/raid1/www/Hosts/bankrupt/TCR_Public/100905.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, September 5, 2010, Vol. 14, No. 246
Headlines
505 CLO: Moody's Upgrades Ratings on Three Classes of Notes
AES EASTERN: Moody's Cuts Rating on $486 Mil. Certs. to 'Ba2'
ANTARCTICA CFO: S&P Downgrades Ratings on Class C Notes
ASSET SECURITIZATION: S&P Downgrades Rating on Class B-1 to 'CCC-'
AVERY POINT: Moody's Upgrades Ratings on Various Classes of Notes
BANC OF AMERICA: Fitch Takes Rating Actions on 2005-1 Certs.
BANC OF AMERICA: S&P Raises Ratings on Five 2005-MIB1 Certs.
BEAR STEARNS: Moody's Downgrades Ratings on Six 2002-Top6 Certs.
CAPITAL ONE: Fitch Affirms Ratings on All 2002-1D Notes
CHASE EDUCATION: Fitch Affirms Ratings on Senior Student Loans
CHATHAM COUNTY: S&P Downgrades Rating on Revenue Bonds to 'BB+'
CIT GROUP: S&P Corrects Rating on Class B Certs. to 'CCC-'
CONVENTION CENTER: Moody's Assigns Negative Outlook on Tax Bonds
CORPORATE BACKED: Moody's Upgrades Ratings on Two Certificates
CORTS TRUST: Moody's Upgrades Ratings on Certs. From 'Ba1'
CREDIT SUISSE: Fitch Takes Rating Actions on 1999-C1 Notes
CREDIT SUISSE: Moody's Downgrades Ratings on 12 2005-C2 Certs.
CREDIT SUISSE: Moody's Reviews Ratings on Nine 2003-C3 Notes
CREDIT SUISSE: Moody's Reviews Ratings on 10 2006-TFL1 Certs.
CT CDO: S&P Affirms Ratings on 15 Classes of CRE CDO Deals
CWALT INC: Moody's Corrects Ratings on Five 2006-HY12 Tranches
CWHEQ HOME: Moody's Downgrades Ratings on 26 Tranches
DRYDEN VII-LEVERAGED: Moody's Upgrades Rating on Various Notes
FRANKLIN CLO: Moody's Upgrades Ratings on Four Classes
GEMSTONE CDO: Moody's Downgrades Ratings on Three Classes of Notes
GMAC COMMERCIAL: Fitch Downgrades Ratings on 2004-C1 Certs.
GMAC INC: Moody's Upgrades Ratings on 26 Subordinate Tranches
GREENPOINT CREDIT: S&P Corrects Note Ratings to 'CCC' From 'A'
GS CDS: Moody's Downgrades Rating on Mezzanine Tranche to 'C'
GS CDS: Moody's Takes Rating Actions on $100 Mil. Tranche
HEALTHCARE REALTY: Moody's Changes Outlook to Positive
HILLSDALE HOSPITAL: S&P Gives Stable Outlook on Series 1998 Bonds
HOMEEQ SERVICING: Fitch Confirms Ratings on 22 Transactions
JP MORGAN: Moody's Reviews Ratings on 11 2003-CIBC7 Certs.
LB-UBS COMMERCIAL: S&P Downgrades Rating on Class M to 'D'
LOMBARD PUBLIC: S&P Downgrades Rating on 2005B Bonds to 'B-'
LOUISIANA HOUSING: S&P Raises Rating on Revenue Bonds From 'BB'
MARIETTA AREA: Moody's Cuts Ratings on $38.5 Mil. Bonds to 'Ba2'
MISTLETOE ORSO: Moody's Upgrades Ratings on Certs. to 'Caa1'
MORGAN STANLEY: S&P Downgrades Ratings on Eight 2005-RR6 Certs.
N-STAR REAL: S&P Downgrades Ratings on Seven Classes of Notes
NATIONSLINK FUNDING: S&P Downgrades Ratings on 1999-2 Certs.
NELNET STUDENT: Fitch Affirms Ratings on Senior Student Loans
NELSON RE: Moody's Takes Rating Actions on Catastrophe Bonds
NOMURA ASSET: Moody's Downgrades Ratings on Two 2004-AR1 Tranches
OCALA FUNDING: Moody's Withdraws Ratings on Various Classes
PAJARO VALLEY: S&P Raises Rating on 1999A Certificates From 'BB'
PREFERREDPLUS TRUST: Moody's Raises Ratings on Series QWS-1 Certs.
PREFERREDPLUS TRUST: Moody's Raises Ratings on Series QWS-2 Certs.
PRUDENTIAL SECURITIES: Moody's Upgrades Ratings on 2000-C1 Notes
RAIT CRE: Moody's Reviews Ratings on 11 Classes of Notes
RALI SERIES: Moody's Downgrades Rating on Two 2006-QS13 Tranches
RFSC SERIES: Moody's Downgrades Rating on Two 2002-RM1 Tranches
SALOMON BROTHERS: Fitch Takes Rating Actions on 2000-C2 Certs.
SANDELMAN REALTY: Moody's Takes Rating Actions on Various Notes
SARGAS CLO: Moody's Upgrades Ratings on Four Classes of Notes
SIGNATURE 7: Moody's Upgrades Ratings on Two Classes of Notes
SLM STUDENT: Fitch Affirms Ratings on Senior Student Loans
STATIC RESIDENTIAL: Moody's Downgrades Rating on Class A-1 Notes
STRUCTURED ASSET: S&P Downgrades Ratings on Two Classes of Notes
WACHOVIA BANK: Fitch Affirms Ratings on 2003-C3 Certificates
WASHINGTON MUTUAL: Moody's Downgrades Ratings on 249 Tranches
WELLS FARGO: Moody's Downgrades Ratings on 30 Tranches
ZOO HF: S&P Downgrades Ratings on Three Classes of Notes
* Fitch Affirms 'BB+' Rating on New York City Industrial's Debt
* Fitch Downgrades Ratings on 320 Bonds From 217 RMBS Deals
* S&P Affirms Ratings on 87 Classes From Five Re-Remic Deals
* S&P Downgrades Ratings on 10 Tranches From Six CDO Transactions
* S&P Downgrades Ratings on 15 Tranches From Nine CDO Transactions
* S&P Downgrades Ratings on 21 Tranches From 11 Hybrid CDO Deals
* S&P Downgrades Ratings on 44 Classes From 14 RMBS Transactions
* S& Downgrades Ratings on 127 Classes From 31 RMBS Transactions
* S&P Downgrades Ratings on 452 Certs. From 344 RMBS Deals to 'D'
* S&P Downgrades Ratings on Eight Certs. From Two RMBS Deals
* S&P Downgrades Ratings on 13 Tranches From Eight CDO Deals
* S&P Downgrades Ratings on 13 Tranches From Eight Hybrid CDOs
* S&P Downgrades Ratings on Five Tranches From Three CDO Deals
* S&P Downgrades Ratings on Five Tranches From Four Hybrid CDOs
* S&P Downgrades Ratings on Seven Tranches From Two CDO Deals
* S&P Downgrades Ratings on Three Certs. From Three RMBS Deals
*********
505 CLO: Moody's Upgrades Ratings on Three Classes of Notes
-----------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these notes issued by 505 CLO I Ltd.:
-- US$562,000,000 Class A Senior Notes due 2015 (current
balance of $345,488,169), Upgraded to Aa2 (sf); previously on
Sept. 3, 2009 Downgraded to Aa3 (sf);
-- US$67,000,000 Class B Deferrable Mezzanine Notes due 2015
Notes, Upgraded to Baa2 (sf); previously on Sept. 3, 2009
Downgraded to Ba1 (sf);
-- US$23,000,000 Class C Deferrable Mezzanine Notes due 2015
Notes, Upgraded to Ba3 (sf); previously on Sept. 3, 2009
Downgraded to B1 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes result
primarily from the delevering of the Class A notes, which have
been paid down by approximately 34% or $181.8 million since the
last rating action in September 2009. As a result of the
delevering, the overcollateralization ratios have increased since
the last rating action in September 2009. As of the latest
trustee report dated August 4, 2010, the Class A, Class B, Class C
and Class D overcollateralization ratios are reported at 154.9%,
129.7%, 122.9%, and 118.01% respectively, versus August 2009
levels of 134.03% , 118.9%, 114.5%, and 111.01% respectively.
Moody's also notes that the credit profile of the underlying
portfolio has been relatively stable since the last rating
action. Based on the August 2010 trustee report, the weighted
average rating factor is 3485 compared to 3566 in August 2009.
The deal also experienced a decrease in defaults. In particular,
the dollar amount of defaulted securities has decreased to about
$12.3 million from approximately $45.3 million in August 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. In its base case, Moody's analyzed the
underlying collateral pool to have a performing par and principal
proceeds of $553.9 million, defaulted par of $20.6 million,
weighted average default probability of 31.12% (implying a WARF of
4923), a weighted average recovery rate upon default of 44.12%,
and a diversity score of 32. These default and recovery
properties of the collateral pool are incorporated in cash flow
model analysis where they are subject to stresses as a function of
the target rating of each CLO liability being reviewed. The
default probability is derived from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The average recovery rate to be realized on
future defaults is based primarily on the seniority of the assets
in the collateral pool. In each case, historical and market
performance trends, and collateral manager latitude for trading
the collateral are also factors.
505 CLO I Ltd., issued in September of 2008, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
Moody's modeled the transaction using the Binomial Expansion
Technique.
In addition to the base case analysis described above, Moody's
also performed a number of sensitivity analyses to test the impact
on all rated notes, including these:
1. Various default probabilities to capture potential defaults in
the underlying portfolio.
2. A range of recovery rate assumptions for all assets to capture
variability in recovery rates.
This is a summary of the impact of different default probabilities
(expressed in terms of WARF levels) on all rated notes (shown in
terms of the number of notches' difference versus the current
model output, whereby a positive difference corresponds to lower
expected losses), assuming that all other factors are held equal:
Moody's Adjusted WARF -- 20% (3938)
* Class A: +2
* Class B: +2
* Class C: +2
Moody's Adjusted WARF + 20% (5908)
* Class A: -1
* Class B: -1
* Class C: -2
This is a summary of the impact of different recovery rate levels
on all rated notes (shown in terms of the number of notches'
difference versus the current model output, whereby a positive
difference corresponds to lower expected losses), assuming that
all other factors are held equal:
Moody's Adjusted WARR + 2% (46.12%)
* Class A: +1
* Class B: +1
* Class C: +1
Moody's Adjusted WARR - 2% (42.12%)
* Class A: -1
* Class B: -1
* Class C: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2012 and
2014 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the managers'
investment strategies and behavior, 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities and 3) potential additional
expected loss associated with swap agreements in CDOs as a result
of recent U.S. bankruptcy court ruling on Lehman swap termination
in the Dante case.
Sources of additional performance uncertainties are described
below:
1) Delevering: The main source of uncertainty in this transaction
is whether delevering from unscheduled principal proceeds will
continue and at what pace. Delevering may accelerate due to
high prepayment levels in the loan market and/or collateral
sales by the manager, which may have significant impact on the
notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to
be defaulted by Moody's may create volatility in the deals'
overcollateralization levels. Further, the timing of
recoveries and the manager's decision to work out versus
selling defaulted assets create additional uncertainties.
Moody's analyzed defaulted recoveries assuming the lower of the
market price and the recovery rate in order to account for
potential volatility in market prices.
3) Exposure to credit estimates: The deal is exposed to a large
number of securities whose default probabilities are assessed
through credit estimates. In the event that Moody's is not
provided the necessary information to update the credit
estimates in a timely fashion, the transaction may be impacted
by any default probability stresses Moody's may assume in lieu
of updated credit estimates. Moody's also conducted stress
tests to assess the collateral pool's concentration risk in
obligors bearing a credit estimate that constitute more than 3%
of the collateral pool.
AES EASTERN: Moody's Cuts Rating on $486 Mil. Certs. to 'Ba2'
-------------------------------------------------------------
Moody's Investors Service has downgraded the rating on AES Eastern
L.P.'s $486 million of Pass-Through Trust Certificates Outstanding
to Ba2 from Ba1. The outlook remains negative.
Downgrades:
Issuer: AES Eastern Energy, L.P.
-- Senior Secured Pass-Through, Downgraded to Ba2 from Ba1
Ratings Rationale
The downgrade reflects the significant deterioration in the
project's financial performance in the first half of 2010. In
addition, a significant increase in the project's merchant market
exposure and the currently weak state of the wholesale energy
market in which the project operates support Moody's expectation
that financial performance will remain considerably weaker than
recent historical levels over the next several years. The Ba2
rating is supported by the project's relatively high level of
liquidity and the conservative restricted payments test, which is
expected to result in even higher levels of liquidity in the
coming years. This provides the project with a valuable cushion
in the event its financial performance deteriorates further than
currently anticipated.
The negative outlook considers the impending maturity of the
project's revolving credit facility as well as the Parent company
letter of credit facility upon which it relies to satisfy
counterparty collateral requirements. The rating could be
downgraded further if the project and its Parent company are
unable to renew or extend these facilities prior to their
maturity, if the project's financial performance deteriorates more
than currently anticipated such that total rent coverages are
expected to fall below 1.35x for a sustained period of time, or if
it traps less cash than expected over the coming years and is
unable to defer or find alternative means of financing for its
significant planned capital expenditures, . Given the negative
outlook, the rating is unlikely to be upgraded in the near to
medium term. However, the outlook could be stabilized if the
credit facilities are successfully extended or renewed and the
energy market in which the project operates shows signs of
sustainable improvement.
Due to the decline in energy prices and the expiration of many of
the project's energy hedges, non-deferrable rent coverage fell to
1.44x in first half of 2010 (total rent coverage fell to 1.37x)
from 2.12x over the previous six months and a peak of 4.6x in the
six months ended December 2007. As a result, the project was
unable to meet its 1.7x restricted payments test (there is an
additional 2.0x test at the holdco) and $13 million in excess cash
flows were trapped. The restricted payments test includes a 1-
year look back and a 2-year forward (both calculated for
individual six-month periods. Based on this, management does not
anticipate it will be able to make distributions until July 2016.
Moody's notes that the restricted payments test is very high
relative to other projects, a relative credit strength. As a
result, the project is expected to accumulate substantial excess
cash flow over the next several years, which should provide a
degree of cushion in the event markets deteriorate further than
expected (but a substantial portion of which may to be utilized to
finance upcoming capital expenditures). This will complement the
project's already high level of liquidity provided by its six-
month cash funded non-deferrable rent reserve (equal to six months
debt service on the trust certificates) and its additional
liquidity reserve, also sized at six months non-deferrable rent
and fulfilled with a letter of credit provided by the project's
Parent company.
Coverage is currently projected to drop further to 1.33x in the
second half of 2010 notwithstanding a 20% forecast increase in
energy revenues, partially offset by a 30% increase in variable
costs. The increase in both revenues and variable costs is driven
by a projected increase in capacity factors to 96% from 73%, which
appears to be optimistic based upon the project's recent
performance. (Between 2011 and 2014, capacity factors are
expected to average 91%. While this is still somewhat aggressive
in Moody's opinion, it is more reasonable than the forecast for
the second half of the year.)
In the first half of 2011, the project has just 2% of its capacity
hedged. It has no other energy hedges thereafter, and it has no
gas hedges for the year either. This contrasts sharply with the
company's hedged position prior to 2009. As recently as June
2008, it was 65% hedged through the end of 2009 and 10% hedged
through 2010 and it was even more hedged in prior years. The
company is reluctant to enter into hedges because of a compressed
Dark Spread, implied forward curve market heat rates which are
roughly 1,000 Btu/kWh below recent historical performance,
regulatory uncertainty and reduced market liquidity. However, the
company's reluctance may ultimately hurt it because forward gas
prices for 2011 have dropped from over $7.00/mmBtu as of the
beginning of 2009 to less than $5 currently.
Nevertheless, coverage is projected to rebound somewhat in 2011,
but in the first half of 2012 it projected to fall below 1.0x due
to costs associated with the forecasted purchase of RGGI emissions
credits. Another rebound is expected in the second half of 2012,
but in 2013 and 2014 coverage is projected to average just 0.67x
due to significant forecasted capital expenditures. If not for
the capex, projected coverage would average a considerably
stronger, though still narrow, 1.35x over this time period. The
capex is expected to be financed from excess cash flows that are
trapped between now and 2012. Based upon management's forecast,
the project will accumulate $94 million in excess cash flow over
that time frame, which is nearly double the expected cash flow
shortfall of $50 million in 2013 and 2014.
While the current market forward implied heat rate for 2011 is
just over 7,000, the financial forecast assumes an average market
heat rate of nearly 8,000 for the same period. This is roughly
equal to the average heat rate over the twelve months through June
30. From 2012 to 2014, the average heat rate is forecast to drop
to 7,250. Natural gas prices are projected to increase steadily
from around $4.75/mmBtu currently to $7 by 2014. As a result,
peak period power prices are projected to increase from $38/MWh in
the second half of 2010 to over $50/MWh by 2014.
Market implied heat rates declined slightly in the first six
months of this year after increasing considerably in 2009, to an
average of about 8,100 Btu/kWh compared to just 7,000 in 2008.
However, this reflected the fact that gas was displacing coal in
the dispatch stack during certain periods as a result of the
decline in gas prices coupled with an increase in coal prices,
coupled with the adverse impact of high gas prices on heat rates
during periods when coal was on the margin in 2008. Reflecting
the drop in demand for power together with low gas prices, the 365
day rolling average around the clock price for energy in the
region in which the project is located had fallen to just $33/MWh
as of the end of June from $47/MWh a year earlier and around
$60/MWh the year before that. Dark spreads were further
compressed by a 25% increase in market coal prices since 2009,
though the project is attempting to mitigate this by maximizing
its fuel flexibility. As a result, the project's capacity factor
has declined considerably, to just 55% in 2009 from 80% the
previous year and 85% in 2007. While management estimates that
the capacity factor would have been as high as 70% were it not for
a significant outage at its largest facility, this still
represents a significant decrease from the previous year. Average
capacity factors remained roughly the same in the first five
months of 2010.
Both AES Eastern's $75 million working capital facility and its
parent's $350 million letter of credit facility (used to fulfill
the project's collateral posting requirements) expire on July 2,
2011. The company is currently in negotiations to extend or
replace them. It hopes to have the negotiations concluded by the
end of the year. The Parent LC facility is used to satisfy the
project's collateral posting requirements. Partly because of the
impending maturity of this facility, the project has been unable
to enter into longer term energy and gas hedges. Because of the
deterioration in energy markets, however, management no longer
feels it requires such a large facility so it may downsize it in
conjunction with the renewal or extension. As of June 30, 2010,
there were a total of $49.4 million in letters of credit written
under these two facilities, including $30 million for the
additional liquidity reserve.
The last rating action on the company's debt occurred on
September 30, 2009, when the outlook was revised to negative.
AES Eastern operates a portfolio of four coal-fired power plants
with a total of 1,166 MWs of baseload generating capacity in
western New York. The portfolio includes facilities at Somerset
(675 MW) and Cayuga (303 MW), which are leased from independent
owner trusts, in addition to smaller and older units at Westover
(84 MW) and Greenidge (104 MW), which are owned by subsidiaries of
AEE. All four plants participate in the NYISO's wholesale energy
and capacity markets on a merchant basis. Somerset and Cayuga,
which have historically been among the lowest cost assets in
western and central New York, generate the large majority of the
portfolio's cash flows. AES Eastern is a wholly owned subsidiary
of AES NY, LLC, and AES NY2, LLC, which are, in turn, both wholly
owned subsidiaries of AES Corporation (B1 corporate family
rating). The Pass Through Certificates secured by lease payments
from AEE (senior unsecured obligations of AEE payable from all of
AEE's cash flows, including those generated by the AEE-owned
plants), in addition to liens on the Somerset and Cayuga
facilities.
ANTARCTICA CFO: S&P Downgrades Ratings on Class C Notes
-------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
C note from Antarctica CFO I Ltd. and removed it from CreditWatch
negative. At the same time, S&P affirmed its ratings on the class
A, B, D, and E notes.
Antarctica CFO I Ltd. is a collateralized fund obligation
transaction backed by a diversified pool of hedge funds. This
investment vehicle type is often referred to as a "fund of funds."
The transaction has sent redemption notices to all of its
underlying hedge fund investments and is using all of the amounts
it receives (from the redemptions) to pay down the liabilities in
a sequential manner after it pays interest and other expenses. At
the end of June 2010, the class A balance had declined to
$69.64 million, which is approximately 39.7% of its original
balance. The reduced balance improved the class A and B
overcollateralization ratios, leading to affirmations of the
ratings on the class A and B notes.
The downgrade of the class C note reflects an erosion in credit
protection compared with the level the note maintained at the
prior rating level. The overcollateralization ratios at the
junior levels have declined since February 2010, reflecting both
the performance of the underlying hedge fund investments and the
structural features of the transaction.
The class D and E notes continue to receive their periodic
interest as specified in the transaction's payment structure, and
the credit protection for these two classes is consistent with the
current rating levels.
S&P believes the extent to which the rated classes of notes
receive full principal and accrued but unpaid interest will depend
on the amount of cash proceeds they ultimately receive from the
redemption process. However, if the timing of the redemption
process differs materially from S&P's current assumptions, the
amount of cash flow available to repay the rated liabilities may
also differ from its assumptions, which could negatively affect
its ratings on the liabilities. S&P will continue to monitor its
rated CFO transactions and take rating actions as S&P determines
appropriate.
Rating Lowered And Removed From Creditwatch Negative
Antarctica CFO I Ltd.
Rating
------
Class To From Current. par amount (mil. Eur)
----- -- ---- ------------------------------
C B+ (sf) BB-/Watch Neg (sf) 29.25
Ratings Affirmed
Antarctica CFO I Ltd.
Class Rating Current par amount (mil. Eur)
----- ------ -----------------------------
A AA (sf) 69.645
B A- (sf) 29.250
D CCC (sf) 26.000
E CCC-(sf) 4.420
ASSET SECURITIZATION: S&P Downgrades Rating on Class B-1 to 'CCC-'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on class B-1
from Asset Securitization Corp.'s series 1995-D1, a U.S.
commercial mortgage-backed securities transaction, to 'CCC- (sf)'
from 'CCC+ (sf)'. At the same time, S&P affirmed its 'A (sf)'
rating on class A-4 from the same transaction.
The rating actions reflect S&P's analysis of the remaining
collateral in the pool, the deal structure, and the interest
shortfalls that have affected the trust.
S&P lowered its rating on class B-1 due to the class'
susceptibility to interest shortfalls. As of the August 2010
remittance report, the trust had experienced interest shortfalls
of $15,183 during the monthly remittance period and had amassed
cumulative interest shortfalls of $625,927. The monthly
shortfalls eliminated the interest payment on class B-2, the class
subordinate to class B-1. The subordinate class has experienced
interest shortfalls, and S&P previously lowered its rating on
class B-2 to 'D (sf)'.
S&P affirmed its rating on class A-4. While the class experienced
reduced interest support due to the interest shortfalls that
affected class B-2, in its view, the reduction hasn't been
significant enough to warrant a downgrade.
The transaction's asset pool currently consists of 11 loans, four
($12.0 million, 50.8%) of which are defeased. The largest loan
exposure in the pool represents 11.7% of the total deal balance,
and the top three loan exposures represent 29.3% of the total deal
balance. Three loans ($5.4 million, 22.7%) are on the master
servicer's watchlist.
Transaction Summary
As of the August 2010 remittance report, the collateral pool had
an aggregate trust balance of $23.6 million, down from $210.9
million at issuance. The pool includes 11 loans, down from 61 at
issuance. Four ($12.0 million, 50.8%) of the loans are defeased.
The master servicer, Midland Loan Services Inc., provided full-
year 2008 or full-year 2009 financial information for all of the
nondefeased assets in the pool. S&P calculated a weighted average
debt service coverage of 1.18x for the pool based on the reported
figures. Two ($4.1 million, 17.4%) loans in the pool reported DSC
ratios that were less than 1.10x, and one ($1.7 million, 7.3%)
loan reported DSC that was less than 1.00x. To date, the pool has
experienced principal losses totaling $11.2 million on eight
assets.
All but two of the remaining loans were current in their payments.
The August remittance report listed these two loans as late but in
their grace periods. In accordance with the transaction
documents, interest was not advanced on these loans for the
benefit of class B-2, which caused the interest shortfalls that
affected class B-2.
Watchlist Loans
As of the August 2010 remittance report, three ($5.4 million,
22.7%) loans were on the master servicer's watchlist. Details of
these loans are as follows:
The SREE Comfort Inn Florence loan ($2.4 million, 10.1%) is the
second-largest exposure in the pool and the largest loan on the
master servicer's watchlist. The loan is secured by a 165-room
lodging property in Florence, S.C. The loan appears on the
watchlist due to low DSC. As of December 2009, the reported DSC
and occupancy were 1.07x and 48.0%, respectively, down from 1.84x
and 70.0% at issuance.The SREE Comfort Inn Hendersonville loan
($1.7 million, 7.3%) is the fourth-largest exposure in the pool
and the second-largest loan on the master servicer's watchlist.
The loan is secured by an 85-room lodging property in
Hendersonville, N.C. The loan appears on the watchlist due to low
DSC. As of December 2009, the reported DSC and occupancy were
0.72x and 48.4%, respectively, down from 1.76x and 71.0% at
issuance.The Lakeview Mobile Home Park loan ($1.2 million, 5.3%)
is the fifth-largest exposure in the pool and the smallest loan on
the master servicer's watchlist. The loan is secured by a 281-pad
manufactured housing property in Wichita, Kan. The loan appears
on the watchlist due to a decline in occupancy. As of December
2009, the reported DSC and occupancy were 1.42x and 62.7%,
respectively, down from 1.51x and 96.0% at issuance.
The four ($6.3 million, 26.6%) real estate exposures not appearing
on the master servicer's watchlist are backed by multifamily
(three loans) and manufactured housing (one loan) properties
located across the U.S. The weighted-average reported DSC and
occupancy for these loans were 1.30x and 94.3%, respectively. All
four loans are scheduled to mature in 2020.
Standard & Poor's analyzed the transaction according to its
current criteria, and the rating actions are consistent with its
analysis.
Rating Lowered
Asset Securitization Corp.
Commercial mortgage pass-through certificates series 1995-D1
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
B-1 CCC- (sf) CCC+ (sf) 10.17
Rating Affirmed
Asset Securitization Corp.
Commercial mortgage pass-through certificates series 1995-D1
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-4 A (sf) 86.12
AVERY POINT: Moody's Upgrades Ratings on Various Classes of Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these notes issued by Avery Point CLO, Limited:
-- US$127,250,000 Class A-1 Senior Secured Floating Rate Notes
due 2015 (current balance of $ 100,453,486.42), Upgraded to
Aa1 (sf); previously on August 14, 2009 Downgraded to Aa3
(sf);
-- US$25,000,000 Class A-3 Senior Secured Floating Rate Notes
due 2015, Upgraded to Aa2 (sf); previously on August 14, 2009
Downgraded to A1 (sf);
-- US$20,250,000 Class B Senior Secured Floating Rate Notes due
2015, Upgraded to A1 (sf); previously on August 14, 2009
Downgraded to A3 (sf);
-- US$22,000,000 Class C-1 Senior Secured Deferrable Floating
Rate Notes due 2015, Upgraded to Baa3 (sf); previously on
August 14, 2009 Confirmed at Ba1 (sf);
-- US$10,000,000 Class C-2 Senior Secured Deferrable Fixed Rate
Notes due 2015, Upgraded to Baa3 (sf); previously on
August 14, 2009 Confirmed at Ba1 (sf);
-- US$20,000,000 Class D-1 Senior Secured Deferrable Floating
Rate Notes due 2015, Upgraded to B1 (sf); previously on
August 14, 2009 Downgraded to B2 (sf);
-- US$3,000,000 Class D-2 Senior Secured Deferrable Fixed Rate
Notes due 2015, Upgraded to B1 (sf); previously on August 14,
2009 Downgraded to B2 (sf);
-- US$9,000,000 Class E Senior Secured Deferrable Fixed Rate
Notes due 2015, Upgraded to Caa2 (sf); previously on
August 14, 2009 Downgraded to Caa3 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes result
primarily from the delevering of the Class A-1 Notes and the Class
A-2 Notes, which have been paid down by approximately 22% or
$75 million since the last rating action in August 2009. As a
result of the delevering, the overcollateralization ratios have
increased since the last rating action in August 2009. As of the
latest trustee report dated July 6, 2010, the Class A/B, the Class
C, the Class D and the Class E overcollateralization ratios are
reported at 134.2%, 122%, 114.4%, and 111.7% respectively, versus
July 2009 levels of 121.19%, 112.06%, 106.31% and 104.22%,
respectively.
Moody's also notes that the deal has benefited from improvement in
the credit quality of the underlying portfolio since the last
rating action. Based on the July 2010 trustee report, the
weighted average rating factor is 2755 compared to 2954 in July
2009, and securities rated Caa1 and below make up approximately
7.8% of the underlying portfolio versus 12.9% in July 2009. The
deal also experienced a decrease in defaults. In particular, the
dollar amount of defaulted securities has decreased to about
$10 million from approximately $45 million in July 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. In its base case, Moody's analyzed the
underlying collateral pool to have a performing par and principal
proceeds of $422 million, defaulted par of $12 million, weighted
average default probability of 23.56% (implying a WARF of 3606), a
weighted average recovery rate upon default of 40.07%, and a
diversity score of 73. These default and recovery properties of
the collateral pool are incorporated in cash flow model analysis
where they are subject to stresses as a function of the target
rating of each CLO liability being reviewed. The default
probability is derived from the credit quality of the collateral
pool and Moody's expectation of the remaining life of the
collateral pool. The average recovery rate to be realized on
future defaults is based primarily on the seniority of the assets
in the collateral pool. In each case, historical and market
performance trends, and collateral manager latitude for trading
the collateral are also factors.
Avery Point CLO, Limited, issued in December 2003, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
Moody's modeled the transaction using the Binomial Expansion
Technique.
In addition, to the base case analysis described above, Moody's
also performed a number of sensitivity analyses to test the impact
on all rated notes, including these:
1. Various default probabilities to capture potential defaults in
the underlying portfolio.
2. A range of recovery rate assumptions for all assets to capture
variability in recovery rates.
Below is a summary of the impact of different default
probabilities (expressed in terms of WARF levels) on all rated
notes (shown in terms of the number of notches' difference versus
the current model output, whereby a positive difference
corresponds to lower expected losses), assuming that all other
factors are held equal:
Moody's Adjusted WARF -- 20% (2885)
* Class A-1: 0
* Class A-2: 0
* Class A-3: +1
* Class B: 0
* Class C-1: +1
* Class C-2: +1
* Class D-1: 0
* Class D-2: 0
* Class E: 0
Moody's Adjusted WARF + 20% (4327)
* Class A-1: -2
* Class A-2: -1
* Class A-3: -1
* Class B: -2
* Class C-1: -2
* Class C-2: -1
* Class D-1: -2
* Class D-2: -1
* Class E: -2
Below is a summary of the impact of different recovery rate levels
on all rated notes (shown in terms of the number of notches'
difference versus the current model output, whereby a positive
difference corresponds to lower expected losses), assuming that
all other factors are held equal:
Moody's Adjusted WARR + 2% (42.07%)
* Class A-1: 0
* Class A-2: 0
* Class A-3: +1
* Class B: 0
* Class C-1: +1
* Class C-2: +1
* Class D-1: +1
* Class D-2: +1
* Class E: +1
Moody's Adjusted WARR - 2% (38.07%)
* Class A-1: -1
* Class A-2: 0
* Class A-3: 0
* Class B: -1
* Class C-1: -1
* Class C-2: -1
* Class D-1: -1
* Class D-2: -1
* Class E: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2012 and
2014 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the managers'
investment strategies and behavior, 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities, and 3) potential additional
expected loss associated with swap agreements in CDOs as a result
of recent U.S. bankruptcy court ruling on Lehman swap termination
in the Dante case.
Sources of additional performance uncertainties are:
1) Delevering: The main source of uncertainty in this transaction
is whether delevering from unscheduled principal proceeds will
continue and at what pace. Delevering may accelerate due to
high prepayment levels in the loan market and/or collateral
sales by the manager, which may have significant impact on the
notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to
be defaulted by Moody's may create volatility in the deals'
overcollateralization levels. Further, the timing of
recoveries and the manager's decision to work out versus
selling defaulted assets create additional uncertainties.
Moody's analyzed defaulted recoveries assuming the lower of the
market price and the recovery rate in order to account for
potential volatility in market prices.
3) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation
risk on those assets. Moody's assumes an asset's terminal
value upon liquidation at maturity to be equal to the lower of
an assumed liquidation value (depending on the extent to which
the asset's maturity lags that of the liabilities) and the
asset's current market value.
4) The deal has a pay-fixed receive-floating interest rate swap
that is currently out of the money. If fixed rate assets
prepay or default, there would be a more substantial mismatch
between the swap notional and the amount of fixed assets,
resulting in larger cash payments to the hedge counterparty.
In such cases, payments to hedge counterparties may consume a
large portion or all of the interest proceeds, leaving the
transaction, even with respect to the senior notes, with poor
interest coverage. Payment timing mismatches between assets and
liabilities may cause additional concerns. If the deal does not
receive sufficient projected principal proceeds on the payment
date to supplement the interest proceeds shortfall, a heightened
risk of interest payment default could occur. Similarly, if
principal proceeds are used to pay interest, there may ultimately
be a risk of payment default on the principal of the notes.
BANC OF AMERICA: Fitch Takes Rating Actions on 2005-1 Certs.
------------------------------------------------------------
Fitch Ratings affirms, removes from Rating Watch Negative and
assigns Rating Outlooks on these Banc of America Commercial
Mortgage, series 2005-1 commercial mortgage pass-through
certificates:
-- $2.1 million class SM-A at 'BB+sf/LS5'; Outlook Stable;
-- $2.1 million class SM-B at 'BB+sf/LS5'; Outlook Stable;
-- $6.4 million class SM-C at 'BBsf/LS5'; Outlook Stable;
-- $2.5 million class SM-D at 'BB-sf/LS5'; Outlook Stable;
-- $2 million class SM-E 'BB-sf/LS5'; Outlook Stable;
-- $4.8 million class SM-F 'B+sf/LS5'; Outlook Stable;
-- $4.2 million class SM-G 'Bsf/LS5'; Outlook Stable;
-- $5.5 million class SM-H 'B-sf/LS5'; Outlook Stable.
The classes, which represent non-pooled classes specific to
Southdale Mall (9.2% of the pool), have been removed from Rating
Watch Negative due to the loan's transfer out of special servicing
in May 2010. According to the servicer, the borrower had
indicated its inability to refinance prior to the original loan
maturity of April 2010. The loan has since extended to April 2013
and been modified with the borrower making a 15% principal paydown
and paying all special servicing fees and costs.
BANC OF AMERICA: S&P Raises Ratings on Five 2005-MIB1 Certs.
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on five
classes of commercial mortgage pass-through certificates from Banc
of America Large Loan Inc.'s series 2005-MIB1, a U.S. commercial
mortgage-backed securities transaction. In addition, S&P lowered
its ratings on two other classes and affirmed seven ratings from
the same transaction.
The upgrades and affirmations follow S&P's revised valuations of
the remaining seven floating-rate assets in the transaction as
well as its analysis of the transaction structure. S&P based its
revaluation analysis, in part, on a review of servicer operating
statement analysis reports, the most recent borrower-provided rent
rolls, and site inspection reports provided by the master
servicer. S&P's analysis also considered the upcoming final
maturities in 2010 for most of the remaining assets. The raised
ratings also reflect increased credit enhancement levels resulting
from a substantial reduction in the transaction's outstanding
principal balance. The pool balance has declined substantially
since issuance, as 61% of the original pool balance has paid down.
S&P lowered its rating on class L to 'D (sf)' from 'CCC- (sf)' due
to recurring interest shortfalls. The class has experienced
interest shortfalls for 13 months primarily due to special
servicing fees. Current interest shortfalls are due to one asset,
the Shops at Grand Avenue loan. The loan was transferred to the
special servicer, Bank of America N.A., in September 2009 due to
the borrower's inability to comply with the loan extension
requirements. BofA is currently pursuing a reimbursement of the
special servicing fees. The downgrade of class K to 'CCC- (sf)'
from 'CCC+ (sf)' reflects anticipated credit support erosion
associated with the resolution of the specially serviced assets.
S&P affirmed its 'AAA (sf)' ratings on the class X-1B, X-2, and X-
5 interest-only (IO) certificates based on its current criteria.
The two largest loans, Westin New York at Times Square and USX
Tower, account for 76.4% of the pool balance and are discussed
below.
The largest loan in the pool, the Westin New York at Times Square,
has a trust and whole-loan balance of $232.0 million (47.0%) and
is secured by a leasehold interest in a 45-story, 863-room, full-
service hotel in Midtown Manhattan. The master servicer, also
BofA, reported debt service coverage of 10.28x, occupancy of
86.7%, and an average daily rate of $269.49 for the year ended
Dec. 31, 2009. Standard & Poor's value for the asset has declined
23% since issuance primarily based on lower-than-expected revenue
per available room and increased expenses. Based on a weighted
average capitalization rate of 10.75%, S&P's analysis yielded a
stressed loan-to-value ratio of 89.6% on the trust balance. The
loan matures in March 2011 with one, one-year extension option
remaining.
The second-largest loan in the pool, the USX Tower, has a
trust balance of $145.0 million and a whole-loan balance of
$203.8 million that includes a subordinate $58.8 million B-note
held outside of the trust. In addition, the borrower's equity
interests in the property secure a $25.0 million mezzanine loan.
A 64-story, 2.3 million-sq.-ft. class A office building in
Pittsburgh secures this loan. The master servicer reported DSC of
12.17x and ccupancy of 88.4% for the year ended Dec. 31, 2009.
Standard & Poor's value for this asset is comparable to its value
at issuance. Based on a weighted average capitalization rate of
9.00%, S&P's analysis yielded a stressed LTV ratio of 66.9% on the
trust balance. The loan is currently scheduled to mature on
Sept. 9, 2010, and no extension options remain. The borrower has
requested a one-year extension and has simultaneously enlisted the
assistance of a broker to request refinancing bids. The master
servicer noted it will continue to closely monitor this loan.
The remaining five assets (23.6% of the pool) are currently with
the special servicer and are either beyond their respective
maturity dates or are scheduled to mature in the next three
months. Details of the two largest assets currently with the
special servicer and the sole real estate owned (REO) asset in the
pool are:
The Liberty Properties loan, the third-largest loan in the pool,
has a trust balance of $32.9 million and a whole-loan balance of
$43.1 million. In addition, the borrower's equity interests in
the properties secure a $20.1 million mezzanine loan. A 612,000-
sq.-ft. industrial building and two office/industrial buildings
totaling 775,800 sq. ft. in Worcester and Dedham, Mass., secure
the loan. The loan was transferred to the special servicer on
March 20, 2009, and the mezzanine loan has been in default since
mid-2008. The borrower, senior lender, and mezzanine lender are
working on a consensual sale of the portfolio. CT Investment
Management Co. LLC, the special servicer, has granted the borrower
a forbearance and retained brokers to sell the properties. A
102,000-sq.-ft. portion of the collateral properties was sold in
February 2010 for $9.5 million. Marketing and closing of the
sales for the remaining assets are anticipated to be completed by
December 2010. Standard & Poor's value for the assets has
declined 35% since issuance due primarily to the lower occupancy
at the properties. S&P's analysis yielded a stressed LTV ratio of
88.4% on the trust balance.
The La Cumbre Plaza loan, the fourth-largest loan in the pool, has
a trust balance of $25.8 million and a whole-loan balance of
$28.2 million. The loan is secured by 117,900 sq. ft. of a
495,000-sq.-ft. Macy's and Sears-anchored life-style center in
Santa Barbara, Calif. The master servicer reported a DSC of 8.93x
and 95% occupancy for the year ended Dec. 31, 2009. Standard &
Poor's value for the asset has declined 15% since issuance
primarily because of lower rents. Based on a weighted average
capitalization rate of 8.25%, S&P's analysis yielded a stressed
LTV ratio of 78.5% on the trust balance. The loan was recently
modified and extended until December 2010 with one, one-year
extension plus an additional six-month extension option remaining.
The special servicer expects the loan will be returned to the
master servicer in the near future and noted that the borrower has
agreed to pay all modification fees including future workout fees.
The Pointe Apartments is the smallest asset in the pool, with a
trust exposure of $9.8 million. The loan is secured by a 360-unit
apartment complex in Atlanta, Ga. The asset was transferred to
the special servicer in August 2008 and became REO in September
2009. The special servicer's (CTIMCO's) strategy includes
completing capital improvement projects and growing occupancy for
an eventual sale targeted for March 2011. Standard & Poor's value
for the asset has declined 38% since issuance primarily due to
lower occupancy and decreased rents. Based on a weighted average
capitalization rate of 8.25%, S&P's analysis yielded a stressed
LTV ratio of 108.3% on the trust balance.
As of the Aug. 16, 2010, trustee remittance report, the trust
collateral consisted of the senior participation interests in four
floating-rate, interest-only mortgage loans, two floating-rate,
interest-only whole mortgage loans, and one REO asset. The loans
are indexed to one-month LIBOR. The pool balance has declined 61%
to $493.4 million since issuance.
Ratings Raised
Banc of America Large Loan Inc.
Commercial mortgage pass-through certificates series 2005-MIB1
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
B AA+ (sf) AA (sf) 58.24
C AA- (sf) A- (sf) 47.86
D A (sf) BBB (sf) 41.72
E BBB+ (sf) BBB- (sf) 35.58
F BBB- (sf) BB+ (sf) 29.43
Ratings Lowered
Banc of America Large Loan Inc.
Commercial mortgage pass-through certificates series 2005-MIB1
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
K CCC- (sf) CCC+ (sf) 6.08
L D (sf) CCC- (sf) 0.00
Rating Affirmed
Banc of America Large Loan Inc.
Commercial mortgage pass-through certificates series 2005-MIB1
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-2 AAA (sf) 66.96
G BB (sf) 23.29
H BB- (sf) 18.16
J B+ (sf) 12.33
X-1B AAA (sf) N/A
X-2 AAA (sf) N/A
X-5 AAA (sf) N/A
N/A - Not applicable.
BEAR STEARNS: Moody's Downgrades Ratings on Six 2002-Top6 Certs.
----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of six classes
and affirmed seven classes of Bear Stearns Commercial Mortgage
Securities Trust, Series 2002-Top6. Moody's rating action is:
-- US$647.947M Cl. A-2 Certificate, Affirmed at Aaa (sf);
previously on March 20, 2002 Definitive Rating Assigned Aaa
(sf)
-- US$30.739M Cl. B Certificate, Affirmed at Aaa (sf);
previously on May 4, 2007 Upgraded to Aaa (sf)
-- US$30.739M Cl. C Certificate, Affirmed at Aa2 (sf);
previously on Sept. 25, 2008 Upgraded to Aa2 (sf)
-- US$12.575M Cl. D Certificate, Affirmed at A2 (sf); previously
on May 4, 2007 Upgraded to A2 (sf)
-- US$25.15M Cl. E Certificate, Affirmed at Baa2 (sf);
previously on Nov. 28, 2005 Affirmed at Baa2 (sf)
-- US$9.78M Cl. F Certificate, Affirmed at Baa3 (sf); previously
on Nov. 28, 2005 Affirmed at Baa3 (sf)
-- US$12.575M Cl. G Certificate, Downgraded to Ba2 (sf);
previously on Nov. 28, 2005 Affirmed at Ba1 (sf)
-- US$9.78M Cl. H Certificate, Downgraded to Ba3 (sf);
previously on Nov. 28, 2005 Affirmed at Ba2 (sf)
-- US$8.383M Cl. J Certificate, Downgraded to B3 (sf);
previously on Nov. 28, 2005 Affirmed at Ba3 (sf)
-- US$5.588M Cl. K Certificate, Downgraded to Caa3 (sf);
previously on Nov. 28, 2005 Affirmed at B1 (sf)
-- US$5.588M Cl. L Certificate, Downgraded to C (sf); previously
on Nov. 28, 2005 Affirmed at B2 (sf)
-- US$2.794M Cl. M Certificate, Downgraded to C (sf); previously
on Nov. 28, 2005 Affirmed at B3 (sf)
-- Cl. X-1 Certificate, Affirmed at Aaa (sf); previously on
March 20, 2002 Definitive Rating Assigned Aaa (sf)
Ratings Rationale
The downgrades of Classes G through M are due to higher expected
losses for the pool resulting from realized and anticipated losses
from specially serviced and troubled loans and concerns about
refinance risk in an adverse environment. One hundred and fifteen
loans, representing 73% of the pool, mature within the next 24
months. The affirmations of Classes X-1 and A-2 through F are due
to key parameters, including Moody's loan to value ratio, Moody's
stressed debt service coverage ratio and the Herfindahl Index,
remaining within acceptable ranges. Based on Moody's current base
expected loss, the credit enhancement levels for those classes
affirmed are sufficient to maintain the existing rating.
Moody's rating action reflects a cumulative base expected loss of
1.7% of the current balance. At last review, Moody's cumulative
base expected loss was 0.8%. Moody's stressed scenario loss is
5.0% of the current balance. Depending on the timing of loan
payoffs and the severity and timing of losses from specially
serviced loans, the credit enhancement level for investment grade
classes could decline below the current levels. Depending on the
future performance of the pool, the expected level of credit
enhancement and the priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the current stressed
macroeconomic environment and continuing weakness in the
commercial real estate and lending markets. Moody's currently
views the commercial real estate market as stressed with further
performance declines expected in the industrial, office, and
retail sectors. Hotel performance has begun to rebound, albeit
off a very weak base. Multifamily has also begun to rebound
reflecting an improved supply / demand relationship. The
availability of debt capital is improving with terms returning
towards market norms. Job growth and housing price stability will
be necessary precursors to commercial real estate recovery.
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's largest economies, returning to trend growth rate
with elevated fiscal deficits and persistent unemployment levels.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade underlying ratings is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
underlying rating of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement
levels are selected based on loan level diversity, pool leverage
and other concentrations and correlations within the pool.
Negative pooling, or adding credit enhancement at the underlying
rating level, is incorporated for loans with similar underlying
ratings in the same transaction.
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 action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated May 4, 2007. See the
ratings tab on the issuer / entity page on moodys.com for the last
rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction.
