/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/101010.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, October 10, 2010, Vol. 14, No. 281 Headlines ALABAMA HOUSING: S&P Downgrades Ratings on Revenue Bonds to 'BB' AMMC VII: Moody's Upgrades Ratings on Three Classes of Notes ASG RESECURITIZATION: S&P Assigns Ratings on $49.1 Mil. RMBS ATHENS HOUSING: S&P Downgrades Ratings on Housing Bonds to 'BB+' ATHENS HOUSING: S&P Downgrades Rating on Revenue Bonds to 'BB' AUGUSTA HOUSING: S&P Downgrades Ratings on Housing Bonds to 'BB' AUSTIN HOUSING: S&P Downgrades Rating on Housing Bonds to 'BB+' BEAR STEARNS: Moody's Corrects Press Release on Note Ratings BROOKS COUNTY: S&P Corrects Rating on Series 2004 Certs. to 'NR' CALLIDUS DEBT: Moody's Upgrades Ratings on Various Classes CANARAS SUMMIT: Moody's Upgrades Ratings on Four Classes of Notes CAPITALSOURCE COMMERCIAL: Fitch Cuts $19MM Notes Rating to CCsf CAPITALSOURCE COMMERCIAL: Fitch Keeps $14MM Notes' CCC/RR1 Rating CAPITALSOURCE COMMERCIAL: Fitch Keeps Bsf/LS5 Rating on E Notes CAPMARK VII: Moody's Takes Rating Actions on Various Classes CD 2006-CD2: Moody's Reviews Ratings on 22 Classes of Certs. CENTERLINE 2007-1: S&P Downgrades Ratings on 14 Classes of Notes CHASE COMMERCIAL: S&P Downgrades Ratings on Various Notes CLAYTON COUNTY: S&P Downgrades Ratings on 2002A Bonds to 'BB' COLLEGE LOAN: Fitch Cuts Rating on Subordinate Bonds to 'BBsf' COMMERCIAL CAPITAL: Fitch Takes Rating Actions on Various Notes CONSECO FINANCE: Fitch Takes Rating Actions on 2000-B Notes CREDIT SUISSE: Moody's Reviews Ratings on 11 Series 2005-C4 Certs. CREDIT SUISSE: Moody's Reviews Ratings on 13 Series 2005-C6 Certs. CREST G-STAR: Moody's Takes Rating Actions on Various Classes CWALT INC: Moody's Downgrades Ratings on 76 Tranches CWALT INC: Moody's Upgrades Rating on Cl. 1-A-7 Certificates to B3 DEUTSCHE MORTGAGE: S&P Downgrades Ratings on Six 2006-PR1 RMBS EDUCATION LOAN: Fitch Affirms Ratings on Senior Student Loans EDUCATIONAL FUNDING: Fitch Affirms Ratings on Senior Student Loans GOAL CAPITAL: Fitch Cuts Rating on Junior Subordinate Bonds to BB GOLDMAN SACHS: Moody's Reviews Ratings on Three 1999-C1 Certs. GREEN TREE: S&P Corrects Rating on Class B-1 Notes to 'D' GS MORTGAGE: Moody's Downgrades Ratings on 11 2007-GG10 Certs. GUGGENHEIM STRUCTURED: Moody's Affirms Ratings on Three Classes HARRIS COUNTY: S&P Junks Rating on Housing Revenue Bonds HERTZ CORPORATION: Moody's Reviews Ratings on Series 2003-15 Notes HOME LOAN: Moody's Downgrades Rating on Three Tranches ILLINOIS STUDENT: Fitch Affirms Ratings on Senior Student Loans KENTUCKY HOUSING: S&P Downgrades Rating on Revenue Bonds to 'BB+' KMART FUNDING: Moody's Downgrades Rating on Senior Notes to 'C' KMART LEASE: Moody's Withdraws Ratings on Three Classes LB-UBS COMMERCIAL: Moody's Reviews Ratings on 26 2006-C4 Certs. LB-UBS COMMERCIAL: Moody's Reviews Ratings on 14 2006-C6 Certs. LB-UBS COMMERCIAL: Moody's Reviews Ratings on 17 2008-C1 Certs. LEHMAN MORTGAGE: S&P Downgrades Ratings on Four Classes of Notes LOUISIANA HOUSING: S&P Downgrades Rating on Bonds to 'BB+' LOUISIANA HOUSING: S&P Downgrades Rating on Housing Bonds to 'B' LUBBOCK HEALTH: S&P Reinstates 'B' Rating on 2001 Revenue Bonds MERRILL LYNCH: Moody's Downgrades Ratings on 67 Tranches MERRILL LYNCH: Moody's Reviews Ratings on 13 Certificates MISSISSIPPI BUSINESS: S&P Downgrades Rating on 1999A Bonds to 'BB' MISSISSIPPI HOME: S&P Downgrades Rating on Housing Bonds to 'BB' NATIONAL COLLEGIATE: Moody's Downgrades Ratings on 97 Classes NATIONAL COLLEGIATE: S&P Downgrades Ratings on Two Notes to 'D' NEVADA HOUSING: S&P Corrects Ratings on Housing Bonds to 'BB+' NEWCASTLE CDO: Moody's Downgrades Ratings on 10 Classes of Notes NEWCASTLE CDO: Moody's Downgrades Ratings on Four Classes of Notes NEWCASTLE CDO: Moody's Downgrades Ratings on Six Classes of Notes NEW MEXICO MORTGAGE: S&P Cuts Rating on Housing Bonds to 'B+' NEW MEXICO MORTGAGE: S&P Cuts Rating on Revenue Bonds to 'B+' NORTHWEST GEORGIA: S&P Downgrades Rating on Revenue Bonds to 'BB+' PACIFICA CDO: Moody's Upgrades Ratings on Three Classes of Notes REPACS TRUST: S&P Affirms 'B+' Rating on Series 2005 CDO RESIDENTIAL MORTGAGE: S&P Junks Rating on 2008-2 Notes RFC CDO: Moody's Downgrades Ratings on 10 Classes of Notes SAVANNAH HOUSING: S&P Downgrades Rating on Housing Bonds to 'BB+' ST JOSEPH: S&P Junks Rating on Refunding Bonds From 'BBB-' STUDENT LOAN: Moody's Downgrades Ratings on Nine Classes of Notes SUTTER CBO: Fitch Downgrades Ratings on Class B Notes to 'D' TERWIN MORTGAGE: Moody's Downgrades Rating on 19 Tranches TEXAS DEPARTMENT: S&P Downgrades Ratings on 2006 Bonds to 'B' TEXAS DEPARTMENT: S&P Downgrades Rating on Revenue Bonds to 'BB+' TIMES SQUARE: S&P Raises Rating on Mortgage Certs. to 'BB+' TLR MASTER: Moody's Downgrades Ratings on $11 Mil. Notes to 'B1' UBS COMMERCIAL: S&P Downgrades Ratings on 11 2007-FL1 Certs. WACHOVIA COMMERCIAL: Moody's Reviews Ratings on 2005-C21 Certs. WASHINGTON MUTUAL: Moody's Downgrades Ratings on 12 Tranches WESTWOOD CDO: Moody's Upgrades Rating on Class C Notes to Ba3 * S&P Cuts Rating on North Carolina Medical Care's Bonds to 'BB+' * S&P Downgrades Ratings on 10 Tranches From Six CDO Transactions * S&P Downgrades Ratings on 34 Classes From Five CMBS Deals ********* ALABAMA HOUSING: S&P Downgrades Ratings on Revenue Bonds to 'BB' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on Alabama Housing Finance Authority's (Ginnie Mae collateralized mortgage loan - Sherwood Apartments Project) multifamily housing revenue bonds series 2007D to 'BB' from 'AAA', and removed it from CreditWatch with negative implications. The bonds are secured by a Ginnie Mae mortgage backed security. On May 12, 2010, the issue was included in a rating action where S&P placed its ratings on certain housing issues on CreditWatch with negative implications due to revised criteria for certain federal government-enhanced housing transactions. 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. "The cash flow projections indicate, assuming no reinvestment earnings, that there will be insufficient revenues to pay regularly scheduled debt service starting on the Jan. 20, 2028, interest payment date," said Standard & Poor's credit analyst Moraa Andima. AMMC VII: 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 AMMC VII, Limited: -- US$17,500,000 Class C Deferrable Floating Rate Notes, Upgraded to Ba1 (sf); previously on June 5, 2009 Downgraded to Ba3 (sf); -- US$15,000,000 Class E Deferrable Floating Rate Notes, Upgraded to Caa3 (sf); previously on June 5, 2009 Downgraded to Ca (sf); -- US$3,300,000 Combination Securities Notes (current balance of $2,444,257), Upgraded to Caa2 (sf); previously on June 5, 2009 Downgraded to Ca (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from improvement in the credit quality of the underlying portfolio and an increase in the overcollateralization ratios of the notes since the last rating action in June 2009. In Moody's view, these positive developments coincide with reinvestment of principal proceeds (including higher than previously anticipated recoveries realized on defaulted securities) into substitute assets with higher ratings. Improvement in the credit quality is observed through an improvement in the average credit rating (as measured by the weighted average rating factor) and a decrease in the proportion of securities from issuers rated Caa1 and below. In particular, as of the latest trustee report dated August 20, 2010, the weighted average rating factor is currently 2571 compared to 2892 in the April 2009 report, and securities rated Caa1/CCC+ or lower make up approximately 7.82% of the underlying portfolio versus 16.54% in April 2009. Additionally, defaulted securities total about $9 million of the underlying portfolio compared to $39 million in April 2009. The overcollateralization ratios of the rated notes have also increased since the last rating action. The Class A/B, Class C, Class D and Class E overcollateralization ratios are reported at 119.22%, 114.04%, 106.12% and 103.43%, respectively, versus April 2009 levels of 110.66%, 105.99%, 98.85% and 95.89%, respectively, and all related overcollateralization tests are currently in compliance. In particular, the Class E overcollateralization ratio has increased due to the diversion of interest and principal proceeds to delever the Class E notes in the event of a Class E overcollateralization test failure. Moody's also notes that the Class D and Class E Notes are no longer deferring interest and that all previously 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 $456 million, defaulted par of $9 million, weighted average default probability of 27.63% (implying a WARF of 3646), a weighted average recovery rate upon default of 42.89%, and a diversity score of 65. 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. AMMC VII, Limited, issued in December 2006, 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, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. 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% (2917) -- Class A: +2 -- Class B: +3 -- Class C: +2 -- Class D: +3 -- Class E: +3 -- Combo: +2 Moody's Adjusted WARF + 20% (4375) -- Class A: -2 -- Class B: -2 -- Class C: -2 -- Class D: -2 -- Class E: -2 -- Combo: -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, where a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARR + 2% (44.89%) -- Class A: 0 -- Class B: +1 -- Class C: 0 -- Class D: +1 -- Class E: 0 -- Combo: 0 Moody's Adjusted WARR - 2% (40.89%) -- Class A: 0 -- Class B: 0 -- Class C: 0 -- Class D: 0 -- Class E: -1 -- Combo: -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, and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described below: 1) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis. 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) Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming worse of reported and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon, and diversity score. ASG RESECURITIZATION: S&P Assigns Ratings on $49.1 Mil. RMBS ------------------------------------------------------------ Standard & Poor's Ratings Services assigned its ratings to ASG Resecuritization Trust 2010-4's $49.1 million residential mortgage-backed certificates. ASG Resecuritization Trust 2010-4 is a U.S. resecuritized real estate mortgage investment conduit residential mortgage-backed securities transaction backed by residential mortgage loans. The ratings reflect S&P's view of: * The timely interest and principal payments made under stressed scenarios, which are consistent with the assigned rating categories; * The underlying transactions' subordination levels, loss severities, and delinquency pipelines; * S&P's ratings on the underlying securities rating and the underlying securities expected performance; and * The transaction's payment and legal structures. Ratings Assigned ASG Resecuritization Trust 2010-4 Interest Amount Class Rating Type rate (mil. $) ----- ------ ---- -------- -------- 2-G14 AA sf) Sequential, exchangeable Pass-through 6.995 2-G17 A (sf) Sequential, exchangeable Pass-through 1.500 2-G20 BBB sf) Sequential, exchangeable Pass-through 1.499 2-G23 BB (sf) Sequential, exchangeable Pass-through 1.499 2-G26 B (sf) Sequential, exchangeable Pass-through 1.499 2-G29 NR (sf) Sequential, exchangeable Pass-through 1.499 2-G100 NR (sf) Sequential, exchangeable Pass-through 34.603 NR -- Not rated. ATHENS HOUSING: S&P Downgrades Ratings on Housing Bonds to 'BB+' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered to 'BB+' from 'AAA' the rating on Athens Housing Authority, Ga.'s multifamily housing revenue bonds, series 2003 (Athens Gardens Apartments Project), and removed it from CreditWatch. The bonds are secured by a Ginnie Mae mortgage-backed security. On May 12, 2010, the issue was included in a rating action where S&P placed its ratings on certain housing issues on CreditWatch with negative implications due to revised criteria for certain federal government-enhanced housing transactions. S&P's revised criteria affect government-enhanced housing transactions where funds are invested in money market funds and other investments with no guaranteed rate of return. 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. The cash flow projections that indicate that assuming no reinvestment earnings that there will be insufficient revenues to pay regularly scheduled debt service starting on the Aug. 20, 2035, interest payment date. On that date, the shortfall is projected to be just over $1,400. The projected shortfall generally grows each interest payment date and reaches just under $18,000 by bond maturity on Aug. 20, 2044, assuming no interest earnings from now until that date. In the event that the security prepays, there are sufficient assets to cover the reinvestment risk based on the 15-day minimum notice period required for special redemptions. ATHENS HOUSING: S&P Downgrades Rating on Revenue Bonds to 'BB' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on Athens Housing Authority, Georgia's (Clarke Gardens Apartments Project) multifamily housing revenue bonds series 2003 to 'BB' from 'AAA', and removed it from CreditWatch with negative implications. The bonds are secured by a Ginnie Mae mortgage-backed security. On May 12, 2010, the issue was included in a rating action where S&P placed its ratings on certain housing issues on CreditWatch with negative implications due to revised criteria for certain federal government-enhanced housing transactions. S&P's revised criteria affect government-enhanced housing transactions that have funds invested in money market funds and other investments with no guaranteed rate of return. 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. "The cash flow projections indicate that, assuming no reinvestment earnings, there will be insufficient revenues to pay regularly scheduled debt service starting on the Aug. 20, 2025 interest payment date," said Standard & Poor's credit analyst Moraa Andima. AUGUSTA HOUSING: S&P Downgrades Ratings on Housing Bonds to 'BB' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered to 'BB' from 'AAA' the rating on Augusta Housing Authority, Ga.'s multifamily housing revenue bonds, series 2004, issued on the behalf of the Bon Air Apartment Project, and removed it from CreditWatch. The bonds are secured by a Ginnie Mae mortgage-backed security. On May 12, 2010, the issue was included in a rating action where S&P placed its ratings on certain housing issues on CreditWatch with negative implications due to revised criteria for certain federal government-enhanced housing transactions. S&P's revised criteria affect government-enhanced housing transactions where funds are invested in money market funds and other investments with no guaranteed rate of return. 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. The cash flow projections that indicate that assuming no reinvestment earnings that there will be insufficient revenues to pay regularly scheduled debt service starting on the Nov. 20, 2027, interest payment date. On that date, the shortfall is projected to be just under $950. The projected shortfall generally grows each interest payment date and will reach just over $52,000 by bond maturity on Nov. 20, 2045, assuming no interest earnings from now until that date. Beginning Nov. 20, 2037, in the event that the security prepays, there may be insufficient assets to cover the reinvestment risk based on the 15-day minimum notice period required for special redemptions. AUSTIN HOUSING: S&P Downgrades Rating on Housing Bonds to 'BB+' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered to 'BB+' from 'AAA' the rating on the Austin Housing Finance Corp., Texas' series 2010 multifamily housing revenue bonds (Ginnie Mae collateralized mortgage loan; Elm Ridge Apartments), and removed it from CreditWatch. The bonds are secured by a Ginnie Mae mortgage- backed security. On May 12, 2010, the issue was included in a rating action where S&P placed its ratings on certain housing issues on CreditWatch with negative implications due to revised criteria for certain federal government-enhanced housing transactions. S&P's revised criteria affect government-enhanced housing transactions where funds are invested in money market funds and other investments with no guaranteed rate of return. 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. The cash flow projections that indicate that assuming no reinvestment earnings that there will be insufficient revenues to pay regularly scheduled debt service on the Jan. 20, 2038, interest payment date. On that date, the shortfall is projected to be just over $2,700. The projected shortfall generally grows each interest payment date and reaches just over $19,000 by bond maturity on Jan. 20, 2051, assuming no interest earnings from now until that date. Beginning Jan. 20, 2049, in the event that the security prepays, there may be insufficient assets to cover the reinvestment risk based on the 15-day minimum notice period required for special redemptions. BEAR STEARNS: Moody's Corrects Press Release on Note Ratings ------------------------------------------------------------ The total outstanding balance of the securities impacted by the rating actions listed in the September 16, 2010 press release was incorrectly stated as $17.7 billion. The correct amount is $8.1 billion. Revised press release: Moody's takes action on $8.1 billion of Alt-A RMBS issued by Bear Stearns in 2006 and 2007 Moody's Investors Service has downgraded the ratings of 145 tranches, upgraded the ratings of three tranches and confirmed the ratings of eight tranches from 11 RMBS transactions issued by Bear Stearns Alt-A Trust. The collateral backing these deals primarily consists of first-lien, adjustable-rate Alt-A residential mortgages. Ratings Rationale The actions are a result of the continued performance deterioration in Alt-A pools in conjunction with home price and unemployment 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) (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. In addition, the rating on the Tranche II-X-1, an interest-only tranche issued by Bear Stearns ALT-A 2006-6, has been adjusted to reflect the fact that the notional balance of Tranche II-X-1 is linked to the outstanding principal balances of both Tranches II- A-1 and II-A-2. Previous rating actions were based on the incorrect assumption that the notional balance of Tranche II-X-1 was linked to the outstanding principal balance of Tranche II-A-2 only. 