010,033 45,010,033 (10) O/C-Overcollateralization: equals the pool balance plus the cash collateralization account minus aggregate note balance. O/C floor is 2% of the initial asset balance (collateral balance plus the cash collateralization account). Default Expectations And Net Loss Projections Based on S&P's view of the current and projected performance of these pools of private student loans, S&P has raised its lifetime cumulative default expectations for each trust to 12.0%-23.0% of the original pool balance (see table 6) from 7%-10%. S&P assumed future stressed recovery rates of approximately 20%-30% of the dollar amount of cumulative defaults, which results in S&P's expectation for remaining cumulative net losses ranging from 6.0% to 13.0%. Table 6 Projected Projected lifetime Cumulative remaining cumulative default Recovery cumulative Series default (12)(%) to date (13)(%) assumption(%) net loss (14)(%) ------ --------------- --------------- ------------- ---------------- 2002-A 12.0-14.0 7.79 20.0-30.0 6.0-9.0 2003-A 14.0-16.0 8.33 20.0-30.0 7.0-10.0 2003-B 15.0-17.0 8.70 20.0-30.0 7.0-10.0 2003-C 16.0-18.0 9.36 20.0-30.0 7.0-10.0 2004-A 18.0-20.0 10.20 20.0-30.0 8.0-11.0 2004-B 16.0-18.0 8.02 20.0-30.0 7.0-10.0 2005-A 20.0-22.0 9.66 20.0-30.0 9.0-12.0 2005-B 20.0-22.0 6.74 20.0-30.0 11.0-13.0 2006-A 20.0-22.0 5.88 20.0-30.0 11.0-13.0 2006-B 21.0-23.0 7.05 20.0-30.0 11.0-13.0 2006-C 21.0-23.0 7.75 20.0-30.0 11.0-13.0 2007-A 21.0-23.0 4.98 20.0-30.0 11.0-13.0 (12) Projected lifetime cumulative default - as a % of initial collateral balance. (13) Cumulative defaults as of the March 2010 distribution date, as a % of the initial collateral balance. (14) Projected remaining cumulative net loss: as a % of current collateral balance (as of the March 2010 distribution date). Structure Each of the transactions has a five-year lockout period during which principal is paid sequentially to the class A, B, and C notes. After the five-year lockout (the step-down date), if the cumulative realized loss trigger is not in effect and the overcollateralization amount is at its target level (i.e., 15.0% of senior debt, 10.125% of mezzanine debt, 3.0% of overall debt, and 2.0% of the initial pool balance), the class B and C notes are entitled to receive payments of principal if there are funds available in the principal distribution account after paying the class A noteholders' principal distribution amount. The cumulative realized loss triggers switch the principal payment priority back to sequential if cumulative net losses exceed 15% within five years, 18% within seven years, or 20% thereafter. In addition, the transactions pay principal sequentially within the subclasses of the class A notes, provided that if the class A notes become undercollateralized (i.e., breach the class A note parity trigger), the class A notes outstanding will be paid pro rata (based on their outstanding balances) until their principal balances have been reduced to zero or the class A notes become collateralized again. Breakeven Cash Flow Modeling Assumptions S&P ran midstream breakeven cash flows for these transactions under various interest rate scenarios and rating stress assumptions. These cash flow runs provided breakeven percentages (breakevens) that represent the maximum amount of remaining cumulative net losses a transaction can absorb (as a percent of the pool balance as of the cash flow cutoff date) before failing to pay full and timely interest and ultimate principal. These are some of the major assumptions S&P modeled: * Moderately front-loaded and straight-line default curves that covered periods between two to six years, depending on the seasoning of transaction; * Recovery rates in the range of 20%-30%; * Prepayment speeds starting at approximately 2 CPR (constant prepayment rate, an annualized prepayment speed stated as a percentage of the current loan balance) and ramping up over eight years to a maximum rate of 5-10 CPR. After eight years, S&P held the applicable maximum rate constant; and * Failure of auctions for the life of each transaction. S&P determined the coupons for auction-rate notes based on the applicable "maximum rate" definition in the respective transaction documents. Breakeven Cash Flow Modeling Results/Rating Actions In general, transactions containing auction-rate class A notes yielded lower breakevens and loss coverage multiples, primarily because S&P assumed, in its cash flows, continued failure of the auction-rate market for the life of the related transactions. As a result, the class A auction-rate coupons will increase to their respective maximum rates. The maximum rates for the class A auction-rate notes in the 2003 vintage transactions are between LIBOR plus 1.50% and LIBOR plus 3.50%, depending on the ratings assigned to these auction-rate notes at the time of the failed auction. This increase in the cost of funds -- and the resulting pressure on excess spread -- also caused parity levels to decline, as principal collections were used to cover interest expenses in its cash flows for some periods. S&P's cash flow runs indicated that the class A notes are able to absorb remaining cumulative net losses in the range of 16.00%- 32.00% before a payment default would occur. After considering the aforementioned breakevens and remaining expected net losses of 6.0%-13.0%, S&P lowered its ratings on the class A notes from series 2002-A to 'AA' and the ratings on the class A notes from all other series to the 'A' rating category to reflect S&P's view of the current loss coverage levels. S&P assigned higher ratings on the class A-2 notes from the 2003- A, 2003-B, 2003-C, 2004-A, 2004-B, 2005-A, 2005-B,2006-A, 2006-B, and 2006-C transactions and the class A-1 notes from the 2007-A transaction given their senior positions in the respective capital structures, the sequential-pay structure of the deals, the current class balances, and S&P's expectations regarding the likelihood of repayment in full of the remaining class balances before the class A notes become undercollateralized (i.e., breached the class A note parity trigger), at which point all class A notes outstanding will be paid pro rata (based on their outstanding balance) until their principal balances have been reduced to zero. The affirmations of the ratings on the A-1 notes from series 2003- C, 2004-A, 2004-B, 2005-B, 2006-A, and 2006-B reflect S&P's view of the notes' relatively short remaining lifetimes (based on the remaining class balances) and its view that, over the short-term risk horizon, the loss coverage given the current credit enhancement levels is consistent with the outstanding ratings. The breakevens for the class B notes ranged between 11.0%-28.25%. After comparing these breakevens to the related trusts' remaining expected net losses of 6.0%-13.0%, S&P lowered the class B ratings to the 'BBB' rating category for all series except 2002-A, which S&P lowered to 'A-'. The class C notes had breakevens ranging from 8.5% to 26.50%. After comparing these breakevens to S&P's remaining expected net losses of 6.0%-13.0%, S&P lowered its ratings on the class C notes from series 2002-A, 2006-A, 2006-B, and 2007-A to the 'BBB' rating category and lowered the class C notes from the other series to the 'BB' rating category. Standard & Poor's will continue to monitor the performance of the student loan receivables backing these transactions relative to S&P's revised cumulative default expectations and available credit enhancement, and will take rating actions as S&P considers appropriate. Ratings Lowered And Removed From Creditwatch Negative SLM Private Credit Student Loan Trust Rating ------ Series Class To From ------ ----- -- ---- 2002-A A-2 AA AAA/Watch Neg 2002-A B A- AA/Watch Neg 2002-A C BBB- A/Watch Neg 2003-A A-2 AA- AAA/Watch Neg 2003-A A-3 A AAA/Watch Neg 2003-A A-4 A AAA/Watch Neg 2003-A B BBB- A/Watch Neg 2003-A C BB- BBB/Watch Neg 2003-B A-2 AA- AAA/Watch Neg 2003-B A-3 A AAA/Watch Neg 2003-B A-4 A AAA/Watch Neg 2003-B B BBB- A/Watch Neg 2003-B C BB- BBB/Watch Neg 2003-C A-2 AA- AAA/Watch Neg 2003-C A-3 A AAA/Watch Neg 2003-C A-4 A AAA/Watch Neg 2003-C A-5 A AAA/Watch Neg 2003-C B BBB- A/Watch Neg 2003-C C BB- BBB/Watch Neg 2004-A A-2 AA AAA/Watch Neg 2004-A A-3 A AAA/Watch Neg 2004-A B BBB A/Watch Neg 2004-A C BB BBB/Watch Neg 2004-B A-2 AA AAA/Watch Neg 2004-B A-3 A+ AAA/Watch Neg 2004-B A-4 A+ AAA/Watch Neg 2004-B B BBB+ A/Watch Neg 2004-B C BB+ BBB/Watch Neg 2005-A A-2 AA AAA/Watch Neg 2005-A A-3 A AAA/Watch Neg 2005-A A-4 A AAA/Watch Neg 2005-A B BBB+ A/Watch Neg 2005-A C BB+ BBB/Watch Neg 2005-B A-2 AA- AAA/Watch Neg 2005-B A-3 A AAA/Watch Neg 2005-B A-4 A AAA/Watch Neg 2005-B B BBB A/Watch Neg 2005-B C BB BBB/Watch Neg 2006-A A-2 AA AAA/Watch Neg 2006-A A-3 A+ AAA/Watch Neg 2006-A A-4 A+ AAA/Watch Neg 2006-A A-5 A+ AAA/Watch Neg 2006-A B BBB+ AA-/Watch Neg 2006-A C BBB- A/Watch Neg 2006-B A-2 AA AAA/Watch Neg 2006-B A-3 A AAA/Watch Neg 2006-B A-4 A AAA/Watch Neg 2006-B A-5 A AAA/Watch Neg 2006-B B BBB+ AA-/Watch Neg 2006-B C BBB- A/Watch Neg 2006-C A-2 AA AAA/Watch Neg 2006-C A-3 A- AAA/Watch Neg 2006-C A-4 A- AAA/Watch Neg 2006-C A-5 A- AAA/Watch Neg 2006-C B BBB AA-/Watch Neg 2006-C C BB+ A/Watch Neg 2007-A A-1 AA AAA/Watch Neg 2007-A A-2 A AAA/Watch Neg 2007-A A-3 A AAA/Watch Neg 2007-A A-4 A AAA/Watch Neg 2007-A B BBB+ AA/Watch Neg 2007-A C-1 BBB- A/Watch Neg 2007-A C-2 BBB- A/Watch Neg Ratings Affirmed And Removed From Creditwatch Negative SLM Private Credit Student Loan Trust Rating ------ Series Class To From ------ ----- -- ---- 2003-C A-1 AAA AAA/Watch Neg 2004-A A-1 AAA AAA/Watch Neg 2004-B A-1 AAA AAA/Watch Neg 2005-B A-1 AAA AAA/Watch Neg 2006-A A-1 AAA AAA/Watch Neg 2006-B A-1 AAA AAA/Watch Neg SILVERLEAF FINANCE: S&P Assigns Rating on $151.5 Mil. Notes ----------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Silverleaf Finance VII LLC's $151.5 million vacation timeshare loan-backed notes series 2010-A. The preliminary ratings are based on information as of May 24, 2010. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's opinion of: * The available credit enhancement in the form of subordination, overcollateralization, a reserve account, and available excess spread; and * Silverleaf Resort Inc.'s demonstrated servicing ability and experience in the timeshare market. Preliminary Ratings Assigned Silverleaf Finance VII LLC Series 2010-A Class Rating Amount (mil. $) ----- ------ --------------- A A 73.9 B BBB 28.1 C BB 49.5 SOLSTICE ABS: 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 Solstice ABS CBO Ltd./Solstice ABS CBO Inc. The notes affected by the rating actions are: -- US$225,000,000 Class A First Priority Senior Secured Floating Rate Notes Due 2036; Downgraded to Ca; Previously on 3/18/2009, Downgraded to B3; -- US$50,000,000 Class B Second Priority Senior Secured Floating Rate Notes Due 2036; Downgraded to C; Previously on 3/18/2009, Downgraded to Ca. Solstice ABS CBO Ltd. is a collateralized debt obligation issuance backed primarily by a portfolio of structured finance securities. Residential Mortgage-Backed Securities originated between 2001 and 2003 comprise over 25% of the underlying portfolio. According to Moody's, the rating downgrade actions are the result of deterioration in the credit quality of the underlying portfolio. Such credit deterioration is observed through numerous factors, including an increase in the dollar amount of defaulted securities, an increase in the weighted average rating factor, failure of the coverage tests, and the number of assets that are currently on review for possible downgrade. The dollar amount of defaulted securities, as reported by the trustee, has increased from $5.3 million in March 2009 to $16.5 million in April 2010. All the overcollateralization tests are failing and have been continuously deteriorating. The WARF has increased from 3403 in March 2009 to 4996 in May 2010. Additionally, in April 2010, the Moody's ratings of approximately $18 million of pre-2005 RMBS within the underlying portfolio were placed on review for possible downgrade as a result of Moody's updated expected loss projections for certain RMBS. Moody's explained that in arriving at the rating actions noted above, the ratings of 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 pre-2005 vintage RMBS, Moody's considered the various factors indicating continued negative performance that were described in Moody's press releases dated April 8th for subprime, April 12th for Option-ARM and April 13th for Alt-A. Such seasoned deals will have varying stress based on RMBS asset type. For pre-2005 Alt-A, Aaa rated securities were stressed by four notches, Aa rated securities by six notches, and A or Baa rated securities by nine notches. Pre-2005 Option-ARM securities currently rated Aaa were stressed by two notches, Aa and A by six notches, and Baa by nine notches. For pre-2005 subprime, Aaa and Aa rated securities were stressed by two notches, A rated securities were stressed by six notches, and Baa rated securities were stressed by nine notches. All subprime, Alt-A and Option-ARM RMBS securities which originated prior to 2005, are currently rated Ba or below, and are also currently on review for possible downgrade have been stressed to Ca. 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 that are no longer on review for downgrade. 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. SOUTH COAST: 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 South Coast Funding IV Limited. The notes affected by the rating action are: -- US$120,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2038, Downgraded to B3; previously on September 25, 2009 Downgraded to Ba1; -- US$110,000,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2038, Downgraded to C; previously on September 25, 2009 Downgraded to Caa3. South Coast Funding IV Limited is a collateralized debt obligation issuance backed by a portfolio of primarily Residential Mortgage- Backed Securities originated between 2001 and 2004. According to Moody's, the rating downgrade actions are the result of deterioration in the credit quality of the underlying portfolio. Credit deterioration is observed through numerous factors, including an increase in the dollar amount of defaulted securities, number of assets that are currently on review for possible downgrade and failure of the par coverage tests. In this case Moody's notes that the defaulted securities, as reported by the trustee, have increased from $58 million in September 2009 to $85 million in April 2010. Also, in April, approximately $96 million of non-defaulted pre-2005 RMBS within the underlying portfolio were placed on review for possible downgrade as a result of Moody's updated loss projections. In addition, the Trustee reports that the transaction is currently failing its par coverage tests. Moody's notes that the transaction is negatively effected by a large pay-fixed, receive-floating interest rate swap where payments to the hedge counterparty absorb a large portion of the excess spread in the deal. Moody's explained that in arriving at the rating action noted above, the ratings of 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 pre-2005 vintage RMBS, Moody's considered the various factors indicating continued negative performance that were described in Moody's press releases dated April 8th for subprime, April 12th for Option-ARM and April 13th for Alt-A. Such seasoned deals will have varying stress based on RMBS asset type. For pre-2005 Alt-A, Aaa rated securities were stressed by four notches, Aa rated securities by six notches, and A or Baa rated securities by nine notches. Pre-2005 Option-ARM securities currently rated Aaa were stressed by two notches, Aa and A by six notches, and Baa by nine notches. For pre-2005 subprime, Aaa and Aa rated securities were stressed by two notches, A rated securities were stressed by six notches, and Baa rated securities were stressed by nine notches. All subprime, Alt-A and Option-ARM RMBS securities which originated prior to 2005, are currently rated Ba or below, and are also currently on review for possible downgrade have been stressed to Ca. 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 that are no longer on review for downgrade. 