Deal Performance
As of the August16, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 29% to
$792.6 million from $1.11 billion at securitization. The
Certificates are collateralized by 124 mortgage loans ranging in
size from less than 1% to 8% of the pool, with the top ten loans
representing 44% of the pool. The pool includes three loans with
underlying ratings, representing 13% of the pool. Twenty-one
loans, representing 16% of the pool, have defeased and are
collateralized with U.S. Government securities. Defeasance at
last review represented 7% of the pool. Two loans have been
liquidated from the pool, resulting in an aggregate realized loss
of $13.1 million (42% loss severity).
Sixteen loans, representing 7% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council 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, representing 0.6% of the pool, are currently in special
servicing. The largest specially serviced loan is the 560 W.
Brown Road Loan ($3.1 million -- 0.4% of the pool), which is
secured by a 56,000 square foot medical office building in
Maricopa, Arizona. The loan was transferred to special servicing
in May 2010 due payment default. The loan is 90+ days delinquent
and is currently in the process of foreclosure. Per the special
servicer, the property is currently 33% leased compared to 72% in
December 2009.
The second largest specially serviced loan is the Polo Center Loan
($1.68 million -- 0.2% of the pool), which is secured by a 39,000
square foot, mixed-use retail and office property in Colorado
Springs, Colorado. The property was 44% leased as of September
2009 compared to 72% in December 2008. The loan transferred into
special servicing in March 2010 and is currently 90+ days
delinquent. Moody's has estimated an aggregate $2.4 million loss
(51% expected loss on average) for the specially serviced loans.
Moody's has assumed a high default probability for two poorly
performing loans representing 1% of the pool and has estimated an
aggregate $935,207 loss (15% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2008 and 2009 operating
results for 80% and 77%, respectively, of the pool. Excluding
defeased, specially serviced and troubled loans, Moody's weighted
average LTV is 69% compared to 73% at Moody's prior review.
Moody's net cash flow reflects a weighted average haircut of 13%
to the most recently available net operating income. Moody's
value reflects a weighted average capitalization rate of 9.9%.
Excluding defeased, specially serviced and troubled loans, Moody's
actual and stressed DSCRs are 1.64X and 1.75X, respectively,
compared to 1.70X and 1.59X 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 risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 25 compared to 34 at Moody's prior review.
The largest loan with an underlying rating is the Regent Court
Loan ($54 million -- 6.8% of the pool), which is secured by a
567,000 square foot Class A office building located in Dearborn,
Michigan. The property is 100% leased to the Ford Motor Company
(Moody's senior unsecured rating B2, stable outlook) through
December 2016. The loan is co-terminus with the lease and is
fully amortizing. The loan has amortized by approximately 24%
since last review. Moody's current underlying rating and stressed
DSCR are Baa3 and 1.69X, respectively, compared to Baa3 and 1.63X
at last review.
The second largest shadow rated loan is the Best Buy Portfolio
Loan ($24.2 million -- 3.1% of the pool), which is secured by a
portfolio of 12 retail properties totaling 481,000 square feet and
located in seven states. All of the properties are 100% leased to
Best Buy Co, Inc. (Moody's senior unsecured rating Baa2, stable
outlook) under a master lease through April 2018. The loan has
amortized by 8% since last review. Moody's underlying rating and
stressed DSCR are Baa1 and 1.67X, respectively, compared to Baa1
and 1.61X at last review.
The third largest loan with an underlying rating is the Broadcom
Corp. Loan (2.6% of the pool), which is secured by a 200,000
square foot R&D building located in North San Jose, California.
The property is 100% leased to the Broadcom Corporation, a
designer of integrated chips for broadband communication. In May
2010, Broadcom renewed its lease for an additional 10-year term.
The new net rent is approximately $18 per square foot compared to
$27 per square foot at securitization. The loan is structured
with a 25-year amortization schedule and has amortized 8% since
last review. The loan matures in November 2011. Moody's
underlying rating and stressed DSCR are Baa3 and 1.60X,
respectively, compared to Baa2 and 1.70X.
The top three performing conduit loans represent 21% of the pool
balance. The largest conduit loan is the Coliseum Centre Loan
($64.5 million -- 8.1% of the pool), which is secured by six Class
A suburban office buildings totaling 974,000 square feet. The
buildings are situated in an office park located approximately
five miles from downtown Charlotte, North Carolina. The largest
tenants are CompUSA (20% of the net rentable area; lease expires
in 12/2013), Linsco Private Ledger (16% of the NRA; lease expires
in 10/2016) and Goodrich Corp. (12% of the NRA; lease expires in
5/2018). As of December 2009, the portfolio was 84% leased
compared to 71% at last review. Although financial performance
has improved since last review, Moody's analysis reflects a
stressed cash flow due to concerns regarding significant lease
rollover exposure within the next 16 months. Moody's LTV and
stressed DSCR are 86% and 1.26X, respectively, compared to 86% and
1.20X at last review.
The second largest conduit loan is the Bank One Center Loan ($58.4
million -- 7.4% of the pool), which is secured by a 1.0 million
square foot Class A office building located in the New Orleans,
Louisiana. The property is located in an area of New Orleans that
did not experience significant flooding during Hurricane Katrina,
but the property did sustain damage from high winds and rain. All
the repairs have been completed. The largest tenants are Capital
One Bank (Moody's senior unsecured rating A2, on review for
possible downgrade; 22% of the NRA; lease expires in 12/2015),
Jones Walker LLP (15% of the NRA; lease expires in 12/2015) and
JPMorgan Chase & Co. (Moody's senior unsecured rating Aa3,
negative outlook; 6% of the NRA; lease expires in 1/2021). As of
June 2010, the property was 94% leased, essentially the same since
last review. Performance has improved due to higher base revenues
and amortization. The loan has amortized by 5% since last review.
Moody's LTV and stressed DSCR are 88% and 1.35X, respectively,
compared to 100%, and 1.20X at last review.
The third largest conduit loan is the Capital City Mall Loan
($49.1 million -- 6.2% of the pool), which is secured by the
borrower's interest in a 608,000 square foot regional mall located
in suburban Harrisburg, Pennsylvania. The property is anchored by
JC Penney (21% of the NRA; lease expires in 11/2015), Sears (21%
of the NRA; lease expires in 7/2014) and Toys R' Us (10% of the
NRA; lease expires in 1/2015). As of June 2010, in-line shop
occupancy was 92% compared to 95% at last review. Total occupancy
was 97%, essentially the same since last review. Moody's LTV and
stressed DSCR are 66% and 1.46X, respectively, compared to 71% and
1.37X at last review.
CAPITAL ONE: Fitch Affirms Ratings on All 2002-1D Notes
-------------------------------------------------------
Fitch Ratings has affirmed all classes of Capital One Multi-asset
Execution Trust, including the class 2002-1D subordinated notes,
which Fitch has removed from Rating Watch Negative. The Outlook
on the notes is now Negative.
The class D notes, which benefit from a dedicated spread account,
were initially placed on Rating Watch Negative on May 11, 2009,
due to their sole reliance on the spread account for credit
enhancement and declining breakeven multiples. At the time,
excess spread was volatile and experiencing intermittent
compression; therefore Fitch was concerned about spread account
funding. The class D notes have a trapping trigger of 7.00% based
on the three-month average. Since the three-month average excess
spread is now at 6.86%, the class D spread account is fully funded
at 0.25%. The increase in excess spread as well as the improved
performance both contributed to the revision to a Negative Outlook
from a Negative Watch.
Due to steadily decreasing 60+ day delinquency numbers since
January 2010, Fitch expects charge-offs to improve in the coming
months. Charge-off numbers have already started decreasing from
the peak of 12.66% in April 2010 to 9.95% for the August 2010
distribution period. Gross yield and Monthly Payment Rate MPR
have also improved significantly since the time of the last
review. Gross yield is at a 12-month average of 21.48% compared
to 20.02% in August 2009, an improvement of 5.45% and MPR has
improved to a 12-month average of 18.45% from 16.90%, which is
9.25% difference.
Fitch has affirmed these ratings:
-- 2003-5A at 'AAAsf/LS1'; Outlook Stable;
-- 2004-1A at 'AAAsf/LS1'; Outlook Stable;
-- 2004-4A at 'AAAsf/LS1'; Outlook Stable;
-- 2004-5A at 'AAAsf/LS1'; Outlook Stable;
-- 2004-7A at 'AAAsf/LS1'; Outlook Stable;
-- 2004-8A at 'AAAsf/LS1'; Outlook Stable;
-- 2005-1A at 'AAAsf/LS1'; Outlook Stable;
-- 2005-4A at 'AAAsf/LS1'; Outlook Stable;
-- 2005-6A at 'AAAsf/LS1'; Outlook Stable;
-- 2005-7A at 'AAAsf/LS1'; Outlook Stable;
-- 2005-9A at 'AAAsf/LS1'; Outlook Stable;
-- 2005-10A at 'AAAsf/LS1'; Outlook Stable;
-- 2005-11A at 'AAAsf/LS1'; Outlook Stable;
-- 2006-1A at 'AAAsf/LS1'; Outlook Stable;
-- 2006-2A at 'AAAsf/LS1'; Outlook Stable;
-- 2006-3A at 'AAAsf/LS1'; Outlook Stable;
-- 2006-4A at 'AAAsf/LS1'; Outlook Stable;
-- 2006-5A at 'AAAsf/LS1'; Outlook Stable;
-- 2006-6A at 'AAAsf/LS1'; Outlook Stable;
-- 2006-7A at 'AAAsf/LS1'; Outlook Stable;
-- 2006-8A at 'AAAsf/LS1'; Outlook Stable;
-- 2006-10A at 'AAAsf/LS1'; Outlook Stable;
-- 2006-11A at 'AAAsf/LS1'; Outlook Stable;
-- 2006-12A at 'AAAsf/LS1'; Outlook Stable;
-- 2006-14A at 'AAAsf/LS1'; Outlook Stable;
-- 2007-1A at 'AAAsf/LS1'; Outlook Stable;
-- 2007-2A at 'AAAsf/LS1'; Outlook Stable;
-- 2007-4A at 'AAAsf/LS1'; Outlook Stable;
-- 2007-5A at 'AAAsf/LS1'; Outlook Stable;
-- 2007-7A at 'AAAsf/LS1'; Outlook Stable;
-- 2007-8A at 'AAAsf/LS1'; Outlook Stable;
-- 2008-3A at 'AAAsf/LS1'; Outlook Stable;
-- 2008-5A at 'AAAsf/LS1'; Outlook Stable;
-- 2008-6A at 'AAAsf/LS1'; Outlook Stable;
-- 2009-2A at 'AAAsf/LS1'; Outlook Stable;
-- 2003-5B at 'Asf/LS3'; Outlook Negative;
-- 2004-3B at 'Asf/LS3'; Outlook Negative;
-- 2004-7B at 'Asf/LS3'; Outlook Negative;
-- 2005-1B at 'Asf/LS3'; Outlook Negative;
-- 2005-3B at 'Asf/LS3'; Outlook Negative;
-- 2006-1B at 'Asf/LS3'; Outlook Negative;
-- 2007-1B at 'Asf/LS3'; Outlook Negative;
-- 2009-C (B) at 'Asf/LS3'; Outlook Negative;
-- 2003-3C at 'BBBsf/LS3'; Outlook Negative;
-- 2003-4C at 'BBBsf/LS3'; Outlook Negative;
-- 2004-2C at 'BBBsf/LS3'; Outlook Negative;
-- 2004-3C at 'BBBsf/LS3'; Outlook Negative;
-- 2006-1C at 'BBBsf/LS3'; Outlook Negative;
-- 2006-2C at 'BBBsf/LS3'; Outlook Negative;
-- 2006-3C at 'BBBsf/LS3'; Outlook Negative;
-- 2007-1C at 'BBBsf/LS3'; Outlook Negative;
-- 2007-2C at 'BBBsf/LS3'; Outlook Negative;
-- 2007-4C at 'BBBsf/LS3'; Outlook Negative;
-- 2009-A (C) at 'BBBsf/LS3'; Outlook Negative;
-- 2002-1D at 'BBsf/LS5'; Outlook Negative.
Fitch has removed the 2002-1D notes from Watch Negative.
CHASE EDUCATION: Fitch Affirms Ratings on Senior Student Loans
--------------------------------------------------------------
Fitch Ratings affirms the senior student loan notes at 'AAAsf' and
downgrades the subordinate note to 'BBsf' issued by Chase
Education Loan Trust 2007-A. Fitch's Global Structured Finance
Rating Criteria and FFELP student loan ABS rating criteria, as
well as the refined basis risk criteria outlined in the press
release "Fitch to Begin Review of U.S. FFELP SLABS Applying
Updated Criteria" dated June 29, 2010, were used to review the
ratings.
The ratings on the senior notes are affirmed based on the
sufficient level of credit enhancement (consisting of
subordination and the projected minimum excess spread) to cover
the applicable basis factor stress.
The rating on the subordinate note is downgraded to 'BB' due to
the trust's very high cost structure that will put pressure on the
trust's ability to generate excess spread (which is the only form
of credit enhancement for the subordinate note) and absorb even a
mild level of basis risk stress.
Fitch has taken these rating actions:
Chase Education Loan Trust 2007-A:
-- Class A-1 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-2 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-3 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-4 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B downgraded to 'BBsf/LS3' from 'AA+sf/LS3'; Outlook
Stable.
CHATHAM COUNTY: S&P Downgrades Rating on Revenue Bonds to 'BB+'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating to 'BB+'
from 'BBB-' on the Chatham County Hospital Authority, Ga.'s
$93.695 million revenue bonds series 2001A and 2004A, issued for
Memorial Health University Medical Center Inc. The outlook is
negative.
"The rating reflects Memorial's continued significant operating
losses in fiscal 2009 and unrestricted liquidity that remains very
light for the rating," said Standard & Poor's credit analyst Kevin
Holloran.
The negative outlook reflects S&P's expectation of continued
operational losses for the next two fiscal years, constraining
Memorial's debt service coverage and likely limiting significant
balance sheet accretion.
CIT GROUP: S&P Corrects Rating on Class B Certs. to 'CCC-'
----------------------------------------------------------
Standard & Poor's Ratings Services corrected to 'CCC- (sf)' from
'BBB- (sf)' its long-term rating on the class B certificates from
CIT Group Securitization Corp. II's senior/subordinate pass-
through certificates series 1995-2. The corrected rating reflects
S&P's view of the likelihood that the full principal amount of the
class B certificates will be paid by its final maturity date.
The class B certificates benefit from a guarantee of timely
interest and limited principal issued by CIT Group Inc.
(B+/Positive/--). S&P believes the limited principal obligations
under the guarantee will likely be exhausted prior to the class B
certificates' maturity but that the guarantee will likely continue
to be available to pay timely interest through maturity. Because
the limited guarantee is the only form of credit support available
to the class B certificates other than excess spread, S&P believes
any subsequent losses that the guarantee or excess spread cannot
cover are likely to result in a principal shortfall to the class B
certificates.
Starting on June 12, 2009, S&P lowered its rating on CIT Group
Inc. to 'BB-/Watch Neg/--' from 'BBB-/Negative/--' and most
recently to 'B+/Positive/--' on April 29, 2010, but, due to an
error, did not contemporaneously lower S&P's rating on the class B
certificates.
Long-Term Rating Corrected
CIT Group Securitization Corp. II
Senior/subordinate pass-through certificates series 1995-2
Rating
------
Class To From
----- -- ----
B CCC- (sf) BBB- (sf)
CONVENTION CENTER: Moody's Assigns Negative Outlook on Tax Bonds
----------------------------------------------------------------
Moody's Investors Service has assigned a negative outlook and
removed from Watchlist for possible downgrade, the Convention
Center Authority of Metro Nashville's (Tennessee) Tourism Tax
Revenue Bonds, Series 2010A and Subordinate Tourism Tax Revenue
Bonds, Series 2010B.
Rating Rationale
The Series 2010A Bonds are secured by a senior lien on various
tourism tax revenues collected within Metro Nashville. The Series
2010B Bonds are secured by a subordinate lien on the same tourism
tax revenues, as well as a backup pledge of Metro's non-tax
revenues. The negative outlook affects $623.22 million in
outstanding debt. For the Series 2010A Bonds, the negative
outlook is based upon the potential for reduced tourism tax
collections given the ongoing closure of Gaylord Entertainment's
(rated B3 with a negative outlook) Gaylord Opryland Resort and
Grand Ole Opry House due to flooding. The negative outlook for
the Series 2010B Bonds, which are ultimately secured by Metro
Nashville's pledge of non-tax revenues, is based upon the
assignment of a negative outlook to the Metropolitan Government of
Nashville and Davidson County's (TN) GO rating.
Severe storms and flooding in Tennessee on May 1 and 2, 2010,
resulted in widespread damage to a significant portion of the
state, including much of Nashville. The Cumberland River, which
runs adjacent to downtown Nashville, crested at approximately 12
feet above flood stage on Sunday, May 2nd, damaging both public
and private properties. While many government buildings and
properties sustained sizeable damage, residential and commercial
damage was also significant. Gaylord Entertainment's (rated B3
with a negative outlook) Gaylord Opryland Resort and Grand Ole
Opry House in particular, sustained major damage from local
flooding. Current estimates have the properties closed through
mid-November 2010, which management projects could reduce the
government's hotel taxes by $3.8 million, of which an estimated
$1.8 million would be earmarked for the Convention Center
Authority's Tourism Tax Revenue Bonds, Series 2010A and B.
Hotel/motel taxes represent 50% of the tourism tax revenues which
currently secure the bonds and further delays in the reopening of
the resort could result in more rapid erosion of debt service
coverage. For more information the Convention Center Authority,
please see Moody's report dated August 13, 2010.
Outlook - Series 2010A
The negative outlook for the Series 2010A Bonds is based upon the
potential for reduced tourism tax collections given the ongoing
closure of Gaylord Entertainment's Gaylord Opryland Resort and
Grand Ole Opry House due to flooding.
What Could Make The Rating Go Up (removal of the negative
outlook):
-- Gaylord Entertainment's facilities opening as projected
-- Tourism tax revenue results that are equal to or better than
current projections
What Could Make The Rating Go Down
-- Significant delays in Gaylord Entertainment's facilities
opening in mid-November
-- Tourism tax revenue losses greater than currently projected
Outlook - Series 2010B
The negative outlook for the Series 2010B Bonds is based upon the
assignment of a negative outlook to the Metropolitan Government of
Nashville and Davidson County's (TN) GO rating.
What Could Make The Rating Go Up (removal of the negative
outlook):
-- Removal of the negative outlook from Metro Nashville's GO
rating
What Could Make The Rating Go Down:
-- Changes in Metro Nashville's GO rating
Principal Methodology
The Convention Center Authority of the Metropolitan Government of
Nashville and Davidson County's Series 2010A and Series 2010B
Tourism Tax Revenue bonds rating was assigned by evaluating
factors believed to be relevant to the credit profile of the
issuer such as (1) the nature of the dedicated revenue streams
pledged to the bonds, (2) debt service coverage provided by such
revenue streams, (3) the capital structure and financial risk of
the issue, (4) the business risk and competitive position of the
issuer versus others within its industry or sector, (5) the legal
structure that documents the revenue stream and the source of
payment, and (6) the issuer's management and governance structure
related to payment.
Last Rating Action
The last rating action with respect to the Convention Center
Authority's Series 2010 A-1 & A-2 bonds was on May 19, 2010, when
a municipal finance scale rating of A1 watch list for possible
downgrade was assigned to the Convention Center Authority's bonds.
The last rating action with respect to the Convention Center
Authority's Series 2010 B-1 & B-2 bonds was on May 19, 2010, when
a municipal finance scale rating of Aa2 watch list for possible
downgrade was assigned to the Convention Center Authority's bonds.
CORPORATE BACKED: Moody's Upgrades Ratings on Two Certificates
--------------------------------------------------------------
Moody's Investors Service announced that it has upgraded, and left
on review for possible upgrade, the ratings of these certificates
issued by issued by Corporate Backed Trust Certificates, Toys "R"
Us Debenture-Backed Series 2001-31:
-- US$13,090,000 Class A-1 Certificates due September 1, 2021;
Upgraded to B2, on review for possible upgrade; Previously on
June 4, 2010 B3, Placed on review for possible upgrade;
-- US$13,090,000 Notional Amount of 1.00% Interest-Only Class
A-2 Certificates due September 1, 2021; Upgraded to B2, on
review for possible upgrade; Previously on June 4, 2010 B3,
Placed on review for possible upgrade.
Ratings Rationale
The transaction is a structured note whose ratings are based on
the rating of the Underlying Securities and the legal structure of
the transaction. The rating actions are a result of the change of
the rating of the underlying securities which are the $13,090,000
8.75% Debentures due September 1, 2021 issued by Toys "R" Us, Inc.
which were upgraded to B2 and remain on review for upgrade by
Moody's on August 13, 2010
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
CORTS TRUST: Moody's Upgrades Ratings on Certs. From 'Ba1'
----------------------------------------------------------
Moody's Investors Service announced that it has upgraded, and left
on review for possible upgrade, the rating of these certificates
issued by CorTS Trust for US West Communications Debentures:
-- US$40,565,000 7.50% Corporate-Backed Trust Securities
Certificates; Upgraded to Baa3, on review for possible
upgrade; Previously on April 29, 2010 Ba1, placed on review
for possible upgrade.
Ratings Rationale
The transaction is a structured note whose rating is based on the
rating of the Underlying Securities and the legal structure of the
transaction. The rating action is a result of the change of the
rating of $42,700,000 7.125% Debentures due November 15, 2043
issued by Qwest Corporation which were upgraded to Baa3, on review
for upgrade by Moody's on August 13, 2010.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
CREDIT SUISSE: Fitch Takes Rating Actions on 1999-C1 Notes
----------------------------------------------------------
Fitch Ratings removes from Rating Watch Negative where applicable,
downgrades, revises Rating Outlooks and assigns Loss Severity
ratings or Recovery Ratings to Credit Suisse First Boston, series
1999-C1:
-- $20.5 million class F to 'Asf/LS4' from 'AAAsf'; Outlook to
Negative from Stable;
-- $32.2 million class G to 'CCCsf/RR3' from 'A+sf';
-- $23.4 million class H to 'Csf/RR6' from 'BBB-sf';
-- $11.7 million class J to 'Csf/RR6' from 'CCCsf/RR3';
-- $11.7 million class K to 'Csf/RR6' from 'CCsf/RR6'.
In addition, Fitch affirms and assigns LS ratings as indicated:
-- $6.3 million class E at 'AAAsf/LS3'; Outlook Stable.
Prior to the rating actions, classes G and H were on Rating Watch
Negative. Fitch does not rate the $5.9 million class L. Classes
A-1, A-2, B, C and D have been paid in full. Classes M, N and O
have been reduced to zero due to losses. Fitch withdraws the
rating of the interest only class A-X.
The rating downgrades are due to an increase in expected losses on
specially serviced assets coupled with expected losses following
Fitch's prospective analysis which is similar to its recent
vintage fixed-rate commercial mortgage backed security analysis.
Fitch expects losses of 46.4% of the remaining pool balance,
approximately $51.8 million, from loans in special servicing and
the loans that are not expected to refinance at maturity based on
Fitch's refinance test. The majority of the Fitch total expected
losses (77%) are associated with the specially serviced asset,
Tallahassee Mall. Expected loss as a percentage of the original
deal balance is 7.7%. Rating Outlooks reflect the likely
direction of any rating changes over the next one to two years.
As of the August 2010 distribution date, the pool's collateral
balance has paid down 90.5% to $111.7 million from $1.2 billion at
issuance. Fitch has identified nine Loans of Concern (87.2%), of
which, four (42.8%) are in special servicing.
The largest (38.4%) specially serviced asset is collateralized
Tallahassee Mall; a regional mall located in Tallahassee, FL,
which transferred to the special servicer in August 2008 for
imminent default. The special servicer is pursuing foreclosure.
The special servicer has is no updated value at this time,
however, an October 2008 appraisal value was $14.5 million.
Fitch stressed the cash flow of the remaining non-specially
serviced and 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, four loans are not expected to
pay off at maturity with three loans incurring a loss when
compared to Fitch's stressed value.
CREDIT SUISSE: Moody's Downgrades Ratings on 12 2005-C2 Certs.
--------------------------------------------------------------
Moody's Investors Service downgraded the ratings of 12 classes and
affirmed eight classes of Credit Suisse First Boston Mortgage
Securities Corporation, Commercial Mortgage Pass-Through
Certificates, Series 2005-C2. Moody's rating action is:
-- US$0.497M Cl. A-2 Certificate, Affirmed at Aaa (sf);
previously on Sept. 15, 2005 Definitive Rating Assigned Aaa
(sf)
-- US$107.275M Cl. A-3 Certificate, Affirmed at Aaa (sf);
previously on Sept. 15, 2005 Definitive Rating Assigned Aaa
(sf)
-- US$70.6M Cl. A-AB Certificate, Affirmed at Aaa (sf);
previously on Sept. 15, 2005 Definitive Rating Assigned Aaa
(sf)
-- US$365.026M Cl. A-4 Certificate, Downgraded to Aa2 (sf);
previously on July 29, 2010 Aaa (sf) Placed Under Review for
Possible Downgrade
-- US$362.266M Cl. A-1-A Certificate, Downgraded to Aa2 (sf);
previously on July 29, 2010 Aaa (sf) Placed Under Review for
Possible Downgrade
-- US$80M Cl. A-MFL Certificate, Downgraded to Baa1 (sf);
previously on July 29, 2010 Aaa (sf) Placed Under Review for
Possible Downgrade
-- US$80.508M Cl. A-MFX Certificate, Downgraded to Baa1 (sf);
previously on July 29, 2010 Aaa (sf) Placed Under Review for
Possible Downgrade
-- US$110.35M Cl. A-J Certificate, Downgraded to Caa1 (sf);
previously on July 29, 2010 Aa3 (sf) Placed Under Review for
Possible Downgrade
-- US$30.095M Cl. B Certificate, Downgraded to Ca (sf);
previously on July 29, 2010 A2 (sf) Placed Under Review for
Possible Downgrade
-- US$16.051M Cl. C Certificate, Downgraded to C (sf);
previously on July 29, 2010 A3 (sf) Placed Under Review for
Possible Downgrade
-- US$28.089M Cl. D Certificate, Downgraded to C (sf);
previously on July 29, 2010 Baa3 (sf) Placed Under Review for
Possible Downgrade
-- US$18.057M Cl. E Certificate, Downgraded to C (sf);
previously on July 29, 2010 Ba1 (sf) Placed Under Review for
Possible Downgrade
-- US$20.064M Cl. F Certificate, Downgraded to C (sf);
previously on July 29, 2010 Ba3 (sf) Placed Under Review for
Possible Downgrade
-- US$16.05M Cl. G Certificate, Downgraded to C (sf); previously
on July 29, 2010 B1 (sf) Placed Under Review for Possible
Downgrade
-- US$20.064M Cl. H Certificate, Downgraded to C (sf);
previously on July 29, 2010 B2 (sf) Placed Under Review for
Possible Downgrade
-- US$8.025M Cl. J Certificate, Affirmed at C (sf); previously
on July 29, 2010 Downgraded to C (sf)
-- US$8.026M Cl. K Certificate, Affirmed at C (sf); previously
on July 29, 2010 Downgraded to C (sf)
-- US$3.704M Cl. L Certificate, Affirmed at C (sf); previously
on July 29, 2010 Downgraded to C (sf)
-- Cl. A-X Certificate, Affirmed at Aaa (sf); previously on
Sept. 15, 2005 Definitive Rating Assigned Aaa (sf)
-- Cl. A-SP Certificate, Affirmed at Aaa (sf); previously on
Sept. 15, 2005 Definitive Rating Assigned Aaa (sf)
Ratings Rationale
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 and interest
shortfalls. The affirmations are due to key parameters, including
Moody's loan to value ratio, Moody's stressed debt service
coverage ratio and the Herfindahl Index, remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for those classes affirmed are
sufficient to maintain the existing rating.
On July 29, 2010, Moody's placed 12 classes of this transaction on
review for possible downgrade. This action concludes Moody's
review of the transaction.
Moody's rating action reflects a cumulative base expected loss of
14% of the current balance. At last review, Moody's cumulative
base expected loss was 8%. Moody's stressed scenario loss is 25%
of the current balance. Depending on the timing of loan payoffs
and the severity and timing of losses from specially serviced
loans, the credit enhancement level for the investment grade
classes could decline below the current levels. Depending on the
future performance of the pool, the credit enhancement of these
classes and their priority in the cash flow waterfall may be
insufficient for the current ratings.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the current stressed
macroeconomic environment and continuing weakness in the
commercial real estate and lending markets. Moody's currently
views the commercial real estate market as stressed with further
performance declines expected in the industrial, office, and
retail sectors. Hotel performance has begun to rebound, albeit
off a very weak base. Multifamily has also begun to rebound
reflecting an improved supply / demand relationship. The
availability of debt capital is improving with terms returning
towards market norms. Job growth and housing price stability will
be necessary precursors to commercial real estate recovery.
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's largest economies, returning to trend growth rate
with elevated fiscal deficits and persistent unemployment levels.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 level are driven
by property type, Moody's actual and stressed DSCR, and Moody's
property quality grade (which reflects the capitalization rate
used by Moody's to estimate Moody's value). Conduit model results
at the B2 level are driven by a paydown analysis based on the
individual loan level Moody's LTV ratio. Moody's Herfindahl score
(Herf), a measure of loan level diversity, is a primary
determinant of pool level diversity and has a greater impact on
senior certificates. Other concentrations and correlations may be
considered in Moody's analysis. Based on the model pooled credit
enhancement levels at Aa2 and B2, the remaining conduit classes
are either interpolated between these two data points or
determined based on a multiple or ratio of either of these two
data points. For fusion deals, the credit enhancement for loans
with investment-grade underlying ratings is melded with the
conduit model credit enhancement into an overall model result.
Fusion loan credit enhancement is based on the underlying rating
of the loan which corresponds to a range of credit enhancement
levels. Actual fusion credit enhancement levels are selected
based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar underlying ratings
in the same transaction.
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 action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions.
Moody's monitors transactions on a monthly basis through two sets
of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated July 23, 2009.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction.
Deal Performance
As of the August 17, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 16% to $1.3 billion
from $1.6 billion at securitization. The Certificates are
collateralized by 154 mortgage loans ranging in size from less
than 1% to 11% of the pool, with the top ten loans representing
44% of the pool. Twelve loans, representing 6% of the pool, have
defeased and are collateralized by U.S. Government securities.
Thirty-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 monthly reporting package. As part of Moody's
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Three loans have been liquidated from the pool, resulting in an
aggregate $19.1 million loss (90% loss severity on average). In
addition, the principal balances of three loans were reduced in
conjunction with loan modifications, resulting in an additional
$23.3 million loss. Currently ten loans, representing 23% of the
pool, are in special servicing. The master servicer has
recognized an aggregate $150.5 million appraisal reduction for six
of the specially serviced loans. The largest specially serviced
loan is The Tri-County Mall Loan ($142.4 million -- 10.6% of the
pool), which is secured by a 1.1 million square foot regional mall
located in Cincinnati, Ohio. The loan was transferred to special
servicing in August 2009 due to imminent default and is currently
90+ days delinquent. The special servicer has instructed counsel
to begin foreclosure proceedings. The second largest loan is the
Washington Mutual Irvine Campus Loan ($106.0 million -- 7.9% of
the pool), which is secured by a 414,597 square foot office
building located in Irvine, California. The loan was transferred
to special servicing in May 2009 due to imminent default. The
property was originally 100% occupied by Washington Mutual which
vacated in 2008.
The remaining eight loans are secured by a mix of office,
multifamily, and retail properties. Moody's estimates an
aggregate $150.5 million loss for all of the specially serviced
loans (overall 55% expected loss).
Moody's has assumed a high default probability for 12 loans
representing 9% of the pool. These loans are currently on the
master servicer's watchlist due to performance issues. Moody's
has estimated an aggregate $18.3 million loss for these loans
(overall 16% expected loss based on a weighted average 52% default
probability). 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 full-year 2009
operating results for 99% and 73%, respectively, of the pool.
Excluding specially serviced and troubled loans, Moody's conduit
weighted average LTV is 101% compared to 102% at Moody's prior
review. Moody's net cash flow reflects a weighted average haircut
of 10.8% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.2%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.33X and 1.03X, respectively, compared to
1.30X and 1.00X 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 is 40. The pool
has a Herf of 27 compared to 28 at Moody's prior review.
As of the most recent remittance date, the transaction has
experienced unpaid accumulated interest shortfalls totaling
$5.8 million, affecting Classes AJ through P. Interest shortfalls
are caused by special servicing fees, appraisal reductions,
extraordinary trust expenses and loan modifications. Moody's
anticipates that the pool will continue to experience interest
shortfalls because of the high exposure to specially serviced
loans.
The top three performing loans represent 16% of the pool.
The largest performing loan is the 390 Park Avenue Loan
($106.5 million -- 7.9% of the pool), which is secured by a
234,000 square foot office building located in New York City.
The property was 97% leased as of March 2010 compared to 100% at
last review. Net income has declined slightly due to a drop in
rental revenues. Moody's LTV and stressed DSCR are 117% and
0.79X, respectively, compared to 107% and 0.86X at last review.
The second largest performing loan is the 65 Broadway Loan
($71.2 million -- 5.3% of the pool), which is secured by a
342,000 square foot office building located in New York City in
the Battery Park submarket. The property is currently 85% leased
compared to 96% at securitization. Although property performance
has been relatively stable since securitization, Moody's is
concerned about the potential financial impact of near-term lease
expirations. Leases representing approximately 17% of the net
rentable area expire in 2010 or 2011. Moody's LTV and stressed
DSCR are 103% and 0.95X, respectively, compared to 98% and 0.99X
at last review.
The third largest performing loan is the Bluffs of Berkshire
Apartments Loan and the Yorktown Apartments Loan ($41.4 million --
3.1% of the pool), which is secured by two multifamily properties
totaling 947 units located in Austin and Houston, Texas. The loan
is on the servicer's watchlist due to a decline in DSCR for both
properties. Moody's has assumed a high probability of default for
this loan due to concerns with the properties' declining
performances. Moody's LTV and stressed DSCR are 129% and 0.78X,
respectively, compared to 100% and 1.00X at last review.
CREDIT SUISSE: Moody's Reviews Ratings on Nine 2003-C3 Notes
------------------------------------------------------------
Moody's Investors Service placed the ratings of nine classes of
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-
C3 on review for possible downgrade. Moody's rating action is:
-- US$19.404M Cl. F Certificate, A3 (sf) Placed Under Review for
Possible Downgrade; previously on July 30, 2007 Upgraded to
A3 (sf)
-- US$12.936M Cl. G Certificate, Baa1 (sf) Placed Under Review
for Possible Downgrade; previously on July 30, 2007 Upgraded
to Baa1 (sf)
-- US$19.404M Cl. H Certificate, Baa3 (sf) Placed Under Review
for Possible Downgrade; previously on July 24, 2003
Definitive Rating Assigned Baa3 (sf)
-- US$19.405M Cl. J Certificate, Ba1 (sf) Placed Under Review
for Possible Downgrade; previously on July 24, 2003
Definitive Rating Assigned Ba1 (sf)
-- US$12.936M Cl. K Certificate, Ba2 (sf) Placed Under Review
for Possible Downgrade; previously on July 24, 2003
Definitive Rating Assigned Ba2 (sf)
-- US$6.468M Cl. L Certificate, Ba3 (sf) Placed Under Review for
Possible Downgrade; previously on July 24, 2003 Definitive
Rating Assigned Ba3 (sf)
-- US$10.78M Cl. M Certificate, B1 (sf) Placed Under Review for
Possible Downgrade; previously on July 24, 2003 Definitive
Rating Assigned B1 (sf)
-- US$2.156M Cl. N Certificate, B2 (sf) Placed Under Review for
Possible Downgrade; previously on July 24, 2003 Definitive
Rating Assigned B2 (sf)
-- US$4.312M Cl. O Certificate, B3 (sf) Placed Under Review for
Possible Downgrade; previously on July 24, 2003 Definitive
Rating Assigned B3 (sf)
Moody's placed Classes F through O on review for possible
downgrade due to higher expected losses for the pool resulting
from realized and anticipated losses from specially serviced and
poorly performing watchlisted loans and concerns about refinance
risk in an adverse environment. Two hundred and one loans,
representing 82% of the pool, mature within the next 36 months.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 level are driven
by property type, Moody's actual and stressed DSCR, and Moody's
property quality grade (which reflects the capitalization rate
used by Moody's to estimate Moody's value). Conduit model results
at the B2 level are driven by a paydown analysis based on the
individual loan level Moody's LTV ratio. Moody's Herfindahl
score, a measure of loan level diversity, is a primary determinant
of pool level diversity and has a greater impact on senior
certificates. Other concentrations and correlations may be
considered in Moody's analysis. Based on the model pooled credit
enhancement levels at Aa2 and B2, the remaining conduit classes
are either interpolated between these two data points or
determined based on a multiple or ratio of either of these two
data points. For fusion deals, the credit enhancement for loans
with investment-grade underlying ratings is melded with the
conduit model credit enhancement into an overall model result.
Fusion loan credit enhancement is based on the underlying rating
of the loan which corresponds to a range of credit enhancement
levels. Actual fusion credit enhancement levels are selected
based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar underlying ratings
in the same transaction.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated July 30, 2007. See the
ratings tab on the issuer / entity page on moodys.com for the last
rating action and the ratings history.
Deal Performance
As of the August 17, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 31% to $1.2 billion
from $1.76 billion million at securitization. The Certificates
are collateralized by 225 mortgage loans ranging in size from less
than 1% to 16% of the pool, with the top ten loans representing
37% of the pool. Approximately 14% of the pool is secured
residential cooperative residences. Twenty-five loans,
representing 17% of the pool, have defeased and are collateralized
with U.S. Government securities. Defeasance at last review
represented 6% of the pool.
Twenty-eight loans, representing 12% of the pool, are on the
master servicer's watchlist. The watchlist includes loans which
meet certain portfolio review guidelines established as part of
the CRE Finance Council 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.
Eight loans have been liquidated from the pool since
securitization, resulting in an aggregate $14.5 million loss (62%
loss severity on average). Currently five loans, representing 4%
of the pool, are in special servicing. The largest specially
serviced loan is The Mills Apartments Loan ($21.1 million -- 1.8%
of the pool), which is secured by a 708-unit apartment complex
located in Houston, Texas. The loan was transferred to special
servicing in January 2010 due to imminent payment default.
Moreover, the loan matures in September 2010 and the borrower has
not yet been successful in securing re-financing. The property
was 70% leased as of December 2009 and performance has declined
since securitization. The remaining four loans are secured by a
mix of multifamily and office properties.
Moody's review will focus on potential losses from specially
serviced and watchlisted loans and the performance of the overall
pool.
CREDIT SUISSE: Moody's Reviews Ratings on 10 2006-TFL1 Certs.
-------------------------------------------------------------
Moody's Investors Service placed 10 classes of Credit Suisse First
Boston Mortgage Securities Corp., Commercial Pass-Through
Certificates, Series 2006-TFL1 on review for possible downgrade.
Moody's rating action is:
-- US$39M Cl. B Certificate, Aaa (sf) Placed Under Review for
Possible Downgrade; previously on March 5, 2007 Upgraded to
Aaa (sf)
-- US$34M Cl. C Certificate, Aa1 (sf) Placed Under Review for
Possible Downgrade; previously on March 19, 2009 Downgraded
to Aa1 (sf)
-- US$27M Cl. D Certificate, Aa2 (sf) Placed Under Review for
Possible Downgrade; previously on March 19, 2009 Downgraded
to Aa2 (sf)
-- US$29M Cl. E Certificate, Aa3 (sf) Placed Under Review for
Possible Downgrade; previously on March 19, 2009 Downgraded
to Aa3 (sf)
-- US$24M Cl. F Certificate, A2 (sf) Placed Under Review for
Possible Downgrade; previously on March 19, 2009 Downgraded
to A2 (sf)
-- US$25M Cl. G Certificate, A3 (sf) Placed Under Review for
Possible Downgrade; previously on March 19, 2009 Downgraded
to A3 (sf)
-- US$25M Cl. H Certificate, Baa1 (sf) Placed Under Review for
Possible Downgrade; previously on March 19, 2009 Downgraded
to Baa1 (sf)
-- US$27M Cl. J Certificate, Baa3 (sf) Placed Under Review for
Possible Downgrade; previously on March 19, 2009 Downgraded
to Baa3 (sf)
-- US$36M Cl. K Certificate, Ba2 (sf) Placed Under Review for
Possible Downgrade; previously on March 19, 2009 Downgraded
to Ba2 (sf)
-- US$32.5M Cl. L Certificate, Ba3 (sf) Placed Under Review for
Possible Downgrade; previously on March 19, 2009 Downgraded
to Ba3 (sf)
The ten classes have been placed on review for possible downgrade
due to the continued performance deterioration in the two
remaining loans in the pool, the Tharaldson Portfolio Loan (88% of
the pool balance) and the Charleston Place Hotel Loan (12%), and
the heightened refinance risk due to the loans' impending final
extended maturities. The rating action is a result of Moody's on-
going surveillance of commercial mortgage backed securities
transactions.
CT CDO: S&P Affirms Ratings on 15 Classes of CRE CDO Deals
----------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on 15
classes from CT CDO IV Ltd., a commercial real estate
collateralized debt obligation transaction. S&P removed 12 of the
affirmed ratings from CreditWatch with negative implications.
The affirmations reflect S&P's analysis of the transaction
following the downgrade of the underlying GMAC Commercial Mortgage
Securities series 2004-C2's class B commercial mortgage-backed
securities. The downgraded securities amount to $24.7 million
(6.6% of the total asset balance) that collateralize CT CDO IV
Ltd. S&P's analysis also considered its lowered credit estimates
on a portion of the unrated collateral securities. The lowered
credit estimates total $24.0 million (6.4% of total asset
balance).
According to the Aug. 16, 2010, trustee report, the transaction's
current asset pool included these:
* Thirty-two CMBS tranches ($238.0 million, 63.4%);
* Eight CRE CDO tranches ($107.7 million, 28.7%); and
* Two subordinated loans ($29.5 million, 7.9%).
According to the trustee report, the transaction includes 17
impaired and defaulted CMBS and CRE CDO tranches ($160.2 million,
42.7%).
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 affirmed ratings.
Ratings Affirmed And Removed From Creditwatch Negative
CT CDO IV Ltd.
Collateralized debt obligations series IV
Rating
------
Class To From
----- -- ----
A-1 BBB+ (sf) BBB+ (sf)/Watch Neg
A-2 BBB (sf) BBB (sf)/Watch Neg
B BBB- (sf) BBB- (sf)/Watch Neg
C BB+ (sf) BB+ (sf)/Watch Neg
D-FL BB (sf) BB (sf)/Watch Neg
D-FX BB (sf) BB (sf)/Watch Neg
E BB- (sf) BB- (sf)/Watch Neg
F-FL B+ (sf) B+ (sf)/Watch Neg
F-FX B+ (sf) B+ (sf)/Watch Neg
G B- (sf) B- (sf)/Watch Neg
H CCC+ (sf) CCC+ (sf)/Watch Neg
J CCC (sf) CCC (sf)/Watch Neg
Ratings Affirmed
CT CDO IV Ltd.
Collateralized debt obligations series IV
Class Rating
----- ------
K CCC- (sf)
L CCC- (sf)
M CCC- (sf)
CWALT INC: Moody's Corrects Ratings on Five 2006-HY12 Tranches
--------------------------------------------------------------
Moody's has corrected its ratings on 5 tranches from the CWALT,
Inc. Mortgage Pass-Through Certificates, Series 2006-HY12
transaction. The previous rating actions, released on August 13,
2010, were based on the Pooling and Servicing Agreement dated as
of June 1, 2006, which had a clause that resulted in principal to
be distributed to Senior Notes, pro-rata, based on their
respective class certificate balances, after the subordinate
certificates were depleted entirely. This clause was subsequently
deleted in an amendment, dated February 13, 2007. As a result,
tranches that have a higher priority in the payment waterfall,
benefit from higher principal recoveries due to this amendment.
Accordingly, ratings on A-1, A-2, A-3 and A-4, which were
downgraded to Caa2 (sf), Caa2 (sf), Ca (sf), and Caa2 (sf)
respectively per the August 13, 2010 press release, have been
adjusted to Ba2 (sf), Ba2 (sf), B2 (sf), and B1 (sf) respectively.
If losses on the collateral pool were to increase from 38% in the
expected case to 42% in a more stressed scenario, model implied
results indicate that most of the deal's ratings would remain
stable, with the exception of Classes A-3 and A-5, for which model
indicated results would be B3 and Ca, respectively.
The corrected ratings along with the revised release follows.
Moody's Investors Service has downgraded the ratings of 54
tranches, confirmed the ratings on 6 tranches, and upgraded the
rating on 1 tranche, from 11 RMBS transactions, backed by Alt-A
loans, issued by Countrywide.
The collateral backing these transactions consists primarily of
first-lien, adjustable-rate, Alt-A residential mortgage loans.
The actions are a result of the rapidly deteriorating performance
of Alt-A pools in conjunction with macroeconomic conditions that
remain under duress. The actions reflect Moody's updated loss
expectations on Alt-A pools issued from 2005 to 2007. For details
regarding Moody's approach to estimating losses on Alt-A pools
originated in 2005, 2006, and 2007, please refer to the
methodology publication "Alt-A RMBS Loss Projection Update:
February 2010" available on Moodys.com.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment remains at high
levels, and weakness persists in the housing market. Moody's
notes an increasing potential for a double-dip recession, which
could cause a further 20% decline in home prices (versus its
baseline assumption of roughly 5% further decline). Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in early 2011, accompanied by continued stress in
national employment levels through that timeframe.
To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the
different pools and the structural features of the transaction
including priorities of payment distribution among the different
tranches, average life of the tranches, current balances of the
tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
The above mentioned approach "Alt-A RMBS Loss Projection Update:
February 2010" is adjusted slightly when estimating losses on
pools left with a small number of loans. To project losses on
pools with fewer than 100 loans, Moody's first estimates a
"baseline" average rate of new delinquencies for the pool that is
dependent on the vintage of loan origination (10%, 19% and 21% for
the 2005, 2006 and 2007 vintage respectively). This baseline rate
is higher than the average rate of new delinquencies for the
vintage to account for the volatile nature of small pools. Even
if a few loans in a small pool become delinquent, there could be a
large increase in the overall pool delinquency level due to the
concentration risk. Once the baseline rate is set, further
adjustments are made based on 1) the number of loans remaining in
the pool and 2) the level of current delinquencies in the pool.