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: Bear Stearns Alt-A 2006-1 -- Cl. I-1A-1, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-1A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-1A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-1A-2, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-1A-3, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-1X-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-1X-2, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-2A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-2A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-2X-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-3A-1, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-3A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-3X-1, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Alt-A Trust 2006-2 -- Cl. I-1A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-1A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-1A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-1A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-2A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-2A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-2X-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-3A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-3A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-3X-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-4A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-4A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-4X-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Alt-A Trust 2006-3 -- Cl. I-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-1A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-1A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-1X-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-2A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-2A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-2X-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-3A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-3A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-3X-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-4A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-4A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-1A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. III-1A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. III-1X-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. III-2A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. III-2A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. III-2X-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. III-3A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. III-3A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. III-4A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. III-4A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. III-4X-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. III-5A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-5A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. III-6A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-6A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Alt-A Trust 2006-4 -- Cl. I-1A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-1A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-2A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-2A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-3A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-3A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-1A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-1A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-2A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-2A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-2X-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-2X-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-3A-2, Confirmed at Caa2 (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-3A-3, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-3A-4, Downgraded to C (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-3A-5, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-3X-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-3X-2, Confirmed at Caa2 (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. III-1A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. III-1A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. III-2A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. III-2A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. III-3A-2, Confirmed at Caa3 (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-3A-3, Downgraded to C (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-3A-4, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. III-3A-1, Upgraded to B1 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. III-3X-1, Upgraded to B1 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. III-3X-2, Confirmed at Caa3 (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Alt-A Trust 2006-5 -- Cl. I-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-X-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-X-2, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-X-3, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Alt-A Trust 2006-6 -- Cl. I-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. III-1A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-1A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-1X-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-1X-2, Downgraded to C (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-1X-3, Downgraded to C (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-1X-4, Downgraded to C (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-1X-5, Downgraded to C (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-1X-6, Downgraded to C (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-2A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-2A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-2X-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-2X-2, Downgraded to C (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-2X-3, Downgraded to C (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-2X-4, Downgraded to C (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-2X-5, Downgraded to C (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-2X-6, Downgraded to C (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-X-1, Upgraded to Caa3 (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Alt-A Trust 2006-7 -- Cl. I-A-1, Confirmed at Caa3 (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-1A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-1A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-1X-1, Confirmed at Ca (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-2A-1A, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-2A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-2X-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-3A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-3A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-3X-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-2A-1B, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-2X-2, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-2X-3, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-2X-4, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-2X-5, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Alt-A Trust 2006-8 -- Cl. I-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-X-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-1, Confirmed at Aa3 (sf); previously on Jan. 14, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-2, Downgraded to B3 (sf); previously on Jan. 14, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. III-X-1, Confirmed at Aa3 (sf); previously on Jan. 14, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-B-1, Downgraded to C (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. III-B-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. III-B-3, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Alt-A Trust 2007-1 -- Cl. I-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-1A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-1A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-1X-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-2A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-2A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-2X-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ALT-A Trust 2007-2 -- Cl. I-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-X-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-X-2, Downgraded to C (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-X-3, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ALT-A Trust 2007-3 -- Cl. I-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade BROOKS COUNTY: S&P Corrects Rating on Series 2004 Certs. to 'NR' ---------------------------------------------------------------- Standard & Poor's Ratings Services has corrected its rating on Brooks County, Texas' series 2004 certificates of obligation to 'NR' from 'R'. The rating has been withdrawn. CALLIDUS DEBT: Moody's Upgrades Ratings on Various Classes ---------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Callidus Debt Partners CLO Fund VI, Ltd.: -- US$25,000,000 Class A-1D Delayed Draw Senior Secured Floating Rate Notes Due 2021, Upgraded to A1 (sf); previously on June 5, 2009 Downgraded to A3 (sf); -- US$279,000,000 Class A-1T Senior Secured Floating Rate Notes Due 2021, Upgraded to A1 (sf); previously on June 5, 2009 Downgraded to A3 (sf); -- US$23,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2021, Upgraded to Baa2 (sf); previously on June 5, 2009 Downgraded to Baa3 (sf); -- US$17,500,000 Class B Senior Secured Deferrable Floating Rate Notes Due 2021, Upgraded to Ba2 (sf); previously on June 5, 2009 Downgraded to Ba3 (sf); -- US$20,500,000 Class C Senior Secured Deferrable Floating Rate Notes Due 2021, Upgraded to Caa2 (sf); previously on June 5, 2009 Downgraded to Ca (sf); -- US$13,000,000 Class D Senior Secured Deferrable Floating Rate Notes Due 2021, Upgraded to Ca (sf); previously on June 5, 2009 Downgraded to C (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from improvement in credit quality of the underlying portfolio and an increase in the overcollateralization of the notes since the rating action in June 2009. Improvement in the credit quality is observed through an improvement in the average credit rating (as measured by the weighted average rating factor). In particular, as of the latest trustee report dated September 13, 2010, the weighted average rating factor was 2611 as compared to 3039 in May 2009. The dollar amount of defaulted securities has decreased to about $5.8 million from approximately $24 million in May 2009. Based on the same report, securities rated Caa1 or lower make up approximately 7.35% of the underlying portfolio versus 16.27% in May 2009. Additionally, the overcollateralization ratios have increased significantly since the rating action in June 2009 and are currently all in compliance. The Class A, Class B, Class C, and Class D Overcollateralization Tests are reported at 121.0%, 114.6%, 107.9%, and 104.1%, respectively versus May 2009 levels of 111.0%, 105.3%, 99.3%, and 95.8%. 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 $377.6 million, defaulted par of $7.1 million, weighted average default probability of 30.98% (implying a WARF of 3963), a weighted average recovery rate upon default of 41.15%, and a diversity score of 63. 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. Callidus Debt Partners CLO Fund VI, Ltd., issued in September 2007, 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, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. 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% (3170) -- Class A-1D: +3 -- Class A-1T: +3 -- Class A-2: +3 -- Class B: +3 -- Class C: +2 -- Class D: +2 Moody's Adjusted WARF + 20% (4756) -- Class A-1D: -2 -- Class A-1T: -2 -- Class A-2: -2 -- Class B: -2 -- Class C: -4 -- Class D: -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% (43.15%) -- Class A-1D: +1 -- Class A-1T: +1 -- Class A-2: 0 -- Class B: 0 -- Class C: 0 -- Class D: 0 Moody's Adjusted WARR - 2% (39.15%) -- Class A-1D: 0 -- Class A-1T: 0 -- Class A-2: -1 -- Class B: -1 -- Class C: -2 -- Class D: 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 and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described below: 1) 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. 2) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis. 3) Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming lower of reported and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon, and diversity score. CANARAS SUMMIT: 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 Canaras Summit CLO Ltd.: -- US$148,500,000 Class A-1 Floating Rate Senior Secured Notes Due 2021 (current outstanding balance of $144,015,800), Upgraded to Aa2 (sf); previously on June 25, 2009 Downgraded to Aa3 (sf); -- US$75,000,000 Class A-2 Floating Rate Delayed Funding Senior Secured Notes Due 2021 (current outstanding balance of $72,735,252), Upgraded to Aa2 (sf); previously on June 25, 2009 Downgraded to Aa3 (sf); -- US$18,000,000 Class B Floating Rate Subordinate Secured Notes Due 2021, Upgraded to A3 (sf); previously on June 25, 2009 Downgraded to Baa1 (sf); -- US$10,500,000 Class E Floating Rate Junior Subordinate Secured Deferrable Notes Due 2021, Upgraded to Caa3 (sf); previously on June 25, 2009 Downgraded to Ca (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from improvement in the credit quality of the underlying portfolio and an increase in the overcollateralization ratios of the notes since the last rating action in June 2009. In Moody's view, these positive developments coincide with reinvestment of sale proceeds (including higher than previously anticipated recoveries realized on defaulted securities) into substitute assets with higher par amounts and/or higher ratings. Improvement in the credit quality is observed through an improvement in the average credit rating (as measured by the weighted average rating factor) and a decrease in the proportion of securities from issuers rated Caa1 and below. Based on the September 2010 trustee report, the weighted average rating factor is 2649 compared to 3054 in May 2009, and securities rated Caa1 and below make up approximately 5% of the underlying portfolio versus 8% in May 2009. Moody's adjusted WARF has also declined since the last rating action due to a decrease in the percentage of securities with ratings on "Review for Possible Downgrade" or with a "Negative Outlook." The deal also experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to $0 from approximately $22 million in May 2009. The overcollateralization ratios of the rated notes have also increased since the last rating action as a result of paydowns of senior notes due to overcollateralization ratio failures and higher than expected recoveries on defaulted securities. The Class A/B, Class C, Class D and Class E overcollateralization ratios are reported at 121.56%, 113.35%, 109.02%, and 104.81%, respectively, versus May 2009 levels of 114.79%, 107.18%, 103.15%, and 99.18%, respectively, and all related overcollateralization tests are currently in compliance. Moody's also notes that the Class E Notes are no longer deferring interest and that all previously 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 $284 million, defaulted par of $0.9 million, weighted average default probability of 28.4% (implying a WARF of 3570), a weighted average recovery rate upon default of 44.3%, and a diversity score of 63. 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. Canaras Summit CLO Ltd., issued in June 27, 2007, 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, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. 