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. SPYGLASS TRUST-3: Moody's Confirms Ratings on Units at 'Ba1' ------------------------------------------------------------ Moody's Investors Service announced that it has confirmed the rating of these units issued by Spyglass Trust-3: * $70,000,000 Face Amount of Spyglass Trust-3 Principal Units; Confirmed at Ba1; Previously on September 18, 2009 Ba1, Placed on Review for Downgrade. The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of the underlying securities which are the Primary Capital Floating Rate Notes (Series A) issued by National Westminster Bank PLC which were confirmed at Ba1 by Moody's on April 22, 2010. STANFIELD CLO: Moody's Downgrades Ratings on Two Classes -------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Stanfield CLO Ltd.: -- US$17,000,000 Class D-1 Floating Rate Notes Due 2014 (current balance of $970,186), Downgraded to Ca; previously on September 3, 2009 Downgraded to Caa3; -- US$16,000,000 Class D-2 Fixed Rate Notes Due 2014 (current balance of $913,117), Downgraded to Ca; previously on September 3, 2009 Downgraded to Caa3. According to Moody's, the rating actions result from its consideration of the insufficient collateralization remaining for the above notes. Based on the last trustee report, dated April 8, 2010, one loan obligation rated Ba3 (maturing in November 2010) constitutes 100% of the performing collateral balance. Defaulted securities currently held in the portfolio total about $8.5 million, but are expected to have extremely low recoveries. In Moody's assessment, the amount of par collateralization from the remaining asset represents a level of collateralization consistent with a Ca rating. The rating actions also reflect concerns about incremental losses arising from the potential for liquidation of the collateral should an event of default occur. Based on the same trustee report, the Class D interest coverage test was reported at 3.4% versus a test level of 115% and on the recent payment date, some of the principal proceeds were used to pay interest due on the Class D notes. Accordingly, there is an increased likelihood that an event of default may occur as a result of a failure to pay interest on the Class D notes. As provided in the indenture dated June 24, 1999, during the occurrence of an event of default, a majority of the Class D noteholders may direct the trustee to proceed with the sale and liquidation of the collateral, thereby exposing the noteholders to losses resulting from selling the collateral at less than par. Stanfield CLO Ltd., issued in June of 1999, is a collateralized loan obligation originally backed primarily by a portfolio of senior secured loans. TIAA CMBS: Fitch Upgrades Ratings on Series 2001-C1 Certs. ---------------------------------------------------------- Fitch Ratings upgrades and assigns Loss Severity ratings to TIAA CMBS I Trust's commercial mortgage pass-through certificates, series 2001-C1: -- $14.7 million class J to 'AAA/LS2' from 'AA'; Outlook Stable; -- $11 million class K to 'AA/LS2' from 'A'; Outlook Stable; -- $14.7 million class L to 'BBB/LS2' from 'BBB-'; Outlook Stable; -- $7.3 million class M to 'BB/LS3' from 'B+'; Outlook Stable; -- $7.3 million class N to 'BB'/LS3 from 'B'; Outlook Stable. In addition, Fitch affirms and assigns LS ratings to these classes as indicated: -- Interest only class X at 'AAA'; Outlook Stable; -- $26.7 million class C at 'AAA/LS1'; Outlook Stable; -- $22 million class D at 'AAA/LS1'; Outlook Stable; -- $14.7 million class E at 'AAA/LS1'; Outlook Stable; -- $18.3 million class F at 'AAA/LS1'; Outlook Stable; -- $14.7 million class G at 'AAA/LS2'; Outlook Stable; -- $33 million class H at 'AAA/LS1'; Outlook Stable. Fitch does not rate the $17.5 million class O. Classes A-1, A2, A3, A4, A-5 and B have been paid in full. The upgrades are due to stable performance of the transaction and significant pay down resulting in sufficient credit support to offset Fitch expected losses following Fitch's prospective review of potential stresses. Fitch expects losses of 1% of the remaining pool balance, approximately $2 million, from loans that are not expected to refinance at maturity based on Fitch's refinance test. As of the May 2010 distribution date, the pool's collateral balance has paid down 86.2% to $201.4 million from $1.5 billion at issuance. Of the remaining 86 loans, seven loans (14.9%) are defeased and there are no delinquent or specially serviced loans. Fitch stressed the cash flow of the remaining non-defeased loans by applying a 10% reduction to 2008 fiscal year end net operating income and applying an adjusted market cap rate between 7.25% and 10.5% to determine value. Similar to Fitch's prospective analysis of recent vintage CMBS, each loan also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. Loans that could refinance to a debt service coverage ratio of 1.25 times or higher were considered to payoff at maturity. Under this scenario, two loans are not expected to payoff at maturity and incur a loss when compared to Fitch's stressed value. TIAA STRUCTURED: 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 TIAA Structured Finance CDO I Ltd. The notes affected by the rating action are: -- US$387,500,000 Class A-1 Floating Rate Senior Secured Notes, due November 2030 (Current Outstanding Principal: $97,130,627), Downgraded to Caa3; previously on April 2, 2009 Downgraded to Ba1; -- US$30,000,000 Class A-2 Fixed Rate Senior Secured Notes, due November 2030 (Current Outstanding Principal: $7,519,790), Downgraded to Caa3; previously on April 2, 2009 Downgraded to Ba1. TIAA Structured Finance CDO I Ltd. is a collateralized debt obligation issuance backed by a portfolio of primarily Residential Mortgage Backed Securities with the majority originated between 2001-2003. According to Moody's, the rating downgrade action is the result of deterioration in the credit quality of the underlying portfolio. Credit deterioration is observed through numerous factors, including an increase in the Moody's Weighted Average Rating Factor, the number of underlying assets currently on review for possible downgrade and a failure of coverage tests. In this case, Moody's notes that, as reported by the trustee, the WARF of the underlying portfolio has increased from 1,858 in April 2009 to 3,969 in May 2010. Also, the Moody's ratings of approximately $24 million of performing par (approximately 16% of performing par) within the underlying portfolio were placed on review for possible downgrade. Currently, the Trustee reports that the all interest and principal coverage tests are failing. The transaction experienced on June 2, 2008, as reported by the Trustee, an Event of Default, as described in Section 5.1(a) of the Indenture dated December 14, 2000. The default event was a default in the payment of interest to the Class B Notes when interest came due and payable occurred and lasting in excess of three business days. As provided in Article V 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 and the Notes, including the sale and liquidation of the assets. The severity of losses of certain tranches may be different depending on the timing and outcome of a liquidation. Moody's explained that in arriving at the rating actions noted above, the ratings of 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 pre-2005 vintage RMBS, Moody's considered the various factors indicating continued negative performance that were described in Moody's press releases dated April 8th for subprime, April 12 for Option-ARM and April 13th for Alt-A. Such seasoned deals will have varying stress based on RMBS asset type. For pre-2005 Alt-A, Aaa rated securities were stressed by four notches, Aa rated securities by six notches, and A or Baa rated securities by nine notches. Pre-2005 Option-ARM securities currently rated Aaa were stressed by two notches, Aa and A by six notches, and Baa by nine notches. For pre-2005 subprime, Aaa and Aa rated securities were stressed by two notches, A rated securities were stressed by six notches, and Baa rated securities were stressed by nine notches. All subprime, Alt-A and Option-ARM RMBS securities which originated prior to 2005, are currently rated Ba or below, and are also currently on review for possible downgrade have been stressed to Ca. 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 that are no longer on review for downgrade. 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. TIMBERSTAR TRUST: Fitch Affirms Ratings on Series 2006-1 Certs. --------------------------------------------------------------- Fitch Ratings affirms TimberStar Trust I, series 2006-1, commercial mortgage pass-through certificates. The Negative Rating Outlook on class F is due to the significant decline in cash flow from YE 2008 and continued pressure on timber prices. The affirmations are due to the stable Fitch calculated value since issuance. The transaction is a single borrower, interest-only loan with an expected repayment date of Oct. 15, 2016. As of the May 2009 distribution date the transaction balance is $800 million, unchanged since issuance. Collateral for the loan is a first-priority mortgage lien on timberlands located in Texas (43% of the total acreage), Louisiana (31%), and Arkansas (26%). At issuance total acreage was 875,180 of which 99,993 was non- mortgage acrerage considered higher and better use (HBU) land that is expected to be sold. Timber growing on the HBU land is pledged as security for the trust; however, any proceeds from the sale of the land will not be pledged to the trust. As of December 2009, HBU has been reduced by 25,782 acres to 74,211 acres, resulting in total acreage of 849,398. The servicer reported December 2009 trailing 12 months debt service ratio was 1.37 times compared to issuance of 1.41x. The total harvest volume for this same period was 2.3 million tons compared to issuance projections of 3.5 million tons. Harvest volume was kept intentionally low due to low demand as a result of the economic downturn. Fitch reviewed the borrower prepared December 2009 trailing 12-month financial statements, 2010 budget and harvest plan, and a December 2009 appraisal. The actual 2009 net cash flow was down 21.5% from YE 2008 but was 6.3% above Fitch issuance expectations. Fitch's collateral value is based on a 30-year period. As a result, Fitch's loan-to-value improved to 62.7% from 76.1% at issuance. In addition, the annual appraised value as of YE 2009 was down 12.1% from YE 2008 due primarily to a significantly higher discount rate used by the appraiser, but is still up approximately 22% over the appraised value at issuance. Fitch has affirmed the ratings and revised one Rating Outlook: -- $400,000,000 class A at 'AAA'; Outlook Stable; -- $80,000,000 class B at 'AA'; Outlook Stable; -- $80,000,000 class C at 'A'; Outlook Stable; -- $80,000,000 class D at 'BBB'; Outlook Stable; -- $30,000,000 class E at 'BBB-'; Outlook Stable; -- $130,000,000 class F at 'BB'; Outlook to Negative from Stable. TRICADIA CDO: Moody's Downgrades Ratings on Two Classes of Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of two classes of notes issued by Tricadia CDO 2006-5, Ltd. The notes affected by the rating action are: -- US$55,000,000 Class B Senior Floating Rate Notes Due 2046, Downgraded to Caa3; previously on 3/18/2009, Downgraded to Caa1 and Remained On Review for Possible Downgrade; -- US$56,000,000 Class C Senior Floating Rate Notes Due 2046, Downgraded to Ca; previously on 3/18/2009, Downgraded to Caa2 and Remained On Review for Possible Downgrade. Tricadia CDO 2006-5, Ltd., is a collateralized debt obligation issuance backed by a portfolio of primarily Collateralized Loan Obligations with the majority originated in 2004 and 2005. According to Moody's, the rating downgrade action is the result of deterioration in the credit quality of the underlying portfolio. Credit deterioration is observed through numerous factors, including an increase in the Moody's Weighted Average Rating Factor, defaulted assets and a failure of coverage tests. Moody's notes that, as reported by the trustee, the WARF of the underlying portfolio has increased from 620 in March 2009 to 3,022 in May 2010 and the amount of defaulted assets increased from $18.9million to $39.1million during the same period. Currently, the Trustee reports that the Senior and Class D/E Par Coverage Tests are failing. 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. WACHOVIA BANK: Fitch Affirms Ratings on Series 2003-C4 Certs. ------------------------------------------------------------- Fitch Ratings has affirmed and assigned Loss Severity ratings and Rating Outlooks to Wachovia Bank Commercial Mortgage Trust's commercial mortgage pass-through certificates, series 2003-C4, as noted below: -- $187.4 million class A-1A at 'AAA/LS1'; Outlook Stable; -- $210.9 million class A-2 at 'AAA/LS1'; Outlook Stable; -- Interest-only class X-C at 'AAA'; Outlook Stable; -- Interest-only class X-P at 'AAA'; Outlook Stable; -- $34.6 million class B at 'AAA/LS1'; Outlook Stable; -- $11.1 million class C at 'AAA/LS5'; Outlook Stable; -- $22.3 million class D at 'AAA/LS4'; Outlook Stable; -- $12.3 million class E at 'AAA/LS5'; Outlook Stable; -- $12.3 million class F at 'AAA/LS5'; Outlook Stable; -- $12.3 million class G at 'AA/LS5'; Outlook Stable; -- $12.3 million class H at 'A+/LS5'; Outlook Stable; -- $20.1 million class J at 'A-/LS4'; Outlook Stable; -- $8.9 million class K at 'BBB+/LS5'; Outlook Stable; -- $6.7 million class L at 'BBB/LS5'; Outlook Stable; -- $6.7 million class M at 'BB+/LS5'; Outlook Stable; -- $1.1 million class N at 'BB/LS5'; Outlook Stable; -- $4.5 million class O at 'BB-/LS5'; Outlook Stable. Fitch does not rate the $18 million class P certificates and class A-1 has paid in full. The rating affirmations are the result of sufficient credit enhancement to offset Fitch expected losses following Fitch's prospective review of potential stresses and expected losses associated with specially serviced assets. Fitch expects losses of 1% of the remaining pool balance, approximately $5.8 million, from the loans in special servicing and the loans that are not expected to 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 April 2010 distribution date, the transaction's aggregate principal balance has decreased 34.8% to $581.4 million from $891.8 million at issuance. There are 115 of the original 140 loans remaining in transaction, nine of which have defeased (9.2% of the current transaction balance). There is one specially serviced loan, a 100-unit multifamily property located in Pass Christian, MS. The loan transferred to special servicing in January 2010 due to payment delinquency. The servicer is currently working with the borrower to determine a resolution strategy. 