/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/100627.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, June 27, 2010, Vol. 14, No. 176 Headlines AMERICREDIT PRIME: S&P Raises Ratings on Three 2007-2-M Notes ARCAP 2003-1: Fitch Downgrades Ratings on 10 Classes of Notes ASSET SECURITIZATION: Fitch Affirms Ratings on 1996-D3 Notes ASSOCIATED BANK: S&P Withdraws 'B' Ratings on Four Bond Issues BCAP LLC: Moody's Downgrades Ratings on 2009-RR6 Notes BEA CBO: Fitch Downgrades Ratings on Three Classes of Notes BLUEGRASS ABS: Moody's Cuts Rating on Class A-1 Notes to 'Ca' C-BASS CBO: Fitch Downgrades Ratings on Three Classes of Notes C-BASS ABS: S&P Downgrades Rating on Class M-5 Certificates CALCULUS 2007-3: Fitch Downgrades Ratings on Five Classes of Notes CAPITAL LEASE: Fitch Downgrades Ratings on 1997-CTL-1 Certs. CEDAR CBO: Moody's Downgrades Rating on Class II to 'Ba2' CENTURION CDO: Moody's Upgrades Ratings on Two Classes of Notes CENTURION GLOBAL: S&P Withdraws Ratings on Various Classes CHOCTAW GENERATION: Moody's Downgrades Rating on Certs. to 'B2' CITIGROUP COMMERCIAL: Fitch Takes Rating Actions on 2005-EMG Notes COMANCHE COUNTY: S&P Downgrades Rating on $12.3 Mil. Bonds to 'B-' CREDIT SUISSE: Fitch Affirms Ratings on Series 1998-C1 Certs. CREDIT SUISSE: Moody's Affirms Ratings on Six 2007-C1 Certs. CREST 2004-1: Fitch Downgrades Ratings on 14 Classes of Notes CT CDO: S&P Downgrades Ratings on 15 Classes of Notes CWALT INC: Moody's Downgrades Ratings on 32 Tranches DELPHINUS CDO: Fitch Downgrades Ratings on 13 Classes of Notes DRYDEN V-LEVERAGED: Moody's Upgrades Ratings on Various Classes DUKE FUNDING: Moody's Downgrades Ratings on Five Classes G-FORCE CDO: S&P Downgrades Ratings on Five Classes of Notes G-STAR 2003-3: Fitch Downgrades Ratings on Five Classes of Notes GLACIER FUNDING: Moody's Downgrades Ratings on Two Classes GLOBAL MORTGAGE: Moody's Downgrades Ratings on 10 Tranches GMAC COMMERCIAL: Fitch Takes Rating Actions on 1998-C1 Certs. GMAC COMMERCIAL: Fitch Takes Rating Actions on 2002-C3 Certs. GMAC COMMERCIAL: S&P Downgrades Ratings on 13 2004-C2 Securities GREENWICH CAPITAL: Moody's Affirms Ratings on Eight 2005-GG5 Notes GS MORTGAGE: Moody's Affirms Ratings on Ten 2005-ROCK Securities GS MORTGAGE: Moody's Downgrades Ratings on 12 2006-CC1 Notes GS MORTGAGE: Moody's Downgrades Ratings on 17 2006-RR2 Notes GS MORTGAGE: S&P Downgrades Ratings on Nine 2006-RR2 Securities GS MORTGAGE: S&P Downgrades Ratings on Six 2007-GKK1 Certificates GSMSC PASS-THROUGH: Moody's Downgrades Rating to 2009-5R Certs. GSR MORTGAGE: Moody's Downgrades Rating on 2006-1F Tranches HALCYON 2005-1: Fitch Cuts Rating on EUR51,875,000 Notes to B/LS3 HALCYON 2005-2: Fitch Cuts Rating on Class A Secs. to B/LS3 HALCYON 2005-2: Fitch Cuts Rating on EUR38,400,000 Notes to B/LS3 HIGH GRADE: Moody's Downgrades Ratings on Two Classes of Notes HOUSE OF EUROPE: Moody's Downgrades Rating on Class A Notes ILLINOIS EDUCATIONAL: S&P Corrects Rating on 2000A Bonds to 'BB+' JPMORGAN CHASE: Moody's Reviews Ratings on Subordinate Tranches JPMORGAN CHASE: S&P Downgrades Rating on 2003-CIBC7 Certificates JPMORGAN CHASE: S&P Downgrades Ratings on Class P Certs. to 'D' LAKE OF THE OZARKS: Fitch Affirms 'BB+' Rating on $39 Mil. Bonds LASALLE COMMERCIAL: S&P Cuts Ratings on Seven 2005-MF1 Certs. LEHMAN ABS: S&P Corrects Rating on Class A-1 Certificates to 'D' LNR CDO: Fitch Downgrades Ratings on 13 Classes of Notes LNR CDO: S&P Downgrades Ratings on Nine Classes of Notes MADISON AVENUE: Moody's Downgrades Rating on Class B to 'Ca' MCG COMMERCIAL: Moody's Downgrades Ratings on Various Classes MERRILL LYNCH: S&P Downgrades Ratings on Two 2002-MW1 Notes MORGAN STANLEY: Fitch Affirms Ratings on Series 1998-WF2 Certs. MORGAN STANLEY: Fitch Downgrades Ratings on Eight 2001-TOP 1 Notes MORGAN STANLEY: Moody's Affirms Ratings on Six 2000-LIFE2 Certs. MORGAN STANLEY: S&P Downgrades Ratings on Various Classes to 'CC' N-STAR REAL: S&P Downgrades Ratings on 12 Classes of Notes PROTECTIVE FINANCE: Moody's Affirms Ratings on 20 2007-PL Certs. RASC SERIES: Moody's Downgrades Ratings on Two 2003-KS3 Notes RBSSP RESECURITIZATION: Moody's Downgrades Rating on 2009-8 Notes REVE SPC: Moody's Downgrades Ratings on Series 2007-3F1 Notes REVE SPC: S&P Raises Ratings on Two 2006-MB1 Notes From 'BB+' SAINTS MEDICAL: Moody's Cuts Rating on $51 Mil. Bonds to 'Ba3' SALOMON BROTHERS: Moody's Reviews Ratings on Six 2000-C2 Certs. SBMS VII: Moody's Downgrades Ratings on Two 1997-HUD1 Tranches SLATE CDO: Moody's Downgrades Ratings on Four Classes of Notes SORIN REAL: Fitch Downgrades Ratings on Six Classes of Notes SOUNDVIEW HOME: Moody's Downgrades Ratings on 111 Tranches SPECIALITY UNDERWRITING: Moody's Cuts Ratings on 54 Tranches SWIFT MASTER: S&P Affirms Ratings on Four Classes of Notes TIAA REAL: Fitch Affirms Ratings on Five Classes of Notes TW HOTEL: Moody's Affirms Ratings on Series 2005-LUX Certificates UBS COMMERCIAL: Fitch Downgrades Ratings on 12 2007-FL1 Certs. WACHOVIA BANK: Moody's Affirms Ratings on Four 2007-C32 Certs. WACHOVIA BANK: Moody's Reviews Ratings on Nine 2004-C15 Certs. * Fitch Affirms Ratings on Two RMBS Resecuritization Trusts * Moody's Downgrades Ratings on 136 Tranches From 32 RMBS Deals * S&P Downgrades Ratings on 105 Certs. From Five RMBS Transactions * S&P Downgrades Ratings on 621 Classes From 431 RMBS Transactions * S&P Takes Rating Actions on Credit Derivative Product Companies ********* AMERICREDIT PRIME: S&P Raises Ratings on Three 2007-2-M Notes ------------------------------------------------------------- Standard & Poor's Ratings Services raised its Standard & Poor's underlying ratings and associated long-term ratings on three classes from AmeriCredit Prime Automobile Receivables Trust 2007- 2-M, an auto receivables-backed transaction. At the same time, S&P raised its long-term ratings on three classes and affirmed its ratings two other classes from AmeriCredit Prime Automobile Receivables Trust 2007-1, another auto receivables-backed transaction. The rating actions on the SPURs and long-term ratings on the notes issued out of both transactions reflect S&P's view that the total credit enhancement available is sufficient for each of the raised SPURs and long-term ratings in relation to S&P's revised remaining net loss expectations. A SPUR reflects S&P's opinion of the stand-alone creditworthiness of a transaction -- that is, its capacity to pay debt service on a debt issue in accordance with its terms -- without considering an otherwise applicable bond insurance policy. The affirmations of the long-term ratings reflect either the rating of the bond insurance provider, MBIA Insurance Corp. (BB+/Negative), or the SPUR, whichever is higher. In accordance with S&P's criteria, the issue credit rating on a fully credit- enhanced bond issue is the higher of the rating on the credit enhancer, or the SPUR on the class. Recoveries on vehicles for these two AmeriCredit trusts have remained relatively stable at approximately 40%. However, the transactions' collateral has performed significantly worse than S&P originally expected, primarily due to increased default frequencies. In addition, 60-plus-day delinquencies remain elevated. Based on S&P's analysis of each transaction's performance to date, combined with its forward-looking analysis, S&P has increased S&P's net loss expectations for both transactions. Table 1 Collateral Performance (%) Initial Revised Pool Current 60+ lifetime lifetime Series Mo. Factor CNL Del. CNL exp. CNL exp. ------ --- ------ --- ---- -------- -------- 2007-1 36 26.64 6.39 0.88 3.50-4.00 8.00-8.50 2007-2-M 32 36.36 9.00 1.19 4.50-5.00 12.00-12.50 CNL - cumulative net loss. Although S&P has increased its loss expectations for these transactions, S&P affirmed or raised its long-term ratings and SPURs because credit support has increased as a percent of each series' amortizing pool balance due to the benefits of deleveraging provided by the structure. The increase in credit support has enabled the transactions to maintain or exceed the requisite multiple of loss coverage despite S&P's increased loss expectations. Table 2 Hard Credit Support Current Total hard total hard Pool credit support credit support (i) Series Class factor (%) at issuance (i) (% of current) ------ ----- ---------- --------------- ------------------ 2007-1 A-4 26.64 14.25 52.54 2007-1 B 26.64 10.75 39.40 2007-1 C 26.64 7.50 27.19 2007-1 D 26.64 4.00 14.05 2007-1 E 26.64 1.50 5.35 2007-2-M A 36.36 3.50 17.75 (i) Consists of a spread account and overcollateralization, as well as subordination for the higher-rated tranches, and excludes excess spread that can also provide additional enhancement (as of the June 2010 distribution period). All transactions have credit enhancement in the form of a spread account, overcollateralization, and excess spread. AmeriCredit 2007-2M also has support from MBIA Insurance Corp. In S&P's opinion, the remaining credit support within each transaction is sufficient to support the notes at the raised and affirmed rating levels. Standard & Poor's will continue to monitor the performance of these transactions to assess whether the credit enhancement remains adequate, in its view, to support the ratings on each class under various stress scenarios. Long-Term Rating Raised; Spurs Raised AmeriCredit Automobile Receivables Trust Long-term rating SPUR ---------------- ---- Series Class To From To From ------ ----- -- ---- -- ---- 2007-2M A-3 BBB+ BBB BBB+ BBB 2007-2M A-4A BBB+ BBB BBB+ BBB 2007-2M A-4B BBB+ BBB BBB+ BBB Long-Term Ratings Raised AmeriCredit Automobile Receivables Trust Long-term rating ---------------- Series Class To From ------ ----- -- ---- 2007-1 B AAA AA 2007-1 C AAA A 2007-1 D A- BBB+ Long-Term Ratings Affirmed AmeriCredit Automobile Receivables Trust Series Class Long-term rating ------ ----- ---------------- 2007-1 A-4 AAA 2007-1 E BB ARCAP 2003-1: Fitch Downgrades Ratings on 10 Classes of Notes ------------------------------------------------------------- Fitch Ratings has downgraded 10 classes issued by ARCap 2003-1 Resecuritization, Inc. as a result of increased interest shortfalls and losses to the underlying commercial mortgage-backed securities. A complete list of rating actions follows at the end of this release. Since Fitch's last rating action in February 2009, the credit quality for the portfolio has declined to a current weighted average Fitch derived rating of 'B-', down from 'BB-' at last review. Further, 6.4% of the portfolio is currently on Rating Watch Negative. Approximately 88.5% of the portfolio has a Fitch derived rating below investment grade; 29.7% has a rating in the 'CCC' category and below. As of the June 22, 2010 trustee report, 22% is experiencing interest shortfalls. The class A notes have received $2.8 million in paydowns since issuance. 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 (20% of the portfolio). Based on this analysis, the breakeven rates for the classes A through H notes are generally consistent with the ratings assigned below. The breakeven rates for classes J and K do not pass Fitch's base cash flow model stress. These classes' respective credit enhancement levels were compared the percent of underlying collateral experiencing interest shortfalls. Classes J and K have been downgraded to 'CC' since default is probable. The classes have marginal credit enhancement to the amount of assets experiencing interest shortfalls. The Negative Rating Outlook on the class A through F 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 2003-1 is backed by 44 tranches from 13 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 Aug. 27, 2003. Fitch has downgraded, assigned LS ratings and revised Outlooks for these classes as indicated: -- $52,049,464 class A notes to 'AA/LS5' from 'AA+'; Outlook to Negative from Stable; -- $36,000,000 class B notes to 'BBB/LS5' from 'A+'; Outlook to Negative from Stable; -- $20,500,000 class C notes to 'BBB/LS5' from 'A'; Outlook to Negative from Stable; -- $15,400,000 class D notes to 'BB/LS5'' from 'A-'; Outlook to Negative from Stable; -- $36,100,000 class E notes to 'B/LS5' from 'BBB'; Outlook to Negative from Stable; -- $13,000,000 class F notes to 'B/LS5' from 'BBB-'; Outlook to Negative from Stable; -- $45,000,000 class G notes to 'CCC' from 'BB+'; -- $9,000,000 class H notes to 'CCC' from 'BB'; -- $28,000,000 class J notes to 'CC' from 'BB-'; -- $24,000,000 class K notes to 'CC' from 'B+'. ASSET SECURITIZATION: Fitch Affirms Ratings on 1996-D3 Notes ------------------------------------------------------------ Fitch Ratings has affirmed and assigned Loss Severity ratings to Asset Securitization Corporation 1996-D3. The affirmations are due to 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 approximately 1% of the remaining pooled balance, approximately $2 million, from the loans in special servicing. As of the June distribution date, the pool had paid down 74.6% to $198.3 million from $782.5 million at issuance, and 23 loans (40.6%) have defeased. The top 10 non-defeased loans represent 52.9% of the pool. There are currently two loans (1.4%) in special servicing. Both are in foreclosure. One loan is secured by an economy hotel in San Jose, CA. The property has suffered as a result of the economic downturn and due to delinquent franchise payments lost its franchise affiliation. The special servicer is pursuing foreclosure and a recent appraisal indicates losses. The other specially serviced loan is secured by an RV park in Mesa, AZ. The property has been suffering from occupancy declines and deferred maintenance issues. The special servicer is pursuing foreclosure. The largest loan in the pool is the 632-room Hyatt Regency Riverwalk, located in San Antonio, TX. The property is considered a Fitch Loan of Concern due to a significant decline in net operating income of approximately 46% from year end 2008 to YE 2009. Revenue per available room declined by 19% over the same period. The anticipated repayment date is Sept. 11, 2011 and the current note rate is 9.26%. Due to the high in-place coupon and paydown due to amortization the loan passed Fitch's refinance test with no loss using the YE 2009 cash flow. Fitch stressed the cash flow of the remaining non-defeased, non- specially serviced loans by applying a 10% reduction to 2008 fiscal year end net operating income and applying an adjusted, property specific 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 ration of 1.25 times or higher were considered to pay off at maturity. All loans in the pool paid off at maturity and none incurred a loss when compared to Fitch's stressed value. Fitch has affirmed and assigned LS ratings to these classes as indicated: -- $1.6 million class A-1D at 'AAA/LS3'; Outlook Stable; -- $39.1 million class A-2 at 'AAA/LS2'; Outlook Stable; -- $35.2 million class A-3 at 'AAA/LS2'; Outlook Stable; -- $39.1 million class A-4 at 'AAA/LS2'; Outlook Stable; -- $43 million class B-1 at 'A-/LS2'; Outlook Stable; -- $25.4 million class B-2 at 'D/RR2'. Fitch withdraws the rating of the interest only class A-CS2. (For additional information, see 'Fitch Revises Practice for Rating IO & Pre-Payment Related Structured Finance Securities', June 23, 2010). Class B-3 has been reduced to zero due to realized losses. Fitch does not rate the $15.7 million class A-5, or the zero balance classes B-4 and B-4 H. Classes A-1A, A-1B, A-1C and interest-only A-CS1 have been paid in full. ASSOCIATED BANK: S&P Withdraws 'B' Ratings on Four Bond Issues -------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its 'B' short-term ratings on four bond issues supported by Associated Bank N.A. letters of credit. At the same time, S&P left the 'BB+' long-term ratings on CreditWatch with negative implications, where S&P had placed them on May 11, 2010. The long-term ratings on the four affected bond issues reflect S&P's long-term issuer credit rating on Associated Bank (BB+/Watch Neg). These ratings also address S&P's assessment of the likelihood of repayment of principal and interest to maturity based on the credit support that Associated Bank provides for each bond series in the form of a LOC. The rating actions reflect the June 11, 2010, removal of S&P's 'B' short-term issuer credit rating on Associated Bank at the issuer's request. S&P's 'BB+' long-term issuer credit rating on Associated Bank remains on CreditWatch negative, where S&P had placed it on April 28, 2010. Rating adjustments may be precipitated by, among other things, changes in the rating assigned to any financial institution that is providing an irrevocable LOC or by amendments to the documentation governing the obligations. Short-Term Ratings Withdrawn; Long-Term Ratings Remaining On Creditwatch Negative Howard Village US$4.5 mil indl dev rev bnds ser 1999A due 07/01/2020 Rating ------ CUSIP To From ----- -- ---- 44285NAA1 BB+/Watch Neg/NR BB+/Watch Neg/B Illinois Development Finance Authority US$4.1 mil var rt dem indl dev rev bnds ser 1997 due 01/01/2018 Rating ------ CUSIP To From ----- -- ---- 451887TR4 BB+/Watch Neg/NR BB+/Watch Neg/B US$7.5 mil var rt dem rev bnds ser 2003 due 10/01/2023 Rating ------ CUSIP To From ----- -- ---- 45189FAR5 BB+/Watch Neg/NR BB+/Watch Neg/B Illinois Finance Authority US$2.5 mil taxable var rt dem rev bnds (Beecher Energy LLC) ser 2006 due 07/01/2026 Rating ------ CUSIP To From ----- -- ---- 45200BZG6 BB+/Watch Neg/NR BB+/Watch Neg/B NR - not rated. BCAP LLC: Moody's Downgrades Ratings on 2009-RR6 Notes ------------------------------------------------------ Moody's Investors Service has downgraded the rating of class Cl. II-A1 issued by BCAP LLC 2009-RR6 Trust from Aaa to Baa3, as a result of revised loss expectation on the pool of mortgages backing the underlying certificate. The asset of the resecuritized transaction consist of the Class III-A-1 issued by Bear Stearns ARM Trust Mortgage Pass-Through Certificates, Series 2005-6. The Underlying Certificate is backed primarily by first -lien, adjustable-rate, Alt-A residential mortgage loans. The ratings on the certificates in the resecuritization are are based on: (i) The updated expected loss on the pool of loans backing the underlying certificate and the updated rating on the underlying certificate. Moody's current loss expectations on the pool backing the Bear Stearns ARM Trust Mortgage Pass-Through Certificates, Series 2005-6 is 15% expressed as a percentage of outstanding pool balance. The current rating on the III-A-1 bond is Caa2. (ii) The available credit enhancement on the underlying securities, and (iii) The structure of the resecuritization transaction. The resecuritization transaction group issued two bonds, II-A1 (senior class) and II-A2 (subordinate class). Moody's first updated its loss assumptions on the underlying pool of mortgage loans (backing the underlying certificate) and then arrived at an updated rating on the underlying certificate. The rating on the underlying certificate is based on expected recoveries on the bond under ninety-six different combinations of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. In order to determine the rating of the resecuritized bond, the loss on the underlying certificate was ascribed to the resecuritized classes, II-A1and II-A2, according to the structure of the resecuritized transaction. The losses on the resecuritized certificates are allocated "bottom up" with the Class II-A2 taking losses ahead of the II-A1 class. Principal payments to the certificate are allocated sequentially, with the Class II-A1 being paid ahead of the Class II-A2. Issuer: BCAP LLC 2009-RR6 Trust -- Cl. II-A1, Downgraded to Baa3; previously on June 4, 2010 Aaa Placed Under Review for Possible Downgrade BEA CBO: Fitch Downgrades Ratings on Three Classes of Notes ----------------------------------------------------------- Fitch Ratings has downgraded and withdrawn the ratings on the three remaining classes of notes from BEA CBO 1998-1 LTD./Corp., a collateralized bond obligation managed by Prudential Investment Management, Inc. This review was conducted under the framework described in the reports also highlighted at the end of the release. The downgrades reflect the issuer's failure to redeem the full principal amounts due to the notes at the final maturity date on June 15, 2010. At the final maturity date, there were no payments made to the notes. Since Fitch's last review in May 2009, discounted total proceeds to the class A-2A, A-2B, and A-3 notes represented between 0%-10% of their outstanding principal amounts, consistent with Fitch's 'RR6' Recovery Rating. Additional distributions to the notes may occur after the final maturity date, but any distributions would be minimal and would not affect Fitch's ratings. Fitch subsequently withdraws the ratings of all classes of notes since the notes have matured. Fitch has downgraded and withdrawn these ratings: -- $11,035,241 class A-2A notes to 'D/RR6' from 'C/RR6'; -- $1,929,237 class A-2B notes to 'D/RR6' from 'C/RR6'; -- $26,000,000 class A-3 notes to 'D/RR6' from 'C/RR6'. BLUEGRASS ABS: Moody's Cuts Rating on Class A-1 Notes to 'Ca' ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the rating of one class of notes issued by Bluegrass ABS CDO II Ltd. The notes affected by the rating action is: -- US$248,000,000 Class A-1 Notes Due April 2039 (current balance of $124,030,393), Downgraded to Ca; previously on February 3, 2010 Downgraded to Caa3 Bluegrass ABS CDO II Ltd. is a collateralized debt obligation issuance backed by a portfolio primarily comprised of Residential Mortgage-Backed Securities and Commercial Mortgage-Backed Securities from 2002-2004 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 performing par value, an increase in the weighted average rating factor or WARF and in failure of coverage tests. Moody's notes that the performing collateral pool decreased from approximately $122 million in January 2010 to a current reported balance of $106 million. The trustee also reports that all Overcollateralization and Interest Coverage Tests are currently failing. 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. C-BASS CBO: Fitch Downgrades Ratings on Three Classes of Notes -------------------------------------------------------------- Fitch Ratings has affirmed one and downgraded three classes of notes issued by C-BASS CBO VII, Ltd./Corp., as a result of the significant negative credit migration in the portfolio since last review in October 2009. Approximately 52% of the portfolio has been downgraded since Fitch's last rating action in October 2009. Currently, 63% of the portfolio has a Fitch derived rating below investment grade as compared to 39% at last review; assets rated 'CCC' and lower now comprise approximately 48% vs. 21% at last review. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model for projecting future default levels for the underlying portfolio. 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 - Amended'. Based on this analysis, the breakeven levels are consistent with the current rating actions. Class A notes have paid down almost 67% of their balance at last review. This deleveraging resulted in the increase in the credit enhancement levels for all classes of notes. However, the effect of the negative credit migration in the portfolio outweighs the impact of the paydown for all but the class A notes. Fitch has affirmed, downgraded and revised Loss Severity ratings and Rating Outlooks as indicated: -- $7,318,397 class A notes affirmed at 'AAA/LS5'; Outlook to Stable from Negative; -- $20,000,000 class B notes downgraded to 'AA/LS5' from 'AAA/LS4'; Outlook Negative; -- $20,000,000 class C notes downgraded to 'BB/LS5' from 'A/LS5'; Outlook Negative; -- $14,575,580 class D notes downgraded to 'CCC' from 'BB'. The Negative Outlook reflects Fitch's continuing concern about potential further rating volatility in the underlying portfolio. However, given the significant paydowns received by the class A since last review and corresponding robust credit enhancement and breakeven levels, class A's current rating is expected to withstand any further moderate negative migration in the underlying portfolio; thus the Outlook for this class is revised to Stable from Negative. 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 SF PCM 'B' stress. The LS rating should be considered in conjunction with probability of default indicated by a class' long-term credit rating. Fitch does not assign LS ratings and Outlooks for notes rated in the 'CCC' and lower categories. C-BASS VII is a structured finance collateralized debt obligation that closed on Oct. 28, 2002. The portfolio is monitored by C- BASS Investment Management LLC. The portfolio is composed primarily of residential mortgage-backed securities at 80%, asset- backed securities 13%, and SF CDOs 7%. C-BASS ABS: S&P Downgrades Rating on Class M-5 Certificates ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on class M-5 from C-BASS ABS LLC 2005-C Trust Certificates Series 2005-C, a U.S. resecuritized real estate mortgage investment conduit residential mortgage-backed securities transaction, and removed it from CreditWatch negative. The downgrade reflects S&P's assessment of the significant deterioration in performance of the mortgage loans supporting the underlying certificates. As a result of this performance deterioration, the downgraded class was unable to maintain its previous rating at the applicable rating stresses. The M-5 certificate is supported by 25 underlying certificates from 25 separate trusts. When performing S&P's analysis on the re-REMIC class, S&P applied S&P's loss projection to the underlying trusts in order to identify the magnitude of losses that S&P believes could be passed through to the applicable re-REMIC class. Generally, S&P's projected losses depend on the type of collateral supporting the underlying trusts. S&P then stressed this loss projection at various rating categories in order to assess whether the re-REMIC class could withstand such stressed losses associated with its rating. Generally, the underlying collateral consists of prime mortgage loans from 2001-2003 vintages. The performance deterioration of most U.S. RMBS has continued to outpace the market's expectations. Rating Lowered And Removed From Creditwatch C-BASS ABS LLC 2005-C Trust Certificates Series 2005-C Series 2005-C Rating ------ Class CUSIP To From ----- ----- -- ---- M-5 124860GA9 CC B/Watch Neg CALCULUS 2007-3: Fitch Downgrades Ratings on Five Classes of Notes ------------------------------------------------------------------ Fitch Ratings has downgraded and removed from Rating Watch Negative five classes issued Calculus 2007-3 as a result of negative credit migration of the commercial mortgage-backed securities in the reference portfolio. 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 reference portfolio. The degree of correlated default risk of the reference collateral is high given the single sector and vintage concentration. Based on this analysis and given the scant credit enhancement available to classes A through C, the credit characteristics of the bonds are consistent with the 'B' category. Since Fitch's last rating action in February 2009, approximately 76.7% of the portfolio has been downgraded. Approximately 93.3% of assets are rated investment grade with the lowest rated asset in the portfolio carrying a Fitch derived rating of 'B'. Calculus 2007-3 is a static synthetic collateralized debt obligation that references a $2 billion portfolio of 30 CMBS assets. The transaction is designed to provide credit protection for realized losses on the reference portfolio through a Pay As U Go credit default swap between the Issuer and the swap counterparty, Merrill Lynch International rated 'A+/F1+' by Fitch. Fitch has downgraded and removed from Rating Watch Negative these classes: -- $16,000,000 notional amount downgrade to 'CCC' from 'BBB' (07ML66764A); -- $4,000,000 notional amount downgrade to 'CCC' from 'BBB' (07ML66763A); -- $2,000,000 notional amount downgrade to 'CCC' from 'BBB' (07ML66762); -- $1,000,000 notional amount downgrade to 'CCC' from 'BBB' (07ML66757A); -- $17,000,000 notional amount downgrade to 'CCC' from 'BBB-' (07ML66756A). In addition, all classes have been removed from Rating Watch Negative. CAPITAL LEASE: Fitch Downgrades Ratings on 1997-CTL-1 Certs. ------------------------------------------------------------ Fitch Ratings downgrades this class of Capital Lease Funding Securitization, L.P., series 1997-CTL-1, corporate credit-backed pass-through securities: -- $1.3 million class F to 'D/RR6' from 'C/RR6'. Fitch also affirms the ratings and assigns Loss Severity ratings, as applicable, for these classes: -- $8.9 million class C at 'A/LS3'; Outlook Negative; -- $6.1 million class D at 'B-/LS3'; Outlook Negative; -- $6.8 million class E at 'CC/RR5'. Fitch withdraws the rating of the interest-only class IO. Class G has been reduced to zero because of realized losses. The downgrades are due to realized losses associated with the bankruptcy and subsequent liquidation of Circuit City. As expected, class F incurred a principal write-down following disposition of three properties leased by Circuit City. The Negative Outlooks, which indicate the likely direction of any changes to the ratings over the next one to two years, reflect that a majority of the underlying credit tenants are considered below investment grade by Fitch. The pool's tenants consist of Circuit City (25.1%), RadioShack Corp. (20%), Rite Aid Corp. (19.4%), New York State Electric & Gas Corp. (16.9%), Walgreen Co. (8.5%), Food Lion (Delhaize America Inc., 5.3%), CVS Corp. (3.3%), AutoZone (1.1%), and HCA Inc. (0.4%). Currently, 64.9% of the underlying credit tenants are considered below investment grade by Fitch, compared with 30.4% at issuance. None of the ratings on the tenants in the pool changed relative to the previous review. All of the loans are fully amortizing. As of the June 2010 distribution date, the pool has paid down 82.1% to $23.2 million from $129.4 million at issuance. Realized losses total approximately $1.9 million since issuance. CEDAR CBO: Moody's Downgrades Rating on Class II to 'Ba2' --------------------------------------------------------- Moody's Investors Service announced that it has downgraded the rating of these notes issued by Cedar CBO, Limited: * $46,000,000 Class II Senior Secured Fixed Rate Notes (current balance of $14,788,798), Downgraded to Ba2; previously on March 24, 2006 Upgraded to Baa3. According to Moody's, the rating action taken on the notes is a result of deteriorating coverage for the principal balance of the Class II notes. In Moody's assessment, the current Senior Par Value Test level of 164.9%, while considerably higher than the required test level, does not capture the volatility of the par coverage for the Class II notes. In particular, Moody's expects that a significant proportion of future principal proceeds will not be available to pay principal on the Class II notes and instead will be used to pay current interest due on the Class III notes. This expectation is driven by a lack of sufficient interest proceeds to pay the current interest due on the Class III notes, as described more fully in this paragraph, as well as a structural feature within the transaction. Based on the waterfall, interest and principal proceeds remaining following any payments made to cure the senior coverage tests, are used to pay current interest on the Class III notes before paying principal on the Class II notes. There is currently a considerable shortfall in the amount of interest proceeds generated to pay the current interest due on the Class II notes and the Class III notes. According to the June 3, 2010 trustee report, there is approximately $32 million of assets, including $7.75 million of structured finance securities that are deferring interest, with a weighted average coupon of 7.512%. The interest proceeds generated from these assets do not adequately support the interest due on $14.79 million of Class II notes with a 7.15% coupon and on $86.18 million of Class III notes with an 8.6% coupon. As a result, on the last two payment dates, a significant proportion of principal proceeds were used to pay the current interest due on the Class III notes, including on the June 10, 2010 payment date, when approximately $3.38 million of the $8.45 million of principal proceeds collected was used to pay the Class III notes' current interest. Given the interest shortfall, Moody's is concerned that additional deterioration or defaults in the portfolio may lead to losses for the investors in the Class II notes. Based on the most recent trustee report, securities rated Caa1 or lower make up 32.8% of the underlying portfolio and 21.1% of the assets are scheduled to mature after the final maturity date of the transaction, thus exposing the rated notes to potential market value risk. Additionally, 24.3% of the assets are structured finance securities that are currently deferring interest and are expected to have minimal recovery values. The rating action also reflects Moody's revised assumptions with respect to default probability and the calculation of the Diversity Score. 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. Cedar CBO, Limited, issued in June 1999, is a collateralized bond obligation backed primarily by a portfolio of senior unsecured bonds. CENTURION CDO: Moody's Upgrades Ratings on Two Classes of Notes --------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Centurion CDO III, Limited: * US$32,000,0000 Class II Senior Secured Fixed Rate Notes Due 2013, Upgraded to Aa2; previously on May 28, 2009 Downgraded to A2; * US$27,500,000 Class III Mezzanine Secured Fixed Rate Notes Due 2013, Upgraded to Ba3; previously on May 28, 2009 Downgraded to B3. According to Moody's, the rating actions taken on the notes result primarily from substantial deleveraging of the capital structure since the last rating action, which resulted in increases in the overcollateralization ratios of the Class II Notes and the Class III Notes. In addition, the transaction has benefited from improvement in the credit quality of the underlying portfolio. Since the last rating action, the principal balance of the Class I Notes has been reduced from $110 million to $57 million. A substantial proportion of this reduction is attributable to unscheduled principal payments and/or sales of the underlying securities in the portfolio. As a result, the Class II overcollateralization ratio increased to 158.9% in May 2010 from 139.4% in May 2009, and the Class III overcollateralization ratio increased to 121.4% from 114.3% over the same period. Moody's expects delevering to continue as a result of the end of the deal's reinvestment period in April 2006. Improvement in the credit quality of the underlying portfolio is observed through an improvement in the average credit rating (as measured by the weighted average rating factor) and a decrease in the proportion of securities from issuers rated Caa1 and below. In particular, as of the latest trustee report dated May 20, 2010, the weighted average rating factor is 3257 compared to 3414 in May 2009. Additionally, the concentration of assets with a Moody's rating of Caa1 or lower has decreased to 11.51% from 14.75% in May 2009. 