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% (2856) -- Class A1: +2 -- Class A2: +2 -- Class B: +2 -- Class C: +2 -- Class D: +2 -- Class E: +4 Moody's Adjusted WARF + 20% (4284) -- Class A1: -1 -- Class A2: -1 -- Class B: -2 -- Class C: -1 -- Class D: -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, where a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARR + 2% (46.3%) -- Class A1: +1 -- Class A2: +1 -- Class B: 0 -- Class C: +1 -- Class D: +1 -- Class E: +1 Moody's Adjusted WARR - 2% (42.3%) -- Class A1: 0 -- Class A2: 0 -- Class B: -1 -- Class C: 0 -- 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, and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described below: 1) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis. 2) Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming lower of reported and covenanted values for weighted average rating factor and diversity score. With respect to the weighted average spread, Moody's analyzed the impact assuming a mid- point between the reported and the covenanted value to give some credit to the deal's higher weighted average spread. CAPITALSOURCE COMMERCIAL: Fitch Cuts $19MM Notes Rating to CCsf --------------------------------------------------------------- Fitch Ratings has affirmed four classes and downgraded one class of notes issued by CapitalSource Commercial Loan Trust 2007-1. Fitch has also assigned a Loss Severity rating or a Recovery Rating on each class of notes, and has revised several Rating Outlooks. The rating actions are: -- $96,627,816 class A notes affirmed at 'AAsf/LS3'; Outlook to Negative from Stable; -- $11,530,614 class B notes affirmed at 'Asf/LS5'; Outlook to Negative from Stable; -- $48,428,579 class C notes affirmed at 'BBsf/LS3'; Outlook Negative; -- $27,673,474 class D notes affirmed at 'B-sf/LS4'; Outlook Negative; -- $19,602,044 class E notes downgraded to 'CCsf/RR3' from 'CCCsf'. The affirmations reflect the credit enhancement available to the notes in the forms of collateral coverage, note subordination, and the application of excess spread to reduce the principal balances of the notes in order of priority. Since Fitch's last review in April 2009, the class A notes have received approximately $215.7 million of principal payments. Of this amount, Fitch calculates that over $55 million of the principal redemptions came from available interest proceeds (including recoveries on charged-off loans). In total, the class A notes have received about 83.5% of their initial principal balance since close. Some credit deterioration in the underlying portfolio has occurred since Fitch's last review, as the transaction has charged-off an additional $26.1 million of loans during this time. However, this has mostly been offset by $25.5 million of recoveries on charged- off loans received during the same period. The Sept. 15, 2010 servicer report indicated a cumulative charged-off loan balance of $57.2 million - relatively unchanged from the April 15, 2009 servicer report that indicated $56.6 million of charged-off loans. As of the most recent report, there was also a $6.6 million loan that was over 30 days delinquent. The combination of excess spread and principal proceeds being applied toward class A principal has enabled the class A, B, C, and D notes to retain sufficient credit enhancement to maintain their current ratings. However, Fitch notes that the underlying portfolio has become increasingly concentrated, as only 20 performing obligors remain. Fitch has downgraded the class E notes, and assigned Negative Outlooks on the class A, B, C, and D notes, to account for the potential risk presented by the portfolio concentration. The class A, B, C, and D notes have each been assigned a Loss Severity rating. The LS ratings indicate each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the base-case loss expectation for the collateral, as explained in Fitch's 'Criteria for Structured Finance Loss Severity Ratings'. The LS rating should always be considered in conjunction with the notes' long-term credit rating. The class E notes were assigned a Recovery Rating (RR) based on the total discounted future cash flows projected to be available to these bonds in a base-case default scenario. These discounted cash flows of approximately $11.9 million yielded an ultimate recovery projection in a range between 51% and 70%, which is representative of an 'RR3' on Fitch's Recovery Rating scale. Recovery Ratings are designed to provide a forward-looking estimate of recoveries on currently distressed or defaulted structured finance securities rated 'CCC' or below. For further detail on Recovery Ratings, please see Fitch's reports 'Global Rating Criteria for Corporate CDOs' and 'Criteria for Structured Finance Recovery Ratings'. CapitalSource 2007-1 is a static collateralized debt obligation that closed on April 12, 2007 and is managed by CapitalSource Finance LLC. CapitalSource 2007-1 is secured by a portfolio of middle-market corporate loans, 80.8% of which are first-lien and 19.2% of which are second-lien or subordinate. The majority of these loans are not publicly rated. Instead, Fitch provides model-based shadow ratings for the performing loans. Information for the model-based shadow ratings was gathered from financial statements provided to Fitch by CapitalSource. CAPITALSOURCE COMMERCIAL: Fitch Keeps $14MM Notes' CCC/RR1 Rating ----------------------------------------------------------------- Fitch Ratings affirms four classes of notes issued by CapitalSource Commercial Loan Trust 2006-1. The affirmations are attributable to improved credit enhancement available to the notes, offset by the increased concentration risk of the portfolio. The portfolio has become more concentrated since the last review in April 2009, with 18 performing obligors in the portfolio, down from 33. The largest obligor comprises approximately 33.5% of the portfolio, whose default could impact the performance of the most subordinate classes. While excess spread offsets this exposure, the Outlook remains Negative on the notes to reflect the risk. In addition, the weighted average rating of the performing portfolio has remained relatively stable at 'CCC+'. Approximately 43.2% of the portfolio is currently considered 'CCC+' or below by Fitch, an improvement from 52.5% at the last review. The Rating Outlook on the class D notes remains Negative to reflect the notes' exposure to future deterioration in portfolio credit quality and losses in an increasingly concentrated portfolio. These notes show considerable vulnerability to obligor concentration risk, and may experience losses if recoveries on defaults fall below expectations. The notes were also assigned Loss Severity ratings. The LS ratings indicate each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the base- case loss expectation for the collateral, as explained in Fitch's 'Criteria for Structured Finance Loss Severity Ratings'. The LS rating should always be considered in conjunction with the notes' long-term credit rating. Fitch does not assign LS ratings to tranches rated 'CCC' and below. The class E notes were assigned a Recovery Rating (RR) based on the total discounted future cash flows projected to be available to these bonds in a base-case default scenario. These discounted cash flows of approximately $13.4 million yielded an ultimate recovery projection in a range between 91% and 100%, which is representative of an 'RR1' on Fitch's Recovery Rating scale. Recovery Ratings are designed to provide a forward-looking estimate of recoveries on currently distressed or defaulted structured finance securities rated 'CCC' or below. For further detail on Recovery Ratings, please see Fitch's reports 'Global Surveillance Criteria for Corporate CDOs' and 'Criteria for Structured Finance Recovery Ratings'. CapitalSource CLT 2006-1 is a static, sequentially paying transaction that closed on April 11, 2006, with approximately $89.6 million of performing assets left in its portfolio. The performing portfolio is composed of 100% middle-market first-lien loans, 70.7% of which are asset-based loans. Fitch provides model-based shadow ratings on the majority of the performing loans. Information for the model-based shadow ratings was gathered from financial statements provided to Fitch by CapitalSource. Fitch has affirmed, assigned RR and LS ratings to CapitalSource CLT 2006-1 as indicated: -- $2,963,356 class B notes affirmed at 'AA/LS5', Outlook Stable; -- $31,592,004 class C notes affirmed at 'BBB/LS3', Outlook Stable; -- $24,371,449 class D notes affirmed at 'B/LS3', Outlook Negative; -- $14,442,033 class E notes affirmed at 'CCC/RR1'. CAPITALSOURCE COMMERCIAL: Fitch Keeps Bsf/LS5 Rating on E Notes --------------------------------------------------------------- Fitch Ratings has affirmed and assigned Loss Severity ratings to six classes of notes issued by CapitalSource Commercial Loan Trust 2006-2: -- $50,766,110 class A-PT notes at 'AAAsf/LS3'; Outlook Stable; -- $118,031,206 class A-1B notes at 'AAAsf/LS3'; Outlook Stable; -- $71,250,000 class B notes at 'AAsf/LS4'; Outlook Stable; -- $157,500,000 class C notes at 'Asf/LS3'; Outlook Negative; -- $101,250,000 class D notes at 'BBB-sf/LS4'; Outlook Negative; -- $56,250,000 class E notes at 'Bsf/LS5'; Outlook Negative. In addition, this class has been paid in full: -- $0 class A-1A notes 'PIF'. The affirmations reflect the credit enhancement available to the notes in the forms of collateral coverage, note subordination, and the application of excess spread to reduce the principal balances of the notes in order of priority. Since Fitch's last review in April 2009, the class A-PT, A-1A, and A-1B (collectively, class A) notes have received approximately $723.9 million of principal payments. This has led to the payment in full of the class A-1A notes, which were paid principal prior to class A-1B. In total, the class A notes have received about 83.1% of their initial principal balance since close. The underlying portfolio has experienced some deterioration since Fitch's last review, but the application of excess spread to reduce the liabilities has largely offset the notable increase in charged-off loans. The cumulative charged-off loan balance was reported at approximately $180.9 million as of the Sept. 15, 2010 servicer report. This represents a marked increase from the March 15, 2009 report, when the cumulative charged-off loan balance was reported at approximately $58.8 million. Over this same period, however, Fitch calculates over $116.8 million of interest proceeds (including recoveries on charged-off loans) being used to pay class A principal. The combination of excess spread and principal proceeds being applied toward class A principal has enabled the notes to retain sufficient credit enhancement to maintain their current ratings, and the Outlook on the class A and B notes remains Stable. Fitch maintains its Negative Outlook on the class C, D, and E notes due to the potential for further credit deterioration in the underlying portfolio. Fitch currently considers 42.5% of the performing portfolio to be rated 'CCC+' or below. In addition, the performing portfolio has a significant concentration in loans related to the banking & finance sector (25.2%). Finally, there is some obligor concentration risk present, as the five largest obligors account for 30.8% of the performing portfolio. Each class of notes has been assigned a Loss Severity rating. The LS ratings indicate each tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the base- case loss expectation for the collateral, as explained in Fitch's 'Criteria for Structured Finance Loss Severity Ratings'. The LS rating should always be considered in conjunction with the notes' long-term credit rating. CapitalSource 2006-2 is a collateralized debt obligation that closed on Sept. 28, 2006 and is managed by CapitalSource Finance LLC. The transaction had a three-year reinvestment period that was terminated in early 2009 due to excessive charged-off loans. CapitalSource 2006-2 is secured by a portfolio of middle-market corporate loans, 87.5% of which are first-lien and 12.5% of which are second-lien or subordinate. The majority of these loans are not publicly rated. Instead, Fitch provides model-based shadow ratings for the performing loans. Information for the model-based shadow ratings was gathered from financial statements provided to Fitch by CapitalSource. CAPMARK VII: Moody's Takes Rating Actions on Various Classes ------------------------------------------------------------ Moody's has confirmed two and downgraded nine classes of Notes issued by Capmark VII -- CRE Ltd. due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor, current under- collateralization and increase in Defaulted Collateral Interests. The affirmations are due to the pace of amortization of the senior class of Notes and changes in the expected loss distribution of the collateral. The rating action, which concludes Moody's review, is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. Moody's rating action is: -- Cl. A-1, Confirmed at Aaa (sf); previously on Nov. 19, 2009 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B1 (sf); previously on Nov. 19, 2009 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Caa2 (sf); previously on Nov. 19, 2009 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Caa3 (sf); previously on Nov. 19, 2009 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Confirmed at Caa3 (sf); previously on Nov. 19, 2009 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to Ca (sf); previously on Nov. 19, 2009 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to C (sf); previously on Nov. 19, 2009 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to C (sf); previously on Nov. 19, 2009 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to C (sf); previously on Nov. 19, 2009 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. J, Downgraded to C (sf); previously on Nov. 19, 2009 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. K, Downgraded to C (sf); previously on Nov. 19, 2009 Ca (sf) Placed Under Review for Possible Downgrade Ratings Rationale Capmark VII -- CRE Ltd. is a static (originally revolving) CRE CDO transaction backed by a portfolio A-Notes and whole loans (97.4% of the pool balance) and B-Notes (2.6%). As of the September 8, 2010 Trustee report, the aggregate Note balance of the transaction has decreased to $754.4 million from $1,000 million at issuance, with the paydown directed to the Class A-1 Notes, as a result of failing the Class A/B principal coverage tests, recoveries from Defaulted Collateral Interests and collateral pay-down. As of the September 8, 2010 Trustee report, the total collateral balance of the transaction is $663.7 million. There are twelve assets with par balance of $147.3 million (22.2% of the current pool balance) that are considered Defaulted Collateral Interests as of the September 8, 2010 Trustee report. Moody's expects significant losses from the Defaulted Collateral Interests to occur once they are realized. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weihted 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. For non-CUSIP collateral, Moody's is eliminating the additional default probability stress applied to corporate debt in CDOROM(R) v2.6 as Moody's expect the underlying non-CUSIP collateral to experience lower default rates and higher recovery compared to corporate debt due to the nature of the secured real estate collateral. Moody's modeled a bottom-dollar WARF of 9,060 compared to 9,938 at last review. The distribution of current ratings and credit estimates is: Ba1-Ba3 (0.1% compared to 0.0% at last review), B1-B3 (11.9% compared to 0.0% at last review), and Caa1-C (88.0% compared to 100% 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 1.1 years compared to 7.4 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 52.8% compared to 54.9% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). For non-CUSIP collateral, Moody's is reducing the maximum over concentration stress applied to correlation factors due to the diversity of tenants, property types, and geographic locations inherent in pooled transactions. Moody's modeled a MAC of 99.9% compared to 20.7% at last review. The high MAC is due to higher default probability collateral concentrated within a small number of collateral names. 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 the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios 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 52.8% to 42.8% or up to 62.8% would result in average rating movement on the rated tranches of 1 to 4 notches downward and 0 to 4 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. CD 2006-CD2: Moody's Reviews Ratings on 22 Classes of Certs. ------------------------------------------------------------ Moody's Investors Service placed 22 classes of CD 2006-CD2 Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2006-CD2 on review for possible downgrade: -- Cl. A-1A, $307.614M, Aaa (sf) Placed Under Review for Possible Downgrade; previously on March 22, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, $839.906M, Aaa (sf) Placed Under Review for Possible Downgrade; previously on March 22, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-M, $305.934M, Aaa (sf) Placed Under Review for Possible Downgrade; previously on March 22, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-J, $217.979M, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 12, 2009 Downgraded to Aa3 (sf) -- Cl. B, $22.945M, A1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 12, 2009 Downgraded to A1 (sf) -- Cl. C, $34.417M, A2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 12, 2009 Downgraded to A2 (sf) -- Cl. D, $38.242M, A3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 12, 2009 Downgraded to A3 (sf) -- Cl. E, $49.714M, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 12, 2009 Downgraded to Baa2 (sf) -- Cl. F, $42.066M, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 12, 2009 Downgraded to Baa3 (sf) -- Cl. G, $38.242M, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 12, 2009 Downgraded to Ba2 (sf) -- Cl. H, $34.418M, B1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 12, 2009 Downgraded to B1 (sf) -- Cl. J, $34.418M, B3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 12, 2009 Downgraded to B3 (sf) -- Cl. K, $15.296M, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 12, 2009 Downgraded to Caa2 (sf) -- Cl. L, $11.473M, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 12, 2009 Downgraded to Caa2 (sf) -- Cl. M, $11.472M, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 12, 2009 Downgraded to Caa3 (sf) -- Cl. N, $7.649M, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 12, 2009 Downgraded to Caa3 (sf) -- Cl. O, $7.648M, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 12, 2009 Downgraded to Caa3 (sf) -- Cl. P, $7.648M, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 12, 2009 Downgraded to Caa3 (sf) -- Cl. VPM-1, $10.300M, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 12, 2009 Downgraded to Baa2 (sf) -- Cl. VPM-2, $18.200M, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 12, 2009 Downgraded to Baa3 (sf) -- Cl. VPM-3, $2.700M, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 12, 2009 Downgraded to Baa3 (sf) -- Cl. VPM-4, $18.800M, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 12, 2009 Downgraded to Ba1 (sf) The classes were placed on review due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. 