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. Fitch considered loans that could refinance to a debt service coverage ratio of 1.25 times or higher to payoff at maturity. Fifty-four loans did not payoff at maturity, and ten loans incurred a loss when compared to Fitch's stressed value. WACHOVIA BANK: Fitch Downgrades Ratings on 11 2006-Whale 7 Notes ---------------------------------------------------------------- Fitch Ratings has downgraded 11 classes from the pooled portion of Wachovia Bank Commercial Mortgage Trust 2006-Whale 7 reflecting Fitch's base case loss expectation of 5.31%. The non-pooled junior component certificates were also downgraded to reflect Fitch's significant loss expectations on these assets. Fitch's performance expectation incorporates prospective views regarding commercial real estate values and cash flow declines. The Negative Ratings Outlooks reflect additional sensitivity analysis related to further negative credit migration of the underlying collateral. A detailed list of rating actions follows at the end of this release. Under Fitch's updated analysis, approximately 58.04% of the pooled loans, and all of the non-pooled components, are modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 13.2% from generally third- and fourth-quarter 2009 servicer- reported financial data. In its review, Fitch analyzed servicer reported operating statements and rent rolls, updated property valuations, and recent lease and sales comparisons. Given that the loan positions within the pooled portion of the commercial mortgage backed securities are the lower leveraged A-notes (average base case loan-to-value of 92.1%), Fitch estimates that average recoveries on the pooled loans will be approximately 90.9% in the base case, whereas the more highly leveraged non-pooled component notes (average base case LTV of 169.2%) have a lower modeled recovery of 3.3%. The transaction is collateralized by 10 loans, five of which are secured by hotels (89.2%), four by office (9.2%), and one by retail (1.6%). All of the final maturity dates including all extension options for the non-specially serviced loans are in 2011. Fitch identified six Loans of Concern within the pool (84.8%), two of which are specially serviced (5.4%). Fitch's analysis resulted in loss expectations for seven A-notes, and each of the B-note non-pooled components in the 'B' stress scenario. The three largest pooled contributors to losses (by unpaid principal balance) in the 'B' stress scenario are: Kyo-Ya Hotels (43.8%), Westin Aruba (4.5%), and Colonial Mall - Myrtle Beach (1.6%). The Kyo-Ya Hotel Portfolio was originally collateralized by eight full-service hotels, of which five were located in Hawaii, two in Orlando, FL and one in San Francisco, CA. In April 2007, the two Orlando properties were released (Hyatt Regency Grand Cypress and The Villas at Grand Cypress). The current portfolio includes 5,231 rooms. Fitch considers this a loan of concern based on declining cash flow at the hotels as well as the negative outlook for the hotel sector. While many of the hotels are outperforming their competitive set, the overall net operating income (NOI) has declined 32% as of the trailing 12 months ended September 2009 compared to year-end 2008. As of August 2009, occupancy, ADR and RevPAR were 74.2%, $204, and $152, respectively, compared to 81.2%, $216, and $175 at issuance. In addition, with five of the six hotels located in Hawaii, which is expected to be a struggling market for the next few years, performance is not expected to improve in the near term. A lockbox is in place, and excess cash is being trapped by the master servicer. The balance as of May 2010 is $54.5 million and can be used as extra collateral by the servicer. Fitch included the current and expected future reserve amounts in the recovery assumption. The Westin Aruba is a 478-room, real estate owned hotel property located in Palm Beach, Aruba. The property has beachfront access, retail and meeting space, as well as a nightclub and a 12,000 square foot casino. The loan transferred to special servicing in November 2008 when the borrower failed to make operating advances to the hotel operator as specified in the loan agreement. The property has been REO since May 2009, when the special servicer foreclosed on the mezzanine lender who had foreclosed on the original sponsor. The special servicer continues to streamline operations in an effort to reduce expenses as well as complete necessary repairs. The casino lease payment was reduced by the original borrower prior to foreclosure by the mezzanine lender, and the original borrower continues to lease the casino. A lawsuit has been filed on behalf of the trust to contest the lease reduction. The servicer is currently waiting for a ruling on the litigation before marketing the property for sale, as the casino lease payment impacts the value of the asset. The current property cash flow does not cover the scheduled debt service and the servicer is advancing a reduced interest payment based on an appraisal reduction. The Colonial Mall - Myrtle Beach is collateralized by a 524,767 sf regional mall located in Myrtle Beach, SC. Anchors include J.C. Penney, two Belk stores, Bass Pro Shops, and the newly constructed Carmike Cinemas; in-line tenants are a typical mix of national retailers, with some local tenants. The anchors, with the exception of the cinema and the improvements to the Belk #2 store, are part of the collateral. The Belk #2 store pays ground rent. In 2004, a new super-regional mall opened 15 miles from the subject, resulting in declines in occupancy and sales. Issuance expectations assumed some level of performance stabilization; however, improved performance expectations have not been realized and occupancy has declined. At issuance, the total mall was 90.6% occupied, which was lower than historical rates in excess of 95%. In 2008, the total mall and in-line occupancy dropped to 86.7% and 71.8%, respectively. Per the December 2009 rent roll, the total mall and in-line occupancy were 84.2% and 66.5%, respectively. J.C. Penney and both Belk store's (60% of the total anchor space) leases expire in 2011. The in-line space rollover is: 8.6% in 2010; 5.5% in 2011; 6.9% in 2012; and 9.6% in 2013. Fitch removes these classes from Rating Watch Negative and has downgraded and assigned Rating Outlooks and Loss Severity Ratings to these pooled classes: -- $573.5 million class A-2 to 'A/LS2' from 'AAA'; Outlook Negative; -- $98.6 million class B to 'BBB/LS2' from 'AA+'; Outlook Negative; -- $95 million class C to 'BBB/LS4' from 'AA'; Outlook Negative; -- $76.8 million class D to 'BBB/LS4' from 'AA'; Outlook Negative; -- $75.2 million class E to 'BB/LS4' from 'AA-'; Outlook Negative; -- $70.4 million class F to 'BB/LS4' from 'A+'; Outlook Negative; -- $71.8 million class G 'B/LS4' from 'A'; Outlook Negative. Fitch downgrades, removes from Rating Watch Negative and assigns Recovery Ratings to these pooled certificates: -- $64.9 million class H to 'CCC/RR4' from 'BBB'; -- $21.9 million class J to 'CCC/RR6' from 'BB+'; -- $25.4 million class K to 'CC/RR6' from 'BB'; -- $28.3 million class L to 'C/RR6' from 'BB-'. Additionally, Fitch downgrades, removes from Rating Watch Negative and assigns Recovery Ratings to these non-pooled component certificates: -- $68.9 million class KH-1 to 'CC/RR6' from 'BB'; -- $54.1 million class KH-2 to 'CC/RR6' from 'BB-'; -- $18 million class BH-1 to 'CCC/RR4' from 'A-'; -- $28 million class BH-2 to 'CCC/RR6' from 'BBB+'; -- $56 million class BH-3 to 'CC/RR6' from 'BBB-'; -- $46 million class BH-4 to 'CC/RR6' from 'BB+; -- $3.3 million class WA to 'C/RR6' from 'B'; -- $2 million class BP-1 to 'CCC/RR6' from 'BB+'; -- $2.2 million class BP-2 to 'CCC/RR6' from 'BB'; -- $5 million class WB to 'CC'/RR6' from 'BB'; -- $2.3 million class MB-1 to 'CC/RR6' 'BBB+'; -- $2.6 million class MB-2 to 'CC/RR6' from 'BBB'; -- $2.6 million class MB-3 to 'CC/RR6' from 'BBB-'; -- $2.5 million class MB-4 to 'CC/RR6' from 'BBB-'; -- $1.2 million class CM to 'C/RR6' from 'BB+'. Fitch also affirms these classes and assigns LS Ratings and Rating Outlooks: -- $929.3 million class A-1 at 'AAA/LS-2'; Outlook Stable; Fitch affirms these classes and assigns Rating Outlooks: -- Interest-only class X-1B at 'AAA'; Outlook Stable; Interest-only class X-1A and rake class UV have paid in full. This transaction was analyzed according to the 'Surveillance Criteria for U.S. Commercial Real Estate Loan CDOs'. It applies stresses to property cash flows and uses debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. This methodology was used to review this transaction as floating-rate CMBS loan pools are concentrated and similar in composition to CREL CDO pools. In many cases, the CMBS notes are senior portions of notes held in CDO transactions. The assets are generally transitional in nature, frequently underwritten with pro forma income assumptions that have not materialized as expected. Overrides to this methodology were applied on a loan-by-loan basis if the property specific performance warranted an alternative analysis. For bonds rated 'B-' or better, the current credit enhancement levels were compared to the expected losses generated in each rating category divided by the total deal size. These classes were assigned Loss Severity ratings, which indicate each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the expected losses for the collateral in the 'B' stress. LS ratings should always be considered in conjunction with probability of default indicated by a class' long-term credit rating. Fitch does not assign Rating Outlooks or LS ratings to classes rated 'CCC' and lower. Rating Outlooks were determined by further stressing the cash flows and fully recognizing all maturity defaults in all ratings stresses. The credit enhancements were then compared to the expected losses generated in each rating category to determine potential credit migration over the next two years. If the Rating Outlook scenario would imply a lower rating, then the class was assigned a Negative Outlook. The ratings for bonds rated 'CCC' or lower, are based on a deterministic analysis. Bonds are rated 'C' when the expected losses on currently defaulted loans exceed a classes' respective credit enhancement level. Bonds are rated 'CC' when the combined base case expected losses on the currently defaulted loans and loans likely to default exceed a classes' respective credit enhancement level. Bonds are rated 'CCC' when the base case expected loss exceeds a classes' respective credit enhancement level. Bonds rated 'CCC' and below were assigned Recovery Ratings in order to provide a forward-looking estimate of recoveries on currently distressed or defaulted structured finance securities. Recovery Ratings are calculated by subtracting the base case expected losses in reverse sequential order from the pooled and non-pooled rake certificates. Any principal recoveries first pay interest shortfalls on the bonds and then sequentially through the classes. The remaining bond principal amount is divided by the current outstanding bond balance. The resulting percentage is used to assign the Recovery Ratings on the bonds. The assignment of 'RR4' to class H reflects modeled recoveries of 46.5% of its outstanding balance. The expected recovery proceeds are broken down: -- Present value of expected principal recoveries ($30.0 million); -- Present value of expected interest payments ($206,903); -- Total present value of recoveries ($30.1 million); -- Sum of undiscounted recoveries ($33.2 million). The assignment of 'RR4' to class BH-1 reflects modeled recoveries of 32.7% of its outstanding balance. The expected recovery proceeds are broken down: -- Present value of expected principal recoveries ($5.8 million); -- Present value of expected interest payments ($13,939); -- Total present value of recoveries ($5.9 million); -- Sum of undiscounted recoveries ($6.5 million). Classes are assigned a Recovery Rating of 'RR6' when the present value of the recoveries in each case is less than 10% of each class' principal balance * Fitch Affirms Ratings on 11 Classes From Two Prime RMBS Deals --------------------------------------------------------------- Fitch Ratings has affirmed 11 classes in the 2 prime U.S. residential mortgage backed security transactions listed below, and assigned Loss Severity or Recovery Ratings ratings as indicated. $5.7 Million Saxon Mortgage Securities Corp., Series 1994-2 -- Class A-10 (805570DS4) affirmed at 'AAA'/LS1; -- Class A-11 (805570DT2) affirmed at 'AAA/LS1'; -- Class I (805570HV3) affirmed at 'AAA'; -- Class M (805570DU9) affirmed at 'AA/LS2'; -- Class P affirmed at 'AAA/LS1'; -- Class B-1 (805570DV7) affirmed at 'A/LS3'; -- Class B-2 (805570DW5) affirmed at 'BBB/LS3'; -- Class B-3 (805570DY1) affirmed at 'B/LS3'; -- Class B-4 (805570DZ8) affirmed at 'D/RR6'. $38 Million Prudential Home Mortgage Securities Inc., Series 1992- 18 -- Class A11 (74434UA87) affirmed at 'AAA'; -- Class M (74434RVD0) affirmed at 'AAA/LS1'. The rating actions were taken as part of Fitch's ongoing surveillance process of existing transactions. Due to the small pool size on the transactions the projected defaults were based on the pre-2005 vintage and product averages. The severity of 31% on both transactions was derived by incorporating the transaction- specific historical loss severity and the pre-2005 vintage and product averages. The 60+ delinquency percentage for Saxon Mortgage Securities Corp., Series 1994-2 and Prudential Home Mortgage Securities Inc., Series 1992-18 are 2.92% and 0% respectively; the base case expected losses are 1.27% and .26% respectively. Fitch affirmed all the above ratings based on each class' credit enhancement being able to withstand the expected loss in each rating stress scenario. In addition to the long-term ratings Fitch also provides Loss Severity and Recovery Ratings. Loss Severity ratings are assigned to classes with long-term ratings of 'B' or higher while Recovery Ratings are assigned to classes with long-term ratings below 'B'. Additional information is available on Fitch's website in the reports 'Criteria for Structured Finance Loss Severity Ratings' and 'Criteria for Structured Finance Recovery Ratings'. * Fitch Takes Various Rating Actions on Various Classes of Notes ---------------------------------------------------------------- Fitch Ratings has taken various rating actions on classes of notes issued by five structured finance collateralized debt obligations that closed in 1999 and 2000. The downgrades are primarily due to continued negative migration in the SF assets of the underlying portfolios. The rating actions are detailed at the end of this press release. This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Structured Finance CDOs'. The analytical scope of each CDO review varied depending on the quality of the portfolio and credit enhancement for the CDO's classes available from subordination and excess spread. For all transactions, this review considered realized losses and credit migration in the underlying portfolios since last review, the ongoing and future impact of interest rate hedges, availability of excess spread to pay down the notes, or conversely, erosion of par due to the use of principal proceeds to pay interest, and the likelihood of these trends to continue. For the three transactions where expected losses from assets with a Fitch derived rating of 'CC' and lower already significantly exceed the CE level of the most senior class of notes, Fitch believes that the probability of default for all classes of notes can be evaluated without factoring potential further losses from the remaining portion of the portfolios and without considering the outcomes of various interest rate and default timing scenarios as described in the relevant criteria. Therefore these transactions were not modeled using the Structured Finance Portfolio Credit Model or cash flow model. Additionally, due to the writedowns in the underlying collateral portfolios, the total collateral balances in the portfolios of two of those three 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 the remaining two transactions, expected losses from distressed assets did not exceed the CE level of the senior class of notes. Fitch used SF PCM to project losses from the transaction's entire portfolio. The resulting rating loss rates were substantially higher than the senior notes' CE levels. Further, the transactions' portfolios generate only marginal amounts of excess spread. The likelihood of default for the notes can be assessed, therefore, without performing cash flow model analysis. All five of the transactions have entered an Event of Default due to failing collateralization coverage requirements, although none have accelerated their maturities. Fitch has taken these rating actions: Bleecker Structured Asset Funding, Ltd. -- $4,023,977 class A-1 notes downgraded to 'C' from 'CCC'; -- $28,167,837 class A-2 notes downgraded to 'C' from 'CCC'. The losses expected from the distressed portion of the portfolio of Bleecker already exceed the CE level of the most senior class. Although some interest is being used to pay down the notes, it is not sufficient to offset the expected losses. Bleecker is a cash CDO that closed on March 28, 2000 and is managed by Clinton Group, Inc. As of the April 2010 trustee report, the portfolio is comprised of residential mortgage-backed securities (RMBS), commercial mortgage-backed securities, commercial asset-backed securities, and corporate bonds, from primarily 1999 through 2002 vintage transactions. Diversified Asset Securitization Holdings I, L.P. -- $61,611,491 class A-1 notes downgraded to 'CCC' from 'B; -- $ 12,717,968 class A-2 notes downgraded to 'CCC' from 'B'. Fitch performed SF PCM analysis on DASH I, but did not cash flow model the transaction. The CE level for the class A-1 and A-2 notes exceeds the losses expected from the distressed portion of the portfolio; however, the resulting 'CCC' RLR from SF PCM is comparable to the class A CE. Although a small portion of interest is being used to pay down the notes, it is not sufficient to offset the expected losses. DASH I is a cash CDO that closed on Dec. 28, 1999 and is managed by Asset Allocation & Management, LLC. As of the April 2010 trustee report, the portfolio is comprised of CMBS, RMBS, ABS and corporate CDOs, from primarily 1996 through 2002 vintage transactions. Prudential Structured Finance CBO I, Ltd. -- $8,018,819 class A-2L notes downgraded to 'CCC' from 'B/LS3'; -- $4,200,000 class B-1 notes affirmed at 'C'; -- $8,000,000 class B-1L notes affirmed at 'C'; -- $2,500,000 class B-2 notes affirmed at 'C'; -- $5,000,000 class B-2L notes affirmed at 'C'. Fitch performed SF PCM analysis on Prudential CBO I but did not cash flow model the transaction. The CE level for the class A-2L notes exceeds the losses expected from the distressed portion of the portfolio; however, the resulting 'CCC' RLR from SF PCM is comparable to the class A-2L CE level. The class A-2L notes are currently receiving a marginal amount of excess spread, which is not