The fewer the number of loans remaining in the pool, the higher
the volatility and hence the stress applied. Once the loan count
in a pool falls below 75, the rate of delinquency is increased by
1% for every loan less than 75. For example, for a pool with 74
loans from the 2005 vintage, the adjusted rate of new delinquency
would be 10.10%. If current delinquency levels in a small pool is
low, future delinquencies are expected to reflect this trend. To
account for that, the rate calculated above is multiplied by a
factor ranging from 0.2 to 2.0 for current delinquencies ranging
from less than 2.5% to greater than 50% respectively.
Delinquencies for subsequent years and ultimate * Expected
Losses are projected using the approach described in the
methodology publication.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or
financial instruments in these transactions and the due diligence
reports had a neutral impact on the rating.
Complete rating actions are:
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-HY10
-- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-X, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-HY11
-- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-HY12
-- Cl. A-1, Downgraded to Ba2 (sf); previously on Jan. 14, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Ba2 (sf); previously on Jan. 14, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to B2 (sf); previously on Jan. 14, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to B1 (sf); previously on Jan. 14, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-4X, Downgraded to B1 (sf); previously on Jan. 14, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to C (sf); previously on Jan. 14, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
-- Cl. A-6X, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-HY3
-- Cl. 1-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-HY2
-- Cl. 1-A, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-HY3
-- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-HY4
-- Cl. 1-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Confirmed at Caa3 (sf); previously on Jan. 14,
2010 Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Confirmed at Caa3 (sf); previously on Jan. 14,
2010 Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-3, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-HY6
-- Cl. A-1, Confirmed at Caa3 (sf); previously on Jan. 14, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Upgraded to Caa1 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Confirmed at Caa3 (sf); previously on Jan. 14, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to C (sf); previously on Jan. 14, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-HY7C
-- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to C (sf); previously on Jan. 14, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. X, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-HY8C
-- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
-- Cl. X, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-HY9
-- Cl. A-1, Confirmed at Caa3 (sf); previously on Jan. 14, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to C (sf); previously on Jan. 14, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
-- Cl. X, Confirmed at Caa3 (sf); previously on Jan. 14, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
CWHEQ HOME: Moody's Downgrades Ratings on 26 Tranches
-----------------------------------------------------
Moody's Investors Service has downgraded the ratings of 26
tranches and confirmed the ratings of 9 tranches from 8 RMBS
transactions issued by CWHEQ Home Equity Loan Trust. The
collateral backing these deals primarily consist of closed end
second loans.
Ratings Rationale
The actions are a result of the continued performance
deterioration in second lien pools in conjunction with home price
and unemployment conditions that remain under duress. The actions
reflect Moody's updated loss expectations on second lien pools.
Certain tranches included in this action, noted below, are wrapped
by financial guarantors. For securities insured by a financial
guarantor, the rating on the securities is the higher of (i) the
guarantor's financial strength rating and (ii) the current
underlying rating (i.e., absent consideration of the guaranty) on
the security. The principal methodology used in determining the
underlying rating is the same methodology for rating securities
that do not have a financial guaranty and is as described earlier.
RMBS securities wrapped by Ambac Assurance Corporation are rated
at their underlying rating without consideration of Ambac's
guaranty.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment remains at high
levels, and weakness persists in the housing market. Moody's
notes an increasing potential for a double-dip recession, which
could cause a further 20% decline in home prices (versus its
baseline assumption of roughly 5% further decline). Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in early 2011, accompanied by continued stress in
national employment levels through that timeframe.
If expected losses on the each of the collateral pools were to
increase by 10%, model implied results indicate that most of the
deals' ratings would remain stable, with the exception of Classes
A-2 from CWHEQ Home Equity Loan Trust, Series 2006-S1, class A-3
from CWHEQ Home Equity Loan Trust, Series 2006-S2, class A-2 from
CWHEQ Home Equity Loan Trust, Series 2006-S3, class A-3 from CWHEQ
Home Equity Loan Trust, Series 2006-S4, classes A-2 and A-6 from
CWHEQ Home Equity Loan Trust, Series 2006-S5, class A-3 from CWHEQ
Home Equity Loan Trust, Series 2006-S6, for each of which model
implied results would be one notch lower (for example, Ba2 versus
Ba1, or Ca versus Caa3).
Moody's Investors Service received and took into account one or
more third party due diligence report(s) on the underlying assets
or financial instruments in this transaction and the due diligence
report(s) had a neutral impact on the rating.
Ratings
Issuer: CWHEQ Home Equity Loan Trust, Series 2006-S1
* Expected Losses (as a % of Original Balance): 31%
-- Cl. A-2, Downgraded to Caa3 (sf); previously on March 18,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
-- Cl. A-3, Downgraded to C (sf); previously on April 16, 2010
Downgraded to Ca (sf) and Placed Under Review for Possible
Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
-- Cl. A-5, Confirmed at Ca (sf); previously on April 16, 2010
Downgraded to Ca (sf) and Placed Under Review for Possible
Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: CWHEQ Home Equity Loan Trust, Series 2006-S10
* Expected Losses (as a % of Original Balance): 33%
-- Cl. A-1, Downgraded to B3 (sf); previously on March 18, 2010
Ba2 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: MBIA Insurance Corporation (Downgraded
to B3, Outlook Negative on June 25, 2009)
Issuer: CWHEQ Home Equity Loan Trust, Series 2006-S2
* Expected Losses (as a % of Original Balance): 32%
-- Cl. A-2, Confirmed at Caa3 (sf); previously on March 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Financial Guaranty Insurance
Company (Insured Rating Withdrawn Mar 25, 2009)
-- Cl. A-3, Confirmed at Ca (sf); previously on March 18, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn Mar 25, 2009)
-- Cl. A-5, Confirmed at Ca (sf); previously on March 18, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn Mar 25, 2009)
Issuer: CWHEQ Home Equity Loan Trust, Series 2006-S3
* Expected Losses (as a % of Original Balance): 41%
-- Cl. A-1, Downgraded to Caa2 (sf); previously on March 18,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn Mar 25, 2009)
-- Cl. A-2, Downgraded to Ca (sf); previously on March 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn Mar 25, 2009)
-- Cl. A-3, Downgraded to C (sf); previously on March 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn Mar 25, 2009)
-- Cl. A-4, Downgraded to C (sf); previously on March 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn Mar 25, 2009)
-- Cl. A-5, Downgraded to Ca (sf); previously on March 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn Mar 25, 2009)
Issuer: CWHEQ Home Equity Loan Trust, Series 2006-S4
* Expected Losses (as a % of Original Balance): 43%
-- Cl. A-1, Confirmed at Caa1 (sf); previously on March 18, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
-- Cl. A-2, Confirmed at Caa3 (sf); previously on April 16, 2010
Downgraded to Caa3 (sf) and Placed Under Review for Possible
Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
-- Cl. A-3, Downgraded to Ca (sf); previously on April 16, 2010
Downgraded to Caa3 (sf) and Placed Under Review for Possible
Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
-- Cl. A-4, Downgraded to C (sf); previously on April 16, 2010
Downgraded to Caa3 (sf) and Placed Under Review for Possible
Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
-- Cl. A-5, Downgraded to C (sf); previously on April 16, 2010
Downgraded to Caa3 (sf) and Placed Under Review for Possible
Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
-- Cl. A-6, Downgraded to Ca (sf); previously on April 16, 2010
Downgraded to Caa3 (sf) and Placed Under Review for Possible
Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: CWHEQ Home Equity Loan Trust, Series 2006-S5
* Expected Losses (as a % of Original Balance): 49%
-- Cl. A-1, Confirmed at Caa1 (sf); previously on March 18, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Financial Guaranty Insurance
Company (Insured Rating Withdrawn Mar 25, 2009)
-- Cl. A-2, Confirmed at Caa3 (sf); previously on March 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn Mar 25, 2009)
-- Cl. A-3, Downgraded to C (sf); previously on March 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn Mar 25, 2009)
-- Cl. A-4, Downgraded to C (sf); previously on March 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn Mar 25, 2009)
-- Cl. A-5, Downgraded to C (sf); previously on March 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn Mar 25, 2009)
-- Cl. A-6, Downgraded to Ca (sf); previously on March 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Financial Guaranty Insurance Company
(Insured Rating Withdrawn Mar 25, 2009)
Issuer: CWHEQ Home Equity Loan Trust, Series 2006-S6
* Expected Losses (as a % of Original Balance): 41%
-- Cl. A-2, Confirmed at Caa3 (sf); previously on April 16, 2010
Downgraded to Caa3 (sf) and Placed Under Review for Possible
Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
-- Cl. A-3, Downgraded to Ca (sf); previously on April 16, 2010
Downgraded to Caa3 (sf) and Placed Under Review for Possible
Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
-- Cl. A-4, Downgraded to C (sf); previously on April 16, 2010
Downgraded to Caa3 (sf) and Placed Under Review for Possible
Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
-- Cl. A-5, Downgraded to C (sf); previously on April 16, 2010
Downgraded to Caa3 (sf) and Placed Under Review for Possible
Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
-- Cl. A-6, Downgraded to Ca (sf); previously on April 16, 2010
Downgraded to Caa3 (sf) and Placed Under Review for Possible
Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: CWHEQ Home Equity Loan Trust, Series 2006-S7
* Expected Losses (as a % of Original Balance): 52%
-- Cl. A-1, Downgraded to Caa3 (sf); previously on March 18,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to
Ca, Outlook Developing on Mar 9, 2009)
-- Cl. A-2, Downgraded to Ca (sf); previously on March 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to
Ca, Outlook Developing on Mar 9, 2009)
-- Cl. A-3, Downgraded to Ca (sf); previously on March 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to
Ca, Outlook Developing on Mar 9, 2009)
-- Cl. A-4, Downgraded to Ca (sf); previously on March 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to
Ca, Outlook Developing on Mar 9, 2009)
-- Cl. A-5, Downgraded to Ca (sf); previously on March 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to
Ca, Outlook Developing on Mar 9, 2009)
-- Cl. A-6, Downgraded to Ca (sf); previously on March 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to
Ca, Outlook Developing on Mar 9, 2009)
DRYDEN VII-LEVERAGED: Moody's Upgrades Rating on Various Notes
--------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these notes issued by DRYDEN VII-LEVERAGED LOAN CDO
2004:
-- US$126,500,000 Class A-1L Floating Rate Notes due 2016
(current outstanding balance of US$ 84,310,822.62),
Upgraded to Aaa (sf); previously on July 14, 2009 Downgraded
to Aa2 (sf);
-- US$37,500,000 Class A-1LB Floating Rate Notes due 2016,
Upgraded to Aaa (sf); previously on July 14, 2009 Downgraded
to Aa3 (sf);
-- US$26,000,000 Class A-2L Floating Rate Notes due 2016,
Upgraded to Aa3 (sf); previously on July 14, 2009 Downgraded
to A3 (sf);
-- US$22,000,000 Class A-3F Fixed Rate Notes due 2016,
Upgraded to Baa3 (sf); previously on July 14, 2009 Confirmed
at Ba1(sf);
-- US$22,000,000 Class B-1L Floating Rate Notes due 2016,
Upgraded to B3 (sf); previously on July 14, 2009 Downgraded
to Caa1(sf);
-- US$7,500,000 Class B-2L Floating Rate Notes due 2016,
Upgraded to Caa3 (sf); previously on July 14, 2009 Downgraded
to Ca (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes result
primarily from the delevering of the Class A-1 Notes, which have
been paid down by approximately 36.7% or $99.6 MM since the last
rating action in July 2009. As a result of the delevering, the
overcollateralization ratios have increased since the last rating
action in July 2009. As of the latest trustee report dated
August 6, 2010, the Senior Class A, Class A, Class B-1L and Class
B-2L Principal Coverage Test ratios are reported at 134.1%,
122.6%, 113.0%% and 110.0%, respectively, versus July 2009 levels
of 117.6%, 110.3%, 103.9% and 101.8%, respectively.
Moody's also notes that the credit profile of the underlying
portfolio has been relatively stable since the last rating action.
Based on the August 2010 trustee report, the weighted average
rating factor is 2604 compared to 2641 in July 2009, and
securities rated Caa1(sf) and below make up approximately 8.6% of
the underlying portfolio versus 10.0% in July 2009. The deal also
experienced a decrease in defaults. In particular, the dollar
amount of defaulted securities has decreased to about $8.7 MM from
approximately $34.7 MM in July 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. In its base case, Moody's analyzed the
underlying collateral pool to have a performing par and principal
proceeds of $306 million, defaulted par of $15.6 million, weighted
average default probability of 25.19% (implying a WARF of 3740) a
weighted average recovery rate upon default of 42.14%, and a
diversity score of 57. These default and recovery properties of
the collateral pool are incorporated in cash flow model analysis
where they are subject to stresses as a function of the target
rating of each CLO liability being reviewed. The default
probability is derived from the credit quality of the collateral
pool and Moody's expectation of the remaining life of the
collateral pool. The average recovery rate to be realized on
future defaults is based primarily on the seniority of the assets
in the collateral pool. In each case, historical and market
performance trends, and collateral manager latitude for trading
the collateral are also factors.
DRYDEN VII-LEVERAGED LOAN CDO 2004, issued on July 22, 2004, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
Moody's modeled the transaction using the Binomial Expansion
Technique.
For securities whose default probabilities are assessed through
credit estimates, Moody's applied additional default probability
stresses by assuming an equivalent of Caa3 (sf) for CEs that were
not updated within the last 15 months, which currently account for
approximately 3.6% 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.
In addition to the base case analysis described above, Moody's
also performed a number of sensitivity analyses to test the impact
on all rated notes, including these:
1. Various default probabilities to capture potential defaults in
the underlying portfolio.
2. A range of recovery rate assumptions for all assets to capture
variability in recovery rates.
This is a summary of the impact of different default probabilities
(expressed in terms of WARF levels) on all rated notes (shown in
terms of the number of notches' difference versus the current
model output, whereby a positive difference corresponds to lower
expected losses), assuming that all other factors are held equal:
Moody's Adjusted WARF -- 20% (2992)
* Class A1L: 0
* Class A-1LA: 0
* Class A-1LB: 0
* Class A-2L: +2
* Class A-3F: +2
* Class B-1L: +3
* Class B-2L: +2
Moody's Adjusted WARF + 20% (4488)
* Class A1L: 0
* Class A-1LA: 0
* Class A-1LB: -1
* Class A-2L: -2
* Class A-3F: -2
* Class B-1L: -2
* Class B-2L: -1
This is a summary of the impact of different recovery rate levels
on all rated notes (shown in terms of the number of notches'
difference versus the current model output, whereby a positive
difference corresponds to lower expected losses), assuming that
all other factors are held equal:
Moody's Adjusted WARR +2% (44.14%)
* Class A1L: 0
* Class A-1LA: 0
* Class A-1LB: 0
* Class A-2L: 0
* Class A-3F: 0
* Class B-1L: +1
* Class B-2L: 0
Moody's Adjusted WARR - 2% (40.14%)
* Class A1L: 0
* Class A-1LA: 0
* Class A-1LB: 0
* Class A-2L: -1
* Class A-3F: -1
* Class B-1L: -1
* Class B-2L: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2012 and
2014 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the managers'
investment strategies and behavior, 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities, and 3) potential additional
expected loss associated with swap agreements in CDOs as a result
of recent U.S. bankruptcy court ruling on Lehman swap termination
in the Dante case.
Sources of additional performance uncertainties are described
below:
1) Delevering: The main source of uncertainty in this transaction
is whether delevering from unscheduled principal proceeds will
continue and at what pace. Delevering may accelerate due to
high prepayment levels in the loan market and/or collateral
sales by the manager, which may have significant impact on the
notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to
be defaulted by Moody's may create volatility in the deals'
overcollateralization levels. Further, the timing of
recoveries and the manager's decision to work out versus
selling defaulted assets create additional uncertainties.
Moody's analyzed defaulted recoveries assuming the lower of the
market price and the recovery rate in order to account for
potential volatility in market prices.
3) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation
risk on those assets. Moody's assumes an asset's terminal
value upon liquidation at maturity to be equal to the lower of
an assumed liquidation value (depending on the extent to which
the asset's maturity lags that of the liabilities) and the
asset's current market value.
FRANKLIN CLO: Moody's Upgrades Ratings on Four Classes
------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these notes issued by Franklin CLO IV, Ltd.:
-- US$25,000,000 Class B Floating Rate Senior Secured Notes
due 2015, Upgraded to Aa1 (sf); previously on July 27, 2009
Downgraded to A3 (sf);
-- US$18,500,000 Class C Floating Rate Deferrable Interest
Senior Secured Notes due 2015, Upgraded to Baa1 (sf);
previously on July 27, 2009 Downgraded to Ba2 (sf);
-- US$15,250,000 Class D Floating Rate Deferrable Interest
Senior Secured Notes due 2015, Upgraded to B2 (sf);
previously on July 27, 2009 Downgraded to Caa3 (sf);
-- US$8,000,000 Class E Floating Rate Deferrable Interest
Senior Secured Notes due 2015 (current outstanding balance of
$6,105,112.03), Upgraded to Caa3 (sf); previously on July 27,
2009 Downgraded to C (sf);
Ratings Rationale
According to Moody's, the rating actions taken on the notes
result primarily from the delevering of the Class A Notes and
Class E Notes, which have been paid down by approximately 51%
or $114 million and by approximately 13% or $0.9 million,
respectively, since the last rating action in July 2009. As
a result of the delevering, the overcollateralization ratios
have increased since the last rating action in July 2009. As
of the latest trustee report dated July 13, 2010, the Class B,
Class C, Class D and Class E overcollateralization ratios are
reported at 132.93%, 116.68%, 106.00% and 102.25%, respectively,
versus June 2009 levels of 114.29%, 106.32%, 100.55% and 98.1%,
respectively. All related overcollateralization tests are
currently in compliance.
Moody's also notes that the credit profile of the underlying
portfolio has been relatively stable since the last rating
action. Based on the July 2010 trustee report, the weighted
average rating factor is 2418 compared to 2507 in June 2009,
and securities rated Caa1 and below make up approximately 2.1%
of the underlying portfolio versus 6.8% in June 2009. The deal
also experienced a decrease in defaults. The dollar amount of
defaulted securities has decreased to about $2 million from
approximately $16.8 million in June 2009. In particular, the
Class E overcollateralization ratio has increased due to the
diversion of excess interest to delever the Class E Notes in the
event of a Class E overcollateralization test failure, including
on the March 2010 payment date, when $0.9 million of interest
proceeds reduced the outstanding balance of the Class E Notes by
13%. Moody's also notes that the Class E Notes are no longer
deferring interest and previous deferred interest has been paid
in full.
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. In its base case, Moody's analyzed the
underlying collateral pool to have a performing par and principal
proceeds of $175.6 million, defaulted par of $2 million, weighted
average default probability of 18.20% (implying a WARF of 3125),
a weighted average recovery rate upon default of 45%, and a
diversity score of 37. These default and recovery properties of
the collateral pool are incorporated in cash flow model analysis
where they are subject to stresses as a function of the target
rating of each CLO liability being reviewed. The default
probability is derived from the credit quality of the collateral
pool and Moody's expectation of the remaining life of the
collateral pool. The average recovery rate to be realized on
future defaults is based primarily on the seniority of the assets
in the collateral pool. In each case, historical and market
performance trends, and collateral manager latitude for trading
the collateral are also factors.
Franklin CLO IV, Ltd., issued on August 28, 2003, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
Moody's modeled the transaction using the Binomial Expansion
Technique.
In addition to the base case analysis described above, Moody's
also performed a number of sensitivity analyses to test the impact
on all rated notes, including these:
1. Various default probabilities to capture potential defaults in
the underlying portfolio.
2. A range of recovery rate assumptions for all assets to capture
variability in recovery rates.
Below is a summary of the impact of different default
probabilities (expressed in terms of WARF levels) on all rated
notes (shown in terms of the number of notches' difference versus
the current model output, where a positive difference corresponds
to lower expected losses), assuming that all other factors are
held equal:
Moody's Adjusted WARF --20% (2500)
* Class A: 0
* Class B: +1
* Class C: +2
* Class D: +1
* Class E: +1
Moody's Adjusted WARF +20% (3750)
* Class A: 0
* Class B: -1
* Class C: -2
* Class D: -3
* Class E: -1
Below is a summary of the impact of different recovery rate levels
on all rated notes (shown in terms of the number of notches'
difference versus the current model output, where a positive
difference corresponds to lower expected losses), assuming that
all other factors are held equal:
Moody's Adjusted WARR +2% (47%)
* Class A: 0
* Class B: +1
* Class C: 0
* Class D: 0
* Class E: 0
Moody's Adjusted WARR -2% (43%)
* Class A: 0
* Class B: 0
* Class C: -1
* Class D: -1
* Class E: 0
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2012 and
2014 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the managers'
investment strategies and behavior, 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities, and 3) potential additional
expected loss associated with swap agreements in CDOs as a result
of recent U.S. bankruptcy court ruling on Lehman swap termination
in the Dante case.
The main source of uncertainty in this transaction is whether
delevering from unscheduled principal proceeds will continue and
at what pace. Delevering may accelerate due to high prepayment
levels in the loan market and/or collateral sales by the manager,
which may have significant impact on the notes' ratings.
GEMSTONE CDO: Moody's Downgrades Ratings on Three Classes of Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of three classes of notes issued by Gemstone CDO II
Limited. The notes affected by the rating action are:
-- US$129,500,000 Class A-1 Floating Rate Notes Due May 2040
(current balance of $36,784,970), Downgraded to Ca (sf);
previously on March 26, 2009 Downgraded to Caa2 (sf);
-- US$20,500,000 Class A-2 Floating Rate Notes Due May 2040
(current balance of $12,393,597), Downgraded to C (sf);
previously on March 26, 2009 Downgraded to Ca (sf);
-- US$141,400,000 Class A-3 Floating Rate Notes Due May 2040
(current balance of $46,358,725), Downgraded to Ca (sf);
previously on March 26, 2009 Downgraded to Caa2 (sf).
Gemstone CDO II Limited is a collateralized debt obligation
issuance backed by a portfolio of primarily Residential Mortgage-
Backed Securities originated between 2002 and 2005.
Ratings Rationale
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 2672 in March 2009 to 3305 in August 2010. Defaulted
securities, as reported by the trustee, has also increased from
$55 million to $72 million in that period. Moody's noted that the
transaction is negatively impacted by a large pay-fixed, receive-
floating interest rate swap where payments to the hedge
counterparty absorb a large portion of the excess spread in the
deal. Additionally, approximately $48 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 notes that in arriving at its ratings of ABS CDOs, there
exist a number of sources of uncertainty, operating both on a
macro level and on a transaction-specific level. Among the
general macro uncertainties are those surrounding future housing
prices, pace of residential mortgage foreclosures, loan
modification and refinancing, unemployment rate and interest
rates. However, in light of the performance indicators noted
above, Moody's believes that it is unlikely that the ratings
announced are sensitive to further change.
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 14 for
Alt-A, and January 27 for Option-ARM. Based on the anticipated
ratings impact of the updated cumulative loss numbers, the stress
varied based on vintage, current rating, and RMBS asset type.
For 2005 Alt-A and Option-ARM securities, securities that are
currently rated Aaa (sf) or Aa (sf) were stressed by eleven
notches, and securities currently rated A (sf) or Baa (sf) were
stressed by eight notches. Those securities currently rated in
the Ba (sf) or B (sf) range were stressed to Caa3 (sf), while
current Caa (sf) securities were treated as Ca (sf). For 2006 and
2007 Alt-A and Option-ARM securities, currently Aaa (sf) or Aa
(sf) rated securities were stressed by eight notches, and
securities currently rated A (sf) , Baa (sf) or Ba (sf) were
stressed by five notches. Those securities currently rated in the
B range were stressed to Caa3 (sf), while current Caa (sf)
securities were treated as Ca (sf).
For 2005 subprime RMBS, those currently rated Aa (sf), A (sf) or
Baa (sf) were stressed by five notches, Ba (sf) rated securities
were stressed to Caa3 (sf), and B (sf) or Caa (sf) securities were
treated as Ca (sf). For subprime RMBS originated in the first
half of 2006, those currently rated Aaa (sf) were stressed by four
notches, while Aa (sf), A (sf) and Baa (sf) rated securities were
stressed by eight notches. Those securities currently rated in
the Ba (sf) range were stressed to Caa3 (sf), while current B (sf)
and Caa (sf) securities were treated as Ca (sf). For subprime
RMBS originated in the second half of 2006, those currently rated
Aa (sf), A (sf) , Baa (sf) or Ba (sf) were stressed by four
notches, currently B (sf) rated securities were treated as Caa3
(sf), and currently Caa (sf) rated securities were treated as Ca
(sf). For 2007 subprime RMBS, currently Ba (sf) rated securities
were stressed by four notches, currently B (sf) rated securities
were treated as Caa3 (sf), and currently Caa (sf) rated securities
were treated as Ca (sf).
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 (sf) rated securities were stressed by
four notches, Aa (sf) rated securities by six notches, and A (sf)
or Baa (sf) rated securities by nine notches. Pre-2005 Option-ARM
securities currently rated Aaa (sf) were stressed by two notches,
Aa (sf) and A (sf) by six notches, and Baa (sf) by nine notches.
For pre-2005 subprime, Aaa (sf) and Aa (sf) rated securities were
stressed by two notches, A (sf) rated securities were stressed by
six notches, and Baa (sf) 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 (sf) or below,
and are also currently on review for possible downgrade have been
stressed to Ca (sf).
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.
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.
The approach Moody's takes to defining the default distribution
for the SF CDO collateral depends on the structure of the CDO
itself.
Moody's applied the Monte Carlo simulation framework within
CDOROMv2.6 to model the loss distribution for SF CDOs. Within
this framework, defaults are generated so that they occur with the
frequency indicated by the adjusted default probability pool (the
default probability associated with the current rating multiplied
by the Resecuritization Stress) for each credit in the reference.
Specifically, correlated defaults are simulated using a normal (or
"Gaussian") copula model that applies the asset correlation
framework. Recovery rates for defaulted credits are generated by
applying within the simulation the distributional assumptions,
including the correlation between recovery values. Together, the
simulated defaults and recoveries across each of the Monte Carlo
scenarios define the loss distribution for the reference pool.
Once the loss distribution for the collateral has been calculated,
each collateral loss scenario derived through the CDOROM loss
distribution is associated with the interest and principal
received by the rated liability classes via the CDOEdge cash-flow
model. The cash flow model takes into account of: collateral cash
flows, the transaction covenants, the priority of payments
(waterfall) for interest and principal proceeds received from
portfolio assets, reinvestment assumptions, the timing of
defaults, interest-rate scenarios and foreign exchange risk (if
present). The Expected Loss for each tranche is the weighted
average of losses to each tranche across all the scenarios, where
the weight is the likelihood of the scenario occurring. Moody's
defines the loss as the shortfall in the present value of cash
flows to the tranche relative to the present value of the promised
cash flows. The present values are calculated using the promised
tranche coupon rate as the discount rate. For floating rate
tranches, the discount rate is based on the promised spread over
Libor and the assumed Libor scenario.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
GMAC COMMERCIAL: Fitch Downgrades Ratings on 2004-C1 Certs.
-----------------------------------------------------------
Fitch Ratings downgrades and assigns or revises Loss Severity
ratings, Recovery Ratings and Rating Outlooks to these classes of
GMAC Commercial Mortgage Securities, Inc., Series 2004-C1
commercial mortgage pass-through certificates:
-- $15.3 million class D to 'AAsf/LS5' from 'AA+sf/LS4'; Outlook
to Negative from Stable;
-- $8.1 million class E to 'BBBsf/LS5' from 'AAsf/LS5'; Outlook
to Negative from Stable;
-- $12.6 million class F to 'BBsf/LS5' from 'Asf/LS4';
Outlook Negative;
-- $8.1 million class G to 'B-sf/LS5' from 'BBBsf/L5'; Outlook
Negative;
-- $10.8 million class H to 'CCCsf/RR2' from 'BBsf/LS5';
-- $4.5 million class J to 'CCCsf/RR2' from 'BBsf/LS5';
-- $4.5 million class K to 'CCCsf/RR2' from 'Bsf/LS5';
-- $4.5 million class L to 'CCsf/RR4' from 'B-sf/LS5';
-- $2.7 million class M to 'Csf/RR6' from 'B-sf/LS5';
-- $2.7 million class N to 'Csf/RR6' from 'B-sf/LS5';
-- $2.7 million class O to 'Csf/RR6' from 'CCCsf/RR1'.
In addition, Fitch affirms the ratings and revises Outlooks as
indicated:
-- $73.3 million class A-1A at 'AAAsf/LS1'; Outlook Stable;
-- $7.1 million class A-2 at 'AAAsf/LS1'; Outlook Stable;
-- $50 million class A-3 at 'AAAsf/LS1'; Outlook Stable;
-- $343.8 million class A-4 at 'AAAsf/LS1'; Outlook Stable;
-- $20.7 million class B at 'AAAsf/LS4'; Outlook Stable;
-- $8.1 million class C at 'AAAsf/LS5'; Outlook to Negative from
Stable.
Fitch withdraws the ratings 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 its prospective analysis, which is
similar to its recent vintage fixed-rate commercial mortgage
backed security analysis. Fitch expects potential losses of 5.8%,
approximately $34 million, of the remaining pool balance, or 4.7%
of the original 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. As of the August 2010 distribution
date, actual losses to the pool were 0.23%, or $1.3 million. The
Rating Outlooks reflect the likely direction of any rating changes
over the next one to two years.
As of the August 2010 distribution date, the pool has paid down
18.1% to $591 million from $721.4 million at issuance. Nine loans
(23.5%) are currently defeased. Fitch has identified 13 Loans of
Concern (20.6%), including six loans in special servicing (10.8%).
The largest specially serviced asset (7.5% in total) is comprised
of two cross collateralized office properties located in Fort
Washington, PA. The borrower was unable to meet debt service
obligations after the loss of a major tenant. Foreclosure is
being pursued.
The next largest specially serviced asset (1.2%) is a retail
property located in Mount Clemens, MI. The property went into
monetary default after an anchor tenant stopped paying rent.
Foreclosure is being pursued.
Fitch stressed the cash flow of the remaining non-defeased loans
by, generally, applying a 10% reduction to 2008 fiscal year-end
net operating income, and applying an adjusted market cap rate
between 7.25% and 11% 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 seven loans incurring a loss when
compared to Fitch's stressed value.
GMAC INC: Moody's Upgrades Ratings on 26 Subordinate Tranches
-------------------------------------------------------------
Moody's Investors Service has upgraded 26 subordinate tranches
from nine auto loan securitizations sponsored by GMAC Inc. (now
known as Ally Financial Inc.) during 2007 and 2008.
Issuer: Capital Auto Receivables Asset Trust 2007-1
-- Cl. C, Upgraded to Aaa (sf); previously on May 17, 2010 A2
(sf) Placed Under Review for Possible Upgrade
-- Cl. D, Upgraded to Aa3 (sf); previously on May 17, 2010 Ba1
(sf) Placed Under Review for Possible Upgrade
Issuer: Capital Auto Receivables Asset Trust 2007-2
-- Cl. B, Upgraded to Aaa (sf); previously on May 17, 2010 A1
(sf) Placed Under Review for Possible Upgrade
-- Cl. C, Upgraded to Aaa (sf); previously on May 17, 2010 Baa3
(sf) Placed Under Review for Possible Upgrade
-- Cl. D, Upgraded to A1 (sf); previously on May 17, 2010 Ba2
(sf) Placed Under Review for Possible Upgrade
Issuer: Capital Auto Receivables Asset Trust 2007-3
-- Cl. B, Upgraded to Aaa (sf); previously on May 17, 2010 A1
(sf) Placed Under Review for Possible Upgrade
-- Cl. C, Upgraded to A2 (sf); previously on May 17, 2010 Baa3
(sf) Placed Under Review for Possible Upgrade
-- Cl. D, Upgraded to Baa3 (sf); previously on May 17, 2010 Ba2
(sf) Placed Under Review for Possible Upgrade
Issuer: Capital Auto Receivables Asset Trust 2007-4
-- Cl. B, Upgraded to Aa1 (sf); previously on May 17, 2010 Baa2
(sf) Placed Under Review for Possible Upgrade
-- Cl. C, Upgraded to Baa1 (sf); previously on May 17, 2010 Ba2
(sf) Placed Under Review for Possible Upgrade
-- Cl. D, Upgraded to Ba2 (sf); previously on May 17, 2010 B1
(sf) Placed Under Review for Possible Upgrade
Issuer: Capital Auto Receivables Asset Trust 2007-A
-- Cl. B, Upgraded to Aaa (sf); previously on May 17, 2010 A1
(sf) Placed Under Review for Possible Upgrade
-- Cl. C, Upgraded to Aa1 (sf) ; previously on May 17, 2010 Baa3
(sf) Placed Under Review for Possible Upgrade
-- Cl. D, Upgraded to A2 (sf); previously on May 17, 2010 Ba2
(sf) Placed Under Review for Possible Upgrade
Issuer: Capital Auto Receivables Asset Trust 2007-B
-- Cl. B, Upgraded to Aaa(sf); previously on May 17, 2010 A3
(sf) Placed Under Review for Possible Upgrade
-- Cl. C, Upgraded to A1(sf); previously on May 17, 2010 Ba1
(sf) Placed Under Review for Possible Upgrade
-- Cl. D, Upgraded to Baa2 (sf); previously on May 17, 2010 Ba3
(sf )Placed Under Review for Possible Upgrade
Issuer: Capital Auto Receivables Asset Trust 2008-1
-- Class B, Upgraded to Aa1 (sf); previously on May 17, 2010 A3
(sf) Placed Under Review for Possible Upgrade
-- Class C, Upgraded to A3 (sf); previously on May 17, 2010 Baa3
(sf) Placed Under Review for Possible Upgrade
-- Class D, Upgraded to Baa3 (sf); previously on May 17, 2010
Ba2 (sf) Placed Under Review for Possible Upgrade
Issuer: Capital Auto Receivables Asset Trust 2008-2
-- Class B, Upgraded to Aa3 (sf); previously on May 17, 2010 A2
(sf) Placed Under Review for Possible Upgrade
-- Class C, Confirmed at Baa2 (sf); previously on May 17, 2010
Baa2 (sf) Placed Under Review for Possible Upgrade
-- Class D, Confirmed at Ba1 (sf); previously on May 17, 2010
Ba1 (sf) Placed Under Review for Possible Upgrade
Issuer: Capital Auto Receivables Asset Trust 2008-A
-- Cl. B, Upgraded to Aa2 (sf); previously on May 17, 2010 A3
Placed (sf) Under Review for Possible Upgrade
-- Cl. C, Upgraded to Baa1 (sf); previously on May 17, 2010 Baa3
(sf) Placed Under Review for Possible Upgrade
-- Cl. D, Upgraded to Baa3 (sf); previously on May 17, 2010 Ba2
(sf) Placed Under Review for Possible Upgrade
Ratings Rationale
The actions are a result of updated lower lifetime cumulative net
loss expectations, build-up in credit enhancement relative to
remaining losses due to the non-declining overcollateralization
and reserve accounts, and sequential payment structure of the
transactions.
Moody's current lifetime CNL projections for the affected
transactions ranges between 2.50% and 3.75% of the original pool
balance, within the range that was published when these securities
were placed on review on May 17. Specifically, for the 2007-1,
2007-2, and 2007-A transactions, the current loss projection (as a
% of original pool balance) is 2.50% (or approximately 1.1% - 1.3%
of the remaining pool balance). For the 2007-B transaction, the
current loss projection is 3.25% (or approximately 2.3% of the
remaining pool balance). For the 2007-3 and 2008-2 transactions,
the current loss projection is 3.00% (or approximately 2.4% - 2.6%
of the remaining pool balance). For the 2007-4, 2008-1, and 2008-
A transactions, the loss projection is 3.75% of original pool
balance % (or approximately 2.6% - 3.2% of the remaining pool
balance).
Total hard credit enhancement (excluding available excess spread
and yield supplement overcollateralization-YSOC) for Class B
tranches ranges from approximately 6% to 12% of the outstanding
collateral pool balances adjusted for YSOC. Hard credit
enhancement for Class C and Class D tranches ranges from
approximately 2% to 7% and 1% to 4% respectively. The YSOC
compensates for the lower APR on the subvened loans, and currently
ranges between approximately 3% and 8% of the outstanding
collateral pool balances adjusted for YSOC .
Moody's Volatility proxy Aaa level for the 2007-1, 2007-2, and
2007-A transactions ranges from approximately 6.5% to 8.0% of the
outstanding collateral pool balances adjusted for YSOC. The
volatility proxy Aaa level for the 2007-B, 2007-3, and 2008-2
transactions ranges from approximately 11.5% to 13.0% of the
outstanding collateral pool balances adjusted for YSOC. The
volatility proxy Aaa level for the 2007-4, 2008-1, and 2008-A
transactions ranges from approximately 13.0% to 13.5% of the
outstanding collateral pool balances adjusted for YSOC. Ratings
on the Class B, C and D could be upgraded (where applicable) if
the lifetime CNLs are lower by 10%, or downgraded if the lifetime
CNLs are higher by 10%.
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.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
GREENPOINT CREDIT: S&P Corrects Note Ratings to 'CCC' From 'A'
--------------------------------------------------------------
Standard & Poor's Ratings Services corrected its long-term ratings
on the class IA-2 and IIA-2 certificates from GreenPoint Credit
Manufacturing Housing Contract Trust 2001-2 to 'CCC (sf)' from 'A
(sf)'.
The corrected ratings reflect Standard & Poor's underlying ratings
('CCC (sf)') on the certificates, which benefit from a bond
insurance policy from Ambac Assurance Corp. ('R') and a partial
guarantee of payments of interest and principal from Radian
Insurance Inc., its rating on which S&P withdrew on Aug. 2, 2010.
According to S&P's criteria, the issue credit rating on a fully
credit-enhanced issue is the higher of (i) the rating on the
credit enhancer; and (ii) the SPUR on the securities.
On June 24, 2009, July 28, 2009, and March 25, 2010, S&P lowered
its rating on Ambac, but, due to an error, did not
contemporaneously lower its long-term ratings on the class IA-2
and IIA-2 certificates to reflect the higher of Ambac's rating or
the SPUR.
Ratings Corrected
GreenPoint Credit Manufacturing Housing Contract Trust 2001-2
Rating
------
Class To From
----- -- ----
IA-2 CCC (sf) A (sf)
IIA-2 CCC (sf) A (sf)
GS CDS: Moody's Downgrades Rating on Mezzanine Tranche to 'C'
-------------------------------------------------------------
Moody's Investors Service announced this rating action on GS CDS -
GM Salaried Employees Pension Trust, a collateralized debt
obligation transaction referencing a managed portfolio of
synthetic credit corporate entities:
-- US$100,000,000 Mezzanine Tranche, Downgraded to C (sf);
previously on October 22, 2008 Downgraded to Ca (sf).
Rating Rationale
GS CDS - GM Salaried Employees Pension Trust closed in March 2007.
The underlying portfolio of synthetic credit corporate securities
are both high-yield and investment grade bonds. On October 22,
2008, Moody's downgraded the transaction as a result of the
deterioration in the credit quality of the underlying portfolio.
Moody's explained that the rating action taken is the result of
the tranche balance being reduced to zero due to credit events.
Prior to the last rating action, the transaction had experienced
credit events on Federal Home Loan Mortgage Corporation, Lehman
Brothers Holdings Inc., Washington Mutual Inc., Landsbanki Islands
Hf, Glitnir Banki Hf, and Kaupthing Banki Hf. Since then,
additional credit events on Chemtura Corporation, Thomson, CIT
Group Inc., and Aiful Corporation have reduced the tranche balance
to zero. Consequently, the rating will be withdrawn in the coming
days.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
GS CDS: Moody's Takes Rating Actions on $100 Mil. Tranche
---------------------------------------------------------
Moody's Investors Service announced this rating action on GS CDS -
GM Hourly-Rt Employee Pension Trust, a collateralized debt
obligation transaction referencing a managed portfolio of
synthetic credit corporate entities:
-- US$100,000,000 Mezzanine Tranche, Downgraded to C (sf);
previously on October 22, 2008 Downgraded to Ca (sf).
Rating Rationale
GS CDS - GM Hourly-Rt Employee Pension Trust closed in March 2007.
The underlying portfolio of synthetic credit corporate securities
are both high-yield and investment grade bonds. On October 22,
2008, Moody's downgraded the transaction to Ca (sf) as a result of
the deterioration in the credit quality of the underlying
portfolio.
Moody's explained that the rating action taken is the result of
the tranche balance being reduced to zero due to credit events.
Prior to the last rating action, the transaction had experienced
credit events on Federal Home Loan Mortgage Corporation, Lehman
Brothers Holdings Inc., Washington Mutual Inc., Landsbanki Islands
Hf, Glitnir Banki Hf, and Kaupthing Banki Hf. Since then,
additional credit events on Chemtura Corporation, Thomson, CIT
Group Inc., and Aiful Corporation have reduced the tranche balance
to zero. Consequently, the rating will be withdrawn in the coming
days.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
HEALTHCARE REALTY: Moody's Changes Outlook to Positive
------------------------------------------------------
Moody's Investors Service revised the rating outlook to positive
from stable for Healthcare Realty Trust. The REIT's Baa3 senior
unsecured rating was affirmed. The rating agency said the outlook
revision reflects the company's increasing size and conservative
balance sheet. The positive outlook also reflects Moody's
expectation that Healthcare Realty will improve its credit
metrics.
According to Moody's, Healthcare Realty's stable credit profile
during the last few years is due in large part to both its
conservative balance sheet management and the asset class in which
it is focused, medical office buildings. The REIT has maintained
leverage as defined by debt plus preferred over gross assets in
the low 40% range, and while net debt / EBITDA remains somewhat
high at 6.5x, Moody's expects this metric to be lower over the
course of the next year or so. The issuer benefits from its MOB
platform through a diverse physician tenant base which exhibits
very favorable rent coverage, as well as minimal exposure to
issues surrounding government reimbursement. Finally, Moody's
anticipates that Healthcare Realty will benefit from increased
size through both acquisition and development. Some of the
challenges facing Healthcare Realty include a fixed charge
coverage ratio of 2.0x (inclusive of capitalized interest), which
is low for the company's rating, and a high FFO payout, which at
90% is on the cusp of the Baa rating range.
Healthcare Realty's rating will likely be raised should the
issuer's gross assets total approximately $2.5 billion or more,
while lowering net debt/EBITDA closer to 6.0x and raising fixed
charge coverage closer to 2.5x (including capitalized interest).
Conversely, Moody's said that the rating outlook would be returned
to stable should growth stall, leverage increase or fixed charge
fall below 2.0x.
These ratings were affirmed with a positive outlook:
* Healthcare Realty Trust -- Baa3 senior unsecured; (P)Ba1
subordinate shelf; (P)Ba1 preferred equity shelf.
Moody's last published rating action with respect to Healthcare
Realty was in March 2004 when the rating agency assigned a Baa3
rating to the REIT's $300 million proposed senior note issue with
a stable outlook.
Healthcare Realty Trust is a real estate investment trust
headquartered in Nashville, Tennessee, USA, that integrates
owning, managing and developing income-producing real estate
properties associated primarily with the delivery of outpatient
healthcare services throughout the United States. The Company had
investments of approximately $2.3 billion in 206 real estate
properties and mortgages as of June 30, 2010, excluding assets
classified as held for sale and including an investment in one
unconsolidated joint venture. The Company's 201 owned real estate
properties, excluding assets classified as held for sale, are
comprised of six facility types, located in 28 states, totaling
approximately 12.6 million square feet. The Company provides
property management services to approximately 8.8 million square
feet nationwide.
HILLSDALE HOSPITAL: S&P Gives Stable Outlook on Series 1998 Bonds
-----------------------------------------------------------------
Standard & Poor's Ratings Services revised its outlook to stable
from negative on its long-term rating on the Hillsdale Hospital
Finance Authority, Mich.'s series 1998 bonds, issued for Hillsdale
Community Health Center. In addition, Standard & Poor's affirmed
its 'BB+' long-term rating on the bonds.
"The outlook revision reflects improved operational performance in
fiscal 2010," said Standard & Poor's credit analyst Avanti Paul.
"In addition, the operating loss for fiscal 2009 was $700,000
based on audited financials, as compared with a $2.2 million loss
based on unaudited financials."
Factors supporting the rating affirmation include Hillsdale's:
* Strong 52% market share as the only hospital in Hillsdale
County;
* Solid maximum annual debt service coverage of 4x in fiscal 2010;
and
* Improved liquidity, with 106 days' cash on hand and 115%
unrestricted cash to debt.
Hillsdale Community Health Center is a 53-staffed-bed acute-care
hospital with a 21 bed skilled-nursing unit, a home health agency,
and a psychiatric unit. It is located in central Hillsdale
County, 50 miles southwest of Jackson, Mich.
The stable outlook reflects S&P's expectation that Hillsdale
Community Center will sustain its cost reductions to offset
declining volumes and post healthy operating income.
HOMEEQ SERVICING: Fitch Confirms Ratings on 22 Transactions
-----------------------------------------------------------
Fitch Ratings has confirmed the ratings listed below on 22
transactions currently serviced by HomeEq Servicing.
Fitch has received a request to confirm these ratings in
connection with the transfer of servicing from HomeEq to Ocwen
Financial Corp. resulting from the acquisition of HomeEq's
servicing business by Ocwen effective Aug. 31, 2010. Consistent
with its statements on policies regarding rating confirmations in
structured finance transactions (Jan. 13, 2009), Fitch is treating
this request as a notification.
Fitch currently rates both HomeEq and Ocwen as U.S. residential
servicers:
HomEq
-- U.S. residential primary servicer rating for Alt-A product
'RPS1';
-- U.S. residential primary servicer rating for subprime product
'RPS1';
-- U.S. residential special servicer rating 'RSS1'.
Ocwen
-- U.S. residential primary servicer rating for subprime product
'RPS2';
-- U.S. residential special servicer rating 'RSS2'.
Fitch has reviewed these 22 transactions based on its current
rating methodology, first using HomeEq and then Ocwen as the
primary servicer for the loans being transferred in connection
with the acquisition to see what impact the transfer would have on
the existing ratings. Servicer ratings are taken into account
when deriving loss expectations. In almost every case, the loss
expectations were higher using Ocwen as the servicer given their
lower servicer rating. However, the amount of the increase in
expected loss for each transaction varied based on what percentage
of the pool was being affected by the transfer. While loss
expectations increased, the increase was not significant enough to
cause a downgrade in the existing ratings at this time.
Fitch confirms that, based on the information provided, the
acquisition and servicing transfer, in and of itself, will not
have an impact on the existing ratings at this time. Fitch does
not believe that the transfer is a cause for immediate downgrade
of any of the securities in these transactions. However, Fitch
notes that this does not preclude the possibility that future
rating actions may be taken, consistent with Fitch residential
mortgage-backed securities rating criteria, which could reflect,
in part, the positive or negative effects arising as a result of
the transfer.