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 February 12, 2009. Please see the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history. Deal And Performance Summary As of the September 17, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 7% to $2.89 billion from $3.1 billion at securitization. The Certificates are collateralized by 194 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans representing 32% of the pool. Two loans, representing 0.6% of the pool, have defeased and are collateralized by U.S. Government securities. The pool includes one loan with an underlying rating, representing 3% of the pool. Thirty-nine loans, representing 16% 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. Two loans have been liquidated from the pool since securitization, resulting in an aggregate $37 million loss (52% loss severity on average). Currently, 16 loans, representing 26% of the pool, are in special servicing. The largest loan in the pool is the Villa Parkmerced Loan ($350.0 million -- 12% of the pool), which is secured by a 3,221-unit, multi-family complex in San Francisco, CA. The loan was transferred to special servicing in May 2010 for imminent default. The loan matures in October 2010. The remaining 15 specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $62.0 million appraisal reduction for the specially serviced loans. Based on the most recent remittance statement, Classes H through NR have experienced cumulative interest shortfalls totaling $3.7 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions and extraordinary trust expenses. Moody's review will focus on potential losses from specially serviced and troubled loans and the performance of the overall pool. CENTERLINE 2007-1: S&P Downgrades Ratings on 14 Classes of Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 14 classes from Centerline 2007-1 Resecuritization Trust, a commercial real estate collateralized debt obligation transaction. At the same time, S&P affirmed its ratings on two other classes from the same transaction. The downgrades and affirmations reflect S&P's analysis of the transaction following the termination of the interest rate swap contract for the class A-1 certificates, which resulted in a payment due to the hedge counterparty. The downgrades of classes B through O reflect S&P's expectations that the interest payments on these classes will be deferred for an extended period of time due to a termination payment owed to the hedge counterparty. S&P lowered its rating to 'D (sf)' on class P following a principal loss of $8.9 million to the class as noted in the Sept. 22, 2010, remittance report due to losses from the underlying commercial mortgage-backed securities collateral. S&P previously lowered the affirmed 'D (sf)' ratings on class A-1 and A-2 due to interest shortfalls to the nondeferrable classes. These classes continue to experience interest shortfalls according to the Sept. 22, 2010, remittance report. The trustee, Wells Fargo Bank N.A., provided notice on Sept. 23, 2010, that the hedge counterparty has chosen to terminate the interest rate swap contract in the transaction. On Sept. 29, 2010, the trustee provided notice that the termination of the hedge triggered termination payments totaling $57.8 million to the counterparty. According to S&P's interpretation of the transaction's documents and payment waterfall, the termination payments to the hedge counterparty are made before any interest or principal proceeds are made available to the deferrable classes. S&P expects that the termination payments may not be paid in full for several years, and full principal and interest payments to deferrable classes will likely not be paid for many years. According to the most recent trustee report, Centerline 2007-1 was collateralized by 108 CMBS certificates and three resecuritized real estate mortgage investment conduit certificates ($832.8 million, 100%) from 19 distinct transactions issued between 2000 and 2007. Standard & Poor's analyzed Centerline 2007-1 according to its current criteria. The analysis is consistent with the lowered and affirmed ratings. Ratings Lowered Centerline 2007-1 Resecuritization Trust Rating ------ Class To From ----- -- ---- B CC (sf) CCC- (sf) C CC (sf) CCC- (sf) D CC (sf) CCC- (sf) E CC (sf) CCC- (sf) F CC (sf) CCC- (sf) G CC (sf) CCC- (sf) H CC (sf) CCC- (sf) J CC (sf) CCC- (sf) K CC (sf) CCC- (sf) L CC (sf) CCC- (sf) M CC (sf) CCC- (sf) N CC (sf) CCC- (sf) O CC (sf) CCC- (sf) P D (sf) CCC- (sf) Ratings Affirmed Centerline 2007-1 Resecuritization Trust Class Rating ----- ------ A-1 D (sf) A-2 D (sf) CHASE COMMERCIAL: S&P Downgrades Ratings on Various Notes --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class G, H, and I commercial mortgage-backed securities from Chase Commercial Mortgage Securities Corp.'s series 2000-1. At the same time, S&P withdrew its rating on class F and affirmed its 'D (sf)' ratings on classes J, K, and L. S&P previously downgraded the class J, K, and L certificates to 'D (sf)' due to interest shortfalls. The downgrades of classes G and H reflect Standard & Poor's analysis of potential interest shortfalls to the classes. S&P considered the susceptibility of the transaction to future interest shortfalls given the portion of the collateral that is with the special servicer (six of the remaining seven assets, representing 64.3% of the collateral pool). The servicer has deemed advances on two of these loans ($10.1 million; 29.0%) nonrecoverable. S&P lowered its rating on class I to 'D (sf)' following a principal loss the class sustained, as noted in the September 2010 remittance report. S&P withdrew its rating on class F following the repayment in full of the class' principal balance, as noted in the September 2010 remittance report. In addition, S&P affirmed its 'D (sf)' ratings on classes J, K, and L. S&P lowered its ratings on these classes to 'D (sf)' on March 11, 2004, due to interest shortfalls S&P determined were recurring at that time. According to the September 2010 remittance report, classes J, K, and L have subsequently sustained full principal losses. Specially Serviced Assets As of the September 2010 remittance report, six of seven assets ($22.3 million, 64.3%) that remain in the transaction were with the special servicer, LNR Partners Inc. Two of these assets are real estate owned (REO, $7.9 million, 22.8%), one is in foreclosure ($6.6 million, 19.1%), and three are classified as matured balloon loans ($7.8 million, 22.4%). Four of the specially serviced assets have appraisal reduction amounts in effect totaling $7.3 million. S&P describe the three largest assets in special servicing below. The Sahara Rainbow Center loan, the second-largest asset in the pool and the largest asset in special servicing, has a total exposure of $7.7 million, which includes $1,059,174 of advancing and interest thereon. The loan was transferred to the special servicer on Nov. 24, 2008, due to a monetary default; foreclosure on the property is proceeding. The property comprises a 53,298- sq.-ft. retail property in Las Vegas, Nev. An ARA of $2,798,565 is in effect. This loan matured on Jan. 10, 2010, and S&P expects a significant loss upon the eventual resolution of this asset. The Hickory Grove Townhomes asset, the third-largest asset in the pool and the second-largest in special servicing, has a total exposure of $5.4 million, which includes $954,871 of advancing and interest thereon. The property, which is REO, is a 220-unit multifamily complex in Columbus, Ohio, that was built in 1974 and renovated in 1998. The related loan was transferred to the special servicer on May 6, 2009, due to a monetary default. An ARA of $1,330,333 is in effect. S&P expects a significant loss upon the eventual resolution of this asset. The Cady Centre asset, the fourth-largest asset in the pool and the third-largest in special servicing, has a total exposure of $3.9 million, which includes $422,687 of advancing and interest thereon. The property, which is REO, comprises a 23,290-sq.-ft. office building in Northville, Mich., that was built in 1999. The related loan was transferred to the special servicer on March 11, 2009, due to a monetary default. An ARA of $2,479,232 is in effect. S&P expects a significant loss upon the eventual resolution of this asset as well. The three remaining specially serviced assets ($7.8 million, 22.4%) have loan balances that individually represent no more than 8.3% of the total pool balance. All three of these assets are classified as matured balloon loans. S&P separately estimated a loss for the largest of these three loans ($2.9 million; 8.3%), which is in the process of foreclosure. With regard to the other two loans, the special servicer reports that one loan ($2.7 million; 7.8%) matured Jan. 1, 2010, and the borrower is in the process of obtaining refinancing. The other loan ($2.2 million; 6.3%) is expected to be refinanced by Sept., 30, 2010. Transaction Summary As of the September 2010 remittance report, the collateral had an aggregate trust balance of $34.7 million, down from $697.1 million at issuance. The collateral includes seven assets, down from 91 at issuance. The master servicer, Wells Fargo Commercial Mortgage Servicing, provided full-year 2008 or full-year 2009 financial information for 91.7% of the assets in the pool. S&P calculated a weighted average debt service coverage of 1.11x for the pool based on the reported figures. S&P's adjusted DSC and loan-to-value (LTV) were 1.29x and 72.3%, respectively. These calculations exclude four of the transaction's six specially serviced assets ($17.4 million, 50.2%) for which S&P separately estimated losses. To date, the pool has experienced principal losses totaling $34.6 million on 14 assets. Standard & Poor's analyzed the transaction according to its current criteria. The lowered, withdrawn, and affirmed ratings are consistent with S&P's analysis. Ratings Lowered Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2000-1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- G CCC- (sf) BB (sf) 30.95 H CCC- (sf) B+ (sf) 15.91 I D (sf) B- (sf) N/A Rating Withdrawn Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2000-1 Rating ------ Class To From ----- -- ---- F NR BBB+ (sf) Ratings Affirmed Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2000-1 Class Rating Credit Enhancement (%) ----- ------ ---------------------- J D (sf) N/A K D (sf) N/A L D (sf) N/A N/A - Not applicable. CLAYTON COUNTY: S&P Downgrades Ratings on 2002A Bonds to 'BB' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on Clayton County Housing Authority, Georgia's (Williamsburg South Apartments Project) multifamily housing bonds series 2002A to 'BB' from 'AAA', and removed it from CreditWatch with negative implications. On May 12, 2010, the issue was included in a rating action where S&P placed certain housing issues on CreditWatch with negative implications due to revised methodology for certain Federal Government-Enhanced housing transactions. "Standard & Poor's has received updated cash flow projections that indicate, assuming no interest rate earnings, there will be a deficiency in assets to support the liabilities starting the April 1, 2018, interest payment date," said Standard & Poor's credit analyst Dare Branch. COLLEGE LOAN: Fitch Cuts Rating on Subordinate Bonds to 'BBsf' -------------------------------------------------------------- Fitch Ratings affirms the senior student loan bonds at 'AAAsf' and downgrades the subordinate bonds to 'BBsf' issued by College Loan Trust-I Amended and restated 2003 Indenture of Trust (2002). Stable Outlooks are assigned to the senior and subordinate bonds. 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 Sept. 22, 2010 press release 'Fitch to Gauge Basis Risk in Auction-Rate U.S. FFELP SLABS Review' to review the ratings. The ratings on the senior bonds are affirmed based on the sufficient level of credit enhancement (consisting of overcollateralization, subordination, and the projected minimum excess spread) to cover the applicable risk factor stresses. The rating on the subordinate bonds are downgraded to 'BBsf' because the level of hard credit enhancement is only capable of absorbing the applicable risk factor stress level after accounting for the trust's ability to generate excess spread, which is very limited due to the high cost structure of the trust. Fitch has taken these rating actions: College Loan Trust I- Amended and restated 2003 Indenture of Trust (2002): -- Series 2002-1 A-4 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-1 A-5 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-11 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-12 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-13 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-16 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-21 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-22 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-23 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-24 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-25 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-26 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-27 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-28 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-29 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-2 A-30 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2003-1 A-2 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2003-1 A-3 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2003-1 A-4 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2003-1 A-5 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2003-1 A-6 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2003-1 A-7 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2003-1 A-8 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2004-1 A-3 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2004-1 A-4 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2005-1 A-2 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2005-1 A-3 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2005-1 A-4 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2005-1 A-5 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2006-1 A-3 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2006-1 A-4 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2006-1 A-5 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2006-1 A-6 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2006-1 A-7A affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2006-1 A-7B affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-1 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-2 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-3 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-4 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-5 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-6 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-7 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-8 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-9 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-10 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-11 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-12 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-13 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-2 A-14 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2002-1 B-1 downgrade to 'BBsf/LS3'; Outlook Stable; -- Series 2002-2 B-3 downgrade to 'BBsf/LS3'; Outlook Stable; -- Series 2002-2 B-4 downgrade to 'BBsf/LS3'; Outlook Stable; -- Series 2003-1 B-1 downgrade to 'BBsf/LS3'; Outlook Stable; -- Series 2003-1 B-2 downgrade to 'BBsf/LS3'; Outlook Stable; -- Series 2004-1 B-1 downgrade to 'BBsf/LS3'; Outlook Stable; -- Series 2005-1 B-1 downgrade to 'BBsf/LS3'; Outlook Stable; -- Series 2006-1 B-1 downgrade to 'BBsf/LS3'; Outlook Stable; -- Series 2007-2 B-1 downgrade to 'BBsf/LS3'; Outlook Stable. COMMERCIAL CAPITAL: Fitch Takes Rating Actions on Various Notes --------------------------------------------------------------- Fitch Ratings has downgraded one class, assigned Loss Severity ratings, Recovery Ratings and Rating Outlooks to Commercial Capital Access One, Series 3 commercial mortgage pass-through certificates. A full rating list is shown below. -- $40.4 million class A-2 at 'AAAsf/LS1'; Outlook Stable; -- $45.5 million class B at 'AAAsf/LS1'; Outlook Stable; -- $43.4 million class C at 'A+sf/LS2'; Outlook Stable; -- $19.5 million class D at 'BBB+sf/LS2'; Outlook Stable; -- $6.5 million class E at 'BBBsf/LS3'; Outlook revised to Negative from Stable; -- $10.8 million class F to 'CCCsf/RR1' from 'Bsf/LS5'; Outlook Negative. The $4.7 million class G remains at 'Dsf/RR6'. Class A-1 has been paid in full. Fitch does not rate class H. The downgrade is 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 securities analysis. Fitch expects potential losses of 1.1%, approximately $1.9 million, of the remaining pool balance from the loans in special servicing and the loans that are not expected to refinance at maturity based on Fitch's refinance test. Of the original 93 loans in the pool, 62 remain. As of the September 2010 distribution date, the pool has paid down 60.6% to $170.8 million from $433.7 million at issuance. Zero loans are currently defeased. Fitch has identified 11 Loans of Concern (18.9%), including five loans in special servicing (7%). The Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. The Negative Outlook for classes E and F reflects the potential for higher expected losses from the specially serviced assets (7% of the pool). The remaining pool has a high concentration of low income housing tax credit properties (31.8%). Additionally, 19 loans in the pool are covered by a SunAmerica limited guaranty (29.8%). The guaranty requires SunAmerica, a subsidiary of AIG, to pay the special servicer, an amount equal to any realized losses arising from the covered loans, or to purchase the covered loans directly from the trust at par value if they become distressed. Credit for the SunAmerica guaranties was applied according to Fitch's rating of AIG, which is currently rated 'BBB', Outlook Stable. Of the five specially serviced loans in the pool, none are covered by the guaranty. The largest specially serviced asset (1.9%) is secured by a delinquent 60-bed healthcare property located in Gig Harbor, Washington, about 40 miles from Seattle. The loan transferred to special servicing in January 2010 when the asset's debt service coverage ratio fell below 1.25 times thereby triggering covenant default. Occupancy was approximately 85% as of June 2010. The second largest specially serviced asset (1.7%) is a secured by an assisted living facility formerly operated by Sunwest Management, located in Klamath Falls, Oregon. The loan transferred to special servicing in October 2009 as a result of Sunwest Management's bankruptcy filing. The loan remains current. At this time, Fitch does not expect this asset to incur losses. As of June 2010, occupancy was approximately 97%. The largest Fitch Loan of Concern, which is not in special servicing, is secured by a portfolio of three healthcare properties, which have a combined 381 beds, are located in various cities in central and eastern North Carolina (5.3%). The properties have a combined debt service coverage ratio of 2.32x. Significant deferred maintenance items have been identified at each of the properties. The second largest Fitch Loan of Concern is a tax credit apartment complex located in Austin, TX (3.1%), which had an