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. Centurion CDO III, Limited, issued in March 2001, is a collateralized bond obligation backed primarily by a portfolio of senior unsecured bonds and senior secured loans. CENTURION GLOBAL: S&P Withdraws Ratings on Various Classes ---------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on the class A-1 and A-2 notes from Centurion Global Sovereign CBO I Ltd. and class A-3L and A-3 notes from South Street CBO 2000-1 Ltd. Previously, the rating on class A-2 from Centurion Global Sovereign CBO I Ltd. was on CreditWatch positive and the ratings on South Street CBO 2000-1 Ltd. were on CreditWatch negative. At the same time, S&P affirmed its 'CC' ratings on three classes from South Street CBO 2000-1 Ltd. Both transactions are cash flow corporate collateralized debt obligation transactions. The rating actions follow the complete redemption of the notes on their respective payment dates. Ratings Withdrawn Rating ------ Transaction Class To From ----------- ----- -- ---- Centurion Global Sovereign CBO I A-1 NR AAA Centurion Global Sovereign CBO I A-2 NR A+/Watch Pos South Street CBO 2000-1 Ltd. A-3L NR BBB+/Watch Neg South Street CBO 2000-1 Ltd. A-3 NR BBB+/Watch Neg Ratings Affirmed Transaction Class Rating ----------- ----- ------ South Street CBO 2000-1 Ltd. A-4L CC South Street CBO 2000-1 Ltd. A-4A CC South Street CBO 2000-1 Ltd. A-4C CC Other Outstanding Rating Transaction Class Rating ----------- ----- ------ Centurion Global Sovereign CBO I Ltd. A-3 BBB+/Watch Pos NR - Not rated. CHOCTAW GENERATION: Moody's Downgrades Rating on Certs. to 'B2' --------------------------------------------------------------- Moody's Investors Service has downgraded the rating on Choctaw Generation Limited Partnership's $294 million of outstanding Pass Through Trust Certificates to B2 from Ba3. The outlook remains negative. The downgrade considers the project's relative lack of financial flexibility, liquidity, and sponsor support. Financial performance is expected to remain well below levels consistent with a Ba-category rating in 2010 notwithstanding a moderate improvement after three consecutive years of very poor performance. Rent coverage was below 1.0x in 2009 for the third year in a row. After adjusting for discretionary capital expenditures which are expected to be funded with external sources of funds, coverage is forecast to rise slightly in 2010, though it will remain narrow at just 1.05x. While it appears that a number of the more critical operating problems facing the project that resulted in its poor performance in recent years have been rectified, the design flaw in the turbine has not been addressed, nor is it expected to be corrected for at least 12 months, if at all. As a result, the project's heat rate will remain well above the level used to determine reimbursements for fuel expenses in its power sales agreement with the Tennessee Valley Authority and no meaningful further improvement in operating or financial performance is expected unless and until the design flaw is rectified. This leaves the project with little flexibility to absorb the financial impact of any future operating problems. The downgrade also reflects the unwillingness and/or inability of the project sponsor to inject additional capital in the project to undertake various capital expenditures that have been identified by management that might improve the project's operating and financial performance. The apparent lack of sponsor support is reportedly attributable to the fact that the transaction is structured as a leveraged lease, as a result of which there would be potentially significant tax implications for the sponsor if it were to contribute additional funds. The sponsor has indicated it has been actively working to source capital for these projects, but it is unclear whether or under what terms capital might be provided. A number of the proposed capital improvements were originally expected to be financed with the proceeds of a settlement payment from the manufacturer of the project's steam turbine generator along with the injection of $7 million in subordinated debt by the projects sponsor, but these amounts were used to finance revenue shortfalls and operating cost overruns. As a result, the project has relatively little liquidity beyond its six month debt service reserve. The negative outlook considers that the project has failed to achieve its financial forecasts in recent years due to optimistic budgeting and ongoing operating problems. Failure to achieve expected rent coverage of 1.05x in 2010 could result in further downward pressure on the rating. The rating is unlikely to be upgraded in the near term given the negative outlook, but the outlook could be revised to stable if the project successfully achieves the projected rent coverage level. The last rating action on Choctaw occurred on March 17, 2009, when the rating was downgraded to Ba3. Choctaw Generation Limited Partnership operates the 440 MW lignite-fired Red Hills Energy Facility located in Choctaw County, Mississippi. The Project sells all the power output of the facility pursuant to the terms of a long-term power purchase agreement to Tennessee Valley Authority (Aaa). CGLP is indirectly owned by Suez Energy North America, Inc., a subsidiary of GDF SUEZ SA (senior unsecured Aa3). The transaction is structured as a leveraged lease, with the pass through trust certificates secured by lease payments from the Project. CITIGROUP COMMERCIAL: Fitch Takes Rating Actions on 2005-EMG Notes ------------------------------------------------------------------ Fitch Ratings downgrades, assigns Loss Severity ratings and Recovery Ratings, and revises Rating Outlooks to Citigroup Commercial Mortgage Securities mortgage pass-through certificates, series 2005-EMG, as indicated: -- $8.1 million class J to 'BB/LS3' from 'BB+'; Outlook to Negative from Stable; -- $2.7 million class K to 'B/LS5' from 'BB'; Outlook Negative; -- $1.8 million class L to 'CCC/RR1' from 'BB-'. The $1.8 million class M has experienced realized losses and remains at 'D' with a revised RR of 'RR2' from 'RR1'. In addition, Fitch affirms, assigns LS ratings and revises Rating Outlooks as indicated: -- $30.7 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $199 million class A-4 at 'AAA/LS1'; Outlook Stable; -- $46 million class A-J at 'AAA/LS2'; Outlook Stable; -- $7.2 million class B at 'AAA/LS4'; Outlook Stable; -- $2.7 million class C at 'AAA/LS5'; Outlook Stable; -- $5.4 million class D at 'AA/LS4'; Outlook Stable; -- $1.8 million class E at 'AA-/LS5'; Outlook Stable; -- $3.6 million class F at 'A/LS5'; Outlook Stable; -- $1.8 million class G at 'BBB/LS5'; Outlook Stable; -- $3.6 million class H at 'BBB-/LS5'; Outlook to Negative from Stable. Fitch withdraws the rating of the interest-only class X. (For additional information, see 'Fitch Revises Practice for Rating IO & Pre-Payment Related Structured Finance Securities', June 23, 2010). Classes A-1 and A-2 have paid in full. 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 commercial mortgage backed security analysis. Fitch expects minimal potential losses of approximately 1% of the remaining pool balance from the loans that may not 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 certificate balance has decreased 56.2% to $316.4 million, from $722.1 million at issuance. Fitch has identified 21 Loans of Concern (11%), including one loan (0.2%) that is in special servicing. The specially serviced loan is secured by an industrial warehouse facility located in Long Island City, NY. The loan is delinquent; however, no losses are expected upon disposition of the asset. The largest loan in the pool (9.4%) is secured by a 304-unit multifamily property located in Midtown Manhattan. The servicer reported year-end 2009 debt service coverage ratio was 2.27 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 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 1.25x or higher were considered to pay off at maturity. Under this scenario, 19 loans are not expected to pay off at maturity with 12 loans incurring a loss when compared to Fitch's stressed value. COMANCHE COUNTY: S&P Downgrades Rating on $12.3 Mil. Bonds to 'B-' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating and underlying rating to 'B-' from 'BBB' on Comanche County Consolidated Hospital District, Texas' $12.3 million series 2004 general obligation bonds. The outlook is stable. "The rating downgrade reflects the district's constrained financial situation, as evidenced by very limited cash and high leverage," said Standard & Poor's credit analyst Karl Propst. "Additionally, the district continues to face operating challenges due to its small clinical staff, revenue cycle issues, and a problematic new information system implementation." While the series 2004 bonds are secured by and payable from ad valorem taxes, which partially mitigates the preceding credit risks, the district has very limited flexibility to endure any volatility in its operations, which is the basis for lowering the rating to the 'B' category. The district's financial performance is generally weak, although the hospital district closed fiscal 2009 with a $137,752 increase in net assets including property tax collections. The district generated a net $830,000 operating loss in fiscal 2009 without the benefit of nonoperating items, including property tax revenues. Accounts payable and accrued expenses exceeded available cash by roughly $2.3 million. The district is dependent on the timely collection of patient receivables to generate cash for operations. As of June 30, 2009, net account receivables totaled roughly $2.8 million. Liquidity was poor, with about three days' cash on hand available at fiscal year-end 2009. Comanche County Consolidated Hospital District was incorporated in June 2002, which consolidated the former DeLeon Hospital District and the Comanche County Hospital District. The consolidated district encompasses about 90% of Comanche County's area. Comanche County, with a population of 13,924, is a rural, agriculture-based county located about 85 miles southwest of Fort Worth in west-central Texas. CREDIT SUISSE: Fitch Affirms Ratings on Series 1998-C1 Certs. ------------------------------------------------------------- Fitch Ratings affirms Credit Suisse First Boston Mortgage Securities Corp., series 1998-C1: Fitch affirms and assigns Loss Severity ratings and Outlooks to these classes: -- $10.3 million class D at 'AAA/LS5'; Outlook Stable; -- $37.3 million class E at 'AAA/LS4'; Outlook Stable. In addition, Fitch affirms this class: -- $1.8 million class I at 'D/RR6'. Fitch withdraws the rating of the interest-only class A-X. Fitch does not rate classes F, G, H, or J. Classes A-1A, A-1B, A- 2MF, B, and C are paid in full. The affirmations are due to low expected losses (2.3% 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 65 of the original 326 loans remaining in the transaction, 16 of which have defeased (13.2% of the current transaction balance). There is currently one loan (6.5%) in special servicing. 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. Nine loans did not payoff at maturity, and one loan incurred a loss when compared to Fitch's stressed value. CREDIT SUISSE: Moody's Affirms Ratings on Six 2007-C1 Certs. ------------------------------------------------------------ Moody's Investors Service affirmed the ratings of six classes, confirmed one class and downgraded 19 classes of Credit Suisse Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2007-C1. The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and poorly performing watchlisted loans, interest shortfalls and refinance risk associated with loans approaching maturity in an adverse environment. Seven loans, representing 10% of the pool, mature within the next two years and have a Moody's stressed debt service coverage ratio less than 1.0X. The downgrades include Classes A-3 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 along with 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-3 and A-1A will actually experience losses, the expected level of credit enhancement and their priority in the cash flow waterfall no longer provide adequate cushion to maintain Aaa ratings. The confirmation and affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed DSCR and the Herfindahl Index remaining within acceptable ranges. Moody's placed 20 classes 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 June 17, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 1.4% to $3.3 billion from $3.4 billion at securitization. The Certificates are collateralized by 250 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top ten loans representing 30% of the pool. The pool contains no defeased loans or loans with investment grade underlying ratings. Eighty loans, representing 36% of the pool, are on the master servicer's watchlist, including four of the top ten loans in the pool. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council's (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. The pool has experienced a $14.5 million loss since securitization. Thirty-seven loans, representing 27% of the pool, are currently in special servicing. The largest specially serviced loan is the CVI Multifamily Apartment Portfolio Loan ($179.8 million -- 5.4% of the pool), which is secured by 20 multifamily properties totaling 2,990 units. The properties range from 12 to 434 units and are located in seven markets, with the largest concentrations in Austin, Texas and Sacramento, California. The loan was transferred to special servicing on April 17, 2009, due to imminent default and is currently 90+ days delinquent. The second largest specially serviced loan is the Mansions Portfolio Loan ($160 million -- 4.8%), which is secured by four multifamily properties totaling 1,417 units located in Austin and Round Rock, Texas. The loan was transferred to special servicing on March 6, 2009 for imminent default and is currently 90+ days delinquent. As of December 2009, the property was 91% leased compared to 92% at last review. The oversupply of rental units in the market has resulted in significant rental concessions, significantly decreasing the portfolio's net operating income. The remaining 32 specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $317 million loss (overall 35% expected loss) for all specially serviced loans. The servicer has recognized an aggregate $236 million appraisal reduction for 28 of the specially serviced loans. In addition to recognizing losses from specially serviced loans, Moody's has assumed a high default probability on 14 loans representing 15% of the pool and has estimated an aggregate loss of $98.6 million (20% expected loss based on an overall 60% default probability) from these troubled loans. Moody's rating action recognizes potential uncertainty around the timing and magnitude of loss from these troubled loans. As of the most recent remittance date, the transaction has experienced unpaid accumulated interest shortfalls totaling $12.8 million affecting Classes T through E. Interest shortfalls are caused by special servicing fees, appraisal reductions, extraordinary trust expenses and reductions in interest payments due to loan modifications. Moody's expects interest shortfalls to increase due to the pool's high exposure to specially serviced loans. Moody's was provided with full-year 2009 operating results for 71% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV ratio is 121% compared to 132% at Moody's last review. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCR are 1.27X and 0.89X, respectively, compared to 1.19X and 0.84X 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 the potential rating volatility, including the risk of multiple-notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf score of 53 compared to 52 at last review. The top three performing loans represent 13% of the pool. The largest loan is the Savoy Park Loan ($210.0 million -- 6.3%), which is secured by seven adjacent apartment buildings totaling 1,802 units located in Harlem, New York. The property is also encumbered by a $157.5 million mezzanine loan. At securitization, the borrower's plan was to increase value through a comprehensive renovation program and the deregulation of rent-stabilized units. However, a slower than anticipated pace of conversion and deterioration in market fundamentals have challenged the borrower's original plan. As of December 2009, 90% of the units were rent stabilized compared to 91% at securitization. As of June 2010, the remaining interest reserve was approximately $2 million, same as at last review and down from $30 million at securitization. The loan is on the master servicer's watchlist due to low DSCR. Moody's has determined that there is a high probability that this loan may default prior to maturity. Moody's LTV and stressed DSCR are 155% and 0.66X, respectively, same as at last review. The second largest loan is the Koger Center Loan ($115.5 million - - 3.5%), which is secured by an 850,000 square foot office complex located in Tallahassee, Florida. The largest tenant is the State of Florida, which leases 69% of the net rentable area (NRA) through October 2019. As of March 2010, the property was 89% leased compared to 100% at last review. Performance has declined since securitization due to a decline in rental income and increased operating expenses. The loan is on the master servicer's watchlist due to low DSCR. Moody's has determined that there is a high probability that this loan may default prior to maturity. Moody's LTV and stressed DSCR are 145% and 0.67X, respectively, compared to 153% and 0.67X at last review. The third largest loan is the Trident Center Loan ($101.9 million -- 3.1%), which is secured by a 366,123 square foot office complex located in Los Angeles, California. The largest tenants are the two law firms, Manatt, Phelps and Phillips, which leases 57% of the NRA through April 2021 and Mitchell, Silberberg and Knupp, which leases 35% of the NRA through April 2019. As of March 2010, the property was 100% leased, same as at last review. Moody's LTV and stressed DSCR are 125% and 0.78X, respectively, compared to 123% and 0.83X at last review. Moody's rating action is: -- Class A-1, $14,947,535, affirmed at Aaa; previously assigned Aaa on 4/3/2007 -- Class A-2, $139,000,000, affirmed at Aaa; previously assigned Aaa on 4/3/2007 -- Class A-X, Notional, affirmed at Aaa; previously assigned on 4/3/2007 -- Class A-SP, Notional, affirmed at Aaa; previously assigned Aaa on 4/3/2007 -- Class A-AB, $98,301,000, confirmed at Aaa; previously placed on review for possible downgrade on 4/16/2010 -- Class A-3, $758,000,000, downgraded to Aa3 from Aaa; previously placed on review for possible downgrade on 4/16/2010 -- Class A-1-A, $1,316,102,338, downgraded to Aa3 from Aaa; previously placed on review for possible downgrade on 4/16/2010 -- Class A-M, $212,148,000, downgraded to Baa3 from Aaa; previously placed on review for possible downgrade on 4/16/2010 -- Class A-MFL, $125,000,000, downgraded to Baa3 from Aaa; previously placed on review for possible downgrade on 4/16/2010 -- Class A-J, $286,576,000, downgraded to B3 from A3; previously placed on review for possible downgrade on 4/16/2010 -- Class B, $25,286,000, downgraded to Caa3 from Baa1; previously placed on review for possible downgrade on 4/16/2010 -- Class C, $37,929,000, downgraded to Ca from Baa2; previously placed on review for possible downgrade on 4/16/2010 -- Class D, $33,715,000, downgraded to C from Baa3; previously placed on review for possible downgrade on 4/16/2010 -- Class E, $21,071,000, downgraded to C from Ba1; previously placed on review for possible downgrade on 4/16/2010 -- Class F, $29,501,000, downgraded to C from Ba2; previously placed on review for possible downgrade on 4/16/2010 -- Class G, $33,715,000, downgraded to C from B2; previously placed on review for possible downgrade on 4/16/2010 -- Class H, $37,929,000, downgraded to C from Caa1; previously placed on review for possible downgrade on 4/16/2010 -- Class J, $33,714,000, downgraded to C from Caa1; previously placed on review for possible downgrade on 4/16/2010 -- Class K, $37,930,000, downgraded to C from Caa2; previously placed on review for possible downgrade on 4/16/2010 -- Class L, $8,428,000, downgraded to C from Caa3; previously placed on review for possible downgrade on 4/16/2010 -- Class M, $12,643,000, downgraded to C from Ca; previously placed on review for possible downgrade on 4/16/2010 -- Class N, $8,429,000, downgraded to C from Ca; previously placed on review for possible downgrade on 4/16/2010 -- Class O, $8,429,000, downgraded to C from Ca; previously placed on review for possible downgrade on 4/16/2010 -- Class P, $8,428,000, downgraded to C from Ca; previously placed on review for possible downgrade on 4/16/2010 -- Class Q, $8,429,000, affirmed at C; previously downgraded to C from Caa3 on 8/6/2009 -- Class S, $12,643,000, affirmed at C; previously downgraded to C from Ca on 4/16/2010 CREST 2004-1: Fitch Downgrades Ratings on 14 Classes of Notes ------------------------------------------------------------- Fitch Ratings has downgraded 14 classes of notes issued by Crest 2004-1, Ltd. due to negative migration of the credit quality of the portfolio since last review. As of the May 2010 trustee report, the current balance of the portfolio is $392.6 million, of which $18.2 million is defaulted securities, as defined in the transaction's governing documents. Since the last rating action in January 2009, the credit quality of the collateral has declined, with approximately 48.3% of the portfolio downgraded on average 1.8 notches. Approximately 77.7% of the portfolio has a Fitch derived rating below investment grade and 3.8% has a rating in the 'CCC' rating category or below, as compared to 68.2% and 0.5%, respectively, at last review. Currently, the portfolio comprises eight assets (8.1%) that are experiencing interest shortfalls or deferring interest payments. 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 collateralized debt obligation 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. Based on this analysis, the breakeven rates for classes A through G-1/G-2 (class G) are generally consistent with the ratings assigned below. While the credit enhancement level to the class H-1 and H-2 (class H) notes is well in excess of the percent of underlying collateral experiencing interest shortfalls, this level is generally in line with the expected losses of the portfolio, as projected by SF PCM. As such, the class H notes have been downgraded to 'CCC', indicating that default is a possibility. The Negative Rating Outlook on classes A through G reflects Fitch's expectation that underlying commercial mortgage backed security loans will continue to face refinance risk at maturity. Additionally, Fitch assigned Loss Severity ratings to the class A- G notes. The LS ratings indicate each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the base-case loss expectation for the collateral, as explained in 'Criteria for Structured Finance Loss Severity Ratings'. The LS rating should always be considered in conjunction with the probability of default for tranches. Fitch does not assign LS ratings and Outlooks for classes rated 'CCC' and lower. The rating of the preferred shares addresses the likelihood that investors will receive the ultimate return of the aggregate outstanding rated balance by the legal final maturity date. The preferred shares have received distributions of approximately $26.7 million, resulting in a rated balance of $69.8 million. The assigned rating for the class indicates that default is probable. Crest 2004-1 is a static CDO that closed on Nov. 18, 2004. The current portfolio consists of 130 bonds from 48 obligors, of which 93.1% are CMBS from the 1999 through 2004 vintages, 50.9% are real estate investment trust debt securities, and 1.1% are structured finance CDOs. Fitch has downgraded, assigned LS ratings and revised Outlooks for these classes as indicated: -- $155,062,156 class A to 'BBB/LS3' from 'A+', Outlook to Negative from Stable; -- $44,000,000 class B-1 to 'BB/LS5' from 'BBB+', Outlook to Negative from Stable; -- $8,491,250 class B-2 to 'BB/LS5' from 'BBB+', Outlook to Negative from Stable; -- $2,710,000 class C-1 to 'BB/LS5' from 'BBB', Outlook to Negative from Stable; -- $23,000,000 class C-2 to 'BB/LS5' from 'BBB', Outlook to Negative from Stable; -- $17,140,000 class D to 'BB/LS5' from 'BBB-', Outlook to Negative from Stable; -- $13,000,000 class E-1 to 'B/LS5' from 'BB+', Outlook to Negative from Stable; -- $12,710,000 class E-2 to 'B/LS5' from 'BB+', Outlook to Negative from Stable; -- $6,427,500 class F to 'B/LS5' from 'BB+', Outlook to Negative from Stable; -- $2,000,000 class G-1 to 'B/LS5' from 'BB', Outlook to Negative from Stable; -- $9,783,750 class G-2 to 'B/LS5' from 'BB', Outlook to Negative from Stable; -- $7,520,000 class H-1 to 'CCC' from 'BB-'; -- $1,050,000 class H-2 to 'CCC' from 'BB-'; -- $96,412,500 class preferred shares to 'CC' from 'CCC'. CT CDO: S&P Downgrades Ratings on 15 Classes of Notes ----------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 15 classes from CT CDO IV Ltd.'s series IV and 12 of the lowered ratings remain on CreditWatch with negative implications. The downgrades reflect S&P's analysis of the transaction, including the effect of the deteriorating economy and the current credit characteristics of the underlying collateral assets. S&P's analysis also considered the transaction's liability structure, and the application of S&P's updated U.S. commercial real estate collateralized debt obligation criteria. The 15 ratings remaining on CreditWatch negative reflect the transaction's exposure to collateral with ratings on CreditWatch negative ($40.9 million, 10.7%). According to the May 17, 2010, trustee report, the transaction's current asset pool included these: * 32 commercial mortgage-backed securities (CMBS) tranches ($241.5 million, 62.8%); * Eight CRE CDO tranches ($113.5 million, 29.5%); and * Two subordinated loans ($29.6 million, 7.7%). 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, CT Investment Management Co. LLC, 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 16 impaired and defaulted CMBS and CRE CDO tranches ($153.3 million, 39.9%). 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 Remaining On Creditwatch Negative CT CDO IV Ltd. Collateralized debt obligations series IV Rating ------ Class To From ----- -- ---- A-1 BBB+/Watch Neg AAA/Watch Neg A-2 BBB/Watch Neg AAA/Watch Neg B BBB-/Watch Neg AA/Watch Neg C BB+/Watch Neg A/Watch Neg D-FL BB/Watch Neg BBB+/Watch Neg D-FX BB/Watch Neg BBB+/Watch Neg E BB-/Watch Neg BBB/Watch Neg F-FL B+/Watch Neg BBB-/Watch Neg F-FX B+/Watch Neg BBB-/Watch Neg G B-/Watch Neg BB+/Watch Neg H CCC+/Watch Neg BB/Watch Neg J CCC/Watch Neg BB-/Watch Neg Ratings Lowered And Removed From Creditwatch Negative CT CDO IV Ltd. Collateralized debt obligations series IV Rating ------ Class To From ----- -- ---- K CCC- B+/Watch Neg L CCC- B-/Watch Neg M CCC- CCC+/Watch Neg CWALT INC: Moody's Downgrades Ratings on 32 Tranches ---------------------------------------------------- Moody's Investors Service has downgraded the ratings of 32 tranches from 4 RMBS transactions, backed by Alt-A loans, issued by Countrywide. The collateral backing these transactions consists primarily of first-lien, fixed-rate, Alt-A residential mortgage loans. The actions are a result of the rapidly deteriorating performance of Alt-A pools in conjunction with macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued from 2005 to 2007. To assess the rating implications of the updated loss levels on Alt-A RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. Complete rating actions are: Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-37T1 -- Cl. A-1, Downgraded to Caa1; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa1; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to C; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa3; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-53T2 -- Cl. 1-A-1, Downgraded to Ca; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. 2-A-8, Downgraded to Ca; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-60T1 -- Cl. A-1, Downgraded to Caa2; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa3; previously on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to C; previously on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to C; previously on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa2; previously on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-77T1 -- Cl. 2-A-3, Downgraded to Caa3; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade DELPHINUS CDO: Fitch Downgrades Ratings on 13 Classes of Notes -------------------------------------------------------------- Fitch Ratings has downgraded and subsequently withdrawn the ratings on the 13 classes of notes issued by Delphinus CDO 2007-1, LLC/Ltd., following the completion of the portfolio liquidation and subsequent distribution of the proceeds on June 11, 2010. Delphinus triggered an event of default in January 2008 and the controlling noteholders directed the portfolio liquidation. The proceeds were not sufficient to make any payments to any notes. The amount of $1.1 million was retained by the trustee to cover any residual expenses. The trustee last reported the drawn amount of the super senior balance as of Jan. 10, 2010 at $192.1 million and remaining undrawn notional of $394.8 million. The super senior notes were likely drawn upon further, to fund the credit default swap termination payment. Fitch does not have information on the updated drawn balance of the super senior notes and the rating actions below reflect the last referenced amount mentioned above, including both drawn and undrawn balances. Fitch has downgraded and withdrawn these: -- $586,867,482 super senior notes to 'D' from 'CC'; -- $73,500,000 class A-1A notes to 'D' from 'CC'; -- $86,500,000 class A-1B notes to 'D' from 'CC'; -- $160,000,000 class A-1C notes to 'D' from 'CC'; -- $16,583,102 class S notes to 'D' from 'CC'; -- $144,500,000 class A-2 notes to 'D' from 'CC'; -- $138,500,000 class A-3 notes to 'D' from 'CC'; -- $131,000,000 class B notes to 'D' from 'CC'; -- $86,328,967 class C notes to 'D' from 'C'; -- $56,830,370 class D-1 notes to 'D' from 'C' ; -- $36,709,031 class D-2 notes to 'D' from 'C'; -- $15,852,570 class D-3 notes to 'D' from 'C'; -- $18,597,960 class E notes to 'D' from 'C'. Delphinus is a hybrid structured finance collateralized debt obligation, which closed on July 19, 2007. The liability structure consisted of an unfunded super senior liquidity facility (super senior notes) above the funded notes. The principal on the funded notes was secured by cash asset securities and a reserve account. Delphinus' portfolio was comprised of primarily subprime and Alternative-A residential mortgage backed securities of 2006 and 2007 vintages. The portfolio was selected and monitored by Delaware Investments, a member of Macquarie Group since January 2010. DRYDEN V-LEVERAGED: Moody's Upgrades Ratings on Various Classes --------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Dryden V-Leveraged Loan CDO 2003: -- US$253,000,000 Class A Floating Rate Senior Notes Due 2015 (current balance of $141,563,372), Upgraded to Aaa; previously on June 24, 2009 Downgraded to Aa3; -- US$17,000,000 Class B-1 Floating Rate Senior Notes Due 2015, Upgraded to A2; previously on June 24, 2009 Downgraded to Baa2; -- US$10,000,000 Class B-2 Fixed Rate Senior Notes Due 2015, Upgraded to A2; previously on June 24, 2009 Downgraded to Baa2; -- US$9,000,000 Class C-1 Floating Rate Deferrable Notes Due 2015, Upgraded to Baa3; previously on June 24, 2009 Downgraded to Ba3; -- US$6,500,000 Class C-2 Fixed Rate Deferrable Notes Due 2015, Upgraded to Baa3; previously on June 24, 2009 Downgraded to Ba3; -- US$7,500,000 Class D-1 Floating Rate Deferrable Notes Due 2015, Upgraded to Caa2; previously on June 24, 2009 Downgraded to Caa3; -- US$5,000,000 Class D-2 Floating Rate Deferrable Notes Due 2015, Upgraded to Caa2; previously on June 24, 2009 Downgraded to Caa3; -- US$4,500,000 Class D-3 Fixed Rate Deferrable Notes Due 2015, Upgraded to Caa2; previously on June 24, 2009 Downgraded to Caa3; -- US$8,500,000 Class E Floating Rate Deferrable Notes Due 2015, Upgraded to Ca; previously on June 24, 2009 Downgraded to C. According to Moody's, the upgrade rating actions taken result primarily from substantial delevering of the Class A Notes and stabilization in the credit quality of the collateral since the last rating action in June 2009. The transaction has benefited from the delevering of the Class A notes, which have been paid down by approximately $86.7MM since the last rating action, accounting for roughly 38% of the total Class A notes' outstanding balance reported in May 2009. A substantial proportion of this paydown is attributable to principal prepayments on the underlying loans. As a result of the delevering, the overcollateralization ratios have increased since the last rating action in June 2009. In particular, as of the trustee report dated April 12, 2010, the Class A/B, Class C, Class D, and Class E overcollateralization ratios are reported at 128.88%, 118.03%, 108.05%, and 103.67%, respectively, versus May 2009 levels of 113.95%, 107.43%, 101.08%, and 98.18%, respectively, and all related overcollateralization tests are currently in compliance. Moody's expects delevering to continue as a result of the end of the deal's reinvestment period in December 2008. Additionally, the dollar amount of defaulted securities has decreased to about $9MM from approximately $27MM in May 2009. Finally, Moody's noted that the portfolio includes a number of investments in securities that mature after the maturity date of the notes. Based on the trustee report dated April 12, 2010, the current level of long-dated securities is 3.63% versus the deal's covenant level of 2%. In discussions with the manager, Moody's understands that the increase in the calculated exposure to securities that mature after the stated maturity date of the notes is attributable to the amortization of the collateral pool, as well as inclusion of a security received by the issuer in connection with a bankruptcy restructuring. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. 