expected to have a significant impact on the class's likelihood of receiving full principal repayment. The class B-1 and B-2 notes are currently undercollateralized, and their accrued interest is being deferred. Prudential SF CBO I is a cash flow CDO that closed on Oct. 26, 2000 and is managed by the Prudential Investment Corporation. As of the April 2, 2010 trustee report, the portfolio is comprised of ABS and RMBS securities primarily from 1998 through 2005 vintage transactions. SFA Collateralized Asset Backed Securities I Trust -- $46,818,084 class A notes downgraded to 'C' from 'CC'; -- $14,000,000 class B-1 notes affirmed at 'C'; -- $8,500,000 class B-2 notes affirmed at 'C'. The senior notes of SFA CABS I are undercollateralized as a result of writedowns to the portfolio. There is not enough interest to fulfill the interest obligation to the class B-1 and class B-2 notes (together class B). Principal is being used to service class B interest, and the remaining is being used to pay down class A. SFA CABS I is a CDO that closed on June 22, 2000 and is managed by Structured Finance Advisors. As of the April 2010 trustee report, the portfolio is comprised of primarily ABS, CMBS, and RMBS from 1998 through 2002 vintage transactions. Varick Structured Asset Fund, Ltd. -- $16,254,494 class A-1 notes to 'C' from 'CCC'; -- $97,526,964 class A-2 notes to 'C' from 'CCC'. The senior notes of Varick are undercollateralized as a result of writedowns to the portfolio. The available interest is not sufficient to fulfill the obligation to the out of the money interest rate swap that expires in December 2012. A portion of principal collections is being used to fulfill the interest due to class A-1 and class A-2 notes. Varick is a cash CDO that closed on Sept. 29, 2000 and is managed by Clinton Group, Inc. As of the April 2010 trustee report, the portfolio is comprised of RMBS, CMBS, corporate and structured finance CDOs, various consumer and commercial ABS, from primarily 1997 through 2003 vintage transactions. * Moody's Affirms 'Ba3' Rating on Gainesville, Texas' 1992A Bonds ----------------------------------------------------------------- Moody's Investors Services affirms the Ba3 rating on $1,865,000 of outstanding Gainesville, Texas, Housing Authority Multifamily Mortgage Revenue Refunding Bonds, Series 1992A. The outlook remains negative. The affirmation is based primarily on consistently poor debt service coverage levels and the near expiration of the HAP contracts. Legal Security The bonds are secured by the revenues derived from a pool of four properties, consisting of 196 units among Pecan Creek Village, Turner Apartments, Washington Court and Walnut Lane Apartments. The properties are located in the city of Gainesville in Cooke County, Texas. The pledged revenues to the 1992 Series bondholders are dependent on the life of the HAP contracts; after the HAP contracts expire, bondholders no longer have a lien on rental income. The HAP contracts for Pecan Creek and Turner Apartments expire in 2011, while the HAP contracts for Washington Court and Walnut Lane expire in 2020. Recent Developments The 2009 Debt Service Coverage Ratio for the pooled properties was 0.61x, up slightly from 2007 (0.58x). It is also important to note that current occupancy levels have fluctuated over the last few years. The change in the weighted average occupancy decreased from 97% in 2007 to 84% in 2010, driven by competition and changes by HUD concerning the minimum age of required tenants. Strengths * Sufficiently funded funds * Fully funded debt service reserve fund * Fully funded contingency reserve fund of $500,000 * 2009 Audited Financials remain stable compared to 2007 * High REAC for Turner and Walnut (84c and 91c, respectively) * Rental rates are below FMR: eligible for rent increases with approval from HUD Challenges * Fluctuations in occupancy levels * Low REAC score for Pecan Creek Apartments, which may lead to future increases in capital expenditure for repairs or renovations. * Poor 2009 DSCR: 0.61x; relative to other Section 8 credits * Missing 2008 Financials Outlook The outlook on the bonds remains negative. The outlook is based upon consistently low debt service coverage levels and the 2011 expiration date of the HAP contracts for Pecan Village and Turner apartments. Key Statistics (As of 2009 Audited Financial Statements): * Recent Occupancy: 75%, 91% and 84 % (Turner, Pecan Creek and Washington Court / Walnut lane) * Most recent REAC scores: 84c, 91c and 60b * HAP expiration: 06/01/2011, 06/01/2011 and 06/01/2020 * Debt Maturity: 6/1/2020 * 1 bedroom Contract Rent as % of HUD FMR: 80% * Debt Service Coverage Ratio: 0.61x * Reserve and Replacement per unit: $1,055 * Surplus Fund per unit: $2,551 * Flow of funds: Open at 1.00x The last rating action for this program was taken on June 11, 2008, when the rating was downgraded to Ba3 from Ba2 and the outlook was Affirmed Negative. * Moody's Downgrades Ratings on Three Tranches From US SF CDOs -------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the rating of 3 tranches contained within 3 US Structured Finance CDOs. The tranches affected by the actions are from CDOs that have experienced an Event of Default and in each case the Trustee has been directed to liquidate the collateral as a post-event-of- default remedy. Moody's has been notified by the respective Trustee in each of these cases that a final distribution of liquidation proceeds has taken place (except for retention of a small amount of residual funds in certain cases). ZAIS Investment Grade Limited VIII * Class A-1 Notes, Downgraded to C, previously on 4/22/2009 Downgraded to Ca McKinley II Funding, Ltd. * US$71,000,000 Class A-1 Floating Rate Notes Due 2045, Downgraded to C, previously on 4/24/2009 Downgraded to Ca Zenith Funding, Ltd. * Class A-1 Notes, Downgraded to C, previously on 4/24/2009 Downgraded to Ca The rating actions taken reflect the changes in severity of loss associated with certain tranches and reflect the final liquidation distribution. * Moody's Takes Rating Actions on Various RMBS Transactions ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 281 tranches, upgraded the ratings of 17 tranches, and confirmed the ratings of 57 tranches from 16 RMBS transactions, backed by prime jumbo loans, issued by Chase Mortgage Finance Trust. 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: Chase Mortgage Finance Trust 2006-S1 -- Cl. A-1, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-2, Confirmed at B3; previously on Dec 17, 2009 B3 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 Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Ca; previously on Dec 17, 2009 Caa1 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-5, 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 Issuer: Chase Mortgage Finance Trust 2007-S6 -- Cl. 1-A1, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A3, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-AX, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to B2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A3, Upgraded to B2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-AX, Downgraded to B2; previously on Dec 17, 2009 B1 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: Chase Mortgage Finance Trust Series 2006-S2 -- Cl. 1-A1, Downgraded to B1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A3, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A4, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A5, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A6, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A7, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A8, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A9, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A10, Confirmed at Ba3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A11, Downgraded to B1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A12, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A13, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A14, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A15, Downgraded to C; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A16, Downgraded to Caa1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A17, Downgraded to B2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A18, Downgraded to B2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-AX, Downgraded to Ba3; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A19, Downgraded to Caa1; previously on Dec 17, 2009 B1 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. 2-A1, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to B2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to B2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A4, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A5, Upgraded to Baa2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2-A6, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A7, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-AX, Downgraded to Baa2; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade Issuer: Chase Mortgage Finance Trust Series 2006-S3 -- Cl. 1-A1, Downgraded to Caa2; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Caa3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A3, Downgraded to Ca; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 1-A4, Downgraded to B3; previously on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade -- Cl. 1-A5, Downgraded to Caa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-A6, Downgraded to Caa3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A7, Downgraded to Caa3; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-AX, Downgraded to B3; previously on Dec 17, 2009 Ba2 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. 2-A1, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to B3; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to Ca; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 2-AX, Downgraded to B3; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade Issuer: Chase Mortgage Finance Trust Series 2006-S4 -- Cl. A-1, Downgraded to Ba2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba2; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ba3; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-4, Upgraded to A1; previously on Dec 17, 2009 Baa1 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 B1; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to B1; previously on Dec 17, 2009 Ba1 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, 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-13, Downgraded to Caa1; 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-15, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to Ba3; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to Ba3; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-18, Downgraded to Ba3; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-19, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-20, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-21, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-22, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-23, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to Ba2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade Issuer: Chase Mortgage Finance Trust Series 2007-A1 -- Cl. 1-A1, Confirmed at Aa1; previously on Dec 17, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A2, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A3, Upgraded to Aa2; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A4, Confirmed at Ba3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A5, Upgraded to Baa1; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2-A1, Confirmed at A1; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to B1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 2-A3, Upgraded to Baa3; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 3-A1, Confirmed at B1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 4-A1, Confirmed at Ba3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 5-A1, Downgraded to B1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 6-A1, Downgraded to Ba3; previously on Dec 17, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 7-A1, Downgraded to Baa1; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. 8-A1, Upgraded to A1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. 8-A2, Upgraded to Caa2; previously on May 26, 2009 Downgraded to Ca -- Cl. 9-A1, Downgraded to Aa3; previously on Dec 17, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 9-A2, Upgraded to Caa2; previously on May 26, 2009 Downgraded to Ca -- Cl. 10-A1, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 11-A1, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 11-A2, Downgraded to C; previously on May 26, 2009 Downgraded to Ca -- Cl. 11-A3, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 11-A4, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 11-A5, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 11-M1, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 11-S1, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 11-L1, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 11-F1, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 11-M5, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 11-S5, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 11-L5, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 11-F5, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 11-M8, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 11-S8, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 11-L8, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 11-F8, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 12-A2, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 12-A3, Downgraded to Caa2; previously on Dec 24, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 12-A4, Downgraded to C; previously on May 26, 2009 Downgraded to Ca -- Cl. 12-M3, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 12-S3, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 12-L3, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 12-F3, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 13-A3, Downgraded to C; previously on May 26, 2009 Downgraded to Ca -- Cl. 12-A1, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 13-A1, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 13-A2, Confirmed at Caa1; previously on Dec 24, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 13-M2, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 13-S2, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 13-L2, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 13-F2, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade Issuer: Chase Mortgage Finance Trust Series 2007-A3 -- Cl. 1-A1, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to C; previously on May 26, 2009 Downgraded to Ca -- Cl. 1-A3, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A4, Downgraded to Ca; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A5, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A6, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A7, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A8, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A9, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A10, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A11, Upgraded to B3; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A12, Upgraded to B3; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A13, Downgraded to Ca; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A14, Downgraded to Ca; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A15, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A16, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A17, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A18, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A19, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A20, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A1, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to C; previously on May 26, 2009 Downgraded to Ca -- Cl. 2-A3, Confirmed at B1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A4, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A5, Downgraded to Caa3; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A6, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A7, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A8, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A9, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A10, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A11, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A12, Upgraded to B1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A13, Upgraded to