average occupancy of 83% and DSCR of 0.72x for the three months ended March 2010. Fitch stressed the cash flow of the remaining non-defeased loans by applying a reduction to 2009 cash flow and applying an adjusted market cap rate between 7.5% and 10.5% to determine value. Similar to Fitch's prospective analysis of recent vintage CMBS, each loan also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. Loans that could refinance to a debt service coverage ratio of 1.25x or higher were considered to pay off at maturity. Under this scenario, six loans are not expected to pay off at maturity with two loans incurring a loss when compared to Fitch's stressed value. Information used to conduct this review included data received from Trepp, Berkadia, as master servicer; Dynex Capital, as asset manager; and third party information received from the World Wide Web. CONSECO FINANCE: Fitch Takes Rating Actions on 2000-B Notes ----------------------------------------------------------- Fitch Ratings takes these actions on the long-term and Recovery Ratings for the Conseco Finance Vehicle Trust 2000-B notes listed below: -- Class M-1 notes downgraded to 'D/RR6' from 'C/RR6'; -- Class M-2 notes downgraded to 'D/RR6' from 'C/RR6'; -- Class B notes downgraded to 'D/RR6' from 'C/RR6'. In addition, Fitch withdraws the ratings of the notes. Fitch's actions follow the transaction not being paid in full by its legal final maturity date. Anticipated recoveries are determined by Fitch's cash flow model and consider stressed remaining losses, prepayment rates, recovery rates, and unique structural characteristics. The trust is backed by sales contracts and loan agreements secured by commercial trucks and trailers originated by Conseco Finance Corp. The loans are now serviced by the indenture trustee, namely U.S. Bank, N.A. CREDIT SUISSE: Moody's Reviews Ratings on 11 Series 2005-C4 Certs. ------------------------------------------------------------------ Moody's Investors Service placed 11 classes of Credit Suisse First Boston Mortgage Securities Corp., Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2005-C4 on review for possible downgrade: -- Cl. A-J, $93.008M, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Nov. 12, 2009 Downgraded to Aa2 (sf) -- Cl. B, $23.253M, A1 (sf) Placed Under Review for Possible Downgrade; previously on Nov. 12, 2009 Downgraded to A1 (sf) -- Cl. C, $13.286M, A2 (sf) Placed Under Review for Possible Downgrade; previously on Nov. 12, 2009 Downgraded to A2 (sf) -- Cl. D, $23.252M, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Nov. 12, 2009 Downgraded to Baa1 (sf) -- Cl. E, $16.609M, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Nov. 12, 2009 Downgraded to Baa3 (sf) -- Cl. F, $16.609M, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Nov. 12, 2009 Downgraded to Ba3 (sf) -- Cl. G, $13.287M, B3 (sf) Placed Under Review for Possible Downgrade; previously on Nov. 12, 2009 Downgraded to B3 (sf) -- Cl. H, $16.608M, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Nov. 12, 2009 Downgraded to Caa3 (sf) -- Cl. J, $4.983M, Ca (sf) Placed Under Review for Possible Downgrade; previously on Nov. 12, 2009 Downgraded to Ca (sf) -- Cl. K, $8.304M, Ca (sf) Placed Under Review for Possible Downgrade; previously on Nov. 12, 2009 Downgraded to Ca (sf) -- Cl. L, $6.643M, Ca (sf) Placed Under Review for Possible Downgrade; previously on Nov. 12, 2009 Downgraded to Ca (sf) The classes were placed on review due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. 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 November 12, 2009. Please see the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history. Deal And Performance Summary As of the September 17, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 17% to $1.1 billion from $1.33 billion at securitization. The Certificates are collateralized by 146 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top ten loans representing 34% of the pool. Six loans, representing 8% of the pool, have defeased and are collateralized by U.S. Government securities. Twenty-eight loans, representing 11% 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. Five loans have been liquidated from the pool since securitization, resulting in an aggregate $21.4 million loss (84% loss severity on average). Currently, seven loans, representing 6% of the pool, are in special servicing. The largest specially serviced loan is the 301 Yamato Loan ($26.9 million -- 2.4% of the pool), which is secured by a 206,500 square foot office building located in Palm Beach, Florida. The loan was transferred to special servicing in August 2010 for imminent default and is 30 days delinquent. The remaining six specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $16.4 million appraisal reduction for the specially serviced loans. Based on the most recent remittance statement, Classes H through P have experienced cumulative interest shortfalls totaling $990,137. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions and extraordinary trust expenses. Moody's review will focus on potential losses from specially serviced and troubled loans and the performance of the overall pool. CREDIT SUISSE: Moody's Reviews Ratings on 13 Series 2005-C6 Certs. ------------------------------------------------------------------ Moody's Investors Service placed 13 classes of Credit Suisse First Boston Mortgage Securities Corp., Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2005-C6 on review for possible downgrade: -- Cl. A-M, $250.460M, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Jan. 25, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-J, $178.452M, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 22, 2009 Downgraded to Aa2 (sf) -- Cl. B, $43.830M, A1 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 22, 2009 Downgraded to A1 (sf) -- Cl. C, $28.177M, A2 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 22, 2009 Downgraded to A2 (sf) -- Cl. D, $18.785M, A3 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 22, 2009 Downgraded to A3 (sf) -- Cl. E, $25.046M, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 22, 2009 Downgraded to Baa1 (sf) -- Cl. F, $31.307M, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 22, 2009 Downgraded to Baa2 (sf) -- Cl. G, $31.308M, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 22, 2009 Downgraded to Ba1 (sf) -- Cl. H, $25.046M, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 22, 2009 Downgraded to Ba3 (sf) -- Cl. J, $28.176M, B2 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 22, 2009 Downgraded to B2 (sf) -- Cl. K, $12.523M, B3 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 22, 2009 Downgraded to B3 (sf) -- Cl. L, $12.523M, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 22, 2009 Downgraded to Caa1 (sf) -- Cl. M, $6.262M, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Oct. 22, 2009 Downgraded to Caa3 (sf) The classes were placed on review due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans 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 October 22, 2009. Please see the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history. Deal And Performance Summary As of the September 17, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 11% to $2.22 billion from $2.50 billion at securitization. The Certificates are collateralized by 218 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 33% of the pool. Four loans, representing 2% of the pool, have defeased and are collateralized by U.S. Government securities. The pool includes one loan with an underlying rating, representing 5% of the pool. Fifty-six loans, representing 21% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the 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. Five loans have been liquidated from the pool since securitization, resulting in an aggregate $9.44 million loss (45% loss severity on average). Currently, 14 loans, representing 6% of the pool, are in special servicing. The largest specially serviced loan is The Village at Meyerland Loan ($21.7 million -- 1% of the pool), which is secured by a 714-unit, multi-family property located in Houston, Texas. The loan was transferred to special servicing in November 2009 for imminent monetary default and is currently 90+ days delinquent. The remaining 13 specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $50.8 million appraisal reduction for the specially serviced loans. Based on the most recent remittance statement, Classes L through Q have experienced cumulative interest shortfalls totaling $3.1 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions and extraordinary trust expenses. Moody's review will focus on potential losses from specially serviced and troubled loans and the performance of the overall pool. CREST G-STAR: Moody's Takes Rating Actions on Various Classes ------------------------------------------------------------- Moody's has upgraded one, affirmed two and downgraded two classes of Notes issued by Crest G-Star 2001-1, LP due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor. The affirmations and upgrade are due to the rapid pace of amortization of the senior class of Notes. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. -- Cl. A Senior Secured Floating Rate Term Notes Due 2016, Upgraded to Aa1 (sf); previously on Oct. 26, 2009 Downgraded to A1 (sf) -- Cl. B-1 Second Priority Fixed Rate Term Notes, Due 2035, Affirmed at Baa3 (sf); previously on Oct. 26, 2009 Downgraded to Baa3 (sf) -- Cl. B-2 Second Priority Floating Rate Term Notes, Due 2035, Affirmed at Baa3 (sf); previously on Oct. 26, 2009 Downgraded to Baa3 (sf) -- Cl. C Third Priority Fixed Rate Term Notes, Due 2034, Downgraded to Caa1 (sf); previously on Oct. 26, 2009 Downgraded to B1 (sf) -- Cl. D Fourth Priority Fixed Rate Term Notes, Due 2035, Downgraded to Ca (sf); previously on March 10, 2009 Downgraded to B3 (sf) Ratings Rationale Crest G-Star 2001-1, LP, is a CRE CDO transaction backed by a portfolio commercial mortgage backed securities (52.3% of the pool balance), real estate investment trust debt (47.5%) and whole loan (0.2%). As of the August 31, 2010 Trustee report, the aggregate Note balance of the transaction, including the Limited Partnership Interest has decreased to $318.7 million from $500.4 million at issuance, with the paydown directed to the Class A Notes. There are seven assets with a par balance of $30 million (9.7% of the current pool balance) that are considered Defaulted Securities and thirteen assets with a par balance of $122.7 million (39.6%) that are considered Credit Risk Securities as of the August 31, 2010 Trustee report. While there have been no realized losses to date, Moody's expects significant losses to occur from the Defaulted Securities once they are realized. 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 2,392 compared to 1,024 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (8.2% compared to 7.2% at last review), Baa1-Baa3 (11.2% compared to 10.7% at last review), Ba1-Ba3 (36.8% compared to 37.4% at last review), B1-B3 (9.8% compared to 18.8% at last review), and Caa1-C (17.9% compared to 0.2% 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 1.3 years compared to 2.3 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a variable WARR with a mean of 32.2% compared to 26.7% 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 3.1% compared to 29.2% at last review. The low MAC is due to higher default probability collateral concentrated within a small number of collateral names. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios 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 32.2% to 14.8% or up to 50.0% would result in average rating movement on the rated tranches of 0 to 1 notches downward and 0 to 1 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. CWALT INC: Moody's Downgrades Ratings on 76 Tranches ---------------------------------------------------- Moody's Investors Service has downgraded the ratings of 76 tranches and confirmed the rating of 1 tranche from 4 RMBS transactions issued by Countrywide in 2005. Ratings Rationale The collateral backing the transaction consists primarily of first-lien, fixed-rate, Alt-A residential mortgage loans. The actions are a result of the rapidly deteriorating performance of Alt-A pools in conjunction with macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued from 2005 to 2007. To assess the rating implications of the updated loss levels on Alt-A RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. The 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: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-11CB -- Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to B3 (sf); previously on Jan. 14, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-9, Confirmed at Ba1 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-10, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-12, Downgraded to C (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-4, Downgraded to C (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, 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 2005-46CB -- Cl. A-1, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to C (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-18, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-19, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-20, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-21, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-22, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-7CB -- Cl. 1-A-1, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to C (sf); previously on Jan. 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to B3 (sf); previously on Jan. 14, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Ba3 (sf); previously on Jan. 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-8, Downgraded to B3 (sf); previously on Jan. 14, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-9, Downgraded to Ca (sf); previously on Jan. 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Jan. 14, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-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 2005-85CB -- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-8, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-9, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-X, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade CWALT INC: Moody's Upgrades Rating on Cl. 1-A-7 Certificates to B3 ------------------------------------------------------------------ Moody's Investors Service has upgraded the rating of 1 tranche from CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005- 54CB. Ratings Rationale The rating action is a result of corrections to certain loss and cash flow allocation rules that were used in modeling the deal as well as updated loss levels on the pool. This transaction has super senior support tranches that support other senior tranches up to a pre-defined dollar limit. The previous actions on the transaction did not fully incorporate the dollar limit rules. The rating action reflects the correction to the rating of one of the tranches in the transaction as well as updated recovery on the remaining tranches. Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-54CB -- Cl. 1-A-7, Upgraded to B3 (sf); previously on April 12, 2010 Downgraded to Caa1 (sf) 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. DEUTSCHE MORTGAGE: S&P Downgrades Ratings on Six 2006-PR1 RMBS -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on six classes from Deutsche Mortgage Securities Inc. Mortgage Loan Trust Series 2006-PR1, a residential mortgage-backed securities transaction with one structure backed mainly by Alternative-A mortgage loan collateral from Puerto Rico and a second re- securitized real estate mortgage investment conduit structure backed by two underlying certificates, and removed them from CreditWatch with negative implications. In addition, S&P affirmed its ratings on 26 classes from DMSI 2006-PR1 and two grantor trust transactions backed by the 3-A-F-1-C and 4-A-F-1-C classes from DMSI 2006-PR1, and removed 18 of the affirmed ratings from CreditWatch negative. The downgrades to the Alt-A structure reflect S&P's opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings given S&P's current projected losses under its stress scenarios. The downgrade to the re-REMIC structure reflects S&P's assessment of the significant deterioration in performance of the mortgage loans backing the underlying certificate. As a result of this performance deterioration, the downgraded classes were unable to maintain their previous ratings at the applicable rating stresses. S&P's lifetime projected loss has changed for this particular transaction: Orig. bal. Lifetime Transaction (mil. $) exp. loss (%) ----------- ---------- ------------- DMSI 2006-PR1 1,771 3.17 To assess the creditworthiness of each class from the Alt-A structure from DMSI 2006-PR1, S&P reviewed the individual delinquency and loss trends of the transaction for changes, if any, in risk characteristics 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 its analysis. In order to maintain a rating higher than 'B', S&P assessed whether the class could withstand losses exceeding the base-case assumption at a percentage specific to each rating category, up to 150% for a 'AAA' rating. For example, in general, S&P would assess whether one class could withstand approximately 110% of its base-case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 120% of its base-case loss assumptions to maintain a 'BBB' rating. When S&P performed its analysis on the re-REMIC structure from DMSI 2006-PR1, S&P applied its loss projections to the underlying trust in order to identify the magnitude of losses that S&P believes could be passed through to the re-REMIC class. S&P then stressed these loss projections at various rating categories in order to assess whether the re-REMIC class could withstand such stressed losses at its current rating level. The affirmed ratings reflect S&P's belief that the amount of credit enhancement available for these classes is sufficient to cover its projected losses associated with these rating levels. Subordination provides credit support for the transactions in this review. In addition, the Alt-A structure from DMSI 2006-PR1 also benefits from overcollateralization and excess spread. Four classes from