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. Dryden V-Leveraged Loan CDO 2003, issued in December 10, 2003, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. DUKE FUNDING: Moody's Downgrades Ratings on Five Classes -------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of five classes of notes issued by Duke Funding V, Ltd. The notes affected by the rating action are: -- US$125,000,000 Class I-W Senior Secured Floating Rate Notes Due 2033 (current balance of $78,820,929), Downgraded to Ca; previously on Aug 20, 2009 Downgraded to Caa2 and Placed Under Review for Possible Downgrade; -- US$175,000,000 Class I-A1 Senior Secured Floating Rate Notes Due 2033 (current balance of $110,349,301), Downgraded to Ca; previously on Apr 22, 2009 Downgraded to Caa3; -- US$69,000,000 Class I-A2 Senior Secured Floating Rate Notes Due 2033 (current balance of $43,509,153), Downgraded to Ca; previously on Apr 22, 2009 Downgraded to Caa3; -- US$6,000,000 Class I-B Senior Secured Fixed Rate Notes Due 2033 (current balance of $3,783,405), Downgraded to Ca; previously on Apr 22, 2009 Downgraded to Caa3; -- US$9,000,000 Class B Combination Securities Due 2038 (current rated balance of 3,159,218.09), Downgraded to Ca; previously on Apr 22, 2009 Downgraded to Caa2. Duke Funding V, Ltd., issued on August 14, 2003, is a collateralized debt obligation issuance backed by a portfolio that consists primarily of residential mortgage-backed securities. RMBS comprise approximately 90% of the underlying portfolio, of which the majority were originated in 2003. According to Moody's, the rating downgrade actions are the result of deterioration in the credit quality of the underlying portfolio. Such credit deterioration is observed through numerous factors, including a failure of the average credit rating of the portfolio (as measured by an increase in the weighted average rating factor), failure of the coverage tests, and number of assets that are currently on review for possible downgrade. In particular, the weighted average rating factor is currently 2554 versus a test level of 360 as of the last trustee report, dated April 12, 2010. The Class I overcollateralization ratio, as reported by the trustee, has decreased from 121.02% in April 2009 to 75.13% in April 2010. Also, in April 2010, the ratings of approximately $26.3 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. G-FORCE CDO: S&P Downgrades Ratings on Five Classes of Notes ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on five classes from G-Force CDO 2006-1 Ltd., a commercial real estate collateralized debt obligation transaction. S&P removed all of the lowered ratings from CreditWatch with negative implications. In addition, S&P affirmed its ratings on six other classes from the same transaction and removed two of them from CreditWatch negative. The downgrades and affirmations reflect S&P's analysis of G-Force 2006-1 following continued liquidity interruptions to the transaction and S&P's downgrades of the commercial mortgage-backed securities collateral. As of the May 25, 2010, remittance report, classes C through J experienced interest shortfalls totaling $671,439. S&P lowered its rating on the nondeferrable class C certificates to 'D' after the class experienced an interest payment interruption. S&P previously lowered its ratings on the nondeferrable class D and E certificates to 'D' following their interest payment interruptions. S&P has determined that the liquidity interruptions to G-Force 2006-1 resulted from interest shortfalls on the underlying CMBS collateral. The interest shortfalls primarily reflect the master servicer's recovery of prior advances, appraisal subordinate entitlement reductions, servicers' nonrecoverability determinations for advances, and special servicing fees. S&P considered G-Force 2006-1's susceptibility to future liquidity interruptions in its analysis for the classes S&P downgraded. S&P's analysis of the transaction also considered the downgrade of five certificates that collateralize G-Force 2006-1. The downgraded underlying certificates are from GMAC Commercial Mortgage Securities Inc.'s series 2003-C1 ($29.1 million, 4.2% of total asset balance). According to the May 25, 2010, trustee report, the transaction's current assets included 80 classes ($607.8 million, 87.7%) of CMBS pass-through certificates from 37 distinct transactions issued between 1997 and 2006. The current assets also included six classes ($68.1 million, 9.8%) from G-FORCE 2005-RR2 Trust, which is a CMBS resecuritization, as well as two CRE loans ($16.7 million, 2.4%). The aggregate principal balance of the assets totaled $692.7 million. Standard & Poor's analyzed G-Force 2006-1 and its underlying collateral according to its current criteria. S&P's analysis is consistent with the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative G-Force CDO 2006-1 Ltd. Collateralized debt obligations Rating ------ Class To From ----- -- ---- SSFL BBB+ AA-/Watch Neg A-3 BB BBB+/Watch Neg JRFL BB BBB+/Watch Neg B CCC- BB-/Watch Neg C D B+/Watch Neg Ratings Affirmed And Removed From Creditwatch Negative G-Force CDO 2006-1 Ltd. Collateralized debt obligations Rating ------ Class To From ----- -- ---- A-1 AAA AAA/Watch Neg A-2 AAA AAA/Watch Neg Ratings Affirmed G-Force CDO 2006-1 Ltd. Collateralized debt obligations Class Rating ----- ------ F CCC- G CCC- H CCC- J CCC- G-STAR 2003-3: Fitch Downgrades Ratings on Five Classes of Notes ---------------------------------------------------------------- Fitch Ratings has downgraded five classes and affirmed one class of notes issued by G-Star 2003-3, Ltd./Corp as a result of negative credit migration in the portfolio. Since Fitch's last rating action in March 2009, approximately 34.6% of the portfolio has been downgraded. Currently, 38.8% is on Rating Watch Negative. Approximately 42.8% of the portfolio has a Fitch derived rating below investment grade compared to 27.9% at last review. According to the June 15, 2010 trustee report, defaulted assets now total $14,693,299, or 6.5% of the portfolio. Further, the collateralized debt obligation has paid down $39.2 million since the last review. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model for projecting future default levels for the underlying portfolio. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. Based on this analysis, the class A-1 notes have been downgraded to 'B', reflecting the sensitivity to Fitch's up interest rate stress scenario. For classes A-2 and lower, Fitch compared the credit enhancement level with the amount of underlying assets considered distressed (rated 'CCC' and lower). These assets have a high probability of default and low expected recoveries upon default. The class A-2 notes have credit enhancement level of 14.7% as compared to the 28.0% of the portfolio considered distressed. Fitch believes that default is probable at or prior to maturity and therefore the class has been downgraded to 'CC'. For classes A-3 and lower, the credit enhancement is 6.8% or lower. Given the amount of distressed collateral (28%), Fitch views default as inevitable for these classes and has downgraded them to 'C'. Due to the failure of the class A coverage test, the class B-1 and B-2 notes are receiving payment in kind interest payments, whereby the principal balance of the notes is written up by the amount of interest owed. The Negative Rating Outlook on the class A-1 reflects Fitch's expectation that underlying commercial mortgage backed security loans will continue to face refinance risk at maturity as well as continued pressure in the residential mortgage backed security space. Fitch also assigned a Loss Severity rating to the class A- 1 notes. An LS rating indicates a tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the expected loss for the collateral under the 'B' stress. The LS rating should always be considered in conjunction with probability of default indicated by a class' long-term credit rating. Fitch does not assign Rating Outlooks or LS ratings to classes rated 'CCC' or lower. G-Star 2003-3 is a cash flow CRE CDO which closed on March 13, 2003. The collateral is composed of 40.0% RMBS, 37.7% CMBS, 10.0% asset backed securities, 11.2% real estate investment trusts, and 1.1% real estate CDOs. Fitch has downgraded, affirmed, or revised Outlooks, and assigned an LS rating for these classes as indicated: -- $146,197,926 class A-1 notes downgraded to 'B/LS3' from 'AA', Outlook Negative; -- $48,000,000 class A-2 notes downgraded to 'CC' from 'BB'; -- $18,000,000 class A-3 notes downgraded to 'C' from 'CCC'; -- $5,302,271 class B-1 notes downgraded to 'C' from 'CC'; -- $16,061,774 class B-2 notes downgraded to 'C' from 'CC'; -- $24,000,000 preferred shares affirmed at 'C'. GLACIER 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 Glacier Funding CDO I Limited. The notes affected by the rating action are: -- US$44,000,000 Class A-2 Second Priority Senior Floating Rate Notes Due 2039, Downgraded to Caa1; previously on August 21, 2009 Downgraded to B1; -- US$43,500,000 Class B Third Priority Senior Floating Rate Notes Due 2039, Downgraded to C; previously on August 21, 2009 Downgraded to Caa3. Glacier Funding CDO I Limited is a collateralized debt obligation issuance backed by a portfolio of asset-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. Such credit deterioration is observed through numerous factors, including a decline in the average credit rating of the portfolio (as measured by an increase in the weighted average rating factor), an increase in the dollar amount of defaulted securities, and failure of the coverage tests. The weighted average rating factor, as reported by the trustee, has increased from 1302 in August 2009 to 2200 in June 2010. Defaulted securities, as reported by the trustee, has also increased from $12 million to $20 million in that period. Additionally, approximately $30 million of RMBS within the underlying portfolio are currently on review for possible downgrade as a result of Moody's updated loss projections. 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. The actions also take into consideration the occurrence on August 10, 2009, as reported by the Trustee, of an Event of Default described in Section 5.1(i) of the Indenture dated March 10, 2004. As provided in Article V of the Indenture during the occurrence and continuance of an Event of Default, certain holders of Notes may be entitled to direct the Trustee to take particular actions with respect to the Collateral and the Notes. The severity of losses of certain tranches may be different, however, depending on the timing and outcome of a liquidation. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. GLOBAL MORTGAGE: Moody's Downgrades Ratings on 10 Tranches ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 10 tranches from a RMBS transaction, backed by prime jumbo loans, issued by Global Mortgage Securitization 2005-A Ltd. The collateral backing the transaction consists primarily of first-lien, fixed-rate, prime jumbo residential mortgage loans. The actions are a result of the rapidly deteriorating performance of jumbo pools in conjunction with macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on prime jumbo pools issued from 2005 to 2008. To assess the rating implications of the updated loss levels on prime jumbo RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. Complete rating actions are: Issuer: Global Mortgage Securitization 2005-A Ltd -- Cl. A1, Downgraded to Baa2; previously on Jan 14, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to Baa2; previously on Jan 14, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A3, Downgraded to Baa2; previously on Jan 14, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. X-A1, Downgraded to Baa2; previously on Jan 14, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Caa2; previously on Jan 14, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to Caa2; previously on Jan 14, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to Caa2; previously on Jan 14, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. B4, Downgraded to Caa3; previously on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to C; previously on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. B6, Downgraded to C; previously on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade GMAC COMMERCIAL: Fitch Takes Rating Actions on 1998-C1 Certs. ------------------------------------------------------------- Fitch Ratings downgrades, removes from Rating Watch Negative and assigns Loss Severity ratings, Rating Outlooks or Recovery Ratings to these classes of GMAC Commercial Mortgage Securities, Inc.'s commercial mortgage pass-through certificates, series 1998-C1: -- $32.4 million class G to 'BB/LS5' from 'BBB'; Outlook Negative; -- $25.2 million class H to 'CCC/RR1' from 'B'. Fitch affirms and revises the Recovery Rating of this class as indicated: -- $14.4 million class J to 'CC/RR4' from 'CC/RR3'. In addition, Fitch affirms, removes from Rating Watch Negative and assigns LS ratings and Rating Outlooks to these classes: -- $42.3 million class E at 'AAA/LS4'; Outlook Stable; -- $43.1 million class F at 'A-/LS4'; Outlook Stable. Fitch withdraws the rating of the interest-only class X. Classes A-1, A-2, B, C and D have paid in full. The $25.2 million class K, $14.4 million class L and $10.8 million class M all remain at 'C/RR6'. Fitch does not rate the $5.9 million class N 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 29.6% of the remaining pool balance from the loans in special servicing and non-recoverable interest shortfalls. 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 85.1% to $213.6 million from $1.44 billion at issuance. Three loans (7.3%) have defeased. Fitch has identified six Loans of Concern (64.6%), including three assets in special servicing (57.1%), one of which transferred to the special servicer after the May 2010 remittance cutoff date. The largest specially serviced loan (52.5%) is the Senior Living Properties portfolio, which is the largest loan remaining in the pool. The loan is performing under a loan modification with a maturity extension through August 2010. The portfolio census continues to be approximately 60%. The second largest specially serviced loan (3%) is secured by a limited-service hotel property located in Portland, OR. The asset transferred to special servicing in May 2010 for imminent monetary default and the borrower is seeking payment relief. 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, there are no additional loans not expected to payoff at maturity. GMAC COMMERCIAL: Fitch Takes Rating Actions on 2002-C3 Certs. ------------------------------------------------------------- Fitch Ratings has removed from Rating Watch Negative, downgraded, revised and assigned Rating Outlooks, and assigned Loss Severity ratings or Recovery Ratings to GMAC Commercial Mortgage Securities, Inc. commercial mortgage pass-through certificates, series 2002-C3, as indicated: -- $18.5 million class J to 'BBB/LS4' from 'A-'; Outlook Negative; -- $8.7 million class K to 'BB/LS5' from 'BBB'; Outlook Negative; -- $5.8 million class L to 'BB/LS5' from 'BBB-'; Outlook Negative; -- $4.9 million class M to 'B-/LS5' from 'BB+'; Outlook Negative; -- $3.9 million class N to 'CCC/RR1' from 'B+'; -- $2.7 million class O-1 to 'CC/RR3' from 'B'; -- $1.2 million class O-2 to 'C/RR6' from 'B-'. In addition, Fitch has affirmed and assigned LS ratings as indicated: -- $97.5 million class A-1 at 'AAA/LS1'; Outlook Stable; -- $406.4 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $29.2 million class B at 'AAA/LS1'; Outlook Stable; -- $11.7 million class C at 'AAA/LS1'; Outlook Stable; -- $18.5 million class D at 'AAA/LS1'; Outlook Stable -- $11.7 million class E at 'AAA/LS4'; Outlook Stable; -- $9.7 million class F at 'AAA/LS4'; Outlook Stable; -- $9.7 million class G at 'AA+/LS4'; Outlook Stable; -- $9.7 million class H at 'AA-/LS4'; Outlook Negative. Fitch does not rate $6.2 million class P. Fitch has withdrawn the rating of the interest only classes X-1 and X-2. 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 commercial mortgage backed security analysis. Fitch expects potential losses of 2.4% 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. Expected loss as a percentage of the original deal balance is 3.4%. 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 20.4% to $619.1 million from $777.4 million at issuance. Twenty-two loans (30.5%) have defeased. Fitch has identified 15 Loans of Concern (16.2%), including four assets in special servicing (3.3%). The largest (1.3%) specially serviced asset is a collateralized by secured by a 166,435 square foot retail property in Traverse City, MI. The subject is currently 83% occupied and several tenants are delinquent and/or asking for rent reductions. The second largest (0.8%) specially serviced loan is a 46,617 SF office property located in Temecula, CA. The loan transferred for a non-monetary default due to the involuntary appointment of a receiver while the majority owners were in divorce proceedings. The court terminated the receiver and awarded the property to the wife. The loan is expected to return to the master. 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 pay off at maturity. Under this scenario, 26 loans are not expected to pay off at maturity with eight loans incurring a loss when compared to Fitch's stressed value. GMAC COMMERCIAL: S&P Downgrades Ratings on 13 2004-C2 Securities ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 13 classes of commercial mortgage-backed securities from GMAC Commercial Mortgage Securities Inc.'s series 2004-C2 and removed them from CreditWatch with negative implications. S&P lowered two of these ratings to 'D'. In addition, S&P affirmed its ratings on six other classes from the same transaction. The rating actions follow S&P's analysis of the transaction using its U.S. conduit and fusion CMBS criteria. The downgrades of the mezzanine and subordinate classes reflect credit support erosion that S&P anticipate will occur upon the eventual resolution of five specially serviced assets and one asset that S&P determined to be credit-impaired. In addition, current and potential interest shortfalls, primarily due to appraisal subordinate entitlement reductions and special servicing fees, prompted us to lower its ratings on classes N and O to 'D'. S&P expects these interest shortfalls to continue for the foreseeable future. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, Standard & Poor's calculated an adjusted debt service coverage of 1.71x and a loan-to-value ratio of 78.1%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average DSC of 1.35x and an LTV ratio of 100.3%. The implied defaults and loss severity under the 'AAA' scenario were 33.5% and 37.3%, respectively. All of the adjusted DSC and LTV calculations excluded five ($62.5 million, 7.9%) specially serviced assets, one ($12.7 million, 1.6%) loan that S&P determined to be credit-impaired, and six ($123.6 million, 15.5%) defeased loans. S&P separately estimated losses for the six specially serviced and credit-impaired assets, which S&P included in S&P's 'AAA' scenario implied default and loss figures. The affirmations of the ratings on the principal and interest certificates reflect subordination levels that are consistent with the outstanding ratings. S&P affirmed its ratings on the class X- 1 and X-2 interest-only certificates based on its current criteria. Credit Considerations As of the June 2010 remittance report, five assets ($62.5 million, 7.9%), including the sixth- and eighth-largest exposures in the pool, were with the special servicer, Midland Loan Services Inc. Each of these assets is more than 90 days delinquent. Appraisal reduction amounts totaling $10.0 million are in effect for the four largest assets. The Providence Biltmore Hotel, the sixth-largest exposure in the pool, is the largest asset with the special servicer and has a total exposure of $23.6 million (3.0%), which consists of $22.4 million of unpaid principal balance and $1.2 million of advancing and interest thereon. The loan is secured by a 290-room full-service hotel in Providence, R.I. The loan was transferred to Midland on Feb. 9, 2009, due to payment default. According to the special servicer, a loan modification has been executed, which entails an additional capital contribution by the borrower along with an interest deferment. While Midland expects this loan to be returned to the master servicer in the near future, Standard & Poor's anticipates a moderate loss upon the eventual resolution of this asset. As of the nine months ended Sept. 30, 2009, the property had a reported DSC of 0.55x with 56.3% occupancy. The Turnbury Park Apartments loan, the eighth-largest exposure in the pool, has a total exposure of $15.9 million, which consists of $15.5 million of unpaid principal balance and $0.4 million of advancing and interest thereon. The loan is secured by 161-unit multifamily complex in Canton, Mich. The loan was transferred to Midland on July 10, 2009, due to imminent default. The borrower has reported that local economic conditions have negatively affected rent amounts and occupancy levels, and expects these conditions to continue for the foreseeable future. As of Dec. 31, 2009, the property was 86.3% occupied. Standard & Poor's anticipates a significant loss upon the resolution of this asset. The Silverado Shopping Center loan has a total exposure of $13.9 million (1.7%), which consists of $13.5 million of unpaid principal balance and $0.4 million of advancing and interest thereon. The loan is secured by a 93,700-sq.-ft. anchored retail center in Las Vegas. The loan was transferred to Midland on Feb. 25, 2010, due to imminent default. According to the special servicer, high vacancy is negatively affecting cash flow at the property. As of the 12 months ended July 31, 2009, DSC for the property was 0.83x. As of March 31, 2010, the property was 55.0% occupied. Standard & Poor's anticipates a moderate loss upon the eventual resolution of this asset. The two remaining specially serviced loans ($11.0 million, 1.4%) have balances of $7.6 million and $3.4 million, respectively, or 1.0% and 0.4% of the total pool balance. S&P estimate moderate losses for these assets upon their eventual resolution. In addition to the specially serviced assets, S&P determined one loan ($12.7 million, 1.6%) to be credit impaired. The Lakeside Office Building loan is secured by a 152,600-sq.-ft. office complex in Phoenix. The loan had previously been with the special servicer due to payment default. It was transferred back to the master servicer this month following a loan modification. This modification provided for a two-year extension of the loan's maturity date, with an interest rate reduction and an interest- only rate structure. According to the special servicer, the property has experienced cash flow difficulties due to low occupancy. As of April 15, 2010, the property was 49.0% occupied. As a result, S&P view this loan to be at an increased risk of default and loss. Three loans ($12.0 million, 1.0%) that were previously with the special servicer have been returned to the master servicer. According to the transaction documents, the special servicer is entitled to a workout fee equal to 1.0% of all future principal and interest payments on the corrected loans, provided the loans continue to perform and remain with the master servicer. Transaction Summary As of the June 2010 remittance report, the aggregate trust balance was $795.9 million, which represents 85.2% of the aggregate pooled trust balance at issuance. There are 65 assets in the pool, down from 74 at issuance. The master servicer for the transaction is Berkadia Commercial Mortgage LLC. The master servicer provided financial information for 93.7% of the loans in the pool, and 100.0% of the servicer-provided information was full-year 2008, interim 2009, or full-year 2009 data. S&P calculated a weighted average DSC of 1.63x for the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.71x and 78.1%, respectively, which exclude five ($62.5 million, 7.9%) specially serviced assets, one ($12.7 million, 1.6%) loan that S&P determined to be credit-impaired, and six ($123.6 million, 15.5%) defeased loans. S&P separately estimated losses for the five specially serviced assets and one credit-impaired asset, five of which had reported financial data. Based on this information, these five assets had a weighted average DSC of 0.59x. If S&P were to include these loans in S&P's calculation, its adjusted DSC would be 1.61x. To date, the trust has experienced principal losses totaling $4.6 million relating to three assets. Eleven loans ($133.1 million, 16.7%), including the third- and ninth- largest real estate exposures in the pool, are on the master servicer's watchlist. Twelve loans ($168.6 million, 21.2%) have a reported DSC of less than 1.10x, and 10 of these loans ($158.5 million, 19.9%) have a reported DSC of less than 1.0x. Summary Of Top 10 Loans The top 10 real estate exposures have an aggregate outstanding balance of $406.5 million (51.1%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.75x for the top 10 exposures. S&P's adjusted DSC and LTV for these loans were 1.81x and 78.0%, respectively. The sixth- and eight-largest exposures in the pool, which are with the special servicer, were excluded from S&P's calculations. The third- and ninth-largest real estate exposures appear on the master servicer's watchlist and are discussed below. The Parmatown Shopping Center loan ($64.0 million, 8.0%), the third-largest exposure in the pool, is secured by an 861,207-sq.- ft. regional mall in Parma, Ohio. The loan appears on the master servicer's watchlist due to low DSC. As of Dec. 31, 2009, the property had a reported DSC of 0.65x. The reported occupancy was 81.9% as of Feb. 16, 2010. The Shoppes at St. Lucie West loan ($15.3 million, 1.9%), the ninth-largest exposure in the pool, is secured by a 200,457-sq.- ft. anchored retail center in Port St. Lucie, Fla. The loan appears on the master servicer's watchlist due to low DSC. As of Dec. 31, 2009, the property had a reported DSC of 0.99x with 94.9% occupancy. Standard & Poor's stressed the loans in the pool according to its conduit/fusion criteria. The resultant credit enhancement levels are consistent with the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2004-C2 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- B AA AA+/Watch Neg 14.49 C A+ AA/Watch Neg 13.17 D BBB+ A/Watch Neg 10.83 E BBB- A-/Watch Neg 9.21 F BB BBB+/Watch Neg 7.90 G B+ BBB/Watch Neg 5.99 H B- BBB-/Watch Neg 4.23 J CCC BB+/Watch Neg 3.50 K CCC- BB/Watch Neg 2.76 L CCC- BB-/Watch Neg 2.18 M CCC- B+/Watch Neg 1.88 N D B/Watch Neg 1.44 O D B-/Watch Neg 1.00 Ratings Affirmed GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2004-C2 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1A AAA 17.72 A-2 AAA 17.72 A-3 AAA 17.72 A-4 AAA 17.72 X-1 AAA N/A X-2 AAA N/A N/A -- Not applicable. GREENWICH CAPITAL: Moody's Affirms Ratings on Eight 2005-GG5 Notes ------------------------------------------------------------------ Moody's Investors Service affirmed the ratings of eight classes and downgraded 15 classes of Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust, Series 2005-GG5. The downgrades are due to higher expected losses for the pool resulting from anticipated losses from specially serviced loans, increased credit quality dispersion, and concerns about refinancing risk for loans approaching maturity in an adverse environment. Sixteen loans, representing 12% of the pool, mature within the next 24 months and have a Moody's stressed debt service coverage ratio (DSCR) less than 1.00X. The pool has experienced higher dispersion with 23% of the pool having a LTV over 120% compared to 13% at last review and 3% at securitization. The affirmations are due to key rating parameters, including Moody's loan to value ratio, Moody's stressed DSCR and the Herfindahl Index, remaining within acceptable ranges. On March 25, 2010 Moody's placed 15 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 June 11, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 3% to $4.16 billion from $4.29 billion at securitization. The Certificates are collateralized by 171 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 42% of the pool. The pool includes two loans with investment grade underlying ratings, representing 3% of the pool. Four loans, representing 1% of the pool, have defeased and are collateralized by U.S. Government securities. Sixty-three 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 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. Two loans have been liquidated from the pool, resulting in an aggregate $5.9 million realized loss (41% loss severity on average). Twenty nine loans, representing 22% of the pool, are currently in special servicing. The largest specially serviced loan is the Lynnhaven Mall Loan ($232.0 million -- 5.6% of the pool), which is secured by the borrower's interest in a 1.3 million square foot regional mall located in Virginia Beach, Virginia. The mall is anchored by JC Penney, Macy's and Dillard's. The loan sponsor is General Growth Properties. The loan was transferred to special servicing in April 2009 due to GGP's bankruptcy's filing but is expected to be returned to master servicer after the reorganization plan is completed. The loan's maturity has been extended to January 4, 2017. Performance has declined slightly since securitization but has been partially offset by 7% amortization. Moody's does not expect a loss from this loan. Moody's current LTV and stressed DSCR are 98% and 0.89X, respectively, compared to 96% and 0.9X at last review. Of the remaining 28 specially serviced loans, 15 loans are either 90+ days delinquent, real estate owned or in the process of foreclosure. The servicer has recognized an aggregate $140.4 million appraisal reduction for sixteen of the specially serviced loans. Moody's estimates an aggregate $195.4 million loss for 27 of the specially serviced loans (32% expected loss on average). In addition to recognizing losses from specially serviced loans, Moody's has assumed a high default probability on nine loans, representing 3% of the pool, due to refinancing risk or performance issue. Moody's estimates a $28.5 million aggregate expected loss for these troubled loans (24% expected loss on average based on 40% loss severity and 59% probability of default). Moody's rating action recognizes potential uncertainty around the timing and magnitude of loss from these troubled loans. Moody's was provided with full-year 2008 and partial or full-year 2009 operating results for 99% and 52% of the pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV ratio is 106% compared to 103% at Moody's prior review. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCR are 1.35X and 0.94X, respectively, compared to 1.38X and 0.97X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple-notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 37, essentially the same as at last review. The largest loan with an underlying rating is the San Francisco Centre Loan ($60.0 million -- 1.4%), which represents a 50% pari passu interest in a $120.0 million first mortgage loan. The loan is secured by the borrower's leasehold interest in a 498,100 square foot retail center located in the Union Square retail area of San Francisco, California. The tenancy consists of a mix of established and trend-setting boutiques, traditional high-end mall retailers and a flagship Nordstrom and Bloomingdale, which are not part of the collateral. The center was 99% leased as of December 2009, essentially the same as at last review and securitization. Performance has been stable. The loan sponsors are the Westfield Group and Forest City. Moody's current underlying rating and stressed DSCR are Baa2 and 1.24X, respectively, the same as at last review. The second largest loan with an underlying rating is the Imperial Valley Loan ($55.4 million -- 1.3%), which is secured by the borrower's interest in an 765,000 square foot regional mall located in El Centro, California. The center is anchored by Sears, Dillard's, JC Penney and Macy's. As of March 2010, the center was 98% leased, essentially the same as at last review. Performance has been stable. Moody's current underlying rating and stressed DSCR are Baa3 and 1.30X, respectively, compared to Baa3 and 1.25X at last review. The top three conduit loans represent 20% of the pool. The largest conduit loan is the 731 Lexington Avenue Loan ($320.0 million -- 7.7%), which is secured by a 148,000 square foot multi-level retail condominium located on Lexington Avenue between East 58th and East 59th Street in New York City. The property is 100% leased, the same as last review. Major tenants include Home Depot, which occupies 53% of the premises through January 2025, H&M and the Container Store. The office component serves as the headquarters for Bloomberg LP. Performance has been stable. Moody's LTV and stressed DSCR are 99% and 0.85X, respectively, compared to 96% and 0.87X at last review. The second largest conduit loan is the Schron Industrial Portfolio Loan ($317.5 million -- 7.6%), which is secured by 36 industrial/flex facilities totaling 6.2 million square feet of space located in 14 states. The largest state concentration is Pennsylvania (19%). The largest tenant exposure is Maytag Appliances, which leases 15% of the portfolio. Performance has slightly declined since last review. Moody's LTV and stressed DSCR are 129% and 0.75X, respectively, compared to 122% and 0.80X at last review. The third largest conduit loan is the Maryland Multifamily Portfolio Loan ($200.0 million -- 4.8%), which represents a 59% pari passu interest in a $340.0 million first mortgage loan. The loan is secured by nine multifamily properties located mostly in suburban Baltimore, Maryland. The portfolio was 93% leased as of September 2009 compared to 90% at last review. Performance has been stable. Moody's LTV and stressed DSCR are 119% and 0.80X, respectively, compared to 117% and 0.81X at last review. Moody's rating action is: -- Class A-2, $892,191,152, affirmed at Aaa; previously assigned at Aaa on 1/17/2006 -- Class A-3 $65,000,000, affirmed at Aaa; previously assigned at Aaa on 1/17/2006 -- Class A-4-1, $307,000,000, affirmed at Aaa; previously assigned at Aaa on 1/17/2006 -- Class A-4-2, $50,000,000, affirmed at Aaa; previously assigned at Aaa on 1/17/2006 -- Class A-AB, $139,000,000, affirmed at Aaa; previously assigned at Aaa on 1/17/2006 -- Class A-5, $1,427,604,000, affirmed at Aaa; previously assigned at Aaa on 1/17/2006 -- Class XP, Notional, affirmed at Aaa; previously assigned at Aaa on 1/17/2006 -- Class XC, Notional, affirmed at Aaa; previously assigned at Aaa on 1/17/2006 -- Class A-M, $429,515,000, downgraded to Aa2 from Aaa; previously placed on review for possible downgrade on 3/25/2010 -- Class A-J, $300,660,000, downgraded to A3 from Aaa; previously placed on review for possible downgrade on 3/25/2010 -- Class B, $96,641,000, downgraded to Baa2 from Aa2; previously placed on review for possible downgrade on 3/25/2010 -- Class C, $37,583,000, downgraded to Ba1 from Aa3; previously placed on review for possible downgrade on 3/25/2010 -- Class D, $80,534,000, downgraded to B2 from A2; previously placed on review for possible downgrade on 3/25/2010 -- Class E, $37,582,000, downgraded to B3 from A3; previously placed on review for possible downgrade on 3/25/2010 -- Class F, $53,690,000, downgraded to Caa2 from Baa1; previously placed on review for possible downgrade on 3/25/2010 -- Class G, $42,951,000, downgraded to Ca from Baa2; previously placed on review for possible downgrade on 3/25/2010 -- Class H, $48,321,000, downgraded to C from Baa3; previously placed on review for possible downgrade on 3/25/2010 -- Class J, $21,476,000, downgraded to C from Ba1; previously placed on review for possible downgrade on 3/25/2010 -- Class K, $21,475,000, downgraded to C from Ba2; previously placed on review for possible downgrade on 3/25/2010 -- Class L, $21,476,000, downgraded to C from Ba3; previously placed on review for possible downgrade on 3/25/2010 -- Class M, $5,369,000, downgraded to C from B1; previously placed on review for possible downgrade on 3/25/2010 -- Class N, $16,107,000, downgraded to C from B2; previously placed on review for possible downgrade on 3/25/2010 -- Class O, $10,738,000, downgraded to C from B3; previously placed on review for possible downgrade on 3/25/2010 GS MORTGAGE: Moody's Affirms Ratings on Ten 2005-ROCK Securities ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of ten pooled classes of GS Mortgage Securities Corporation II, Trust Pass- Through Securities, Series 2005-ROCK due to the stable performance of the real estate collateral. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. The $1,685.0 million Rockefeller Center loan is secured by a $1.210.0 million first lien mortgage on the borrower's fee and leasehold interests in the property; the additional $475.0 million in debt is secured by a pledge of 100% of the equity interest in the borrower held by RCPI Mezz, LLC. The sponsor of the loan is Tishman Speyer Crown Equities. The fixed-rate interest-only loan has a 20-year term maturing in May 2025. Rockefeller Center is a 12-builiding office, retail and entertainment complex, located in midtown Manhattan, New York City. The landmark development consists of 6.7 million square feet of net rentable area with approximately 5.5 million square feet of office space, 691,563 square feet of retail and storage space and Radio City Music Hall, containing 548,250 square feet with a seating capacity of 6,000. As of January 2010, the office space was 87% leased and the retail and storage space was 88% leased. Including Radio City Music Hall, Rockefeller Center was 93% leased, compared to 94% at securitization. The ten largest tenants occupy approximately 39% of total NRA and contribute approximately 31% of total rent. Large concentrations of office space expiring with the next five years include Lazard Frerer & Co., the second largest tenant after Radio City Music Hall, leasing 376,250 square feet with lease expirations in May 2012 and March 2013. Three office tenants, leasing a total of 694,813 square feet, have lease expirations in 2014. These include Chadbourne & Parke (302,263 square feet), Simon & Schuster (292,391 square feet) and Baker & Botts, LLP (100,159 square feet). Significant retail tenants include Banana Republic (47,725 square feet, lease expiration in 2016), Facconable USA (21,600 square feet, lease expiration in 2018) and Kenneth Cole (17,362 square feet, lease expiration in 2015). Moody's loan to value ratio is 78%, compared to 79% at last review. Moody's stressed debt service coverage ratio is 1.18X, compared to 1.16X at last review. Moody's rating action is: -- Class A, $437,316,000, affirmed at Aaa; previously on June 1, 2005 assigned Aaa -- Class A-FL, $725,000,000, affirmed at Aaa; previously on June 1, 2005 assigned Aaa -- Class X-1, Notional, affirmed at Aaa; previously on June 1, 2005 assigned Aaa -- Class B, $474,684,000, affirmed at Aa1; previously on June 1, 2005 assigned Aa1 -- Class C1, $57,723,000, affirmed at A1; previously on March 4, 2009 downgraded to A1 from Aa3 -- Class E, $65,561,000, affirmed at A3; previously on March 4, 2009 downgraded to A3 from A2 -- Class F, $65,560,000, affirmed at Baa1; previously on March 4, 2009 downgraded to Baa1 from A3 -- Class G, $76,595,000, affirmed at Baa2; previously on March 4, 2009 downgraded to Baa2 from Baa1 -- Class H, $43,651,000, affirmed at Baa3; previously on March 4, 2009 downgraded to Baa3 from Baa2 -- Class J, $56,864,000, affirmed at Ba1; previously on March 4, 2009 downgraded to Ba1 from Baa3 GS MORTGAGE: Moody's Downgrades Ratings on 12 2006-CC1 Notes ------------------------------------------------------------ Moody's Investors Service downgraded twelve classes of Notes issued by GS Mortgage Securities Corporation II, Series 2006-CC1 due to deterioration in the credit quality of the underlying portfolio as measured by deterioration in the weighted average rating factor. The rating action, which concludes Moody's current review, is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. GS Mortgage Securities Corporation II, Series 2006-CC1 is a static Re-Remic CRE CDO transaction backed by a portfolio of commercial mortgage backed securities collateral. As of May 21, 2010, the aggregate Notes balance of the transaction, including the Income Notes, has decreased to $393.2 million from $406.2 million at issuance, due to approximately $13.0 million in pay-downs to the Class A Notes. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life, weighted average recovery rate, and Moody's asset correlation. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's have completed updated credit estimates for the entire pool and the results will be reflected in a future Trustee Report. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 2,348 compared to 705 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (3.6% compared to 3.3% at last review), A1-A3 (5.8% compared to 2.5% at last review), Baa1- Baa3 (37.6% compared to 64.7% at last review), Ba1-Ba3 (22.1% compared to 27.6% at last review), B1-B3 (14.2% compared to 1.8% at last review), Caa1-C (16.8% compared to 0% at last review). WAL acts to adjust the probability of default of the collateral pool for time. Moody's modeled to the actual WAL of 5.1 years compared to 6.2 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled the actual WARR of 15.7% compared to 17.9% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 17.5% compared to 43.4% at last review. The lower MAC is due to the increase in ratings dispersion within the collateral pool. Moody's review incorporated, CDOROM v2.6, one of Moody's CDO rating models which was released on May 27, 2010. The cash flow model, CDOEdge v3.2, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. As always, Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating actions are: -- Class A, Downgraded to Ba3; previously on February 12, 2009 Downgraded to Baa1 -- Class B, Downgraded to C; previously on February 12, 2009 Downgraded to Ba3 -- Class C, Downgraded to C; previously on February 12, 2009 Downgraded to B1 -- Class D, Downgraded to C; previously on February 12, 2009 Downgraded to B2 -- Class E, Downgraded to C; previously on February 12, 2009 Downgraded to B2 -- Class F, Downgraded to C; previously on February 12, 2009 Downgraded to B3 -- Class G, Downgraded to C; previously on February 12, 2009 Downgraded to B3 -- Class H, Downgraded to C; previously on February 12, 2009 Downgraded to Caa1 -- Class J, Downgraded to C; previously on February 12, 2009 Downgraded to Caa2 -- Class K, Downgraded to C; previously on February 12, 2009 Downgraded to Caa3 -- Class L, Downgraded to C; previously on January 11, 2009 Downgraded to Caa3 -- Class M, Downgraded to C; previously on January 11, 2009 Downgraded to Caa3 Moody's monitors transactions on both a monthly basis through a review of the available Trustee Reports and a periodic basis through a full review. Moody's prior full review is summarized in a press release dated February 12, 2009. GS MORTGAGE: Moody's Downgrades Ratings on 17 2006-RR2 Notes ------------------------------------------------------------ Moody's Investors Service downgraded seventeen classes of Notes issued by GS Mortgage Securities Corporation II, Series 2006-RR2 due to deterioration in the credit quality of the underlying portfolio as measured by deterioration in the weighted average rating factor. Also, the magnitude of downgrade is partially attributable to the multiple thin tranches and low current credit enhancement levels of the deal. The rating action, which concludes Moody's current review, is the result of Moody's on- going surveillance of commercial real estate collateralized debt obligation transactions. GS Mortgage Securities Corporation II, Series 2006-RR2 is a static Re-Remic CRE CDO transaction backed by a portfolio of commercial mortgage backed securities collateral. As of May 25, 2010, the aggregate Notes balance of the transaction, including the Income Notes, has decreased to $760.1 million from $771.0 million at issuance, due to approximately $8.8 million in pay-downs to the Class A Notes as well as approximately $2.0 million of realized losses. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life, weighted average recovery rate, and Moody's asset correlation. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's have completed updated credit estimates for the entire pool and the results will be reflected in a future Trustee Report. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 2,499 compared to 1,145 at last review. Moody's rates 60.2% of the collateral and the rest is credit estimated. The distribution of current ratings and credit estimates is: Aaa-Aa3 (2.6% compared to 0.0% at last review), A1-A3 (0.9% compared to 5.5% at last review), Baa1-Baa3 (25.9% compared to 56.6% at last review), Ba1- Ba3 (30.5% compared to 17.5% at last review), B1-B3 (20.7% compared to 16.7% at last review), Caa1-C (19.4% compared to 3.7% at last review). WAL acts to adjust the probability of default of the collateral pool for time. Moody's modeled to the actual WAL of 5.5 years compared to 6.7 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled the actual WARR of 14.1% compared to 21.6% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 24.7% compared to 26.4% at last review. Moody's review incorporated CDOROM v2.6, one of Moody's CDO rating models, which was released on May 27, 2010. The cash flow model, CDOEdge v3.2, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. As always, Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating actions are: -- Class A-1, Downgraded to Ba2; previously on January 11, 2009 Downgraded to Aa2 -- Class A-2, Downgraded to Caa2; previously on January 11, 2009 Downgraded toA3 -- Class B, Downgraded to C; previously on March 9, 2009 Downgraded to Baa3 -- Class C, Downgraded to C; previously on March 9, 2009 Downgraded to Ba1 -- Class D, Downgraded to C; previously on March 9, 2009 Downgraded to Ba2 -- Class E, Downgraded to C; previously on March 9, 2009 Downgraded to Ba3 -- Class F, Downgraded to C; previously on March 9, 2009 Downgraded to Ba3 -- Class G, Downgraded to C; previously on March 9, 2009 Downgraded to B1 -- Class H, Downgraded to C; previously on March 9, 2009 Downgraded to B2 -- Class J, Downgraded to C; previously on March 9, 2009 Downgraded to B3 -- Class K, Downgraded to C; previously on March 9, 2009 Downgraded to Caa1 -- Class L, Downgraded to C; previously on March 9, 2009 Downgraded to Caa2 -- Class M, Downgraded to C; previously on January 11, 2009 Downgraded to Caa2 -- Class N, Downgraded to C; previously on January 11, 2009 Downgraded to Caa3 -- Class O, Downgraded to C; previously on March 9, 2009 Downgraded to Ca -- Class P, Downgraded to C; previously on January 11, 2009 Downgraded to Ca -- Class Q, Downgraded to C; previously on January 11, 2009 Downgraded to Ca GS MORTGAGE: S&P Downgrades Ratings on Nine 2006-RR2 Securities --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on nine classes from GS Mortgage Securities Corp. II's series 2006-RR2, a U.S. commercial mortgage-backed securities resecuritized real estate mortgage investment conduit transaction, and removed them from CreditWatch with negative implications. At the same time, S&P affirmed its 'CCC-' ratings on eight classes from the same transaction and removed them from CreditWatch negative. The downgrades and affirmations primarily reflect S&P's analysis of GSMS 2006-RR2 following the transaction's exposure to three underlying CMBS collateral that has experienced negative rating actions ($18.3 million, 2.4%). S&P also revised its credit estimates on $70.6 million (9.3%) of unrated CMBS collateral certificates. S&P lowered the majority of these credit estimates. S&P downgraded classes P and Q to 'D' from 'CCC-' due to accumulated interest shortfalls. S&P expects these classes will continue to experience interest shortfalls for the foreseeable future. S&P has determined that the liquidity interruptions to GSMS 2006- RR2 resulted from interest shortfalls on the underlying CMBS collateral. The interest shortfalls primarily reflect the master servicer's recovery of prior advances, appraisal subordinate entitlement reductions, servicers' nonrecoverability determinations for advances, and special servicing fees. If the liquidity interruptions to GSMS 2006-RR2 continue, S&P will evaluate the interruptions and may take further rating actions as S&P determine appropriate. According to the May 25, 2010, trustee report, GSMS 2006-RR2 was collateralized by 78 CMBS classes ($760.1 million, 100%) from 58 distinct transactions issued between 1996 and 2006. S&P's analysis of GSMS 2006-RR2 reflected exposure to these CMBS certificates that Standard & Poor's has downgraded: * JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2005-LDP1 (class F; $9.3 million, 1.2%); and * Credit Suisse Commercial Mortgage Trust Series 2006-C2 (class F; $6 million, 0.8%). Standard & Poor's analyzed GSMS 2006-RR2 Trust and its underlying collateral according to its current criteria. S&P's analysis is consistent with the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative GS Mortgage Securities Corp. II Commercial mortgage-backed securities pass-through certificates series 2006-RR2 Rating ------ Class To From ----- -- ---- A-1 BB+ BBB/Watch Neg A-2 B BB/Watch Neg B B- B+/Watch Neg C CCC+ B/Watch Neg D CCC B-/Watch Neg E CCC- CCC+/Watch Neg F CCC- CCC/Watch Neg P D CCC-/Watch Neg Q D CCC-/Watch Neg Ratings Affirmed And Removed From Creditwatch Negative GS Mortgage Securities Corp. II Commercial mortgage-backed securities pass-through certificates series 2006-RR2 Rating ------ Class To From ----- -- ---- G CCC- CCC-/Watch Neg H CCC- CCC-/Watch Neg J CCC- CCC-/Watch Neg K CCC- CCC-/Watch Neg L CCC- CCC-/Watch Neg M CCC- CCC-/Watch Neg N CCC- CCC-/Watch Neg O CCC- CCC-/Watch Neg GS MORTGAGE: S&P Downgrades Ratings on Six 2007-GKK1 Certificates ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on six classes of pass-through certificates from GS Mortgage Securities Trust 2007-GKK1, a resecuritized real estate mortgage investment conduit transaction. S&P removed all six ratings from CreditWatch negative. At the same time, S&P affirmed five other 'CCC-' ratings on the same transaction. The downgrades and affirmations reflect S&P's analysis of the transaction following liquidity interruption to GSMS 2007-GKK1 and its downgrades of commercial mortgage-backed securities collateral. As of the May 20, 2010, remittance report, classes C through M had accumulated interest shortfalls totaling $1.3 million. S&P has determined that the liquidity interruptions to GSMS 2007-GKK1 resulted from interest shortfalls on the underlying CMBS collateral. The interest shortfalls primarily reflect the master servicer's recovery of prior advances, appraisal subordinate entitlement reductions, servicers' nonrecoverability determinations for advances, and special servicing fees. If the liquidity interruptions to GSMS 2007-GKK1 continue, S&P will evaluate the interruptions and may take further rating actions as S&P determine to be appropriate. S&P previously lowered its rating on class L to 'D' due to the liquidity interruptions. The analysis of the transaction also considered the downgrades of six CMBS certificates that serve as underlying collateral for GSMS 2007-GKK1. The underlying certificates have a total balance of $37.9 million (6% of the pool balance) and are from six distinct CMBS transactions. S&P also analyzed its credit estimates on $92.3 million (14.6%) of unrated CMBS collateral. S&P lowered most of these credit estimates. According to the May 20, 2010, trustee report, 73 CMBS certificates ($633.7 million, 100%) from 46 distinct transactions issued between 1998 and 2007 collateralize GSMS 2007-GKK1. Standard & Poor's analyzed GSMS 2007-GKK1 and its underlying collateral according to its current criteria.analysis is consistent with the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative GS Mortgage Securities Trust 2007-GKK1 Commercial mortgage-backed securities pass-through certificates Rating ------ Class To From ----- -- ---- A-1 BB BBB/Watch Neg A-2 CCC+ B+/Watch Neg B CCC- B-/Watch Neg C CCC- CCC+/Watch Neg D CCC- CCC/Watch Neg E CCC- CCC/Watch Neg Ratings Affirmed GS Mortgage Securities Trust 2007-GKK1 Commercial mortgage-backed securities pass-through certificates Class Rating ----- ------ F CCC- G CCC- H CCC- J CCC- K CCC- GSMSC PASS-THROUGH: Moody's Downgrades Rating to 2009-5R Certs. --------------------------------------------------------------- Moody's Investors Service has downgraded the rating of class Cl. 3A-1 issued by GSMSC Pass-Through Trust 2009-5R to A1 from Aaa, as the result of a revised loss expectation on the pool of mortgages backing the underlying certificate. The asset of the resecuritized transaction consists of the Class 4-A-2 certificates, issued by Banc of America Alternative Loan Trust 2005-9. The Underlying Certificate is backed primarily by first- lien, Alt-A residential mortgage loans. The ratings on the certificates in the resecuritization are are based on: (i) The updated expected loss on the pool of loans backing the underlying certificate and the updated rating on the underlying certificate. Moody's current loss expectations on the pool backing the Banc of America Alternative Loan Trust 2005-9 is 15.16% expressed as a percentage of outstanding pool balance. The current rating on the 4-A-2 bond is Caa2. (ii) The available credit enhancement on the underlying securities, and (iii) The structure of the resecuritization transaction. The resecuritization transaction group issued two bonds, 3A1 (senior class) and 3A2 (subordinate class). Moody's first updated its loss assumptions on the underlying pool of mortgage loans (backing the underlying certificate) and then arrived at an updated rating on the underlying certificate. The rating on the underlying certificate is based on expected recoveries on the bond under ninety-six different combinations of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. In order to determine the rating of the resecuritized bond, the loss on the underlying certificate was ascribed to the resecuritized classes, 3A1 and 3A2, according to the structure of the resecuritized transaction. The losses on the resecuritized certificates is allocated "bottom up" with Class 3A2 taking losses ahead of Class 3A1. Principal payments to the certificate are allocated sequentially, with Class 3A1 being paid ahead of Class 3A2. Issuer: GSMSC Pass-Through Trust 2009-5R -- Cl. 3A-1, Downgraded to A1; previously on Jul 31, 2009 Assigned Aaa GSR MORTGAGE: Moody's Downgrades Rating on 2006-1F Tranches ----------------------------------------------------------- Moody's Investors Service has downgraded the rating of a single tranche issued by GSR Mortgage Loan Trust 2006-1F. The collateral backing this transaction consists primarily of first-lien, fixed-rate, residential mortgage loans. The action is a result of the deteriorating performance of underlying pools in conjunction with macroeconomic conditions that remain under duress. The action reflects Moody's updated loss expectations on Alt-A pools issued from 2005 to 2007. To assess the rating implications of the updated loss levels on Alt-A RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. Complete rating actions are: Issuer: GSR Mortgage Loan Trust 2006-1F -- Cl. 2A-7, Downgraded to Caa1; previously on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade HALCYON 2005-1: Fitch Cuts Rating on EUR51,875,000 Notes to B/LS3 ----------------------------------------------------------------- Fitch Ratings has downgraded and removed from Rating Watch Negative three classes issued by Halcyon 2005-1, Ltd., as a result of negative credit migration of the commercial mortgage-backed securities in the reference portfolio. 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 reference portfolio. The degree of correlated default risk of the reference collateral is high given the single sector and vintage concentration. Based on this analysis and given the scant credit enhancement available to classes A through C, the credit characteristics of the bonds are consistent with the 'B' category. Since Fitch's last rating action in February 2009, approximately 36.7% of the portfolio has been downgraded. Approximately 96.7% of assets are rated investment grade with the lowest rated asset in the portfolio carrying a Fitch derived rating of 'B'. The Negative Rating Outlook on the notes reflects Fitch's expectation that underlying CMBS loans will continue to face refinance risk and maturity defaults. Fitch also assigned Loss Severity ratings to the notes. The LS ratings indicate each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the expected loss for the collateral under the 'B' stress. The LS rating should always be considered in conjunction with probability of default indicated by a class' long-term credit rating. Halcyon 2005-1 is a static synthetic collateralized debt obligation and closed on July 25, 2005. The note proceeds collateralize a credit default swap that references a $1.5 billion portfolio of 30 CMBS assets with DEPFA Bank plc, the swap counterparty. DEPFA buys protection from the issuer on US$96 million of realized losses in the portfolio; the U.S. dollar losses are converted into Euros at a fixed exchange rate of US$1.20 to EUR1 to the extent such losses are applied to the euro- denominated class A and class B notes. The issuer has entered into an investment contract with Pallas Capital Corp. ('AAA/F1+') to mitigate the collateral market value risk associated with the U.S. denominated collateral. Currently, the proceeds of the euro notes are invested in short- term money market investments rated 'F1+' by Fitch. Fitch has downgraded and assigned LS ratings and Outlooks for these classes: -- EUR51,875,000 class A notes downgraded to 'B/LS3' from 'BBB+'; Outlook Negative; -- EUR15,000,000 class B notes downgraded to 'B/LS5' from 'BBB'; Outlook Negative; -- $15,750,000 class C notes downgraded to 'B/LS5' from 'BBB-'; Outlook Negative. In addition, all classes have been removed from Rating Watch Negative. HALCYON 2005-2: Fitch Cuts Rating on Class A Secs. to B/LS3 ----------------------------------------------------------- Fitch Ratings has downgraded and removed from Rating Watch Negative three classes issued by Halcyon 2005-2, Ltd., as a result of negative credit migration of the commercial mortgage-backed securities in the reference portfolio. 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 reference portfolio. The degree of correlated default risk of the reference collateral is high given the single sector and vintage concentration. Fitch also analyzed the structure's sensitivity to potential downgrades to the higher rated collateral in the reference portfolio. Based on this analysis and given the scant credit enhancement available to classes A through C, the credit characteristics of the bonds are consistent with the 'B' category. Since Fitch's last rating action in February 2009, approximately 80% of the portfolio has been downgraded. Approximately 96.7% of assets are rated investment grade with the lowest rated asset in the portfolio carrying a Fitch derived rating of 'BB'. The Negative Rating Outlook on the notes reflects Fitch's expectation that underlying CMBS loans will continue to face refinance risk and maturity defaults. Fitch also assigned Loss Severity ratings to the notes. The LS ratings indicate each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the expected loss for the collateral under the 'B' stress. The LS rating should always be considered in conjunction with probability of default indicated by a class' long-term credit rating. Halcyon 2005-2 is a synthetic collateralized debt obligation and closed on Oct. 7, 2005. The note proceeds collateralize a credit default swap that references a $1.5 billion portfolio of 30 CMBS assets with DEPFA Bank plc., the swap counterparty. DEPFA buys protection from the issuer on US$96 million of realized losses in the portfolio; the U.S. dollar losses are converted into Euros at a fixed exchange rate of US$1.25 to EUR1 to the extent such losses are applied to the euro-denominated class A and class B notes. DEPFA has also entered into a credit support annex to provide additional collateral to mitigate market value risk of liquidation due to an early redemption of the notes in an event of default by the swap counterparty. Currently, the proceeds of the notes are invested in U.S. dollar and Euro denominated, short-term eligible securities rated 'F1+'. Fitch has downgraded, assigned Loss Severity ratings, and Outlooks for these classes: -- EUR38,400,000 Class A to 'B/LS3' from 'BBB+'; Outlook Negative; -- EUR25,800,000 Class B to 'B/'LS3' from 'BBB'; Outlook Negative; -- US$15,750,000 Class C Notes to 'B/LS3' from 'BBB-'; Outlook Negative. In addition, all classes have been removed from Rating Watch Negative. HALCYON 2005-2: Fitch Cuts Rating on EUR38,400,000 Notes to B/LS3 ----------------------------------------------------------------- Fitch Ratings has downgraded and removed from Rating Watch Negative three classes issued by Halcyon 2005-2, Ltd., as a result of negative credit migration of the commercial mortgage-backed securities in the reference portfolio. 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 reference portfolio. The degree of correlated default risk of the reference collateral is high given the single sector and vintage concentration. Fitch also analyzed the structure's sensitivity to potential downgrades to the higher rated collateral in the reference portfolio. Based on this analysis and given the scant credit enhancement available to classes A through C, the credit characteristics of the bonds are consistent with the 'B' category. Since Fitch's last rating action in February 2009, approximately 80% of the portfolio has been downgraded. Approximately 96.7% of assets are rated investment grade with the lowest rated asset in the portfolio carrying a Fitch derived rating of 'BB'. The Negative Rating Outlook on the notes reflects Fitch's expectation that underlying CMBS loans will continue to face refinance risk and maturity defaults. Fitch also assigned Loss Severity ratings to the notes. The LS ratings indicate each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the expected loss for the collateral under the 'B' stress. The LS rating should always be considered in conjunction with probability of default indicated by a class' long-term credit rating. Halcyon 2005-2 is a synthetic collateralized debt obligation and closed on Oct. 7, 2005. The note proceeds collateralize a credit default swap that references a $1.5 billion portfolio of 30 CMBS assets with DEPFA Bank plc., the swap counterparty. DEPFA buys protection from the issuer on US$96 million of realized losses in the portfolio; the U.S. dollar losses are converted into Euros at a fixed exchange rate of US$1.25 to EUR1 to the extent such losses are applied to the euro-denominated class A and class B notes. DEPFA has also entered into a credit support annex to provide additional collateral to mitigate market value risk of liquidation due to an early redemption of the notes in an event of default by the swap counterparty. Currently, the proceeds of the notes are invested in U.S. dollar and Euro denominated, short-term eligible securities rated 'F1+'. Fitch has downgraded, assigned Loss Severity ratings, and Outlooks for these classes: -- EUR38,400,000 Class A to 'B/LS3' from 'BBB+'; Outlook Negative; -- EUR25,800,000 Class B to 'B/'LS3' from 'BBB'; Outlook Negative; -- US$15,750,000 Class C Notes to 'B/LS3' from 'BBB-'; Outlook Negative. In addition, all classes have been removed from Rating Watch Negative. HIGH GRADE: 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 High Grade Structured Credit CDO 2005-1 Limited. The notes affected by the rating action are: -- US$674,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2040 (current balance of $495,470,948), Downgraded to Ca; previously on February 4, 2009 Downgraded to Ba3; -- US$50,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2040, Downgraded to C; previously on February 4, 2009 Downgraded to Caa1. High Grade Structured Credit CDO 2005-1 Limited is a collateralized debt obligation issuance backed by a portfolio of asset-backed securities originated between 2002 and 2008. According to Moody's, the rating downgrade actions are the result of deterioration in the credit quality of the underlying portfolio. Such credit deterioration is observed through numerous factors, including a decline in the average credit rating of the portfolio (as measured by an increase in the weighted average rating factor), an increase in the dollar amount of defaulted securities, and failure of the coverage tests. The weighted average rating factor, as reported by the trustee, has increased from 469 in February 2009 to 1369 in May 2010. The defaulted securities, as reported by the trustee, have also increased from $54 million to $174 million in that period. Additionally, approximately $245 million of RMBS within the underlying portfolio are currently on review for possible downgrade as a result of Moody's updated loss projections. 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 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. 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. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. HOUSE OF EUROPE: Moody's Downgrades Rating on Class A Notes ----------------------------------------------------------- Moody's Investors Service announced that it has downgraded the rating of one class of notes issued by House of Europe III PLC. The notes affected by the rating action are these: -- EUR870,000,000 Class A House of Europe Funding III Floating Rate Notes due 2090 (current balance of EUR629,370,732), Downgraded to B2; previously on March 12, 2009 Downgraded to B1 TIAA Structured Finance CDO II, Limited is a collateralized debt obligation issuance backed primarily by a portfolio of Residential Mortgage-Backed Securities and Commercial Mortgage-Backed Securities of which the majority is from 2005-2007 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 portfolio's performing par and a failure of principal and interest coverage tests. The trustee reports that the performing par collateral has decreased from EUR770 in March 2009 to EUR593 in May 2010 of which only a portion is attributed to the amortization to the Class A notes. In addition, the trustee reports that all Overcollateralization and Interest Ratio Tests are currently failing. Moody's continues to monitor this transaction using primarily the methodology and its supplements for ABS CDOs as described in Moody's Special Report below: -- Moody's Approach to Rating SF CDOs (August 2009) In deriving its ratings, Moody's uses the collateral instrument's current rating-based expected loss, Moody's recovery rate table, and the original rating of the instrument along with its average life to infer an unadjusted default probability. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, and specific documentation features. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. ILLINOIS EDUCATIONAL: S&P Corrects Rating on 2000A Bonds to 'BB+' ----------------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on Illinois Educational Facilities Authority's series 2000A revenue bonds (Adventist Health System/Sunbelt Obligated Group, Fla.) by lowering it to 'BB+' from 'AA'. The outlook is negative. The bonds are guaranteed by a bond insurance policy from MBIA Insurance Corp. (BB+/Negative). On Feb. 18, 2009, S&P lowered the rating on MBIA to 'BBB+' from 'AA', but due to an error did not contemporaneously lower the rating on the series 2000A bonds. S&P subsequently lowered MBIA's rating to 'BBB' on June 5, 2009, and again to 'BB+' on Sept. 28, 2009. JPMORGAN CHASE: Moody's Reviews Ratings on Subordinate Tranches --------------------------------------------------------------- Moody's Investors Service has placed on review for possible upgrade the subordinate tranches from two auto loan securitizations sponsored by JPMorgan Chase Bank during 2006 and 2007. Credit enhancement relative to remaining losses has built up as a significant portion of the expected lifetime losses have already been incurred, and the subordinate tranches have paid off concurrently with the senior tranches, while a maintaining target level of enhancement. Moody's current lifetime CNL projections for the 2006-A and 2007-A transactions range between 3.25% to 3.50% and 1.15% to 1.25% of the original pool balance respectively. These are up from the original ranges (at the time of closing) of 1.50% to 2.0% for the 2006 transaction, and 0.50% to 1.00% for the 2007 transaction. During its review period, Moody's will continue to refine its assessment of the pool performance relative to the available credit enhancement levels. Total hard credit enhancement (excluding available excess spread) for Class B and Class C tranches ranges from approximately 8% to 9% and 6 % to 7% of the outstanding collateral pool balances respectively. Hard credit enhancement for the Certificates from 2007-A tranche is approximately 4%. In addition, the transactions benefit from excess spread which is approximately 2-3% per annum. A unique feature in these transactions is that the servicing fee, as long as JPMorgan Chase Bank, N.A., is the servicer, is subordinated to principal and interest payments in the transaction's cash flow waterfall. Typically servicing fee in other auto ABS transactions is paid before principal and interest and reserve account payments, if any. The excess spread within the transaction is therefore enhanced by the subordination of the servicing fee. Yet, if JPMorgan Chase Bank, N.A., is replaced as primary servicer, the 0.62% servicing fee will move to the top of the payment priority list. A transfer of servicing is normally caused by a servicer default. Moody's views the risk of default by JPMorgan Chase Bank, N.A., which has a senior unsecured debt rating is Aa1 (negative outlook), during the expected term of the transaction to be low. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current macroeconomic environment, in which unemployment continues to rise, and weakness in the used vehicle market. Moody's currently views the used vehicle market as stronger now than it was a year ago, when the uncertainty relating to the economy as well as the future of the U.S auto manufacturers was significantly greater. Overall, Moody's central global scenario remains "Hook-shaped" for 2010 and 2011; Moody's expect overall a sluggish recovery in most of the world largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Complete rating actions are: Issuer: JPMorgan Auto Receivables Trust 2006-A -- Cl. B, Aa3 Placed Under Review for Possible Upgrade; previously on July 17, 2009 confirmed at Aa3 -- Cl. C, Baa3 Placed Under Review for Possible Upgrade; previously on April July 17, 2009 confirmed at Baa3 Issuer: JPMorgan Auto Receivables Trust 2007-A -- Cl. B, Aa3 Placed Under Review for Possible Upgrade; previously on February 16, 2007 Definitive Rating Assigned Aa3 -- Cl. C, Baa1 Placed Under Review for Possible Upgrade; previously on February 16, 2007 Definitive Rating Assigned Baa1 -- Cl. Certificate, Ba2 Placed Under Review for Possible Upgrade; previously on February 16, 2007 Definitive Rating Assigned Ba2 JPMORGAN CHASE: S&P Downgrades Rating on 2003-CIBC7 Certificates ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class P commercial mortgage pass-through certificates from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2003-CIBC7, a U.S. commercial mortgage-backed securities transaction, to 'D' from 'CCC-'. The downgrade follows principal losses sustained by the class, which were detailed in the June 14, 2010, remittance report. The class P certificate experienced reported losses amounting to 27.5% of its opening certificate balance ($3.5 million). To date, the class NR certificate, which Standard & Poor's does not rate, has lost 100% of its $10.7 million opening balance. The principal losses resulted from the liquidation of two assets that were with the special servicer, Midland Loan Services Inc. The Rainier Office Portfolio asset is composed of four office properties totaling 479,717 sq. ft. in Texas and had a total exposure of $19.3 million. The asset was transferred to Midland on Oct. 23, 2008, due to payment default. The trust incurred an $8.9 million realized loss when the asset was liquidated on June 1, 2010. Based on the June 2010 remittance report data, the loss severity for this loan was 47%. The North Gratiot Crossing asset is a 52,310-sq.