B1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A14, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A15, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A16, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A17, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A18, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A19, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A20, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A21, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A22, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A23, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to C; previously on May 26, 2009 Downgraded to Ca -- Cl. 3-A3, Upgraded to B1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 3-A4, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-A5, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-A6, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-A7, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-A8, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-A9, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-A10, Upgraded to B1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-A11, Upgraded to B1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-A12, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-A13, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-A14, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-A15, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-A16, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-A17, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-A18, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-A19, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-A20, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 3-A21, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade Issuer: Chase Mortgage Finance Trust Series 2007-S1 -- 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 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 C; previously on Apr 28, 2009 Downgraded to Ca -- Cl. A-7, Downgraded to Caa2; previously on Dec 17, 2009 B3 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, 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 B3; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to B2; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Caa1; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade Issuer: Chase Mortgage Finance Trust Series 2007-S2 -- Cl. 1-A1, Downgraded to Caa1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Caa1; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A3, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A4, Downgraded to Caa3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A5, Downgraded to C; previously on Apr 28, 2009 Downgraded to Ca -- Cl. 1-A6, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A7, Upgraded to Aa2; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. 1-A8, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A9, Downgraded to Caa2; previously on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade -- Cl. 1-AX, Downgraded to Caa1; previously on Dec 17, 2009 Baa3 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. 2-A1, Confirmed at B3; previously on Dec 24, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A2, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A3, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-AX, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade Issuer: Chase Mortgage Finance Trust Series 2007-S3 -- Cl. 1-A-1, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa3; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to C; previously on May 26, 2009 Downgraded to Ca -- Cl. 1-A-7, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 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, Confirmed at B3; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to B3; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 1-A-14, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-15, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-16, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 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 Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-20, Downgraded to Caa1; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A-21, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 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-AX, Downgraded to B3; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Caa2; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-A1, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade -- Cl. 2-AX, Confirmed at Caa1; previously on Dec 17, 2009 Caa1 Placed Under Review for Possible Downgrade Issuer: Chase Mortgage Finance Trust Series 2007-S4 -- 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 B2 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C; previously on Apr 28, 2009 Downgraded to Ca -- Cl. A-4, Downgraded to Caa1; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa1; 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 B3 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to C; previously on Apr 28, 2009 Downgraded to Ca -- 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 B2 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 Caa1; 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-X, Downgraded to Caa1; 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 Issuer: Chase Mortgage Finance Trust Series 2007-S5 -- Cl. 1-A1, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade -- Cl. 1-A19, Downgraded to B3; previously on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade Issuer: Chase Mortgage Finance Trust, Series 2005-S1 -- Cl. 1-A1, Downgraded to Ba3; previously on Dec 17, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to B3; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. 1-A3, Downgraded to Ba2; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A4, Downgraded to B1; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A5, Downgraded to Ba3; previously on Dec 17, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A6, Downgraded to A3; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A7, Downgraded to Ba3; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A8, Downgraded to Baa1; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A9, Downgraded to Ba3; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A10, Downgraded to Ba2; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A11, Downgraded to B1; previously on Dec 17, 2009 Aa1 Placed Under Review for Possible Downgrade -- Cl. 1-A12, Downgraded to B3; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. I-A13, Downgraded to B1; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. I-A14, Downgraded to B1; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. I-A15, Downgraded to B1; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. I-A16, Downgraded to Baa1; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. I-A17, Downgraded to Ba1; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. 1-A18, Downgraded to B3; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. I-AX, Downgraded to Baa1; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Ba2; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to Ba2; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to Ba2; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Ba2; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade Issuer: Chase Mortgage Finance Trust, Series 2005-S2 -- Cl. A-1, Downgraded to B1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ba2; previously on Dec 17, 2009 Baa1 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 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to B2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to B2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to B1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to B1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to B1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to B2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to B2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to B1; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-18, Downgraded to Ca; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-19, Downgraded to Baa1; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-20, Downgraded to Ba2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-21, Downgraded to Baa2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-22, Downgraded to Baa2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-23, Downgraded to Ba1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-24, Downgraded to Ba2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-25, Downgraded to B1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-26, Downgraded to B2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-27, Downgraded to B2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-28, Downgraded to B1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-29, Downgraded to B3; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to Baa1; previously on Dec 17, 2009 Aaa Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to B1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade Issuer: Chase Mortgage Finance Trust, Series 2005-S3 -- Cl. A-1, Downgraded to B2; previously on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C; previously on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B2; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ba2; previously on Dec 17, 2009 A1 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 B3; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 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 Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-11, Confirmed at A1; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to B1; previously on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to B3; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Caa1; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to Ba2; previously on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to B2; previously on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade Issuer: Chase Mortgage Finance Trust, Series 2006-A1 -- Cl. 1-A1, Confirmed at B1; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A3, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 1-A4, Downgraded to C; previously on Apr 28, 2009 Downgraded to Ca -- Cl. 1-AX, Downgraded to Caa2; previously on Dec 17, 2009 B1 Placed Under Review for Possible Downgrade -- Cl. 2-A1, Confirmed at B2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to Caa2; previously on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A4, Downgraded to C; previously on Apr 28, 2009 Downgraded to Ca -- Cl. 2-AX, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Caa2; previously on Dec 17, 2009 B2 Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to C; previously on Apr 28, 2009 Downgraded to Ca -- Cl. 4-A1, Downgraded to B3; previously on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade -- Cl. 4-A2, Downgraded to C; previously on Apr 28, 2009 Downgraded to Ca * S&P Downgrades Ratings on 17 Tranches From Five CDO Transactions ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 17 tranches from five U.S. cash flow and hybrid collateralized debt obligation transactions. At the same time, S&P removed 13 of the lowered ratings from CreditWatch with negative implications. One additional tranche from one of the affected transactions remains on CreditWatch negative. S&P affirmed its ratings on nine other tranches from three transactions and removed three of them from CreditWatch negative. The CDO downgrades reflect a number of factors, including credit deterioration and S&P's negative rating actions on underlying U.S. subprime residential mortgage-backed securities. The rating remaining on CreditWatch affects a transaction that has significant exposure to assets rated in the 'CCC' category. The 17 downgraded U.S. cash flow and hybrid tranches have a total issuance amount of $2.038 billion. All five affected transactions are mezzanine structured finance CDOs of asset-backed securities (ABS), which are collateralized in large part by mezzanine tranches of RMBS and other SF securities. The affirmations reflect current credit support levels that S&P believes are sufficient to maintain the current ratings. Standard & Poor's will continue to monitor the CDO transactions it rates and take rating actions, including CreditWatch placements, when appropriate. Rating And Creditwatch Actions Rating ------ Transaction Class To From ----------- ----- -- ---- Arroyo CDO I Ltd. B BBB BBB/Watch Neg Arroyo CDO I Ltd. C-1 CCC CCC/Watch Neg Arroyo CDO I Ltd. C-2 CCC CCC/Watch Neg CAMBER 3 PLC A-1 CC CCC/Watch Neg G-STAR 2005-5 Ltd. A-1 CCC- A/Watch Neg G-STAR 2005-5 Ltd. A-2 CC BB+/Watch Neg G-STAR 2005-5 Ltd. A-3 CC B+/Watch Neg G-STAR 2005-5 Ltd. B CC CCC+/Watch Neg G-STAR 2005-5 Ltd. C CC CCC-/Watch Neg Helios Series I Multi Asset CBO A BB+ BBB+ Helios Series I Multi Asset CBO B CCC+ B- Independence II CDO Ltd. A BBB A-/Watch Neg RFC CDO II Ltd. A-1 AA AAA RFC CDO II Ltd. A-2 BBB+ AAA RFC CDO II Ltd. B-1 B+ AA/Watch Neg RFC CDO II Ltd. B-2 B+ AA/Watch Neg RFC CDO II Ltd. C CCC A-/Watch Neg RFC CDO II Ltd. D CCC- BBB/Watch Neg RFC CDO II Ltd. E CCC- BBB-/Watch Neg RFC CDO II Ltd. F CCC- BB/Watch Neg Rating Remaining On Creditwatch Negative Transaction Class Rating ----------- ----- ------ CAMBER 3 PLC S A/Watch Neg Ratings Affirmed Transaction Class Rating ----------- ----- ------ Arroyo CDO I Ltd. A AAA CAMBER 3 PLC A-2 CC CAMBER 3 PLC B CC CAMBER 3 PLC C CC CAMBER 3 PLC D CC G-STAR 2005-5 Ltd. Income Note CC * S&P Downgrades Ratings on 28 Tranches From Five CDO Transactions ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 28 tranches from five U.S. corporate collateralized debt obligation of CDO transactions and removed them from CreditWatch with negative implications. The affected tranches have a total issuance amount of $1.459 billion. At the same time, S&P affirmed its ratings on 13 tranches from f Corp. transactions and removed one of them from CreditWatch negative. The downgrades reflect two primary factors: * The application of S&P's updated corporate CDO criteria; and * Deterioration in the credit quality of certain CDO tranches due to increased exposure to obligors that have either defaulted or experienced downgrades into the 'CCC' range. The affirmations reflect S&P's view that the tranches have adequate credit support to maintain the current ratings according to S&P's updated criteria. S&P's analysis incorporated the asset recovery assumptions in its new CDO criteria. To provide additional transparency into the assumptions S&P used in its analysis, S&P is providing the tiered recovery rate S&P assumed for the cash flows generated for the 'AAA' liability rating for each transaction. Tiered Recovery Rate For 'AAA' Liability Rating Transaction Recovery rate (%) ----------- ----------------- Ashford CDO II Ltd. 21.2 Granite Ventures I Ltd. 45.2 Primus CLO II Ltd. 43.1 Gresham St CDO Funding 2003-1 46.2 Tricadia CDO 2003-1 Ltd. 25.7 Zais Investment Grade VI 30.9 Zais Investment Grade X 28.5 Rating Actions Rating ------ Transaction Class To From ----------- ----- -- ---- Ashford CDO II Ltd X A- AAA/Watch Neg Ashford CDO II Ltd A-1LA BBB- A/Watch Neg Ashford CDO II Ltd A-1LB BB BBB+/Watch Neg Ashford CDO II Ltd A-2L B BB/Watch Neg Ashford CDO II Ltd A-3L CCC B+/Watch Neg Ashford CDO II Ltd B-1L CCC- CCC+/Watch Neg Ashford CDO II Ltd B-2L CC CCC-/Watch Neg Gresham St CDO Funding 2003-1 B AAA AAA/Watch Neg Gresham St CDO Funding 2003-1 C A+ AAA/Watch Neg Gresham St CDO Funding 2003-1 D CCC- A-/Watch Neg Gresham St CDO Funding 2003-1 PrefSh CCC- BBB-/Watch Neg Tricadia CDO 2003-1 Ltd A-1LA BBB+ AA/Watch Neg Tricadia CDO 2003-1 Ltd A-1LB BBB- A-/Watch Neg Tricadia CDO 2003-1 Ltd A-2L BBB- A-/Watch Neg Tricadia CDO 2003-1 Ltd A-3L B+ BBB-/Watch Neg Tricadia CDO 2003-1 Ltd A-4L B- BB-/Watch Neg Zais Investment Grade VI A-1 A+ AAA/Watch Neg Zais Investment Grade VI A-2a A- AA/Watch Neg Zais Investment Grade VI A-2b A- AA/Watch Neg Zais Investment Grade VI A-3 BBB A+/Watch Neg Zais Investment Grade VI B-1 B- BB+/Watch Neg Zais Investment Grade VI B-2 B- BB+/Watch Neg Zais Investment Grade X A-1a BBB- A/Watch Neg Zais Investment Grade X A-1b BBB- A/Watch Neg Zais Investment Grade X A-2 BB+ BBB-/Watch Neg Zais Investment Grade X A-3 B+ BB/Watch Neg Zais Investment Grade X A-4 CCC+ B-/Watch Neg Zais Investment Grade X B CC CCC/Watch Neg Zais Investment Grade X S A AAA/Watch Neg Ratings Affirmed Transaction Class Rating ----------- ----- ------ Granite Ventures I Ltd A-1 AA+ Granite Ventures I Ltd. A-2 AA Granite Ventures I Ltd B A- Granite Ventures