DMSI 2006-PR1 are bond-insured by Assured Guaranty Municipal Corp. (Assured; financial strength rating of 'AAA'). The ratings on the bond insured classes reflect the higher of the rating on the bond insurer and Standard & Poor's underlying ratings on the securities. The Alt-A structure from DMSI 2006-PR1 is backed by fixed-rate, Alt-A mortgage loans that are secured by first liens on one- to four-family residential properties in Puerto Rico. The re-REMIC structure is secured by two classes from Alternative Loan Trust 2005-11, a transaction backed by Alt-A fixed-rate mortgage loans secured by first liens on one- to four family residential properties in the U.S. All of the underlying mortgage loans backing the re-REMIC have original principal balances that conform to Fannie Mae and Freddie Mac guidelines. The grantor trust classes are backed by the 3-A-F-1-C and 4-A-F-1-C classes from DMSI 2006-PR1. Rating Actions Deutsche Mortgage Securities Inc Cayman Series 2006-C3-PR1 Series 2006C3-PR1 Rating ------ Class CUSIP To From ----- ----- -- ---- 3-A-F-1 BBB (sf) BBB (sf)/Watch Neg Deutsche Mortgage Securities Inc Cayman Series 2006C4-PR1 Series 2006C4-PR1 Rating ------ Class CUSIP To From ----- ----- -- ---- 4-A-F-1 BBB (sf) BBB (sf)/Watch Neg Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 25157GAA0 B (sf) BBB (sf)/Watch Neg 2-A-F 25157GAC6 BBB (sf) BBB (sf)/Watch Neg 2-PO 25157GAE2 BBB (sf) BBB (sf)/Watch Neg 3-A-F-1-C 25157GAF9 AAA (sf) AAA (sf)/Watch Neg 3-A-F-2 25157GAG7 AAA (sf) AAA (sf)/Watch Neg 3-A-1 25157GAH5 BBB (sf) BBB (sf)/Watch Neg 3-PO 25157GAN2 BBB (sf) BBB (sf)/Watch Neg 4-A-F-1-C 25157GAP7 AAA (sf) AAA (sf)/Watch Neg 4-A-F-2 25157GAQ5 BBB (sf) BBB (sf)/Watch Neg 4-A-I-1 25157GAR3 BBB (sf) BBB (sf)/Watch Neg 4-A-I-2 25157GAS1 BBB (sf) BBB (sf)/Watch Neg 4-PO 25157GAZ5 BBB (sf) BBB (sf)/Watch Neg 5-A-F-1 25157GBA9 BB (sf) BBB (sf)/Watch Neg 5-A-F-2 25157GBB7 AAA (sf) AAA (sf)/Watch Neg 5-A-F-3 25157GBC5 BB (sf) BBB (sf)/Watch Neg 5-A-F-4 25157GBD3 BB (sf) BBB (sf)/Watch Neg 5-A-I-1 25157GBE1 BBB (sf) BBB (sf)/Watch Neg 5-A-I-2 25157GBF8 BBB (sf) BBB (sf)/Watch Neg 5-A-I-3 25157GBG6 BBB (sf) BBB (sf)/Watch Neg 5-A-I-4 25157GBH4 BBB (sf) BBB (sf)/Watch Neg 5-PO 25157GCS9 BB (sf) BBB (sf)/Watch Neg CW-A1 25157GCT7 BB+ (sf) BBB (sf)/Watch Neg Ratings Affirmed Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1 Class CUSIP Rating ----- ----- ------ B-1A 25157GCU4 CCC (sf) B-1B 25157GCV2 CCC (sf) B-2 25157GCY6 CCC (sf) B-3 25157GDA7 CC (sf) B-4 25157GDC3 CC (sf) B-5 25157GDE9 CC (sf) B-6 25157GDG4 CC (sf) B-7 25157GDJ8 CC (sf) B-8 25157GDL3 CC (sf) B-9 25157GDM1 CC (sf) EDUCATION LOAN: Fitch Affirms Ratings on Senior Student Loans ------------------------------------------------------------- Fitch Ratings affirms the senior student loan bonds at 'AAAsf' and downgrades the subordinate bond to 'Bsf' issued by Education Loan Company Trust I Series 2006-1. Stable Outlooks are assigned to the senior and subordinate bonds. 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 Sept. 22, 2010 press release 'Fitch to Gauge Basis Risk in Auction-Rate U.S. FFELP SLABS Review' 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 risk factor stresses. The rating on the subordinate note is downgraded to 'Bsf' due to the trust's very high cost structure that will limit the trust's ability to generate excess spread and reach parity of 100%. Fitch has taken these rating actions: Educational Loan Company Trust I: -- Series 2006-1 A-1 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2006-1 A-2 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2006-1 A-3 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2006-1 B-1 downgraded to 'Bsf/LS3'; Outlook Stable. EDUCATIONAL FUNDING: Fitch Affirms Ratings on Senior Student Loans ------------------------------------------------------------------ Fitch Ratings affirms the senior student loan notes and downgrades the subordinate note issued by Educational Funding Services, Inc. - 2005 Indenture of Trust. The Rating Outlook remains Stable for the senior notes. 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 Sept. 22, 2010 press release 'Fitch to Gauge Basis Risk in Auction-Rate U.S. FFELP SLABS Review' to review the ratings. The transaction's most significant risk factor is the interest rate risk tied to the fix rate coupon on the subordinate note. Given the current low interest rate environment, in addition to having a high cost structure from the spreads on the auction rate securities, the transaction is under pressure, producing negative excess spread. The rating on the subordinate note is downgraded to 'CCC', reflecting the trust's declining parity trend caused by the high cost structure and the unfavorable rate environment. Even if the short-term interest rates increase significantly in the near future, the possibility of default is real as the trust may not build the parity back up to 100%, given the high spreads on the senior auction rate securities. The senior notes are affirmed based on the level of credit enhancement that is exhibiting a stable trend. However, the ratings may come under pressure for downgrades if the enhancement level begins exhibiting a downward trend. This is possible if the payment rate declines and the effect of de-levering is outweighed by the impact from the negative excess spread. Fitch has taken these rating actions: Educational Funding Services, Inc. - 2005 Indenture of Trust: -- Series 2005 A-2 affirmed at 'AAA/LS1'; Outlook Stable; -- Series 2005 A-3 affirmed at 'AAA/LS1'; Outlook Stable; -- Series 2006 A-1 affirmed at 'AAA/LS1'; Outlook Stable; -- Series 2006 A-2 affirmed at 'AAA/LS1'; Outlook Stable; -- Series 2006 A-3 affirmed at 'AAA/LS1'; Outlook Stable; -- Series 2007 A-1 affirmed at 'AAA/LS1'; Outlook Stable; -- Series 2007 B-1 downgraded to 'CCC' from 'B'. GOAL CAPITAL: Fitch Cuts Rating on Junior Subordinate Bonds to BB ----------------------------------------------------------------- Fitch Ratings affirms the senior and subordinate student loan bonds at 'AAAsf' and 'AA+sf', respectively, issued by Goal Capital Funding. Fitch also downgrades the junior subordinate bond to 'BBsf'. Stable Outlooks are assigned to the senior, subordinate, and junior subordinate bonds. 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 Sept. 22, 2010 press release 'Fitch to Gauge Basis Risk in Auction-Rate U.S. FFELP SLABS Review' to review the ratings. The ratings on the senior and subordinate bonds are affirmed based on the sufficient level of credit enhancement (consisting of subordination, overcollateralization and the projected minimum excess spread) to cover the applicable risk factor stresses. The rating on the subordinate note is downgraded to 'BBsf' because a mild level of basis risk stress will limit the trust's ability to generate excess spread and reach and maintain a parity of 100%. Fitch has taken these rating actions: Goal Capital Funding 2007-1: -- Series 2007-1 A-1 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-1 A-2 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-1 A-3 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-1 A-4 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-1 A-5 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Series 2007-1 B-1 affirmed at 'AA+sf/LS3'; Outlook Stable; -- Series 2007-1 C-1 downgraded to 'BBsf/LS3' from 'A-/LS3'; Outlook Stable. GOLDMAN SACHS: Moody's Reviews Ratings on Three 1999-C1 Certs. -------------------------------------------------------------- Moody's Investors Service placed three classes of Goldman Sachs Mortgage Securities Corporation II, Commercial Mortgage Pass- Through Certificates 1999-C1, on review for possible downgrade: -- Cl. F, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on July 9, 2009 Upgraded to Aa2 (sf) -- Cl. G, B3 (sf) Placed Under Review for Possible Downgrade; previously on May 22, 2003 Downgraded to B3 (sf) -- Cl. H, Ca (sf) Placed Under Review for Possible Downgrade; previously on July 9, 2009 Downgraded to Ca (sf) The classes were placed on review for possible downgrade due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced loans as well as interest shortfalls. 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 9, 2009. See the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history. Deal And Performance Summary As of the September 20, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 94% to $55.0 million from $890.6 million at securitization. The Certificates are collateralized by 36 mortgage loans ranging in size from less than 1% to 12% of the pool. Two loans, representing 18% of the pool, have defeased and are collateralized with U.S. Government securities. Defeasance at last review represented 12% of the pool. Nine loans, representing 14% 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. Forty-three loans have been liquidated from the pool since securitization, resulting in an aggregate $23.2 million loss. Currently seven loans, representing 40% of the pool, are in special servicing. The master servicer has recognized an aggregate $5.3 million appraisal reduction for five of the specially serviced loans. Based on the most recent remittance statement, Classes G through J have experienced cumulative interest shortfalls totaling $3.4 million. Moody's anticipates that the pool will continue to experience future interest shortfalls due to the high exposure to specially serviced loans. The master servicer has made a determination of non-recoverability for four specially serviced loans, representing 24% of the pool. The most recent determinations were made on September 13, 2010 for the Howard Johnson Riverwalk Loan ($5.9 million -- 10.7% of the pool) and the Dick's Clothing Loan ($2.6 million -- 4.7%). This will result in increased interest shortfalls beginning with the October remittance statement. In addition, the servicer will also begin recouping advances on the Field and Stream Apartments Loan ($2.7 million -- 4.9%) and the Dana Corporation Loan ($2.1 million 3.7%) in October. It is expected that these advances will be recouped over several months. Moody's review will focus on potential losses and interest shortfalls from specially serviced loans and the performance of the overall pool. GREEN TREE: S&P Corrects Rating on Class B-1 Notes to 'D' --------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating to 'D (sf)' on the class B-1 note from Green Tree Financial Corp. Manufactured Housing Trust 1996-10. Higher-than-expected defaults of the underlying collateral caused an interest shortfall to the class B-1 note on Aug. 15, 2010. Due to an error, S&P's rating action on this class did not occur contemporaneously with the interest payment shortfall. Rating Corrected Green Tree Financial Corp. Manufactured Housing Trust 1996-10 $800 mil. sr/sub pass-through certificates series 1996-10 due 11/15/2028 Rating ------ Class To From ----- -- ---- B-1 D (sf) CCC- (SF) GS MORTGAGE: Moody's Downgrades Ratings on 11 2007-GG10 Certs. -------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 11 classes and affirmed 13 classes of GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2007-GG10: -- Cl. A-1, Affirmed at Aaa (sf); previously on Oct. 26, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on Oct. 26, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Oct. 26, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-AB, Affirmed at Aaa (sf); previously on Oct. 26, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. X, Affirmed at Aaa (sf); previously on Oct. 26, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Downgraded to A1 (sf); previously on Sept. 22, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1A, Downgraded to A1 (sf); previously on Sept. 22, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-M, Downgraded to Baa1 (sf); previously on Sept. 22, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-J, Downgraded to B2 (sf); previously on Sept. 22, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to B3 (sf); previously on Sept. 22, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Caa2 (sf); previously on Sept. 22, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to Caa3 (sf); previously on Sept. 22, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to C (sf); previously on Sept. 22, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to C (sf); previously on Sept. 22, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to C (sf); previously on Sept. 22, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to C (sf); previously on Sept. 22, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. J, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) -- Cl. O, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) -- Cl. P, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) -- Cl. Q, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. 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 the affirmed classes are sufficient to maintain the current ratings. On September 22, 2010, Moody's placed 11 classes on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 16% of the current balance. At last review, Moody's cumulative base expected loss was 14%. Moody's stressed scenario loss is 30% 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. If future performance materially declines, 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 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. 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 December 10, 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 did not receive any third party due diligence reports on the underlying assets or financial instruments in this transaction during the previous 6 months. As of the September 17, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 0.4% to $7.53 billion from $7.56 billion at securitization. The Certificates are collateralized by 200 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans representing 42% of the pool. The pool does not contain any defeased loans or loans with underlying ratings. Forty-eight loans, representing 26% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the 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. Two loans have been liquidated from the pool since securitization, resulting in an aggregate $12.6 million loss (52% loss severity on average). Currently, 31 loans, representing 19% of the pool, are in special servicing. Two of the specially serviced loans, representing 4% of the pool, are secured by properties for which Maguire Properties L.P. (Maguire) is the sponsor. The 550 South Hope Street Loan ($165.0 million -- 2% of the pool), which is the largest specially serviced loan, is secured by a 566,000 square foot office building located in Los Angeles. The loan was transferred to special servicing in August 2009 due to imminent default and is in the process of foreclosure. The Maguire Anaheim Portfolio Loan ($103.5 million -- 1% of the pool), which is the fourth largest specially serviced loan, is secured by two office properties located in Orange County, California which total 333,500 square feet. The loan was transferred to special servicing in August 2009 for imminent default and is currently 90+ days delinquent. The remaining 29 specially serviced loans are secured by a mix of property types and are either 90+ days delinquent, real estate owned or in the foreclosure process. The master servicer has recognized an aggregate $550 million appraisal reduction. Moody's has estimated an aggregate $762.5 million loss (54% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 20 poorly performing loans representing 23% of the pool. Two of these loans are sponsored by Maguire - Wells Fargo Tower ($550.0 million -- 7% of the pool) and Two California Plaza ($470.0 million -- 6% of the pool). Moody's has estimated a $262.3 million loss (16% expected loss based on a 50% probability default) from the troubled loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 76% and 70% of the pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 124% compared to 131% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11.0% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.23X and 0.80X, respectively, compared to 1.19X and 0.79X 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 34 compared to 36 at Moody's prior review. The top three performing conduit loans represent 23% of the pool. The largest loan is the Shorenstein Portland Portfolio Loan ($697.2 million -- 9.3% of the pool), which is secured by 16 office properties located in Portland, Oregon. The portfolio totals 3.8 million square feet. As of March 2010, the portfolio's was 80% leased compared to 82% at last review and 94% at securitization. Performance had been stable through 2008, however, operating income declined in 2009 due to a drop in occupancy and increased expenses. Net operating income for full year 2009 was approximately 6% lower than in 2008. The loan is interest-only for the entire term. Moody's LTV and stressed DSCR are 139% and 0.72X compared to 132% and 0.74X, respectively, at last review. The second largest loan is the Wells Fargo Tower Loan ($550.0 million -- 7.3% of the pool), which is secured by a 1.4 million square foot Class A office building located in Los Angeles, California. As of June 2010, the property was 95% leased compared to 93% at last review. The largest tenant is Wells Fargo, which occupies 22% of the net rentable area with leases expiring on a staggered basis through 2013. The loan sponsor is Maguire. Moody's is concerned about the property's near-term lease rollover exposure, given the softness of the Los Angeles office market and concerns about Maguire's ability to fund tenant costs due to its current financial issues. The loan is on the servicer's watchlist due to low debt service coverage and sponsor concerns. The loan is interest-only for the entire term. Moody's LTV and stressed DSCR 152% and 0.61X compared to 161% and 0.57X, respectively, at last review. The third largest loan is the Two California Plaza Loan ($470.0 million -- 6.2% of the pool), which is secured by a 1.3 million square foot class A office building located in downtown Los Angeles, California. The loan sponsor is Maguire. As of March 2010, the property was 83% leased, essentially the same since last review, compared to 90% at securitization. The decline in occupancy was due to Aames Financial Corporation, which leased 11% of the NRA at securitization, declaring bankruptcy and vacating the property. Based on information provided by the master servicer, the largest tenant, Deloitte & Touche, which leases 26% of the NRA through March 2015, has exercised its surrender rights under its lease and will vacate approximately 51,506 square feet (4% of the NRA) effective August 2010. Moody's is concerned about the property's near-term lease rollover exposure, given the softness of the Los Angeles office market and concerns about Maguire's ability to fund tenant costs due to its current financial issues. The loan is on the servicer's watchlist due to low debt service coverage and sponsor concerns. The loan is interest-only for the entire term. Moody's LTV and stressed DSCR are 189% and 0.49X compared to 185% and 0.50X, respectively, at last review. GUGGENHEIM STRUCTURED: Moody's Affirms Ratings on Three Classes --------------------------------------------------------------- Moody's has affirmed three and downgraded six classes of Notes issued by Guggenheim Structured Real Estate Funding 2006-3 due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor, and increase in Defaulted Securities. The affirmations are due to the pace of amortization of the senior notes and the expected loss distribution of the underlying collateral. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. -- Cl. S, Affirmed at Aa2 (sf); previously on March 30, 2009 Downgraded to Aa2 (sf) -- Cl. A-1, Affirmed at Aa2 (sf); previously on March 30, 2009 Downgraded to Aa2 (sf) -- Cl. A-2, Affirmed at Aa2 (sf); previously on March 30, 2009 Downgraded to Aa2 (sf) -- Cl. B, Downgraded to Baa3 (sf); previously on March 30, 2009 Downgraded to Baa1 (sf) -- Cl. C, Downgraded to B3 (sf); previously on March 30, 2009 Downgraded to Ba2 (sf) -- Cl. D, Downgraded to Caa3 (sf); previously on March 30, 2009 Downgraded to B2 (sf) -- Cl. E, Downgraded to C (sf); previously on March 30, 2009 Downgraded to Caa1 (sf) -- Cl. F, Downgraded to C (sf); previously on March 30, 2009 Downgraded to Caa3 (sf) -- Cl. G, Downgraded to C (sf); previously on March 30, 2009 Downgraded to Ca (sf) Ratings Rationale Guggenheim Structured Real Estate Funding 2006-3 is a CRE CDO transaction backed by a portfolio A-Notes and whole loans (25.0 % of the pool balance), B-Notes (27.9%), commercial mortgage backed securities (14.2%), CRE CDO securities (17.6%), and mezzanine loans (15.4%). As of the September 20, 2010 Trustee report, the aggregate Note balance of the transaction has decreased to $335.7 million from $420.5 million at issuance, with the paydown directed to the Class A-1 Notes, as a result of paydown from the collateral pool as well as failing the Class D and E par value tests. There are six assets with par balance of $79.2 million (25.2% of the current pool balance) that are considered Impaired Securities as of the September 20, 2010 Trustee report. One of these assets (23.6% of the impaired balance) is A-Note, one asset is C-Note (2.0%), two assets are CMBS (43.2%) and two assets are CRE CDO securities (31.2%). Impaired Assets that are not CMBS are defined as assets which are 30 or more days delinquent in their debt service payment. While there have been no realized losses to date, Moody's does expect significant losses to occur once they are realized. 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. Per the legal documentation the transactions will end its reinvestment period in September 2011. However, given portfolio profile requirements as well as very limited investment options, this analysis effectively deems this transaction static. 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. For non-CUSIP collateral, Moody's is eliminating the additional default probability stress applied to corporate debt in CDOROM(R) v2.6 as Moody's expect the underlying non-CUSIP collateral to experience lower default rates and higher recovery compared to corporate debt due to the nature of the secured real estate collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 6,165 compared to 6,016 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (7.4% compared to 4.2% at last review), A1- A3 (2.3% compared to 0.0% at last review), Baa1-Baa3 (0.0% compared to 3.4% at last review), Ba1-Ba3 (18.2% compared to 19.5% at last review), B1-B3 (5.3% compared to 14.6% at last review), and Caa1-C (66.8% compared to 58.3% at last review). WAL acts to adjust the probability of default of the reference obligations in the pool for time. Moody's modeled to a WAL of 1.6 years compared to 5.0 years (due to reinvestment period) at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 24.6% compared to 33.7% 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). For non-CUSIP collateral, Moody's is reducing the maximum over concentration stress applied to correlation factors due to the diversity of tenants, property types, and geographic locations inherent in pooled transactions. Moody's modeled a MAC of 11.9% compared to 13.6% at last review. The relatively low MAC is due to higher default probability collateral concentrated within a small number of collateral names. 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 24.6% to 14.6% or up to 34.6% would result in average rating movement on the rated tranches of 2 to 4 notches downward and 1 to 5 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. HARRIS COUNTY: S&P Junks Rating on Housing Revenue Bonds -------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on Harris County Housing Finance Corp., Texas' (The Gardens At Tomball) multifamily housing revenue bonds series 2006 to 'CCC' from 'AAA', and removed it from CreditWatch with negative implications. "The rating action is based on S&P's view of the project's reliance on short-term market rate investments," said Standard & Poor's credit analyst Renee J. Berson. The rating reflects S&P's view of these: * Revenues from mortgage debt service payments and investment earnings are insufficient to pay full and timely debt service on the bonds plus fees until maturity; * Debt service coverage is projected to fall below investment grade levels in 2012; and * Asset/liability parity is projected to fall below 100% in 2012. Credit strengths in the issue include S&P's opinion of: * Investments held in 'AAAm'-rated Wells Fargo money market fund; and * The high credit quality of the Fannie Mae pass-through certificate (considered to be 'AAA' eligible). On May 12, 2010, S&P placed its ratings on certain housing issues, including this rating, on CreditWatch with negative implications due to revised criteria for certain Federal Government-enhanced housing transactions. Standard & Poor's has analyzed updated financial information based on its current stressed reinvestment rate assumptions for all scenarios as set forth in the related criteria articles. S&P believes the bonds are unable to meet all bond costs from transaction revenues until maturity, assuming these reinvestment earnings. HERTZ CORPORATION: Moody's Reviews Ratings on Series 2003-15 Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has placed on review for possible downgrade, the rating of these certificates issued by The Hertz Corporation Debenture Backed Series 2003-15: -- US$25,000,000 of 7.00% Class A Callable Units due June 1, 2012; B3, Place Under Review for Possible Downgrade; Previously on July 17, 2009 downgraded to B3; -- US$25,000,000 Notional Amount of Interest-Only 0.581% Class B Callable Units Due June 1, 2012; B3, Place Under Review for Possible Downgrade; Previously on July 17, 2009 downgraded to B3. 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 7.625% debentures due June 1, 2012, issued by The Hertz Corporation, which were placed on review for downgrade by Moody's on September 13, 2010. HOME LOAN: Moody's Downgrades Rating on Three Tranches ------------------------------------------------------ Moody's Investors Service has downgraded the rating of 3 tranches from 2 RMBS transactions issued by Home Loan Mortgage Loan Trust. The collateral backing these deals primarily consists of first and second-lien, fixed and adjustable-rate subprime residential mortgages. Issuer: Home Loan Mortgage Loan Trust 2005-1 -- Cl. A-3, Downgraded to Caa2 (sf); previously on Jan. 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Home Loan Mortgage Loan Trust 2006-1 -- Cl. A-2, Downgraded to B2 (sf); previously on Jan. 13, 2010 B1 (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 Caa3 (sf) -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Ratings Rationale The actions reflect the continued performance deterioration in Subprime pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on subprime pools issued from 2005 to 2007. To assess the rating implications of the updated loss levels on subprime RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. In addition, for the deals affected by the actions, when calculating the rate of new delinquencies (as described on page 4 of the methodology publication referenced above), Moody's took into account loans that were reclassified from delinquent to current due to modification in order to not understate the rate of new delinquencies. 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. All the classes in this rating actions are wrapped by Ambac Assurance Corporation (Segregated Account - Unrated). 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. 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. ILLINOIS STUDENT: Fitch Affirms Ratings on Senior Student Loans --------------------------------------------------------------- Fitch Ratings affirms the senior student loan notes issued by Illinois Student Assistance Commission 2002 General Resolution. Fitch also removes from Rating Watch Negative and assigns a Stable Outlook to the senior notes and revises the Rating Watch to Evolving from Negative on the subordinate notes. 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 Sept. 22, 2010 press release 'Fitch to Gauge Basis Risk in Auction-Rate U.S. FFELP SLABS Review' to review the ratings. The ratings on the senior notes are affirmed based on the sufficient level of credit enhancement consisting of subordination and projected minimum excess spread to cover the applicable risk factor stresses. The subordinate notes are revised to Rating Watch Evolving because Illinois Student Assistance Authority plans to issue series 2010-1 bonds to refinance the auction rate securities in the 2002 trust, which is expected to result in an increase of the parity percentage of 2002 trust, possibly resulting in upgrades. However, the ratings are likely to be downgraded if the new issuance is not executed, given that the trust is significantly under-collateralized. Fitch has taken these rating actions: Illinois Student Assistance Commission 2002 General Resolution: Series 2002 -- Class I-3 Senior affirmed at 'AAA/LS1'; Outlook Stable; -- Class II Subordinate at 'BB/LS3'; revised to Rating Watch Evolving from Rating Watch Negative; Series 2003 -- Class IV-1 Senior affirmed at 'AAA/LS1'; Outlook Stable; -- Class IV-3 Senior affirmed at 'AAA/LS1'; Outlook Stable; Series 2004 -- Class VI-3 Senior affirmed at 'AAA/LS1'; Outlook Stable; Series 2005 -- Class VIII-1 Senior affirmed at 'AAA/LS1'; Outlook Stable; -- Class VIII-2 Senior affirmed at 'AAA/LS1'; Outlook Stable; -- Class VIII-3 Senior affirmed at 'AAA/LS1'; Outlook Stable; -- Class VIII-4 Senior affirmed at 'AAA/LS1'; Outlook Stable; -- Class VIII-5 Senior affirmed at 'AAA/LS1'; Outlook Stable; -- Class VIII-6 Senior affirmed at 'AAA/LS1'; Outlook Stable; -- Class VIII-7 Senior affirmed at 'AAA/LS1'; Outlook Stable; -- Class VIII-8 Senior affirmed at 'AAA/LS1'; Outlook Stable; -- Class IX-1 Subordinate 'BB/LS3; revised to Rating Watch Evolving from Rating Watch Negative; -- Class IX-2 Subordinate 'BB/LS3; revised to Rating Watch Evolving from Rating Watch Negative. KENTUCKY HOUSING: S&P Downgrades Rating on Revenue Bonds to 'BB+' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on Kentucky Housing Corp.'s series 2010 conduit multifamily housing revenue bonds, issued for the Ginnie Mae collateralized mortgage loan country place apartments project, to 'BB+' from 'AAA' and removed it from CreditWatch with negative implications where Standard & Poor's placed it on May 12, 2010. "The rating action is based on S&P's view of the project's reliance on short-term market-rate investments," said Standard & Poor's credit analyst Moraa Andima. On May 12, 2010, Standard & Poor's included this issue in a rating action that placed the ratings on certain housing issues on CreditWatch with negative implications due to revised criteria for certain federal government-enhanced housing transactions. 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. Assuming no reinvestment earnings, cash flow projections indicate there will be insufficient revenues to pay regularly scheduled debt service starting on the April 20, 2038, interest payment date. KMART FUNDING: Moody's Downgrades Rating on Senior Notes to 'C' --------------------------------------------------------------- Moody's Investors Service downgraded the rating of Kmart Funding Corporation Secured Lease Bonds: -- Senior Secured Collateralized Note, Downgraded to C from Ca; previously on Sept. 24, 2002 Downgraded to Ca from Caa2 Ratings Rationale This credit tenant lease transaction originally consisted of seven classes supported by 24 retail buildings leased to Kmart under fully bondable, triple net leases. In 2001 Kmart filed voluntary petitions for reorganization under Chapter 11 of the U.S. Bankruptcy Code. Kmart subsequently rejected the leases for 17 of the properties securing in this transaction. Leases for three of the properties were assumed by other retailers and 14 properties were liquidated from the trust. Based on the January 1, 2010 distribution statement, Class G is in default and has experienced a $12.3 million loss (58% overall loss). There were no models used in the review of this security. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. The rating action is a result of Moody's on-going surveillance of CTL transactions. Moody's prior full review is summarized in a press release dated September 24, 2002. 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. KMART LEASE: Moody's Withdraws Ratings on Three Classes ------------------------------------------------------- Moody's Investors Service withdrew the ratings of three credit tenant lease transactions supported either by Kmart lease obligations or lease obligations guaranteed by Kmart: Issuer: Brandon Development Associates -- Cl. A, Withdrawn; previously on Feb. 7, 2002 Downgraded to Ca from Caa2 Issuer: Lake Mary Development Associates -- Cl. A, Withdrawn; previously on Feb. 7, 2002 Downgraded to Ca from Caa2 Issuer: KMS III Realty Limited Partnership -- Senior Secured Collateralized Note, Withdrawn, previously on Sept. 24, 2002 Downgraded to Ca from Caa2 Ratings Rationale The credit ratings were withdrawn because Moody's believes it has insufficient or otherwise inadequate information to support the maintenance of the credit ratings. Please refer to Moody's Investors Service Withdrawal Policy, which can be found on Moody's website, www.moodys.com. Moody's has not been able to obtain deal information from the respective trustees or receive current distribution statements. These CTL transactions were originally supported by retail properties leased to Kmart under fully bondable, triple net leases. In 2001 Kmart filed voluntary petitions for reorganization under Chapter 11 of the U.S. Bankruptcy Code. Kmart rejected the leases for the properties securing the Brandon Development Associates and Lake Mary Development Associates transactions. The KMS III Realty Limited Partnership transaction is secured by leases on 14 properties. It is not known whether Kmart rejected any of these leases. There were no models used in the review of these securities. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. The rating action is a result of Moody's on-going surveillance of CTL transactions. Moody's prior full review of the Brandon and Lake Mary transactions is summarized in a press release dated February 7, 2002. Moody's prior full review for the KMS transaction was September 24, 2002. 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 these transaction in the past 6 months. LB-UBS COMMERCIAL: Moody's Reviews Ratings on 26 2006-C4 Certs. --------------------------------------------------------------- Moody's Investors Service placed 26 classes of LB-UBS Commercial Mortgage Securities Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-C4 on review for possible downgrade: -- Cl. A-4, Aaa (sf) Placed Under Review for Possible Downgrade; previously on June 29, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Aaa (sf) Placed Under Review for Possible Downgrade; previously on June 29, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-M, Aaa (sf) Placed Under Review for Possible Downgrade; previously on June 29, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-J, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Aa3 (sf) -- Cl. B, A1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to A1 (sf) -- Cl. C, A2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to A2 (sf) -- Cl. D, A3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to A3 (sf) -- Cl. E, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Baa1 (sf) -- Cl. F, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Baa2 (sf) -- Cl. G, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Baa3 (sf) -- Cl. H, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Ba2 (sf) -- Cl. J, B2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to B2 (sf) -- Cl. K, B3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to B3 (sf) -- Cl. L, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Caa1 (sf) -- Cl. M, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Caa1 (sf) -- Cl. N, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Caa2 (sf) -- Cl. HAF-1, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Baa1 (sf) -- Cl. HAF-2, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Baa2 (sf) -- Cl. HAF-3, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Baa3 (sf) -- Cl. HAF-4, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Ba1 (sf) -- Cl. HAF-5, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Ba2 (sf) -- Cl. HAF-6, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Ba3 (sf) -- Cl. HAF-7, B1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to B1 (sf) -- Cl. HAF-8, B2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to B2 (sf) -- Cl. HAF-9, B3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to B3 (sf) -- Cl. HAF-10, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Caa1 (sf) The classes were placed on review for possible downgrade due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. 