-ft. retail strip center property in Chesterfield Township, Mich., which had a total exposure of $5.2 million. The asset was transferred to Midland on Oct. 1, 2008, due to payment default. The trust incurred a $2.8 million realized loss when the asset was liquidated on May 11, 2010. Based on the June 2010 remittance report data, the loss severity for this loan was 61%. As of the June 10, 2010, remittance report, the collateral pool consisted of 162 assets with an aggregate trust balance of $958.3 million, down from 184 assets totaling $1.47 billion at issuance. Five assets, totaling $33.3 million (3.5%), are with the special servicer. To date, the trust has experienced losses on six loans totaling $21.3 million. Based on the June 2010 remittance report, the weighted average loss severity for these loans was approximately 53.2%. JPMORGAN CHASE: S&P Downgrades Ratings on Class P Certs. to 'D' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating to 'D' from 'CCC-' on the class P commercial mortgage pass-through certificates from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2004-CIBC9, a U.S. commercial mortgage-backed securities transaction. The downgrade of the class P certificate follows a $144,990 principal loss sustained by the class, which was detailed in the May 12, 2010, remittance report. To date, the class P certificate has experienced reported losses amounting to $226,016 (8.2%) of its original certificate balance ($2.755 million). The class NR certificate, which Standard & Poor's does not rate, has lost 100% of its $13.8 million opening balance to date. The principal losses reported in the May 2010 remittance report totaling $8.1 million resulted from the liquidation of two assets that were with the special servicer, C-III Asset Management LLC (C-III). The Portage Commerce Park Portfolio comprised two industrial properties totaling 119,211 sq. ft. in Portage, Mi., and had a total exposure prior to liquidation of $7.6 million. The asset was transferred to C-III on April 3, 2006, due to payment default. The trust incurred a $6.3 million realized loss when the asset was liquidated on April 19, 2010. Based on the May 2010 remittance report data, the principal balance at the time of liquidation was $5.5 million. The LL Bean Outlet Center asset consisted of a 61,745-sq.-ft. retail property in North Conway, N.H., and had a total exposure of $5.3 million prior to liquidation. The asset was transferred to C-III on May 6, 2009, due to payment default. The trust incurred a $2.5 million realized loss when the asset was liquidated on April 19, 2010. Based on the June 2010 remittance report data, the loss severity for this loan was 58%. As of the June 14, 2010, remittance report, the collateral pool consisted of 91 assets with an aggregate trust balance of $988.1 million, down from 98 assets totaling $1.10 billion at issuance. Seven assets, totaling $89.6 million (9.1%), are with the special servicer. To date, the trust has experienced losses on three loans totaling $14.7 million. Based on the June 14, 2010, remittance report, the weighted average loss severity for these loans was approximately 84.8%. LAKE OF THE OZARKS: Fitch Affirms 'BB+' Rating on $39 Mil. Bonds ---------------------------------------------------------------- Fitch Ratings has affirmed the $39 million outstanding Lake of the Ozarks Community Bridge Corporation's bridge system refunding revenue bonds, series 1998 at 'BB+'. The Rating Outlook remains Negative. The bonds mature in December 2026 and are secured by the net revenues of a toll bridge over the Lake of the Ozarks in central Missouri. The 'BB+' rating reflects ratemaking flexibility due to a captive service area and time savings of up to one hour compared with alternative routes. Outstanding liquidity provides near-term financial flexibility and current assets are approximately $11 million. Scheduled debt service is level at $3.6 million annually through maturity. The bridge company anticipates no additional borrowing and has minimal future capital expenditure requirements. The rating also reflects management's reluctance to raise tolls even as pledged revenues are currently insufficient to pay scheduled principal and interest. The bridge company has entered a cash burn that will persist until either traffic begins growing or management raises tolls, the latter of which Fitch views as unlikely in the near term. The Negative Outlook reflects uncertainty as to the future direction of traffic growth heading into the prime summer vacation months. Traffic is highly seasonal, with May-August typically generating half of annual toll revenue. If traffic remains depressed and there is no plan for toll increases, further rating action is likely. Camden County, Missouri, which contains a large part of the bridge service area, contains more than 70,000 vacation homes. The preponderance of second homes and partial-year residents in the area may cause traffic declines on the bridge to be more severe and persistent than traffic declines on toll facilities elsewhere in the nation. Traffic for the fiscal year ended April 30, 2010, was 1.3 million vehicles, 19% less than the peak level of 1.6 million vehicles in 2008. Trailing 12 months traffic is down 6% from 2009 levels. Management has historically been unwilling to raise toll rates to a level consistent with bond covenants and investment grade comparables. Instead management has used a defeasance program to apply balance sheet cash in order to artificially meet its 1.2 times rate covenant. The company's general fund balance is currently about $5 million and total current assets are approximately $11 million, meaning that management could continue its strategy for several years even in a scenario where traffic declines continue. Lake of the Ozarks, a man-made lake created by the damming of the Osage River, is a popular recreational destination for residents of the St. Louis and Kansas City metropolitan areas. The Lake of the Ozarks Community Bridge Corporation is a not-for-profit corporation governed by a seven-member board of directors. The corporation oversaw construction and financing of the bridge and manages its ongoing operations. It was the first of its type to be created under the Missouri Transportation Corporation Act of 1990, which allowed private non-profit corporations to develop projects as an alternative to normal bridge and highway funding methods. The bridge, located in Lake Ozark, MO, is the corporation's only facility. LASALLE COMMERCIAL: S&P Cuts Ratings on Seven 2005-MF1 Certs. ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes of commercial mortgage pass-through certificates from LaSalle Commercial Mortgage Securities Inc.'s series 2005-MF1 and removed them from CreditWatch with negative implications. S&P lowered four of its ratings on LaSalle 2005-MF1 to 'D' due to recurring interest shortfalls. As of the May 20, 2010, remittance report, 32 appraisal reduction amounts totaling $22.0 million were in effect on specially serviced assets. Appraisal subordinated entitlement reductions related to the ARAs caused $55,566 in interest shortfalls as of the May 20, 2010, distribution date. In addition, the master servicer has determined future advances to be nonrecoverable on nine assets totaling $65,922. The shortfalls relating to the nonrecoverable advance declaration and ASERs are causing ongoing shortfalls to classes B, C, D, E, F, G, and H. Classes D, E, F, and G have experienced interest shortfalls for five months or more and S&P expects these shortfalls to continue in the foreseeable future. Consequently, S&P downgraded these classes to 'D'. The downgrades on the three remaining classes reflect poor collateral performance that has resulted in interest shortfalls to classes B and C. Classes B and C have experienced interest shortfalls for one and four months, respectively, and in S&P's opinion, are at an increased risk of experiencing future liquidity interruptions and possible principal losses in the foreseeable future. If these shortfalls continue, S&P will likely downgrade the classes to 'D'. LaSalle 2005-MF1's collateral pool consisted of 250 assets with an aggregate trust balance of $250.4 million as of the May 20, 2010, remittance report, down from 338 loans totaling $389.0 million at issuance. Thirty-four assets totaling $45.6 million (18.2% of the trust balance), including five of the top 10 exposures, are with the special servicer, Berkadia Commercial Mortgage LLC. The payment status of these assets is: seven (REO; $13.4 million, 5.5%) are classified as real estate owned; nine ($13.7 million, 5.5%) are in foreclosure; 11 ($12.1 million, 4.8%) are 90-plus days delinquent; three ($1.6 million, 0.7%) are 60-plus days delinquent; three ($3.8 million, 1.5%) are 30-plus days delinquent; and one ($1.0 million, 0.4%) is current. In estimating losses for these assets, S&P considered appraisal values, Broker's Opinion of Value, and historical losses. The loss severities for the specially serviced loans ranged from 5% to 90%, with a weighted average loss severity of 56%. In addition to the specially serviced assets, S&P determined five loans ($2.3 million, 1%) to be credit impaired and at an increased risk of default. Three of the five loans ($804,147, 0.3%) are 30- plus days delinquent, and the remaining two are in their grace period. Standard & Poor's analysis assumes the losses on these loans will be consistent with the historical losses in the pool. According to the trustee remittance report dated May 20, 2010, the trust has experienced 23 losses totaling $12.1 million, with an average loss severity of 50%. Standard & Poor's previously lowered the ratings on classes H through M to 'D'. Ratings Lowered And Removed From Creditwatch Negative LaSalle Commercial Mortgage Securities Commercial mortgage pass-through certificates series 2005-MF1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A B- AAA/Watch Neg 14.30 B CCC AA/Watch Neg 11.39 C CCC- BBB/Watch Neg 7.33 D D BB+/Watch Neg 4.63 E D BB-/Watch Neg 3.47 F D B/Watch Neg 2.30 G D CCC/Watch Neg 0.37 LEHMAN ABS: S&P Corrects Rating on Class A-1 Certificates to 'D' --------------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on the class A-1 certificates issued from Lehman ABS Manufactured Housing Contract Trust 2001-B by reinstating its 'BBB+' rating and then lowering it to 'D'. The rating actions reflect the nonpayment of the full principal balance on the class' legal final maturity date of March 15, 2010. S&P withdrew its 'BBB+' rating on the class A-1 certificates on March 15, 2010, due to an error. Since the certificates were not paid principal in full on the legal final maturity date, S&P should have lowered its rating to 'D'. Rating Corrected Lehman ABS Manufactured Housing Contract Trust 2001-B Rating ------ Class To Pre-March 15 From ----- -- ------------ ---- A-1 D BBB+ NR LNR CDO: Fitch Downgrades Ratings on 13 Classes of Notes -------------------------------------------------------- Fitch Ratings has downgraded 13 classes of notes issued by LNR CDO 2003-1, Ltd. due to negative credit migration in the underlying portfolio. Since the last rating action in February 2009, the credit quality of the portfolio has declined with approximately 32.7% of the portfolio downgraded a weighted average of 3.8 notches. Fitch considers 86.6% of the portfolio to be rated below investment grade, with 34.8% in the 'CCC' rating category or below, compared to 78.5% and 23.7%, respectively, at the last review. Included in the 'CCC' or lower percentage are 10 securities, comprising 16.5% of the portfolio, that are unrated first-loss bonds. Approximately 30.5% of the portfolio is experiencing interest shortfalls or deferring interest payments and is considered distressed. 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. Based on this analysis, the breakeven rates for the class A through class F-FL and F-FX notes are generally consistent with the ratings assigned below. The Negative Rating Outlook on the class A through class E-FL and E-FX notes reflects Fitch's expectation that underlying commercial mortgage backed security loans will continue to face refinance risk at maturity. Fitch also assigned Loss Severity ratings of 'LS5' to the class A through class E notes. The LS ratings indicate each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the expected loss for the collateral under the 'B' stress. The LS rating should always be considered in conjunction with probability of default indicated by a class' long-term credit rating. Fitch does not assign Rating Outlooks or LS ratings to classes rated 'CCC' or lower. The cash flow model breakeven rates for the class G, class H and class J notes were below the 'CCC' rating hurdle. Therefore, for these classes, Fitch compared their respective credit enhancement levels to the distressed portion of the portfolio to determine their likelihood of default, and downgraded the classes as indicated below. LNR 2003-1 is a static collateralized debt obligation that closed on July 2, 2003. According to the May 20, 2010 trustee report, the portfolio consists of 138 bonds from 34 obligors, all of which are commercial mortgage-backed securities from 1999 through 2003 vintage transactions. Fitch has downgraded, assigned LS ratings and revised Outlooks for these classes as indicated: -- $92,962,592 class A notes to 'AA/LS5' from 'AAA', Outlook to Negative from Stable; -- $78,184,000 class B notes to 'A/LS5' from 'AA-', Outlook to Negative from Stable; -- $34,000,000 class C-FL notes to 'BBB/LS5' from 'A', Outlook to Negative from Stable; -- $9,860,000 class C-FX notes to 'BBB/LS5' from 'A', Outlook to Negative from Stable; -- $5,000,000 class D-FL notes to 'BB/LS5' from 'BBB+', Outlook to Negative from Stable; -- $40,766,000 class D-FX notes to 'BB/LS5' from 'BBB+', Outlook to Negative from Stable; -- $48,000,000 class E-FL notes to 'B/LS5' from 'BB+', Outlook to Negative from Stable; -- $41,626,000 class E-FX notes to 'B/LS5' from 'BB+', Outlook to Negative from Stable; -- $6,000,000 class F-FL notes to 'CCC' from 'BB'; -- $44,724,000 class F-FX notes to 'CCC' from 'BB'; -- $12,204,000 class G notes to 'CCC' from 'B+'; -- $30,511,000 class H notes to 'CC' from 'B+'; -- $43,478,000 class J notes to 'C' from 'B-'. LNR CDO: S&P Downgrades Ratings on Nine Classes of Notes -------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on nine classes from LNR CDO III Ltd. and removed them from CreditWatch with negative implications. At the same time, S&P affirmed its 'CCC-' ratings on three other classes from the same transaction and removed them from CreditWatch negative. The downgrades and affirmations reflect S&P's analysis of the transaction, including the effect of the deteriorating economy and the current credit characteristics of the underlying collateral assets. S&P's analysis also considered the transaction's liability structure, and the application of its updated U.S. commercial real estate collateralized debt obligation criteria. According to the May 25, 2010, trustee report, 197 CMBS certificates ($869.7 million, 98.9%) from 52 distinct transactions issued between 1999 and 2004 collateralized the LNR CDO III Ltd transaction. The deal has significant exposure to these CMBS certificates that Standard and Poor's has downgraded: * GS Mortgage Securities Corp. II 2004-GG2 ($42.6 million, 4.9%); * Citigroup Commercial Mortgage Trust 2004-C2 ($30.9 million, 3.5%); * LB-UBS Commercial Mortgage Trust 2004-C8 ($24.6 million, 2.8%); * JPMorgan Chase Commercial Mortgage Securities Corp. 2004-CIBC 10 ($20.0 million, 2.3%); and * CS First Boston Mortgage Securities Corp. 2002-CKS4 ($18.8 million, 2.1%). The current assets also included one commercial real estate mezzanine loan ($9.7 million, 1.1%). Standard & Poor's reviewed and updated its credit estimate on the CRE loan asset based on S&P's adjusted net cash flow, which S&P derived from servicer provided data for the related senior note held in a CMBS transaction, as well as market or valuation data from third-party providers. According to the trustee report, the transaction includes 139 impaired CMBS tranches ($583.1 million, 66.3%). Standard & Poor's analyzed the transaction and its underlying collateral assets in accordance with S&P's current criteria. S&P's analysis is consistent with the lowered and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative LNR CDO III Ltd. Collateralized debt obligations Rating ------ Class To From ----- -- ---- A BBB+ AA-/Watch Neg B BB+ BBB+/Watch Neg C BB- BBB-/Watch Neg D B+ BB+/Watch Neg E-FL B BB+/Watch Neg E-FX B BB+/Watch Neg F-FL B- BB/Watch Neg F-FX B- BB/Watch Neg G CCC+ B+/Watch Neg Ratings Affirmed And Removed From Creditwatch Negative LNR CDO III Ltd. Collateralized debt obligations Rating ------ Class To From ----- -- ---- H CCC- CCC-/Watch Neg J CCC- CCC-/Watch Neg K CCC- CCC-/Watch Neg MADISON AVENUE: Moody's Downgrades Rating on Class B to 'Ca' ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the rating of one class of notes issued by Madison Avenue Structured Finance CDO I, Limited. The notes affected by the rating action are: -- US$21,000,000 Class B Floating Rate Notes due 2036, Downgraded to Ca; previously on December 24, 2009 Confirmed at Caa3. Madison Avenue Structured Finance CDO I, Limited, issued on December 5, 2001, is a collateralized debt obligation issuance backed by a portfolio that consists primarily of residential mortgage-backed securities and commercial mortgage-backed securities. RMBS comprise approximately 21% of the underlying portfolio, of which the majority are from pre-2005 vintage. According to Moody's, the rating downgrade action is the result of deterioration in the credit quality of the underlying portfolio. Such credit deterioration is observed through numerous factors, including 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 particular, the dollar amount of defaulted securities, as reported by the trustee, increased from $10.8 million in November 2009 to $13.3 million in May 2010. During the same time, the Class B overcollateralization ratio decreased from 96.31% to 93.63%, and the coverage test is failing. Also, in April 2010, the ratings of approximately $8.5 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. MCG COMMERCIAL: Moody's Downgrades Ratings on Various Classes ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by MCG Commercial Loan Trust 2006-1: -- US$106,250,000 Class A-1 First Priority Senior Notes due 2018, Downgraded to A1; previously on March 26, 2010 Downgraded to Aa3 and Remained on Review for Possible Downgrade; -- US$50,000,000 Class A-2 First Priority Senior Notes due 2018 (currently unfunded), Downgraded to A1; previously on March 26, 2010 Downgraded to Aa3 and Remained on Review for Possible Downgrade; -- US$85,000,000 Class A-3 First Priority Senior Delayed Draw Notes due 2018, Downgraded to A1; previously on March 26, 2010 Downgraded to Aa3 and Remained on Review for Possible Downgrade; -- US$58,750,000 Class B Second Priority Senior Notes due 2018, Downgraded to Baa2; previously on March 26, 2010 Downgraded to Baa1 and Remained on Review for Possible Downgrade; -- US$45,000,000 Class C Third Priority Senior Subordinate Deferrable Notes due 2018, Downgraded to Ba3; previously on March 26, 2010 Downgraded to Ba2 and Remained on Review for Possible Downgrade; -- US$47,500,000 Class D Fourth Priority Junior Subordinate Deferrable Notes due 2018, Downgraded to B3; previously on March 26, 2010 Downgraded to B2 and Remained on Review for Possible Downgrade. The rating action concludes the review of the notes issued by MCG Commercial Loan Trust 2006-1. On March 26, 2010, Moody's downgraded and left under review for possible downgrade all of the above notes issued by MCG Commercial Loan Trust 2006-1 as a result of the deterioration in the credit quality of the transaction's underlying portfolio, and the significant exposure to securities whose default probabilities were assessed through Moody's Credit Estimates more than twelve months ago. Moody's notes that 97% of the collateral pool includes debt obligations whose credit quality has been assessed through CEs. In concluding its review, Moody's applied additional default probability stresses by assuming an equivalent of Caa3 for CEs that were not updated within the last 15 months, which currently account for approximately 22% of the collateral balance. In addition, Moody's applied a 1.5 notch- equivalent assumed downgrade for CEs last updated between 12-15 months ago, and a 0.5 notch-equivalent assumed downgrade for CEs last updated between 6-12 months ago. Moody's also conducted stress tests to assess the collateral pool's concentration risk in a small number of obligors that constitute more than 3% of the collateral pool. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and in "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 servicer's reported numbers. Moody's also notes that the transaction is exposed to a significant concentration of second lien and mezzanine loans which make up approximately 46.5% of the underlying portfolio as of the latest May 2010 servicer report. Moody's analysis reflects the expectation that recoveries for second lien and mezzanine loans will be below their historical averages, consistent with Moody's research. MCG Commercial Loan Trust 2006-1, issued on April 18, 2006, is a collateralized loan obligation backed primarily by a portfolio of middle market issuers. MERRILL LYNCH: S&P Downgrades Ratings on Two 2002-MW1 Notes ----------------------------------------------------------- Standard & Poor's Ratings Services lowered two ratings, raised two ratings, and affirmed nine ratings on classes of commercial mortgage-backed securities from Merrill Lynch Mortgage Trust's series 2002-MW1. Concurrently, S&P removed six of these ratings from CreditWatch with negative implications. The rating actions follow S&P's analysis of the transaction using its U.S. conduit and fusion CMBS criteria. The downgrades of the subordinate classes reflect credit support erosion that S&P anticipates will occur upon the eventual resolution of two of the four specially serviced assets. The upgrades and affirmations of the ratings on the principal and interest certificates reflect subordination levels that are consistent with the raised and affirmed ratings. S&P affirmed its ratings on the class XC interest-only certificates based on its current criteria. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, Standard & Poor's calculated an adjusted debt service coverage of 1.45x and a loan-to-value ratio of 78.5%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average DSC of 1.24x and an LTV ratio of 99.5%. The implied defaults and loss severity under the 'AAA' scenario were 26.1% and 31.9%, respectively. All of the adjusted DSC and LTV calculations excluded two of the five ($10.6 million, 1.3%) specially serviced assets and 19 ($268.7 million, 32.1%) defeased loans. S&P separately estimated losses for the two specially serviced assets, which S&P included in its 'AAA' scenario implied default and loss figures. Credit Considerations As of the June 2010 remittance report, four assets ($46.3 million, 5.5%), including the fourth-largest exposure in the pool, were with the special servicer, Berkadia Commercial Mortgage LLC. The payment status of these assets is: one ($8.2 million, 1.0%) is real estate owned by the trust, one ($2.3 million, 0.3%) is in foreclosure, and two ($35.7 million, 4.3 %) are within their respective grace periods. Appraisal reduction amounts totaling $7.1 million are in effect for two of the specially serviced assets. The Bear Run Village Apartments loan, the fourth-largest exposure in the pool, is the largest asset with the special servicer. It has a total exposure of $23.5 million (2.8%), which consists of $23.3 million of unpaid principal balance and $0.2 million of advancing and interest thereon. The loan is secured by a 438-unit multifamily complex in Pittsburgh. The Dorchester Tower Apartments loan, which has a related borrower, is the second- largest asset with the special servicer. It has a total exposure of $12.5 million (1.5%), which consists of $12.4 million of unpaid principal balance and $0.1 million of advancing and interest thereon. The loan is secured by a 319-unit multifamily complex in Pittsburgh. Both of these loans were transferred to Berkadia on Jan. 24, 2008, due to litigation between the borrower and the master servicer, which is still ongoing. Each loan has remained current during the litigation proceedings. The two remaining specially serviced loans ($10.6 million, 1.3%) have balances of $8.2 million and $2.4 million, respectively, or 1.0% and 0.3% of the total pool balance. S&P estimated significant losses upon their eventual resolution. Two loans ($7.5 million, 0.7%) that were previously with the special servicer have been returned to the master servicer. According to the transaction documents, the special servicer is entitled to a workout fee equal to 1.0% of all future principal and interest payments on the corrected loans, provided that the loans continue to perform and remain with the master servicer, Wells Fargo Commercial Mortgage Servicing. Transaction Summary As of the June 2010 remittance report, the aggregate trust balance was $836.7 million, which represents 77.3% of the aggregate pooled trust balance at issuance. There are 79 assets in the pool, down from 101 at issuance. Wells Fargo provided financial information for 91.6% of the loans in the pool, and 100.0% of the servicer- provided information was full-year 2008, interim 2009, or full- year 2009 data. S&P calculated a weighted average DSC of 1.45x for the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.45x and 78.5%, respectively, which exclude two of the four ($10.6 million, 1.3%) specially serviced assets and 19 ($268.7 million, 32.1%) defeased loans. Seventeen loans ($156.3 million, 18.7%) are on the master servicer's watchlist, including the third-, fifth-, eighth-, and 10th-largest real estate exposures in the pool. Twelve loans ($121.6 million, 14.5%) have a reported DSC of less than 1.10x, and 10 of these loans ($106.0 million, 12.7%) have a reported DSC of less than 1.0x. To date, the trust has experienced principal losses totaling $9.0 million on four assets. Summary of Top 10 Loans The top 10 real estate exposures have an aggregate outstanding balance of $287.6 million (34.4%). Using servicer-reported numbers, S&P calculated a weighted average DSC of 1.56x for the top 10 exposures. S&P's adjusted DSC and LTV for these loans were 1.53x and 80.8%, respectively. The third-, fifth-, eighth, and 10th-largest real estate exposures appear on the master servicer's watchlist. The Seven Mile Crossing loan ($32.8 million, 3.9%), the third- largest exposure in the pool, is secured by a 346,265-sq.-ft. office complex in Livonia, Mich. The loan appears on the master servicer's watchlist due to low DSC. As of Dec. 31, 2009, the reported DSC was 0.47x with 64.4% occupancy; however, the loan has remained current. The master servicer reports that these low occupancy figures owe to adverse local economic conditions. The Keystone Technology VII, VII & IX loan ($20.9 million, 2.5%), the fifth-largest exposure in the pool, is secured by a 257,264- sq.-ft. office complex in Durham, N.C. The loan appears on the master servicer's watchlist due to low DSC. As of Dec. 31, 2009, the reported DSC was 0.60x, down from 1.17x as of Dec. 31, 2008. According to the master servicer, the drop in DSC resulted from a loss of tenants in 2009, which brought occupancy to 60.0% as of Sept. 30, 2009. Occupancy had improved to 94.4% as of March 2, 2010. Consequently, S&P anticipate that the property's DSC will similarly improve. The Glens of Mill Creek Village loan ($20.0 million, 2.4%), the eighth-largest exposure in the pool, is secured by a 259-unit multifamily complex in Buford, Ga. The loan appears on the master servicer's watchlist due to low DSC. As of Dec. 31, 2009, the reported DSC was 0.98x with 94.2% occupancy. The master servicer reports that concessions are currently being offered on the property to stimulate demand. The Lake Meridian Marketplace loan ($16.4 million, 2.0%), the 10th-largest exposure in the pool, is secured by a 165,210-sq.-ft. anchored retail center in Kent, Wash. The loan appears on the master servicer's watchlist because occupancy declined to less than 80% of its originally underwritten level. As of Dec. 31, 2009, the reported DSC was 1.62x with 73.5% occupancy. Standard & Poor's stressed the loans in the pool according to its conduit/fusion criteria. The resultant credit enhancement levels are consistent with the lowered, raised, and affirmed ratings. Ratings Lowered And Removed From Creditwatch Negative Merrill Lynch Mortgage Trust Commercial mortgage pass-through certificates series 2002-MW1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- K B+ BB-/Watch Neg 4.09 L B B+/Watch Neg 3.12 Ratings Raised And Removed From Creditwatch Negative Merrill Lynch Mortgage Trust Commercial mortgage pass-through certificates series 2002-MW1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- F A A-/Watch Neg 11.04 G BBB+ BBB/Watch Neg 8.94 Ratings Affirmed And Removed From Creditwatch Negative Merrill Lynch Mortgage Trust Commercial mortgage pass-through certificates series 2002-MW1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- H BBB- BBB-/Watch Neg 6.67 J BB BB/Watch Neg 4.73 Ratings Affirmed Merrill Lynch Mortgage Trust Commercial mortgage pass-through certificates series 2002-MW1 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-3 AAA 27.22 A-4 AAA 27.22 B AAA 22.20 C AAA 16.70 D AA+ 15.41 E AA- 13.14 XC AAA N/A N/A -- Not applicable. MORGAN STANLEY: Fitch Affirms Ratings on Series 1998-WF2 Certs. --------------------------------------------------------------- Fitch Ratings affirms and assigns Loss Severity ratings to Morgan Stanley Capital I Trust, series 1998-WF2: -- $8.9 million class D at 'AAA/LS3'; Outlook Stable; -- $21.2 million class E at 'AAA/LS3'; Outlook Stable; -- $21.2 million class F at 'AAA/LS3'; Outlook Stable; -- $23.9 million class G at 'AAA/LS3'; Outlook Stable; -- $10.6 million class H at 'AA/LS4'; Outlook Stable; -- $8 million class J at 'A/LS5'; Outlook Stable; -- $8 million class K at 'BB+/LS5'; Outlook Stable. In addition, Fitch affirms, assigns LS rating, and revises the Outlook of this class: -- $15.9 million class L at 'B-/LS4'; Outlook to Negative from Stable. In addition, Fitch affirms and revises the Recovery Rating of this class: -- $5.3 million class M at 'CCC/RR1'. Fitch withdraws the rating of the interest-only class X. Fitch does not rate class N. Classes A-1, A-2, B, and C are paid in full. The affirmations are due to low expected losses (1.7% 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 30 of the original 219 loans remaining in the transaction, six of which have defeased (8.9% of the current transaction balance). There are currently no loans in special servicing. Fitch stressed the cash flow of the remaining non-defeased loans by applying a 10% reduction to 2008 fiscal year end net operating income and applying an adjusted market cap rate between 7.5% and 10% to determine value. Similar to Fitch's prospective analysis of recent vintage CMBS, each loan also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. Loans that could refinance to a debt service coverage ratio of 1.25 times or higher were considered to pay off at maturity. Two loans did not pay off at maturity and the same two loans incurred a loss when compared to Fitch's stressed value. MORGAN STANLEY: Fitch Downgrades Ratings on Eight 2001-TOP 1 Notes ------------------------------------------------------------------ Fitch Ratings has downgraded eight classes, withdrawn the rating for one class and assigned Rating Outlooks and Loss Severity ratings to Morgan Stanley Dean Witter Capital I Trust, 2001-TOP 1. The downgrades are due to insufficient 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 approximately 6.4% of the remaining pooled balance, approximately $39.2 million, from the loans in special servicing and the loans that are not expected to refinance at maturity based on Fitch's refinance test. In addition the downgrades are due to the small class size and low initial credit enhancement combined with worse than expected asset performance. As of the May distribution date, the pool had paid down 46.7% to $616.6 million from $1.15 billion at issuance, and 19 loans (12.8%) have defeased. The top 10 non-defeased loans represent 40.2% of the pool. There are currently nine assets (12.3%) in special servicing. Two assets are current (2%) and will likely be returned to the master servicer in the next few months, one (1.8%) is 90-days delinquent, two (4%) are in foreclosure and three (4.3%) are real estate owned (REO). The largest specially serviced (4.3%) assets consist of three formerly cross-collateralized and cross-defaulted industrial buildings located in suburban Detroit, MI. The properties have generally suffered from declining rents and vacancies as a result of the economic climate. The properties are REO and being marketed for sale. Recent appraised values indicate significant losses. The next largest specially serviced asset (3.7%) was transferred in July 2009 due to monetary default. The collateral is a 278,620-square foot 12-story office building in downtown Hartford, CT. The borrower renegotiated lease terms allowing for reduced rent and a reset of base-year reimbursements. This combined with increased real estate taxes led to cash-flow shortfall. The special servicer is pursuing foreclosure and a recent appraisal indicates significant losses. The remaining specially serviced loans are secured by office properties (2.4%), which were transferred due to monetary or imminent default as a result of declining performance and occupancies. Two of the loans have been modified (2%) and are pending return to the master servicer. The largest loan in the pool, the Santa Monica Place loan (12.3%), located in Santa Monica, CA, has been closed for a major redevelopment since 2008. The sponsor, the Macerich Company, is converting the formerly enclosed mall into an open-air lifestyle center. The property is scheduled to reopen in August 2010 and will be anchored by Nordstrom and Bloomingdales. Fitch stressed the cash flow of the remaining non-defeased, non- specially serviced loans by applying a 10% reduction to 2008 fiscal year end net operating income and applying an adjusted, property specific 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 ration of 1.25 times or higher were considered to pay off at maturity. Thirteen loans did not pay off at maturity and five incurred a loss when compared to Fitch's stressed value. Fitch has downgraded, assigned Rating Outlooks, Recovery Ratings and LS ratings to these classes as indicated: -- $31.8 million class C to 'A/LS5' from 'AA'; Outlook Negative; -- $11.6 million class D to 'BBB-/LS5' from 'AA-'; Outlook Negative; -- $27.5 million class E to 'B-/LS5' from 'BBB+'; Outlook Negative; -- $10.1 million class F to 'CCC/RR1' from 'BBB'; -- $18.8 million class G to 'CC/RR5' from 'BB'; -- $8.7 million class H to 'CC/RR6' from 'B+'; -- $5.8 million class J to 'CC/RR6' from 'B-'; -- $5.8 million class K to 'C/RR6' from 'CCC/RR1'. Fitch has revised the RR rating on this class: -- $4.5 million class L to 'D/RR6' from 'D/RR4'. In addition, Fitch has affirmed, assigned Outlooks and LS ratings to these classes: -- $457.4 million class A-4 at 'AAA/LS2'; Outlook Stable; -- $34.7 million class B at 'AAA/LS5'; Outlook Negative. Fitch withdraws the rating of the interest only class X-1. MORGAN STANLEY: Moody's Affirms Ratings on Six 2000-LIFE2 Certs. ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of six classes, upgraded one class and downgraded six classes of Morgan Stanley Dean Witter Capital I Trust 2000-LIFE2, Commercial Mortgage Pass- Through Certificates, Series 2000-LIFE2. The upgrade is due to increased credit support resulting from paydowns, amortization and defeasance. The downgrades are due to higher losses for the pool resulting from anticipated losses from specially serviced and highly leveraged watchlisted loans and refinance risk associated with loans approaching maturity. Thirty four loans, representing 70% of the pool, are maturing during the next six months. The affirmations are due to key rating parameters, including Moody's loan to value ratio and Moody's debt service coverage remaining within acceptable ranges. The decline in loan concentration, as measured by the Herfindahl (Index), has been mitigated by increased credit support due to loan payoffs and amortization. The pool's balance has declined by 42% since last review. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the June 15, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 68% to $241.6 million from $765.3 million at securitization. The Certificates are collateralized by 45 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans representing 42% of the pool. Eleven loans, representing 20% of the pool, have defeased and are secured by U.S. Government securities. The pool contains one loan, representing 6% of the pool, which has an investment grade underlying rating. At last review, four other loans, representing 18% of the pool, also had investment grade underlying ratings. These loans have paid off. Ten loans, representing 25% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the 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. Two loans have been liquidated from the pool, resulting in a $224,700 loss (4% loss severity on average). There are 13 loans, representing 21% of the pool, currently in special servicing. The largest specially serviced loan is the Crossroads I Office Building Loan ($12.2 million -- 3.9% of the pool), which is secured by a 118,000 square foot Class A office property located in Englewood, Colorado. The loan transferred to special servicing in June 2009 due to payment default and is in the process of foreclosure. The property's performance declined after a tenant which leased 51% of the net rentable area (NRA) vacated after its lease expired in December 2004. The second largest specially serviced loan is the Quail Creek and Quail Ridge Apartments Loan ($5.6 million -- 1.8% of the pool), which is secured by a 202 unit apartment complex located in Rock Hills, South Carolina. The loan was transferred to special servicing in September 2009 due to payment default and is currently 90+ days delinquent. The remaining 11 specially serviced loans are secured by a mix of office, industrial, retail, and multifamily properties. Moody's estimates a $27.0 million aggregate loss for all the specially serviced loans (48% expected loss on average). The special servicer has recognized an aggregate $8.5 million appraisal reduction for five of the specially serviced loans. Moody's has assumed a high default probability on one loan representing approximately 2% of the pool. This loan is on the watchlist due to declines in performance and matures within the next six months. Moody's has estimated a $1.1 million loss from this loan (30% expected loss based on a 40% default probability). Moody's was provided with full and partial-year 2009 operating results for 57% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 66% compared to 77% at last review. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.52X and 1.71X, respectively, compared to 1.40X and 1.52X. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple-notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 19, compared to 43 at last review. The decline in Herf has been mitigated by increased credit support. The loan with an underlying rating is Tasman Corporate Center Loan ($19.3 million -- 6.2% of the pool), which is secured by a 141,000 square foot office building located in Santa Clara, California. The property is situated in a corporate park containing 6.0 million square feet of office space. The property was 100% leased to Brio Technology through June 2010. Brio vacated at the end of its lease term but the building has been 100% leased to Citrix for a seven-year term. The loan matures in August 2010. Moody's current underlying rating and stressed DSCR are Baa2 and 1.76X, respectively, compared to Baa2 and 1.63X at last review. The three largest conduit loans represent 18% of the pool. The largest conduit loan is the 825 Seventh Avenue Loan ($20.8 million -- 6.6% of the pool), which is secured by a 165,000 square foot office condominium located in midtown Manhattan. The property was 100% leased as of March 2010, the same as at last review. The largest tenant is Young and Rubicam Inc., which leases 82% of the NRA through April 2015. Moody's LTV and stressed DSCR are 77% and 1.33X, respectively, essentially the same as at last review. The second largest loan is the Sugarhouse Center Loan ($13.3 million -- 4.3% of the pool), which is secured by a 207,000 square foot retail center located in Salt Lake City, Utah. Major tenants include Cinemark, Nordtsrom Rack and Michael's. The property was 96% leased as of December 2009. The loan matures in August 2010. Moody's LTV and stressed DSCR are 46% and 2.22X, respectively, compared to 53% and 1.94X at last review. The third largest loan is Covina Marketplace Loan ($8.8 million -- 3.3% of the pool), which is secured by an 105,000 square foot retail property located in Covina, California. The property was 85% leased as of December 2009. The loan matures in September 2010. Moody's LTV and stressed DSCR are 72% and 1.43X, respectively, compared to 70% and 1.47X at last review. Moody's rating action is: -- Class A-2, $115,521,533, affirmed at Aaa; previously assigned Aaa on 10/31/2000 -- Class X, Notional, affirmed at Aaa; previously assigned Aaa on 10/31/2000 -- Class B, $22,961,000, affirmed at Aaa; previously upgraded to Aaa from Aa1 on 8/2/2006 -- Class C, $24,874,000, affirmed at Aaa; previously upgraded to Aaa from Aa2 on 9/25/2008 -- Class D, $6,888,000, upgraded to Aaa from Aa2; previously upgraded to Aa2 from A1 on 9/25/2008 -- Class E, $18,751,000, affirmed at A3; previously upgraded to A3 from Baa1 on 9/25/2008 -- Class F, $7,653,000, affirmed at Baa2; previously upgraded to Baa2 from Baa3 on 9/25/2008 -- Class J, $9,184,000, downgraded to Caa2 from Ba2; previously assigned Ba2 on 10/31/2000 -- Class K, $3,061,000, downgraded to Ca from Ba3; previously assigned Ba3 on 10/31/2000 -- Class L, $4,018,000, downgraded to C from B1; previously assigned B1 on 10/31/2000 -- Class M, $6,697,000, downgraded to C from B2; previously assigned B2 on 10/31/2000 -- Class N, $2,870,000, downgraded to C from B3; previously assigned B3 on 10/31/2000 -- Class O, $957,000, downgraded to C from Caa2; previously assigned Caa2 on 10/31/2000 MORGAN STANLEY: S&P Downgrades Ratings on Various Classes to 'CC' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class IIA, IIB, and IIA notes from Morgan Stanley Managed ACES SPC's series 2007-1, 2007-6, and 2007-10, respectively, to 'CC' from 'CCC-'. The downgrades follow a number of credit events within the underlying portfolios, which have caused the notes to incur principal losses. Ratings Lowered Morgan Stanley Managed ACES SPC Series 2007-1 Rating ------ Class To From ----- -- ---- IIA CC CCC- Morgan Stanley Managed ACES SPC Series 2007-6 Rating ------ Class To From ----- -- ---- IIB Float CC CCC- Morgan Stanley Managed ACES SPC Series 2007-10 Rating ------ Class To From ----- -- ---- IIA CC CCC- N-STAR REAL: S&P Downgrades Ratings on 12 Classes of Notes ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 12 classes from N-Star Real Estate CDO IX Ltd. The lowered ratings remain on CreditWatch with negative implications. The downgrades reflect S&P's analysis of the transaction, including the effect of the deteriorating economic conditions and current credit characteristics of the underlying collateral assets. S&P's analysis also considered its estimated asset- specific recovery rates for two underlying loan assets ($28.1 million, 2.9%) reported as defaulted in the June 2010 trustee report, the transaction's liability structure, and the application of S&P's updated U.S. commercial real estate collateralized debt obligation criteria. The ratings remain on CreditWatch negative due to the transaction's exposure to collateral with ratings on CreditWatch negative ($154.1 million, 16.4%). According to the June 1, 2010, trustee report, the transaction's current asset pool included these: * 140 commercial mortgage-backed securities (CMBS) tranches ($696.7 million, 72.0%); * 14 CRE CDO tranches ($139.4 million, 14.4%); * Five whole loans and senior interest loans ($51.5 million, 5.3%); * Three subordinated loans ($51.0 million, 5.3%); * Two commercial real estate debt securities ($16.2 million, 1.7%); and * Five real estate investment debt securities ($12.5 million, 1.3%). 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, NS Advisors LLC 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 two defaulted loan assets ($28.1 million, 2.9%) and 27 credit risk and defaulted CMBS and CRE CDO tranches ($194.6 million, 20.1%). Standard & Poor's has estimated asset-specific recovery rates of 16.7% and 76.9% for the loan assets reported as defaulted. 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 Crescent Resources LLC senior-interest loan ($15.6 million, 1.6%); and * The Memorial Mall senior-interest loan ($12.5 million, 1.3%). 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 Remaining On Creditwatch Negative N-Star Real Estate CDO IX Ltd. Floating-rate notes Rating ------ Class To From ----- -- ---- A-1 AA/Watch Neg AAA/Watch Neg A-2 A/Watch Neg AA+/Watch Neg A-3 BBB+/Watch Neg AA-/Watch Neg B BBB/Watch Neg A+/Watch Neg C BBB/Watch Neg A+/Watch Neg D BB+/Watch Neg BBB/Watch Neg E BB+/Watch Neg BBB/Watch Neg F BB+/Watch Neg BBB/Watch Neg G BB/Watch Neg BB+/Watch Neg H BB/Watch Neg BB+/Watch Neg J BB/Watch Neg BB+/Watch Neg K BB-/Watch Neg BB/Watch Neg PROTECTIVE FINANCE: Moody's Affirms Ratings on 20 2007-PL Certs. ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 20 classes and downgraded three classes of Protective Finance Corporation REMIC Commercial Mortgage Pass-Through Certificates Series 2007-PL. The downgrades are due to higher expected losses for the pool due to increased credit dispersion. The affirmations are due to key rating parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. As of the May 14, 2010 statement date, the transaction's aggregate certificate balance has decreased 13% to $883 million from $1.0 billion at securitization. The certificates are collateralized by 187 mortgage loans ranging in size from less than 1% to 3% of the pool, with the top ten loans representing 23% of the pool. There are no defeased loans or loans with underlying ratings. There are currently no loans on the master servicer's watchlist and the pool has not experienced any losses since securitization. Three loans, representing 4% of the pool, are currently in special servicing. The largest specially serviced loan exposure consists of two cross collateralized loans, Pavilions at North Shore Apartments and North Shore Landing Apartments ($19.5 million -- 2.2% of the pool), which are secured by two multifamily properties located in Portland, Texas. Financial performance has been negatively impacted due to the closure of a nearby naval base and the stressed economy. A loan modification was recently completed and the loans are currently in the first month of compliance. The loans are expected to be transferred to the master servicer in September as corrected. The remaining specially serviced loan is secured by a retail property which also completed a loan modification and is expected to return to the master servicer in August. Moody's was provided full-year 2008 and 2009 operating results for 52% and 48% of the pool, respectively. Moody's weighted average LTV is 79% compared to 82% at Moody's prior review. Although the overall leverage of the pool has declined since securitization, credit quality dispersion as increased. Based on Moody's analysis, 12% of the pool has a LTV greater than 100% compared to 9% at securitization and 3% of the pool has a LTV greater than 120% compared to 1% at securitization. Moody's actual and stressed DSCRs are 1.26X and 1.40X, respectively, compared to 1.25X and 1.30X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf is 40. The pool has a Herf of 92 compared to 102 at securitization. The top three exposures represent 9% of the pool. The largest exposure consists of two cross collateralized loans, the Lowe's Home Center Loan and Cranberry Creek Plaza Phase III & IV Loan ($30.2 million -- 3.4% of the pool), which are secured by adjacent shopping centers located in Beckley, West Virginia. Lowe's Home Center is anchored by Lowe's and is 86% leased compared to 100% at securitization. Cranberry Creek Plaza Phase III & IV is anchored by Kohl's and Marquee Cinemas and is 99% leased compared to 100% at securitization. Overall performance has declined as a result of increased vacancy and operating expenses. The decline in performance has been partially offset by amortization. The loans have amortized 8% since securitization. Moody's LTV and stressed DSCR are 92% and 1.12X, respectively, compared to 87% and 1.24X at securitization. The second largest loan is the First Commercial Bank Building Loan ($25.1 million -- 2.8% of the pool), which is secured by a multi- tenanted office building located in Birmingham, Alabama. The building is 100% leased, the same as at securitization. The largest tenant is First Commercial Bank which leases 28% of the net rentable area (NRA) through August 2017. The loan has amortized 4% since securitization. Moody's LTV and stressed DSCR are 73% and 1.37X, respectively, compared to 88% and 1.21X at securitization. The third largest loan is the Poplin Place Loan ($24.4 million -- 2.8% of the pool), which is secured by a community shopping center located in Monroe, North Carolina. As of December 2009, the property was 83% leased compared to 100% at securitization. The property is anchored by Target and TJ Maxx. The loan has amortized 6% since securitization. Moody's LTV and stressed DSCR are 93% and 1.05X, respectively, compared to 99% and 1.02X at securitization. Moody's rating action is: -- Class A-1, $74,142,820, affirmed at Aaa; previously on 4/4/2008 assigned Aaa -- Class A-2, $152,306,000, affirmed at Aaa; previously on 4/4/2008 assigned Aaa -- Class A-3, $113,129,000, affirmed at Aaa; previously on 4/4/2008 assigned Aaa -- Class A-4, $132,870,000, affirmed at Aaa; previously on 4/4/2008 assigned Aaa -- Class A-1A, $94,557,000, affirmed at Aaa; previously on 4/4/2008 assigned Aaa -- Class IO, notional, affirmed at Aaa; previously on 4/4/2008 assigned Aaa -- Class A-M, $101,600,000, affirmed at Aaa; previously on 4/4/2008 assigned Aaa -- Class A-J, $102,870,000, affirmed at Aaa; previously on 4/4/2008 assigned Aaa -- Class B, $5,080,000, affirmed at Aa1; previously on 4/4/2008 assigned Aa1 -- Class C, $8,890,000, affirmed at Aa2; previously on 4/4/2008 assigned Aa2 -- Class D, $6,350,000, affirmed at Aa3; previously on 4/4/2008 assigned Aa3 -- Class E, $7,620,000, affirmed at A1; previously on 4/4/2008 assigned A1 -- Class F, $6,350,000, affirmed at A2; previously on 4/4/2008 assigned A2 -- Class G, $8,890,000, affirmed at A3; previously on 4/4/2008 assigned A3 -- Class H, $7,620,000, affirmed at Baa1; previously on 4/4/2008 assigned Baa1 -- Class J, $7,620,000, affirmed at Baa2; previously on 4/4/2008 assigned Baa2 -- Class K, $8,890,000, affirmed at Baa3; previously on 4/4/2008 assigned Baa3 -- Class L, $5,080,000, affirmed at Ba1; previously on 4/4/2008 assigned Ba1 -- Class M, $2,540,000, affirmed at Ba2; previously on 4/4/2008 assigned Ba2 -- Class N, $2,540,000, affirmed at Ba3; previously on 4/4/2008 assigned Ba3 -- Class O, $2,540,000, downgraded to B2 from B1; previously on 4/4/2008 assigned B1 -- Class P, $3,810,000, downgraded to B3 from B2; previously on 4/4/2008 assigned B2 -- Class Q, $2,540,000, downgraded to Caa2 from B3; previously on 4/4/2008 assigned B3 RASC SERIES: Moody's Downgrades Ratings on Two 2003-KS3 Notes ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of two tranches issued by RASC Series 2003-KS3 Trust. One of the downgraded tranches has been placed on review for further possible downgrade, while two other tranches have been placed on review for possible downgrade. The collateral backing the transaction consists primarily of first-lien adjustable-rate Subprime mortgage loans. The downgrades are a result of write downs on the Class M-2, and the balance of loans delinquent 60 days or more, including loans in foreclosure and real estate owned, compared to the credit enhancement provided by subordination and excess spread. Issuer: RASC Series 2003-KS3 Trust -- Cl. A-I, Aaa Placed Under Review for Possible Downgrade; previously on May 19, 2003 Assigned Aaa -- Cl. A-II, Aaa Placed Under Review for Possible Downgrade; previously on May 19, 2003 Assigned Aaa -- Cl. M-1, Downgraded to Caa1 and Placed Under Review for Possible Downgrade; previously on Jan 3, 2008 Downgraded to Baa3 -- Cl. M-2, Downgraded to C; previously on Jan 3, 2008 Downgraded to Ba2 RBSSP RESECURITIZATION: Moody's Downgrades Rating on 2009-8 Notes ----------------------------------------------------------------- Moody's Investors Service has downgraded the rating of class Cl. 4-A1 issued by RBSSP Resecuritization Trust 2009-8 to Aa3 from Aa1, as a result of revised loss expectation on the pool of mortgages backing the underlying certificate. The asset of the resecuritized transaction consists of Class A-1 issued by ABFC 2007-NC1 Trust. The Underlying Certificate is backed primarily by first-lien, subprime residential mortgage loans. The ratings on the certificates in the resecuritization are based on: (i) The updated expected loss on the pool of loans backing the underlying certificate and the updated rating on the underlying certificate. Moody's current loss expectations on the pool backing the ABFC 2007-NC1 Trust is 61% expressed as a percentage of outstanding pool balance. The current rating on the Underlying Certificate is B3. (ii) The available credit enhancement available to the underlying certificate, and (iii) The structure of the resecuritization transaction. The resecuritization transaction group issued two bonds, 4-A1 (senior class) and 4-A2 (subordinate class). Moody's first updated its loss assumptions on the underlying pool of mortgage loans (backing the underlying certificate) and then arrived at an updated rating on the underlying certificate. The rating on the underlying certificate is based on expected recoveries on the bond under ninety-six different combinations of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. In order to determine the rating of the resecuritized bond, the loss on the underlying certificate was ascribed to the resecuritized classes,4-A1 and 4-A2, according to the structure of the resecuritized transaction. The losses on the resecuritized certificates is allocated "bottom up" with the Class 4-A2 taking losses ahead of the 4-A1 class. Principal payments to the certificate are allocated sequentially, with the Class 4-A1 being paid ahead of the Class 4-A2. Issuer: RBSSP Resecuritization Trust 2009-8 -- Cl. 4-A1, Downgraded to Aa3; previously on Jun 4, 2010 Aa1 Placed Under Review for Possible Downgrade REVE SPC: Moody's Downgrades Ratings on Series 2007-3F1 Notes ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded its ratings of REVE SPC Dryden XVII Rated Equity Notes Series 2007-3F1 (Segregated Portfolio Series 31) and REVE SPC Dryden XVII Rated Equity Notes Series 2007-3F2 (Segregated Portfolio Series 32), CSO notes referencing a managed portfolio of corporate entities. The rating action is: Issuer: REVE SPC Dryden XVII Rated Equity Notes Series 2007-3F1 (Segregated Portfolio Series 31) -- US$8,000,000 Dryden XVII Rated Equity Notes, Series 2007-3F1 due 2017, Downgraded to C; previously on Mar 13, 2009 Downgraded to Ca Issuer: REVE SPC Dryden XVII Rated Equity Notes Series 2007-3F2 (Segregated Portfolio Series 32) -- EUR10,000,000 Dryden XVII Rated Equity Notes, Series 2007- 3F2 due 2017, Downgraded to C; previously on Oct 23, 2008 Downgraded to Ca Moody's explained that the rating action taken is the result of the tranches sustaining realized losses of over 50%, with an additional 20% likely to be realized soon. Since the last rating action on the transaction, on October 16, 2009, the portfolio has experienced credit events on CIT Group Inc. and Ambac Assurance Corporation. The credit event on CIT Group caused a loss of 0.40% of the portfolio. As the tranches have a subordination of 0% and a thickness of 4%, this caused a loss of 10%. The settlement price for Ambac for this transaction has not yet been reported, but it is expected to be near the ISDA auction price of 20%. A recovery of 20% on Ambac would lead to a further 20% loss on the tranches. REVE SPC: S&P Raises Ratings on Two 2006-MB1 Notes From 'BB+' ------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on REVE SPC's series 2006-MB1 $2.062 million class A and B notes to 'BBB-' from 'BB+' and removed them from CreditWatch, where they were placed with positive implications on April 21, 2010. S&P's ratings on the class A and B notes are dependent on its 'BBB-' rating on the underlying security, ELM B.V.'s class A floating-rate notes due June 20, 2013. The rating actions follow S&P's upgrade of the underlying security, ELM B.V., on June 17, 2010. S&P raised the rating to 'BBB-' from 'BB+' and removed it from CreditWatch positive. S&P may take subsequent rating actions on the class A and B notes due to changes in its rating assigned to the underlying security. SAINTS MEDICAL: Moody's Cuts Rating on $51 Mil. Bonds to 'Ba3' -------------------------------------------------------------- Moody's Investors Service has downgraded to Ba3 from Ba2 the long- term bond rating assigned to Saints Medical Center's $51 million of outstanding bonds issued by the Massachusetts Health & Educational Facilities Authority. The downgrade is a result of multi-year operating losses and rapid decline in liquidity balances. The outlook is negative at the lower rating level, reflecting the uncertainty surrounding a potential Stark Law violation which may result in a payment to the federal government and has postponed SMC's affiliation with Covenant Health Systems. Legal Security: Lien on gross receipts of Saints Memorial Medical Center; 1.10 times rate covenant; debt service reserve fund. Interest Rate Derivatives: None. Challenges * FY 2009 marked third consecutive year of operating losses for the system; losses amounted to $3.5 million in both FY 2009 and FY 2008 (-2.4% and -2.5% margins, respectively) due primarily to declining utilization trends * Decline of unrestricted cash and investments to $23.1 million (61 days cash on hand) as of FYE 2009, down from $27.3 million (74 days cash on hand) as of FYE 2008 - a significant decline when compared to the historically higher liquidity levels of over 120 days cash on hand reported during FY 2000 through FY 2007; days cash on hand fell to just 44 days as of March 31, 2010 * The hospital is highly leveraged with declining liquidity measures. Cash-to-debt declined to 42.4% at FYE 2009 while debt-to-cash flow rose unfavorably to approximately 16.2 times. * Potential Stark Law violation which was self-reported by SMC and could total up to $14.5 million in potential liabilities (according to SMC management's initial estimates), has delayed SMC's strategic alliance with Covenant Health Systems; definitive agreement between the two parties is currently extended through June 30, 2010, but SMC will be posed with tremendous challenges if the strategic alliance does not occur * Very competitive market with Lowell General Hospital (rated A3/stable); LGH and Saints offer a similar service array and most specialists admit to both hospitals Strengths * Successful recruitment of additional primary care physicians and specialists to the hospital's network of primary care practices * Recently completed North Andover Women's Center presents a strategic opportunity for SMC to improve its utilizations trends * Conservative, fixed-rate only debt structure without any existing swaps Recent Developments/Results FY 2009 marked yet another challenging year for SMC, and the downgrade is a result of SMC's third consecutive year of operating losses and declining liquidity balances. The system's operating performance in FY 2009 generated a loss of $3.4 million (-2.4% margin), which was consistent with the $3.4 million loss (-2.5% margin) also reported in FY 2008. Operating cash flow declined to $5.3 million (3.8% margin) in FY 2009, down from $5.5 million (4.0% margin) reported in FY 2008, and debt to cash flow grew unfavorably to 16.2 times, up from 15.8 times in FY 2008. Peak annual debt service coverage fell to just 0.89 times in FY 2009, down from 0.96 times reported the prior year. The weak performance was a direct result of SMC's third year of declining utilization trends. Inpatient volumes declined by 10.1%, which followed a 5.9% decline in FY 2008 from FY 2007 levels. Moody's note that observation stays increased by 18.4% in FY 2009, so the decline in utilization was less severe when combining inpatient admissions and observation stays (-3.1%). In recent years, several physicians in different specialties, including obstetrics, were recruited away from SMC by its local competitor, Lowell General Hospital (rated A3/stable) which has resulted in negative utilization trends for SMC. Saints is pursuing a strategy to capture a larger share of the out-migration market that currently goes to regional community hospitals. A segment of the market travels to Boston (about 40 minutes away) to access services not available in the area, or for clinical reputation reasons, but there is a significant portion of the market that utilizes regional community hospitals that Saints is competing for. To build referrals from this market, Saints has expanded its employed physician base, concentrating on placing primary care physicians in offices in areas in which it seeks to grow market share. The employed physician group has grown to 36 from only four in 2005 and includes 14 primary care physicians (the balance includes nurse practitioners, surgeons, hospitalists and medical oncologists). As a result, utilization volumes have improved through the first six months of FY 2010, with inpatient admissions growing by 4.2% over the prior year same period. The improved utilization trends can be in part explained by SMC's physician strategy, but is also attributable to SMC's focused efforts at making sure inpatient stays and observation stays are coded appropriately. SMC hired an independent physician group to examine its admission status classification, and observation stays through six months of FY 2010 decreased by 5.5%. An additional significant credit concern is SMC's rapidly declining liquidity balance. Unrestricted cash and investments fell to $23.1 million (61 days cash on hand) as of FYE 2009, a 15.4% decline from the prior year amount of $27.3 million (74 days cash on hand). As of March 31, 2010 (6 months of FY 2010), SMC had approximately 44 days cash on hand. (SMC's unrestricted cash and investments can all be liquidated in one month or less, and 53% is held as cash or fixed income securities and 47% as international and domestic equities.) Liquidity declined due to the decline in cash flow generation, as well as capital expenditures associated with a new women's center in North Andover and necessary upgrades to SMC's main campus. Strategic capital spending is vital for SMC's ability to compete with Lowell General Hospital (LGH), a larger hospital (214 beds to SMC's 108 beds) with more services. LGH captures the leading market share at 32.5% to SMC's 22.2% and has grown market share over the past year by successfully recruiting physicians that previously practiced at SMC. The ability to continue making strategic investments is a key factor of Moody's rating analysis. In FY 2009, SMC executed a definitive affiliation agreement with Covenant Health Systems (headquartered in Lexington, MA) with the expectation that SMC would transfer sponsorship to Covenant in FY 2010. As part of the initial sponsorship, Covenant is expected to provide $25 million for approved capital spending over up to five years. To date, the transfer of sponsorship has not yet occurred, and capital dollars have not been received, although the definitive agreement has been extended through June 30, 2010. During the Covenant due diligence process, SMC self-reported potential technical violations with respect to the Stark Law -- a federal law relating to arrangements with physicians. SMC is currently working with the Centers for Medicare and Medicaid Services to resolve the potential Stark Law violation, which could result in a payment up to $14.5 million to the federal government (according to SMC management's initial estimates). In FY 2009, SMC included a charge of $785,000 on its income statement (included in supplies and other expenses), which represents the low end of the range of the potential settlement amount according to its auditors' estimates. It is not clear at this time what the final settlement amount will be and over what length of time SMC will have to pay the settlement to the government. SMC continues to work with CMS to seek a timely, affordable settlement. The strategic alliance with Covenant has been put on hold until the CMS issue has been satisfactorily resolved and the remaining closing conditions met. If the sponsorship process with Covenant does not proceed, SMC faces significant challenges in terms of access to capital. SMC is highly leveraged, as evidenced by 42.4% cash to debt, 97.4% debt to capitalization, 16.2 times debt to cash flow, and peak annual debt service coverage of 0.89 times, so a debt financing to fund capital projects is unlikely, and management has no plans to issue additional debt in the near future. In addition, SMC's defined benefit pension plan was underfunded (62% funding level) with a balance sheet liability of $16.8 million as of FYE 2009. Although SMC's pension plan is a Church Plan and not subject to ERISA funding requirements, management anticipates making annual contributions of $750,000 for the next several years in order to bring the plan back to a more adequately funded level. Outlook The negative outlook at the lower rating level is a result of the uncertainty surrounding the potential Stark Law violation settlement and the repercussions for the affiliation with Covenant Health Systems, as well as Moody's expectation that liquidity balances will remain weak during the outlook horizon What could change the rating -- UP Rebound of utilization volumes and operating cash flow; growth of unrestricted cash to historical levels allowing the hospital to pursue additional strategic investment What could change the rating -- DOWN Further decline of unrestricted cash and investments; loss of additional physicians or market share; further decline in utilization or financial performance Key Indicators Assumptions & Adjustments: -- Based on financial statements for Saints Health System, Inc. -- First number reflects audit year ended September 30, 2008 -- Second number reflects draft audit year ended September 30, 2009 - Investment returns normalized at 6% unless otherwise noted * Inpatient admissions: 6,995; 6,290 * Total operating revenues: $136.6 million; $140.2 million * Moody's-adjusted net revenue available for debt service: $7.1 million; $6.7 million * Total debt outstanding: $57.6 million; $54.5 million * Maximum annual debt service (MADS): $7.5 million; $7.5 million * MADS Coverage with reported investment income: 0.97 times; 0.73 times * Moody's-adjusted MADS Coverage with normalized investment income: 0.96 times; 0.89 times * Debt-to-cash flow: 15.8 times; 16.2 times * Days cash on hand: 74.0 days; 61.0 days * Cash-to-debt: 47.4%; 42.4% * Operating margin: -2.5%; -2.4% * Operating cash flow margin: 4.0%; 3.8% Rated Debt (debt outstanding as of September 30, 2009): -- Series 1993A; Fixed Rate ($51.0 million outstanding) rated Ba3 The last rating action with respect to the Saints Medical Center was on November 18, 2008, when a municipal finance scale rating of Ba2/stable was assigned to Saints Medical Center. That rating was subsequently recalibrated to Ba2/stable on May 7, 2010. SALOMON BROTHERS: Moody's Reviews Ratings on Six 2000-C2 Certs. --------------------------------------------------------------- Moody's Investors Service placed six CMBS classes of Salomon Brothers Mortgage Securities VII, Inc., Commercial Mortgage Pass- Through Certificates, Series 2000-C2 on review for possible downgrade due to higher expected losses for the pool resulting from anticipated losses from specially serviced and highly leveraged watchlisted loans, interest shortfalls and refinance risk for loans approaching maturity in an adverse environment. Twenty-six loans, representing 69% of the pool, mature within the next six months. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the May 18, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 77% to $1.79 million from $781.52 million at securitization. The Certificates are collateralized by 45 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans representing 55% of the pool. Seven loans, representing 25% of the pool, have defeased and are collateralized by U.S. Government securities. Nine 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. Thirteen loans have been liquidated from the trust, resulting in an aggregate $30.7 million loss (41% overall loss severity). Classes M, N and P have been eliminated entirely due to losses and Class L has experienced a 14% principal loss. Currently 16 loans, representing 52% of the pool, are in special servicing. The largest specially serviced loan is the 1615 Poydras Street Loan ($26.4 million -- 14.7% of the pool), which is secured by an 502,000 square foot office property located in New Orleans, Louisiana. The loan was transferred to special servicing in April 2010 when the borrower requested a forbearance in order to fund necessary capital expenditures. Based on the most recent remittance statement, Classes H through L have experienced cumulative interest shortfalls totaling $3.4 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions and extraordinary trust expenses. Moody's review will focus on potential losses from specially serviced and watchlisted loans and the performance of the overall pool. Moody's rating action is: -- Class D, $7,815,000, currently rated Aa2, on review for possible downgrade; previously upgraded to Aa2 from A2 on 1/16/2008 -- Class E, $11,723,000, currently rated A1, on review for possible downgrade; previously upgraded to A1 from Baa1on 1/16/2008 -- Class F, $13,677,000, currently rated Baa1, on review for possible downgrade; previously updated to Baa1 from Baa2 on 1/16/2008 -- Class G, $9,769,000, currently rated Baa3, on review for possible downgrade; previously assigned Baa3 on 8/23/2000 -- Class J, $13,677,000, currently rated Caa1, on review for possible downgrade; previously downgraded to Caa1 from B3 on 1/16/2008 -- Class K, $5,861,000, currently rated Caa3, on review for possible downgrade; previously downgraded to Caa3 from Caa2 on 1/16/2008 SBMS VII: Moody's Downgrades Ratings on Two 1997-HUD1 Tranches -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of two tranches issued by SBMS VII 1997-HUD1. The collateral supporting the certificates consists of reperforming mortgage loans related to insurance programs of the United States Department of Housing and Urban Development. The borrowers in these loans had at least one serious delinquency but qualified for, and completed, a HUD forbearance plan prior to deal origination. The loans generally represent low balance, high loan-to-value financings of owner- occupied, residential properties. The actions are a result of write downs on the most junior tranches in the deal. Complete rating actions are: Issuer: Salomon Brothers Mortgage Securities VII, Inc., Series 1997-HUD1 -- B-3, Downgraded to Caa1 and Placed Under Review for Possible Downgrade; previously on Jan 31, 2006 Downgraded to Baa3 -- B-4, Downgraded to C; previously on Jan 31, 2006 Downgraded to Caa2 SLATE CDO: Moody's Downgrades Ratings on Four Classes of Notes -------------------------------------------------------------- Moody's Investors Service downgraded four classes of Notes issued by Slate CDO 2007-1, Ltd., due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor, and a decrease in the weighted average recovery rate. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. Slate CDO 2007-1, Ltd. is a hybrid CRE CDO transaction backed by a portfolio of cash collateral (46.3% of the pool balance) and credit default swaps (53.7% of the pool balance) referencing commercial mortgage backed securities and CRE CDOs. As of the April 28, 2010 Trustee report, the Notes are collateralized by 48 classes of CMBS cash collateral and reference obligations (61.4% of the pool), 30 classes of CRE CDO cash collateral and reference obligations (37.2%) of the deal and 4 classes of asset backed securities (ABS) cash collateral (1.4% of the pool balance). The aggregate Note balance of the transaction has decreased to $594.1 million from $600.0 million at issuance, with the paydown directed to the Class A1SA and Class A1SB Notes. Thirty-five cash collateral and reference obligations totaling $251.8 million of (41.6% of the pool) were reported as defaulted securities or deferred interest PIK bonds. Moody's currently estimates a low recovery rate for these assets. Slate CDO 2007-1, Ltd., entered into an Event of Default on March 31, 2009. This EOD was due to the Senior Test (Senior Test Adjusted Credit Ratio) breaching its trigger, as set forth in the indenture. Pursuant to the EOD, Moody's downgraded the transaction on October 1, 2009. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life, weighted average recovery rate, and Moody's asset correlation. These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's have completed updated credit estimates for the non- Moody's rated reference obligations. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 6,243 compared to 4,075 at last review. The distribution of current ratings and credit estimates is: Baa1-Baa3 (3.3% compared to 5.9% at last review), Ba1-Ba3 (9.3% compared to 14.0% at last review), B1-B3 (32.3% compared to 44.8% at last review), and Caa1-C (55.1% compared to 35.3% at last review). WAL acts to adjust the probability of default of the reference obligations in the pool for time. Moody's modeled to the actual WAL of 6.3 years compared to 6.7 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 4.1% compared to 6.1% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 99.9% compared to 42.5% at last review. The higher MAC is due to the greater concentration of high risk collateral concentrated within a small number of collateral names. Moody's review incorporated CDOROM v2.6, one of Moody's CDO rating models, which was released on May 27, 2010. The cash flow model, CDOEdge v3.2, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. The rating actions are: -- Class A1SA, Downgraded to Ca; previously on October 1, 2009 Downgraded to B1 -- Class AlSB, Downgraded to Ca; previously on October 1, 2009 Downgraded to B1 -- Class A1J, Downgraded to C; previously on October 1, 2009 Downgraded to Caa2 -- Class A2, Downgraded to C; previously on October 1, 2009 Downgraded to Ca As always, Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. Moody's monitors transactions on both a monthly basis through a review of the available Trustee Reports and a periodic basis through a full review. Moody's prior review is summarized in a press release dated October 1, 2009. SORIN REAL: Fitch Downgrades Ratings on Six Classes of Notes ------------------------------------------------------------ Fitch Ratings has downgraded six classes and affirmed one class of Sorin Real Estate CDO I Ltd. as a result of negative credit migration on the underlying portfolio. 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 'B-', down from 'BB+' at last review. Further, 72.9% of the portfolio now has a Fitch derived rating below investment grade; 42.6% has a rating in the 'CCC' category and below. Further, 33.4% of the portfolio is currently on Rating Watch Negative. Due to the failure of all three overcollateralization tests, all proceeds beyond the payment of class B interest are being reallocated to redeem class A-1 principal. 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 resulting rating loss rates for the model's lowest stress scenario, the 'CCC' scenario, were higher than all classes' credit enhancement levels. Therefore, the analysis included a comparison of the classes' respective credit enhancement levels to the percent of portfolio rating concentrations, and cash flow modeling was not considered. Based on this analysis, classes A-1 through B have been downgraded to 'CC' as their respective credit enhancement levels are lower than the 'CCC' scenario PCM output, but exceed the concentration of assets with Fitch derived ratings below 'CC'. Additionally, these classes are currently receiving full interest proceeds. Classes C through E have been downgraded to 'C' and class F has been affirmed at 'C' because Fitch believes that default appears inevitable given that the total percentage of assets with Fitch derived ratings in the 'C' or 'D' categories either exceeds or is proximate to these classes' respective credit enhancement levels. Further, these classes are capitalizing interest as a result of the OC test failures, making the possibility of full principal recoveries more unlikely on an ongoing basis. Sorin I is backed by 71 tranches from 56 obligors, the largest concentration of which is commercial mortgage-backed securities (CMBS, 39.7%). The remainder of the pool consists of commercial real estate loans or CMBS rake bonds (34.4%), and residential mortgage-backed securities (25.9%). The transaction closed in July 2005, and its revolving period ends in September 2010. Fitch has downgraded or affirmed these classes as indicated: -- $288,978,320 class A-1 to 'CC' from 'BB+'; -- $27,600,000 class A-2 to 'CC' from 'BB'; -- $20,000,000 class B to 'CC' from 'B+'; -- $12,419,323 class C to 'C' from 'B'; -- $14,231,746 class D to 'C' from 'CC; -- $4,065,837 class E to 'C' from 'CC'; -- $4,685,131 class F at 'C'. The Rating Outlooks for A-1 through C were Negative prior to the downgrades. Fitch does not assign Rating Outlooks to classes rated 'CCC' or lower. SOUNDVIEW HOME: Moody's Downgrades Ratings on 111 Tranches ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 111 tranches from 27 RMBS transactions issued by Soundview Home Loan Trust. The collateral backing these deal primarily consists of first-lien, fixed and adjustable rate subprime residential mortgages. The actions are a result of the continued performance deterioration in Subprime pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on subprime pools issued from 2005 to 2007. To assess the rating implications of the updated loss levels on subprime RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. Complete rating actions are: Issuer: Soundview Home Loan Trust 2005-1 -- Cl. M-2, Confirmed at Aa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ba2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa3; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Ba2 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: Soundview Home Loan Trust 2005-2 -- Cl. M-2, Confirmed at Aa3; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Baa2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to B3; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2005-3 -- Cl. M-2, Downgraded to A3; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2005-4 -- Cl. I-A1, Downgraded to A2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A4, Downgraded to Aa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1A, Downgraded to B2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-1B, Downgraded to Caa1; 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 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2005-CTX1 -- Cl. A-5, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-6, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa2; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa1; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2005-OPT1 -- Cl. I-A1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A4, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2005-OPT2 -- Cl. A-1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-5, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2006-1 -- Cl. A-3, Confirmed at Baa2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa3; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2006-2 -- Cl. A-3, Downgraded to Baa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa2; previously on Jan 13, 2010 Baa2 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 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: Soundview Home Loan Trust 2006-3 -- Cl. A-3, Downgraded to Caa1; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2006-EQ1 -- Cl. A-2, Confirmed at Baa2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa2; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ca; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2006-EQ2 -- Cl. A-2, Confirmed at B2; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-3, Confirmed at B3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-4, Confirmed at Caa2; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2006-NLC1 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-4, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2006-OPT1 -- Cl. I-A-1, Downgraded to B1; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Ba3; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Caa2; previously on Jan 13, 2010 Baa2 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: Soundview Home Loan Trust 2006-OPT2 -- Cl. A-3, Downgraded to Ba3; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-4, 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 Caa2 Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2006-OPT3 -- Cl. I-A-1, Downgraded to Ba3; previously on Jan 13, 2010 Aa1 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 B1; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Caa2; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2006-OPT4 -- Cl. I-A-1, Downgraded to B2; previously on Jan 13, 2010 Baa3 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 Caa1; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2006-OPT5 -- Cl. I-A-1, Downgraded to Caa1; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to B3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Caa3; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2006-WF2 -- Cl. A-1, Downgraded to B1; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Confirmed at Aa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ba3; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to B2; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2007-1 -- Cl. I-A-1, Confirmed at B2; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Confirmed at B2; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Confirmed at B3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Confirmed at Caa2; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Confirmed at Caa3; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2007-NS1, Asset-Backed Certificates, Series 2007-NS1 -- Cl. A-1, Downgraded to Baa3; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa1; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ca; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2007-OPT1 -- Cl. I-A-1, Downgraded to Caa2; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Confirmed at Baa2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Caa1; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. X, Confirmed at Baa2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2007-OPT2 -- Cl. I-A-1, Downgraded to Caa3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to A1; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Caa2; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Ca; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2007-OPT3 -- Cl. I-A-1, Downgraded to Caa3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Confirmed at A2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Caa1; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Caa3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. II-A-4, Downgraded to Caa3; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2007-OPT4 -- Cl. I-A-1, Downgraded to Caa3; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Caa2; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Caa3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. X-1, Downgraded to Caa3; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to Caa2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2007-OPT5 -- Cl. I-A-1, Downgraded to Caa3; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Aa1; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Ca; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to Ca; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. X-1, Downgraded to Caa3; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to Ca; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. X-3, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-1B, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M-2B, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2007-WMC1 -- Cl. I-A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to Caa3; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. III-A-2, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. III-A-3, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. III-A-4, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade SPECIALITY UNDERWRITING: Moody's Cuts Ratings on 54 Tranches ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 54 tranches from 18 RMBS transactions issued by SURF. Additionally, Moody's has confirmed the ratings of 16 tranches from these same transactions. The collateral backing these deals primarily consists of first-lien, fixed and adjustable-rate subprime residential mortgages. The downgrades are a result of the continued performance deterioration in Subprime pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on subprime pools issued from 2005 to 2007. To assess the rating implications of the updated loss levels on subprime RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. Complete rating actions are: Issuer: Speciality Underwriting and Residential Finance 2005-AB3 -- Cl. A-1A, Downgraded to Caa2; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Ba3; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Caa3; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade Issuer: Speciality Underwriting and Residential Finance 2006-AB3 -- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-2C, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Speciality Underwriting and Residential Finance 2006-BC2 -- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Speciality Underwriting and Residential Finance Trust, Series 2007-AB1 -- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. A-2C, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Specialty Underwriting and Residential Finance Series 2005-AB1 -- Cl. A-1C, 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 C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Specialty Underwriting and Residential Finance Series 2005-AB2 -- Cl. A-1B, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-1C, Downgraded to Baa2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. A-1D, Downgraded to Ba1; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B3; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: Specialty Underwriting and Residential Finance Series 2005-BC3 -- Cl. A-1A, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2C, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade Issuer: Specialty Underwriting and Residential Finance Series 2005-BC4 -- Cl. A-1A, Downgraded to Baa3; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to A3; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to B1; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade Issuer: Specialty Underwriting and Residential Finance Series 2006-AB1 -- Cl. A-3, Downgraded to Baa2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: Specialty Underwriting and Residential Finance Series 2006-AB2 -- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: Specialty Underwriting and Residential Finance Series 2006-BC1 -- Cl. A-1, Downgraded to Ba1; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ba3; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Caa1; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: Specialty Underwriting and Residential Finance Series 2006-BC3 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to B1; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Specialty Underwriting and Residential Finance Series 2006-BC4 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Specialty Underwriting and Residential Finance Series 2006-BC5 -- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Caa2; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Caa2; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. A-2E, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Specialty Underwriting and Residential Finance Series 2007-BC1 -- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Caa1; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-2C, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Specialty Underwriting and Residential Finance Trust, Series 2005-BC1 -- Cl. M-2, Upgraded to Aa2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa2; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Specialty Underwriting and Residential Finance Trust, Series 2005-BC2 -- Cl. M-1, Confirmed at Aa1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to A3; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: Specialty Underwriting and Residential Finance Trust, Series 2007-BC2 -- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Caa2; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-2C, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade SWIFT MASTER: S&P Affirms Ratings on Four Classes of Notes ---------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on four classes from SWIFT Master Auto Receivables Trust's series 2007-2 and removed them from CreditWatch with negative implications, where S&P had placed them on May 21, 2009. SMART series 2007-2 is an asset-backed securities transaction backed by dealer floorplan receivables originated by Ally Financial Inc. (formerly General Motors Acceptance Corp.). The affirmations reflect S&P's assessment of the recent accumulation of cash in an account dedicated to hold funds for principal payments and the relatively short amount of time remaining before this transaction's expected maturity. On May 21, 2009, S&P placed the ratings on CreditWatch, reflecting its view that a General Motors Corp. Chapter 11 bankruptcy filing could deplete the transaction's credit support as non-essential dealers are eliminated and residual values of vehicles come under pressure to the extent the vehicles are not disposed of in an orderly manner. However, SMART 2007-2 was structured without a GM Chapter 11 bankruptcy trigger. Therefore, the bankruptcy filing did not result in an early amortization event, which limited any cash accumulation and credit support build up that would typically occur in dealer floorplan transactions with bankruptcy triggers tied to the manufacturer insolvency. GM filed for Chapter 11 bankruptcy protection on June 1, 2009, and emerged 40 days later on July 10, 2009, with a deal that sold key operations and core brands, including Chevrolet and Cadillac, to a new company that is majority-owned by the U.S. Treasury. Soon after GM emerged from bankruptcy, Standard & Poor's released criteria that generally limit ABS dealer floorplan transactions to a six-to-nine notch elevation above the corporate credit rating of the servicer or manufacturer unless a formal backup servicer agreement is in place. In S&P's view, ABS dealer floorplan transactions face unique risks because the market value of the collateral backing the rated securities and the intensive servicing of the dealer loans, including repossession of vehicles upon a dealer default, are highly dependent on the financial viability of the manufacturer and the servicer (Ally Financial Inc.). SMART 2007-2 was not structured with a backup servicer in place, and thus, the ratings remained on CreditWatch with negative implications to reflect these additional risks. In April 2010, the scheduled accumulation period for SMART 2007-2 began. Principal receivables are currently being collected in a trust account dedicated to repay the outstanding notes for the series, and S&P expects repayment to be in October 2010. As of the June 2010 distribution date, $657.9 million had been collected in the account, which is over 57% of the outstanding $1.144 billion in rated notes. S&P believes that the accumulation of cash in a dedicated account, combined with the relatively short tenure to the transaction's expected maturity, mitigate the risks that the securitization faces without the benefit of a backup servicer in place. Standard & Poor's will continue to monitor the cash accumulation, as well as the expected debt payments in October 2010, and take rating actions, including CreditWatch placements, in accordance with S&P's criteria. Ratings Affirmed And Removed From Creditwatch SWIFT Master Auto Receivables Trust Rating ------ Series Class To From ------ ----- -- ---- 2007-2 A AA+ AA+/Watch Neg 2007-2 B A- A-/Watch Neg 2007-2 C BBB- BBB-/Watch Neg 2007-2 D BB BB/Watch Neg TIAA REAL: Fitch Affirms Ratings on Five Classes of Notes --------------------------------------------------------- Fitch Ratings has affirmed five classes of notes issued by TIAA Real Estate CDO 2002-1 Ltd. Since the last rating action in March 2009, the credit quality of the collateral has declined with approximately 12.6% of the portfolio downgraded on average 3.6 notches, while only 4% was upgraded on average four notches. Approximately 19.2% of the portfolio has a Fitch derived rating below investment grade and 10.5% has a rating in the 'CCC' rating category or below, as compared to 18% and 3%, respectively, at last review. The effect of the decline in credit quality has been offset by increased credit enhancement levels for all classes of notes due to the deleveraging of the transaction. As of the May 2010 distribution date, approximately 77.4% of the class I notes' original principal balance has amortized down with 15.6% paid down since the last review. As a result, the credit enhancement available to the class I notes increased from 46.9%, at last review, to 59.9%. Similarly, the credit enhancement for the class II-FX and II-FL (class II) notes increased from 34.4% to 43.9%, for the class III notes from 17.3% to 22%, and for the class IV notes from 10.8% to 13.8%. 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'. Based on this analysis, the breakeven rates for al classes of notes are consistent with the ratings assigned below. The Negative Rating Outlook for all classes of 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. Fitch does not assign Rating Outlooks or LS ratings to classes rated 'CCC' or lower. TIAA 2002-1 is a static collateralized debt obligation that closed on May 22, 2002. The current portfolio consists of 34 bonds from 28 obligors, of which 14.7% are real estate investment trust debt securities, 2.8% are structured finance CDOs, and 82.5% are commercial mortgage backed securities from the 1997 through 2001 vintages. Fitch has affirmed, assigned LS ratings and revised Outlooks for these classes as indicated: -- $85,205,414 class I notes at 'AAA/LS2': Outlook to Negative from Stable; -- $17,000,000 class II-FL notes at 'AA/LS3'; Outlook to Negative from Stable; -- $17,000,000 class II-FX notes at 'AA/LS3'; Outlook to Negative from Stable; -- $46,500,000 class III notes at 'BBB+/LS3'; Outlook to Negative from Stable; -- $17,500,000 class IV notes at 'BB/LS4'; Outlook to Negative from Stable. TW HOTEL: Moody's Affirms Ratings on Series 2005-LUX Certificates ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of fourteen pooled classes of TW Hotel Funding 2005, LLC, Commercial Mortgage Pass- Through Certificates, Series 2005-LUX. The affirmations reflect the positive impact of lower leverage due to loan modification, the inherent value of the asset, strong sponsorship, improving market fundamentals for luxury lodging properties and the offsetting negative impact of the deteriorating performance of the underlying collateral. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the June 15, 2010 distribution date, the transaction's aggregate certificate balance has decreased to $320 million from $345 million at last review. The loan was transferred to special servicing on October 28, 2009 due to imminent default (final maturity date in January 2010). A forbearance agreement was in place till May 2010, when the loan modification was completed. The terms of the modification and extension agreement included the pay down of the trust debt by $25 million, pledge of additional collateral (Montecito Country Club located in Santa Barbara, CA) and a new loan maturity date of January 9, 2011, with a one year extension option. The principal repayment was made on pro rata basis within the trust. The transaction has a modified pro rata structure where payments are made on pro rata basis until the loan balance is reduced to 35% of the initial balance. There is a mezzanine loan of $155 million outside the trust. The Ty Warner Portfolio Loan ($320 million -- 100% of pooled balance) is secured by four luxury hotel properties totaling 686 guest rooms located in New York, California and Los Cabos, Mexico. They are Four Seasons Hotel, New York, Four Seasons Resort, The Biltmore, Santa Barbara, Las Ventanas Al Paraiso, A Rosewood Resort, Los Cabos, Mexico and San Ysidro Ranch, A Rosewood Resort, Santa Barbara, A Ty Warner Property. The property's operating performance has deteriorated significantly sine 2008 due to their focus on luxury price segment of the market. But each of the properties are market leaders in respective submarkets, and are considered irreplaceable. The lodging sector experienced unprecedented levels of stress during the last 19 month-period. However, March 2010 was the first month since 4Q 2008, where US lodging segment as a whole, achieved positive RevPAR growth compared to the same period from the prior year. Moody's believe the lodging sector has bottomed out and is on its way to recovery. Moody's anticipate a much stronger rebound to occur in 2011 and 2012. The upper-end of the lodging properties experienced the most declines since 4Q 2008 but is showing the greatest improvement in demand as Moody's rebound from this cycle. Although, the pool's 2009 year-end performance was significantly lower than historical levels, Moody's do not believe that it is representative of the subject pool's stabilized performance. Furthermore, given the high quality of these assets as well as its strong brand affiliation and consumer recognition, Moody's believe the pool warrants an affirmation at this time. Moody's weighted average pooled loan to value ratio remains at 90%, virtually unchanged from last review of 91%. Moody's stressed debt service coverage ratio for the loan is at 0.58X compared to 1.24X at last review. However, due to low interest rate environment the actual DSCR is very strong, and is in excess of 2.0X. The pool has not experienced any losses since securitization. Moody's rating action is: -- Class A1, $100,292,927, affirmed at Aaa; previously on January 12, 2006 assigned Aaa -- Class A2, $33,430,976, affirmed at Aaa; previously on January 12, 2006 assigned Aaa -- Class B, $16,696,685, affirmed at Aa1; previously on March 19, 2009 downgraded to Aa1 from Aaa -- Class C, $19,479,466, affirmed at Aa2; previously on March 19, 2009 downgraded to Aa2 from Aaa -- Class D, $9,551,707, affirmed at Aa3; previously on March 19, 2009 downgraded to Aa3 from Aa1 -- Class E, $12,785,750, affirmed at A1; previously on March 19, 2009 downgraded to A1 from Aa2 -- Class F, $13,011,381, affirmed at A2; previously on March 19, 2009 downgraded to A2 from Aa3 -- Class G, $9,551,707, affirmed at A3; previously on March 19, 2009 downgraded to A3 from A1 -- Class H, $18,802,573, affirmed at Baa1; previously on March 19, 2009 downgraded to Baa1 from A2 -- Class J, $14,590,797, affirmed at Baa2; previously on March 19, 2009 downgraded to Baa2 from A3 -- Class K, $20,306,779, affirmed at Baa3; previously on March 19, 2009 downgraded to Baa3 from Baa1 -- Class L, $13,537,853, affirmed at Ba1; previously on March 19, 2009 downgraded to Ba1 from Baa2 -- Class M, $22,412,668, affirmed at Ba3; previously on March 19, 2009 downgraded to Ba3 from Baa3 -- Class N, $15,192,479, affirmed at B1; previously on March 19, 2009 downgraded to B1 from Ba1 UBS COMMERCIAL: Fitch Downgrades Ratings on 12 2007-FL1 Certs. -------------------------------------------------------------- Fitch Ratings has downgraded 12 classes from the pooled portion of UBS Commercial Mortgage Trust 2007-FL1 reflecting Fitch's base case loss expectation of 14.1%. Five of the non-pooled junior component certificates were also downgraded to reflect Fitch's significant loss expectations on these assets. One of the non- pooled classes was upgraded reflecting the improved performance of this asset. The rating for the interest-only class X was withdrawn. 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. Under Fitch's updated analysis, approximately 93.9% of the pooled loans, and five of the seven 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 12.2% 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 107.1%), Fitch estimates that average recoveries on the pooled loans will be approximately 80.3% in the base case, whereas the more highly leveraged non- pooled component notes (average base case LTV of 110.8%) have a lower modeled recovery of 4.2%. The transaction is collateralized by 27 loans, of which seven are secured by hotels (44.7%), six by office (23.5%), four by land (13.9%), and one by healthcare (2.1%). All of the final extension options on the loans are within the next five years and are: 4.1% in 2010, 7.8% in 2011, 74.8% in 2012, 7% in 2013 and 4.9% in 2014. Fitch identified 20 Loans of Concern (72.1%) within the pool, seven of which are specially serviced (23%). Fitch's analysis resulted in loss expectations for 20 of the pooled components, and each of the associated non-pooled components for the Loans of Concern in the 'B' stress scenario. The three largest pooled contributors to losses (by unpaid principal balance) in the 'B' stress scenario are: Maui Prince Resort (10.7%), Reston Office Portfolio (4.6%), and Paramount Hotel (7%). The Maui Prince loan is secured by a 310-room full service hotel, two 18-hole golf courses and 1,194 acres of undeveloped land located in Maui Hawaii. The loan was transferred to special servicing on June 12, 2009 due to imminent default at its maturity date. Hotel performance has been impacted by lower rates, increased expenses and a decline in tourism in the area. The original plans to develop the vacant land parcel into luxury residential housing have become unfeasible due to the current economic climate. The special servicer filed for foreclosure, appointed a receiver, and hired a new management company in September 2009. The manager is re-branding the property and restaurants and has put its reservation system in place, and submitted a 2010 budget and capital plan for the hotel which is now known as the Makena Beach and Golf Resort. The DSCR and occupancy as of June 30, 2009 Dec. 31, 2008 and at issuance were (1.92)times and 53.2%, (0.71)x and 59.9% and 0.23x and 84%, respectively. The Reston Office Portfolio loan is collateralized by a portfolio four office properties totaling 513,300 sf in Reston, VA. The properties were built between 1982 and 1999. The loan transferred to the special servicer in June 2010 due to imminent default. At issuance the loan was underwritten to a stabilized cash flow anticipating that vacant space at the property would be leased up at market rates. The projected increases have not occurred and occupancy has declined from 79.4% at issuance to 45% as of March 31, 2010. There is significant lease rollover with 24% of the NRA having expired in 2010, 6% in 2011 and 15% in 2012. Expiring leases generally have above market rental rates. Neither a leasing update nor a workout plan was immediately available due to the recent transfer. The Paramount Hotel loan is collateralized by a 600-room full- service hotel located in the Times Square area of Manhattan. The property was built in 1926 and remodeled in stages between 2002 and 2007. At issuance the property was underwritten to a stabilized cash flow based on the anticipated benefit from a $40 million renovation. Property performance has declined since issuance and projected increases have not been achieved. As of YE 2010 occupancy, ADR and RevPAR were to 79.1%, $168.78 and $133.49 respectively compared to 87.8%, $204.97 and $180.02 in-place at issuance. The loan matured on July 9, 2009 and was extended for one year. There are two remaining one-year extensions. Fitch removes these classes from Rating Watch Negative and has downgraded and assigned Rating Outlooks and Loss Severity Ratings to these pooled classes: -- $890.8 million class A-1 to 'AA/LS2' from 'AAA'; Outlook Negative; -- $309.5 million class A-2 to 'BB/LS3' from 'AA'; Outlook Negative; -- $57.3 million class B to 'B/LS5' from 'A+'; Outlook Negative; -- $31 million class C to 'B/LS5' from 'A'; Outlook Negative; Fitch downgraded, removed from Rating Watch Negative and assigned Recovery Ratings to these pooled certificates: -- $27.2 million class D to 'CCC/RR4' from 'A-'; -- $27.2 million class E to 'CCC/RR4' from 'BBB'; -- $27.2 million class F to 'CC/RR6' from 'BB+'; -- $27.2 million class G to 'CC/RR6' from 'BB-'; -- $29.1 million class H to 'C/RR6' from 'B+'; -- $27.1 million class J to 'C/RR6' from 'B'; -- $27.1 million class K to 'C/RR6' from 'B-' -- $35 million class L to 'C/RR6' from 'CCC/RR1'. Additionally, Fitch has downgraded, removed from Rating Watch Negative and assigned RRs to these non-pooled component certificates: -- $6.7 million class M-MP to 'C/RR6' from 'B-'; -- $7 million class N-MP to 'C/RR6' from 'B-'; -- $16.3 million class O-MP to 'C/RR6' from 'B-'; -- $5 million class O-HW to 'CCC/RR6' from 'BBB-'; -- $4.5 million class O-WC to 'CCC/RR6' from 'BB-'. Fitch has upgraded, removed from Rating Watch Negative and assigned Outlooks to this non-pooled component certificate: -- $3 million class O-BH to 'BBB-' from 'BB-'; Outlook Stable. Fitch has affirmed, removed from Rating Watch Negative and assigned an Outlook to this non-pooled component certificate: -- $1.9 million class O-MD at 'BBB-'; Outlook Negative. Fitch withdraws the rating of the interest only class X. 