I Ltd C BB+ Granite Ventures I Ltd D CCC+ Primus CLO II Ltd A AA- Primus CLO II Ltd B A+ Primus CLO II Ltd C BBB Primus CLO II Ltd D BB+ Primus CLO II Ltd E CCC- Zais Investment Grade X C CC Zais Investment Grade X D CC * S&P Downgrades Ratings on 57 Tranches From 11 CDO Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 57 tranches from 11 U.S. cash flow and hybrid collateralized debt obligation transactions. At the same time, S&P removed 33 of the lowered ratings from CreditWatch with negative implications. Twenty-two of the lowered ratings and eight additional tranches remain on CreditWatch negative. S&P affirmed its ratings on 11 other tranches from four transactions and removed three of them from CreditWatch negative. The CDO downgrades reflect a number of factors, including credit deterioration and S&P's negative rating actions on underlying U.S. subprime residential mortgage-backed securities. S&P's ratings remaining on CreditWatch primarily affect transactions for which a significant portion of the collateral assets currently have ratings on CreditWatch with negative implications or that have significant exposure to assets rated in the 'CCC' category. The 57 downgraded U.S. cash flow and hybrid tranches have a total issuance amount of $2.759 billion. Eight of the 11 affected transactions are CDO of commercial mortgage-backed securities transactions. Two of the 11 affected transactions are mezzanine structured finance CDOs of asset-backed securities, which are collateralized in large part by mezzanine tranches of RMBS and other SF securities. The other deal is a high-grade SF CDO of ABS that was collateralized at origination primarily by 'AAA' through 'A' rated tranches of RMBS and other SF securities. The affirmations reflect current credit support levels that S&P believes are sufficient to maintain the current ratings. Standard & Poor's will continue to monitor the CDO transactions it rates and take rating actions, including CreditWatch placements, when appropriate. Rating And Creditwatch Actions Rating ------ Transaction Class To From ----------- ----- -- ---- Acacia CRE CDO 1 A B+ AA/Watch Neg Acacia CRE CDO 1 B CCC- A-/Watch Neg Acacia CRE CDO 1 C CC BBB-/Watch Neg Acacia CRE CDO 1 D CC BB+/Watch Neg Acacia CRE CDO 1 E CC BB/Watch Neg Acacia CRE CDO 1 F CC B+/Watch Neg Ajax Two B A AA+ Ajax Two C CCC BBB-/Watch Neg Ajax Two PrfSh CC BB/Watch Neg Crest Exeter St Solar 2004-1 B-1 A/Watch Neg AA/Watch Neg Crest Exeter St Solar 2004-1 B-2 A/Watch Neg AA/Watch Neg Crest Exeter St Solar 2004-1 C-1 BBB/Watch Neg A/Watch Neg Crest Exeter St Solar 2004-1 C-2 BBB/Watch Neg A/Watch Neg Crest Exeter St Solar 2004-1 D-1 B/Watch Neg BB/Watch Neg Crest Exeter St Solar 2004-1 D-2 B/Watch Neg BB/Watch Neg Crest Exeter St Solar 2004-1 E-1 CCC/Watch Neg B-/Watch Neg Crest Exeter St Solar 2004-1 E-2 CCC/Watch Neg B-/Watch Neg G-Star 2002-1 BFL BB+/Watch Neg BBB/Watch Neg G-Star 2002-1 BFX BB+/Watch Neg BBB/Watch Neg G-Star 2002-1 C B+/Watch Neg BB-/Watch Neg G-Star 2003-3 A-1 A+ AAA G-Star 2003-3 A-2 BB+ AA+/Watch Neg G-Star 2003-3 A-3 CCC- A+/Watch Neg G-Star 2003-3 B-1 CC BBB/Watch Neg G-Star 2003-3 B-2 CC BB/Watch Neg G-Star 2003-3 PfdSh CC CCC-/Watch Neg Kirkwood CDO 2004-1 Ltd. A BB+ AA/Watch Neg Kirkwood CDO 2004-1 Ltd. B CCC+ AA/Watch Neg Kirkwood CDO 2004-1 Ltd. C CCC- AA/Watch Neg Kirkwood CDO 2004-1 Ltd. D CCC- A/Watch Neg Knollwood CDO A-1 CC BB/Watch Neg Lenox Street 2007-1 A B-/Watch Neg BBB-/Watch Neg Lenox Street 2007-1 B CCC/Watch Neg BB+/Watch Neg Lenox Street 2007-1 C CCC-/WatchNeg B+/Watch Neg Lenox Street 2007-1 D CCC-/WatchNeg B/Watch Neg Lenox Street 2007-1 E CC CCC+/Watch Neg Lenox Street 2007-1 F CC CCC/Watch Neg Lenox Street 2007-1 G CC CCC/Watch Neg Lenox Street 2007-1 H CC CCC-/Watch Neg Lenox Street 2007-1 J CC CCC-/Watch Neg Newcastle CDO VII I-A BB+ A+/Watch Neg Newcastle CDO VII I-B BB- A-/Watch Neg Newcastle CDO VII II CCC+ BBB+/Watch Neg Newcastle CDO VII III CCC- BB+/Watch Neg Newcastle CDO VII IV-FL CC B+/Watch Neg Newcastle CDO VII IV-FX CC B+/Watch Neg Newcastle CDO VII V CC CCC+/Watch Neg N-Star Real Estate CDO II B-1 AA+ AA+/Watch Neg N-Star Real Estate CDO II B-2 AA AA/Watch Neg Sorin Real Estate CDO I A-1 BB/Watch Neg A-/Watch Neg Sorin Real Estate CDO I A-2 B/Watch Neg BBB+/Watch Neg Sorin Real Estate CDO I B B-/Watch Neg BBB-/Watch Neg Sorin Real Estate CDO I C CCC-/WatchNeg BB/Watch Neg Sorin Real Estate CDO I D CCC-/WatchNeg B+/Watch Neg Sorin Real Estate CDO I E CCC-/WatchNeg B/Watch Neg Sorin Real Estate CDO I F CC/Watch Neg CCC+/Watch Neg Zais Investment Grade IX A-1 BB+ BBB+/Watch Neg Zais Investment Grade IX A-2 B BB-/Watch Neg Zais Investment Grade IX B CCC- CCC+/Watch Neg Zais Investment Grade IX X AAA AAA/Watch Neg Ratings Remaining On Creditwatch Negative Transaction Class Rating ----------- ----- ------ Crest Exeter Street Solar 2004-1 A-1 AA+/Watch Neg Crest Exeter Street Solar 2004-1 A-2 AA+/Watch Neg G-Star 2002-1 A-1MM AAA/A-1/Watch Neg G-Star 2002-1 A-2 AAA/Watch Neg N-Star Real Estate CDO II C-1 A/Watch Neg N-Star Real Estate CDO II C-2A BBB-/Watch Neg N-Star Real Estate CDO II C-2B BBB-/Watch Neg N-Star Real Estate CDO II D B+/Watch Neg Ratings Affirmed Transaction Class Rating ----------- ----- ------ Ajax Two A-2A AAA Ajax Two A-2B AAA Knollwood CDO C CC N-Star Real Estate CDO II A-1 AAA N-Star Real Estate CDO II A-2A AAA N-Star Real Estate CDO II A-2B AAA Zais Investment Grade IX C CC Zais Investment Grade IX D CC Other Ratings Outstanding Transaction Class Rating ----------- ----- ------ Knollwood CDO A-2 D Knollwood CDO B D * S&P Downgrades Ratings on 206 Classes From 17 RMBS Transactions ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 206 classes from 17 residential mortgage-backed securities transactions backed by a mix of U.S. prime jumbo mortgage and Alternative-A residential mortgage loan collateral from 2005, 2006, and 2007. S&P removed 153 of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 112 classes from 11 of the transactions with downgraded classes, as well as three additional transactions, and removed 28 of the affirmed ratings from CreditWatch negative. The downgrades reflect S&P's opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings, given S&P's current projected losses, due to increased delinquencies. Conversely, the affirmed ratings reflect S&P's belief that the amount of credit enhancement available for these classes is sufficient to cover losses associated with the current rating levels. To assess the creditworthiness of each class, S&P applied its loss projections at the structural level. In order to maintain a 'B' rating on a class, S&P assessed whether, in its view, a class could absorb the base-case loss assumptions S&P used in its analysis. In order to maintain a rating higher than 'B', S&P assessed whether the class could withstand losses exceeding the base-case assumptions at a percentage specific to each rating category, up to 235% for a 'AAA' rating on prime jumbo structures. For example, on prime jumbo structures, in general, S&P would assess whether one class could withstand approximately 127% of its base-case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 154% of S&P's base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in S&P's view, withstand approximately 235% of its base-case loss assumptions under its analysis. For Alt-A structures, S&P would assess whether one class could withstand approximately 110% of its base-case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 120% of its base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in S&P's view, withstand approximately 150% of its base-case loss assumptions under its analysis. S&P also lowered its ratings on certain senior classes due to principal shortfalls or write-downs in the final period of particular cash flow scenarios. These classes may not have experienced any principal shortfalls or write-downs in any of the prior periods of the particular stress scenario; however, the structural mechanics of the transactions created circumstances in which one or more classes within a transaction may have relied on principal proceeds to satisfy interest amounts due in earlier periods, thus resulting in a write-down in the final period. The use of principal to satisfy interest obligations is generally created within structures that utilize cross-collateralization and contain multiple loan groups. Based on certain stress scenarios, if a particular group is performing worse than another group, or set of groups, that group can become undercollateralized when S&P compare the group collateral balance with the related senior class balance(s). Based on the defined interest amount needed to satisfy the interest liability of the related class (or classes), interest shortfalls may occur due to a group collateral balance that is insufficient to cover the necessary interest obligations of the related liabilities. Generally, cross-collateralization is designed to allow overcollateralized groups to provide cash flow to undercollateralized groups in order to mitigate this issue. However, if the overcollateralized group has a pass-through rate that is lower than the pass-through rate of the undercollateralized group, the available interest may not be sufficient to satisfy the undercollateralized group's interest requirement. Therefore, the principal portion of available funds may be used to satisfy interest obligations based on the interest-principal payment priority within the structure. In the final payment period, a situation may occur in which available funds are not sufficient to satisfy the interest and principal requirements necessary to pay the bond in full, as principal in prior periods was used to satisfy interest obligations. Additionally, in some cases, even super-senior certificates can be exposed to this risk due to the fact that structures may pay principal pro rata with senior support classes. Although the senior class was not exposed to a write-down in any of the prior periods, it could be susceptible to a write-down in the final period due to the aforementioned issues. Subordination provides credit support for the affected transactions. The underlying collateral for these deals consists of fixed- and adjustable-rate U.S. prime jumbo and Alt-A mortgage loans secured by first liens on one- to four-family residential properties. Rating Actions Banc of America Funding 2006-7 Trust Series 2006-7 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-4 05951KAE3 BB- BBB/Watch Neg 1-A-7 05951KAH6 BB BBB/Watch Neg 1-A-8 05951KAJ2 BB BBB/Watch Neg T2-A-5 05951KBB8 CC CCC CHL Mortgage Pass-Through Trust 2007-11 Series 2007-11 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 12544LAA9 CC CCC A-2 12544LAB7 CC CCC A-3 12544LAC5 CC CCC A-4 12544LAD3 CCC AAA/Watch Neg A-5 12544LAE1 CC CCC A-6 12544LAF8 CC CCC A-7 12544LAG6 CC CCC A-8 12544LAH4 CC CCC A-9 12544LAJ0 CC CCC A-10 12544LAK7 CCC BB/Watch Neg A-11 12544LAL5 CC CCC A-12 12544LAM3 CC CCC A-13 12544LAN1 CC CCC A-14 12544LAP6 CC CCC A-15 12544LAQ4 CC CCC A-16 12544LAR2 CC CCC A-17 12544LAS0 CC CCC A-18 12544LAT8 CC CCC A-19 12544LAU5 CC CCC PO 12544LAW1 CC CCC Citicorp Mortgage Securities Trust Series 2007-4 Series 2007-4 Rating ------ Class CUSIP To From ----- ----- -- ---- IA-11 17312XAL8 CCC AAA/Watch Neg Citicorp Mortgage Securities Trust, Series 2006-5 Series 2006-5 Rating ------ Class CUSIP To From ----- ----- -- ---- IA-4 17310FAD7 AAA AAA/Watch Neg IA-14 17310FAP0 B A+/Watch Neg Citicorp Mortgage Securities Trust, Series 2007-2 Series 2007-2 Rating ------ Class CUSIP To From ----- ----- -- ---- IA-1 173107AA1 BB A+/Watch Neg IA-3 173107AC7 BB A+/Watch Neg IA-4 173107AD5 BB A+/Watch Neg IA-5 173107AE3 A+ A+/Watch Neg IA-7 173107AG8 BB A+/Watch Neg IIA-1 173107AK9 BBB AAA/Watch Neg IIIA-1 173107AM5 BB AA-/Watch Neg A-PO 173107AP8 BB A+/Watch Neg Citicorp Mortgage Securities Trust, Series 2007-5 Series 2007-5 Rating ------ Class CUSIP To From ----- ----- -- ---- IA-1 17312KAA0 CCC BB-/Watch Neg IA-2 17312KAB8 CCC B+/Watch Neg IA-3 17312KAC6 CCC B+/Watch Neg IA-4 17312KAD4 CCC B+/Watch Neg IA-6 17312KAF9 CCC A+/Watch Neg IA-8 17312KAH5 CCC B+/Watch Neg IA-9 17312KAJ1 CCC A+/Watch Neg IA-10 17312KAK8 CCC B+/Watch Neg IA-11 17312KAL6 CCC B+/Watch Neg IIA-1 17312KAN2 CCC BB-/Watch Neg IIIA-1 17312KAQ5 CCC AAA/Watch Neg A-PO 17312KAS1 CCC B+/Watch Neg CSFB Mortgage-Backed Trust Series 2005-12 Series 2005-12 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 225470RS4 CC CCC 4-A-1 225470RV7 CC CCC 5-A-1 225470RW5 B AA/Watch Neg 5-A-2 225470RX3 CC CCC A-P 225470SF1 CC CCC CSMC Mortgage Backed Trust 2007-5 Series 2007-5 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 22944BAA6 CC CCC 1-A-2 22944BAB4 CC CCC 1-A-4 22944BAD0 CC CCC 1-A-6 22944BAF5 CC CCC 1-A-9 22944BAJ7 CC CCC 1-A-10 22944BAK4 CC CCC 1-A-11 22944BAL2 CC CCC 1-A-12 22944BAM0 CC CCC D-P 22944BDU9 B AA/Watch Neg 2-A-1 22944BAN8 BBB+ AAA/Watch Neg 2-A-3 22944BAQ1 BBB+ AAA/Watch Neg 2-A-4 22944BAR9 B AA/Watch Neg 2-A-5 22944BAS7 BBB+ AAA/Watch Neg 2-A-6 22944BAT5 BBB+ AAA/Watch Neg 3-A-1 22944BAU2 BB AAA/Watch Neg 3-A-2 22944BAV0 AAA AAA/Watch Neg 3-A-3 22944BAW8 B AA/Watch Neg 3-A-6 22944BAZ1 BB AAA/Watch Neg 3-A-8 22944BBB3 AAA AAA/Watch Neg 3-A-9 22944BBC1 BB AAA/Watch Neg 3-A-13 22944BBG2 A- AAA/Watch Neg 3-A-15 22944BBJ6 A- AAA/Watch Neg 3-A-16 22944BBK3 A- AAA/Watch Neg 3-A-17 22944BBL1 A- AAA/Watch Neg 3-A-19 22944BBN7 A- AAA/Watch Neg 4-A-2 22944BBQ0 B AA/Watch Neg 4-A-5 22944BBT4 A- AAA/Watch Neg 4-A-8 22944BBW7 A- AAA/Watch Neg 4-A-10 22944BBY3 A- AAA/Watch Neg 4-A-13 22944BCB2 A- AAA/Watch Neg 4-A-16 22944BCE6 A- AAA/Watch Neg 4-A-18 22944BCG1 A- AAA/Watch Neg 4-A-19 22944BCH9 A- AAA/Watch Neg 4-A-20 22944BCJ5 A- AAA/Watch Neg 4-A-21 22944BCK2 A- AAA/Watch Neg 4-A-22 22944BCL0 A- AAA/Watch Neg 4-A-23 22944BCM8 A- AAA/Watch Neg 4-A-24 22944BCN6 A- AAA/Watch Neg 4-A-25 22944BCP1 A- AAA/Watch Neg 4-A-26 22944BCQ9 A- AAA/Watch Neg 4-A-27 22944BCR7 A- AAA/Watch Neg 4-A-28 22944BCS5 A- AAA/Watch Neg 4-A-29 22944BCT3 A- AAA/Watch Neg 4-A-30 22944BCU0 A- AAA/Watch Neg 4-A-31 22944BCV8 A- AAA/Watch Neg 4-A-32 22944BCW6 A- AAA/Watch Neg 4-A-33 22944BCX4 A- AAA/Watch Neg 5-A-1 22944BCY2 BB+ AAA/Watch Neg 5-A-2 22944BCZ9 BBB- AAA/Watch Neg 5-A-3 22944BDA3 BBB- AAA/Watch Neg 5-A-5 22944BDC9 BBB- AAA/Watch Neg 6-A-1 22944BDD7 B AA/Watch Neg 6-A-2 22944BDE5 B+ AAA/Watch Neg 6-A-3 22944BDF2 B+ AAA/Watch Neg 6-A-5 22944BDH8 B+ AAA/Watch Neg 7-A-1 22944BDJ4 B AA/Watch Neg 7-A-2 22944BDK1 BBB+ AAA/Watch Neg 8-A-1 22944BDL9 B AA/Watch Neg 8-A-2 22944BDM7 BBB+ AAA/Watch Neg 9-A-1 22944BDN5 B AA/Watch Neg 9-A-2 22944BDP0 A- AAA/Watch Neg 10-A-1 22944BDQ8 B AA/Watch Neg 10-A-2 22944BDR6 BBB+ AAA/Watch Neg A-M 22944BDS4 B AA/Watch Neg B-4 22944BEH7 CC CCC B-5 22944BEP9 CC CCC B-6 22944BEQ7 D CCC CSMC Mortgage Backed Trust 2007-7 Series 2007-7 Rating ------ Class CUSIP To From ----- ----- -- ---- 2-A-3 12638DAF3 CC CCC 3-A-3 12638DAJ5 CC CCC AM 12638DBN5 CC CCC 2-P 12638DBH8 D CCC 3-P 12638DBJ4 D CCC First Horizon Mortgage Pass-Through Trust 2006-AR2 Series 2006-AR2 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 32052KAA3 AAA AAA/Watch Neg III-A-1 32052KAD7 B- B-/Watch Neg GSR Mortgage Loan Trust 2006-3F Series 2006-3F Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-6 362334JM7 CCC A+/Watch Neg 2A-7 362334JV7 BBB- A+/Watch Neg 3A-11 362334KH6 CC CCC 3A-16 362334KN3 BB A/Watch Neg 3A-18 362334KQ6 CC CCC GSR Mortgage Loan Trust 2007-AR1 Series 2007-AR1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1A2 362290AB4 CC CCC 2A2 362290AD0 CC CCC 3A2 362290AJ7 CC CCC 4A1 362290AK4 CCC BB+/Watch Neg 4A2 362290AL2 CC CCC 5A1 362290AM0 CCC A/Watch Neg 5A2 362290AN8 CC CCC 6A1 362290AP3 A A/Watch Neg 6A2 362290AQ1 CC CCC IndyMac IMJA Mortgage Loan Trust 2007-A4 Series 2007-A4 Rating ------ Class CUSIP To From ----- ----- -- ---- A-2 45670VAB1 CC CCC PO 45670VAC9 CC CCC MASTR Asset Securitization Trust 2006-1 Series 2006-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 57643MLX0 BBB AA+/Watch Neg 1-A-2 57643MLY8 B+ BBB/Watch Neg 1-A-3 57643MLZ5 B+ BBB/Watch Neg 1-A-4 57643MMA9 B BBB/Watch Neg 1-A-5 57643MMB7 B BBB/Watch Neg 1-A-6 57643MMC5 B BBB/Watch Neg 1-A-7 57643MMD3 B BBB/Watch Neg 1-A-8 57643MME1 B BBB/Watch Neg 1-A-9 57643MMF8 B BBB/Watch Neg 1-A-11 57643MMH4 B BBB/Watch Neg 1-A-12 57643MMJ0 B BBB/Watch Neg 1-A-13 57643MMK7 B BBB/Watch Neg 1-A-14 57643MML5 B BBB/Watch Neg 2-A-1 57643MMM3 B BBB/Watch Neg 3-A-1 57643MMP6 A AAA/Watch Neg 3-A-2 57643MNE0 B+ BBB/Watch Neg 4-A-1 57643MMQ4 B+ BBB/Watch Neg 15-PO 57643MMV3 B+ BBB/Watch Neg 30-PO 57643MMW1 B BBB/Watch Neg B-1 57643MMX9 CC CCC MASTR Asset Securitization Trust 2006-2 Series 2006-2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 55274QAA3 CCC B/Watch Neg 1-A-2 