The rating confirmations only address the effect of transferring
the servicing from HomeEq to Ocwen. It does not address whether
the transfer is permitted by the terms of the documents, nor does
it address whether it is in the best interests of, or prejudicial
to, some or all of the holders of the aforementioned securities.
Fitch confirms these ratings:
Asset-Backed Funding Corporation 2003-WMC1
-- class M-1 (CUSIP: 04542BEA6) rated 'AAAsf/LS2';
-- class M-2 (04542BEB4) rated 'A+sf/LS4';
-- class M-3 (04542BEC2) rated 'BBBsf/LS5';
-- class M-4 (04542BED0) rated 'BBsf/LS5';
-- class M-5 (04542BEE8) rated 'Bsf/LS5';
-- class M-6 (04542BEF5) rated 'Bsf/LS5'.
Asset-Backed Funding Corporation 2005-WMC1
-- class A1 (CUSIP: 04542BNX6) rated 'AAAsf/LS5'; Outlook
Stable;
-- class A2D (04542BPB2) rated 'AAAsf/LS5'; Outlook Stable;
-- class A2MZ (04542BPC0) rated 'AAAsf/LS5'; Outlook Stable;
-- class M1 (04542BPD8) rated 'Asf/LS4'; Outlook Positive;
-- class M2 (04542BPE6) rated 'CCCsf/RR2';
-- class M3 (04542BPF3) rated 'CCsf/RR5';
-- class M4 (04542BPG1) rated 'Csf/RR6';
-- class M5 (04542BPH9) rated 'Csf/RR6';
-- class M6 (04542BPJ5) rated 'Dsf/RR6';
-- class M7 (04542BPK2) rated 'Dsf/RR6';
-- class M8 (04542BPL0) rated 'Dsf/RR6';
-- class M9 (04542BPM8) rated 'Dsf/RR6'.
Asset-Backed Securities Corp. NC 2006-HE2
-- class A1 (CUSIP: 04541GWB4) rated 'CCCsf/RR2';
-- class A1-A (04541GWC2) rated 'CCsf/RR5';
-- class A3 (04541GWE8) rated 'CCsf/RR3';
-- class A4 (04541GWF5) rated 'CCsf/RR3';
-- class M1 (04541GWG3) rated 'Csf/RR6';
-- class M2 (04541GWH1) rated 'Dsf/RR6';
-- class M3 (04541GWJ7) rated 'Dsf/RR6';
-- class M4 (04541GWK4) rated 'Dsf/RR6';
-- class M5 (04541GWL2) rated 'Dsf/RR6';
-- class M6 (04541GWM0) rated 'Dsf/RR6';
-- class M7 (04541GWN8) rated 'Dsf/RR6';
-- class M8 (04541GWP3) rated 'Dsf/RR6';
-- class M9 (04541GWQ1) rated 'Dsf/RR6';
-- class M10 (04541GWR9) rated 'Dsf/RR6';
-- class M11 (04541GWS7) rated 'Dsf/RR6'.
Citigroup Mortgage Loan Trust Inc. 2005-HE3
-- class A-1 (CUSIP: 17307GXJ2) rated 'AAAsf/LS5'; Outlook
Stable;
-- class A-2D (17307GWQ7) rated 'AAAsf/LS5'; Outlook Stable;
-- class M-1 (17307GWR5) rated 'BBBsf/LS5'; Outlook Positive;
-- class M-2 (17307GWS3) rated 'CCCsf/RR2';
-- class M-3 (17307GWT1) rated 'CCsf/RR5';
-- class M-4 (17307GWU8) rated 'Csf/RR6';
-- class M-5 (17307GWV6) rated 'Csf/RR6';
-- class M-6 (17307GWW4) rated 'Csf/RR6';
-- class M-7 (17307GWX2) rated 'Csf/RR6';
-- class M-8 (17307GWY0) rated 'Csf/RR6';
-- class M-9 (17307GWZ7) rated 'Dsf/RR6';
-- class M-10 (17307GXA1) rated 'Dsf/RR6';
-- class M-11 (17307GXK9) rated 'Dsf/RR6';
-- class M-12 (17307GXL7) rated 'Dsf/RR6'.
Equifirst Mortgage Loan Trust 2004-1
-- class I-A1 (CUSIP: 29445FAR9) rated 'AAAsf/LS3'; Outlook
Stable;
-- class II-A2 (29445FAT5) rated 'AAAsf/LS3'; Outlook Stable;
-- class II-A3 (29445FAU2) rated 'AAAsf/LS3'; Outlook Negative;
-- class M-1 (29445FAV0) rated 'AA+sf/LS4'; Outlook Negative;
-- class M-2 (29445FAW8) rated 'AA-sf/LS5'; Outlook Negative;
-- class M-3 (29445FAX6) rated 'A+sf/LS5'; Outlook Negative;
-- class M-4 (29445FAY4) rated 'BBBsf/LS5'; Outlook Negative;
-- class M-5 (29445FAZ1) rated 'BBsf/LS5'; Outlook Negative;
-- class M-6 (29445FBA5) rated 'CCCsf/RR4';
-- class M-7 (29445FBB3) rated 'Csf/RR6';
-- class B-1 (29445FBC1) rated 'Dsf/RR6'.
First Franklin Mortgage Loan Trust 2004-FFH1
-- class M-1 (CUSIP: 32027NGQ8) rated 'AA+sf/LS3';
-- class M-2 (32027NGR6) rated 'BBBsf/LS4';
-- class M-3 (32027NGS4) rated 'Bsf/LS5';
-- class M-4 (32027NGT2) rated 'CCsf/RR4';
-- class M-5 (32027NGU9) rated 'Dsf/RR6';
-- class M-6 (32027NGV7) rated 'Dsf/RR6';
-- class M-7 (32027NGW5) rated 'Dsf/RR6';
-- class M-8 (32027NGX3) rated 'Dsf/RR6'.
First Franklin Mortgage Loan Trust 2005-FF5
-- class A-1 (CUSIP: 32027NRP8) rated 'AAAsf/LS5'; Outlook
Stable;
-- class M-1 (32027NRT0) rated 'AA+sf/LS4'; Outlook Stable;
-- class M-2 (32027NRU7) rated 'BBBsf/LS4'; Outlook Stable;
-- class M-3 (32027NRV5) rated 'Bsf/LS5'; Outlook Negative;
-- class M-4 (32027NRW3) rated 'CCsf/RR5';
-- class M-5 (32027NRX1) rated 'Csf/RR6';
-- class M-6 (32027NRY9) rated 'Csf/RR6';
-- class M-7 (32027NRZ6) rated 'Dsf/RR6';
-- class M-8 (32027NSA0) rated 'Dsf/RR6';
-- class M-9 (32027NSB8) rated 'Dsf/RR6';
-- class M-10 (32027NSC6) rated 'Dsf/RR6';
-- class B (32027NSD4) rated 'Dsf/RR6'.
Finance America Mortgage Loan Trust 2004-2
-- class M-1 (CUSIP: 317350BD7) rated 'AAAsf/LS3', Outlook
Negative;
-- class M-2 (317350BE5) rated 'BBBsf/LS3'; Outlook Negative;
-- class M-3 (317350BF2) rated 'Bsf/LS5'; Outlook Negative;
-- class M-4 (317350BG0) rated 'CCCsf/RR4';
-- class M-5 (317350BH8) rated 'CCsf/RR5';
-- class M-6 (317350BJ4) rated 'Csf/RR6';
-- class M-7 (317350BK1) rated 'Csf/RR6';
-- class M-8 (317350BL9) rated 'Dsf/RR6';
-- class M-9 (317350BM7) rated 'Dsf/RR6'.
Mortgage Asset Securitization Transactions, Inc. 2004-FRE1
-- class M-4 (CUSIP: 57643LDX1) rated 'AA-sf/LS4';
-- class M-5 (57643LDY9) rated 'A+sf/LS4';
-- class M-6 (57643LDZ6) rated 'Asf/LS4';
-- class M-7 (57643LEA0) rated 'Bsf/LS4';
-- class M-8 (57643LEB8) rated 'Csf/RR5';
-- class M-9 (57643LEC6) rated 'Dsf/RR6'.
Mortgage Asset Securitization Transactions, Inc. 2004-WMC2
-- class M-1 (CUSIP: 57643LDJ2) rated 'BBBsf/LS2';
-- class M-2 (57643LDK9) rated 'CCCsf/RR1';
-- class M-3 (57643LDL7) rated 'CCsf/RR2';
-- class M-4 (57643LDM5) rated 'CCsf/RR4';
-- class M-5 (57643LDN3) rated 'Csf/RR6';
Mortgage Asset Securitization Transactions, Inc. 2005-FRE1
-- class A-1 (CUSIP: 57643LLV6) rated 'AAAsf/LS4'; Outlook
Stable;
-- class A-4 (57643LLY0) rated 'Asf/LS4'; Outlook Positive;
-- class A-5 (57643LLZ7) rated 'BBBsf/LS4'; Outlook Positive;
-- class M-1 (57643LMA1) rated 'CCsf/RR4';
-- class M-2 (57643LMB9) rated 'Csf/RR6';
-- class M-3 (57643LMC7) rated 'Dsf/RR6';
-- class M-4 (57643LMD5) rated 'Dsf/RR6';
-- class M-5 (57643LME3) rated 'Dsf/RR6';
-- class M-6 (57643LMF0) rated 'Dsf/RR6';
-- class M-7 (57643LMG8) rated 'Dsf/RR6';
-- class M-8 (57643LMH6) rated 'Dsf/RR6';
-- class M-9 (57643LMJ2) rated 'Dsf/RR6';
-- class M-10 (57643LMK9) rated 'Dsf/RR6'.
Meritage Mortgage Loan Trust 2004-1
-- class M-1 (CUSIP: 59001FAQ4) rated 'CCsf/RR2';
-- class M-2 (59001FAR2) rated 'CCsf/RR6';
-- class M-3 (59001FAS0) rated 'Dsf/RR6';
-- class M-4 (59001FAT8) rated 'Dsf/RR6';
-- class M-5 (59001FAU5) rated 'Dsf/RR6';
-- class M-6 (59001FAV3) rated 'Dsf/RR6';
-- class M-7 (59001FAW1) rated 'Dsf/RR6';
-- class M-8 (59001FAX9) rated 'Dsf/RR6';
-- class B-1 (59001FAZ4) rated 'Dsf/RR6'.
Park Place Securities, Inc. 2004-MHQ1
-- class M-1 (70069FCV7) rated 'AA+sf/LS4'; Outlook Stable;
-- class M-2 (70069FCW5) rated 'BBBsf/LS4'; Outlook Negative;
-- class M-3 (70069FCX3) rated 'CCCsf/RR3';
-- class M-4 (70069FCY1) rated 'CCsf/RR5';
-- class M-5 (70069FCZ8) rated 'CCsf/RR6';
-- class M-6 (70069FDA2) rated 'Csf/RR6';
-- class M-7 (70069FDB0) rated 'Dsf/RR6';
-- class M-8 (70069FDC8) rated 'Dsf/RR6';
-- class M-9 (70069FDD6) rated 'Dsf/RR6';
-- class M-10 (70069FDF1) rated 'Dsf/RR6'.
Park Place Securities, Inc. 2004-WHQ1
-- class M-1 (CUSIP: 70069FBR7) rated 'AA+sf/LS4'; Outlook
Stable;
-- class M-2 (70069FBS5) rated 'BBBsf/LS4'; Outlook Negative;
-- class M-3 (70069FBT3) rated 'CCCsf/RR4';
-- class M-4 (70069FBU0) rated 'CCsf/RR5';
-- class M-5 (70069FBV8) rated 'CCsf/RR6';
-- class M-6 (70069FBW6) rated 'Csf/RR6';
-- class M-7 (70069FBX4) rated 'Csf/RR6';
-- class M-8 (70069FBY2) rated 'Dsf/RR6';
-- class M-9 (70069FBZ9) rated 'Dsf/RR6';
-- class M-10 (70069FCA3) rated 'Dsf/RR6'.
Park Place Securities, Inc. 2004-WHQ2
-- class A-1B (CUSIP: 70069FEU7) rated 'AAAsf/LS5'; Outlook
Stable;
-- class A-1D (70069FEW3) rated 'AAAsf/LS5'; Outlook Stable;
-- class A-2A (70069FEX1) rated 'AAAsf/LS5'; Outlook Stable;
-- class A-2B (70069FEY9) rated 'AAAsf/LS5'; Outlook Stable;
-- class A-3A (70069FEC7) rated 'AAAsf/LS5'; Outlook Stable;
-- class A-3D (70069FEF0) rated 'AAAsf/LS5'; Outlook Stable;
-- class A-3E (70069FEG8) rated 'AAAsf/LS'; Outlook Stable;
-- class M-1 (70069FEH6) rated 'AA+sf/LS5'; Outlook Stable;
-- class M-2 (70069FEJ2) rated 'BBBsf/LS4'; Outlook Negative;
-- class M-3 (70069FEK9) rated 'CCCsf/RR3';
-- class M-4 (70069FEL7) rated 'CCsf/RR5';
-- class M-5 (70069FEM5) rated 'Csf/RR6';
-- class M-6 (70069FEN3) rated 'Csf/RR6';
-- class M-7 (70069FEP8) rated 'Csf/RR6';
-- class M-8 (70069FEQ6) rated 'Dsf/RR6';
-- class M-9 (70069FER4) rated 'Dsf/RR6';
-- class M-10 (70069FES2) rated 'Dsf/RR6'.
Park Place Securities, Inc. 2005-WHQ1
-- class A-2A (CUSIP: 70069FGL5) rated 'AAAsf/LS5'; Outlook
Stable;
-- class A-2B (70069FGM3) rated 'AAAsf/LS5'; Outlook Stable;
-- class A-3D (70069FFZ5) rated 'AAAsf/LS5'; Outlook Stable;
-- class M-1 (70069FGA9) rated 'AA+sf/LS5'; Outlook Positive;
-- class M-2 (70069FGB7) rated 'BBsf/LS5'; Outlook Negative;
-- class M-3 (70069FGC5) rated 'CCCsf/RR3';
-- class M-4 (70069FGD3) rated 'CCCsf/RR5';
-- class M-5 (70069FGE1) rated 'CCsf/RR6';
-- class M-6 (70069FGF8) rated 'CCsf/RR6';
-- class M-7 (70069FGG6) rated 'Csf/RR6';
-- class M-8 (70069FGH4) rated 'Csf/RR6';
-- class M-9 (70069FGJ0) rated 'Dsf/RR6';
-- class M-10 (70069FGN1) rated 'Dsf/RR6';
-- class M-11 (70069FGP6) rated 'Dsf/RR6'.
Park Place Securities, Inc. 2005-WHQ2
-- class A-1A (CUSIP: 70069FHN0) rated 'AAAsf/LS4'; Outlook
Negative;
-- class A-1B (70069FHP5) rated 'Asf/LS4'; Outlook Negative;
-- class A-2D (70069FHT7) rated 'Asf/LS4'; Outlook Negative;
-- class M-1 (70069FHU4) rated 'Bsf/LS5'; Outlook Negative;
-- class M-2 (70069FHV2) rated 'CCCsf/RR5';
-- class M-3 (70069FHW0) rated 'CCsf/RR5';
-- class M-4 (70069FHX8) rated 'CCsf/RR6';
-- class M-5 (70069FHY6) rated 'Csf/RR6';
-- class M-6 (70069FHZ3) rated 'Csf/RR6';
-- class M-7 (70069FJA6) rated 'Csf/RR6';
-- class M-8 (70069FJB4) rated 'Csf/RR6';
-- class M-9 (70069FJC2) rated 'Dsf/RR6';
-- class M-10 (70069FJD0) rated 'Dsf/RR6';
-- class M-11 (70069FJE8) rated 'Dsf/RR6';
-- class M-12 (70069FJF5) rated 'Dsf/RR6'.
Park Place Securities, Inc. 2005-WHQ3
-- class A-1A (CUSIP: 70069FJG3) rated 'AAAsf/LS5'; Outlook
Stable;
-- class A-1B (70069FJH1) rated 'AAAsf/LS5'; Outlook Stable;
-- class A-2D (70069FJN8) rated 'AAAsf/LS5'; Outlook Stable;
-- class M-1 (70069FJP3) rated 'AA+sf/LS5'; Outlook Negative;
-- class M-2 (70069FJQ1) rated 'Bsf/LS5'; Outlook Negative;
-- class M-3 (70069FJR9) rated 'CCCsf/RR5';
-- class M-4 (70069FJS7) rated 'CCsf/RR5';
-- class M-5 (70069FJT5) rated 'CCsf/RR6';
-- class M-6 (70069FJU2) rated 'Csf/RR6';
-- class M-7 (70069FJV0) rated 'Csf/RR6';
-- class M-8 (70069FJW8) rated 'Dsf/RR6';
-- class M-9 (70069FJX6) rated 'Dsf/RR6';
-- class M-10 (70069FJY4) rated 'Dsf/RR6';
-- class M-11 (70069FJZ1) rated 'Dsf/RR6';
-- class M-12 (70069FJJ7) rated 'Dsf/RR6'.
Park Place Securities, Inc. 2005-WHQ4
-- class A-1A (CUSIP: 70069FML8) rated 'Bsf/LS4'; Outlook
Negative;
-- class A-2C (70069FMQ7) rated 'AAAsf/LS4'; Outlook Stable;
-- class A-2D (70069FMR5) rated 'CCCsf/RR3';
-- class M-1 (70069FMS3) rated 'CCsf/RR5';
-- class M-2 (70069FMT1) rated 'Csf/RR6';
-- class M-3 (70069FMU8) rated 'Csf/RR6';
-- class M-4 (70069FMV6) rated 'Csf/RR6';
-- class M-5 (70069FMW4) rated 'Dsf/RR6';
-- class M-6 (70069FMX2) rated 'Dsf/RR6';
-- class M-7 (70069FMY0) rated 'Dsf/RR6';
-- class M-8 (70069FMZ7) rated 'Dsf/RR6';
-- class M-9 (70069FNA1) rated 'Dsf/RR6';
-- class M-10 (70069FNB9) rated 'Dsf/RR6';
-- class M-11 (70069FNC7) rated 'Dsf/RR6'.
Soundview Home Equity Loan Trust 2004-1
-- class M1 (CUSIP: 83611MBB3) rated 'AA+sf/LS3';
-- class M2 (83611MBC1) rated 'BBBsf/LS4';
-- class M3 (83611MBD9) rated 'BBsf/LS5';
-- class M4 (83611MBE7) rated 'Bsf/LS5';
-- class M5 (83611MBF4) rated 'CCCsf/RR5';
-- class M6 (83611MBG2) rated 'CCCsf/RR5';
-- class M7 (83611MBH0) rated 'CCsf/RR5';
-- class M8 (83611MBJ6) rated 'CCsf/RR6';
-- class M9 (83611MBK3) rated 'Csf/RR6'.
Soundview Home Equity Loan Trust 2005-CTX1
-- class A-5 (CUSIP: 83611PBS9) rated 'AAAsf/LS4'; Outlook
Stable;
-- class A-6 (83611PBT7) rated 'AAAsf/LS4'; Outlook Stable;
-- class M-1 (83611PBU4) rated 'Asf/LS5'; Outlook Stable;
-- class M-2 (83611PBV2) rated 'Bsf/LS5'; Outlook Stable;
-- class M-3 (83611PBW0) rated 'CCCsf/RR4';
-- class M-4 (83611PBX8) rated 'CCCsf/RR5';
-- class M-5 (83611PBY6) rated 'CCsf/RR6';
-- class M-6 (83611PBZ3) rated 'CCsf/RR6v;
-- class M-7 (83611PCA7) rated 'Csf/RR6v;
-- class M-8 (83611PCB5) rated 'Dsf/RR6';
-- class M-9 (83611PCC3) rated 'Dsf/RR6';
-- class M-10 (83611PCD1) rated 'Dsf/RR6';
-- class B-1 (83611PCE9) rated 'Dsf/RR6'.
Wachovia Bank, NA 2005-SD1
-- class A (CUSIP: 92977XAA1) rated 'AAAsf/LS3'; Outlook
Negative;
-- class M-1 (92977XAD5) rated 'AAsf/LS5'; Outlook Negative;
-- class M-2 (92977XAE3) rated 'AAsf/LS5'; Outlook Negative;
-- class M-3 (92977XAF0) rated 'BBBsf/LS5'; Outlook Negative;
-- class B-1 (92977XAB9) rated 'BBBsf/LS5'; Outlook Negative;
-- class B-2 (92977XAC7) rated 'BBBsf/LS5'; Outlook Negative.
The ratings assigned by Fitch are based on the documents and
information provided to Fitch by the issuer and other parties and
are subject to receipt of final closing documents. In issuing and
maintaining its ratings, Fitch relies on factual information it
receives from issuers and underwriters and from other sources
Fitch believes to be credible. Fitch conducts a reasonable
investigation of the factual information relied upon by it in
accordance with its ratings methodology, and obtains reasonable
verification of that information from independent sources, to the
extent such sources are available for a given security or in a
given jurisdiction.
The manner of Fitch's factual investigation and the scope of the
third-party verification it obtains will vary depending on the
nature of the rated security and its issuer, the requirements and
practices in the jurisdiction in which the rated security is
offered and sold and/or the issuer is located, the availability
and nature of relevant public information, access to the
management of the issuer and its advisers, the availability of
pre-existing third-party verifications such as audit reports,
agreed-upon procedures letters, appraisals, actuarial reports,
engineering reports, legal opinions and other reports provided by
third parties, the availability of independent and competent
third-party verification sources with respect to the particular
security or in the particular jurisdiction of the issuer, and a
variety of other factors.
Users of Fitch's ratings should understand that neither an
enhanced factual investigation nor any third-party verification
can ensure that all of the information Fitch relies on in
connection with a rating will be accurate and complete.
Ultimately, the issuer and its advisers are responsible for the
accuracy of the information they provide to Fitch and to the
market in offering documents and other reports. In issuing its
ratings Fitch must rely on the work of experts, including
independent auditors with respect to financial statements and
attorneys with respect to legal and tax matters. Further, ratings
are inherently forward-looking and embody assumptions and
predictions about future events that by their nature cannot be
verified as facts. As a result, despite any verification of
current facts, ratings can be affected by future events or
conditions that were not anticipated at the time a rating was
issued or affirmed.
JP MORGAN: Moody's Reviews Ratings on 11 2003-CIBC7 Certs.
----------------------------------------------------------
Moody's Investors Service placed 11 classes of J.P. Morgan
Commercial Mortgage Finance Corp., Series 2003-CIBC7 on review for
possible downgrade. Moody's rating action is:
-- US$27.751M Cl. D Certificate, Aa3 (sf) Placed Under Review
for Possible Downgrade; previously on July 23, 2007 Upgraded
to Aa3 (sf)
-- US$15.61M Cl. E Certificate, A2 (sf) Placed Under Review for
Possible Downgrade; previously on July 23, 2007 Upgraded to
A2 (sf)
-- US$17.345M Cl. F Certificate, Baa1 (sf) Placed Under Review
for Possible Downgrade; previously on Jan. 14, 2004
Definitive Rating Assigned Baa1 (sf)
-- US$10.407M Cl. G Certificate, Baa3 (sf) Placed Under Review
for Possible Downgrade; previously on June 25, 2009
Downgraded to Baa3 (sf)
-- US$19.078M Cl. H Certificate, Ba3 (sf) Placed Under Review
for Possible Downgrade; previously on June 25, 2009
Downgraded to Ba3 (sf)
-- US$5.204M Cl. J Certificate, B2 (sf) Placed Under Review for
Possible Downgrade; previously on June 25, 2009 Downgraded to
B2 (sf)
-- US$5.203M Cl. K Certificate, B3 (sf) Placed Under Review for
Possible Downgrade; previously on June 25, 2009 Downgraded to
B3 (sf)
-- US$8.672M Cl. L Certificate, Caa1 (sf) Placed Under Review
for Possible Downgrade; previously on June 25, 2009
Downgraded to Caa1 (sf)
-- US$8.673M Cl. M Certificate, Caa2 (sf) Placed Under Review
for Possible Downgrade; previously on June 25, 2009
Downgraded to Caa2 (sf)
-- US$3.469M Cl. N Certificate, Caa3 (sf) Placed Under Review
for Possible Downgrade; previously on June 25, 2009
Downgraded to Caa3 (sf)
-- US$2.852M Cl. P Certificate, Caa3 (sf) Placed Under Review
for Possible Downgrade; previously on June 25, 2009
Downgraded to Caa3 (sf)
Moody's placed Classes D through P on review for possible
downgrade due to higher expected losses for the pool resulting
from realized and anticipated losses from specially serviced and
poorly performing watchlisted loans and concerns about refinance
risk in an adverse environment. Forty-three loans, representing
18% of the pool, mature within the next 36 months.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a pay down analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade underlying ratings is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
underlying rating of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement
levels are selected based on loan level diversity, pool leverage
and other concentrations and correlations within the pool.
Negative pooling, or adding credit enhancement at the underlying
rating level, is incorporated for loans with similar underlying
ratings in the same transaction.
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 action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated June 25, 2009. See the
ratings tab on the issuer / entity page on moodys.com for the last
rating action and the ratings history.
Deal Performance
As of the August 12, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 35% to
$953.4 million from $1.472 billion at securitization. The
Certificates are collateralized by 162 mortgage loans ranging in
size from less than 1% to 6% of the pool, with the top ten loans
representing 33% of the pool. Twenty-three loans, representing
21% of the pool, have defeased and are collateralized with U.S.
Government securities. Defeasance at last review represented 17%
of the pool.
Twenty-nine loans, representing 23% 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 (CREFC) 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.
Six loans have been liquidated from the pool since securitization,
resulting in an aggregate $21.3 million loss (47% loss severity on
average). Currently eight loans, representing 6% of the pool, are
in special servicing. The largest specially serviced loan is the
Versailles and Dana Point Apartment Loan ($22.2 million -- 2.4% of
the pool), which is secured by a total of 652-units in two
separate crossed apartment complexes located in Dallas, Texas.
The loan was transferred to special servicing in June 2010 due to
delinquency. The properties were 46% leased as of December 2009
and performance has declined since securitization. The remaining
seven specially serviced loans are secured by a mix of
multifamily, retail, student housing, office and medical office
properties.
Moody's review will focus on potential losses from specially
serviced and watchlisted loans and the performance of the overall
pool.
LB-UBS COMMERCIAL: S&P Downgrades Rating on Class M to 'D'
----------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating to 'D' from
'CCC-' on the class M commercial mortgage pass-through certificate
from LB-UBS Commercial Mortgage Trust 2006-C1, a U.S. commercial
mortgage-backed securities transaction.
The downgrade follows a principal loss sustained by the class,
which was reported in the Aug. 17, 2010, remittance report. The
class M certificate experienced reported losses totaling 15.5% of
its $9.2 million opening certificate balance. The class N
certificate lost 100% of its $6.2 million opening balance. S&P
downgraded this class to 'D' on July 20, 2010, due to a prior
principal loss.
According to the August 2010 remittance report, the principal
losses resulted from the liquidation of two assets that were with
the special servicer, LNR Partners Inc. Details of the two
liquidated assets are:
The Sand Lake Plaza asset is a 27,500-sq.-ft. retail building in
Orlando, Fla., which had a total exposure of $8.0 million. The
asset was transferred to LNR in 2009, for imminent default. The
trust incurred a $6.1 million realized loss when the asset was
liquidated via note sale on July 21, 2010. Based on the August
2010 remittance report, the loss severity for this loan was 75.8%
of its current principal balance before liquidation.
The Park Terrace Apartments asset is a 115-unit apartment complex
in Colorado Springs, Co., which had a total exposure of
$3.7 million. The asset was transferred to LNR on April 17, 2009,
because it was 60 days delinquent. The property became real
estate owned (REO) in 2010, and the trust incurred a $1.6 million
realized loss when the asset was liquidated on Aug. 5, 2010.
Based on the August 2010 remittance report, the loss severity for
this loan was 41.8% of its current principal balance before
liquidation.
The remittance report notes that the collateral pool for the
transaction consisted of 136 loans with an aggregate trust balance
of $2.3 billion, down from 145 loans totaling $2.5 billion at
issuance. The special servicer currently has six loans totaling
$147.6 million. To date, the trust has experienced losses on 10
loans totaling $50.8 million. Based on the August 2010 remittance
report, the weighted average loss severity for these loans was
approximately 59.3% of their current principal balance before
liquidation.
LOMBARD PUBLIC: S&P Downgrades Rating on 2005B Bonds to 'B-'
------------------------------------------------------------
Standard & Poor's Ratings Services has lowered its rating on
Lombard Public Facilities Corp., Ill.'s series 2005B conference
center and hotel second-tier revenue bonds to 'B-' from 'AA'. The
outlook is negative.
"S&P revised the rating to the current rating on the series 2005A
first-tier revenue bonds due to the possibility that the 2005B
bonds could be accelerated upon payment default of the
corporation's series 2005A bonds through the acceleration
provisions of the indenture of trust," said Standard & Poor's
credit analyst John Kenward. Although regularly scheduled debt
service on the 2005B bonds is backed by the Village of Lombard's
tax rebate agreement, principal acceleration for both series of
bonds could occur under the indenture if the series 2005A bonds go
into payment default.
The corporation issued the series 2005A, 2005B, and unrated series
2005C third-tier revenue bonds to construct a hotel and conference
center that opened in 2007. All three series of bonds are
primarily secured by net revenues from the project. The series
2005B bonds are secured by a second-lien pledge of net project
revenues from the operation of the hotel and conference center;
sales, hotel, and restaurant tax revenues generated from the
project, as per a tax rebate agreement between the village and the
issuer; a debt service reserve fund; and the village's pledge to
provide additional revenues to pay debt service on an annual
appropriation basis as provided in the tax rebate agreement, but
only to the extent that other payment sources are insufficient.
The negative outlook reflects S&P's expectation that the hotel and
conference center project will not achieve 1.0x coverage of all
obligations, including the furniture, fixtures, and equipment
deposits, from the project's net income in 2010. While the
project has enough liquidity to support series 2005A bond debt
service for more than one and one-half years, S&P could lower the
rating for both the series 2005A and 2005B bonds if the financial
performance remains at this level for longer than one to two years
and the level of liquidity significantly goes down. S&P may
revise the outlook to stable if S&P see the project's performance
begin to improve, liquidity begins to build, and the debt service
coverage ratio return to the 2008 levels.
LOUISIANA HOUSING: S&P Raises Rating on Revenue Bonds From 'BB'
---------------------------------------------------------------
Standard & Poor's Ratings Services has raised its rating to 'AAA'
from 'BB' on the Louisiana Housing Finance Agency, La.'s (Sunquest
Properties, Inc.) series 2005 - multifamily housing revenue bonds
(Peppermill I and II Apartments Project) and removed them from
CreditWatch. The rating reflects S&P's view of these:
* Cash flows showing timely payment of principal and interest on
the bonds until maturity, assuming no reinvestment earnings on
the bond fund;
* The extremely high credit quality of the assets, consisting of a
Fannie Mae mortgage backed security; and
* Investments held in a 'AAAm' rated money market fund.
"Standard & Poor's has analyzed updated cash flow statements,
based on a zero reinvestment assumption for all scenarios as set
forth in the related criteria articles. S&P believes the bonds
are able to meet all costs from transaction cash flows for the
term of the bonds," stated credit analyst Wendy Dolber.
On March 10, 2010, Standard & Poor's lowered the rating to 'BB'
from 'AAA' due to S&P's expectation of cash flow insufficiency to
pay debt service beyond 2011 and a deteriorating asset-to-
liability ratio, based on its minimum reinvestment rates
assumptions.
Subsequently, on May 12, 2010, the rating was included in a rating
action in which S&P placed certain housing issues on CreditWatch
with negative implications due to a revised methodology for
certain federal government-enhanced housing transactions. This
criteria affects government-enhanced housing transactions in which
funds are invested in money market funds and other investments
with no guaranteed rate of return.
The bond fund for this issue is currently invested in Fidelity
Institutional Treasury Portfolio money market fund, rated 'AAAm.'
MARIETTA AREA: Moody's Cuts Ratings on $38.5 Mil. Bonds to 'Ba2'
----------------------------------------------------------------
Moody's Investors Service has downgraded Marietta Area Health
Care's underlying bond rating to Ba2 from Ba1. The downgrade
affects approximately $38.5 million of rated outstanding revenue
bonds (listed in the RATED DEBT section at the conclusion of this
report) issued by Washington County, OH. The rating has been
removed from Watchlist and the outlook is negative. Additionally,
there is approximately $33 million of outstanding fixed rate and
variable rate demand bonds supported by Fifth Third Bank and
JPMorgan Chase Bank Letters of Credit not rated by Moody's.
The one-notch rating downgrade is attributable to the heightened
risks associated with MAHC's current debt structure with high
variable rate debt and bank exposure, maintenance of very thin
headroom to the days cash on hand covenants and ongoing
discussions with one of the LOC banks for extension on two letters
of credit that expire in the coming months (December 15, 2010).
The negative outlook reflects increased risk of violating the
liquidity covenant for a second year given very thin headroom,
elevated credit risk in the event the bank does not extend the
LOC, any puttable bonds are not remarketed or refinanced and any
outstanding bank bonds are accelerated by the banks and require
immediate repayment. The negative outlook also reflects the
uncertainty of whether recently improved performance will be
sustainable over a longer period given weak service area
demographics and high dependence on government funding.
Legal Security: The bonds are secured by a pledge of gross
receipts and a negative mortgage lien. The Obligated Group
consists of Marietta Area Health Care, Inc, Marietta Memorial
Hospital, Marietta Area Health, Inc. (Harmar Place nursing home),
and Marietta Memorial Health Foundation. Each member of the
obligated group is jointly and severally liable for all the notes
issued under the Master Trust Indenture.
Interest Rate Derivatives: MAHC has four floating-to-fixed payor
interest rate swap agreements in a total notional amount of
$40.2 million hedging interest rate risk related to Series 2001,
Series 2002, Series 2003, and Series 2008 bonds. The first fixed
payor swap is in a notional amount of $9.5 million related to the
Series 2001 bonds, matures August 1, 2015, with MAHC paying a
fixed rate of 3.87% and receiving variable rate equal to SIFMA.
The second fixed payor swap is in a notional amount of
$3.5 million related to the Series 2002 bonds, matures August 1,
2015, with MAHC paying a fixed rate of 3.87% and receiving
variable rate equal to SIFMA. The third fixed payor swap is in a
notional amount of $15.8 million related to the Series 2003 bonds,
matures December 1, 2033, with MAHC paying a fixed rate of 4.27%
and receiving variable rate equal to SIFMA. The fourth fixed
payor swap is in a notional amount of $11.3 million related to the
Series 2008 bonds, matures March 1, 2033, with MAHC paying a fixed
rate of 3.57% and receiving variable rate equal to SIFMA. The
counterparty related to Series 2001 and 2002 swaps is Fifth Third
Bank and the counterparty related to Series 2003 and 2008 swaps is
Morgan Stanley Capital Services, Inc. As of June 30, 2010, the
mark-to-market value of the swaps was equal to a liability of
$4.3 million. There are no collateral posting requirements and
rating provisions that would cause termination events under the
swap documents.
Challenges
* Elevated credit pressures related to debt structure that
includes 63% ($45 million outstanding) of variable rate demand
bonds supported bank letters of credit and standby bond purchase
agreement which adds potential risks of renewal and
acceleration, unremarketed tenders, interest rate variability
and potential demands on liquidity; although somewhat mitigated
with cash-to-puttable debt coverage of 113% as of June 30, 2010
* Upcoming expiration of two LOCs from Fifth Third Bank (expire
December 15, 2010) representing $13.1 million of outstanding
debt; negotiations are ongoing to extend the LOC
* Recent release in August 2010 of FY 2009 audited financial
statements after a lengthy delay due to securing bank waivers in
April 2010 for days cash on hand and current ratio financial
covenant violations incurred at FYE 2009 (September 30); As of
June 30, 2010 all financial covenants under bond and bank
agreements are in compliance, although MAHC maintains very thin
headroom under required 90 days cash on hand which was measured
at 91.4 days.
* Unrestricted cash and investments of $51.5 million as of
June 30, 2010 (estimated 92 days cash on hand) up slightly from
$49.3 million of cash at FYE 2009 (82 days cash on hand); Cash-
to-debt improved but remains weak at 72% from 66% at FYE 2009;
Increased risk of cash volatility with an aggressive investment
allocation relative to rating level and low cash position
relative to total debt load with approximately 60% invested in
equities
* Two consecutive years of operating losses and declines in
operating cash flow in FY 2008 and FY 2009 due to expense growth
related to start up costs with the opening of a new
interventional cardiology program, employment of Anesthesiology
group, short fall in volume expectations and rise in
uncompensated care due to the weak economy
* Serves high Medicare and Medicaid population (combined represent
60% of gross revenues)
* Weak demographics in the primary service area of Washington
County, OH characterized by declining population, lower median
income levels compared to state and national levels and high
unemployment (8.5% as of June 2010) (based on US Census and
Bureau of Labor Statistics)
Strengths
* Leading market share of 61% in Washington County, OH with
limited direct physician and hospital competition in primary
service area service area
* Good turnaround in operating performance through ten months of
FY 2010 following an operating loss in FY 2009 at MAHC's
flagship hospital, Marietta Memorial Hospital (2.8% operating
margin and 9.5% operating cash flow margin through ten months FY
2010) as result of various cost cutting measures implemented by
management in FY 2009 including a hiring freeze, layoffs through
early retirement, closure of a unprofitable chemical dependency
program, and consolidation of behavioral health services
* Management expects to stem the large operating losses and
stabilize operations at Selby Hospital, critical access
hospital, following the construction and opening of new
operating rooms in June 2010 as part of the strategic initiative
to grow orthopedics services at the facility; Selby is showing
some signs of improvement with breakeven performance with modest
gains posted in June and July 2010
Recent Developments/Results
One of the key drivers of the rating downgrade and negative
outlook are the elevated credit risks associated with Marietta
Area Health Care's debt structure with 63% variable rate debt
obligations including $25.6 million of variable rate bonds
supported by letters of credit and $21.3 million of variable rate
bonds supported by a standby bond purchase agreement. Moody's
concerns are the high demand debt and bank exposure leaves MAHC
vulnerable to interest rate variability, renewal and acceleration
risk, unremarketed tenders or unexpected claims on liquidity
should an event of default occur or any outstanding bank bonds are
accelerated by the liquidity provider. Additionally, two Fifth
Third LOCs ($13.1 million of outstanding Series 2001 and Series
2002 bonds) will expire in the coming months on December 15, 2010.
Management continues to be in discussions with Fifth Third to
extend the LOC with no alternative plans at the moment in the
event that Fifth Third does not extend. The remaining Series 2003
($21 million outstanding) variable rate demand bonds are supported
by a SBPA with JPMorgan Chase Bank which expires December 31,
2011, and Series 2008 ($11.3 million outstanding) variable rate
bonds are supported by a LOC with JPMorgan Chase Bank expires on
March 15, 2013. The liquidity risk is somewhat mitigated with
MAHC maintaining 113% cash-to-total demand debt ($45.4 million
outstanding) coverage as of June 30, 2010 yet cash-to-total debt
remains a weak 72%.
Additionally, MAHC is required to maintain several financial
covenants under bond and bank agreements including days cash on
hand (minimum 90 days maintained by Marietta Memorial Hospital
measured semiannually and by the Obligated Group at fiscal
yearend), debt service coverage ratio (minimum 1.2 times measured
quarterly), current ratio (minimum 1.5 times measured at all
times) and debt to capitalization (no more than 50% measured
quarterly). MAHC breached the days cash on hand (measured 88
days) and current ratio (measured 1.4 times) covenant at FYE 2009
and in April 2010 secured waivers from both Fifth Third Bank and
JPMorgan Chase Bank but has not received notice and waiver for
days cash covenant violation from Assured Guaranty. MAHC is
currently in compliance with all covenant requirements but
maintains very thin headroom under the days cash on hand covenant
which was measured at 91.4 days for the obligated group at
June 30, 2010.
As of June 30, 2010, consolidated system unrestricted cash and
investments is $51.5 million (estimated 92 days cash on hand) from
$49.3 million (82 days) at FYE 2009. Cash-to-debt improved
slightly but remains a weak 72% from 66% at FYE 2009. MAHC's
investment allocation are aggressive with approximately 60%
invested in equities,11% invested in alternatives and 29% invested
in fixed income and cash. Management continues to evaluate MAHC's
investment strategy and is considering reducing its equity
allocations.
Following two consecutive years of operating losses and declines
in operating cash flow in FY 2008 and FY 2009, MAHC has posted
improved results through the first ten months of FY 2010. Based
on audited consolidated financial statements, MAHC posted a larger
operating loss of $6.4 million (-2.9% margin) in FY 2009 from
$1.3 million (-0.7% margin) in FY 2008. Absolute operating cash
flow declined further by 24% to $8.5 million (3.8% margin) from
the 33% decline to $11.2 million (5.8% margin) in FY 2008 from a
stronger $16.6 million (10.4% margin) in FY 2007. Management
attributed the downturn in operating performance to expense growth
outpacing revenue growth related to start up costs associated with
a new interventional cardiology program, losses from employment of
Anesthesiology group, short fall in volumes and rise in
uncompensated care due to the weak economy.
In order to respond to the operating challenges experienced in FY
2008 and FY 2009, management implemented a performance improvement
plan which outlined cost cutting measures and revenue growth
strategies in FY 2009. As a result of these initiatives operating
performance at the flagship hospital, Marietta Memorial Hospital
has had a notable turnaround through ten months of FY 2010 from
the operating loss generated in FY 2009. Additionally Selby
Hospital, a critical access hospital, has very recently shown some
signs of breakeven performance with some modest gains in the
months of June and July 2010 after a history of operating losses.
The improvement reflects the construction and opening of operating
rooms in June 2010 as part of the plan to focus on orthopedics
services at the facility.
As a result, through ten months of FY 2010 (based on combined
Marietta Memorial Hospital and Selby Hospital unaudited financial
statements) operating losses have declined to $1.07 million (-0.7%
margin) and operating cash flow is up to $9.2 million (6.0%
margin). Management is anticipating performance will continue to
improve and projecting on a consolidated system basis
approximately $1.1 million operating income by the end of FY 2010
and continued improvement in FY 2011. The improvement will be due
to recruitment and employment of primary care and some specialty
physicians, entering into an inaugural contract with United
Healthcare, revenue cycle improvements, and better monitoring
productivity and expenses relative to volume trends.
Due to the decline in operating cash flow generation, debt service
coverage measures weakened in FY 2009 with Moody's adjusted
maximum annual debt service coverage a lower 2.06 times and
adjusted debt-to-cash flow a high (unfavorable) 10.06 times from
2.49 and 7.05 times respectively in FY 2008. Debt service
coverage levels have improved slightly through the interim FY 2010
period due operating improvements.
MAHC is a sole community provider that operates 146-bed Marietta
Memorial Hospital and 25-bed critical access hospital, Selby
Hospital located in Marietta, Ohio in Washington County. MAHC
maintains approximately 61% market share in the primary service
area of Washington County. Other acute care hospitals nearest
to MAHC are located in Parkersburg, WV, approximately 30 miles
south of MAHC. Overall demographics of the region are weak
characterized by declining population trend, lower median income
level compared to state and national averages, high unemployment
(8.5% as of June 2010 in Washington County (based on US Bureau of
Labor Statistics) and the dependence on government payors with a
high combined Medicare and Medicaid population (combined represent
60% of gross revenues).
Outlook
The negative outlook reflects increased risk of violating the
liquidity covenant for a second year given very thin headroom,
elevated credit risk in the event the bank does not extend the
LOC, any puttable bonds are not remarketed or refinanced and any
outstanding bank bonds are accelerated by the banks and require
immediate repayment. The negative outlook also reflects the
uncertainty of whether recently improved performance will be
sustainable over a longer period given weak service area
demographics and high dependence on government funding.
What could change the rating -- Up
With a negative outlook, a rating upgrade in the near term is
unlikely; longer-term upgrade would be considered with improvement
in operating performance and ability to sustain improved levels
for multiple years, growth in cash and more headroom under
required financial covenants under bond and bank agreements;
improvement in debt coverage and liquidity measures
What could change the rating -- Down
Declines in volumes and operating performance; material decline in
cash balance from current levels; unable to meet bond and bank
financial covenants and receive LOC extension from bank, unable to
remarket or refinance debt; unexpected debt issuance without
commensurate increase in cash and cash flow generation
Key Indicators
Assumptions & Adjustments:
-- Based on financial statements for Marietta Area Health Care,
Inc.
-- First number reflects audit year ended September 30, 2008
-- Second number reflects audit year ended September 30, 2009
-- Investment returns normalized at 6% unless otherwise noted
* Inpatient admissions: 8,098; 8,165
* Total operating revenues: $191.3 million; $222.2 million
* Moody's-adjusted net revenue available for debt service: $14.8
million; $12.2 million
* Total debt outstanding: $75.7 million; $74.3 million
* Maximum annual debt service (MADS): $5.9 million; $5.9 million
* MADS Coverage with reported investment income: 2.55 times; 1.56
times
* Moody's-adjusted MADS Coverage with normalized investment
income: 2.49 times; 2.06 times
* Debt-to-cash flow: 7.05 times; 10.06 times
* Days cash on hand: 112 days; 82 days
* Cash-to-debt: 74%; 66%
* Operating margin: -0.7%; -2.9%
* Operating cash flow margin: 5.8%; 3.8%
Rated Debt (debt outstanding as of September 30, 2009):
-- Series 1998 (fixed rate bonds) ($17.5 million outstanding);
rated Aa3 (Assured Guaranty Insured); Ba2 underlying rating
-- Series 2003 (variable rate bonds) ($21.0 million
outstanding); rated Aa3/VMIG1 (Assured Guaranty Insured)
supported Standby Bond Purchase Agreement provided by JP
Morgan Chase); Ba2 underlying rating
The last rating action with respect to the Marietta Area Health
Care was on May 27, 2010, when a municipal finance scale rating of
Ba1 was placed on Watchlist for possible downgrade. That rating
was subsequently recalibrated to Global Scale Rating on May 7,
2010.
MISTLETOE ORSO: Moody's Upgrades Ratings on Certs. to 'Caa1'
------------------------------------------------------------
Moody's Investors Service announced this rating action on
Mistletoe Orso Trust 2, a collateralized debt obligation
transaction referencing a static portfolio of 100 synthetic credit
corporate exposures.