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 LS 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 RRs in order to provide a forward-looking estimate of recoveries on currently distressed or defaulted structured finance securities. RRs 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 RRs on the bonds. The assignment of 'RR4' to class D reflects modeled recoveries of 44% of its outstanding balance. The expected recovery proceeds are broken down: -- Present value of expected principal recoveries ($11.9 million); -- Present value of expected interest payments ($65,294); -- Total present value of recoveries ($8.4 million); -- Sum of undiscounted recoveries ($11.7 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. WACHOVIA BANK: Moody's Affirms Ratings on Four 2007-C32 Certs. -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of four classes and downgraded 20 classes of Wachovia Bank Commercial Mortgage Trust Commercial Securities Pass-Through Certificates, Series 2007-C32. The downgrades due to higher expected losses for the pool resulting from anticipated losses from specially serviced and highly leveraged watchlisted loans and refinance risk associated with loans approaching maturity in an adverse environment. Fifteen loans, representing 27% of the pool, mature within the next two years and a Moody's stressed debt service coverage ratio less than 1.0X. The downgrades include Classes A-3, 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-3, 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 affirmations are due to key rating parameters, including Moody's loan to value ratio, Moody's stressed DSCR and the Herfindahl Index remaining within acceptable ranges. Moody's placed 24 classes of this transaction on review for possible downgrade on June 9, 2010. Moody's is withdrawing the ratings of Classes A-4M, A-4MS, A-MM and A-MMS. These were derivative classes associated with Classes A-4FL and A-MFL which have been terminated at the request of the issuer. 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 June 17, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 0.3% to $3.81 billion from $3.82 billion at securitization. The Certificates are collateralized by 143 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 46% of the pool. The pool contains no defeased loans or loans with investment grade underlying ratings. Fifty-one loans, representing 41% 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. One loan has been liquidated from the pool since securitization, resulting in an $1.0 million realized loss (53% loss severity). Ten loans, representing 19% of the pool, are currently in special servicing. The largest specially serviced loan is the Beacon D.C. & Seattle Pool ($414.0 million - 10.9%), which represents a pari passu interest in a $2.7 billion first mortgage loan. There is an additional $205 million mezzanine loan secured by a pledge of the equity interests of the borrower. The loan is collateralized by 17 office properties located in Washington, Virginia and Washington, D.C. The properties range from 103,000 to 1.1 million square feet and total 9.8 million square feet. The portfolio was 88% occupied as of December 2009 compared to 93% at last review and 97% at securitization. The loan was transferred to special servicing in April 2010 due to imminent default. The loan is current and the borrower is seeking a loan modification. The loan lacks the benefit of amortization as it is interest-only throughout its entire five year term. The loan matures in May 2012. The second largest specially serviced loan is the Westin Casuarina Resort & Spa - Cayman Islands Loan ($137.7 million - 3.6%), which is secured by a 343-room full service hotel located in the heart of the primary tourist area on Grand Cayman Island. Property performance has declined as the hotel has been impacted by the a downturn in the tourism industry. Occupancy and revenue per available room for year-to-date ending September 2009 were 52% and $124, respectively, compared to 58% and $162 at securitization. The loan was transferred to special servicing in February 2010 due to imminent default and is current. The borrower is seeking a loan modification as it cannot continue to cover debt service shortfalls. The loan had an 18 month interest-only period and is currently amortizing on a 360 month schedule. The remaining eight specially serviced loans are secured by a mix of hospitality, multifamily, office, retail and industrial properties. Moody's estimates an aggregate $229.8 million loss for all specially serviced loans (32% expected loss on average). The servicer has recognized an aggregate $122.2 million appraisal reduction for eight of the specially serviced loans. In addition to recognizing losses from specially serviced loans, Moody's has assumed a high default probability on 17 loans representing 17% of the pool and has estimated an aggregate $152.1 million loss (overall 23% expected loss based on an overall 47% 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 full or partial year 2009 operating results for 91% of the performing pool. Moody's weighted average LTV ratio, excluding the specially serviced and troubled loans, is 131% compared to 144% at Moody's prior review. Moody's actual and stressed DSCR are 1.27X and 0.81X, respectively, compared to 1.19X and 0.77X 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 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 23 compared to 30 at last review. The three largest performing loans represent 19% of the outstanding pool balance. The largest performing loan is the ING Hospitality Pool ($283.9 million -- 7.4%), which represents a pari passu interest in a $567.7 million first mortgage. The loan is secured by 46 hotels located in 18 states. Performance has declined since last review due to a drop in tourist and business travel. The portfolio's occupancy and RevPAR for the trailing 12- month period ending December 31, 2009 were 67% and $70, respectively, compared to 73% and $85 for the same period in 2008. The loan is interest only for its entire five year term. Moody's LTV and stressed DSCR are 140% and 0.90X, respectively, compared to 122% and 1.03X at last review. The second largest performing loan is the DDR Southeast Pool ($221.3 million -- 5.8%), which represents a pari passu interest in an $885 million first mortgage. The loan is secured by 52 anchored retail properties located in ten states. The portfolio was 91% leased as of October 2009 compared to 89% at last review. Despite stable occupancy, performance has declined due to a drop in rental revenues. The loan is interest only for its entire 10 year term. Moody's LTV is and stressed DSCR are 119% and 0.82X, respectively, compared to 114% and 0.85X at last review. The third largest performing loan is the Two Herald Square Loan ($200.0 million -- 5.2%), which is secured by a 359,248 square foot Class B office and retail building located in the Penn Station submarket of New York City. The property is also encumbered with a $50.0 million subordinate note. The largest tenants include Publicis USA Holdings (34% of the net rentable area (NRA); lease expiration August 2016), H&M (20% of the NRA; lease expiration January 2017) and ASA Institute (16% of the NRA; lease expiration February 2025). As of April, 2010 the property was 99% leased compared to 85% at year end 2008. The increase in occupancy is primarily the result of the recent signing of a large tenant. The loan is interest only for its entire 10 year term. Moody's LTV and stressed DSCR are 159% and 0.59X, respectively, compared to 172% and 0.57X at last review. Moody's rating action is: -- Class A-1, $14,345,057, affirmed at Aaa; previously assigned Aaa on 7/19/2007 -- Class A-2, $946,379,000, affirmed at Aaa; previously assigned Aaa on 7/19/2007 -- Class A-PB, $62,827,000, affirmed at Aaa; previously assigned Aaa on 7/19/2007 -- Class IO, notional, affirmed at Aaa; previously assigned Aaa on 7/19/2007 -- Class A-3, $948,589,000, downgraded to Aa3 from Aaa; previously placed on review for possible downgrade on 6/09/10 -- Class A-4FL, $250,000,000, downgraded to Aa3 from Aaa; previously placed on review for possible downgrade on 6/09/10 -- Class A-1A, $442,373,912, downgraded to Aa3 from Aaa; previously placed on review for possible downgrade on 6/09/10 -- Class A-MFL, $382,385,000, downgraded to Baa1 from Aaa; previously placed on review for possible downgrade on 6/09/10 -- Class A-J, $253,330,000, downgraded to B2 from A2; previously placed on review for possible downgrade on 6/09/10 -- Class B, $43,019,000, downgraded to B3 from A3; previously placed on review for possible downgrade on 6/09/10 -- Class C, $47,798,000, downgraded to Caa2 from Baa1; previously placed on review for possible downgrade on 6/09/10 -- Class D, $28,679,000, downgraded to Caa3 from Baa2; previously placed on review for possible downgrade on 6/09/10 -- Class E, $28,679,000, downgraded to Ca from Baa3; previously placed on review for possible downgrade on 6/09/10 -- Class F, $38,238,000, downgraded to Ca from Ba1; previously placed on review for possible downgrade on 6/09/10 -- Class G, $43,018,000, downgraded to Ca from Ba2; previously placed on review for possible downgrade on 6/09/10 -- Class H, $47,799,000, downgraded to C from Ba3; previously placed on review for possible downgrade on 6/09/10 -- Class J, $52,578,000, downgraded to C from B1; previously placed on review for possible downgrade on 6/09/10 -- Class K, $33,458,000, downgraded to C from B3; previously placed on review for possible downgrade on 6/09/10 -- Class L, $19,120,000, downgraded to C from Caa1; previously placed on review for possible downgrade on 6/09/10 -- Class M, $9,559,000, downgraded to C from Caa1; previously placed on review for possible downgrade on 6/09/10 -- Class N, $14,340,000, downgraded to C from Caa2; previously placed on review for possible downgrade on 6/09/10 -- Class O, $9,559,000, downgraded to C from Caa2; previously placed on review for possible downgrade on 6/09/10 -- Class P, $9,560,000, downgraded to C from Caa3; previously placed on review for possible downgrade on 6/09/10 -- Class Q, $9,560,000, downgraded to C from Caa3; previously placed on review for possible downgrade on 6/09/10 WACHOVIA BANK: Moody's Reviews Ratings on Nine 2004-C15 Certs. -------------------------------------------------------------- Moody's Investors Service placed nine CMBS classes of Wachovia Bank Commercial Mortgage Securities, Inc., Commercial Mortgage Pass-Through Certificates, Series 2004-C15 on review for possible downgrade due to higher expected losses for the pool resulting from actual and anticipated losses from specially serviced and highly leveraged watchlisted loans. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities transactions. As of the May 15, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 22% to $1.0 billion from $1.2 billion at securitization. The Certificates are collateralized by 84 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans representing 48% of the pool. Four loans, representing 5% of the pool, have defeased and are collateralized by U.S. Government securities. Twenty-two 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. Two loans have been liquidated from the pool, resulting in a $6.5 million aggregate loss (28% loss severity on average). Currently three loans, representing 7% of the pool, are in special servicing. The largest specially serviced loan is the IRS Building Loan ($45.8 million -- 4.1% of the pool), which is secured by a 180,000 square foot office building located in Fresno, California. The property is 100% leased to the U.S. Government through 2018. The loan was transferred to special servicing in January 2010 due to the borrower and indemnitor's bankruptcy filing The loan has passed its November 2009 anticipated repayment date. Property performance has been stable. The remaining two loans are secured by a retail center and a multifamily property. Moody's review will focus on potential losses from specially serviced and watchlisted loans and the performance of the overall pool. Moody's rating action is: -- Class F, $14,438,000, currently rated Baa1, on review for possible downgrade; previously assigned Baa2 on 12/21/2004 -- Class G, $12,993,000, currently rated Baa2, on review for possible downgrade; previously assigned Baa2 on 12/21/2004 -- Class H, $15,881,000, currently rated Baa3, on review for possible downgrade; previously assigned Baa3 on 12/21/2004 -- Class J, $7,219,000, currently rated Ba1, on review for possible downgrade; previously assigned Ba1 on 12/21/2004 -- Class K, $4,331,000, currently rated Ba2, on review for possible downgrade; previously assigned Ba2 on 12/21/2004 -- Class L, $4,331,000, currently rated Ba3, on review for possible downgrade; previously assigned Ba3 on 12/21/2004 -- Class M, $2,888,000, currently rated B1, on review for possible downgrade; previously assigned B1 on 12/21/2004 -- Class N, $2,887,000, currently rated B2, on review for possible downgrade; previously assigned B2 on 12/21/2004 -- Class O, $2,887,000, currently rated B3, on review for possible downgrade; previously assigned B3 on 12/21/2004 * Fitch Affirms Ratings on Two RMBS Resecuritization Trusts ----------------------------------------------------------- Fitch Ratings affirms two U.S. residential mortgage backed security resecuritization trusts, as a part of Fitch's continued surveillance. The affected trusts represent a beneficial ownership interest in separate trust funds. The Re-REMIC transactions were originally rated prior to 2005 and are securitized by Prime and Subprime RMBS from Pre-2005 vintages. Fitch's rating actions are: DLJ Mortgage Acceptance Corp. 2000-B -- Class A1 (23321P6K9) affirmed at 'AAA'; -- Class A2 (23321P6L7) affirmed at 'AAA'. Arc Net Interest Margin Trust 2003-BC2 -- Class B (80382SAK4) affirmed at 'C/RR2'. The rating actions on the Re-REMIC transactions reflect the most recent rating actions Fitch took in the Pre-2005 Prime and Pre- 2005 Subprime market sectors, in the fourth quarter of 2009 and the second quarter of 2010 respectively. The ratings on the Re-REMIC classes directly reflect the ratings on the underlying classes. The Re-REMICs are direct pass-through structures and do not provide additional enhancement to the Re- REMIC classes. * Moody's Downgrades Ratings on 136 Tranches From 32 RMBS Deals --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 136 tranches from 32 RMBS transactions issued by GSAMP Trust and GSAA Home Equity Trust. The collateral backing these deal 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 Workstation(R), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. The above mentioned approach "Subprime RMBS Loss Projection Update: February 2010" is adjusted slightly when estimating losses on pools left with a small number of loans. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool (typically 20% for subprime pools). Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility and hence the stress applied. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2005 vintage, the adjusted rate of new delinquency would be 20.20%. If current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.2 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Complete rating actions are: Issuer: GSAA Home Equity Trust 2005-10 -- Cl. M-1, Upgraded to Aaa; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to A1; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ba2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: GSAA Home Equity Trust 2005-2 -- Cl. B-1, Confirmed at Baa1; previously on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Caa1; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade Issuer: GSAA Home Equity Trust 2006-2 -- Cl. 1A1, Downgraded to Caa2; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. 1A2, Downgraded to C; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2A3, Downgraded to Ba2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. 2A4, Downgraded to Ca; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. 2A5, Downgraded to C; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 2A2, Confirmed at Baa2; previously on Jan 13, 2010 Baa2 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: GSAMP Trust 2005-AHL -- Cl. A-3, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2005-AHL2 -- Cl. A-1A, Confirmed at A1; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. A-1B, Confirmed at A3; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. A-2C, Confirmed at Ba1; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-2D, Confirmed at Ba2; previously on Jan 13, 2010 Ba2 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: GSAMP Trust 2005-HE1 -- Cl. M-1, Downgraded to Ba2; previously on Jan 13, 2010 A3 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: GSAMP Trust 2005-HE2 -- Cl. M-1, Confirmed at A2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2005-HE3 -- Cl. M-1, Upgraded to Aa1; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba3; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2005-HE4 -- Cl. A-1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2C, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca; 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 Caa2 Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2005-HE5 -- Cl. A-1, Downgraded to Aa2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Aa2; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba2; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 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 Caa2 Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2005-HE6 -- Cl. A-1, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2B, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-2C, Confirmed at Aa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-1, Confirmed at A2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B1; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2005-NC1 -- Cl. M-1, Downgraded to B1; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2005-WMC1 -- Cl. A-4, Confirmed at Aa1; previously on Jan 13, 2010 Aa1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa3; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2005-WMC2 -- Cl. A-1A, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to B2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to B1; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-2B, Confirmed at Aa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2005-WMC3 -- Cl. A-1A, Downgraded to B3; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to C; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to C; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2006-FM1 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2006-FM2 -- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to C; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2006-FM3 -- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to B3; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2006-HE2 -- Cl. A-2, Downgraded to B1; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa2; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2006-HE3 -- Cl. A-1, Downgraded to Caa1; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Caa3; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2B, Confirmed at Aa2; previously on Jan 13, 2010 Aa2 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: GSAMP Trust 2006-HE4 -- Cl. A-1, Downgraded to Caa2; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Caa2; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2B, Confirmed at Aa2; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2006-HE5 -- Cl. A-1, Downgraded to Caa1; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Ba2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Ca; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2006-HE6 -- Cl. A-2, Confirmed at B2; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2006-HE7 -- Cl. A-1, Downgraded to Caa2; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Caa1; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Caa3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2B, Confirmed at Ba1; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2006-HE8 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to B3; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Ca; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2006-NC1 -- Cl. A-2, Downgraded to B3; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa3; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. 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: GSAMP Trust 2007-FM1 -- Cl. A-1, Downgraded to Ca; previously on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Caa2; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade -- Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2007-FM2 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to B1; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2007-HE1 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-2A, Upgraded to Aa2; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to B3; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Ca; previously on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2007-HE2 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Ba1; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Caa2; previously on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to Ca; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2007-HSBC1 -- Cl. M-1, Downgraded to C; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C; previously on Jan 13, 2010 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 B3 Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2007-NC1 -- Cl. A-1, Downgraded to Caa3; previously on Jan 13, 2010 Ba3 Remained On Review for Possible Downgrade -- Cl. A-2A, Downgraded to B3; previously on Jan 13, 2010 Baa2 Remained On Review for Possible Downgrade -- Cl. A-2B, Downgraded to Ca; previously on Jan 13, 2010 B3 Remained On Review for Possible Downgrade -- Cl. A-2C, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade -- Cl. A-2D, Confirmed at Ca; previously on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade * S&P Downgrades Ratings on 105 Certs. From Five RMBS Transactions ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 105 classes of certificates from five residential mortgage-backed securities resecuritized real estate mortgage investment conduit transactions issued between 2006 and 2009, and removed 100 of them from CreditWatch negative. Additionally, S&P affirmed its ratings on 297 classes from the same transactions and removed 256 of the affirmed ratings from CreditWatch negative. The downgrades reflect S&P's assessment of the significant deterioration in performance of the mortgage loans supporting the underlying certificates. As a result of this performance deterioration, the downgraded classes were unable to maintain their previous ratings at the applicable rating stresses. The affirmations reflect S&P's assessment of the credit enhancement available to the underlying certificates, which in its opinion is sufficient to maintain the ratings on the re-REMIC classes. Certain re-REMIC classes may also benefit from supporting classes within the re-REMIC transaction. When performing S&P's analysis on the re-REMIC classes, S&P applied its loss projections to the underlying trusts in order to identify the magnitude of losses that S&P believes could be passed-through to the applicable re-REMIC classes. Generally, S&P's projected losses depend on the type of collateral supporting the underlying trusts. S&P then stressed these loss projections at various rating categories in order to assess whether the re- REMIC classes could withstand such stressed losses associated with their ratings. Generally, the underlying collateral consists of prime, subprime, and Alternative-A mortgage loans from 2005-2007 vintages. In S&P's view, the performance of these collateral types for such vintages has declined in recent years. As a result, over the past several 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 C-BASS ABS, LLC 2006-B Trust Certificates, Series 2006-B Series 2006-B Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 1248A9AA1 CC BB/Watch Neg B-2 1248A9AB9 CC B/Watch Neg Jefferies Resecuritization Trust 2008-R5 Series 2008-R5 Rating ------ Class CUSIP To From ----- ----- -- ---- 34-B 47232RCV1 CC BB/Watch Neg 30-B 47232RCM1 CCC BB/Watch Neg 15-A 47232RBE0 AAA AAA/Watch Neg 28-B 47232RCH2 CC BB-/Watch Neg 22-A 47232RBU4 AAA AAA/Watch Neg 38-A 47232RDC2 AAA AAA/Watch Neg 8-B 47232RAR2 CCC A/Watch Neg 6-B 47232RAM3 CCC B/Watch Neg 12-A 47232RAY7 AAA AAA/Watch Neg 10-B 47232RAV3 CCC B+/Watch Neg 25-B 47232RCB5 CCC A/Watch Neg 25-A 47232RCA7 AAA AAA/Watch Neg 44-B 47232RDR9 CCC B/Watch Neg 33-B 47232RCT6 CCC B/Watch Neg 23-A 47232RBW0 BBB AAA/Watch Neg 26-A 47232RCC3 AAA AAA/Watch Neg 27-A 47232RCE9 AAA AAA/Watch Neg 45-B 47232RDT5 CCC A/Watch Neg 32-A 47232RCQ2 AA+ AAA/Watch Neg 30-A 47232RCL3 B+ AAA/Watch Neg 45-A 47232RDS7 BB AAA/Watch Neg 29-B 47232RCK5 CCC B/Watch Neg 40-B 47232RDH1 B- BB/Watch Neg 20-A 47232RBQ3 AAA AAA/Watch Neg 38-B 47232RDD0 B- BB/Watch Neg 4-B 47232RAH4 B- BB/Watch Neg 7-B 47232RAP6 CCC A/Watch Neg 46-A 47232RDU2 BB AAA/Watch Neg 8-A 47232RAQ4 BB AAA/Watch Neg 40-A 47232RDG3 AAA AAA/Watch Neg 4-A 47232RAG6 AAA AAA/Watch Neg 20-B 47232RBR1 CC BBB/Watch Neg 11-A 47232RAW1 BBB- AAA/Watch Neg 21-B 47232RBT7 CCC BB/Watch Neg 39-B 47232RDF5 CCC A/Watch Neg 36-A 47232RCY5 AAA AAA/Watch Neg 39-A 47232RDE8 BB+ AAA/Watch Neg 37-A 47232RDA6 BB- AAA/Watch Neg 42-B 47232RDM0 CCC BB/Watch Neg 23-B 47232RBX8 CC A/Watch Neg 18-A 47232RBL4 AAA AAA/Watch Neg 14-A 47232RBC4 AAA AAA/Watch Neg 42-A 47232RDL2 BB AAA/Watch Neg 2-A 47232RAC5 AAA AAA/Watch Neg 13-B 47232RBB6 CCC B/Watch Neg 1-A 47232RAA9 AAA AAA/Watch Neg 36-B 47232RCZ2 CCC AAA/Watch Neg 32-B 47232RCR0 CCC B/Watch Neg 16-A 47232RBG5 AAA AAA/Watch Neg 43-B 47232RDP3 CCC BBB/Watch Neg 6-A 47232RAL5 AAA AAA/Watch Neg 41-B 47232RDK4 CCC B/Watch Neg 11-B 47232RAX9 CCC BB/Watch Neg 35-A 47232RCW9 AAA AAA/Watch Neg 46-B 47232RDV0 CCC A/Watch Neg 3-B 47232RAF8 CC A/Watch Neg 1-B 47232RAB7 BBB A/Watch Neg 33-A 47232RCS8 AAA AAA/Watch Neg 34-A 47232RCU3 AAA AAA/Watch Neg 26-B 47232RCD1 CCC B/Watch Neg 35-B 47232RCX7 CC BB/Watch Neg 10-A 47232RAU5 AAA AAA/Watch Neg 19-B 47232RBP5 CCC AA/Watch Neg 43-A 47232RDN8 AAA AAA/Watch Neg 21-A 47232RBS9 AAA AAA/Watch Neg 13-A 47232RBA8 AAA AAA/Watch Neg 29-A 47232RCJ8 BB+ AAA/Watch Neg 44-A 47232RDQ1 AAA AAA/Watch Neg 28-A 47232RCG4 AAA AAA/Watch Neg 15-B 47232RBF7 CCC B+/Watch Neg 24-A 47232RBY6 BB AAA/Watch Neg 37-B 47232RDB4 CCC A/Watch Neg 7-A 47232RAN1 BB AAA/Watch Neg 16-B 47232RBH3 BB+ AA/Watch Neg 3-A 47232RAE1 AA+ AAA/Watch Neg 31-A 47232RCN9 AAA AAA/Watch Neg 2-B 47232RAD3 B- BBB/Watch Neg 12-B 47232RAZ4 CC BB/Watch Neg 41-A 47232RDJ7 AAA AAA/Watch Neg 19-A 47232RBN0 AAA AAA/Watch Neg 22-B 47232RBV2 CC B/Watch Neg 9-B 47232RAT8 CCC B+/Watch Neg 5-A 47232RAJ0 AAA AAA/Watch Neg 9-A 47232RAS0 AAA AAA/Watch Neg 18-B 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AAA/Watch Neg 23-AZ 47233BGS8 A A/Watch Neg 21-AX 47233BFZ3 A A/Watch Neg 48-A1 47233BPR0 A A/Watch Neg 22-A3 47233BGE9 BB BB/Watch Neg 33-AZ 47233BKT1 A A/Watch Neg 27-A3 47233BHU2 BB BB/Watch Neg 38-AX 47233BMB8 A A/Watch Neg 28-A1 47233BHZ1 A A/Watch Neg 41-A1 47233BMS1 B+ A/Watch Neg 34-AX 47233BKZ7 A A/Watch Neg 45-A2 47233BNU5 BBB BBB/Watch Neg 31-AX 47233BKA2 A A/Watch Neg 34-A3 47233BKW4 BB BB/Watch Neg RBSSP Resecuritization Trust 2009-3 Series 2009-3 Rating ------ Class CUSIP To From ----- ----- -- ---- 12-A1 74928FBS8 AA AAA 14-A2 74928FBX7 B+ BB 12-A2 74928FBT6 CCC B+ 11-A2 74928FBR0 B- AAA 13-A2 74928FBV1 CCC B+ RBSSP Resecuritization Trust 2009-6 Series 2009-6 Rating ------ Class CUSIP To From ----- ----- -- ---- 2-A1H 74928XEX5 AAA AAA/Watch Neg 2-A2 74928XAR2 BB+ AA/Watch Neg 3-A1D 74928XBA8 AAA AAA/Watch Neg 1-A1P 74928XEP2 AAA AAA/Watch Neg 3-A1F 74928XFM8 AAA AAA/Watch Neg 12-A4 74928XGD7 AAA AAA/Watch Neg 3-A1J 74928XFR7 AAA AAA/Watch Neg 2-A1L 74928XFB2 AAA 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Downgrades Ratings on 621 Classes From 431 RMBS Transactions ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings to 'D' on 621 classes of mortgage pass-through certificates from 431 U.S. residential mortgage-backed securities transactions issued between 2002 and 2008. S&P removed two of the lowered ratings from CreditWatch with negative implications. In addition, four ratings from two of the affected transactions remain on CreditWatch with negative implications. Approximately 75.04% of the defaulted classes were from transactions backed by Alternative-A or subprime mortgage loan collateral. The 621 defaulted classes consisted of these: * 347 classes were from Alt-A transactions (55.88% of all defaults); * 119 were from subprime transactions (19.16% of all defaults); * 68 were from prime jumbo transactions; * 65 were from resecuritized real estate mortgage investment conduit (re-REMIC) transactions; * Five were from closed-end second-lien transactions; * Four were from reperforming transactions; * Four were from outside-the-guidelines transactions; * Four were from document-deficient transactions; * Three were from first-lien high loan-to-value transactions; and * Two were from risk transfer transactions. The 621 downgrades to 'D' reflect S&P's assessment of principal write-downs on the affected classes during recent remittance periods. Twelve of the defaulted ratings affect classes that are bond insured by Ambac Assurance Corp. (currently rated 'R'). 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 99.52% of the ratings from the 'CCC' or 'CC' rating categories, and S&P lowered 99.84% 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 to be consistent with its criteria. * S&P Takes Rating Actions on Credit Derivative Product Companies ----------------------------------------------------------------- Standard & Poor's Ratings Services took these rating actions on six credit derivative product companies: * S&P lowered its long-term issuer credit rating and class A and B issue ratings for Channel Capital PLC; * S&P placed its ICR and senior subordinate issue rating for Athilon Capital Corp./Athilon Asset Acceptance Corp. and its ICRs and issue ratings for Centerline Financial LLC, Invicta Capital LLC/Invicta Credit LLC, and Newlands Financial Ltd. on CreditWatch with negative implications; and * S&P affirmed its subordinated and junior subordinated issue ratings for Athilon, its ICR and issue ratings for Koch Financial Products LLC, and its short-term ICR and senior capital notes issue rating for Channel Capital. CDPCs generally offer credit protection on a number of reference obligations, including corporate, sovereign, and to a limited degree, structured finance securities. The rating actions follow the scheduled implementation of S&P's updated criteria for rating CDPCs with corporate credit exposure. S&P lowered its long-term ICR and class A and B note issue ratings and affirmed its short-term ICR and senior capital notes issue rating for Channel Capital based on the CDPC's updated capital model results, which incorporate S&P's updated criteria. During its analyses, S&P also considered its view of potential sensitivities relating to various scenarios involving portfolio credit quality, counterparty credit quality (these counterparties buy credit protection from Channel Capital), and changing portfolio compositions. The CreditWatch negative placement of S&P's ICR and senior subordinate issue rating for Athilon and its ICRs and issue ratings for Invicta and Newlands Financial reflect the fact that, as of June 21, 2010, S&P has not received their capital model run results that incorporate S&P's April 27, 2010, CDPC criteria, which became effective June 8, 2010. S&P currently believe that S&P will likely lower its ratings on these three CDPCs upon the application of its updated criteria. As a result, S&P is placing its ratings on these CDPCs on CreditWatch negative. The CreditWatch negative placement of S&P's ICR and senior loan rating on Centerline Financial LLC, a CDPC that sells credit protection on affordable housing tax credits, reflects its view of potential increased risks associated with its exposure to affordable housing tax credits. S&P currently believe that, given the reported breach of capital model test and the performance of the properties associated with Centerline Financial's credit default swap portfolio -- as indicated by the debt service coverage ratio, loan-to-value ratio, and occupancy ratio -- amid the challenging tax credit market, it is likely that S&P will lower its ratings on Centerline Financial after S&P complete its ongoing review. As a result, S&P is placing its ratings on Centerline Financial on CreditWatch negative. S&P affirmed its ICR and debt ratings for Koch Financial Products after its capital model reports showed that the CDPC passes all of its capital model tests after incorporating S&P's updated criteria. S&P's ratings also reflect its view of potential sensitivities relating to counterparty risk. Ratings Lowered Channel Capital PLC Rating ------ Issue To From ----- -- ---- Long-term issuer credit rating AA- AAA Class A issues AA- AAA Class B issues A AA Ratings Placed On Creditwatch Negative Athilon Capital Corp./Athilon Asset Acceptance Corp. Rating ------ Issue To From ----- -- ---- Issuer credit rating BBB-/Watch Neg BBB-/Negative Senior subordinated note issues B/Watch Neg B Centerline Financial LLC Rating ------ Issue To From ----- -- ---- Issuer credit rating AAA/Watch Neg AAA Senior loan AAA/Watch Neg AAA Invicta Capital LLC/Invicta Credit LLC Rating ------ Issue To From ----- -- ---- Issuer credit rating AAA/Watch Neg AAA Class A floating-rate term note issues AAA/Watch Neg AAA Class A auction-rate note issues AAA/Watch Neg AAA Class B floating-rate term note issues AA/Watch Neg AA Class B auction-rate note issues AA/Watch Neg AA Newlands Financial Ltd. Rating ------ Issue To From ----- -- ---- Issuer credit rating AAA/Watch Neg AAA Floating-rate note issues AAA/Watch Neg AAA Class A loan issues AAA/Watch Neg AAA Class B loan issues AA-/Watch Neg AA- Class B-1 loan issues AA-/Watch Neg AA- Ratings Affirmed Athilon Capital Corp./Athilon Asset Acceptance Corp. Issue Rating ----- ------ Subordinated note issues CCC Junior subordinated note issues CCC- Channel Capital PLC Issue Rating ----- ------ Short-term issuer credit rating A-1+ Senior capital note issues BBB Koch Financial Products LLC Issue Rating ----- ------ Issuer credit rating AAA Subordinated debt issues A- Junior subordinated debt issues BBB- NR -- Not rated. ********* 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 ***