55274QAB1 BB- BB-/Watch Neg 1-A-3 55274QAC9 B B/Watch Neg 1-A-4 55274QAD7 CCC B/Watch Neg 1-A-5 55274QAE5 CCC B/Watch Neg 1-A-6 55274QAF2 CCC B/Watch Neg 1-A-8 55274QAH8 BBB+ BBB+/Watch Neg 1-A-9 55274QAJ4 CCC BBB+/Watch Neg 1-A-10 55274QAK1 CCC BBB+/Watch Neg 1-A-11 55274QAL9 CCC B/Watch Neg 1-A-12 55274QAM7 CCC B/Watch Neg 1-A-13 55274QAN5 CCC B/Watch Neg 1-A-14 55274QAP0 B B/Watch Neg 1-A-15 55274QAQ8 B B/Watch Neg 1-A-16 55274QAR6 B B/Watch Neg 1-A-18 55274QAT2 BB- BB-/Watch Neg 1-A-19 55274QAU9 BB- BB-/Watch Neg 1-A-20 55274QAV7 BB- BB-/Watch Neg 1-A-22 55274QAX3 B B/Watch Neg 1-A-23 55274QAY1 B B/Watch Neg 1-A-24 55274QAZ8 B B/Watch Neg 1-A-26 55274QBB0 CCC B/Watch Neg 1-A-27 55274QBC8 CCC B/Watch Neg 1-A-28 55274QBD6 CCC B/Watch Neg 1-A-30 55274QBF1 CCC BBB+/Watch Neg 1-A-31 55274QBG9 CCC B/Watch Neg 1-A-32 55274QBH7 CCC B/Watch Neg 1-A-33 55274QBJ3 CCC B/Watch Neg 1-A-34 55274QBK0 CCC B/Watch Neg 1-A-35 55274QBL8 CCC B/Watch Neg 2-A-1 55274QBM6 CCC B/Watch Neg 2-A-2 55274QBN4 CCC B/Watch Neg PO 55274QBS3 CCC B/Watch Neg B-1 55274QBU8 CC CCC Sequoia Mortgage Trust 2007-4 Series 2007-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 81744JAA7 AA- AAA/Watch Neg 1-XA 81744JAL3 AA- AAA/Watch Neg 2-A1 81744JAC3 AAA AAA/Watch Neg 2-A2 81744JAD1 CCC B/Watch Neg 4-A1 81744JAG4 CCC BB/Watch Neg 5-A1 81744JAJ8 A A/Watch Neg Wachovia Mortgage Loan Trust, LLC Series 2006-A Trust Series 2006-A Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 92977TAA0 B BB/Watch Neg 1-A2 92977TAB8 CCC BB-/Watch Neg 2-A1 92977TAC6 B BB+/Watch Neg 2-A2 92977TAD4 CCC BB-/Watch Neg 3-A1 92977TAE2 AA AAA/Watch Neg 3-A2 92977TAF9 CCC BB-/Watch Neg 4-A1 92977TAG7 BB AA+/Watch Neg 4-A2 92977TAH5 CCC BB-/Watch Neg B-1 92977TAK8 CC CCC B-2 92977TAL6 D CC Wells Fargo Mortgage Backed Securities 2007-12 Trust Series 2007-12 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 94986FAA5 BBB AA/Watch Neg A-2 94986FAB3 BBB AA/Watch Neg A-3 94986FAC1 BBB AA/Watch Neg A-4 94986FAD9 BBB AA/Watch Neg A-5 94986FAE7 BBB AA/Watch Neg A-6 94986FAF4 BBB AA/Watch Neg A-7 94986FAG2 AAA AAA/Watch Neg A-8 94986FAH0 BBB AA/Watch Neg A-9 94986FAJ6 AAA AAA/Watch Neg A-10 94986FAK3 BBB AA/Watch Neg A-11 94986FAL1 AAA AAA/Watch Neg A-12 94986FAM9 BBB AA/Watch Neg A-13 94986FAN7 AAA AAA/Watch Neg A-14 94986FAP2 BBB AA/Watch Neg A-15 94986FAQ0 AAA AAA/Watch Neg A-16 94986FAR8 BBB AA/Watch Neg A-17 94986FAS6 AAA AAA/Watch Neg A-18 94986FAT4 BBB AA/Watch Neg A-19 94986FAU1 AAA AAA/Watch Neg A-20 94986FAV9 BBB AA/Watch Neg A-21 94986FAW7 BBB AA/Watch Neg A-PO 94986FAX5 BBB AA/Watch Neg Ratings Affirmed Banc of America Funding 2006-7 Trust Series 2006-7 Class CUSIP Rating ----- ----- ------ 1-A-1 05951KAB9 CCC 1-A-2 05951KAC7 CCC 1-A-5 05951KAF0 CCC 1-A-9 05951KAK9 CCC 1-A-10 05951KAL7 CCC 1-A-11 05951KAM5 CCC 1-A-12 05951KAN3 CCC 30-PO 05951KAQ6 CCC T2-A-7 05951KBD4 CCC Banc of America Funding 2007-C Trust Series 2007-C Class CUSIP Rating ----- ----- ------ 6-A-1 059522AA0 BB 6-A-2 059522AB8 CCC 7-A-1 059522AC6 CCC 7-A-2 059522AD4 CCC 7-A-3 059522AE2 CCC 7-A-4 059522AF9 CCC 1-A-1 059522AT9 CCC 1-A-2 059522AU6 BB 1-A-3 059522AV4 BB 1-A-4 059522AW2 BB 1-A-5 059522AX0 CCC 2-A-1 059522AY8 BB 2-A-2 059522AZ5 CCC 3-A-1 059522BA9 CCC 3-A-2 059522BB7 CCC 4-A-1 059522BC5 BBB- 4-A-2 059522BD3 BBB- 4-A-3 059522BE1 BBB- 4-A-4 059522BF8 CCC 5-A-2 059522BH4 CCC Citicorp Mortgage Securities Trust, Series 2007-7 Series 2007-7 Class CUSIP Rating ----- ----- ------ IA-1 173104AA8 BBB- IA-2 173104AB6 B IIA-1 173104AD2 AAA IIA-IO 173104AE0 AAA IIIA-1 173104AF7 AA+ IIIA-IO 173104AG5 AA+ A-PO 173104AH3 B CSMC Mortgage Backed Trust 2007-5 Series 2007-5 Class CUSIP Rating ----- ----- ------ B-1 22944BEE4 CCC B-2 22944BEF1 CCC CSMC Mortgage Backed Trust 2007-7 Series 2007-7 Class CUSIP Rating ----- ----- ------ 1-A-1 12638DAA4 CCC 1-A-2 12638DAB2 CCC 1-P 12638DBG0 CCC 2-A-1 12638DAD8 CCC 2-A-2 12638DAE6 CCC 2-A-4 12638DBL9 CCC 3-A-1 12638DAG1 CCC 3-A-2 12638DAH9 CCC 3-A-4 12638DBM7 CCC First Horizon Mortgage Pass-Through Trust 2006-AR2 Series 2006-AR2 Class CUSIP Rating ----- ----- ------ II-A-1 32052KAB1 CCC IV-A-1 32052KAE5 CCC A-M 32052KAF2 CCC GSR Mortgage Loan Trust 2006-3F Series 2006-3F Class CUSIP Rating ----- ----- ------ 1A-1 362334JG0 CCC 1A-2 362334JH8 CCC 1A-3 362334JJ4 CCC 1A-4 362334JK1 CCC 1A-5 362334JL9 CCC 1A-7 362334JN5 CCC 2A-1 362334JP0 CCC 2A-2 362334GM0 CCC 2A-3 362334JR6 CCC 2A-4 362334JS4 CCC 2A-5 362334JT2 CCC 2A-6 362334JU9 CCC 2A-8 362334JW5 CCC 3A-1 362334HG2 CCC 3A-4 362334KA1 CCC 3A-7 362334KD5 CCC 3A-8 362334KE3 CCC 3A-9 362334KF0 CCC 3A-12 362334KJ2 CCC 3A-14 362334KL7 CCC 3A-15 362334KM5 CCC 3A-17 362334KP8 CCC 4A-1 362334HH0 CCC 5A-1 362334HJ6 CCC A-P 362334KU7 CCC GSR Mortgage Loan Trust 2007-AR1 Series 2007-AR1 Class CUSIP Rating ----- ----- ------ 1A1 362290AA6 CCC 2A1 362290AC2 CCC 3A1 362290AH1 CCC IndyMac IMJA Mortgage Loan Trust 2007-A4 Series 2007-A4 Class CUSIP Rating ----- ----- ------ A-1 45670VAA3 CCC Sequoia Mortgage Trust 2007-4 Series 2007-4 Class CUSIP Rating ----- ----- ------ 1-A2 81744JAB5 CCC 3-A1 81744JAE9 CCC 3-A2 81744JAF6 CCC 4-A2 81744JAH2 CCC 5-A2 81744JAK5 CCC * S&P Downgrades Ratings on 381 Classes From 22 RMBS Transactions ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 381 classes from 22 residential mortgage-backed securities transactions backed by a mix of U.S. prime jumbo mortgage and Alternative-A residential mortgage loan collateral issued in 2005. S&P removed 317 of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 165 classes from 17 of the transactions with downgraded classes and one additional transaction and removed 129 of the affirmed ratings from CreditWatch negative. The downgrades reflect S&P's opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings, given its current projected losses, due to increased delinquencies. Conversely, the affirmed ratings reflect S&P's belief that the amount of credit enhancement available for these classes is sufficient to cover losses associated with the current rating levels. To assess the creditworthiness of each class, S&P applied its loss projections at the structural level. In order to maintain a 'B' rating on a class, S&P assessed whether, in S&P's view, a class could absorb the base-case loss assumptions S&P used in its analysis. In order to maintain a rating higher than 'B', S&P assessed whether the class could withstand losses exceeding the base-case assumption at a percentage specific to each rating category, up to 235% for a 'AAA' rating. For example, in general, S&P would assess whether one class could withstand approximately 127% of its base-case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 154% of S&P's base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in S&P's view, withstand approximately 235% of its base-case loss assumptions under S&P's analysis. S&P also lowered its ratings on certain senior classes due to principal shortfalls or write-downs in the final period of particular cash flow scenarios. These classes may not have experienced any principal shortfalls or write-downs in any of the prior periods of the particular stress scenario; however, the structural mechanics of the transactions created circumstances in which one or more classes within a transaction may have relied on principal proceeds to satisfy interest amounts due in earlier periods, thus resulting in a write-down in the final period. The use of principal to satisfy interest obligations is generally created within structures that utilize cross-collateralization and contain multiple loan groups. Based on certain stress scenarios, if a particular group is performing worse than another group, or set of groups, that group can become undercollateralized when S&P compare the group collateral balance with the related senior class balance(s). Based on the defined interest amount needed to satisfy the interest liability of the related class (or classes), interest shortfalls may occur due to a group collateral balance that is insufficient to cover the necessary interest obligations of the related liabilities. Generally, cross-collateralization is designed to allow overcollateralized groups to provide cash flow to undercollateralized groups in order to mitigate this issue. However, if the overcollateralized group has a pass-through rate that is lower than the pass-through rate of the undercollateralized group, the available interest may not be sufficient to satisfy the undercollateralized group's interest requirement. Therefore, the principal portion of available funds may be used to satisfy interest obligations based on the interest- principal payment priority within the structure. In the final payment period, a situation may occur in which available funds are not sufficient to satisfy the interest and principal requirements necessary to pay the bond in full, as principal in prior periods was used to satisfy interest obligations. Additionally, in some cases, even super-senior certificates can be exposed to this risk due to the fact that structures may pay principal pro rata with senior support classes. Although the senior class was not exposed to a write-down in any of the prior periods, it could be susceptible to a write-down in the final period due to the aforementioned issues. Subordination provides credit support for the affected transactions. The underlying collateral for these deals consists of fixed- and adjustable-rate U.S. prime jumbo mortgage loans secured by first liens on one- to four-family residential properties. Rating Actions Banc of America Funding 2005-4 Trust Series 2005-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 05946XZV8 AAA AAA/Watch Neg 1-A-2 05946XZW6 BBB AAA/Watch Neg 1-A-3 05946XZX4 BBB AAA/Watch Neg 1-A-4 05946XZY2 BBB AAA/Watch Neg 2-A-1 05946XZZ9 AAA AAA/Watch Neg 2-A-2 05946XA29 BB AAA/Watch Neg 2-A-3 05946XA37 BB AAA/Watch Neg 2-A-4 05946XA45 BB AAA/Watch Neg A-1 05946XA52 AAA AAA/Watch Neg A-2 05946XA60 AAA AAA/Watch Neg 30-IO 05946XA78 AAA AAA/Watch Neg 30-PO 05946XA86 BB AAA/Watch Neg B-1 05946XA94 CCC B+/Watch Neg B-2 05946XB28 CC CCC B-3 05946XB36 CC CCC Banc of America Mortgage Securities Inc. Series 2005-5 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 05949CAA4 AA+ AAA/Watch Neg 1-A-2 05949CAB2 AA+ AAA/Watch Neg 1-A-3 05949CAC0 AA+ AAA/Watch Neg 1-A-4 05949CAD8 AA+ AAA/Watch Neg 1-A-5 05949CAE6 AA+ AAA/Watch Neg 1-A-6 05949CAF3 AAA AAA/Watch Neg 1-A-8 05949CAH9 AAA AAA/Watch Neg 1-A-9 05949CAJ5 AA+ AAA/Watch Neg 1-A-10 05949CAK2 AAA AAA/Watch Neg 1-A-11 05949CAL0 AAA AAA/Watch Neg 1-A-12 05949CAM8 AA+ AAA/Watch Neg 1-A-13 05949CAN6 AA+ AAA/Watch Neg 1-A-14 05949CAP1 AAA AAA/Watch Neg 1-A-15 05949CAQ9 AA+ AAA/Watch Neg 1-A-16 05949CAR7 AAA AAA/Watch Neg 1-A-17 05949CAS5 AA+ AAA/Watch Neg 1-A-18 05949CAT3 AA+ AAA/Watch Neg 1-A-19 05949CAU0 AA+ AAA/Watch Neg 1-A-20 05949CAV8 AAA AAA/Watch Neg 1-A-22 05949CAX4 AAA AAA/Watch Neg 1-A-23 05949CAY2 AA+ AAA/Watch Neg 1-A-24 05949CAZ9 AA+ AAA/Watch Neg 1-A-25 05949CBA3 AA+ AAA/Watch Neg 1-A-26 05949CBB1 AAA AAA/Watch Neg 30-IO 05949CBD7 AAA AAA/Watch Neg 30-PO 05949CBE5 AA+ AAA/Watch Neg 2-A-1 05949CBF2 B BB+/Watch Neg 15-PO 05949CBH8 B BB+/Watch Neg 15-B-2 05949CBN5 CC CCC 30-B-5 05949CBR6 D CC Banc of America Mortgage Trust 2005-10 Series 2005-10 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 05949CLF1 A- AAA/Watch Neg 1-A-2 05949CLG9 CCC AA/Watch Neg 1-A3 05949CLH7 CCC AA/Watch Neg 1-A-4 05949CLJ3 B- AA/Watch Neg 1-A-5 05949CLK0 CCC AA/Watch Neg 1-A-6 05949CLL8 CCC AA/Watch Neg 1-A-7 05949CLM6 CCC AA/Watch Neg 1-A-8 05949CLN4 CCC AA/Watch Neg 1-A-9 05949CLP9 CCC AA/Watch Neg 1-A-11 05949CLR5 CCC AA/Watch Neg 1-A-12 05949CLS3 CCC AA/Watch Neg 1-A-13 05949CLT1 CCC AA/Watch Neg 1-A-14 05949CLU8 CCC AA/Watch Neg 1-A-15 05949CLV6 CCC AA/Watch Neg 1-A-16 05949CLW4 BBB+ AAA/Watch Neg 1-A17 05949CLX2 CCC AA/Watch Neg 1-A-18 05949CLY0 CCC AA/Watch Neg 1-A-19 05949CLZ7 CCC AA/Watch Neg 1-A-20 05949CMA1 CCC AA/Watch Neg 30-PO 05949CMC7 CCC AA/Watch Neg 2-A-1 05949CMD5 AAA AAA/Watch Neg 2-A2 05949CME3 AAA AAA/Watch Neg 15-PO 05949CMF0 AAA AAA/Watch Neg X-IO 05949CMG8 AAA AAA/Watch Neg Banc of America Mortgage Trust 2005-4 Series 2005-4 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 05949A5A4 BB AAA/Watch Neg 1-A-2 05949A5B2 BB AAA/Watch Neg 1-A-3 05949A5C0 AAA AAA/Watch Neg 1-A-4 05949A5D8 BB AAA/Watch Neg 1-A-5 05949A5E6 BB AAA/Watch Neg 1-A-7 05949A5G1 AAA AAA/Watch Neg 1-A-10 05949A5K2 BBB AAA/Watch Neg 1-A-11 05949A5L0 AAA AAA/Watch Neg 1-A-12 05949A5M8 AAA AAA/Watch Neg 1-A13 05949A5N6 BB AAA/Watch Neg 2-A-1 05949A5Q9 A AAA/Watch Neg A-IO 05949A5R7 AAA AAA/Watch Neg A-PO 05949A5S5 BB AAA/Watch Neg Banc of America Mortgage Trust 2005-8 Series 2005-8 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 05949CGN0 BBB AAA/Watch Neg A-2 05949CGP5 CCC BB/Watch Neg A-3 05949CGQ3 CCC BB/Watch Neg A-4 05949CGR1 CCC BB/Watch Neg A-6 05949CGT7 CCC BB/Watch Neg A-8 05949CGV2 CCC BB/Watch Neg A-9 05949CGW0 CCC BB/Watch Neg A-10 05949CGX8 CCC BB/Watch Neg A-11 05949CGY6 CCC BB/Watch Neg A-12 05949CGZ3 CCC BB/Watch Neg A-13 05949CHA7 CCC BB/Watch Neg A-14 05949CHB5 CCC BB/Watch Neg 30-PO 05949CHE9 CCC BB/Watch Neg Banc of America Mortgage Trust 2005-9 Series 2005-9 Rating ------ Class CUSIP To From ----- ----- -- ---- 3-A-1 05949CJX5 BBB AAA 3-A-2 05949CKH8 BBB AAA 3-A-3 05949CKJ4 BBB AAA 4-A-1 05949CJY3 A- AAA 4-A-2 05949CKK1 A- AAA 4-A-3 05949CKL9 A- AAA 15-PO 05949CKA3 BBB AAA Bear Stearns ARM Trust 2005-5 Series 2005-5 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 07387ACJ2 AAA AAA/Watch Neg A-2 07387ACK9 AAA AAA/Watch Neg M 07387ACL7 AA+ AA+/Watch Neg CHL Mortgage Pass Through Trust 2005-5 Series 2005-5 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 12669GQQ7 BBB AAA/Watch Neg A-2 12669GQR5 BBB AAA/Watch Neg A-3 12669GQS3 AAA AAA/Watch Neg A-4 12669GQT1 BBB AAA/Watch Neg A-5 12669GQU8 BBB AAA/Watch Neg A-6 12669GQV6 BBB AAA/Watch Neg A-7 12669GQW4 AAA AAA/Watch Neg PO 12669GQY0 BBB AAA/Watch Neg Credit Suisse First Boston Mortgage Securities Corp. Series 2005-3 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 225458JU3 BB AAA/Watch Neg II-A-1 225458JV1 BB AAA/Watch Neg VI-A-1 225458LD8 BB AAA/Watch Neg VI-A-2 225458LE6 BB AAA/Watch Neg VI-A-3 225458LF3 BB AAA/Watch Neg VI-A-4 225458LG1 BB AAA/Watch Neg III-A-1 225458JW9 AAA AAA/Watch Neg III-A-2 225458JX7 AAA AAA/Watch Neg III-A-3 225458JY5 AAA AAA/Watch Neg III-A-4 225458JZ2 AAA AAA/Watch Neg III-A-5 225458KA5 AAA AAA/Watch Neg III-A-6 225458KB3 AAA AAA/Watch Neg III-A-7 225458KC1 AAA AAA/Watch Neg III-A-8 225458KD9 AAA AAA/Watch Neg III-A-9 225458KE7 AAA AAA/Watch Neg III-A-10 225458KF4 AAA AAA/Watch Neg III-A-11 225458KG2 AAA AAA/Watch Neg III-A-12 225458KH0 AAA AAA/Watch Neg III-A-13 225458KJ6 AAA AAA/Watch Neg V-A-1 225458LC0 AAA AAA/Watch Neg V-A-2 225458ML9 AAA AAA/Watch Neg VII-A-1 225458LH9 AAA AAA/Watch Neg VII-A-2 225458LJ5 AAA AAA/Watch Neg VII-A-3 225458LK2 AAA AAA/Watch Neg VII-A-4 225458LL0 AAA AAA/Watch Neg VII-A-5 225458LM8 AAA AAA/Watch Neg A-X 225458LP1 AAA AAA/Watch Neg A-P 225458MM7 AAA AAA/Watch Neg D-B-1 225458LU0 CC CCC III-A-14 225458KK3 AAA AAA/Watch Neg III-A-15 225458KL1 AAA AAA/Watch Neg III-A-16 225458KM9 AAA AAA/Watch Neg III-A-17 225458KN7 AAA AAA/Watch Neg III-A-18 225458KP2 AAA AAA/Watch Neg III-A-19 225458KQ0 AAA AAA/Watch Neg III-A-20 225458KR8 AAA AAA/Watch Neg III-A-21 225458KS6 AAA AAA/Watch Neg III-A-22 225458KT4 AAA AAA/Watch Neg III-A-23 225458KU1 AAA AAA/Watch Neg III-A-24 225458KV9 AAA AAA/Watch Neg III-A-25 225458KW7 AAA AAA/Watch Neg III-A-26 225458KX5 AAA AAA/Watch Neg III-A-27 225458KY3 AAA AAA/Watch Neg III-A-28 225458KZ0 AAA AAA/Watch Neg III-A-29 225458LA4 AAA AAA/Watch Neg III-A-30 225458MF2 AAA AAA/Watch Neg III-A-33 225458MJ4 AAA AAA/Watch Neg III-A-34 225458MK1 AAA AAA/Watch Neg IV-A-1 225458LB2 AAA AAA/Watch Neg Credit Suisse First Boston Mortgage Securities Corp. Series 2005-7 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 225458E46 B BB/Watch Neg I-A-2 225458E53 B BB/Watch Neg I-A-3 225458E61 B BB/Watch Neg I-A-4 225458E79 B BB/Watch Neg I-A-5 225458E87 AAA AAA/Watch Neg I-A-6 225458E95 B BB/Watch Neg I-A-7 225458F29 B BB/Watch Neg I-A-8 225458F37 A AAA/Watch Neg I-A-9 225458L48 B BB/Watch Neg I-A-10 225458L55 B BB/Watch Neg I-A-11 225458L63 B BB/Watch Neg A-P 225458H35 B BB/Watch Neg IV-A-1 225458G36 AAA AAA/Watch Neg IV-A-2 225458G44 BBB AAA/Watch Neg IV-A-3 225458G51 BBB+ AAA/Watch Neg V-A-1 225458G69 BBB+ AAA/Watch Neg VI-A-1 225458G77 BBB- AAA/Watch Neg C-P 225458H43 CCC B/Watch Neg II-A-1 225458F45 CCC B/Watch Neg II-A-2 225458F52 CCC B/Watch Neg II-A-4 225458F78 CCC BB-/Watch Neg II-A-5 225458F86 CCC B/Watch Neg II-A-6 225458F94 CCC B/Watch Neg III-A-1 225458G28 CCC B/Watch Neg D-B-1 225458H84 CC CCC D-B-2 225458H92 D CC CSFB Mortgage-Backed