-- $50,000,000 Trust 2 Certificates due March 20, 2012, Upgraded
to Caa1 (sf); previously on September 4, 2009 Downgraded to
Caa3 (sf)
Ratings Rationale
The CSO notes have a remaining life of 1.6 years. The underlying
portfolio of synthetic credit corporate securities are both high-
yield and investment grade, referencing senior unsecured and
subordinated bonds. The CSO is backed by $50MM of Bayerische
Landesbank Senior Medium-Term Notes (Series F, FRN due 3/20/2012),
CUSIP 0727G0CN8.
Moody's explained that the rating action taken is the result of
the shortened time to maturity of the CSO and a substantial level
of credit enhancement remaining. Offsetting these positive
factors is the low but stabilizing credit quality of the reference
portfolio.
The CSO has 1.6 years left to its remaining life and a credit
enhancement of $136.8M, equivalent to 7.3% of subordination down
from the original 12.3% following past credit events. The 10 year
weighted average rating factor of the portfolio is 2,460,
equivalent to B2. This compares to a 10-year WARF of 2,370 from
the last rating review, and a 10-year WARF of 2,435 from using
MIRs. There has been no additional credit event since the last
rating action, and no additional downgrade of reference entities
to C/Ca.
Moody's rating action factors in the modeling result of a number
of sensitivity analyses:
(1) Time to maturity -- The committee has reviewed the impact of a
scenario consisting of reducing the maturity by 6 months,
keeping all other things equal. Reducing the maturity of the
transaction generated a result that is 1 notch above the one
modeled under the base case.
(2) Potential defaults -- A sensitivity analysis consisting of
defaulting all entities rated Caa3 and below was done. This
run generated an expected loss that is 1 notch below the one
modeled under the base case.
(3) Sector-wide weakening -- A sensitivity analysis consisting of
notching down by 1 all the entities in the Banking, Finance,
and Real Estate sectors was done. This run generated an
expected loss that is 1 notch below the one modeled under the
base case.
(4) Sector-wide weakening coupled with passage of time -- An
additional sensitivity analysis was run to test the effects of
both a credit deterioration and the reduction of maturity by
taking scenario (3) above and reducing the time to maturity by
6 months. This run did not show any material impact compared
to the base case.
(5) Finally, Moody's rating action takes into account the result
of a sensitivity analysis consisting of modeling CDS spread
implied rating (Market Implied Ratings) in place of
the corporate fundamental rating to derive the default
probability of each corporate name in the reference portfolio.
The gap between a MIR and a Moody's corporate fundamental
rating is an indicator of the extent of the divergence of
credit view between Moody's and the market on each referenced
name in the CSO portfolio. This run did not show any material
impact compared to the base case.
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.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Corporate Synthetic
Obligations", key model inputs used by Moody's in its analysis may
be different from the manager/arranger's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".
Moody's did not run a separate loss and cash flow analysis other
than the one already done using the CDOROM model.
Moody's also ran various stress scenarios including defaulting all
reference entities modeled at Caa2 and below. Nine additional
entities were thus defaulted, bringing the total number of
defaults in the portfolio to 19. The run generated an expected
loss consistent with a rating three notches below the base case
modeling. Moody's analysis also accounts for the risk of the swap
counterparty defaulting and the risk of an early termination due
to the default of the issuer of the collateral. The effect of
these additional risk was not material compared to the risk coming
from the reference portfolio.
Moody's analysis of CSOs is subject to uncertainties, the primary
sources of which includes complexity, governance and leverage.
Although the CDOROM model captures many of the dynamics of the
Corporate CSO structure, it remains a simplification of the
complex reality. Of greatest concern are (a) variations over time
in default rates for instruments with a given rating, (b)
variations in recovery rates for instruments with particular
seniority/security characteristics and (c) uncertainty about the
default and recovery correlations characteristics of the reference
pool. Similarly on the legal/structural side, the legal analysis
although typically based in part on opinions (and sometimes
interpretations) of legal experts at the time of issuance, is
still subject to potential changes in law, case law and the
interpretations of courts and (in some cases) regulatory
authorities. The performance of this CSO is also dependent on on-
going decisions made by one or several parties, including the
Manager and the Trustee. Although the impact of these decisions
is mitigated by structural constraints, anticipating the quality
of these decisions necessarily introduces some level of
uncertainty in Moody's assumptions. Given the tranched nature of
Corporate CSO liabilities, rating transitions in the reference
pool may have leveraged rating implications for the ratings of the
Corporate CSO liabilities, thus leading to a high degree of
volatility. All else being equal, the volatility is likely to be
higher for more junior or thinner liabilities.
The base case scenario modeled fits into the central macroeconomic
scenario predicted by Moody's of a sluggish recovery scenario of
the corporate universe. Should macroeconomics conditions evolves
towards a more severe scenario such as a double dip recession, the
CSO rating will likely be downgraded to an extent depending on the
expected severity of the worsening conditions.
MORGAN STANLEY: S&P Downgrades Ratings on Eight 2005-RR6 Certs.
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on eight
classes of commercial mortgage-backed securities pass-through
certificates from Morgan Stanley Capital I Inc.'s series 2005-RR6,
a U.S. resecuritized real estate mortgage investment conduit
transaction. At the same time, S&P affirmed its ratings on seven
classes from the same transaction. Concurrently, S&P removed all
15 ratings from CreditWatch with negative implications.
The downgrades and affirmations primarily reflect S&P's analysis
of the transaction following its rating actions on the underlying
CMBS that collateralize MSC 2005-RR6. The downgraded rated CMBS
are from four transactions and total $27.0 million (5.9% of the
total asset balance). The downgrades and affirmations also
reflect S&P's revised credit estimates on a portion of the CMBS
collateral not rated by Standard & Poor's ($84.9 million, 18.6%).
S&P lowered the majority of its credit estimates.
S&P's analysis also considered the interest shortfalls affecting
the transaction. According to the Aug. 24, 2010, trustee report,
cumulative interest shortfalls to the transaction totaled $902,203
and affected each of the tranches subordinate to class F. The
liquidity interruptions to MSC 2005-RR6 resulted from interest
shortfalls on the underlying CMBS collateral. The interest
shortfalls were primarily due to special servicing fees and
appraisal subordinate entitlement reductions.
According to the Aug. 24, 2010, trustee report, 75 CMBS classes
($457.5 million, 100%) from 50 distinct transactions issued
between 1996 and 2005 collateralize MSC 2005-RR6. S&P's analysis
of MSC 2005-RR6 reflected the transaction's exposure to these CMBS
certificates that Standard & Poor's has downgraded:
* Morgan Stanley Capital I Inc.'s series 1999-LIFE1 (classes H, J,
and K; $8.2 million, 1.8%);
* Banc of America Commercial Mortgage Inc.'s series 2000-2 (class
G; $7.8 million, 1.7%); and
* Bear Stearns Commercial Mortgage Securities Inc.'s series 2001-
TOP2 (class E; $7.0 million, 1.5%).
Standard & Poor's analyzed the transaction and its underlying
collateral assets in accordance with its current criteria. S&P's
analysis is consistent with the lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
Morgan Stanley Capital I Inc.
Commercial mortgage-backed securities pass-through certificates
series 2005-RR6
Rating
------
Class To From
----- -- ----
A-J A+ (sf) AA (sf)/Watch Neg
B BBB+ (sf) A+ (sf)/Watch Neg
C BBB- (sf) BBB+ (sf)/Watch Neg
D BB+ (sf) BBB+ (sf)/Watch Neg
E BB (sf) BBB- (sf)/Watch Neg
F B+ (sf) BB+ (sf)/Watch Neg
G CCC- (sf) B (sf)/Watch Neg
H CCC- (sf) CCC (sf)/Watch Neg
Ratings Affirmed And Removed From Creditwatch Negative
Morgan Stanley Capital I Inc.
Commercial mortgage-backed securities pass-through certificates
series 2005-RR6
Rating
------
Class To From
----- -- ----
A-2FX AAA (sf) AAA (sf)/Watch Neg
A-2FL AAA (sf) AAA (sf)/Watch Neg
A-3FX AAA (sf) AAA (sf)/Watch Neg
A-3FL AAA (sf) AAA (sf)/Watch Neg
J CCC- (sf) CCC- (sf)/Watch Neg
K CCC- (sf) CCC- (sf)/Watch Neg
X AAA (sf) AAA (sf)/Watch Neg
N-STAR REAL: S&P Downgrades Ratings on Seven Classes of Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
classes from N-Star Real Estate CDO IX Ltd., a commercial real
estate collateralized debt obligation transaction, and removed
them from CreditWatch with negative implications. S&P also
affirmed its ratings on five other classes from this transaction
and removed them from CreditWatch negative.
The downgrades and affirmations primarily reflect S&P's analysis
of the transaction following S&P's rating actions on the
underlying commercial mortgage-backed securities, CRE CDO, and
resecuritized real estate mortgage investment conduit (re-REMIC)
tranches that collateralize N-Star IX. The rated collateral
securities are from 13 transactions and total $102.3 million
(10.4% of the total asset balance).
According to the Aug. 3, 2010, trustee report, the transaction's
current asset pool included these:
* 144 CMBS tranches ($745.1 million, 75.7%);
* 17 CRE CDO tranches ($134.9 million, 13.7%);
* 9 real estate investment debt securities ($62.6 million, 6.4%);
And 4 commercial real estate interest ($41.9 million, 4.4%).
N-Star IX has exposure to these transactions that Standard &
Poor's has downgraded:
* JPMorgan-CIBC Commercial Mortgage-Backed Securities Trust's
series 2006-RR1 (classes A-1, F, and G; $23.5 million, 2.4%);
* Aphex Capital NSCR 2007-7SR's series 2007-7SR (classes SR-E and
SR-F; $22.5 million, 2.3%); and
* ABACUS 2006-NS1 (class H; $10.5 million, 1.1%).
According to the trustee report, the transaction includes one
defaulted commercial real estate interest asset (Memorial Mall
senior-interest loan, $12.5 million, 1.3%) and 35 credit risk or
defaulted CMBS and CRE CDO tranches ($196.4 million, 19.9%).
Standard & Poor's estimated an asset-specific recovery rate of
76.9% for the commercial real estate interest asset reported as
defaulted. S&P based its recovery rate on the information from
the collateral manager, special servicer, and third-party data
providers.
Standard & Poor's analyzed the transaction and its underlying
collateral assets in accordance with its current criteria. S&P's
analysis is consistent with the lowered ratings.
Ratings Lowered And Removed From Creditwatch Negative
N-Star Real Estate CDO IX Ltd.
Floating rate notes
Rating
------
Class To From
----- -- ----
A-1 AA- (sf) AA (sf)/Watch Neg
A-2 A- (sf) A (sf)/Watch Neg
B BBB- (sf) BBB (sf)/Watch Neg
C BBB- (sf) BBB (sf)/Watch Neg
H BB- (sf) BB (sf)/Watch Neg
J BB- (sf) BB (sf)/Watch Neg
K B+ (sf) BB- (sf)/Watch Neg
Ratings Affirmed And Removed From Creditwatch Negative
N-Star Real Estate CDO IX Ltd.
Floating rate notes
Rating
------
Class To From
----- -- ----
A-3 BBB+ (sf) BBB+ (sf)/Watch Neg
D BB+ (sf) BB+ (sf)/Watch Neg
E BB+ (sf) BB+ (sf)/Watch Neg
F BB+ (sf) BB+ (sf)/Watch Neg
G BB (sf) BB (sf)/Watch Neg
NATIONSLINK FUNDING: S&P Downgrades Ratings on 1999-2 Certs.
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class H and J commercial mortgage-backed securities from
NationsLink Funding Corp.'s series 1999-2.
The downgrades reflect S&P's analysis of the remaining collateral
in the pool, the deal structure, and the interest shortfalls that
have affected the trust. As of the August 2010 remittance report,
the trust had experienced monthly interest shortfalls primarily
related to the specially serviced assets in the pool, which
currently total 21.4% of the deal's outstanding principal balance.
The monthly interest shortfall amount, at $139,412, left class K
with an $857 interest distribution. This leaves very little
cushion to absorb future interest shortfalls, should they arise,
for the rated classes.
The interest shortfalls reported for the August 2010 remittance
period primarily relate to the Third Street Plaza Shopping Center
($5.3 million total exposure, 10.4%), one of four assets with the
special servicer, ORIX Capital Markets LLC. The master servicer,
KeyCorp Real Estate Capital Markets Inc., has made a
nonrecoverable advance determination and has stopped advancing
interest and principal on the asset. Furthermore, the current
remittance report shows that the master servicer recouped $100,240
of outstanding prior advances on the asset. Also contributing to
the reported interest shortfalls were appraisal subordinate
entitlement reductions associated with the remaining three assets
with the special servicer. These three assets have appraisal
reduction amounts totaling $1.3 million in effect, which led to an
aggregate ASER of $7,831.
Specially Serviced Assets
As of the August 2010 remittance report, four ($10.9 million,
21.4%) assets in the pool were with the special servicer. Two
($6.5 million, 12.8%) of these assets are real estate owned, and
the remaining two ($4.4 million, 8.6%) are 90-plus days
delinquent. Three of the four assets have ARAs in effect, in the
aggregate amount of $1.3 million.
The Third Street Plaza Shopping Center ($5.3 million total
exposure, 10.4%) is the second-largest real estate exposure in the
pool and the largest asset with the special servicer. The asset
is a 53,779-sq.-ft. retail property in Naples, Fla. The loan was
originally transferred to the special servicer in July 2008 and is
classified as REO. The master servicer has made a nonrecoverable
advance determination in connection with the asset and has stopped
advancing interest and principal. Furthermore, in the current
period, the master servicer recouped $100,240 of outstanding prior
advances on the asset. As of December 2009, effective gross
income was not sufficient to cover operating expenses, and the
property was 25.8% occupied. Standard & Poor's expects a severe
loss upon the resolution of this asset.
The Mansions South Apartments loan ($3.2 million total exposure,
6.2%) is the fourth-largest real estate exposure in the pool and
the second-largest asset with the special servicer. The loan is
secured by a 146-unit multifamily property in Moore, Okla. The
loan was transferred to the special servicer in January 2010, and
is classified as 90-plus days delinquent. As of December 2009,
reported DSC was 0.05x, and the property was 9.6% occupied. There
is an ARA of $280,363 in effect. According to the special
servicer, a loan modification is complete, and the servicer is
currently documenting the modification.
The Double Eagle Office Building ($2.7 million total exposure,
5.4%) is the fifth-largest real estate exposure in the pool and
the third-largest asset with the special servicer. The asset is a
31,166-sq.-ft. office property in St. Augustine, Fla. The loan
was originally transferred to the special servicer in September
2008, and is now REO. As of September 2009, reported net cash
flow was negative, and the property was 58.1% occupied. There is
an ARA of $591,057 in effect. Standard & Poor's expects a
significant loss upon the resolution of this asset.
The Spanish Garden Apartments loan ($1.5 million total exposure,
3.0%) is the eighth-largest real estate exposure in the pool and
the fourth-largest asset with the special servicer. The loan is
secured by a 70-unit multifamily property in Bethany, Okla. The
loan was transferred to the special servicer in April 2010 and is
classified as 90-plus days delinquent. As of December 2009,
reported DSC was 1.03x, and the property was 7.1% occupied. There
is an ARA of $433,667 in effect. Standard & Poor's expects a
moderate loss upon the resolution of this asset.
Two loans totaling $1.0 million (1.9%) that were previously with
the special servicer have been returned to the master servicer.
According to the transaction documents, the special servicer is
entitled to a workout fee equal to 1.00% of all future principal
and interest payments on the corrected loans, provided that they
continue to perform and remain with the master servicer.
Transaction Summary
As of the August 2010 remittance report, the collateral pool
had an aggregate trust balance of $51.0 million, down from
$1.12 billion at issuance. The pool includes 24 loans, down from
330 at issuance. Four ($7.6 million, 14.9%) of the remaining
loans are defeased. The master servicer provided full-year 2008,
interim 2009, or full-year 2009 financial information for 100.0%
of the nondefeased loans in the pool. S&P calculated a weighted
average DSC of 1.13x for the pool based on the reported figures.
The master servicer reported a watchlist of two ($3.0 million,
5.8%) loans. Four ($10.9 million, 21.4%) loans in the pool have a
reported DSC of less than 1.10x, and three ($9.5 million, 18.6%)
loans have a reported DSC of less than 1.00x.
Summary of Top 10 Loan Exposures
The top 10 exposures secured by real estate have an aggregate
outstanding trust balance of $38.4 million (75.3%). The largest
loan in the pool, which is scheduled to mature in February 2011,
represents 36.6% of the remaining pool balance. Using servicer-
reported numbers, S&P calculated a weighted average DSC of 1.01x
for the top 10 real estate assets. Four ($10.9 million, 21.4%) of
the top 10 assets are currently with the special servicer and were
discussed above. Two ($3.0 million, 5.8%) of the top 10 assets
appear on the master servicer's watchlist.
The 325 Exterior Street loan ($1.9 million, 3.7%) is the sixth-
largest loan in the pool and the largest loan on the watchlist.
The loan is secured by a 29,562-sq.-ft. industrial property in
Bronx, N.Y. As of December 2009, reported DSC and occupancy were
1.17x and 100.0%, respectively. The loan appears on the master
servicer's watchlist because of its upcoming Oct. 1, 2010,
maturity.
The Maple Wood Plaza loan ($1.1 million, 2.1%) is the 10th-largest
loan in the pool and the second-largest loan on the watchlist.
The loan is secured by a 25,842-sq.-ft. retail property in
Rochester, N.Y. Reported DSC and occupancy were 1.70x and 77.7%
as of December 2009 and May 2010, respectively. The asset appears
on the master servicer's watchlist due to the upcoming lease
expiration of tenant Dollar General, whose lease represents 47.3%
of the property's net rentable area (NRA), in December of this
year. Should the Dollar General space become vacant, Standard &
Poor's calculated a going-forward DSC of approximately 1.14x for
the loan.
Standard & Poor's analyzed the transaction according to its
current criteria, and the lowered ratings are consistent with its
analysis.
Ratings Lowered
NationsLink Funding Corp.
Commercial mortgage pass-through certificates series 1999-2
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
H BB- (sf) BB+ (sf) 60.50
J B- (sf) BB (sf) 55.00
NELNET STUDENT: Fitch Affirms Ratings on Senior Student Loans
-------------------------------------------------------------
Fitch Ratings affirms the senior student loan bonds at 'AAAsf' and
downgrades the subordinate bond to 'BBsf' issued by Nelnet Student
Loan Trust series 2008-1. Stable Outlooks are assigned to the
senior bonds and the subordinate bond has been placed on Rating
Watch Negative. Fitch used its Global Structured Finance Rating
Criteria and FFELP student loan ABS rating criteria, as well as
the refined basis risk criteria outlined in Fitch's June 29 press
release were used to review the ratings.
The ratings on the senior bonds are affirmed based on the
sufficient level of credit enhancement (consisting of
subordination and the projected minimum excess spread) to cover
the applicable basis factor stress.
The rating on the subordinate bond is downgraded to 'BBsf' due to
the trust's relatively high cost structure towards the tail end of
the transaction that will put pressure on the trust's ability to
generate excess spread which is the only form of credit
enhancement for the subordinate bond and absorb a stressed level
of basis risk.
The subordinate bond has been placed on Rating Watch Negative
because the documents do not appropriately account for the
principal distribution amount required to make the full principal
payment on the bond given that the transaction was issued at below
100% parity. The rating may be subject to further downgrade if a
corrective measure is not implemented.
Fitch has taken these rating actions:
Nelnet Student Loan Trust, series 2008-1:
-- Class A-1 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-2 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-3 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B downgraded to 'BBsf/LS3' from 'AAsf/LS3'; Rating
Watch Negative.
NELSON RE: Moody's Takes Rating Actions on Catastrophe Bonds
------------------------------------------------------------
Moody's Investors Service has taken these rating actions on the
catastrophe bonds of Nelson Re Ltd.:
-- Class H ($45.0 million) catastrophe bonds affirmed at B3 (sf)
with a negative outlook (changed from stable);
-- Class I ($67.5 million) catastrophe bonds affirmed at B1 (sf)
with a negative outlook (changed from stable).
The Class G ($67.5 million) catastrophe bonds remain at Ca (sf)
with a developing outlook.
These actions follow an announcement by Glacier Reinsurance AG
("Glacier Re") that it will voluntarily go into run-off and stop
writing new business. Glacier Re is the sponsor of Nelson Re.
Nelson Re issued the Class G, H and I notes in June 2008 as a way
for bondholders to provide per occurrence excess-of-loss
reinsurance to Glacier Re for U.S. hurricane/earthquake events
(Class G) and European windstorm events (Class H and I). In
exchange, Glacier Re pays reinsurance premiums to Nelson Re, which
in turn are passed on to bondholders as interest.
As Glacier Re runs off its business, this will reduce the
catastrophe exposure passed on to Nelson Re bondholders, which is
a credit positive.
However, the reduced peril exposure may also lessen the usefulness
of Nelson Re to Glacier Re, at least with respect to the Class H
and Class I bonds for which the underlying contracts predominantly
expire before January 1 (the European windstorm season runs from
December to March). This may reduce Glacier Re's incentive to
make reinsurance premium payments to Nelson Re. A default on
reinsurance premiums would lead to a default on interest payments
to bondholders. Interest is paid on May 15, August 15,
November 15 and February 15.
In order for Glacier Re to terminate the deal early, it would have
to pay a penalty roughly equal to the remaining reinsurance
premiums that would have been due had the deal run its course to
the scheduled termination date (June 6, 2011).
The negative outlook on the Class H and Class I bonds reflects the
increased incentive on the part of Glacier Re to strategically
default on the reinsurance premiums, though Moody's do not think
this is likely.
The Class H and Class I ratings were affirmed because Moody's
believes that Glacier Re is still reasonably likely to honor its
reinsurance premium obligations because: 1) Glacier Re still
appears to be in good financial health, 2) Swiss insurance
regulators may frown upon a strategic default and prevent Glacier
Re shareholders from harvesting assets, and 3) there is
significant reputational risk attached to the CEO, Todd Hart. Mr.
Hart was a former portfolio manager at HBK Capital Management, a
well-known investor in the catastrophe bond and insurance-linked
securities space. Some of Glacier Re's other shareholders are
also active in the ILS space. That said, the willingness to make
reinsurance premium payments falls at the discretion of Glacier
Re's management, who may also be influenced by any deterioration
in Glacier Re's financial position.
The Ca (sf) rating and developing outlook on the Class G bonds
remain unchanged. Glacier Re had previously indicated that
Hurricane Ike losses would likely trigger losses under the Class G
bonds. Glacier Re will have to continue paying reinsurance
premiums for these Class G bonds in order to recover paid losses
from Nelson Re.
The last rating action occurred on May 25, 2010, when Moody's
confirmed the ratings of the Class H and Class I bonds.
NOMURA ASSET: Moody's Downgrades Ratings on Two 2004-AR1 Tranches
-----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of two
tranches issued by Nomura Asset Acceptance Corporation Alternative
Loan Trust, Series 2004-AR1.
Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2004-AR1
-- Cl. V-M-1, Downgraded to Caa1 (sf) and Remains On Review for
Possible Downgrade; previously on April 13, 2010 B2 (sf)
Placed Under Review for Possible Downgrade
-- Cl. V-M-2, Downgraded to C (sf); previously on April 13, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
Ratings Rationale
The collateral backing the transaction consists primarily of
hybrid and adjustable rate, Alt-A, first lien mortgage loans
acquired by Nomura Credit & Capital, Inc. from a variety of
originators.
The downgrades are the result of the erosion of credit support due
to losses and the $56.2 thousand loss allocated to the class V-M-1
and $58.3 thousand loss allocated to the class V-M-2. The class
V-M-1 remains on review for possible downgrade as Moody's
completes its review of this transaction. Additional
sensitivities of losses will be a function of future actual and
projected losses that correspond to benchmarks provided in Moody's
Approach to Rating Structured Finance Securities in Default.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
OCALA FUNDING: Moody's Withdraws Ratings on Various Classes
-----------------------------------------------------------
Moody's has withdrawn the Non-Prime (sf) and C (sf) ratings of the
Notes issued by Ocala Funding LLC, a partially supported, single-
seller ABCP program administered by Taylor, Bean & Whitaker
Mortgage Corporation.
Issuer: Ocala Funding LLC
-- 2005-1-SLNs, Withdrawn; previously on Aug. 19, 2009
Downgraded to NP(sf)
-- 2005-1-CNs, Withdrawn; previously on Aug. 19, 2009 Downgraded
to NP(sf)
-- 2006-A, Withdrawn; previously on Aug. 21, 2009 Downgraded to
C(sf)
-- 2005-A, Withdrawn; previously on Aug. 21, 2009 Downgraded to
C(sf)
-- 2006-B, Withdrawn; previously on Aug. 21, 2009 Downgraded to
C(sf)
PAJARO VALLEY: S&P Raises Rating on 1999A Certificates From 'BB'
----------------------------------------------------------------
Standard & Poor's Ratings Services has raised its rating on Pajaro
Valley Water Management Agency, Calif.'s certificates of
participation, series 1999A to 'BBB' from 'BB' and removed it from
CreditWatch with developing implications, where it had been placed
June 10. The outlook is stable. S&P previously had lowered the
rating to 'BB' from 'BBB' and placed it on CreditWatch with
negative implications on Feb. 3, 2010. Standard & Poor's revised
the CreditWatch to developing on June 10, 2010. The COPs
represent an interest in net revenues of the agency.
"The upgrade reflects S&P's view of voter approval of a new
augmentation charge," said Standard & Poor's credit analyst
Jeffrey Panger. Management estimates that the new charge, which
will go into effect Oct. 1, 2010, will yield about $10 million in
annual revenue, and will replace the current augmentation charge.
The current charge had yielded $9.1 million in revenue in 2008,
but was essentially cut in half to $4.5 million in 2009, after a
stipulated agreement for entry of judgment was issued. Prior to
the stipulated agreement, the augmentation charge yielded net
revenue sufficient to cover debt service requirements 3.1x; after
the stipulated judgment, coverage declined to 1.03x in 2009 and
0.53x inclusive of retroactive refunds, prompting S&P's prior
rating actions.
The stable outlook reflects S&P's view of voter approval of a new
augmentation charge, which Standard & Poor's expects to return
coverage to prior adequate levels.
PREFERREDPLUS TRUST: Moody's Raises Ratings on Series QWS-1 Certs.
------------------------------------------------------------------
Moody's Investors Service announced that it has upgraded, and left
on review for possible upgrade, the rating of these certificates
issued by PREFERREDPLUS Trust Series QWS-1:
-- US$40,000,000 PREFERREDPLUS 7.75% Trust Certificates;
Upgraded to Ba3, on review for upgrade; Previously on
April 29, 2010 B1, Placed under review for possible upgrade
Ratings Rationale
The transaction is a structured note whose rating is based on the
rating of the Underlying Securities and the legal structure of the
transaction. The rating action is a result of the change of the
rating of $40,000,000 7.75% Notes due 2031 issued by Qwest Capital
Funding, Inc. which were upgraded to Ba3 and remain on review for
upgrade by Moody's on August 13, 2010.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
PREFERREDPLUS TRUST: Moody's Raises Ratings on Series QWS-2 Certs.
------------------------------------------------------------------
Moody's Investors Service announced that it has upgraded, and left
on review for possible upgrade, the rating of these certificates
issued by PREFERREDPLUS Trust Series QWS-2:
-- US$38,750,000 PREFERREDPLUS 8.00% Trust Certificates;
Upgraded to Ba3, on review for upgrade; Previously on
April 29, 2010 B1, Placed on review for possible upgrade
Ratings Rationale
The transaction is a structured note whose rating is based on the
rating of the Underlying Securities and the legal structure of the
transaction. The rating action is a result of the change of the
rating of $40,000,000 7.75% Notes due 2031 issued by Qwest Capital
Funding, Inc. which were upgraded to Ba3 and remain on review for
upgrade by Moody's on August 13, 2010.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
PRUDENTIAL SECURITIES: Moody's Upgrades Ratings on 2000-C1 Notes
----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two classes,
affirmed five classes and downgraded three classes of Prudential
Securities Secured Financing Corporation, Series Key 2000-C1.
Moody's rating action is:
-- US$13.863M Cl. C Certificate, Affirmed at Aaa (sf);
previously on July 9, 2007 Upgraded to Aaa (sf)
-- US$10.203M Cl. D Certificate, Affirmed at Aaa (sf);
previously on July 9, 2007 Upgraded to Aaa (sf)
-- US$10.203M Cl. E Certificate, Affirmed at Aaa (sf);
previously on Aug. 16, 2007 Upgraded to Aaa (sf)
-- US$18.367M Cl. F Certificate, Upgraded to Aaa (sf);
previously on Sept. 25, 2008 Upgraded to Aa2 (sf)
-- US$14.285M Cl. G Certificate, Upgraded to Aa2 (sf);
previously on Sept. 25, 2008 Upgraded to A1 (sf)
-- US$4.081M Cl. J Certificate, Affirmed at Ba2 (sf); previously
on June 29, 2000 Definitive Rating Assigned Ba2 (sf)
-- US$6.122M Cl. K Certificate, Downgraded to Caa3 (sf);
previously on May 21, 2009 Downgraded to B1 (sf)
-- US$6.217M Cl. M Certificate, Downgraded to C (sf); previously
on May 21, 2009 Downgraded to Ca (sf)
-- US$0M Cl. N Certificate, Downgraded to C (sf); previously on
May 21, 2009 Downgraded to Ca (sf)
-- Cl. X Certificate, Affirmed at Aaa (sf); previously on
June 29, 2000 Definitive Rating Assigned Aaa (sf)
Ratings Rationale
The upgrades of Classes F and G are due to increased subordination
resulting from principal amortization and loan pay downs. The
affirmations of Classes X, C, D, E and J are due to key
parameters, including Moody's loan-to-value ratio and Moody's
stressed DSCR, remaining within acceptable ranges. Based on
Moody's current base expected loss, the credit enhancement levels
for those classes affirmed are sufficient to maintain the existing
ratings. The downgrades of Classes K, M and N are due to higher
* Expected Losses for the pool resulting from realized and
anticipated losses from specially serviced and troubled loans and
a decline in loan diversity.
Moody's rating action reflects a cumulative base expected loss of
13.0% of the current balance. At last review, Moody's cumulative
base expected loss was 1.5%. Moody's stressed scenario loss is
15.7% of the current balance. Due to the high level of credit
subordination and defeasance, it is unlikely that investment grade
classes would be downgraded even if losses are higher than Moody's
expected base.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the current stressed
macroeconomic environment and continuing weakness in the
commercial real estate and lending markets. Moody's currently
views the commercial real estate market as stressed with further
performance declines expected in the industrial, office, and
retail sectors. Hotel performance has begun to rebound, albeit
off a very weak base. Multifamily has also begun to rebound
reflecting an improved supply / demand relationship. The
availability of debt capital is improving with terms returning
towards market norms. Job growth and housing price stability will
be necessary precursors to commercial real estate recovery.
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's largest economies, returning to trend growth rate
with elevated fiscal deficits and persistent unemployment levels.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 level are driven
by property type, Moody's actual and stressed DSCR, and Moody's
property quality grade (which reflects the capitalization rate
used by Moody's to estimate Moody's value). Conduit model results
at the B2 level are driven by a pay down analysis based on the
individual loan level Moody's LTV ratio. Moody's Herfindahl score
(Herf), a measure of loan level diversity, is a primary
determinant of pool level diversity and has a greater impact on
senior certificates. Other concentrations and correlations may be
considered in Moody's analysis. Based on the model pooled credit
enhancement levels at Aa2 and B2, the remaining conduit classes
are either interpolated between these two data points or
determined based on a multiple or ratio of either of these two
data points. For fusion deals, the credit enhancement for loans
with investment-grade underlying ratings is melded with the
conduit model credit enhancement into an overall model result.
Fusion loan credit enhancement is based on the underlying rating
of the loan which corresponds to a range of credit enhancement
levels. Actual fusion credit enhancement levels are selected
based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar underlying ratings
in the same transaction.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.0 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
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 action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated May 21, 2009. See the
ratings tab on the issuer / entity page on moodys.com for the last
rating action and the ratings history.
Moody's Investors Service received and took into account one or
more third party due diligence report(s) on the underlying assets
or financial instruments in this transaction and the due diligence
report(s) had a neutral impact on the rating.
Deal Performance
As of the August 17, 2010 distribution date, the transaction's
aggregate certificate balance has decreased 84% to $128.2 million
from $816.3 million at securitization. The Certificates are
collateralized by 24 mortgage loans ranging in size from less than
1% to 14% of the pool, with the top ten loans representing 65% of
the pool. Three loans, representing 21% of the pool, have
defeased and are collateralized with U.S. Government securities.
Defeasance at last review represented 35% of the pool.
Six loans, representing 7% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) 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.
Fifteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $19.5 million (22% loss severity).
Five loans, representing 27% of the pool, are currently in special
servicing. The largest specially serviced loan is the 4000
Alameda Loan ($17.8 million -- 14% of the pool), which is secured
by a 112,764 square foot office building located in Burbank,
California. The loan was transferred to special servicing in
December 2009 due to imminent default and is currently in the
process of foreclosure. The property was 100% leased as of
September 2009 yet faces leasing challenges due to several tenant
lease expirations.
The second largest specially serviced loan is the Northcrest
Village Shopping Center Loan ($9.8 million -- 10% of the pool),
which is secured by a 136,275 square foot retail center located in
Carrollton, Texas. The property was 20% leased as of December
2009 compared to 100% at last review. The loan transferred into
special servicing in November 2008 and is now real estate owned
(REO).
The remaining three specially serviced loans are secured by a
mix of property types. Moody's has estimated an aggregate
$11.1 million loss (32% expected loss on average) for the
specially serviced loans.
Moody's has assumed a high default probability for six poorly
performing loans representing 20% of the pool and has estimated a
$4.7 million (19% expected loss based on a 37% probability
default) from these troubled loans. Moody's rating action
recognizes potential uncertainty around the timing and magnitude
of loss from this troubled loan.
Moody's was provided with full year 2009 operating results for 79%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 80% compared to 85% at Moody's
prior review. Moody's net cash flow reflects a weighted average
haircut of 10.6% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 8.9%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.57X and 1.52X, respectively, compared to
1.18X and 1.34X at last review. Moody's actual DSCR is based on
Moody's new cash flow and the loan's actual debt service. Moody's
stressed DSCR is based on Moody's NCF and a 9.25% stressed rate
applied to the loan balance.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 11 compared to 8 at Moody's prior review.
The top three performing conduit loans represent 22% of the pool
balance. The largest loan is the Meadowood Plaza Shopping Center
Loan ($11.9 million -- 9.34% of the pool), which is secured by a
100,000 square foot retail center located in Reno, Nevada. The
center is anchored by Best Buy, Barnes & Noble and Petco. The
property was 100% leased as of December 2009, the same as last
review. Although performance has been stable since
securitization, Moody's analysis incorporates a stressed cash flow
because of concerns about the Reno retail market. The loan has
amortized 15% since last review. Moody's LTV and stressed DSCR
are 87% and 1.25X, respectively, compared to 81% and 1.25X at last
review.
The second largest loan is the Aberfeldy Portfolio Center Loan
($11.2 million -- 8.7% of the pool), which is secured by a 6-
building portfolio totaling 481,901 square feet of office, retail
and warehouse space located in various Texas cities. Performance
has fluctuated since securitization due to lease rollovers. The
portfolio is presently 92% leased with several near-term lease
expirations. The loan has amortized 3% since last review.
Moody's LTV and stressed DSCR are 106% and 1.11X, respectively,
compared to 114% and 0.95X at last review.
The third largest loan is the Huntington Beach Medical Center Loan
($4.9 million -- 3.9% of the pool), which is secured by a 49,347
square foot medical office building located in Huntington Beach,
California. The loan has amortized 2% since last review. Moody's
LTV and stressed DSCR are 57% and 1.9X, respectively, compared to
56% and 1.74X at last review.
RAIT CRE: Moody's Reviews Ratings on 11 Classes of Notes
--------------------------------------------------------
Moody's placed 11 classes of Notes issued by RAIT CRE CDO I, Ltd.,
and 11 classes of Notes issued by RAIT Preferred Funding II, Ltd.,
on review direction uncertain. On August 26, 2010, Moody's
received "Notice of Abandonment of Notes" from the Trustee,
indicating the cancellation of portions of the junior Notes in
both RAIT CRE CDO I, Ltd., and RAIT Preferred Funding, Ltd. Per
Moody's special comment, "Junior CDO Note Cancellations Should
Concern Senior Noteholders in Structured Transactions", dated
June 14, 2010, there is concern that the cancellation of junior
notes can divert cash flow from away from the senior notes in the
event of a Par Value Test Failure. The rating action is the
result of Moody's on-going surveillance of commercial real estate
collateralized debt obligation transactions.
RAIT CRE CDO I, Ltd., and RAIT Preferred Funding II, Ltd., are CRE
CDO transactions back by portfolios of Whole Loans, B-Notes, and
mezzanine loans.
As of the August 20, 2010 Trustee report, RAIT CRE CDO I, Ltd.,
listed 15 assets with a par balance of $74.2 million (7.6% of the
pool balance, including cash principal) as defaulted, compared to
8.6% at last review. The current weighted average rating factor
(WARF) as reported by the Trustee, was 4,390 compared to 4,707 at
last review.
As of the August 25, 2010 Trustee report, RAIT Preferred Funding
II, Ltd., listed two assets with a par balance of $24.3 million
(3.2%) as defaulted, compared to 0.6% at last review. The current
WARF as reported by the Trustee, was 3,410 compared to 3,607 at
last review.
Moody's has identified these parameters as key indicators of the
expected loss within CRE CDO transactions: WARF, weighted average
life, weighted average recovery rate, and Moody's asset
correlation. Moody's review will focus on the impact on the
expected loss of all notes, as a result of junior note
cancellation, and these key indicators.
Moody's rating action is:
Issuer: RAIT CRE CDO I, Ltd.
-- US$200M Cl. A-1A Notes, Aaa (sf) Placed Under Review
Direction Uncertain; previously on April 21, 2009 Confirmed
at Aaa (sf)
-- US$275M Cl. A-1B Notes, Aaa (sf) Placed Under Review
Direction Uncertain; previously on April 21, 2009 Confirmed
at Aaa (sf)
-- US$90M Cl. A-2 Notes, Aaa (sf) Placed Under Review Direction
Uncertain; previously on April 21, 2009 Confirmed at Aaa (sf)
-- US$110M Cl. B Notes, Aa2 (sf) Placed Under Review Direction
Uncertain; previously on April 21, 2009 Confirmed at Aa2 (sf)
-- US$41.5M Cl. C Notes, A1 (sf) Placed Under Review Direction
Uncertain; previously on April 21, 2009 Confirmed at A1 (sf)
-- US$25M Cl. D Notes, A2 (sf) Placed Under Review Direction
Uncertain; previously on April 21, 2009 Confirmed at A2 (sf)
-- US$16M Cl. E Notes, Baa1 (sf) Placed Under Review Direction
Uncertain; previously on April 21, 2009 Downgraded to Baa1
(sf)
-- US$22M Cl. F Notes, Baa2 (sf) Placed Under Review Direction
Uncertain; previously on April 21, 2009 Downgraded to Baa2
(sf)
-- US$20.5M Cl. G Notes, Baa3 (sf) Placed Under Review Direction
Uncertain; previously on April 21, 2009 Downgraded to Baa3
(sf)
-- US$18M Cl. H Notes, Ba2 (sf) Placed Under Review Direction
Uncertain; previously on April 21, 2009 Downgraded to Ba2
(sf)
-- US$35M Cl. J Notes, B1 (sf) Placed Under Review Direction
Uncertain; previously on April 21, 2009 Downgraded to B1 (sf)
Issuer: RAIT Preferred Funding II. Ltd.
-- US$207.5M Cl. A-1T Notes, Aaa (sf) Placed Under Review
Direction Uncertain; previously on April 15, 2009 Confirmed
at Aaa (sf)
-- US$200M Cl. A-1R Notes, Aaa (sf) Placed Under Review
Direction Uncertain; previously on April 15, 2009 Confirmed
at Aaa (sf)
-- US$100.5M Cl. A-2 Notes, Aa1 (sf) Placed Under Review
Direction Uncertain; previously on April 15, 2009 Downgraded
to Aa1 (sf)
-- US$71.75M Cl. B Notes, A3 (sf) Placed Under Review Direction
Uncertain; previously on April 15, 2009 Downgraded to A3 (sf)
-- US$34.5M Cl. C Notes, Baa3 (sf) Placed Under Review Direction
Uncertain; previously on April 15, 2009 Downgraded to Baa3
(sf)
-- US$14.625M Cl. D Notes, Ba1 (sf) Placed Under Review
Direction Uncertain; previously on April 15, 2009 Downgraded
to Ba1 (sf)
-- US$14.4M Cl. E Notes, Ba2 (sf) Placed Under Review Direction
Uncertain; previously on April 15, 2009 Downgraded to Ba2
(sf)
-- US$20.625M Cl. F Notes, B1 (sf) Placed Under Review Direction
Uncertain; previously on April 15, 2009 Downgraded to B1 (sf)
-- US$13.5M Cl. G Notes, B2 (sf) Placed Under Review Direction
Uncertain; previously on April 15, 2009 Downgraded to B2 (sf)
-- US$14.8M Cl. H Notes, B3 (sf) Placed Under Review Direction
Uncertain; previously on April 15, 2009 Downgraded to B3 (sf)
-- US$30.5M Cl. J Notes, Caa2 (sf) Placed Under Review Direction
Uncertain; previously on April 15, 2009 Downgraded to Caa2
(sf)
RALI SERIES: Moody's Downgrades Rating on Two 2006-QS13 Tranches
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of two
tranches issued by RALI Series 2006-QS13 Trust.
Issuer: RALI Series 2006-QS13 Trust
-- Cl. I-A-8, Downgraded to Caa1 (sf) and Remains On Review for
Possible Downgrade; previously on Jan. 14, 2010 Ba2 (sf)
Placed Under Review for Possible Downgrade
-- Cl. I-A-V, Downgraded to Caa1 (sf) and Remains On Review for
Possible Downgrade; previously on Jan. 14, 2010 Baa2 (sf)
Placed Under Review for Possible Downgrade
Ratings Rationale
The collateral backing the transaction consists of Alt-A loans
originated primarily by GMAC Mortgage Corporation, Homecomings
Financial Network, Inc., HSBC Mortgage Corporation.
The downgrades are a result of a $2,621 loss allocated to the
Class I-A-8 following the erosion of credit support due to losses
allocated to the subordinate and mezzanine bonds. Future losses
will be allocated among all seniors classes. The securities
remains on review for possible downgrade as Moody's completes its
review of this transaction. Additional sensitivities of losses
will be a function of future actual and projected losses that
correspond to benchmarks provided in Moody's Approach to Rating
Structured Finance Securities in Default.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
RFSC SERIES: Moody's Downgrades Rating on Two 2002-RM1 Tranches
---------------------------------------------------------------
Moody's Investors Service has downgraded the rating of two
tranches issued by RFSC Series 2002-RM1 Trust.
Issuer: RFSC Series 2002-RM1 Trust
-- Cl. B-I-1, Downgraded to Caa1 (sf) and Remains On Review for
Possible Downgrade; previously on March 3, 2010 Baa2 (sf)
Placed Under Review for Possible Downgrade
-- Cl. B-I-2, Downgraded to C (sf); previously on July 23, 2010
Downgraded to Caa3 (sf) and Remained On Review for Possible
Downgrade
Ratings Rationale
The collateral backing the transaction consists of prime loans
originated by RFC. The downgrades are the result of a $866 loss
allocated to the Class B-I-1 and the write down of the Class B-I-2
($77,205) due to liquidation expenses. The Class B-I-1 remains on
review for possible downgrade as Moody's completes its review of
this transaction. Additional sensitivities of losses will be a
function of future actual and projected losses that correspond to
benchmarks provided in Moody's Approach to Rating Structured
Finance Securities in Default.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
SALOMON BROTHERS: Fitch Takes Rating Actions on 2000-C2 Certs.
--------------------------------------------------------------
Fitch Ratings downgrades, removes from Rating Watch Negative and
assigns Recovery Ratings on these Salomon Brothers Mortgage
Securities VII, Inc., series 2000-C2 commercial mortgage pass-
through certificates:
-- $21.5 million class H to 'CCCsf/RR6' from 'BBB-sf';
-- $13.7 million class J to 'Csf/RR6' from 'Bsf';
Fitch also downgrades and revises recovery ratings on this class:
-- $6.4 million class K to 'Csf/RR6' from 'CCCsf/RR2'.
In addition, Fitch removes from Rating Watch Negative, affirms,
assigns Rating Outlooks and LS ratings to these classes as
indicated:
-- $11.7 million class E at 'AAAsf/LS5'; Outlook Negative;
-- $13.7 million class F 'AAsf/LS5'; Outlook Negative;
-- $9.8 million class G 'A-sf/LS5'; Outlook Negative.
Fitch also affirms these classes and assigns Rating Outlooks and
LS ratings as indicated:
-- $8.7 million class C at 'AAAsf/LS3'; Outlook Stable;
-- $7.8 million class D 'AAAsf/LS3'; Outlook Stable.
Class L remains at 'D/RR6' with $5.6 million outstanding and
classes M and N remain at 'D/RR6' and have been reduced to zero
due to realized losses. Classes A-1, A-2, and B have paid in
full. Fitch does not rate class P.
Fitch withdraws the rating of the interest only class X.
The downgrades are the result of an increase in Fitch expected
losses following Fitch's prospective review of potential stresses
and expected losses associated with specially serviced assets. In
addition, classes H through K continue to incur interest
shortfalls due to special servicing fees, expenses and appraisal
reductions. Although classes E through G have recovered interest
shortfalls, additional shortfalls are possible due to potentially
higher fees and expenses in the future. The Negative Outlooks
reflect the potential for future downgrades if interest shortfalls
are incurred. Fitch expects potential losses of 31.6% of the
remaining pool balance from loans in special servicing and loans
that are not expected to refinance at maturity based on Fitch's
refinance test. The majority of Fitch expected losses are from
loans currently in special servicing with the three largest
specially serviced loans representing approximately 85% of Fitch's
expected losses. Rating Outlooks reflect the likely direction of
any rating changes over the next one or two years.
As of the July 2010 distribution, the pool has paid down 87.4% to
$98.4 million from $782 million at issuance. Of the original 192
loans, 31 remain in the transaction. Two loans (5.5%) are
currently defeased. Fitch has identified 14 Loans of Concern
(82.2%), all of which are in special servicing.