Pass-Through Certificates Series 2005-1 Series 2005-1 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 225458AA6 BBB- AAA/Watch Neg I-A-2 225458AB4 BBB- AAA/Watch Neg I-A-3 225458AC2 BBB- AAA/Watch Neg I-A-4 225458AD0 BBB- AAA/Watch Neg I-A-5 225458AE8 BBB- AAA/Watch Neg I-A-6 225458AF5 BBB- AAA/Watch Neg I-A-7 225458AG3 BBB- AAA/Watch Neg I-A-8 225458AH1 BBB- AAA/Watch Neg I-A-9 225458AJ7 BBB- AAA/Watch Neg I-A-10 225458AK4 BBB- AAA/Watch Neg I-A-11 225458AL2 BBB- AAA/Watch Neg I-A-12 225458AM0 BBB- AAA/Watch Neg I-A-13 225458AN8 BBB- AAA/Watch Neg I-A-14 225458AP3 BBB- AAA/Watch Neg I-A-15 225458AQ1 BBB- AAA/Watch Neg I-A-16 225458AR9 BBB- AAA/Watch Neg I-A-17 225458AS7 BBB- AAA/Watch Neg I-A-18 225458AT5 BBB- AAA/Watch Neg I-A-19 225458AU2 BBB- AAA/Watch Neg I-A-20 225458AV0 BBB- AAA/Watch Neg I-A-22 225458AX6 BBB- AAA/Watch Neg I-A-23 225458AY4 BBB- AAA/Watch Neg I-A-24 225458AZ1 BBB- AAA/Watch Neg I-A-25 225458BA5 BBB- AAA/Watch Neg I-A-26 225458BB3 BBB- AAA/Watch Neg I-A-27 225458BC1 BBB- AAA/Watch Neg I-A-28 225458BD9 BBB- AAA/Watch Neg III-A-1 225458BR8 AA- AAA/Watch Neg III-A-2 225458BS6 BBB- AAA/Watch Neg III-A-3 225458BT4 BBB- AAA/Watch Neg III-A-4 225458BU1 AA- AAA/Watch Neg III-A-5 225458BV9 A AAA/Watch Neg III-A-6 225458BF4 AA- AAA/Watch Neg A-X 225458BX5 AA- AAA/Watch Neg A-P 225458BY3 BBB- AAA/Watch Neg II-A-1 225458BK3 BB+ A+/Watch Neg II-A-2 225458BL1 BB+ A+/Watch Neg II-A-3 225458BM9 BB+ A+/Watch Neg II-A-5 225458BP2 BB+ A+/Watch Neg II-A-6 225458BQ0 BB+ A+/Watch Neg D-B-1 225458BZ0 CCC B-/Watch Neg D-B-2 225458CA4 CC CCC D-B-3 225458CB2 CC CCC I-A-29 225458BE7 BBB- AAA/Watch Neg CSFB Mortgage-Backed Trust Series 2005-10 Series 2005-10 Rating ------ Class CUSIP To From ----- ----- -- ---- VII-A-1 225470FD0 CCC AAA/Watch Neg III-A-1 225470DW0 BBB AA/Watch Neg III-A-2 225470DX8 BB BB/Watch Neg III-A-3 225470DY6 CC CCC III-A-4 225470DZ3 CC CCC IV-A-1 225470EA7 CC CCC IV-A-2 225470EB5 CC CCC V-A-1 225470EC3 CC CCC V-A-3 225470EE9 CC CCC V-A-4 225470EF6 CCC BB/Watch Neg V-A-5 225470EG4 CC CCC V-A-6 225470EH2 CC CCC V-A-7 225470EJ8 CC CCC VI-A-6 225470ET6 B BB/Watch Neg VI-A-7 225470EU3 B BB/Watch Neg VI-A-8 225470EV1 B BB/Watch Neg VI-A-9 225470EW9 B BB/Watch Neg VI-A-10 225470EX7 B BB/Watch Neg VI-A-11 225470EY5 B BB/Watch Neg VI-A-12 225470EZ2 B BB/Watch Neg VI-A-13 225470FA6 CCC BB/Watch Neg VI-A-14 225470FB4 AAA AAA/Watch Neg VI-A-15 225470FC2 B BB/Watch Neg VI-B-1 225470GF4 CC CCC V-A-8 225470EK5 CC CCC V-A-9 225470EL3 CC CCC V-A-10 225470EM1 CC CCC VIII-A-1 225470FE8 CC CCC VIII-A-2 225470FF5 CC CCC VIII-A-3 225470FG3 CC BB/Watch Neg VIII-A-4 225470FH1 CC CCC IX-A-1 225470FJ7 CC CCC X-A-1 225470FK4 CC CCC X-A-2 225470FL2 CC CCC X-A-3 225470FM0 CC CCC X-A-4 225470FN8 CC CCC X-A-5 225470FP3 CC CCC A-P2 225470FW8 CC CCC VI-A-1 225470EN9 B BB/Watch Neg VI-A-3 225470EQ2 B BB/Watch Neg VI-A-5 225470ES8 CCC BB/Watch Neg CSFB Mortgage-Backed Trust Series 2005-4 Series 2005-4 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 225458PM4 A+ AAA/Watch Neg PP 225458RM2 AAA AAA/Watch Neg A-P 225458RB6 A AAA/Watch Neg III-A-1 225458PX0 A+ AAA/Watch Neg III-A-2 225458PY8 A+ AAA/Watch Neg III-A-3 225458PZ5 A+ AAA/Watch Neg III-A-4 225458QA9 A+ AAA/Watch Neg III-A-5 225458QB7 A+ AAA/Watch Neg III-A-6 225458QC5 A+ AAA/Watch Neg III-A-7 225458QD3 A+ AAA/Watch Neg III-A-8 225458QE1 A+ AAA/Watch Neg III-A-10 225458QG6 A+ AAA/Watch Neg III-A-11 225458QH4 A+ AAA/Watch Neg III-A-12 225458QJ0 A+ AAA/Watch Neg III-A-13 225458QK7 A+ AAA/Watch Neg III-A-14 225458QL5 A+ AAA/Watch Neg III-A-15 225458QM3 A+ AAA/Watch Neg III-A-16 225458QN1 AAA AAA/Watch Neg III-A-17 225458QP6 AAA AAA/Watch Neg III-A-18 225458QQ4 A+ AAA/Watch Neg C-B-2 225458RD2 CCC B-/Watch Neg D-B-2 225458RG5 CC CCC C-B-3 225458RE0 CC CCC D-B-3 225458RH3 CC CCC D-B-4 225458PF9 CC CCC C-B-4 225458PJ1 CC CCC III-A-19 225458QR2 A AAA/Watch Neg III-A-20 225458QS0 AAA AAA/Watch Neg III-A-21 225458QT8 A+ AAA/Watch Neg III-A-22 225458QU5 A+ AAA/Watch Neg III-A-23 225458QV3 A+ AAA/Watch Neg III-A-24 225458QW1 A+ AAA/Watch Neg III-A-25 225458QX9 AAA AAA/Watch Neg III-X 225458RA8 AAA AAA/Watch Neg II-A-1 225458PN2 BBB- AAA/Watch Neg II-A-3 225458PQ5 BBB- AAA/Watch Neg II-A-4 225458PR3 BBB- AAA/Watch Neg II-A-5 225458PS1 BBB- AAA/Watch Neg II-A-6 225458PT9 AAA AAA/Watch Neg II-A-7 225458PU6 AAA AAA/Watch Neg II-A-9 225458PW2 BBB- AAA/Watch Neg II-X 225458QZ4 AAA AAA/Watch Neg C-B-1 225458RC4 CCC BBB/Watch Neg D-B-1 225458RF7 CCC BB/Watch Neg II-A-2 225458PP7 AAA AAA/Watch Neg GSR Mortgage Loan Trust 2005-4F Series 2005-4F Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-1 36242DV91 AAA AAA/Watch Neg 2A-1 36242DW25 AAA AAA/Watch Neg 3A-1 36242DW33 AAA AAA/Watch Neg 4A-2 36242DW58 AAA AAA/Watch Neg 4A-3 36242DW66 AAA AAA/Watch Neg 4-A4 36242DW74 AAA AAA/Watch Neg 4-A5 36242DW82 AAA AAA/Watch Neg 4A-6 36242DW90 AAA AAA/Watch Neg 4A-7 36242DX24 AAA AAA/Watch Neg 4A-8 36242DX32 AAA AAA/Watch Neg 4A-9 36242DX40 AAA AAA/Watch Neg 4A-10 36242DX57 AAA AAA/Watch Neg 4A-11 36242DX65 AAA AAA/Watch Neg 4A-12 36242DX73 AAA AAA/Watch Neg 4A-13 36242DX81 AAA AAA/Watch Neg 5A-1 36242DX99 AAA AAA/Watch Neg 5A-2 36242DY23 AAA AAA/Watch Neg 6A-1 36242DY31 AAA AAA/Watch Neg A-X 36242DY49 AAA AAA/Watch Neg A-P 36242DY56 AAA AAA/Watch Neg B1 36242DY64 CCC AA/Watch Neg B4 36242DZ48 CC CCC GSR Mortgage Loan Trust 2005-8F Series 2005-8F Rating ------ Class CUSIP To From ----- ----- -- ---- 1A-1 362341VN6 CCC B-/Watch Neg 2A-1 362341VP1 CCC B-/Watch Neg 2A-3 362341VR7 CCC B-/Watch Neg 2A-4 362341VS5 CCC B-/Watch Neg 2A-5 362341VT3 CCC B-/Watch Neg 2A-6 362341VU0 CCC B-/Watch Neg 2A-7 362341VV8 CCC AA/Watch Neg 2A-8 362341VW6 CCC B-/Watch Neg 3A-1 362341VX4 CCC B-/Watch Neg 3A-2 362341VY2 CCC B-/Watch Neg 3A-4 362341WA3 CCC B-/Watch Neg 3A-5 362341WB1 CCC B-/Watch Neg 3A-6 362341WC9 CCC AAA/Watch Neg 3A-7 362341WD7 CCC B-/Watch Neg 4A-1 362341WE5 CCC B-/Watch Neg 5A-1 362341WF2 CCC B-/Watch Neg 6A-1 362341WH8 CCC B-/Watch Neg 7A-1 362341WJ4 CCC B-/Watch Neg A-P 362341WK1 CCC B-/Watch Neg B1 362341WM7 CC CCC Merrill Lynch Mortgage Investors Trust MLMI 2005-A1 Series 2005-A1 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A 59020UQC2 AAA AAA/Watch Neg II-A-1 59020UQD0 AAA AAA/Watch Neg II-A-2 59020UQP3 AAA AAA/Watch Neg III-A 59020UQE8 AAA AAA/Watch Neg M-1 59020UQF5 BBB- AA/Watch Neg M-2 59020UQG3 CCC BBB-/Watch Neg M-3 59020UQH1 CCC B/Watch Neg B-1 59020UQJ7 CC CCC B-2 59020UQK4 D CC Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A5 Series 2005-A5 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 59020UYL3 BBB+ AAA/Watch Neg A-2 59020UYM1 BBB AAA/Watch Neg A-3 59020UYN9 BBB AAA/Watch Neg A-4 59020UYP4 BBB AAA/Watch Neg A-5 59020UYQ2 AA+ AAA/Watch Neg A-6 59020UYR0 AA+ AAA/Watch Neg A-7 59020UYS8 BBB AAA/Watch Neg A-8 59020UYT6 BBB- AAA/Watch Neg A-9 59020UYU3 BBB AAA/Watch Neg M-1 59020UYW9 CCC B/Watch Neg M-3 59020UYY5 CC CCC B-2 59020UZA6 D CC Prime Mortgage Trust 2005-4 Series 2005-4 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 74160MJX1 AAA AAA/Watch Neg I-A-2 74160MJY9 AAA AAA/Watch Neg I-A-3 74160MJZ6 AAA AAA/Watch Neg I-A-4 74160MKA9 AAA AAA/Watch Neg I-A-5 74160MKB7 AAA AAA/Watch Neg I-A-6 74160MKC5 AAA AAA/Watch Neg I-A-7 74160MLM2 AAA AAA/Watch Neg I-PO 74160MKD3 AAA AAA/Watch Neg I-X 74160MKE1 AAA AAA/Watch Neg II-A-6 74160MKR2 CCC B/Watch Neg II-B-1 74160MLC4 CC CCC I-B-4 74160MLF7 CC CCC RFMSI Series 2005-SA1 Trust Series 2005-SA1 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 76111XTB9 B AAA/Watch Neg I-A-2 76111XTC7 B AAA/Watch Neg I-A-3 76111XTD5 B AAA/Watch Neg II-A 76111XTE3 BBB AAA/Watch Neg III-A 76111XTF0 BBB AAA/Watch Neg M-1 76111XTJ2 CCC AA/Watch Neg M-2 76111XTK9 CC A/Watch Neg M-3 76111XTL7 D BBB/Watch Neg Structured Adjustable Rate Mortgage Loan Trust Series 2005-17 Series 2005-17 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 863579VH8 BB- AA/Watch Neg 1-A2 863579VJ4 CCC B/Watch Neg 2-A1 863579VK1 CCC BB-/Watch Neg 2-A2 863579VL9 CCC B/Watch Neg 3-A1 863579VM7 BB+ BBB+/Watch Neg 3-A2 863579VN5 CCC B/Watch Neg B1-I 863579VY1 CC CCC B2-I 863579VZ8 CC CCC 4-A1 863579VP0 B+ BBB/Watch Neg 4-A2 863579VQ8 A- AAA/Watch Neg 4-A3 863579VR6 BBB+ AA/Watch Neg 4-A4 863579VS4 B+ BBB/Watch Neg 4-A5 863579VT2 B BBB-/Watch Neg 5-A1 863579VV7 B BBB/Watch Neg 5-A2 863579VW5 B BBB/Watch Neg 5-A3 863579VX3 B BBB/Watch Neg B1-II 863579WD6 CCC B-/Watch Neg B2-II 863579WE4 CC CCC B3-II 863579WF1 CC CCC Structured Asset Securities Corporation Trust 2005-10 Series 2005-10 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 86359DFM4 BBB AAA/Watch Neg 1-A2 86359DFN2 BBB AAA/Watch Neg 2-A1 86359DFP7 BBB AAA/Watch Neg 2-A2 86359DFQ5 BBB AAA/Watch Neg 2-A3 86359DFR3 BBB AAA/Watch Neg 2-A4 86359DFS1 BBB AAA/Watch Neg 3-A1 86359DFT9 BBB AAA/Watch Neg 3-A2 86359DFU6 BBB AAA/Watch Neg 3-A3 86359DFV4 BBB AAA/Watch Neg 3-A4 86359DFW2 BBB AAA/Watch Neg 4-A1 86359DFZ5 BBB AAA/Watch Neg 4-A2 86359DGA9 BBB+ AAA/Watch Neg 4-A4 86359DGC5 BBB AAA/Watch Neg 4-A5 86359DGD3 BBB AAA/Watch Neg 4-A6 86359DGE1 BBB AAA/Watch Neg 4-A8 86359DGG6 BBB AAA/Watch Neg 4-A9 86359DGH4 BBB AAA/Watch Neg 5-A1 86359DGK7 BBB AAA/Watch Neg 5-A2 86359DGL5 AAA AAA/Watch Neg 5-A3 86359DGM3 AAA AAA/Watch Neg 5-A4 86359DGN1 BBB AAA/Watch Neg 5-A5 86359DGP6 BBB AAA/Watch Neg 5-A6 86359DGQ4 BBB AAA/Watch Neg 5-A7 86359DGR2 BBB AAA/Watch Neg 5-A9 86359DGT8 BBB AAA/Watch Neg 6A-1 86359DGV3 BBB AAA/Watch Neg 7A-1 86359DGW1 BBB AAA/Watch Neg 8A-1 86359DGX9 BBB AAA/Watch Neg AP 86359DGY7 BBB AAA/Watch Neg AX 86359DGZ4 AAA AAA/Watch Neg PAX 86359DHA8 AAA AAA/Watch Neg B1 86359DHB6 CCC BB-/Watch Neg B2 86359DHC4 CC CCC B3 86359DHD2 CC CCC B4 86359DHE0 CC CCC Structured Asset Securities Corporation Trust 2005-6 Series 2005-6 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 863576BB9 BBB AAA/Watch Neg 1-A2 863576BC7 BBB AAA/Watch Neg 1-A3 863576BD5 BBB AAA/Watch Neg 1-A4 863576BE3 BBB AAA/Watch Neg 2-A1 863576BF0 AAA AAA/Watch Neg 2-A2 863576BG8 A AAA/Watch Neg 2-A3 863576BH6 A AAA/Watch Neg 2-A4 863576BJ2 A AAA/Watch Neg 2-A5 863576BK9 A AAA/Watch Neg 2-A7 863576BM5 A AAA/Watch Neg 2-A8 863576BN3 A AAA/Watch Neg 2-A9 863576BP8 A AAA/Watch Neg 2-A10 863576BQ6 A AAA/Watch Neg 2-A12 863576BS2 A AAA/Watch Neg 2-A13 863576BT0 A AAA/Watch Neg 2-A14 863576BU7 A AAA/Watch Neg 2-A15 863576BV5 AAA AAA/Watch Neg 2-A16 863576BW3 A AAA/Watch Neg 2-A17 863576BX1 A AAA/Watch Neg 2-A18 863576BY9 A AAA/Watch Neg 2-A19 863576BZ6 A AAA/Watch Neg 2-A20 863576CA0 A AAA/Watch Neg 2-A21 863576CB8 A AAA/Watch Neg 3-A1 863576CC6 BBB AAA/Watch Neg 3-A2 863576CD4 BBB AAA/Watch Neg 4-A1 863576CE2 A AAA/Watch Neg 5A-1 863576CF9 A AAA/Watch Neg 5A-2 863576CG7 AAA AAA/Watch Neg 5A-3 863576CH5 A AAA/Watch Neg 5A-4 863576CJ1 A AAA/Watch Neg 5A-6 863576CL6 A AAA/Watch Neg 5A-7 863576CM4 A AAA/Watch Neg 5A-8 863576CN2 A AAA/Watch Neg 5A-9 863576CP7 A AAA/Watch Neg 5A-10 863576CQ5 A AAA/Watch Neg 5A-11 863576CR3 A AAA/Watch Neg AP 863576CS1 BBB AAA/Watch Neg AX 863576CT9 AAA AAA/Watch Neg PAX 863576CU6 AAA AAA/Watch Neg B1 863576CV4 CC B-/Watch Neg B2 863576CW2 CC CCC B3 863576CX0 CC CCC B4 863576CY8 CC CCC Wells Fargo Mortgage Backed Securities 2005-AR9 Trust Series 2005-AR9 Rating ------ Class CUSIP To From ----- ----- -- ---- I-A-1 94982HAA5 AAA AAA/Watch Neg I-A-2 94982HAB3 BBB AAA/Watch Neg II-A-1 94982HAC1 AAA AAA/Watch Neg II-A-2 94982HAD9 BBB AAA/Watch Neg III-A-1 94982HAG2 AA AAA/Watch Neg III-A-2 94982HAH0 BBB AAA/Watch Neg IV-A-1 94982HAJ6 BBB AAA/Watch Neg IV-A-2 94982HAK3 BBB AAA/Watch Neg B-1 94982HAL1 CCC AA-/Watch Neg B-2 94982HAM9 CC B+/Watch Neg B-3 94982HAN7 CC CCC B-4 94982HAP2 CC CCC Ratings Affirmed Banc of America Mortgage Securities Inc Series 2005-5 Class CUSIP Rating ----- ----- ------ 15-B-1 05949CBM7 CCC Banc of America Mortgage Trust 2005-9 Series 2005-9 Class CUSIP Rating ----- ----- ------ I-A-1 05949CJF4 B- 1-A-2 05949CJG2 B- 1-A-4 05949CJJ6 B- 1-A-5 05949CJK3 B- 1-A-6 05949CJL1 B- 1-A-7 05949CJM9 B- 1-A-8 05949CJN7 B- 1-A-9 05949CJP2 B- 1-A-10 05949CJQ0 B- 1-A-12 05949CJS6 B- 30-PO 05949CJV9 B- 2-A-1 05949CJW7 AAA 15-IO 05949CJZ0 AAA B-1 05949CKB1 CCC B-2 05949CKC9 CCC Credit Suisse First Boston Mortgage Securities Corp. Series 2005-7 Class CUSIP Rating ----- ----- ------ I-B-1 225458J33 CCC C-B-2 225458H68 CCC CSFB Mortgage-Backed Trust Series 2005-10 Series 2005-10 Class CUSIP Rating ----- ----- ------ VI-A-2 225470EP4 CCC VI-A-4 225470ER0 CCC GSR Mortgage Loan Trust 2005-4F Series 2005-4F Class CUSIP Rating ----- ----- ------ B2 36242DY72 CCC B3 36242DY80 CCC Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A5 Series 2005-A5 Class CUSIP Rating ----- ----- ------ M-2 59020UYX7 CCC Prime Mortgage Trust 2005-4 Series 2005-4 Class CUSIP Rating ----- ----- ------ II-A-2 74160MKM3 CCC II-A-3 74160MKN1 CCC II-A-4 74160MKP6 CCC II-A-7 74160MKS0 CCC II-A-8 74160MKT8 CCC II-A-9 74160MKU5 CCC II-A-10 74160MKV3 CCC II-A-11 74160MKW1 CCC II-A-12 74160MKX9 CCC II-PO 74160MKY7 CCC I-B-1 74160MKH4 CCC I-B-2 74160MKJ0 CCC I-B-3 74160MKK7 CCC * S&P Downgrades Ratings on 673 Classes of Certificates to 'D' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D' on 673 classes of mortgage pass-through certificates from 496 U.S. residential mortgage-backed securities transactions issued between 2000 and 2008. S&P removed one of the lowered ratings from CreditWatch with negative implications. In addition, S&P placed its ratings on six additional classes from one of the affected transactions on CreditWatch negative, and 88 classes from another affected transaction remain on CreditWatch with negative implications. Approximately 76.97% of the defaulted classes were from transactions backed by Alternative-A or subprime mortgage loan collateral. The 673 defaulted classes consisted of these: * 377 classes from Alt-A transactions (56.02% of all defaults); * 141 from subprime transactions (20.95% of all defaults); * 82 from prime jumbo transactions; * 21 from closed-end second-lien transactions; * 13 from resecuritized real estate mortgage investment conduit transactions; * 11 from home equity line of credit transactions. * Nine from reperforming transactions; * Nine from risk transfer transactions; * Six from outside-the-guidelines transactions; * Two from seasoned loan transactions; * One from a first-lien high loan-to-value transaction; and * One from a document-deficient transaction. The 673 downgrades to 'D' reflect S&P's assessment of principal write-downs on the affected classes during recent remittance periods. Fifty of the defaulted ratings affect classes that are bond insured by Ambac Assurance Corp. (currently rated 'R'). Although these classes are wrapped by insurance, the losses were not covered and were still allocated to the respective classes. The CreditWatch placements reflect the fact that the affected classes are within a group that includes a class that defaulted from a 'B-' rating or higher. S&P lowered approximately 99.70% of the ratings from the 'CCC' or 'CC' rating categories, and S&P lowered 99.85% from a speculative-grade category. S&P expects to resolve the CreditWatch placements affecting these transactions after S&P completes its reviews of the underlying credit enhancement. Standard & Poor's will continue to monitor its ratings on securities that experience principal write-downs, and S&P will adjust the ratings as S&P determines appropriate. * S&P Junks Rating on Central Falls, Rhode Island's Bonds --------------------------------------------------------- Standard & Poor's Ratings Services lowered its underlying rating on Central Falls, Rhode Island's general obligation debt to 'C' from 'BBB-'. Standard & Poor's has also assigned its developing outlook on the city's GO debt, indicating it could raise or lower the rating. The rating action reflects Standard & Poor's view of the city's filing of a petition with the State of Rhode Island Superior Court requesting the appointment of a receiver to oversee the affairs of the city to assist in balancing the city's budget. Pursuant to an order dated May 19, 2010, Rhode Island Superior Court granted the request and appointed a temporary receiver for the city and a permanent receiver on or before June 8, 2010. The city closed fiscal year-end 2009 with a negligible, but still positive, reserve of $41,347; and it is facing deficits that city officials are projecting will be above 20% of budget in the current fiscal 2010 and fiscal 2011 due to state aid cuts and increases to pension costs. It is Standard & Poor's understanding that the receiver will commence a comprehensive review of the city's financial condition and that the receiver is empowered to oversee the municipal operations of the city to restore its fiscal health. The city remains current with all debt obligations. ********* 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 ***