The largest specially serviced loan (26.7%) is an office property
located in New Orleans, LA. The loan transferred to special
servicing in April 2010 when the loan reached the anticipated
repayment date. The loan is current and is pending return to the
master servicer however, occupancy recently dropped with the loss
of one tenant. Additionally, future declines in occupancy may
occur as another large tenant expires in 2011.
The second largest specially serviced asset (14.4%) is a retail
property located in Baltimore, MD. It has been real estate owned
since February 2006. Litigation is ongoing with regards to the
collection of a judgment in the trust's favor. Fitch will
continue to model losses based on the recent appraised value until
more information is known regarding the outcome of the litigation.
Fitch stressed the cash flow of the remaining non-defeased loans
by applying a 5% reduction to 2009 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 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 had a resulting debt service
coverage ratio of 1.25 times or higher were considered to pay off
at maturity. Loans with a resulting DSCR of less than 1.25x were
assumed to default at maturity. Under this scenario, 18 loans did
not pass the refinance test.
SANDELMAN REALTY: Moody's Takes Rating Actions on Various Notes
---------------------------------------------------------------
Moody's has confirmed one and downgraded 11 classes of Notes
issued by Sandelman Realty CRE CDO I due to the deterioration in
the credit quality of the underlying portfolio as evidenced by an
increase in the weighted average rating factor, an increase in
Defaulted Securities, 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.
-- US$212.46M Cl. A-1 Notes, Confirmed at A2 (sf); previously on
Feb. 26, 2010 A2 (sf) Placed Under Review for Possible
Downgrade
-- US$61M Cl. A-2 Notes, Downgraded to Caa2 (sf); previously on
Feb. 26, 2010 Ba3 (sf) Placed Under Review for Possible
Downgrade
-- US$37.25M Cl. B Notes, Downgraded to Ca (sf); previously on
Feb. 26, 2010 B2 (sf) Placed Under Review for Possible
Downgrade
-- US$26M Cl. C Notes, Downgraded to Ca (sf); previously on
Feb. 26, 2010 B3 (sf) Placed Under Review for Possible
Downgrade
-- US$11.37M Cl. D Notes, Downgraded to C (sf); previously on
Feb. 26, 2010 Caa3 (sf) Placed Under Review for Possible
Downgrade
-- US$11.88M Cl. E Notes, Downgraded to C (sf); previously on
Feb. 26, 2010 Caa3 (sf) Placed Under Review for Possible
Downgrade
-- US$13.14M Cl. F Notes, Downgraded to C (sf); previously on
Feb. 26, 2010 Caa3 (sf) Placed Under Review for Possible
Downgrade
-- US$11.90M Cl. G Notes, Downgraded to C (sf); previously on
Feb. 26, 2010 Caa3 (sf) Placed Under Review for Possible
Downgrade
-- US$9.42M Cl. H Notes, Downgraded to C (sf); previously on
Feb. 26, 2010 Caa3 (sf) Placed Under Review for Possible
Downgrade
-- US$18.09M Cl. J Notes, Downgraded to C (sf); previously on
Feb. 26, 2010 Caa3 (sf) Placed Under Review for Possible
Downgrade
-- US$20.47M Cl. K Notes, Downgraded to C (sf); previously on
Feb. 26, 2010 Caa3 (sf) Placed Under Review for Possible
Downgrade
-- US$3.70M Cl. L Notes, Downgraded to C (sf); previously on
Feb. 26, 2010 Ca (sf) Placed Under Review for Possible
Downgrade
Ratings Rationale
Sandelman Realty CRE CDO I is a CRE CDO transaction backed by a
portfolio of commercial mortgage backed securities (40.4%), A-
Notes and whole loans (24.0% of the pool balance), B-Notes
(20.3%), mezzanine loans (14.3%) and real estate bank loans
(1.0%). As of the August 23, 2010 Trustee report, the aggregate
Note balance of the transaction has decreased to $465.4 million
from $507.0 million at issuance, with the paydown directed to the
Class A-1 Notes, as a result of failing the Class A/B/C Par Value
Test.
There are five assets with a par balance of $124.8 million (25.4%
of the current pool balance) that are considered Defaulted
Securities as of the August 23, 2010 Trustee report. Three of
these assets (88.2% of the defaulted balance) are either A-Notes
or whole loans, one asset is CMBS (24.0%) and one assets is a B-
Notes (4.5%). Defaulted Securities that are not CMBS are defined
as assets which are X or more days delinquent in their debt
service payment. There has been no writedown to the Notes to
date. However, the Notes D through L have been accruing deferred
interest.
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 6,333 compared to 3,929 at
last review. The distribution of current ratings and credit
estimates is: Aaa-Aa3 (14.8% compared to 6.8% at last review), A1-
A3 (6.2% compared to 4.2% at last review), (Baa1-Baa3 (0.0%
compared to 3.5% at last review), Ba1-Ba3 (5.1% compared to 7.8%
at last review), B1-B3 (7.4% compared to 3.0% at last review), and
Caa1-C (66.6% compared to 74.1% at last review).
WAL acts to adjust the probability of default of the reference
obligations in the pool for time. Moody's modeled to a WAL of 6.0
years compared to 13.0 years at last review. The transaction is
currently not reinvesting due to a failure of the Class A/B/C Par
Value Test.
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 26.1% compared to 27.4% 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 0.0% at last review.
The high MAC is due to a greater concentration of Defaulted
Securities.
Moody's review incorporated CDOROM(R) v2.6, one of Moody's CDO
rating models, which was released on May 27, 2010.
The cash flow model, CDOEdge(R) v3.2, was used to analyze the cash
flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of key parameters may have have
rating implications on certain classes of rated notes. However,
in many instances, a change in assumptions of any one key
parameter may be offset by a change in one or more of the other
key parameters. Rated notes are particularly sensitive to changes
in recovery rate assumptions. Holding all other key parameters
static, changing the recovery rate assumption down from 26% to 22%
or up to 30% would result in average rating movement on the rated
tranches of 2 to 3 notches downward and 2 to 3 notches upward,
respectively.
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 stressed macroeconomic environment and
continuing weakness in the commercial real estate and lending
markets. Moody's currently views the commercial real estate
market as stressed with further performance declines expected in a
majority of property sectors. The availability of debt capital is
improving with terms returning towards market norms. Job growth
and housing price stability will be necessary precursors to
commercial real estate recovery. 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's largest
economies, returning to trend growth rate with elevated fiscal
deficits and persistent unemployment levels.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
SARGAS CLO: Moody's Upgrades Ratings on Four Classes of Notes
-------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these notes issued by Sargas CLO II, Ltd.:
-- US$10,800,000 Class B Senior Secured Deferrable Floating Rate
Notes Due 2018 (current outstanding balance of $9,256,707),
Upgraded to Aaa (sf); previously on September 2, 2009
Confirmed at Aa2 (sf);
-- US$34,000,000 Class C Secured Deferrable Floating Rate Notes
Due 2018 (current outstanding balance of $29,141,486),
Upgraded to A1 (sf); previously on September 2, 2009 Upgraded
to Baa1 (sf);
-- US$18,800,000 Class D Secured Deferrable Floating Rate Notes
Due 2018 (current outstanding balance of $16,113,528),
Upgraded to Baa2 (sf); previously on September 2, 2009
Upgraded to Ba1 (sf);
-- US$22,400,000 Class E Secured Deferrable Floating Rate Notes
Due 2018 (current outstanding balance of $19,324,650),
Upgraded to B2 (sf); previously on September 2, 2009
Confirmed at B3 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes result
primarily from the substantial delevering of the Class A1 Notes,
which have been paid down by approximately 84% or $98 million
since the last rating action in August 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 August 2009. As of the latest trustee
report dated July 30, 2010, the Class A and General
Overcollateralization Ratios are reported at 197.94% and 108.31%,
respectively, versus July 2009 levels of 148.62% and 106.58%,
respectively. Moody's expects delevering to continue as a result
of the end of the deal's reinvestment period in July 2009.
Despite improvements in the overcollateralization ratios, however,
Moody's notes that the transaction has experienced deterioration
in the credit quality of the underlying portfolio since the rating
action in August 2009. Decline in the credit quality is observed
through deterioration in the average credit rating (as measured by
the weighted average rating factor). In particular, as of the
trustee report dated July 2010, the weighted average rating factor
was 3757 as compared to 3427 in July 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. In its base case, Moody's analyzed the
underlying collateral pool to have a performing par and principal
proceeds of $178.3 million, defaulted par of $16.7 million,
weighted average default probability of 32.35% (implying a WARF of
5620), a weighted average recovery rate upon default of 44.05%,
and a diversity score of 24. These default and recovery
properties of the collateral pool are incorporated in cash flow
model analysis where they are subject to stresses as a function of
the target rating of each CLO liability being reviewed. The
default probability is derived from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The average recovery rate to be realized on
future defaults is based primarily on the seniority of the assets
in the collateral pool. In each case, historical and market
performance trends, and collateral manager latitude for trading
the collateral are also factors.
Sargas CLO II, Ltd., issued in August 16, 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans of middle market issuers.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
Moody's modeled the transaction using the Binomial Expansion
Technique. In addition, due to the low diversity of the
collateral pool, CDOROM 2.6 was used to simulate a default
distribution that was then applied as an input in the cash flow
model.
For securities whose default probabilities are assessed through
credit estimates, Moody's applied additional default probability
stresses by assuming an equivalent of Caa3 for CEs that were not
updated within the last 15 months. 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. For each
CE where the related exposure constitutes more than 3% of the
collateral pool, Moody's applied a 2-notch equivalent assumed
downgrade (but only on the CEs representing in aggregate the
largest 30% of the pool) in lieu of the aforementioned stresses.
Notwithstanding the foregoing, in all cases the lowest assumed
rating equivalent is Caa3.
In addition to the base case analysis described above, Moody's
also performed a number of sensitivity analyses to test the impact
on all rated notes, including these:
1. Various default probabilities to capture potential defaults in
the underlying portfolio.
2. A range of recovery rate assumptions for all assets to capture
variability in recovery rates.
Below is a summary of the impact of different default
probabilities (expressed in terms of WARF levels) on all rated
notes (shown in terms of the number of notches' difference versus
the current model output, where a positive difference corresponds
to lower expected losses), assuming that all other factors are
held equal:
Moody's Adjusted WARF -- 20% (4496)
-- Class A1: 0
-- Class A2: 0
-- Class B: 0
-- Class C: +2
-- Class D: +2
-- Class E: +2
Moody's Adjusted WARF + 20% (6744)
-- Class A1: 0
-- Class A2: 0
-- Class B: 0
-- Class C: -2
-- Class D: -2
-- Class E: -1
Below is a summary of the impact of different recovery rate levels
on all rated notes (shown in terms of the number of notches'
difference versus the current model output, where a positive
difference corresponds to lower expected losses), assuming that
all other factors are held equal:
Moody's Adjusted WARR + 2% (46%)
-- Class A1: 0
-- Class A2: 0
-- Class B: 0
-- Class C: 0
-- Class D: +1
-- Class E: +1
Moody's Adjusted WARR - 2% (42%)
-- Class A1: 0
-- Class A2: 0
-- Class B: 0
-- Class C: -1
-- Class D: 0
-- Class E: 0
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2012 and
2014 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the managers'
investment strategies and behavior, 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities, and 3) potential additional
expected loss associated with swap agreements in CDOs as a result
of recent U.S. bankruptcy court ruling on Lehman swap termination
in the Dante case.
Sources of additional performance uncertainties are described
below:
1) Delevering: The main source of uncertainty in this transaction
is whether delevering from unscheduled principal proceeds will
continue and at what pace. Delevering may accelerate due to
high prepayment levels in the loan market and/or collateral
sales by the manager, which may have significant impact on the
notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to
be defaulted by Moody's may create volatility in the deals'
overcollateralization levels. Further, the timing of
recoveries and the manager's decision to work out versus
selling defaulted assets create additional uncertainties.
Moody's analyzed defaulted recoveries assuming the lower of the
trustee-reported market value and the recovery rate in order to
account for potential volatility in market prices. Based on
the Indenture definition of market value, the collateral
manager is permitted to exercise its reasonable judgment in
determining market value when market bids are not available.
3) Exposure to credit estimates: The deal is exposed to a large
number of securities whose default probabilities are assessed
through credit estimates. In the event that Moody's is not
provided the necessary information to update the credit
estimates in a timely fashion, the transaction may be impacted
by any default probability stresses Moody's may assume in lieu
of updated credit estimates. Moody's also conducted stress
tests to assess the collateral pool's concentration risk in
obligors bearing a credit estimate that constitute more than 3%
of the collateral pool.
SIGNATURE 7: 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 Signature 7 LP:
-- US$168,090,000 Class A Floating Rate Notes MTN Program
(current balance of $51,386,832), Upgraded to A1 (sf);
previously on July 31, 2009 Downgraded to A3 (sf);
-- US$15,085,000 Class B Deferrable Floating Rate Notes MTN
Program, Upgraded to B1 (sf); previously on July 31, 2009
Downgraded to B2 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes result
primarily from the delevering of the Class A Notes, which have
been paid down by approximately 38% or $31.6 million since the
last rating action in July 2009. As a result of the delevering,
the overcollateralization ratios have increased since the last
rating action in July 2009. As of the latest trustee report dated
July 16, 2010, the Class A, the Class B, and the Class C
overcollateralization ratios are reported at 156.54%, 125.97% and
109.72%, respectively, versus July 2009 levels of 142.94%, 120.96%
and 108.21%, respectively.
Moody's also notes that the credit profile of the underlying
portfolio has been relatively stable since the last rating action.
Based on the July 2010 trustee report, the weighted average rating
factor is 1762 compared to 1792 in July 2009, and securities rated
Caa1 and below make up approximately 6.79% of the underlying
portfolio versus 6.43% in July 2009. The deal also experienced a
decrease in defaults. In particular, the dollar amount of
defaulted securities has decreased to about $11.9 million from
approximately $13.9 million in July 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. In its base case, Moody's analyzed the
underlying collateral pool to have a performing par and principal
proceeds of $84.95 million, defaulted par of $11.89 million,
weighted average default probability of 25.50% (implying a WARF of
3641), a weighted average recovery rate upon default of 28.28%,
and a diversity score of 26. These default and recovery
properties of the collateral pool are incorporated in cash flow
model analysis where they are subject to stresses as a function of
the target rating of each CLO liability being reviewed. The
default probability is derived from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The average recovery rate to be realized on
future defaults is based primarily on the seniority of the assets
in the collateral pool. In each case, historical and market
performance trends, and collateral manager latitude for trading
the collateral are also factors.
Signature 7 LP, issued in July 2004, is a collateralized bond
obligation backed primarily by a portfolio of senior unsecured
bonds.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
Moody's modeled the transaction using the Binomial Expansion
Technique.
For securities whose default probabilities are assessed through
credit estimates, 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. For each CE where the related exposure constitutes
more than 3% of the collateral pool, Moody's applied a 2-notch
equivalent assumed downgrade (but only on the CEs representing in
aggregate the largest 30% of the pool) in lieu of the
aforementioned stresses. Notwithstanding the foregoing, in all
cases the lowest assumed rating equivalent is Caa3.
In addition to the base case analysis described above, Moody's
also performed a number of sensitivity analyses to test the impact
on all rated notes, including these:
1. Various default probabilities to capture potential defaults in
the underlying portfolio.
2. A range of recovery rate assumptions for all assets to capture
variability in recovery rates.
This is a summary of the impact of different default probabilities
(expressed in terms of WARF levels) on all rated notes (shown in
terms of the number of notches' difference versus the current
model output, where a positive difference corresponds to lower
expected losses), assuming that all other factors are held equal:
Moody's Adjusted WARF -- 20% (2913)
* Class A: +2
* Class B: +1
* Class C: +2
Moody's Adjusted WARF + 20% (4369)
* Class A: -1
* Class B: -2
* Class C: -1
This is a summary of the impact of different recovery rate levels
on all rated notes (shown in terms of the number of notches'
difference versus the current model output, where a positive
difference corresponds to lower expected losses), assuming that
all other factors are held equal:
Moody's Adjusted WARR + 2% (30.28%)
* Class A: +1
* Class B: 0
* Class C: +1
Moody's Adjusted WARR - 2% (26.28%)
* Class A: 0
* Class B: -1
* Class C: 0
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2012 and
2014 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the managers'
investment strategies and behavior, 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities, and 3) potential additional
expected loss associated with swap agreements in CDOs as a result
of recent U.S. bankruptcy court ruling on Lehman swap termination
in the Dante case.
Sources of additional performance uncertainties are described
below:
1) Delevering: The main source of uncertainty in this transaction
is whether delevering from unscheduled principal proceeds will
continue and at what pace. Delevering may accelerate due to
high prepayment levels in the bond market and/or collateral
sales by the manager, which may have significant impact on the
notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to
be defaulted by Moody's may create volatility in the deals'
overcollateralization levels. Further, the timing of
recoveries and the manager's decision to work out versus
selling defaulted assets create additional uncertainties.
Moody's analyzed defaulted recoveries assuming the lower of the
market price and the recovery rate in order to account for
potential volatility in market prices.
3) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation
risk on those assets. Moody's assumes an asset's terminal
value upon liquidation at maturity to be equal to the lower of
an assumed liquidation value (depending on the extent to which
the asset's maturity lags that of the liabilities) and the
asset's current market value.
4) Exposure to credit estimates: The deal is exposed to a large
number of securities whose default probabilities are assessed
through credit estimates. In the event that Moody's is not
provided the necessary information to update the credit
estimates in a timely fashion, the transaction may be impacted
by any default probability stresses Moody's may assume in lieu
of updated credit estimates. Moody's also conducted stress
tests to assess the collateral pool's concentration risk in
obligors bearing a credit estimate that constitute more than 3%
of the collateral pool.
5) The deal has a pay-fixed receive-floating interest rate swap
that is currently out of the money. If fixed rate assets
prepay or default, there would be a more substantial mismatch
between the swap notional and the amount of fixed assets,
resulting in larger cash payments to the hedge counterparty.
In such cases, payments to hedge counterparties may consume a
large portion or all of the interest proceeds, leaving the
transaction, even with respect to the senior notes, with poor
interest coverage. Payment timing mismatches between assets
and liabilities may cause additional concerns. If the deal
does not receive sufficient projected principal proceeds on the
payment date to supplement the interest proceeds shortfall, a
heightened risk of interest payment default could occur.
Similarly, if principal proceeds are used to pay interest,
there may ultimately be a risk of payment default on the
principal of the notes.
SLM STUDENT: Fitch Affirms Ratings on Senior Student Loans
----------------------------------------------------------
Fitch Ratings affirms the senior student loan notes at 'AAAsf' and
downgrades the subordinate bond to 'BBsf' issued by SLM Student
Loan Trust 2004-3. Stable Rating Outlooks are assigned to all
bonds, and the Rating Watch Negative on the subordinate bond is
removed. Fitch's 'Global Structured Finance Rating Criteria and
FFELP student loan ABS rating criteria, as well as the refined
basis risk criteria outlined in the press release 'Fitch to Begin
Review of U.S. FFELP SLABS Applying Updated Criteria' dated
June 29, 2010, were used to review the ratings.
The ratings on the senior notes are affirmed based on the
sufficient level of credit enhancement (consisting of
subordination and the projected minimum excess spread) to cover
the applicable basis factor stress. The rating on the subordinate
note is downgraded to 'BBsf' due to the trust's very high cost
structure that will put pressure on the trust's ability to
generate excess spread (which is the only form of credit
enhancement for the subordinate note) and absorb even a mild level
of basis risk stress.
Fitch has taken these rating actions:
SLM Student Loan Trust 2004-3:
-- Class A-4 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-5 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-6A affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-6B affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B downgraded to 'BBsf/LS3' from 'AAAsf/LS3'; Outlook
Stable.
STATIC RESIDENTIAL: Moody's Downgrades Rating on Class A-1 Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of one class of notes issued by Static Residential Trust
2005-A, Limited. The notes affected by the rating action are:
-- US$328,250,000 Class A-1 Floating Rate Notes Due July 2040
(current balance of $83,069,746), Downgraded to Ca (sf);
previously on March 26, 2009 Downgraded to Caa3 (sf).
Static Residential Trust 2005-A, Limited is a synthetic
collateralized debt obligation issuance referencing a portfolio of
primarily Residential Mortgage-Backed Securities originated
between 2003 and 2005.
Ratings Rationale
According to Moody's, the rating downgrade action is the result of
deterioration in the credit quality of the reference portfolio.
Such credit deterioration is observed through numerous factors,
including a decline in the average credit rating of the portfolio
(as measured by an increase in the weighted average rating factor)
and an increase in the dollar amount of defaulted securities. The
weighted average rating factor, as reported by the trustee, has
increased from 1900 in March 2009 to 3157 in August 2010.
Additionally, approximately $40 million of RMBS within the
underlying reference portfolio are currently on review for
possible downgrade as a result of Moody's updated loss
projections.
Moody's notes that in arriving at its ratings of ABS CDOs, there
exist a number of sources of uncertainty, operating both on a
macro level and on a transaction-specific level. Among the
general macro uncertainties are those surrounding future housing
prices, pace of residential mortgage foreclosures, loan
modification and refinancing, unemployment rate and interest
rates. However, in light of the performance indicators noted
above, Moody's believes that it is unlikely that the ratings
announced are sensitive to further change.
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 13 for subprime, January 14 for Alt-
A, and January 27 for Option-ARM. Based on the anticipated
ratings impact of the updated cumulative loss numbers, the stress
varied based on vintage, current rating, and RMBS asset type.
For 2005 Alt-A and Option-ARM securities, securities that are
currently rated Aaa (sf) or Aa (sf) were stressed by eleven
notches, and securities currently rated A (sf) or Baa (sf) were
stressed by eight notches. Those securities currently rated in
the Ba (sf) or B (sf) range were stressed to Caa3 (sf), while
current Caa (sf) securities were treated as Ca (sf). For 2006 and
2007 Alt-A and Option-ARM securities, currently Aaa (sf) or Aa
(sf) rated securities were stressed by eight notches, and
securities currently rated A (sf), Baa (sf) or Ba (sf) were
stressed by five notches. Those securities currently rated in the
B range were stressed to Caa3 (sf), while current Caa (sf)
securities were treated as Ca (sf).
For 2005 subprime RMBS, those currently rated Aa (sf), A (sf) or
Baa (sf) were stressed by five notches, Ba (sf) rated securities
were stressed to Caa3 (sf), and B (sf) or Caa (sf) securities were
treated as Ca (sf). For subprime RMBS originated in the first
half of 2006, those currently rated Aaa (sf) were stressed by four
notches, while Aa (sf), A (sf) and Baa (sf) rated securities were
stressed by eight notches. Those securities currently rated in
the Ba (sf) range were stressed to Caa3 (sf), while current B (sf)
and Caa (sf) securities were treated as Ca (sf). For subprime
RMBS originated in the second half of 2006, those currently rated
Aa (sf), A (sf) , Baa (sf) or Ba (sf) were stressed by four
notches, currently B (sf) rated securities were treated as Caa3
(sf), and currently Caa (sf) rated securities were treated as Ca
(sf). For 2007 subprime RMBS, currently Ba (sf) rated securities
were stressed by four notches, currently B (sf) rated securities
were treated as Caa3 (sf), and currently Caa (sf) rated securities
were treated as Ca (sf).
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 (sf) rated securities were stressed by
four notches, Aa (sf) rated securities by six notches, and A (sf)
or Baa (sf) rated securities by nine notches. Pre-2005 Option-ARM
securities currently rated Aaa (sf) were stressed by two notches,
Aa (sf) and A (sf) by six notches, and Baa (sf) by nine notches.
For pre-2005 subprime, Aaa (sf) and Aa (sf) rated securities were
stressed by two notches, A (sf) rated securities were stressed by
six notches, and Baa (sf) 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 (sf) or below,
and are also currently on review for possible downgrade have been
stressed to Ca (sf).
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.
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.
The approach Moody's takes to defining the default distribution
for the SF CDO collateral depends on the structure of the CDO
itself.
Moody's applied the Monte Carlo simulation framework within
CDOROMv2.6 to model the loss distribution for SF CDOs. Within
this framework, defaults are generated so that they occur with the
frequency indicated by the adjusted default probability pool (the
default probability associated with the current rating multiplied
by the Resecuritization Stress) for each credit in the reference.
Specifically, correlated defaults are simulated using a normal (or
"Gaussian") copula model that applies the asset correlation
framework. Recovery rates for defaulted credits are generated by
applying within the simulation the distributional assumptions,
including the correlation between recovery values. Together, the
simulated defaults and recoveries across each of the Monte Carlo
scenarios define the loss distribution for the reference pool.
The capital structure is incorporated into CDOROM by specifying
the attachment point and the thickness of the tranche. The
Expected Loss for each tranche is the weighted average of losses
to each tranche across all the scenarios, where the weight is the
likelihood of the scenario occurring. Moody's defines the loss as
the shortfall in the present value of cash flows to the tranche
relative to the present value of the promised cash flows. The
discount rate used to present value is the current swap rate plus
the promised spread on the tranche based on its remaining
maturity. Solely for the purpose of discounting losses, Moody's
assumes that losses on the tranche occur 60% of the way through
the maturity of the tranche. The final EL of the synthetic SF CDO
tranche is the discounted average of the tranche loss across all
the scenarios simulated in CDOROM. Since the EL is based on a
simulation process, the convergence of the simulation will depend,
in part, on the number of iterations chosen for the simulation.
Moody's applies a 99% confidence interval to the EL result using a
Standard Error equal to the square root of the EL Variance divided
by the number of Monte Carlo simulations. If this confidence
interval adjustment is significant, a larger number of iterations
may be used to reduce the standard error.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
STRUCTURED ASSET: S&P Downgrades Ratings on Two Classes of Notes
----------------------------------------------------------------
Standard & Poor's lowered its ratings on two classes of notes
issued by Structured Asset Receivables Trust Series 2004-1 and
Structured Asset Receivables Trust Series 2005-1. The ratings
remain on CreditWatch with negative implications. S&P lowered its
rating on the START 2004-1 transaction, which has a stated final
maturity of April 21, 2011, to 'BB (sf)'. S&P lowered its rating
on the START 2005-1, which has a stated final maturity of Jan. 21,
2015, to 'BBB+ (sf)'. The ratings remain on CreditWatch with
negative implications. The transactions are collateralized by
insurance settlement payments from various American International
Group Inc. insurers.
S&P initially placed its ratings on the START 2004-1 and START
2005-1 transactions on CreditWatch with negative implications on
Sept. 22, 2008, following the bankruptcy of Lehman Brothers
Holdings Inc. LBHI was the guarantor of Lehman Bros. Special
Finance, the original interest rate swap counterparty in the two
transactions. S&P placed its ratings on both START transactions
on CreditWatch because of its concerns about LBHI's ability to
meet its obligations under the swap documents.
Beginning with the Oct. 21, 2008, payment date, the quarterly
proceeds from the interest rate swaps were placed in escrow
accounts for each transaction pending the outcome of the Lehman
bankruptcy proceedings. As of the most recent trustee report,
dated July 21, 2010, the amount held in escrow for the START 2004-
1 transaction was $1,464,828. The amount held in escrow for the
START 2005-1 transaction was $17,830. Although the amounts being
held in escrow are small relative to the balance of the
outstanding notes, in S&P's view, the ability of each transaction
to make its full principal payment by its stated maturity date is
contingent upon the amount and timing of the distribution of
proceeds from the two escrow accounts.
In November 2009, Goldman Sachs Mitsui Marine Derivative Products
replaced LBSF as the counterparty for the swap in the START 2005-1
transaction. As part of the bankruptcy court order granting
authorization for this change, the funds in the escrow account for
this transaction were mostly distributed. However, a portion
($17,830) remains in escrow. S&P believes that the 2005-1
transaction's longer maturity date, coupled with the new swap
counterparty and the direction from the court, increases the
likelihood that the certificateholders will receive their
principal payments in full by the stated final maturity of the
transaction. These factors contributed to the higher rating for
this transaction compared with START 2004-1.
Standard & Poor's will continue to monitor the transactions and
will take rating actions as S&P view appropriate.
Ratings Lowered
Structured Asset Receivables Trust Series 2004-1
To From
-- ----
Certificates BB (sf)/Watch Neg A+ (sf)/Watch Neg
Structured Asset Receivables Trust Series 2005-1
To From
-- ----
Certificates BBB+ (sf)/Watch Neg A+ (sf)/Watch Neg
WACHOVIA BANK: Fitch Affirms Ratings on 2003-C3 Certificates
------------------------------------------------------------
Fitch Ratings affirms, revises Rating Outlooks and assigns Loss
Severity ratings to these Wachovia Bank Commercial Mortgage Trust,
series 2003-C3 commercial mortgage pass-through certificates as
indicated:
-- $54.6 million class A-1 at 'AAAsf/LS1'; Outlook Stable;
-- $477.8 million class A-2 at 'AAAsf/LS1'; Outlook Stable;
-- $36.3 million class B at 'AAAsf/LS3'; Outlook Stable;
-- $12.8 million class C at 'AAAsf/LS3'; Outlook Stable;
-- $25.7 million class D at 'AAAsf/LS3'; Outlook to Negative
from Stable.
In addition, Fitch downgrades, revises Rating Outlooks and assigns
LS ratings and Recovery Ratings to these classes as indicated:
-- $11.7 million class E to 'AAsf/LS3' from 'AAAsf/LS5'; Outlook
to Negative from Stable;
-- $10.5 million class F to 'Asf/LS3' from 'AAAsf/LS5'; Outlook
Negative;
-- $12.8 million class G to 'BBBsf/LS3' from 'AAsf/LS5'; Outlook
Negative;
-- $12.8 million class H to 'BBsf/LS3' from 'BBBsf/LS5'; Outlook
Negative;
-- $22.2 million class J to 'CCCsf/RR1' from 'BBsf/LS4';
-- $9.3 million class K to 'CCCsf/RR1' from 'B-sf/LS5';
-- $7 million class L to 'CCsf/RR1' from 'B-sf/LS5';
-- $2.3 million class M to 'CCsf/RR3' from 'B-sf/LS5';
-- $7 million class N to 'Csf/RR4' from 'CCCsf';
-- $4.6 million class O to 'Csf/RR6' from 'CCsf'.
Class IO-II has paid in full. Fitch does not rate class P.
Fitch withdraws the rating of the interest only class IO-I.
The downgrades are the result of an increase in Fitch expected
losses following Fitch's prospective review of potential stresses
and expected losses associated with specially serviced assets.
Fitch expects potential losses of 4.5% of the remaining pool
balance from loans in special servicing and loans that are not
expected to refinance at maturity based on Fitch's refinance test.
The majority of Fitch expected losses are from loans currently in
special servicing with the sixth and 35th largest loan
representing approximately 1.6% of Fitch's expected losses.
Rating Outlooks reflect the likely direction of any rating changes
over the next one or two years.
As of the July 2010 distribution, the pool has paid down 22% to
$726 million from $937 million at issuance. Of the original 130
loans, 115 remain in the transaction. Nineteen loans (18.8%) are
currently defeased. Fitch has identified 22 Loans of Concern
(15.5%), including nine loans in special servicing (9.9%), as well
as other loans with deteriorating performance.
The largest specially serviced loan (2.9%) is a multifamily
property located in Tampa, FL. The loan transferred to special
servicing in February 2010 due to delinquency. The borrower is
requesting a loan modification and the special servicer is
pursuing foreclosure.
The second largest specially serviced loan (1.45%) is a
multifamily property located in San Antonio, TX. The loan was
transferred to the special servicer because of deferred
maintenance and poor performance. The loan is current and Fitch
does not expect any potential losses.
Fitch stressed the cash flow of the remaining non-defeased loans
by applying a 10% reduction to 2008 fiscal year end net operating
income and applying an adjusted market cap rate between 7.25% and
10.5% to determine value.
Similar to Fitch's prospective analysis of recent vintage CMBS,
each loan also underwent a refinance test by applying an 8%
interest rate and 30-year amortization schedule based on the
stressed cash flow. Loans that could refinance to a debt service
coverage ratio of 1.25 times or higher were considered to pay off
at maturity. Under this scenario, eighteen loans did not pass the
refinance test.
WASHINGTON MUTUAL: Moody's Downgrades Ratings on 249 Tranches
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 249
tranches and confirmed the ratings on 5 tranches from 17 RMBS
transactions, backed by Alt-A loans, issued by Washington Mutual.
Ratings Rationale
The collateral backing these transactions consists primarily of
first-lien, fixed and adjustable-rate, Alt-A residential mortgage
loans. The actions are a result of the rapidly deteriorating
performance of Alt-A pools in conjunction with macroeconomic
conditions that remain under duress. The actions reflect Moody's
updated loss expectations on Alt-A pools issued from 2005 to 2007.
To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the
different pools and the structural features of the transaction
including priorities of payment distribution among the different
tranches, average life of the tranches, current balances of the
tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
The above mentioned approach "Alt-A RMBS Loss Projection Update:
February 2010" is adjusted slightly when estimating losses on
pools left with a small number of loans. To project losses on
pools with fewer than 100 loans, Moody's first estimates a
"baseline" average rate of new delinquencies for the pool that is
dependent on the vintage of loan origination (10%, 19% and 21% for
the 2005, 2006 and 2007 vintage respectively). This baseline rate
is higher than the average rate of new delinquencies for the
vintage to account for the volatile nature of small pools. Even
if a few loans in a small pool become delinquent, there could be a
large increase in the overall pool delinquency level due to the
concentration risk. Once the baseline rate is set, further
adjustments are made based on 1) the number of loans remaining in
the pool and 2) the level of current delinquencies in the pool.
The fewer the number of loans remaining in the pool, the higher
the volatility and hence the stress applied. Once the loan count
in a pool falls below 75, the rate of delinquency is increased by
1% for every loan less than 75. For example, for a pool with 74
loans from the 2005 vintage, the adjusted rate of new delinquency
would be 10.10%. If current delinquency levels in a small pool is
low, future delinquencies are expected to reflect this trend. To
account for that, the rate calculated above is multiplied by a
factor ranging from 0.2 to 2.0 for current delinquencies ranging
from less than 2.5% to greater than 50% respectively.
Delinquencies for subsequent years and ultimate expected losses
are projected using the approach described in the methodology
publication.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment remains at high
levels, and weakness persists in the housing market. Moody's
notes an increasing potential for a double-dip recession, which
could cause a further 20% decline in home prices (versus its
baseline assumption of roughly 5% further decline). Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in early 2011, accompanied by continued stress in
national employment levels through that timeframe.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or
financial instruments in this transaction and the due diligence
reports had a neutral impact on the rating.
Complete rating actions are:
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT 2007-4
-- Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 B2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Confirmed at Caa2 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-5, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-6, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-7, Downgraded to Caa2 (sf); previously on Feb. 11,
2009 Downgraded to B2 (sf)
-- Cl. 1-A-8, Downgraded to Caa2 (sf); previously on Feb. 11,
2009 Downgraded to B2 (sf)
-- Cl. 1-A-9, Downgraded to Caa2 (sf); previously on Feb. 11,
2009 Downgraded to B2 (sf)
-- Cl. 1-A-10, Downgraded to Caa2 (sf); previously on Feb. 11,
2009 Downgraded to B2 (sf)
-- Cl. 1-A-11, Downgraded to Caa2 (sf); previously on Feb. 11,
2009 Downgraded to B2 (sf)
-- Cl. 1-A-12, Downgraded to Caa2 (sf); previously on Feb. 11,
2009 Downgraded to B2 (sf)
-- Cl. 2-A-3, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Confirmed at Caa1 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. C-X, Downgraded to Caa2 (sf); previously on Jan. 14, 2010
B2 (sf) Placed Under Review for Possible Downgrade
-- Cl. C-P, Confirmed at Caa2 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series
2006-1 Trust
-- Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. C-X, Downgraded to Caa2 (sf); previously on Jan. 14, 2010
B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. C-P, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-CB-1, Downgraded to Ca (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-CB-2, Downgraded to Ca (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-CB-3, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-5, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-6, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-7, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-8, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-9, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-10, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-CB, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-CB-1, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-CB-2, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-CB-3, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-CB-4, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-CB-5, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-CB-6, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series
2006-2 Trust
-- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-5, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-6, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-7, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-8, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-9, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-10, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-11, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-12, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. C-X, Downgraded to Caa2 (sf); previously on Jan. 14, 2010
B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. C-P, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-CB, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-CB, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-CB, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series
2006-4 Trust
-- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-P, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. C-X, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-2A, Downgraded to B1 (sf); previously on Jan. 14,
2010 Ba3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-2B, Downgraded to B1 (sf); previously on Jan. 14,
2010 Ba3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-5, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-6, Downgraded to Ca (sf); previously on Jan. 14, 2010
B1 (sf) Placed Under Review for Possible Downgrade
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series
2006-5 Trust
-- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-5, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-6, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-7, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-8, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-9, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-10, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-11, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-12, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-13, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-14, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. C-X, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. C-P, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-CB-1, Downgraded to Ca (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-CB-2, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-CB-3, Downgraded to Ca (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-CB-4, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-CB-5, Downgraded to Ca (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-CB-6, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-CB-7, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-CB-8, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-CB-9, Downgraded to Ca (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-CB-P, Downgraded to Ca (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-4A, Downgraded to Ca (sf); previously on Jan. 14,
2010 Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-4B, Downgraded to Ca (sf); previously on Jan. 14,
2010 Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-5, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-6, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-7, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series
2006-6 Trust
-- Cl. 1-CB-1, Downgraded to Ca (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-CB-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. C-X, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-CB-1, Downgraded to Ca (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-CB-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A, Confirmed at B3 (sf); previously on Jan. 14, 2010 B3
(sf) Placed Under Review for Possible Downgrade
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series
2006-7
-- Cl. A-1A, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 B2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-1B, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 B2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2A, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2C, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Ca (sf); previously on Jan. 14, 2010
B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series
2006-8
-- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Confirmed at Baa3 (sf); previously on Jan. 14, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3A, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3B, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3C, Downgraded to C (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series
2006-9 Trust
-- Cl. A-2, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
B1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
B2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Ba2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to C (sf); previously on Jan. 14, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series
2006-AR10 Trust
-- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2A, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3A, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3B, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series
2007-1 Trust
-- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-5, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-6, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-7, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-8, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-9, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-10, Downgraded to Caa3 (sf); previously on Feb. 11,
2009 Downgraded to Caa1 (sf)
-- Cl. 1-A-11, Downgraded to Caa3 (sf); previously on Feb. 11,
2009 Downgraded to Caa1 (sf)
-- Cl. 1-A-12, Downgraded to Caa3 (sf); previously on Feb. 11,
2009 Downgraded to Caa1 (sf)
-- Cl. 2-A-1, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Caa2 (sf); previously on Feb. 11,
2009 Downgraded to Caa1 (sf)
-- Cl. 2-A-4, Downgraded to Caa2 (sf); previously on Feb. 11,
2009 Downgraded to Caa1 (sf)
-- Cl. 2-A-5, Downgraded to Caa2 (sf); previously on Feb. 11,
2009 Downgraded to Caa1 (sf)
-- Cl. C-X, Downgraded to Caa2 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. C-P, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series
2007-2 Trust
-- Cl. 1-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-5, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-6, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-7, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-8, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-9, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-10, Downgraded to Ca (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-11, Downgraded to Ca (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-12, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-13, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-14, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-15, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-5, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. C-X, Downgraded to Caa2 (sf); previously on Jan. 14, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. C-P, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series
2007-3 Trust
-- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to C (sf); previously on Jan. 14, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-9, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-10, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. A-11, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-12, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. A-13, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-14, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-15, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-16, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-17, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-18, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-19, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-20, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-21, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-22, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-23, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. P, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series
2007-HY1 Trust
-- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2A, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3A, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3B, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Washington Mutual Mortgage Pass-Through Certificates,
WMALT Series 2007-5 Trust
-- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to C (sf); previously on Jan. 14, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to C (sf); previously on Jan. 14, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-9, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-10, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-11, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-12, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. A-13, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-14, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. A-15, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-16, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-17, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-18, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. A-19, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-20, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-21, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-22, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-23, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. A-24, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-25, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-26, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. X, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Washington Mutual Mortgage Pass-Through Certificates,
WMALT Series 2007-OC1
-- Cl. A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to C (sf); previously on Jan. 14, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
Issuer: Washington Mutual Mortgage Pass-Through Certificates,
WMALT Series 2007-OC2
-- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to C (sf); previously on Jan. 14, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to C (sf); previously on Jan. 14, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
WELLS FARGO: Moody's Downgrades Ratings on 30 Tranches
------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 30
tranches from 3 RMBS transactions, backed by Alt-A loans, issued
by Wells Fargo.
Ratings Rationale
The collateral backing these transactions consists primarily of
first-lien, fixed and/or adjustable-rate, Alt-A residential
mortgage loans. The actions are a result of the rapidly
deteriorating performance of Alt-A pools in conjunction with
macroeconomic conditions that remain under duress. The actions
reflect Moody's updated loss expectations on Alt-A pools issued
from 2005 to 2007.
To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the
different pools and the structural features of the transaction
including priorities of payment distribution among the different
tranches, average life of the tranches, current balances of the
tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
The above mentioned approach "Alt-A RMBS Loss Projection Update:
February 2010" is adjusted slightly when estimating losses on
pools left with a small number of loans. To project losses on
pools with fewer than 100 loans, Moody's first estimates a
"baseline" average rate of new delinquencies for the pool that is
dependent on the vintage of loan origination (10%, 19% and 21% for
the 2005, 2006 and 2007 vintage respectively). This baseline rate
is higher than the average rate of new delinquencies for the
vintage to account for the volatile nature of small pools. Even
if a few loans in a small pool become delinquent, there could be a
large increase in the overall pool delinquency level due to the
concentration risk. Once the baseline rate is set, further
adjustments are made based on 1) the number of loans remaining in
the pool and 2) the level of current delinquencies in the pool.
The fewer the number of loans remaining in the pool, the higher
the volatility and hence the stress applied. Once the loan count
in a pool falls below 75, the rate of delinquency is increased by
1% for every loan less than 75. For example, for a pool with 74
loans from the 2005 vintage, the adjusted rate of new delinquency
would be 10.10%. If current delinquency levels in a small pool is
low, future delinquencies are expected to reflect this trend. To
account for that, the rate calculated above is multiplied by a
factor ranging from 0.2 to 2.0 for current delinquencies ranging
from less than 2.5% to greater than 50% respectively.
Delinquencies for subsequent years and ultimate expected losses
are projected using the approach described in the methodology
publication.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment remains at high
levels, and weakness persists in the housing market. Moody's
notes an increasing potential for a double-dip recession, which
could cause a further 20% decline in home prices (versus its
baseline assumption of roughly 5% further decline). Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in early 2011, accompanied by continued stress in
national employment levels through that timeframe.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or
financial instruments in this transaction and the due diligence
reports had a neutral impact on the rating.
Complete rating actions are:
Issuer: Wells Fargo Alternative Loan 2005-1 Trust
-- Cl. I-A-1, Downgraded to B2 (sf); previously on Jan. 14, 2010
Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-2, Downgraded to B2 (sf); previously on Jan. 14, 2010
Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-3, Downgraded to B2 (sf); previously on Jan. 14, 2010
Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-WIO, Downgraded to B2 (sf); previously on Jan. 14, 2010
Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-PO, Downgraded to Caa1 (sf); previously on Jan. 14,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-1, Downgraded to B2 (sf); previously on Jan. 14,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-2, Downgraded to Ca (sf); previously on Jan. 14,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-3, Downgraded to B2 (sf); previously on Jan. 14,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-4, Downgraded to Caa1 (sf); previously on Jan. 14,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. III-A-1, Downgraded to B2 (sf); previously on Jan. 14,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. III-A-2, Downgraded to B3 (sf); previously on Jan. 14,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Alternative Loan 2005-2 Trust
-- Cl. A-4, Downgraded to Baa2 (sf); previously on Jan. 14, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to B2 (sf); previously on Jan. 14, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ca (sf); previously on Jan. 14, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
Issuer: Wells Fargo Alternative Loan 2007-PA01 Trust
-- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Caa2 (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-9, Downgraded to Caa3 (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-10, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-11, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. A-12, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-13, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-WIO, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-PO, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
ZOO HF: S&P Downgrades Ratings on Three Classes of Notes
--------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class C, D, and E notes issued by Zoo HF 3 PLC and removed them
from CreditWatch negative. At the same time, S&P affirmed its
ratings on the class A and B notes from Zoo HF 3 PLC and removed
the class B note rating from CreditWatch with negative
implications.
Zoo HF 3 PLC is a collateralized fund obligation transaction
backed by diversified pools of hedge funds. This investment
vehicle type is often referred to as a "fund of funds."
Since the transaction is in its liquidation phase, it uses the
amounts it receives from the redemption of its underlying hedge
fund investments to pay down the liabilities in a sequential
manner after it pays the expenses and other payments, as specified
in the transaction's payment structure. As a result, the
outstanding balance of the class A notes continues to decline.
This has improved the overcollateralization ratios for the class A
and B notes, leading to affirmations of their current ratings.
The downgrades of the junior notes reflect the erosion in the
credit protection available for those notes at their previous
rating levels. The performance of the underlying hedge fund
investments over the last few months, combined with the
capitalization of interest to the subordinate classes, contributed
to the decline in the credit protection.
S&P believes the extent to which the rated classes of notes
receive full principal and accrued but unpaid interest will depend
on the amount of cash proceeds they ultimately receive from the
redemption process. However, if the timing of the redemption
process differs materially from S&P's current assumptions, the
amount of cash flow available to repay the rated liabilities may
also differ from its assumptions, which could negatively affect
its ratings on the liabilities. S&P will continue to monitor its
rated CFO transactions and take rating actions as S&P determines
appropriate.
Ratings Lowered And Removed From Creditwatch Negative
Rating
------
Class To From Orig. par amount (mil. Eur)
----- -- ---- ---------------------------
C BB+ (sf) BBB+/Watch Neg (sf) 6.50
D CC (sf) CCC/Watch Neg (sf) 12.50
E CC (sf) CCC-/Watch Neg (sf) 5.50
Rating Affirmed And Removed From Creditwatch Negative
Zoo HF 3 PLC
Rating
------
Class To From Orig. par amount (mil. Eur)
----- -- ---- ---------------------------
B AA (sf) AA/Watch Neg (sf) 8.00
Rating Affirmed
Zoo HF 3 PLC
Class Rating Current par amount (mil. Eur)
----- ------ -----------------------------
A AA (sf) 23.888
* Fitch Affirms 'BB+' Rating on New York City Industrial's Debt
---------------------------------------------------------------
Fitch Ratings affirms its 'BB+' rating on the outstanding debt
listed below, issued by the New York City Industrial Development
Agency on behalf of Staten Island University Hospital (NY):
-- $16.2 million New York City Industrial Development Agency
(NY) (Staten Island University Hospital) revenue bonds series
2002C;
-- $30.3 million New York City Industrial Development Agency
(NY) (Staten Island University Hospital) revenue bonds series
2001A and 2001B.
The Rating Outlook is revised to Positive from Stable.
Rating Rationale:
-- Staten Island University Hospital has the leading market
share of 55.4% in its primary service area of the New York
City borough of Staten Island and parts of southern Brooklyn,
nearly twice that of its competitor.
-- Owing to strong volumes, operations continue to show
improvement. Operating margin and operating EBITDA margin
were 2.7% and 7.3% for 2009 (Dec. 31 fiscal year end) and are
reported at 5.9% and 10.4% for the six-month period ended
June 30, 2010, respectively. The interim period metrics
exceed the 'BBB' rating category medians of 1.9% and 8.7%,
also respectively.
-- Liquidity has shown slow but steady improvement. Days cash
on hand was at 73.7 days at the end of the interim period, up
from 64.8 days at Dec. 31, 2009, and cushion ratio, at 4.0
times at June 30, 2010, was double that of a low 2.0x five
years ago. However, these metrics still fall below the 'BBB'
rating category medians of 122.2 DCOH and 8.5x, respectively.
Liquidity improvement is constrained over the near term due
to the scheduled payout of settlement agreements.
-- SIUH debt load is already fairly high with maximum annual
debt service representing 4.9% of revenues and light EBITDA
MADS coverage of 1.5x in fiscal 2009 (4.6% and 2.3x,
respectively based on the 2010 interim period) and precludes
an upgrade at this time given the potential additional
borrowing needed to address renovations at both campuses,
currently in the planning stage.
-- All investigations have been settled and SIUH payments
resulting from the settlements will be reduced to
approximately $7.5 million annually from the current
$10 million starting with fiscal 2012 and are included in
MADS calculations.
-- SIUH is now fully integrated into the North Shore Long Island
Jewish Health System, as evidenced by NSLIJHS's guarantee of
a $60 million loan which funded a portion of the legal
settlements.
What Would Trigger An Upgrade?
-- Continuing to generate profitable operations resulting in
further improvement of balance sheet ratios to levels in line
with the investment grade rating category.
-- Given an already fairly high debt load, the ability to absorb
the additional debt to fund needed renovations without
materially impacting the debt metrics.
Security:
Gross receipts pledge and mortgage pledge.
Credit Summary:
The rating affirmation of 'BB+' and a revision of the Outlook to
Positive from Stable acknowledges SIUH's continued steady
improvement in operating performance and liquidity, its solid
market position and the benefits derived from the affiliation with
the large NSLIJHS (general revenue bonds rated 'A-', Negative
Outlook by Fitch). An upgrade to the investment grade rating
category is contingent on continued strong operating performance
in line with the interim results, resulting in further growth of
liquidity, as well as more clarity regarding the size and
structure of the potential additional borrowing tentatively
planned in the next 18-24 months.
The various regulatory investigations that had beset the hospital
have now all been settled, enabling management to focus on
operational and strategic issues. The strength of the affiliation
with NSLIJHS (SIUH is not part of the NSLIJHS Obligated Group) is
best exemplified by NSLIJHS's providing a $60 million guarantee
for a portion of the SIUH's final settlement with the Office of
Inspector General in 2008. Fitch continues to view SIUH's
affiliation with NSLIJHS as a credit strength, providing SIUH with
managed care leverage, group purchasing opportunities, and
strategic support. Fitch upgraded SIUH in July of 2009 to 'BB+'
from 'B+', citing the positive operating results, improvement in
liquidity and the expectation of stability resulting from the
settlement of all outstanding investigations and the current
Positive Outlook reflects the continuation of these trends.
SIUH finished 2009 with a 2.7% operating margin ($18.8 million in
operating income), and a 7.3% operating EBITDA margin, both an
improvement over the 1.7% and 6.5% operating margin and operating
EBITDA margin in the prior year. For the six-month interim period
ended June 30 2010, driven by solid utilizations volumes and
higher case mix, operations continue to be strong, with operating
income of $22.3 million, equal to a 5.9% operating margin and
operating EBITDA margin of 10.4%, both within the investment
rating category median range, and already exceeding the operating
income budget of $18 million for fiscal 2010. SIUH's cash and
unrestricted investments have doubled since the end of fiscal
2006. Cash and investments at June 30, 2010, of $137 million
(reduced to reflect a $9.4 million short-term borrowing) translate
to 73.7 DCOH, 4.0x cushion ratio and 98.2% cash to debt, all
significant improvements over the fiscal 2006 low of 45.3 DCOH,
2.0x cushion ratio and 64.7% cash to debt. SIUH's investment
allocation is extremely conservative with over 60% invested in
cash and cash equivalents, and SIUH has no exposure to equities or
alternative investments.
SIUH utilization growth has been robust, with discharges
increasing by 4.1% in fiscal 2009, 4.6% ahead of the prior year
for the interim period. A new expanded Emergency Department (ED)
was completed last year at the north campus, and an additional 16
beds will be added by the end of this calendar year, enabling SIUH
to accommodate higher volumes in the ED, translating to a higher
level of admissions. With the new facility, ED visits increased
by 10% last year and an additional 2.3% year to date. SIUH
continues to maintain its leading market share of 55.4% in its
primary service area consisting of Staten Island and portions of
south Brooklyn. SIUH's share is approximately twice that of its
nearest acute care competitor, Richmond University Medical Center,
the only other acute care hospital on Staten Island.
Fitch's major concern is SIUH's potential debt issuance in the
near term. The organization is in the process of preparing a
comprehensive facility assessment, which will address capital
needs at both campuses. The project is expected to include
renovations and the outfitting of a shelled-in floor at the north
campus. The additional capacity is much needed at the facility,
which is operating at high occupancy. The project would enable
SIUH to operationalize 30 additional beds for which it retained
license after the closure of Doctor's Hospital. Some renovation
work would also be expected at the south campus. The current
estimate of the project cost is between $60 million-$70 million,
with a Certificate of Need application to be filed in the spring
of 2011. SIUH's debt service payments will be reduced by
approximately $7 million next year on the series 1998 debt,
creating some debt capacity for the proposed additional debt.
However, in the absence of SIUH becoming a part of the NSLIJHS
Obligated Group, a debt structure that would materially increase
MADS would be viewed as a credit negative.
The Positive Outlook is based on the expectation that continued
strong operating performance will result in further improvements
in SIUH's liquidity and coverage, providing SIUH with additional
financial flexibility, and bringing SIUH's balance sheet metrics
in line with the investment grade rating category medians.
SIUH is a 672-staffed bed hospital with two campuses located in
Staten Island, NY. SIUH had total operating revenue of
$700.8 million in fiscal 2009. SIUH covenants to provide
quarterly disclosure to Fitch and bondholders. Disclosure to
Fitch includes quarterly statements including a balance sheet,
income statement, and utilization statistics, and annual audited
financials.
* Fitch Downgrades Ratings on 320 Bonds From 217 RMBS Deals
-----------------------------------------------------------
Fitch Ratings has downgraded 320 bonds in 217 U.S. RMBS
transactions to 'Dsf'. The downgrades indicate that the bonds in
question have incurred a principal write-down. The bonds that
Fitch are downgrading to 'Dsf' were all previously rated either
'CCsf' or 'Csf', indicating an expected default. The action is
limited to just the bonds with write-downs. The remaining bonds
in these transactions have not been analyzed as part of this
review.
Of the 217 transactions impacted by these downgrades, 82 are
Prime, 75 Alt-A and 46 are Subprime. The remaining 14
transactions are other product types. Approximately 98% were
previously rated 'Csf', while 71% have an outstanding Recovery
Rating of 'RR6'. The 'RR6' Recovery Rating indicates that minimal
recovery is expected. Some 21% of the bonds have Recovery Ratings
of either 'RR2' or 'RR3', which indicates anywhere from 50-90% of
the outstanding balance is expected to be recovered.
The downgrades are part of Fitch's ongoing surveillance process.
Fitch will continue to monitor these transactions for additional
defaults.
The spreadsheet also details Fitch's assignment of Recovery
Ratings to the transactions. The Recovery Rating scale is based
upon the expected relative recovery characteristics of an
obligation. For structured finance, Recovery Ratings are designed
to estimate recoveries on a forward-looking basis while taking
into account the time value of money.
* S&P Affirms Ratings on 87 Classes From Five Re-Remic Deals
------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on 87
classes of certificates from five re-securitized real estate
mortgage investment conduit residential mortgage-backed securities
transactions.
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. In addition, certain re-REMIC classes may also benefit
from support classes within the re-REMIC transaction.
When performing its analysis on the re-REMIC classes, S&P applied
its loss projections to the underlying 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 related collateral supporting the underlying
trusts. S&P then stressed these loss projections at various
rating categories to assess whether the re-REMIC classes could
withstand such stressed losses associated with their current
ratings.
Generally, the underlying collateral for the re-REMIC transactions
consists of pre-2005 through 2007 vintage prime, subprime, and
Alternative-A (Alt-A) loans that back the applicable classes that
contribute to the re-REMICs. In S&P's view, the performance of
these vintages has declined substantially in recent years. As a
result, over the past several years S&P has revised S&P's RMBS
default and loss assumptions, and consequently its projected
losses, to reflect S&P's view of the continuing decline in
mortgage loan performance. The performance deterioration of most
U.S. RMBS has continued to outpace the market's expectation.
Ratings Affirmed
Asset Repackaging Vehicle Ltd.
Series 2009-22
Class CUSIP Rating
----- ----- ------
A2 AA (sf)
A1 AAA (sf)
A7 BB- (sf)
A6 BB (sf)
A4 BBB (sf)
B B (sf)
A5 BB+ (sf)
A3 A (sf)
Asset Repackaging Vehicle Ltd.
Series 2009-21
Class CUSIP Rating
----- ----- ------
A4 BBB (sf)
A2 AA (sf)
A3 A (sf)
A1 AAA (sf)
A7 BB- (sf)
B B (sf)
A6 BB (sf)
A5 BB+ (sf)
CSMC Series 2009-14R
Series 2009-14R
Class CUSIP Rating
----- ----- ------
4-A-6 12639GCZ9 AAA (sf)
2-A-23 12639GJW9 AAA (sf)
4-A-14 12639GDH8 AAA (sf)
4-A-9 12639GDC9 BBB (sf)
4-A-5 12639GCY2 AAA (sf)
4-A-2 12639GCV8 B (sf)
2-A-22 12639GJV1 AAA (sf)
2-A-20 12639GJT6 BBB (sf)
2-A-5X 12639GBT4 AAA (sf)
2-A-8 12639GBC1 BBB (sf)
4-A-7 12639GDA3 AAA (sf)
2-A-25 12639GJY5 AAA (sf)
2-A-14 12639GBJ6 A (sf)
2-A-6 12639GBA5 AAA (sf)
2-A-6X 12639GBU1 AAA (sf)
4-A-1 12639GCU0 AAA (sf)
2-A-3X 12639GBR8 AAA (sf)
2-A-1 12639GAV0 BBB (sf)
4-A-16 12639GDK1 B (sf)
2-A-12 12639GBG2 AAA (sf)
2-A-13 12639GBH0 AAA (sf)
2-A-AX 12639GBX5 AAA (sf)
4-A-11 12639GDE5 AAA (sf)
4-A-15 12639GDJ4 B (sf)
4-A-12 12639GDF2 AAA (sf)
2-A-11 12639GBF4 AAA (sf)
4-A-13 12639GDG0 AAA (sf)
4-A-10 12639GDD7 B (sf)
4-A-8 12639GDB1 AAA (sf)
2-A-24 12639GJX7 AAA (sf)
2-A-BX 12639GBY3 AAA (sf)
4-A-19 12639GDN5 B (sf)
4-A-3 12639GCW6 AAA (sf)
4-A-17 12639GDL9 B (sf)
2-A-4 12639GAY4 AAA (sf)
2-A-4X 12639GBS6 AAA (sf)
2-A-21 12639GJU3 A (sf)
2-A-7 12639GBB3 A (sf)
2-A-5 12639GAZ1 AAA (sf)
2-A-3 12639GAX6 AAA (sf)
4-A-4 12639GCX4 AAA (sf)
2-A-CX 12639GBZ0 AAA (sf)
4-A-18 12639GDM7 B (sf)
Jefferies Resecuritization Trust 2009-R10
Series 2009-R10
Class CUSIP Rating
----- ----- ------
1-A7 47233EAG4 BBB (sf)
1-A8 47233EAH2 BB (sf)
1-A3 47233EAC3 AAA (sf)
1-A2 47233EAB5 AAA (sf)
2-A8 47233EAR0 BB (sf)
2-A4 47233EAM1 AAA (sf)
2-A7 47233EAQ2 BBB (sf)
2-A3 47233EAL3 AAA (sf)
2-A6 47233EAP4 A (sf)
1-A6 47233EAF6 A (sf)
2-A5 47233EAN9 AA (sf)
1-A4 47233EAD1 AAA (sf)
1-A5 47233EAE9 AA (sf)
2-A9 47233EAU3 B (sf)
1-A9 47233EAS8 B (sf)
Picard Funding 2 Ltd.
Series 2
Class CUSIP Rating
----- ----- ------
B AA (sf)
G BBB+ (sf)
H BBB (sf)
M B (sf)
A AAA (sf)
L BB- (sf)
I BBB- (sf)
D A+ (sf)
F A- (sf)
E A (sf)
K BB (sf)
J BB+ (sf)
C AA- (sf)
* S&P Downgrades Ratings on 10 Tranches From Six CDO Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 10
tranches from six U.S. cash flow and hybrid collateralized debt
obligation transactions and removed them from CreditWatch with
negative implications. S&P also affirmed its ratings on 31 other
tranches from eight transactions and removed two of them from
CreditWatch negative.
The CDO downgrades reflect a number of factors, including credit
deterioration and S&P's negative rating actions on underlying U.S.
subprime residential mortgage-backed securities.
The 10 downgraded U.S. cash flow and hybrid tranches have a total
issuance amount of $2.437 billion. Five of the six affected
transactions are mezzanine structured finance CDOs of asset-backed
securities, which are collateralized in large part by mezzanine
tranches of RMBS and other SF securities. The other transaction
is a high-grade SF CDO of ABS that was primarily collateralized at
origination by 'AAA' though 'A' rated tranches of RMBS and other
SF securities.
The affirmations reflect current credit support levels that S&P
believes are sufficient to maintain the current ratings.
Standard & Poor's will continue to monitor the CDO transactions it
rates and take rating actions, including CreditWatch placements,
when appropriate.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
ABS Capital Funding II A-2 CCC+ (sf) BB+ (sf)/Watch Neg
Acacia CDO 8 A-1 CC (sf) BB+ (sf)/Watch Neg
Acacia CDO 8 A-2 CC (sf) B+ (sf)/Watch Neg
Acacia CDO 8 B CC (sf) B- (sf)/Watch Neg
Acacia CDO 8 C CC (sf) CCC+ (sf)/Watch Neg
Acacia CDO 8 D CC (sf) CCC- (sf)/Watch Neg
Ayresome CDO I A-1a CCC (sf) B- (sf)/Watch Neg
BFC Ajax CDO A CC (sf) CCC- (sf)/Watch Neg
Millerton ABS CDO A-1 CCC+ (sf) B- (sf)/Watch Neg
STAtic ResidenTial CDO A-1 CCC+ (sf) B (sf)/Watch Neg
2005-A
Lakeside CDO II A-1 BB+ (sf) BB+ (sf)/Watch Neg
Northlake CDO I I-MM B- (sf) B-/ (sf)/Watch Neg
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
ABS Capital Funding II A-1 CC (sf)
ABS Capital Funding II A-3 CC (sf)
ABS Capital Funding II B CC (sf)
ABS Capital Funding II C-1 CC (sf)
ABS Capital Funding II C-2 CC (sf)
Acacia CDO 8 E CC (sf)
Ayresome CDO I A-1b CC (sf)
Ayresome CDO I A-2 CC (sf)
Ayresome CDO I A-3 CC (sf)
Ayresome CDO I C CC (sf)
Ayresome CDO I Combo Secs CC (sf)
Ayresome CDO I D CC (sf)
BFC Ajax CDO B CC (sf)
BFC Ajax CDO C CC (sf)
BFC Ajax CDO D CC (sf)
BFC Ajax CDO E CC (sf)
BFC Ajax CDO X CC (sf)
Lakeside CDO II B CC (sf)
Lakeside CDO II C CC (sf)
Millerton ABS CDO A-2 CC (sf)
Millerton ABS CDO B CC (sf)
Millerton ABS CDO C CC (sf)
Northlake CDO I I-A CC (sf)
Northlake CDO I II CC (sf)
Northlake CDO I III CC (sf)
STAtic ResidenTial CDO 2005-A A-2 CC (sf)
STAtic ResidenTial CDO 2005-A B CC (sf)
STAtic ResidenTial CDO 2005-A C CC (sf)
STAtic ResidenTial CDO 2005-A D CC (sf)
Other Rating Outstanding
Transaction Class Rating
----------- ----- ------
Ayresome CDO I B D (sf)
* S&P Downgrades Ratings on 15 Tranches From Nine CDO Transactions
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 15
tranches from nine U.S. cash flow and hybrid collateralized debt
obligation transactions and removed them from CreditWatch with
negative implications. S&P also affirmed its ratings on 48 other
tranches from 11 transactions and removed three of them from
CreditWatch negative.
The CDO downgrades reflect a number of factors, including credit
deterioration and S&P's negative rating actions on underlying U.S.
subprime residential mortgage-backed securities.
The 15 downgraded U.S. cash flow and hybrid tranches have a total
issuance amount of $5.641 billion. Five of the nine affected
transactions are mezzanine structured finance CDOs of asset-backed
securities, which are collateralized in large part by mezzanine
tranches of RMBS and other SF securities. The remaining four are
high-grade SF CDOs of ABS that were primarily collateralized at
origination by 'AAA (sf)' though 'A (sf)' rated tranches of RMBS
and other SF securities.
The affirmations reflect current credit support levels that S&P
believes are sufficient to maintain the current ratings.
Standard & Poor's will continue to monitor the CDO transactions it
rates and take rating actions, including CreditWatch placements,
when appropriate.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
Cascade Funding CDO I A-1 CCC- (sf) B (sf)/Watch Neg
Duke Funding HighGrade I A1 LTa CC (sf) B (sf)/Watch Neg
Duke Funding HighGrade I A1LTb1 CC (sf) B (sf)/Watch Neg
Duke Funding HighGrade I A1LTb2 CC (sf) B (sf)/Watch Neg
Galleria V Ltd A-1 CCC- (sf) B+ (sf)/Watch Neg
Galleria V Ltd A-2 CCC- (sf) B+ (sf)/Watch Neg
Galleria V Ltd B CC (sf) CCC (sf)/Watch Neg
Independence IV CDO, Ltd A1Ser1 CC (sf) CCC (sf)/Watch Neg
Independence IV CDO, Ltd A1Ser2 CC (sf) CCC (sf)/Watch Neg
Kleros Preferred Funding A-1 CCC (sf) B (sf)/Watch Neg
Kleros Preferred Funding A-2 CC (sf) CCC- (sf)/Watch Neg
Orchid SF CDO II A-1 CCC- (sf) CCC+ (sf)/Watch Neg
Pacific Coast CDO Ltd. A CCC+ (sf) B+ (sf)/Watch Neg
Reservoir Funding Ltd A1-NV CCC (sf) CCC (sf)/Watch Neg
Reservoir Funding Ltd A1-V CCC (sf) CCC (sf)/Watch Neg
Saybrook Point CBO II A CC (sf) CCC- (sf)/Watch Neg
Streeterville ABS CDO A-1 CCC- (sf) CCC (sf)/Watch Neg
Whately CDO I, Ltd A-1A CCC (sf) CCC (sf)/Watch Neg
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
Duke Funding High Grade I A-2 CC (sf)
Duke Funding High Grade I B CC (sf)
Duke Funding High Grade I C-1 CC (sf)
Duke Funding High Grade I C-2 CC (sf)
Duke Funding High Grade I D CC (sf)
Galleria V Ltd C-1 CC (sf)
Galleria V Ltd C-2 CC (sf)
Galleria V Ltd PrfShr CC (sf)
Independence IV CDO, Ltd. A-2 CC (sf)
Independence IV CDO, Ltd. A-3 CC (sf)
Independence IV CDO, Ltd. B CC (sf)
Independence IV CDO, Ltd. C CC (sf)
Kleros Preferred Funding B CC (sf)
Kleros Preferred Funding C CC (sf)
Kleros Preferred Funding D CC (sf)
Orchid SF CDO II A-2 CC (sf)
Orchid SF CDO II A-3 CC (sf)
Orchid SF CDO II B CC (sf)
Pacific Coast CDO Ltd. B CC (sf)
Pacific Coast CDO Ltd. C-1 CC (sf)
Pacific Coast CDO Ltd. C-2 CC (sf)
Reservoir Funding Ltd A-2 CC (sf)
Reservoir Funding Ltd B CC (sf)
Reservoir Funding Ltd C CC (sf)
Reservoir Funding Ltd D CC (sf)
RFC CDO III, Ltd. A-2 CC (sf)
RFC CDO III, Ltd. B CC (sf)
RFC CDO III, Ltd. C CC (sf)
RFC CDO III, Ltd. D CC (sf)
Saybrook Point CBO II B-1 CC (sf)
Saybrook Point CBO II B-2 CC (sf)
Saybrook Point CBO II C-1 CC (sf)
Saybrook Point CBO II C-2 CC (sf)
Streeterville ABS CDO Ltd A-2 CC (sf)
Streeterville ABS CDO Ltd B-1 CC (sf)
Streeterville ABS CDO Ltd B-2 CC (sf)
Streeterville ABS CDO Ltd C-1 CC (sf)
Streeterville ABS CDO Ltd C-2 CC (sf)
Whately CDO I, Ltd. A-1BF CC (sf)
Whately CDO I, Ltd. A-1BV CC (sf)
Whately CDO I, Ltd. A-2 CC (sf)
Whately CDO I, Ltd. A-3 CC (sf)
Whately CDO I, Ltd. B-F CC (sf)
Whately CDO I, Ltd. B-V CC (sf)
Whately CDO I, Ltd. Combo A CC (sf)
Other Rating Outstanding
Transaction Class Rating
----------- ----- ------
Cascade Funding CDO I A-2 D (sf)
* S&P Downgrades Ratings on 21 Tranches From 11 Hybrid CDO Deals
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 21
tranches from 11 U.S. cash flow and hybrid collateralized debt
obligation transactions and removed them from CreditWatch with
negative implications. S&P also affirmed its ratings on 59 other
tranches from 15 transactions and removed eight of them from
CreditWatch negative.
The CDO downgrades reflect a number of factors, including credit
deterioration and S&P's negative rating actions on underlying U.S.
subprime residential mortgage-backed securities.
The 21 downgraded U.S. cash flow and hybrid tranches have a total
issuance amount of $8.799 billion. Seven of the 11 affected
transactions are mezzanine structured finance CDOs of asset-backed
securities, which are collateralized in large part by mezzanine
tranches of RMBS and other SF securities. The other four
transactions are high-grade SF CDOs of ABS that were primarily
collateralized at origination by 'AAA' though 'A' rated tranches
of RMBS and other SF securities.
The affirmations reflect current credit support levels that S&P
believes are sufficient to maintain the current ratings.
Standard & Poor's will continue to monitor the CDO transactions it
rates and take rating actions, including CreditWatch placements,
when appropriate.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
ACA ABS 2003-2 A-1SD CC (sf) CCC (sf)/Watch Neg
ACA ABS 2003-2 A-1SU CC (sf) CCC (sf)/Watch Neg
ACA ABS 2003-2 A-1SW CC (sf) CCC (sf)/Watch Neg
Adirondack 2005-2 A-1LTa CCC (sf) B- (sf)/Watch Neg
Adirondack 2005-2 A-1LTb CCC (sf) B- (sf)/Watch Neg
Adirondack 2005-2 B CC (sf) CCC- (sf)/Watch Neg
Altius II Funding A-1 CCC- (sf) B- (sf)/Watch Neg
Adirondack 2005-2 A-2 CCC- (sf) CCC- (sf)/Watch Neg
Alexander Park CDO I A-1 B (sf) B (sf)/Watch Neg
CAMBER 3 plc S A (sf) A (sf)/Watch Neg
C-Bass CBO XII A CCC (sf) B (sf)/Watch Neg
C-Bass CBO XII B CCC- (sf) CCC- (sf)/Watch Neg
Crystal River 2005-1 A CCC+ (sf) CCC+ (sf)/Watch Neg
Crystal River 2005-1 B CCC (sf) CCC (sf)/Watch Neg
Crystal River 2005-1 C CCC- (sf) CCC- (sf)/Watch Neg
Duke Funding VII I-A1 CC (sf) CCC- (sf)/Watch Neg
Duke Funding VII I-A2 CC (sf) CCC- (sf)/Watch Neg
Duke Funding VII I-A2v CC (sf) CCC- (sf)/Watch Neg
Dunhill ABS CDO A-1NV CCC (sf) B+ (sf)/Watch Neg
Dunhill ABS CDO A-1VA CCC (sf) B+ (sf)/Watch Neg
Dunhill ABS CDO A-1VB CCC (sf) B+ (sf)/Watch Neg
Independence VI CDO A1 CC (sf) CCC- (sf)/Watch Neg
Revelstoke CDO I A-1 CCC- (sf) CCC- (sf)/Watch Neg
River North CDO A-1 CC (sf) CCC (sf)/Watch Neg
Synthetic Residential B CC (sf) CCC- (sf)/Watch Neg
Asset Hybrid 2004-10
Tremonia CDO 2005-1 PLC A-1 CCC- (sf) B (sf)/Watch Neg
Tremonia CDO 2005-1 PLC A-2 CC (sf) CCC- (sf)/Watch Neg
Triaxx Prime CDO 2006-1 A-1 CCC- (sf) B+ (sf)/Watch Neg
Triaxx Prime CDO 2006-1 A-2 CC (sf) CCC- (sf)/Watch Neg
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
ACA ABS 2003-2 A-1J CC (sf)
ACA ABS 2003-2 A-2 CC (sf)
ACA ABS 2003-2 A-3 CC (sf)
ACA ABS 2003-2 B-F CC (sf)
ACA ABS 2003-2 B-V CC (sf)
ACA ABS 2003-2 C CC (sf)
Adirondack 2005-2 C CC (sf)
Adirondack 2005-2 D CC (sf)
Adirondack 2005-2 E CC (sf)
Alexander Park CDO I A-2 CC (sf)
Alexander Park CDO I B CC (sf)
Alexander Park CDO I C CC (sf)
Alexander Park CDO I D-1 CC (sf)
Alexander Park CDO I D-2 CC (sf)
Altius II Funding A-2 CC (sf)
Altius II Funding B CC (sf)
Altius II Funding C CC (sf)
Altius II Funding D CC (sf)
CAMBER 3 plc A-1 CC (sf)
CAMBER 3 plc A-2 CC (sf)
CAMBER 3 plc B CC (sf)
CAMBER 3 plc C CC (sf)
CAMBER 3 plc D CC (sf)
C-Bass CBO XII C CC (sf)
C-Bass CBO XII D CC (sf)
Crystal River CDO 2005-1 E CC (sf)
Crystal River CDO 2005-1 F CC (sf)
Crystal River CDO 2005-1 G CC (sf)
Crystal River CDO 2005-1 H CC (sf)
Duke Funding VII II CC (sf)
Duke Funding VII IV-A CC (sf)
Duke Funding VII IV-B CC (sf)
Dunhill ABS CDO A-2 CC (sf)
Dunhill ABS CDO B CC (sf)
Dunhill ABS CDO C CC (sf)
Independence VI CDO C CC (sf)
Independence VI CDO D CC (sf)
Independence VI CDO E CC (sf)
Revelstoke CDO I A-2 CC (sf)
Revelstoke CDO I A-3 CC (sf)
Revelstoke CDO I B CC (sf)
River North CDO A-2 CC (sf)
River North CDO B CC (sf)
River North CDO C CC (sf)
River North CDO D-1 CC (sf)
River North CDO D-2 CC (sf)
Synthetic Residential C CC (sf)
Asset Hybrid 2004-10
Tremonia CDO 2005-1 PLC B CC (sf)
Triaxx Prime CDO 2006-1 B CC (sf)
Triaxx Prime CDO 2006-1 C CC (sf)
Triaxx Prime CDO 2006-1 X CC (sf)
Other Ratings Outstanding
Transaction Class Rating
----------- ----- ------
Crystal River CDO 2005-1 D-1 D (sf)
Crystal River CDO 2005-1 D-2 D (sf)
Duke Funding VII III-A D (sf)
Duke Funding VII III-B D (sf)
Independence VI CDO A2 D (sf)
Independence VI CDO B D (sf)
Synthetic Residential D D (sf)
Asset Hybrid 2004-10
* S&P Downgrades Ratings on 44 Classes From 14 RMBS Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 44
classes from 14 U.S. residential mortgage-backed securities
transactions backed by scratch-and-dent collateral issued between
2003 and 2007. At the same time, S&P placed one of the lowered
ratings on CreditWatch with negative implications. S&P also
placed its ratings on two additional classes from one of these
transactions on CreditWatch negative. In addition, S&P affirmed
its ratings on 43 classes from 11 of the transactions with
downgraded classes and from seven additional transactions.
As part of S&P's analysis, S&P considered the characteristics of
the underlying mortgage collateral, as well as macroeconomic
influences. For example, the risk profile of the underlying
mortgage pools influences S&P's default projections, while its
outlook for housing-price declines and the health of the housing
market influence S&P's loss severity assumptions. Furthermore,
S&P adjusted its loss expectations for each deal based on upward
trends in delinquencies.
The downgrades and affirmations incorporate S&P's current and
projected losses, which S&P based on the dollar amount of loans in
the transactions that are currently delinquent, in foreclosure, or
whose underlying properties are in REO, as well as its projection
of future defaults. S&P also incorporated cumulative losses to
date in its ratings analysis.
To assess the creditworthiness of each class, S&P reviewed the
individual delinquency and loss trends of each transaction for
changes, if any, in risk characteristics, servicing, and the
ability to withstand additional credit deterioration. In order to
maintain a 'B' rating on a class, S&P assessed whether, in S&P's
view, a class could absorb the base-case loss assumptions S&P used
in S&P's analysis. For scratch-and-dent transactions, to maintain
a rating higher than 'B', S&P assessed whether a class could
withstand losses exceeding the base-case loss assumptions at a
percentage specific to each rating category, up to 150% for an
'AAA' rating. For example, in general, S&P would assess whether
one class could withstand approximately 110% of its base-case loss
assumptions to maintain a 'BB' rating, while S&P would assess
whether a different class could withstand approximately 120% of
its base-case loss assumptions to maintain a 'BBB' rating. Each
class with an affirmed 'AAA' rating can, in S&P's view, withstand
approximately 150% of its base-case loss assumptions under its
analysis.
The lowered ratings reflect S&P's belief that the amount of credit
enhancement available for the downgraded classes was not
sufficient to cover losses at the previous rating levels, given
its current projected losses, due to increased delinquencies. S&P
placed its ratings on the M-2, M-3, and M-4 classes of Quest Trust
2005-X1 on CreditWatch negative due to recent interest shortfalls
the tranches have experienced. S&P will monitor these classes for
additional interest shortfalls, among other factors, and take
further rating action as S&P considers appropriate based on its
criteria. The affirmations reflect S&P's belief that there is
sufficient credit enhancement to support the ratings at their
current levels. Certain senior classes also benefit from senior-
support classes that would provide support to a certain extent
before any applicable losses could affect the super-senior
certificates. The subordination of classes within each structure
provides credit support for the affected transactions.
For transactions backed by reperforming loans, S&P calculated its
projected defaults by evaluating the current pipeline of
delinquent loans. S&P incorporated the available liquidation data
to arrive at its opinion of the potential loss severity and the
extent of defaults. S&P used this information in conjunction with
its rating-specific assumptions to project cash flows and assess
whether the outstanding ratings on the classes were appropriate,
in its view. Based on its view of the timing and amount of cash
flow available for a security, S&P adjusted its ratings
accordingly.
S&P monitors these transactions to incorporate updated losses and
delinquency-pipeline performance to assess whether, in S&P's view,
the applicable credit enhancement features are sufficient to
support the current ratings. S&P will continue to monitor these
transactions and take additional rating actions as S&P deems
appropriate based on its criteria.
The collateral backing these transactions originally consisted
predominantly of scratch-and-dent first-lien, fixed- and
adjustable-rate residential mortgage loans secured by one- to
four-family properties.
Rating Actions
ACE Securities Corp. Home Equity Loan Trust, Series 2006-SD1
Series 2006-SD1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 004421XW8 CCC (sf) B (sf)
M-2 004421XX6 CC (sf) CCC (sf)
M-3 004421XY4 D (sf) CC (sf)
Bayview Financial Mortgage Pass-Through Trust 2007-A
Series 2007-A
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A3 07325VAD6 AA+ (sf) AAA (sf)
1-A4 07325VAE4 B- (sf) AAA (sf)
1-A5 07325VAF1 BB- (sf) AAA (sf)
2-A 07325VAG9 B- (sf) AAA (sf)
M-1 07325VAL8 CC (sf) A (sf)
M-2 07325VAM6 CC (sf) BB (sf)
M-3 07325VAN4 CC (sf) CCC (sf)
M-4 07325VAP9 CC (sf) CCC (sf)
Bear Stearns Asset Backed Securities Trust 2005-SD3
Series 2005-SD3
Rating
------
Class CUSIP To From
----- ----- -- ----
I-M-1 073877CS9 CC (sf) CCC (sf)
II-M-1 073877DA7 BBB- (sf) AA (sf)
II-M-2 073877DB5 CCC (sf) BB (sf)
II-M-3 073877DC3 CC (sf) CCC (sf)
II-M-4 073877DD1 CC (sf) CCC (sf)
Bear Stearns Asset Backed Securities Trust 2005-SD4
Series 2005-SD4
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 073877DY5 CCC (sf) B (sf)
I-A-2 073877DZ2 CCC (sf) B (sf)
I-PO 073877EB4 CCC (sf) B (sf)
CWABS Asset-Backed Notes Trust 2006-SD2
Series 2006-SD2
Rating
------
Class CUSIP To From
----- ----- -- ----
2-A-2 23242TAC0 CC (sf) CCC (sf)
GSMPS Mortgage Loan Trust 2006-RP2
Series 2006-RP2
Rating
------
Class CUSIP To From
----- ----- -- ----
1AF1 36298XAA0 CCC (sf) AAA (sf)
1AF2 36298XAB8 CCC (sf) AAA (sf)
2A1 36298XAE2 B- (sf) AAA (sf)
B1 36298XAF9 CCC (sf) AA (sf)
B2 36298XAG7 CCC (sf) A (sf)
B3 36298XAH5 CC (sf) BBB (sf)
B4 36298XAJ1 CC (sf) CCC (sf)
MASTR Reperforming Loan Trust 2006-2
Series 2006-2
Rating
------
Class CUSIP To From
----- ----- -- ----
1A1 57645LAA2 CCC (sf) AAA (sf)
2A1 57645LAB0 CCC (sf) AAA (sf)
B1 57645LAE4 CC (sf) B (sf)
B2 57645LAF1 CC (sf) CCC (sf)
B3 57645LAG9 CC (sf) CCC (sf)
MASTR Specialized Loan Trust 2006-02
Series 2006-02
Rating
------
Class CUSIP To From
----- ----- -- ----
A 57643AAA8 B- (sf) B (sf)
Quest Trust 2003-X4
Series 2003-X4
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 03072SMJ1 CC (sf) CCC (sf)
Quest Trust 2004-X3
Series 2004-X3
Rating
------
Class CUSIP To From
----- ----- -- ----
M-3 03072SWE1 B (sf) BB (sf)
M-4 03072SWF8 CC (sf) CCC (sf)
Quest Trust 2005-X1
Series 2005-X1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 03072SZK4 A/Watch Neg (sf) A (sf)
M-3 03072SZL2 A-/Watch Neg (sf) A- (sf)
M-4 03072SZM0 BBB-/Watch Neg (sf) BBB+ (sf)
M-5 03072SZN8 CCC (sf) B (sf)
M-6 03072SZP3 CC (sf) CCC (sf)
M-7 03072SZQ1 CC (sf) CCC (sf)
RAAC Series 2006-RP1 Trust
Series 2006-RP1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 76112B2V1 B+ (sf) BB (sf)
RAAC Series 2006-RP3 Trust
Series 2006-RP3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 74919RAA3 B- (sf) B (sf)
Structured Asset Securities Corp.
Series 2006-RF1
Rating
------
Class CUSIP To From
----- ----- -- ----
B1 86359DXS1 BB+ (sf) AA (sf)
B2 86359DXT9 CCC (sf) B (sf)
Ratings Affirmed
ACE Securities Corp. Home Equity Loan Trust, Series 2006-SD1
Series 2006-SD1
Class CUSIP Rating
----- ----- ------
A-1B 004421XV0 AAA (sf)
Bayview Financial Mortgage Pass-Through Trust 2007-A
Series 2007-A
Class CUSIP Rating
----- ----- ------
1-A1 07325VAB0 AAA (sf)
1-A2 07325VAC8 AAA (sf)
Bear Stearns Asset Backed Securities Trust 2005-SD3
Series 2005-SD3
Class CUSIP Rating
----- ----- ------
I-A 073877CP5 BB (sf)
II-A-1 073877CY6 AAA (sf)
II-A-2 073877CZ3 AAA (sf)
Bear Stearns Asset Backed Securities Trust 2005-SD4
Series 2005-SD4
Class CUSIP Rating
----- ----- ------
II-A-1 073877EF5 A (sf)
II-A-2 073877EG3 A (sf)
II-M-1 073877EH1 B (sf)
II-M-2 073877EJ7 CCC (sf)
CWABS Asset-Backed Notes Trust 2006-SD1
Series 2006-SD1
Class CUSIP Rating
----- ----- ------
A-1 126670VM7 AAA (sf)
A-2 126670VN5 B (sf)
M-1 126670VP0 CCC (sf)
M-2 126670VQ8 CCC (sf)
CWABS Asset-Backed Notes Trust 2006-SD2
Series 2006-SD2
Class CUSIP Rating
----- ----- ------
1-A-1 23242TAH9 B (sf)
1-A-3 23242TAW6 B (sf)
1-M-1 23242TAJ5 CCC (sf)
1-M-2 23242TAK2 CCC (sf)
2-A-1-B 23242TAB2 CCC (sf)
GSAMP Trust 2005-SD2
Series 2005-SD2
Class CUSIP Rating
----- ----- ------
M-2 362341CE7 AA (sf)
M-3 362341CF4 BBB (sf)
B-1 362341CG2 CCC (sf)
GSAMP Trust 2006-SD1
Series 2006-SD1
Class CUSIP Rating
----- ----- ------
A-2 362341Y94 AAA (sf)
M-1 362341X61 B (sf)
M-2 362341X79 CCC (sf)
GSAMP Trust 2006-SD3
Series 2006-SD3
Class CUSIP Rating
----- ----- ------
A 36244RAA8 B (sf)
MASTR Specialized Loan Trust 2006-01
Series 2006-01
Class CUSIP Rating
----- ----- ------
A-1 576436CV9 A (sf)
M-1 576436CW7 CCC (sf)
MASTR Specialized Loan Trust 2006-02
Series 2006-02
Class CUSIP Rating
----- ----- ------
M-1 57643AAB6 CCC (sf)
Quest Trust 2003-X4
Series 2003-X4
Class CUSIP Rating
----- ----- ------
M-1 03072SMH5 AA- (sf)
Quest Trust 2004-X3
Series 2004-X3
Class CUSIP Rating
----- ----- ------
M-1 03072SWC5 AA (sf)
M-2 03072SWD3 A (sf)
Quest Trust 2005-X1
Series 2005-X1
Class CUSIP Rating
----- ----- ------
M-1 03072SZJ7 AA (sf)
RAAC Series 2006-RP1 Trust
Series 2006-RP1
Class CUSIP Rating
----- ----- ------
A-2 76112B2U3 AAA (sf)
A-3 76112B3R9 AAA (sf)
M-2 76112B2W9 CCC (sf)
RAAC series 2006-RP2 Trust
Series 2006-RP2
Class CUSIP Rating
----- ----- ------
A 74919MAA4 B (sf)
Structured Asset Securities Corporation
Series 2006-RF1
Class CUSIP Rating
----- ----- ------
1-A 86359DXP7 AAA (sf)
1-AIO 86359DXQ5 AAA (sf)
2-A 86359DXR3 AAA (sf)
B3 86359DXU6 CCC (sf)
Truman Capital Mortgage Loan Trust 2006-1
Series 2006-1
Class CUSIP Rating
----- ----- ------
A 89789KAA3 B (sf)
M-1 89789KAB1 CCC (sf)
* S& Downgrades Ratings on 127 Classes From 31 RMBS Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 127
classes from 31 U.S. residential mortgage-backed securities
transactions backed by scratch and dent, Alt-A, prime jumbo, and
subprime mortgage loan collateral issued from 2003 through 2007.
S&P also affirmed its ratings on 101 classes from 20 of the
downgraded transactions and 10 additional deals.
S&P derived the loss assumptions used in its analysis by applying
its criteria listed in the "Related Criteria And Research" section
below.
The "scratch-and-dent" collateral backing these transactions
originally consisted predominantly of reperforming and outside-
the-guidelines first-lien, fixed- and adjustable-rate residential
mortgage loans secured by one- to four-family properties.
Although S&P uses projected monthly default rates based on
structure-specific cumulative losses and seasoning when analyzing
transactions with reperforming collateral, in certain
circumstances S&P projected losses by applying assumptions
regarding the percentage of loans within the delinquency pipeline
that S&P assumes will liquidate for structures that were showing
increases in delinquencies.
To assess the creditworthiness of each class, S&P analyzed the
ability of each class to withstand additional credit deterioration
as a result of the application of S&P's loss assumptions. In
order to maintain a 'B' rating on a class, S&P assessed whether,
in its view, a class could absorb the base-case loss assumption
used in its analysis.
In order for a scratch and dent, Alt-A, and subprime class to
maintain a rating higher than 'B', S&P assessed whether the class
could withstand losses exceeding the base-case loss assumptions at
a percentage specific to each rating category, up to 150% for a
'AAA' rating. For example, in general, S&P would assess whether
one class could withstand approximately 110% of S&P's base-case
loss assumption to maintain a 'BB' rating, while S&P would assess
whether a different class could withstand approximately 120% of
its base-case loss assumption to maintain a 'BBB' rating. Each
class with an affirmed 'AAA' rating can, in S&P's view, withstand
approximately 150% of its base-case loss assumption under its
analysis.
In order for a prime class to maintain an 'AAA' rating, S&P
assessed whether the class could withstand approximately 235% of
its base-case loss assumption, subject to individual caps and
qualitative factors applied to specific transactions. To maintain
a rating in categories between 'B' (the base case) and 'AAA', S&P
assessed whether the class could withstand losses exceeding the
base-case assumption at a percentage specific to each rating
category, up to 235% for a 'AAA' rating. For example, S&P would
assess whether one class could withstand approximately 130% of its
base-case loss assumption to maintain a 'BB' rating, while S&P
would assess whether a different class could withstand
approximately 155% of its base-case loss assumption to maintain a
'BBB' rating.
The lowered ratings reflect S&P's belief that the amount of credit
enhancement available for the downgraded classes is insufficient
to cover losses at the previous rating levels, given its current
projected losses. The affirmations reflect S&P's belief that the
classes have sufficient credit enhancement to support the ratings
at their current levels. Certain senior classes also benefit from
senior-support classes that would provide support to a certain
extent before any applicable losses could affect the super-senior
certificates. Subordination, and any applicable
overcollateralization and excess spread, provides credit support
for the affected transactions.
S&P monitors these transactions to incorporate updated losses and
delinquency-pipeline performance to assess whether, in S&P's view,
the applicable credit enhancement features are sufficient to
support the current ratings. S&P will continue to monitor these
transactions and take additional rating actions as S&P considers
appropriate based on its criteria.
Rating Actions
ACE Securities Corp. Home Equity Loan Trust, Series 2006-SD3
Series 2006-SD3
Rating
------
Class CUSIP To From
----- ----- -- ----
A 00443CAA6 AA- (sf) AAA (sf)
M-1 00443CAB4 CCC (sf) B (sf)
Alternative Loan Trust 2006-OA19
Series 2006-OA19
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 12668RAB4 CC (sf) CCC (sf)
A-3A 12668RAC2 CC (sf) CCC (sf)
Bayview Financial Mortgage Pass-Through Trust 2007-B
Series 2007-B
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A2 07324FAC4 CCC (sf) AAA (sf)
1-A3 07324FAD2 CCC (sf) AAA (sf)
1-A4 07324FAE0 CCC (sf) B (sf)
1-A5 07324FAF7 CCC (sf) B (sf)
2-A2 07324FAH3 B- (sf) AAA (sf)
M-1 07324FAL4 CC (sf) CCC (sf)
Bayview Financial Mortgage Pass-Through Trust, Series 2006-D
Series 2006-D
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A3 07325HAD7 AA+ (sf) AAA (sf)
1-A4 07325HAE5 BB- (sf) A (sf)
1A-5 07325HAF2 BB+ (sf) A (sf)
2-A3 07325HAJ4 BB (sf) A (sf)
2-A4 07325HAK1 BB (sf) AA (sf)
M-1 07325HAL9 CCC (sf) BB (sf)
M-2 07325HAM7 CCC (sf) BB- (sf)
M-3 07325HAN5 CC (sf) B (sf)
Bear Stearns Asset Backed Securities Trust 2006-SD4
Series 2006-SD4
Rating
------
Class CUSIP To From
----- ----- -- ----
1A-1 07389NAA3 BBB+ (sf) AAA (sf)
1A-2 07389NAB1 CCC (sf) B (sf)
1A-3 07389NAV7 CCC (sf) B (sf)
2A-1 07389NAC9 CCC (sf) AA (sf)
2A-2 07389NAD7 CCC (sf) B (sf)
3A-1 07389NAE5 CCC (sf) AA (sf)
3A-2 07389NAF2 CCC (sf) B (sf)
B-1 07389NAJ4 CC (sf) CCC (sf)
Bear Stearns Asset Backed Securities Trust 2007-SD1
Series 2007-SD1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 07389QAA6 CCC (sf) B (sf)
I-PO 07389QAB4 CCC (sf) B (sf)
I-A-2A 07389QAC2 CCC (sf) AA (sf)
I-A-2B 07389QAD0 CCC (sf) B (sf)
I-A-3A 07389QAE8 B- (sf) AA (sf)
I-A-3B 07389QAF5 CCC (sf) B (sf)
I-B-1 07389QAH1 CC (sf) CCC (sf)
II-1A-1 07389QAL2 CCC (sf) B (sf)
II-1A-2 07389QAM0 CC (sf) CCC (sf)
II-2A-1 07389QAN8 CCC (sf) B (sf)
II-2A-2 07389QAP3 CC (sf) CCC (sf)
II-3A-1 07389QAQ1 CCC (sf) B (sf)
II-3A-2 07389QAR9 CC (sf) CCC (sf)
II-B-1 07389QAS7 D (sf) CC (sf)
Bear Stearns Asset Backed Securities Trust 2007-SD2
Series 2007-SD2
Rating
------
Class CUSIP To From
----- ----- -- ----
II-A-1 07386UAM4 CCC (sf) BB (sf)
II-M-1 07386UAP7 CC (sf) CCC (sf)
CSFB Trust 2004-CF2
Series 2004-CF2
Rating
------
Class CUSIP To From
----- ----- -- ----
I-M-2 22541SD62 B+ (sf) A+ (sf)
II-M-2 22541SE38 CCC (sf) A+ (sf)
I-B 22541SD70 CC (sf) BBB+ (sf)
II-B 22541SE46 CC (sf) BBB+ (sf)
CWABS Asset Backed Certificates Trust 2007-QH1
Series 2007-QH1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 12669HAA7 B+ (sf) A (sf)
CWABS Asset Backed Notes Trust 2007-SEA1
Series 2007-SEA1
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 23248AAA9 CCC (sf) B (sf)
1-M-2 23248AAC5 CC (sf) CCC (sf)
2-A-1 23248AAJ0 B- (sf) AA (sf)
CWABS Asset-Backed Notes Trust 2007-SD1
Series 2007-SD1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 12669TAA1 CCC (sf) B (sf)
Equifirst Mortgage Loan Trust 2004-1
Series 2004-1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-5 29445FAZ1 BB (sf) BBB+ (sf)
M-6 29445FBA5 B- (sf) BB (sf)
M-7 29445FBB3 CC (sf) B (sf)
GSAMP Trust Series 2007-SEA1
Series 2007-SEA1
Rating
------
Class CUSIP To From
----- ----- -- ----
A 3622MLAA5 B (sf) AAA (sf)
M-1 3622MLAB3 CCC (sf) BB (sf)
GSMPS Mortgage Loan Trust 2003-2
Series 2003-2
Rating
------
Class CUSIP To From
----- ----- -- ----
B1 36290PAK3 CCC (sf) AA (sf)
B2 36290PAL1 CC (sf) A (sf)
B3 36290PAM9 CC (sf) BBB (sf)
GSMPS Mortgage Loan Trust 2005-RP2
Series 2005-RP2
Rating
------
Class CUSIP To From
----- ----- -- ----
B1 36242DU43 AA- (sf) AA (sf)
B2 36242DU50 B- (sf) A (sf)
B3 36242DU68 CCC (sf) BBB (sf)
B4 36242DU76 CC (sf) CCC (sf)
GSMPS Mortgage Loan Trust 2006-RP1
Series 2006-RP1
Rating
------
Class CUSIP To From
----- ----- -- ----
1AF 3623413C1 BB+ (sf) AAA (sf)
1AF2 3623413V9 BB+ (sf) AAA (sf)
1A2 3623413E7 BBB- (sf) AAA (sf)
1A3 3623413F4 BB+ (sf) AAA (sf)
1A4 3623413G2 BB+ (sf) AAA (sf)
2A1 3623413J6 BBB- (sf) AAA (sf)
B1 3623413K3 CCC (sf) AA (sf)
B2 3623413L1 CCC (sf) A (sf)
B3 3623413M9 CC (sf) BB (sf)
B4 3623413N7 CC (sf) CCC (sf)
GSRPM Mortgage Loan Trust 2006-2
Series 2006-2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1B 362725AB9 AA- (sf) AAA (sf)
A-2 362725AC7 AA- (sf) AAA (sf)
M-1 362725AD5 B+ (sf) BBB (sf)
MASTR Specialized Loan Trust 2005-03
Series 2005-03
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 576436CP2 CCC (sf) B (sf)
M-2 576436CQ0 CC (sf) CCC (sf)
Park Place Securities Inc.
Series 2004-MHQ1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-4 70069FCY1 B (sf) A+ (sf)
M-5 70069FCZ8 CCC (sf) A (sf)
M-6 70069FDA2 CC (sf) B (sf)
Quest Trust 2006-X2
Series 2006-X2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 74836YAB6 B- (sf) B (sf)
RAAC Series 2005-SP2 Trust
Series 2005-SP2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-I-2 76112BE63 B- (sf) B (sf)
A-II 76112BF54 CCC (sf) AA (sf)
M-II-1 76112BF62 CC (sf) CCC (sf)
RAAC Series 2007-SP3 Trust
Series 2007-SP3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 74978FAA7 BB (sf) AAA (sf)
A-2 74978FAH2 CCC (sf) B (sf)
Structured Asset Securities Corp. Mortgage Loan Trust 2006-GEL2
Series 2006-GEL2
Rating
------
Class CUSIP To From
----- ----- -- ----
M1 86360CAC0 B (sf) AA+ (sf)
M2 86360CAD8 CCC (sf) AA (sf)
M3 86360CAE6 CC (sf) B+ (sf)
Structured Asset Securities Corp. Mortgage Loan Trust 2006-GEL4
Series 2006-GEL4
Rating
------
Class CUSIP To From
----- ----- -- ----
A1 86361NAA9 AA (sf) AAA (sf)
A2 86361NAB7 AA (sf) AAA (sf)
A3 86361NAC5 AA (sf) AAA (sf)
M1 86361NAD3 CCC (sf) BB (sf)
M2 86361NAE1 CCC (sf) B (sf)
M3 86361NAF8 CC (sf) CCC (sf)
M4 86361NAG6 CC (sf) CCC (sf)
M5 86361NAH4 CC (sf) CCC (sf)
Structured Asset Securities Corp. Mortgage Loan Trust 2007-GEL1
Series 2007-GEL1
Rating
------
Class CUSIP To From
----- ----- -- ----
A1 86362QAA1 B- (sf) AAA (sf)
A2 86362QAB9 B- (sf) B (sf)
A3 86362QAC7 B- (sf) B (sf)
M1 86362QAD5 CC (sf) CCC (sf)
Structured Asset Securities Corporation Mortgage Loan Trust
Series 2007-GEL2
Rating
------
Class CUSIP To From
----- ----- -- ----
M4 86363MAG6 CC (sf) CCC (sf)
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2006-RF4
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1 863911AA1 CCC (sf) AA (sf)
2-A1 863911AC7 CCC (sf) AAA (sf)
2-A2 863911AD5 CCC (sf) AA (sf)
2-AP 863911AE3 CCC (sf) AA (sf)
2-AX 863911AF0 CCC (sf) AAA (sf)
3-A1 863911AG8 CCC (sf) AA (sf)
B1 863911AH6 CCC (sf) BB (sf)
B3 863911AK9 CC (sf) CCC (sf)
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2007-RF1
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A 86362CAA2 BB (sf) AAA (sf)
2-A 86362CAC8 BB (sf) AAA (sf)
B1 86362CAD6 CCC (sf) AA+ (sf)
B2 86362CAE4 CCC (sf) BB (sf)
B3 86362CAF1 CC (sf) CCC (sf)
B4 86362CAG9 CC (sf) CCC (sf)
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2007-RF2
Rating
------
Class CUSIP To From
----- ----- -- ----
1A1 86365CAA9 CCC (sf) AAA (sf)
1A2 86365CAB7 CCC (sf) AAA (sf)
1A3 86365CAC5 CCC (sf) AAA (sf)
B1 86365CAD3 CCC (sf) A (sf)
B2 86365CAE1 CC (sf) B (sf)
B3 86365CAF8 CC (sf) CCC (sf)
Terwin Mortgage Trust Series TMTS 2004-5HE
Series TMTS2004-5HE
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 881561FQ2 CC (sf) CCC (sf)
M-3 881561FR0 CC (sf) CCC (sf)
Yale Mortgage Loan Trust 2007-1
Series 2007-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A 984582AA4 CCC (sf) B (sf)
M-2 984582AC0 CC (sf) CCC (sf)
Ratings Affirmed
Alternative Loan Trust 2006-OA19
Series 2006-OA19
Class CUSIP Rating
----- ----- ------
A-1 12668RAA6 CCC (sf)
A-4 12668RAE8 CCC (sf)
Bayview Financial Mortgage Pass-Through Trust 2007-B
Series 2007-B
Class CUSIP Rating
----- ----- ------
1-A1 07324FAB6 AAA (sf)
2-A1 07324FAG5 AAA (sf)
2-A3 07324FAJ9 CCC (sf)
2-A4 07324FAK6 CCC (sf)
Bayview Financial Mortgage Pass-Through Trust, Series 2006-D
Series 2006-D
Class CUSIP Rating
----- ----- ------
1-A1 07325HAB1 AAA (sf)
1-A2 07325HAC9 AAA (sf)
2-A2 07325HAH8 AAA (sf)
Bear Stearns Asset Backed Securities Trust 2006-3
Series 2006-3
Class CUSIP Rating
----- ----- ------
A-2 07388GAB7 AAA (sf)
A-3 07388GAC5 AAA (sf)
M-1 07388GAD3 B (sf)
M-2 07388GAE1 CCC (sf)
M-3 07388GAF8 CCC (sf)
Bear Stearns Asset Backed Securities Trust 2007-SD2
Series 2007-SD2
Class CUSIP Rating
----- ----- ------
I-A-1A 07386UAA0 B (sf)
I-A-1B 07386UAB8 CCC (sf)
I-PO 07386UAC6 CCC (sf)
I-A-2A 07386UAD4 B (sf)
I-A-2B 07386UAE2 CCC (sf)
I-A-3A 07386UAF9 B (sf)
I-A-3B 07386UAG7 CCC (sf)
II-A-2 07386UAN2 CCC (sf)
C-BASS 2007-RP1 Trust
Series 2007-RP1
Class CUSIP Rating
----- ----- ------
A 1248M6AA4 BB (sf)
M-1 1248M6AD8 CCC (sf)
M-2 1248M6AE6 CCC (sf)
CSFB Trust 2004-CF2
Series 2004-CF2
Class CUSIP Rating
----- ----- ------
I-A-2 22541SD47 AAA (sf)
II-A-1 22541SD96 AAA (sf)
II-A-2 22541SE87 AAA (sf)
II-A-3 22541SE95 AAA (sf)
I-M-1 22541SD54 AA+ (sf)
II-M-1 22541SE20 AA+ (sf)
CWABS Asset Backed Certificates Trust 2007-QH1
Series 2007-QH1
Class CUSIP Rating
----- ----- ------
M-1 12669HAD1 CCC (sf)
M-2 12669HAE9 CCC (sf)
M-3 12669HAF6 CCC (sf)
CWABS Asset Backed Notes Trust 2007-SEA1
Series 2007-SEA1
Class CUSIP Rating
----- ----- ------
1-M-1 23248AAB7 CCC (sf)
2-M-1 23248AAK7 CCC (sf)
2-M-2 23248AAL5 CCC (sf)
CWABS Asset-Backed Notes Trust 2007-SD1
Series 2007-SD1
Class CUSIP Rating
----- ----- ------
M-1 12669TAH6 CCC (sf)
Equifirst Mortgage Loan Trust 2004-1
Series 2004-1
Class CUSIP Rating
----- ----- ------
I-A1 29445FAR9 AAA (sf)
II-A3 29445FAU2 AAA (sf)
M-1 29445FAV0 AA (sf)
M-2 29445FAW8 A+ (sf)
M-3 29445FAX6 A (sf)
M-4 29445FAY4 A- (sf)
GSAMP Trust Series 2007-SEA1
Series 2007-SEA1
Class CUSIP Rating
----- ----- ------
M-2 3622MLAC1 CCC (sf)
GSMPS Mortgage Loan Trust 2005-RP2
Series 2005-RP2
Class CUSIP Rating
----- ----- ------
1AF 36242DT52 AAA (sf)
1AS 36242DT60 AAA (sf)
1A2 36242DT78 AAA (sf)
1A3 36242DT86 AAA (sf)
1A4 36242DT94 AAA (sf)
AX 36242DU27 AAA (sf)
2A1 36242DU35 AAA (sf)
GSRPM Mortgage Loan Trust 2006-2
Series 2006-2
Class CUSIP Rating
----- ----- ------
A-1A 362725AA1 AAA (sf)
M-2 362725AE3 CCC (sf)
GSRPM Mortgage Loan Trust 2007-1
Series 2007-1
Class CUSIP Rating
----- ----- ------
A 362707AA9 B (sf)
M-1 362707AB7 CCC (sf)
MASTR Specialized Loan Trust 2005-03
Series 2005-03
Class CUSIP Rating
----- ----- ------
A-1 576436CM9 AAA (sf)
A-2 576436CN7 AAA (sf)
MASTR Specialized Loan Trust 2006-03
Series 2006-03
Class CUSIP Rating
----- ----- ------
A 57643BAA6 B (sf)
M-1 57643BAB4 CCC (sf)
MASTR Specialized Loan Trust 2007-01
Series 2007-01
Class CUSIP Rating
----- ----- ------
A 57645KAA4 CCC (sf)
MASTR Specialized Loan Trust 2007-2
Series 2007-2
Class CUSIP Rating
----- ----- ------
A 55291QAA2 B (sf)
M-1 55291QAB0 CCC (sf)
M-2 55291QAC8 CCC (sf)
Merrill Lynch Mortgage Investors Trust, Series 2007-SD1
Series 2007-SD1
Class CUSIP Rating
----- ----- ------
A 590232AA2 CCC (sf)
Park Place Securities Inc.
Series 2004-MHQ1
Class CUSIP Rating
----- ----- ------
M-1 70069FCV7 AA+ (sf)
M-2 70069FCW5 AA (sf)
M-3 70069FCX3 AA- (sf)
Prime Mortgage Trust 2005-1
Series 2005-1
Class CUSIP Rating
----- ----- ------
I-A-1 74160MGJ5 AAA (sf)
I-A-2 74160MGK2 AAA (sf)
I-A-3 74160MGL0 AAA (sf)
I-A-4 74160MGM8 AAA (sf)
I-A-5 74160MGN6 AAA (sf)
I-A-6 74160MGP1 AAA (sf)
I-A-7 74160MGQ9 AAA (sf)
I-A-8 74160MGZ9 AAA (sf)
I-PO 74160MGR7 AAA (sf)
Quest Trust 2006-X2
Series 2006-X2
Class CUSIP Rating
----- ----- ------
A-1 74836YAA8 BBB (sf)
M-1 74836YAC4 CCC (sf)
RAAC Series 2005-SP2 Trust
Series 2005-SP2
Class CUSIP Rating
----- ----- ------
A-I-3 76112BE48 AAA (sf)
M-I-1 76112BE55 AA (sf)
M-I-3 76112BE71 CCC (sf)
RAAC Series 2006-RP4 Trust
Series 2006-RP4
Class CUSIP Rating
----- ----- ------
A 74919TAA9 B (sf)
RAAC Series 2007-SP3 Trust
Series 2007-SP3
Class CUSIP Rating
----- ----- ------
M-1 74978FAB5 CCC (sf)
Structured Asset Securities Corp. Mortgage Loan Trust 2006-GEL2
Series 2006-GEL2
Class CUSIP Rating
----- ----- ------
A1 86360CAA4 AAA (sf)
A2 86360CAB2 AAA (sf)
Structured Asset Securities Corp. Mortgage Loan Trust 2006-GEL3
Series 2006-GEL3
Class CUSIP Rating
----- ----- ------
A1 86360XAA8 AA (sf)
A2 86360XAB6 BB (sf)
A3 86360XAC4 BB (sf)
M1 86360XAD2 CCC (sf)
Structured Asset Securities Corp. Mortgage Loan Trust 2007-GEL2
Series 2007-GEL2
Class CUSIP Rating
----- ----- ------
A1 86363MAA9 BB (sf)
A2 86363MAB7 B (sf)
A3 86363MAC5 B (sf)
M1 86363MAD3 CCC (sf)
M2 86363MAE1 CCC (sf)
M3 86363MAF8 CCC (sf)
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2006-RF4
Class CUSIP Rating
----- ----- ------
B2 863911AJ2 CCC (sf)
Terwin Mortgage Trust Series TMTS 2004-5HE
Series TMTS2004-5HE
Class CUSIP Rating
----- ----- ------
M-1 881561FP4 AA (sf)
M-1-X 881561HP2 AA (sf)
Yale Mortgage Loan Trust 2007-1
Series 2007-1
Class CUSIP Rating
----- ----- ------
M-1 984582AB2 CCC (sf)
* S&P Downgrades Ratings on 452 Certs. From 344 RMBS Deals to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
on 452 classes of mortgage pass-through certificates from 344 U.S.
residential mortgage-backed securities transactions issued between
1997 and 2008 and removed three of these ratings from CreditWatch
negative. In addition, S&P placed one additional rating from one
of the affected transactions on CreditWatch with negative
implications.
Approximately 80.97% of the defaulted classes were from
transactions backed by Alternative-A or subprime mortgage loan
collateral. The 452 defaulted classes consisted of these:
* 279 classes from Alt-A transactions (61.73% of all defaults);
* 87 from subprime transactions (19.25%);
* 66 from prime jumbo transactions;
* Seven from reperforming transactions;
* Four from resecuritized real estate mortgage investment conduit
transactions;
* Four from outside-the-guidelines transactions;
* Two from risk-transfer transactions;
* One from RMBS seasoned-loan transactions;
* One from closed-end second-lien transaction; and
* One from first-lien high loan-to-value transaction.
The 452 downgrades to 'D (sf)' reflect S&P's assessment of
principal write-downs on the affected classes during recent
remittance periods. Five of the downgrades affected classes that
are bond insured. Ambac Assurance Corp. (currently rated 'R')
insured all of these classes.
The CreditWatch placement affected a class that is within a loan
group that includes a class that defaulted from a 'B- (sf)' rating
or higher. All of the ratings were speculative-grade before the
downgrades, and S&P lowered approximately 99.12% of the ratings
from the 'CCC (sf)' or 'CC (sf)' rating categories.
S&P expects to resolve the CreditWatch placement after S&P
completes its review 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 in accordance with S&P's criteria.
* S&P Downgrades Ratings on Eight Certs. From Two RMBS Deals
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on eight
classes of certificates from two re-securitized real estate
mortgage investment conduit residential mortgage-backed securities
transactions. Additionally, S&P affirmed its ratings on 17 other
classes of certificates from the same transactions.
The downgrades reflect S&P's assessment of the significant
deterioration in performance of the mortgage loans backing 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 re-REMIC classes, which, in its opinion, is
sufficient to maintain the current ratings on the re-REMIC
classes.
When S&P performed its 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 at their current
rating levels.
The underlying collateral is mainly prime and Alternative-A
mortgage loans from 2003-2007 vintages. In S&P's view, the
performance of these collateral types from these 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 its view of the
continuing decline in mortgage loan performance. The performance
deterioration of most U.S. RMBS has continued to outpace the
market's expectations.
Rating Actions
Lehman Structured Securities Corp. Pass Through Certificates
Series 2007-1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 52521PAA3 CC (sf) CCC (sf)
Petrel Resecuritization Trust 2009-1
Series 2009-1
Rating
------
Class CUSIP To From
11-A2 71643RDA9 A- (sf) AA (sf)
5-A2 71643RBE3 CCC (sf) B (sf)
17-A2D 71643RER1 CCC (sf) AAA (sf)
11-A2D 71643RDE1 A- (sf) AA (sf)
11-A2C 71643RDD3 A (sf) AA (sf)
17-A2C 71643REQ3 AA (sf) AAA (sf)
17-A2 71643REM2 CCC (sf) AAA (sf)
Ratings Affirmed
Petrel Resecuritization Trust 2009-1
Series 2009-1
Class CUSIP Rating
----- ----- ------
11-A1C 71643RCY8 AAA (sf)
5-A1B 71643RBC7 AAA (sf)
17-A1A 71643REJ9 AAA (sf)
17-A2B 71643REP5 AAA (sf)
11-A1A 71643RCW2 AAA (sf)
11-A1B 71643RCX0 AAA (sf)
5-A1 71643RBA1 AAA (sf)
11-A1 71643RCV4 AAA (sf)
11-A2B 71643RDC5 AA (sf)
17-A1B 71643REK6 AAA (sf)
17-A1C 71643REL4 AAA (sf)
17-A1 71643REH3 AAA (sf)
11-A2A 71643RDB7 AA (sf)
11-A1D 71643RCZ5 AAA (sf)
17-A2A 71643REN0 AAA (sf)
5-A1A 71643RBB9 AAA (sf)
5-A1C 71643RBD5 AAA (sf)
* S&P Downgrades Ratings on 13 Tranches From Eight CDO Deals
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 13
tranches from eight U.S. cash flow and hybrid collateralized debt
obligation transactions and removed them from CreditWatch with
negative implications. S&P also affirmed its ratings on 38 other
tranches from 10 transactions and removed 12 of them from
CreditWatch negative.
The CDO downgrades reflect a number of factors, including credit
deterioration and S&P's negative rating actions on underlying U.S.
subprime residential mortgage-backed securities.
The 13 downgraded U.S. cash flow and hybrid tranches have a total
issuance amount of $2.478 billion. Five of the eight affected
transactions are mezzanine structured finance CDOs of asset-backed
securities, which are collateralized in large part by mezzanine
tranches of RMBS and other SF securities. Two of the eight are
high-grade SF CDOs of ABS that were primarily collateralized at
origination by 'AAA (sf)' though 'A (sf)' rated tranches of RMBS
and other SF securities. The other transaction is a CDO of CDO
transaction that was primarily collateralized at origination by
notes from other CDOs, as well as by tranches from RMBS and other
SF transactions.
The affirmations reflect current credit support levels that S&P
believes are sufficient to maintain the current ratings.
Standard & Poor's will continue to monitor the CDO transactions it
rates and take rating actions, including CreditWatch placements,
when appropriate.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
C-BASS CBO IX Ltd. A-1 A (sf) A (sf)/Watch Neg
C-BASS CBO IX Ltd. A-2 BB+ (sf) BB+ (sf)/Watch Neg
C-BASS CBO IX Ltd. B CCC (sf) B (sf)/Watch Neg
C-Bass CBO VII Ltd. A AAA (sf) AAA (sf)/Watch Neg
C-Bass CBO VII Ltd. B AA (sf) AA (sf)/Watch Neg
C-Bass CBO VII Ltd. C A- (sf) A- (sf)/Watch Neg
C-Bass CBO VII Ltd. D B (sf) BB+ (sf)/Watch Neg
Class V Funding, Ltd. A1 CCC- (sf) CCC (sf)/Watch Neg
Glacier Funding CDO II A-1NV BBB+ (sf) BBB+ (sf)/Watch Neg
Glacier Funding CDO II A-1V BBB+ (sf) BBB+ (sf)/Watch Neg
Glacier Funding CDO II A-2 CCC- (sf) CCC- (sf)/Watch Neg
Hillcrest CDO I Ltd A-1a CC (sf) B (sf)/Watch Neg
Hillcrest CDO I Ltd A-1b CC (sf) B (sf)/Watch Neg
Margate Funding I Ltd A1S CCC- (sf) CCC (sf)/Watch Neg
Mercury CDO 2004-1 Ltd A-1NV BB- (sf) BBB- (sf)/Watch Neg
Mercury CDO 2004-1 Ltd A-1VA BB- (sf) BBB- (sf)/Watch Neg
Mercury CDO 2004-1 Ltd A-1VB BB- (sf) BBB- (sf)/Watch Neg
Mercury CDO 2004-1 Ltd A-2A CC (sf) CCC- (sf)/Watch Neg
Mercury CDO 2004-1 Ltd A-2B CC (sf) CCC- (sf)/Watch Neg
Sandstone CDO Ltd. B A (sf) A (sf)/Watch Neg
Sandstone CDO Ltd. C BB (sf) BB (sf)/Watch Neg
Saturn Ventures 2004 Fnd A-1 CCC+ (sf) BB (sf)/WatchNeg
America Investors III
Saybrook Point CBO Ltd. A BB (sf) BBB- (sf)/Watch Neg
South Coast Funding IV A-1 AA (sf) AA (sf)/Watch Neg
South Coast Funding IV A-2 BB+ (sf) BB+ (sf)/Watch Neg
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
C-BASS CBO IX Ltd. C CC (sf)
C-BASS CBO IX Ltd. D CC (sf)
Class V Funding, Ltd. C CC (sf)
Class V Funding, Ltd. D1 CC (sf)
Class V Funding, Ltd. D2 CC (sf)
Glacier Funding CDO II, Ltd. B CC (sf)
Glacier Funding CDO II, Ltd. C CC (sf)
Glacier Funding CDO II, Ltd. D CC (sf)
Glacier Funding CDO II, Ltd. Pref Shrs CC (sf)
Hillcrest CDO I Ltd C CC (sf)
Hillcrest CDO I Ltd D CC (sf)
Margate Funding I Ltd A1J CC (sf)
Margate Funding I Ltd A2 CC (sf)
Margate Funding I Ltd A3 CC (sf)
Margate Funding I Ltd Combo Nts AAA (sf)
Margate Funding I Ltd Income Nts CC (sf)
Mercury CDO 2004-1 Ltd B CC (sf)
Mercury CDO 2004-1 Ltd C CC (sf)
Sandstone CDO Ltd. D CC (sf)
Saturn Ventures 2004 - Fund A-2 CC (sf)
America Investors III
Saturn Ventures 2004 - Fund A-3 CC (sf)
America Investors III
Saturn Ventures 2004 - Fund B CC (sf)
America Investors III
Saturn Ventures 2004 - Fund C CC (sf)
America Investors III
South Coast Funding IV, Ltd. B CC (sf)
South Coast Funding IV, Ltd. C CC (sf)
South Coast Funding IV, Ltd. Pre Shares CC (sf)
Other Ratings Outstanding
Transaction Class Rating
----------- ----- ------
Class V Funding, Ltd. A2 D (sf)
Class V Funding, Ltd. B D (sf)
Hillcrest CDO I Ltd A-2 D (sf)
Hillcrest CDO I Ltd B-1 D (sf)
Hillcrest CDO I Ltd B-2 D (sf)
* S&P Downgrades Ratings on 13 Tranches From Eight Hybrid CDOs
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 13
tranches from eight U.S. cash flow and hybrid collateralized debt
obligation transactions and removed them from CreditWatch with
negative implications. S&P also affirmed its ratings on 60 other
tranches from 12 transactions and removed 19 of them from
CreditWatch negative.
The CDO downgrades reflect a number of factors, including credit
deterioration and S&P's negative rating actions on underlying U.S.
subprime residential mortgage-backed securities.
The 13 downgraded U.S. cash flow and hybrid tranches have a total
issuance amount of $1.732 billion. The affected transactions are
mezzanine structured finance CDOs of asset-backed securities,
which are collateralized in large part by mezzanine tranches of
RMBS and other SF securities.
The affirmations reflect current credit support levels that S&P
believes are sufficient to maintain the current ratings.
Standard & Poor's will continue to monitor the CDO transactions it
rates and take rating actions, including CreditWatch placements,
when appropriate.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- -----
ACA ABS 2004-1 Limited A-1 AA (sf) AA (sf)/Watch Neg
ACA ABS 2004-1 Limited A-2 BBB (sf) BBB (sf)/Watch Neg
ACA ABS 2004-1 Limited B CCC- (sf) CCC+ (sf)/Watch Neg
Acacia CDO 7 Ltd. A CC (sf) BB (sf)/Watch Neg
Anderson Mezzanine S B (sf) BB (sf)/Watch Neg
Funding 2007 ? 1
C-Bass CBO VIII Ltd. A-1 AA (sf) AA (sf)/Watch Neg
C-Bass CBO VIII Ltd. A-2 A- (sf) A- (sf)/Watch Neg
C-Bass CBO VIII Ltd. B BB- (sf) BB- (sf)/Watch Neg
C-Bass CBO VIII Ltd. C CCC- (sf) CCC- (sf)/Watch Neg
Commodore CDO III Ltd. A-1A CCC- (sf) CCC (sf)/Watch Neg
Commodore CDO III Ltd. A-1C CCC- (sf) CCC (sf)/Watch Neg
Commodore CDO III Ltd. A-1B BB (sf) BB (sf)/Watch Neg
Gemstone CDO Ltd. A-1 A (sf) A (sf)/Watch Neg
Gemstone CDO Ltd. A-2 AA (sf) AA (sf)/Watch Neg
Gemstone CDO Ltd. A-3 A (sf) A (sf)/Watch Neg
Gemstone CDO Ltd. B B- (sf) BB+ (sf)/Watch Neg
Gemstone CDO Ltd. C CCC- (sf) CCC (sf)/Watch Neg
Huntington CDO Ltd. A-1A B- (sf) BBB- (sf)/Watch Neg
Huntington CDO Ltd. A-1B B- (sf) BBB- (sf)/Watch Neg
Huntington CDO Ltd. A-2 CC (sf) CCC- (sf)/Watch Neg
Longport Funding Ltd. A-1A CCC+ (sf) BB+ (sf)/Watch Neg
Madison Avenue Structured A BBB (sf) BBB (sf)/Watch Neg
Finance CDO I
Palisades CDO Ltd. A-1A BB (sf) BB (sf)/Watch Neg
Palisades CDO Ltd. A-1B BB (sf) BB (sf)/Watch Neg
Palisades CDO Ltd. A-2 CCC- (sf) CCC- (sf)/Watch Neg
Solstice ABS CBO III Ltd A-1 AAA (sf) AAA (sf)/Watch Neg
Solstice ABS CBO III Ltd A-2 CCC- (sf) CCC- (sf)/Watch Neg
TIAA Structured Finance A-1 CCC- (sf) B (sf)/Watch Neg
CDO I
TIAA Structured Finance A-2 CCC- (sf) B (sf)/Watch Neg
CDO I
Trainer Wortham First A-1 BBB (sf) BBB (sf)/Watch Neg
Republic CBO V
Trainer Wortham First A-2 B (sf) B (sf)/Watch Neg
Republic CBO V
Trainer Wortham First B CCC (sf) CCC (sf)/Watch Neg
Republic CBO V
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
ACA ABS 2004-1 Limited C-1 CC (sf)
ACA ABS 2004-1 Limited C-2 CC (sf)
Acacia CDO 7 Ltd. B CC (sf)
Acacia CDO 7 Ltd. C CC (sf)
Acacia CDO 7 Ltd. D CC (sf)
Acacia CDO 7 Ltd. E CC (sf)
Anderson Mezzanine Funding 2007-1 A-1a CC (sf)
Anderson Mezzanine Funding 2007-1 A-1b CC (sf)
Anderson Mezzanine Funding 2007-1 A-2 CC (sf)
Anderson Mezzanine Funding 2007-1 C CC (sf)
Anderson Mezzanine Funding 2007-1 D CC (sf)
C-Bass CBO VIII Ltd. D-1 CC (sf)
C-Bass CBO VIII Ltd. D-2 CC (sf)
Commodore CDO III Ltd. A-2 CC (sf)
Commodore CDO III Ltd. B CC (sf)
Commodore CDO III Ltd. C-1 CC (sf)
Commodore CDO III Ltd. C-2 CC (sf)
Gemstone CDO Ltd. D-1 CC (sf)
Gemstone CDO Ltd. D-2 CC (sf)
Gemstone CDO Ltd. E CC (sf)
Huntington CDO Ltd. B CC (sf)
Huntington CDO Ltd. C-1 CC (sf)
Huntington CDO Ltd. C-2 CC (sf)
Longport Funding Ltd. A-1B CC (sf)
Longport Funding Ltd. A-2-P** CC (sf)
Longport Funding Ltd. A-3 CC (sf)
Longport Funding Ltd. B CC (sf)
Longport Funding Ltd. C CC (sf)
Longport Funding Ltd. D-1 CC (sf)
Longport Funding Ltd. D-2 CC (sf)
Longport Funding Ltd. Part. Note CC (sf)
Palisades CDO Ltd. B-1 CC (sf)
Palisades CDO Ltd. B-2 CC (sf)
Palisades CDO Ltd. C-1 CC (sf)
Palisades CDO Ltd. C-2 CC (sf)
Palisades CDO Ltd. Type II CC (sf)
Solstice ABS CBO III Ltd. B CC (sf)
Solstice ABS CBO III Ltd. C-1 CC (sf)
Solstice ABS CBO III Ltd. C-2 CC (sf)
Trainer Wortham First Republic CBO V C CC (sf)
Trainer Wortham First Republic CBO V D CC (sf)
Other Rating Outstanding
Transaction Class Rating
----------- ----- ------
Anderson Mezzanine Funding 2007-1 B D (sf)
* S&P Downgrades Ratings on Five Tranches From Three CDO Deals
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
tranches from three U.S. trust preferred securities collateralized
debt obligation transactions and removed them from CreditWatch
with negative implications. The tranches with lowered ratings
have a total issuance amount of $365.7 million. At the same time,
S&P affirmed its ratings on 10 tranches from four transactions and
removed six of them from CreditWatch negative.
The downgrades reflect three primary factors:
* The application of S&P's corporate CDO criteria;
* The application of S&P's revised recovery assumptions for TruPS
issued by U.S. banks; and
* In most cases, significant deterioration in the credit quality
of the underlying asset portfolios due to increased exposure to
obligors that have either defaulted or deferred payments on
TruPS, along with an increase in the number of TruPS that
experienced downgrades into the 'CCC' range.
In July 2010, S&P stated that S&P has observed severe negative
credit migration and significant increases in defaults and
deferrals in the pools underlying assets. In January 2009, S&P
indicated its view that the economic and regulatory conditions
pointed to a potential increase in the number of U.S. banks that
defer on their TruPS payment obligations. Since January 2009, S&P
has observed significant increases in the number of deferrals of
U.S. Bank TruPS held by the CDOs S&P rate. While the rate of
increase in the number of deferrals may have recently slowed, in
S&P's view, the economic and regulatory conditions at the root of
these deferrals continue to unfold.
The affirmations reflect S&P's view that the affirmed tranches
have sufficient credit support to maintain their current ratings
according to its updated criteria. Some of the affirmed tranches
were structured as principal-protected notes that are supported by
additional collateral, usually in the form of a zero-coupon bond
issued by the U.S. government or an entity backed by the U.S.
government. S&P's ratings on these principal-protected notes
address only the payment of principal at maturity and are linked
to the rating on the bond pledged as additional collateral.
Accordingly, the credit quality of the CDO portfolios did not
drive S&P's ratings on the principal-protected notes.
S&P expects to continue reviewing the remaining TruPS CDO
transactions with ratings S&P placed on CreditWatch following its
corporate CDO criteria update and to resolve the CreditWatch
status of the affected tranches.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
I-Pref Term Securities II A1A AA+ (sf) AA+/Watch Neg (sf)
I-Pref Term Securities II A-2 AA+ (sf) AA+/Watch Neg (sf)
I-Pref Term Securities II A-3 AA+ (sf) AA+/Watch Neg (sf)
I-Pref Term Securities II B-1 B+ (sf) B+/Watch Neg (sf)
I-Pref Term Securities II B-2 B+ (sf) B+/Watch Neg (sf)
I-Pref Term Securities II B-3 B+ (sf) B+/Watch Neg (sf)
I-Pref Term Securities II C CCC- (sf) B-/Watch Neg (sf)
Tropic CDO I Ltd A1L AA (sf) AAA/Watch Neg (sf)
Tropic CDO I Ltd A2L CCC- (sf) BBB/Watch Neg (sf)
U.S. Capital Funding II A-1 CCC (sf) BB/Watch Neg (sf)
U.S. Capital Funding II A-2 CCC- (sf) BB-/Watch Neg (sf)
Ratings Affirmed Class Rating
---------------- ----- ------
I-Pref Term Securities II A-1 AAA (sf)
Principal Protected I-PreTSL II 12 Prin Prot AAA (sf)
Principal Protected I-PreTSL II Prin Prot AAA (sf)
I-PreTSL II Combination Ltd. Def Comb A- (sf)
* S&P Downgrades Ratings on Five Tranches From Four Hybrid CDOs
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
tranches from four U.S. cash flow and hybrid collateralized debt
obligation transactions and removed four of them from CreditWatch
with negative implications. S&P affirmed its ratings on 22 other
tranches from five transactions and removed five of them from
CreditWatch negative.
The CDO downgrades reflect a number of factors, including credit
deterioration and its negative rating actions on underlying U.S.
subprime residential mortgage-backed securities.
The five downgraded U.S. cash flow and hybrid tranches have a
total issuance amount of $1.151 billion. Two of the four affected
transactions are mezzanine structured finance CDOs of asset-backed
securities, which are collateralized in large part by mezzanine
tranches of RMBS and other SF securities. One transaction is a
high-grade SF CDO of ABS that was primarily collateralized at
origination by 'AAA (sf)' through 'A (sf)' rated tranches of RMBS
and other SF securities. The other transaction is a retranching
of other CDO tranches.
The affirmations reflect current credit support levels that S&P
believes are sufficient to maintain the current ratings.
Standard & Poor's will continue to monitor the CDO transactions it
rates and take rating actions, including CreditWatch placements,
when appropriate.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
C-Bass CBO XI A CC (sf) CCC- (sf)/Watch Neg
CBO Holdings III C-2 CC (sf) B- (sf)
Dawn CDO I A CCC (sf) CCC (sf)/Watch Neg
Gemstone CDO II A-1 B- (sf) B (sf)/Watch Neg
Gemstone CDO II A-2 CCC (sf) CCC (sf)/Watch Neg
Gemstone CDO II A-3 CCC (sf) CCC (sf)/Watch Neg
Gemstone CDO II B CCC- (sf) CCC- (sf)/Watch Neg
Jupiter High Grade CDO A-1A B- (sf) B (sf)/Watch Neg
Jupiter High Grade CDO A-1B B- (sf) B (sf)/Watch Neg
Vermeer Funding II A-1 CCC (sf) CCC (sf)/Watch Neg
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
C-Bass CBO XI B CC (sf)
C-Bass CBO XI C CC (sf)
C-Bass CBO XI D CC (sf)
Dawn CDO I B CC (sf)
Gemstone CDO II C CC (sf)
Gemstone CDO II D CC (sf)
Gemstone CDO II E CC (sf)
Gemstone CDO II F CC (sf)
Jupiter High Grade CDO A-2 CC (sf)
Jupiter High Grade CDO B CC (sf)
Jupiter High Grade CDO C CC (sf)
Vermeer Funding II A-2A CC (sf)
Vermeer Funding II A-2B CC (sf)
Vermeer Funding II B CC (sf)
Vermeer Funding II C-1 CC (sf)
Vermeer Funding II C-2 CC (sf)
Vermeer Funding II Combo Secs CC (sf)
* S&P Downgrades Ratings on Seven Tranches From Two CDO Deals
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
tranches from two U.S. collateralized debt obligation of
commercial mortgage-backed securities transactions. The
downgraded tranches have a total issuance amount of
$307.675 million. At the same time, S&P removed the lowered
ratings from CreditWatch with negative implications. S&P also
affirmed its ratings on 34 tranches from five transactions and
removed 32 of them from CreditWatch negative. Additionally, S&P
withdrew its rating on one tranche from Crest Dartmouth Street
2003-1 Ltd. following the complete paydown of the notes.
The CDO downgrades reflect a number of factors, including credit
deterioration and S&P's negative rating actions on the underlying
securities. The affirmations reflect current credit support
levels that S&P believes are sufficient to maintain the current
ratings.
Standard & Poor's will continue to monitor the CDO transactions it
rates and take rating actions, including CreditWatch placements,
when appropriate.
Rating And Creditwatch Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
Crest Dartmouth St 2003-1 B1 A+ (sf) A+ (sf)/Watch Neg
Crest Dartmouth St 2003-1 C BBB (sf) BBB (sf)/Watch Neg
Crest Dartmouth St 2003-1 D CCC+ (sf) B+ (sf)/Watch Neg
Crest Dartmouth St 2003-1 PShs NR BB- (sf)/Watch Neg
Crest Dartmouth St 2003-1 B2 A+ (sf) A+ (sf)/Watch Neg
Crest Exeter St Solar 2004-1 A1 AA- (sf) AA+ (sf)/Watch Neg
Crest Exeter St Solar 2004-1 B1 A (sf) A (sf)/Watch Neg
Crest Exeter St Solar 2004-1 C1 BBB- (sf) BBB (sf)/Watch Neg
Crest Exeter St Solar 2004-1 D1 B (sf) B (sf)/Watch Neg
Crest Exeter St Solar 2004-1 E1 CCC- (sf) CCC (sf)/Watch Neg
Crest Exeter St Solar 2004-1 A2 AA- (sf) AA+ (sf)/Watch Neg
Crest Exeter St Solar 2004-1 B2 A (sf) A (sf)/Watch Neg
Crest Exeter St Solar 2004-1 C2 BBB- (sf) BBB (sf)/Watch Neg
Crest Exeter St Solar 2004-1 D2 B (sf) B (sf)/Watch Neg
Crest Exeter St Solar 2004-1 E2 CCC- (sf) CCC (sf)/Watch Neg
N-Star Real Estate CDO I A2A AAA (sf) AAA (sf)/Watch Neg
N-Star Real Estate CDO I B1 A (sf) A (sf)/Watch Neg
N-Star Real Estate CDO I B2 A- (sf) A- (sf)/Watch Neg
N-Star Real Estate CDO I C1A BBB+ (sf) BBB+ (sf)/Watch Neg
N-Star Real Estate CDO I C-2 BBB- (sf) BBB- (sf)/Watch Neg
N-Star Real Estate CDO I D1A BB- (sf) BB- (sf)/Watch Neg
N-Star Real Estate CDO I A2B AAA (sf) AAA (sf)/Watch Neg
N-Star Real Estate CDO I C1B BBB+ (sf) BBB+ (sf)/Watch Neg
N-Star Real Estate CDO I D1B BB- (sf) BB- (sf)/Watch Neg
N-Star Real Estate CDO II A1 AAA (sf) AAA (sf)/Watch Neg
N-Star Real Estate CDO II A2A AAA (sf) AAA (sf)/Watch Neg
N-Star Real Estate CDO II A2B AAA (sf) AAA (sf)/Watch Neg
N-Star Real Estate CDO II B1 AA+ (sf) AA+ (sf)/Watch Neg
N-Star Real Estate CDO II B2 AA (sf) AA (sf)/Watch Neg
N-Star Real Estate CDO II C1 A (sf) A (sf)/Watch Neg
N-Star Real Estate CDO II C2A BBB- (sf) BBB- (sf)/Watch Neg
N-Star Real Estate CDO II C2B BBB- (sf) BBB- (sf)/Watch Neg
N-Star Real Estate CDO II D B+ (sf) B+ (sf)/Watch Neg
N-Star Real Estate CDO V A-1 A+ (sf) A+ (sf)/Watch Neg
N-Star Real Estate CDO V B BBB (sf) BBB (sf)/Watch Neg
N-Star Real Estate CDO V C BB+ (sf) BB+ (sf)/Watch Neg
N-Star Real Estate CDO V D B+ (sf) B+ (sf)Watch Neg
N-Star Real Estate CDO V E B (sf) B (sf)/Watch Neg
N-Star Real Estate CDO V A2 A- (sf) A- (sf)/Watch Neg
N-Star Real Estate CDO V F CCC+ (sf) CCC+ (sf)/Watch Neg
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
Crest Dartmouth St 2003-1 A AAA (sf)
N-Star Real Estate CDO I A1 AAA (sf)
* S&P Downgrades Ratings on Three Certs. From Three RMBS Deals
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on three
classes of mortgage pass-through certificates from three U.S.
residential mortgage-backed securities transactions issued from
2002 to 2005. In addition, S&P placed its ratings on four classes
from two other deals on CreditWatch with negative implications.
S&P affirmed its ratings on five classes from two additional
transactions issued in 2003 and 2004 and removed all of the
affirmed ratings from CreditWatch with negative implications.
All of the downgrades reflect S&P's assessment of interest
shortfalls on the affected classes during recent remittance
periods. S&P's ratings reflect its view of the magnitude of the
interest payment deficiencies that have affected each class to
date compared with the remaining principal balance owed and the
likelihood that certificateholders will be reimbursed for these
deficiencies. S&P also considered the balance of current
delinquencies of the affected transactions.
The CreditWatch placements reflect S&P's view of the greater
potential for the affected certificates to be reimbursed for their
interest shortfalls compared with the certificates S&P downgraded.
Standard & Poor's will continue to monitor its ratings on
securities that experience interest shortfalls, and S&P will
adjust the ratings as S&P determine appropriate.
The downgraded classes are issued by one prime jumbo transaction,
one Alternative-A transaction, and one re-performing transaction.
S&P previously rated all of the lowered ratings 'CC (sf)' before
the downgrades.
The affirmations reflect S&P's assessment of reimbursement of any
interest shortfalls on the affected classes during recent
remittance periods.
Rating Actions
Bear Stearns ARM Trust 2003-9
Series 2003-9
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 07384MA85 AA (sf) AA (sf)/Watch Neg
I-A-2 07384MB27 AA (sf) AA (sf)/Watch Neg
I-A-3 07384MB43 AA (sf) AA (sf)/Watch Neg
Bear Stearns ARM Trust 2004-1
Series 2004-1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-1-A-1 07384MF80 A (sf)/Watch Neg A (sf)
I-1-A-2 07384MF98 A (sf)/Watch Neg A (sf)
I-1-A-3 07384MG22 A (sf)/Watch Neg A (sf)
GSR Mortgage Loan Trust 2005-8F
Series 2005-8F
Rating
------
Class CUSIP To From
----- ----- -- ----
B2 362341WN5 D (sf) CC (sf)
IndyMac INDX Mortgage Loan Trust 2005-AR15
Series 2005-AR15
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 45660LVS5 D (sf) CC (sf)
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A1
Series 2004-A1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A 59020UAA3 AAA (sf) AAA (sf)/Watch Neg
M-1 59020UAG0 BBB (sf) BBB (sf)/Watch Neg
Morgan Stanley Mortgage Loan Trust 2005-6AR
Series 2005-6AR
Rating
------
Class CUSIP To From
----- ----- -- ----
6-A-1 61748HMU2 BB- (sf)/Watch Neg BB- (sf)
Reperforming Loan REMIC Trust 2002-R3
Series T-051
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 12669UAW0 D (sf) CC (sf)
*********
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.
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*** End of Transmission ***