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 January 31, 2008. Deal And Performance Summary As of the September 17, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 7% to $1.93 billion from $2.08 billion at securitization. The Certificates are collateralized by 145 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans representing 52% of the pool. The pool does not contain any defeased loans. Seven loans, representing 33% of the pool, have investment grade credit estimates. Non-pooled Classes HAF-1, HAF-2, HAF-3, HAF-4, HAF-5, HAF-6, HAF- 7, HAF-8, HAF-9, and HAF-10 are collateralized by the junior non- pooled components of the 70 Hudson Street Loan, the ALMI of North Dallas Loan, and the Fountains of Miramar Loan. Thirty-seven loans, representing 16% 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. One loan has been liquidated from the pool since securitization, resulting in a $1.8 million loss (77% loss severity). Currently 18 loans, representing 11% of the pool, are in special servicing. The largest specially serviced loan is the Rivergate Plaza Loan ($58.5 million -- 3.0% of the pool), which is secured by two office buildings totaling 302,058 square feet and located in Miami, Florida. The loan was transferred to special servicing in September 2009 due to payment default and is currently real estate owned. The remaining 17 specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $76.7 million appraisal reduction for 15 of the specially serviced loans. Based on the most recent remittance statement, Classes J through T have experienced cumulative interest shortfalls totaling $3.6 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions and extraordinary trust expenses. Moody's review will focus on potential losses from specially serviced and troubled loans and the performance of the overall pool. LB-UBS COMMERCIAL: Moody's Reviews Ratings on 14 2006-C6 Certs. --------------------------------------------------------------- Moody's Investors Service placed 14 classes of LB-UBS Commercial Mortgage Securities Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-C6 on review for possible downgrade: -- Cl. A-M, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Oct. 6, 2006 Assigned Aaa (sf) -- Cl. A-J, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Aa3 (sf) -- Cl. B, A1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to A1 (sf) -- Cl. C, A2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to A2 (sf) -- Cl. D, A3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to A3 (sf) -- Cl. E, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Baa1 (sf) -- Cl. F, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Baa2 (sf) -- Cl. G, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Baa3 (sf) -- Cl. H, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Ba1 (sf) -- Cl. J, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Ba2 (sf) -- Cl. K, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Ba3 (sf) -- Cl. L, B2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to B2 (sf) -- Cl. M, B3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to B3 (sf) -- Cl. N, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 11, 2009 Downgraded to Caa1 (sf) The classes were placed on review for possible downgrade 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. Fifty- five loans, representing 14% of the pool, mature within the next 12 months. 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 review is summarized in a press release dated February 11, 2009. Deal And Performance Summary As of the September 17, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 2% to $2.99 billion from $3.05 billion at securitization. The Certificates are collateralized by 199 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans representing 52% of the pool. The pool does not contain any defeased loans. Eight loans, representing 36% of the pool, have investment grade credit estimates. Fifty-one loans, representing 21% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the 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. Four loans have been liquidated from the pool since securitization, resulting in an aggregate $13.7 million loss (68% loss severity on average). Currently 13 loans, representing 6% of the pool, are in special servicing. The largest specially serviced loan is the Haverhill Apartments Loan ($45.6 million -- 1.5% of the pool), which is secured by a 350-unit multifamily property located in Manassas Park, Virginia. The loan was transferred to special servicing in October 2009 due to imminent default and is currently real estate owned. The remaining 12 specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $37.2 million appraisal reduction for 11 of the specially serviced loans. Based on the most recent remittance statement, Classes K through T have experienced cumulative interest shortfalls totaling $2.7 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions and extraordinary trust expenses. Moody's review will focus on potential losses from specially serviced and troubled loans and the performance of the overall pool. LB-UBS COMMERCIAL: Moody's Reviews Ratings on 17 2008-C1 Certs. --------------------------------------------------------------- Moody's Investors Service placed 17 classes of LB-UBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2008-C1 on review for possible downgrade: -- Cl. A-M, Aaa (sf) Placed Under Review for Possible Downgrade; previously on June 12, 2008 Definitive Rating Assigned Aaa (sf) -- Cl. A-J, A2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 6, 2009 Downgraded to A2 (sf) -- Cl. B, A3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 6, 2009 Downgraded to A3 (sf) -- Cl. C, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 6, 2009 Downgraded to Baa1 (sf) -- Cl. D, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 6, 2009 Downgraded to Baa2 (sf) -- Cl. E, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 6, 2009 Downgraded to Baa3 (sf) -- Cl. F, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 6, 2009 Downgraded to Ba1 (sf) -- Cl. G, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 6, 2009 Downgraded to Ba2 (sf) -- Cl. H, B1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 6, 2009 Downgraded to B1 (sf) -- Cl. J, B2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 6, 2009 Downgraded to B2 (sf) -- Cl. K, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 6, 2009 Downgraded to Caa1 (sf) -- Cl. L, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 6, 2009 Downgraded to Caa2 (sf) -- Cl. M, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 6, 2009 Downgraded to Caa2 (sf) -- Cl. N, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 6, 2009 Downgraded to Caa3 (sf) -- Cl. P, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 6, 2009 Downgraded to Caa3 (sf) -- Cl. Q, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 6, 2009 Downgraded to Caa3 (sf) -- Cl. S, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb. 6, 2009 Downgraded to Caa3 (sf) The classes were placed on review for possible downgrade due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. 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 review is summarized in a press release dated Febrary 6, 2009. Deal And Performance Summary As of the September 17, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 2% to $0.99 billion from $1.01 billion at securitization. The Certificates are collateralized by 62 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans representing 63% of the pool. The pool does not contain any defeased loans. Three loans, representing 27% of the pool, have investment grade credit estimates. Fourteen loans, representing 20% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council 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. No loans have been liquidated from the pool since securitization. Currently eight loans, representing 10% of the pool, are in special servicing. The largest specially serviced loan is the Kettering Tower Loan ($27.6 million -- 2.8% of the pool), which is secured by a 484,265 square foot, 30-story office property located in downtown Dayton, Ohio. The loan was transferred to special servicing in April 2009 due to a violation of the Cash Management Agreement and the servicer is pursing foreclosure /note sale. The remaining seven specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $53.8 million appraisal reduction for all of the specially serviced loans. Based on the most recent remittance statement, Classes J through T have experienced cumulative interest shortfalls totaling $2.1 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions and extraordinary trust expenses. Moody's review will focus on potential losses from specially serviced and troubled loans and the performance of the overall pool. LEHMAN MORTGAGE: S&P Downgrades Ratings on Four Classes of Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on four classes from Lehman Mortgage Trust 2007-3, a U.S. residential mortgage-backed securities transaction backed by U.S. Alternative- A mortgage loan collateral. S&P also affirmed its rating on one other class from the same transaction. The downgrades reflect S&P's opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings given S&P's current projected losses under its stress scenarios. 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 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 its analysis. In order to maintain a rating higher than 'B', S&P assessed whether the class could withstand losses exceeding the base-case loss assumptions at a percentage specific to each rating category, up to 150% of remaining losses 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 affirmed rating reflects S&P's belief that the amount of credit enhancement available for this class is sufficient to cover S&P's projected losses associated with this rating level. Subordination provides credit support for this transaction. The underlying collateral for this deal consists of fixed-rate, Alt-A mortgage loans that are secured by first liens on one- to four- family residential properties. Rating Actions Lehman Mortgage Trust 2007-3 Series 2007-3 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A1 52521JAA7 CC (sf) CCC (sf) 1-A4 52521JAD1 CC (sf) CCC (sf) 2-A1 52521JAE9 CC (sf) CCC (sf) B1 52521JAF6 D (sf) CC (sf) Rating Affirmed Lehman Mortgage Trust 2007-3 Series 2007-3 Class CUSIP Rating ----- ----- ------ 1-A3 52521JAC3 CCC (sf) LOUISIANA HOUSING: S&P Downgrades Rating on Bonds to 'BB+' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating to 'BB+' from 'AAA' on Louisiana Housing Finance Agency's multifamily housing revenue bonds (Meadowbrook Apartments Project), series 2006, and removed the rating from CreditWatch with negative implications. The rating actions reflect S&P's view of an asset-to-liability ratio that falls below 100% assuming 0% earnings on uninvested funds. The mortgage is backed by a standby credit facility from Fannie Mae. If the security prepays, there are not sufficient funds to cover the reinvestment risk based on the 15-day minimum notice period required for special redemptions beginning in 2024. Furthermore, parity falls below 100% in 2024. LOUISIANA HOUSING: S&P Downgrades Rating on Housing Bonds to 'B' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its long-term rating to 'B' from 'AAA' on Louisiana Housing Finance Agency's series 2007 multifamily housing revenue bonds (Ridgefield Apartments Project) and removed it from CreditWatch with negative implications. Securing the bonds is a Ginnie Mae mortgage-backed security. "The rating action is based on S&P's view of the project's reliance on short-term market-rate investments," said Standard & Poor's credit analyst Moraa Andima. The issue was included in a rating action on May 12, 2010, when Standard & Poor's placed its ratings on certain housing issues on CreditWatch based on revised criteria for certain federal government-enhanced housing transactions. Standard & Poor's has analyzed updated cash flow statements based on a zero-reinvestment assumption for all scenarios and assuming no reinvestment earnings, cash flow projections indicate there will be insufficient revenues to pay regularly scheduled debt service starting on the Aug. 20, 2016, interest payment date. LUBBOCK HEALTH: S&P Reinstates 'B' Rating on 2001 Revenue Bonds --------------------------------------------------------------- Standard & Poor's Ratings Services reinstated its 'B' rating on Lubbock Health Facility Development Corp., (Sears Plains Retirement Corp Project), Texas' series 2001 mortgage revenue bonds based on the project's reliance on short-term market-rate investments. "The rating reflects S&P's assessment of the project's insufficient revenues from mortgage debt service payments and investment earnings to pay full and timely debt service on the bonds and bond costs beyond 2015," said Standard & Poor's credit analyst Renee Berson. "S&P expects bond debt service coverage to fall below investment-grade levels beyond 2016, and the asset-to- liability ratio of 100.03% as of Aug. 31, 2010, to fall below 100% beginning July 2027." Credit strengths include high credit quality of the assets consisting of a Ginne Mae mortgage-backed security and investments held in Dreyfus Cash Management -- Institutional Shares rated (AAAm). On May 12, 2010, Standard & Poor's placed certain housing-related ratings on CreditWatch with negative implications due to revised criteria for certain federal government-enhanced housing transactions. The revised criteria affect government-enhanced housing transactions that have funds invested in money market funds and other investments with no guaranteed rate of return. According to the revised criteria, Standard & Poor's caps ratings on bonds issued in transactions that assume stressed reinvestment rates at the 'A' level. Standard & Poor's has analyzed information submitted by the trustee under the stressed reinvestment rate assumptions for all scenarios as set forth in the related criteria articles and believes the bonds are unable to meet all costs from transaction cash flows for the term of the bonds. If the security prepays, Standard & Poor's believes there are sufficient assets to cover the reinvestment risk based on the 30- day minimum notice period required for special redemptions. MERRILL LYNCH: Moody's Downgrades Ratings on 67 Tranches -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 67 tranches and confirmed the ratings of 2 tranches from 9 RMBS transactions issued by Merrill Lynch Alternative Note Asset Trust and Merrill Lynch Mortgage Investors Trust. The collateral backing these deals primarily consists of first-lien, fixed and adjustable-rate Alt-A residential mortgages. Ratings Rationale The actions are a result of the continued performance deterioration in Alt-A pools in conjunction with home price and unemployment 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: Merrill Lynch Alternative Note Asset Trust, Series 2007-A1 -- Cl. A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2D, 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 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Alternative Note Asset Trust, Series 2007-A2 -- Cl. A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (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 Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3B, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3C, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3D, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Alternative Note Asset Trust, Series 2007-A3 -- Cl. A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2A, Downgraded to Ca (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 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2C, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2D, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors Trust 2006-A1 -- Cl. I-A1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-A1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors Trust 2006-A2 -- Cl. I-A, Downgraded to Ca (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. III-A, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-A, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. X-A, Downgraded to Ca (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors Trust 2006-A3 -- Cl. I-A, Downgraded to Ca (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. IV-A-1, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. V-A-1, Downgraded to B2 (sf); previously on Jan. 14, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. V-A-2, Downgraded to C (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. VI-A-1, Downgraded to B3 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. VI-A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors Trust 2006-A4 -- Cl. I-A, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-A, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. IV-A-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-A-2, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. V-A, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors Trust 2006-AF2 -- Cl. AF-1, Confirmed at Caa1 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. AF-2, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. AF-3, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. IO, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. AV-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. AV-2A, Downgraded to B2 (sf); previously on Jan. 14, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. AV-2B, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. AV-2C, Downgraded to Ca (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. AV-2D, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors Trust Series 2006-AF1 -- Cl. AF-1, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. AF-2A, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. AF-2B, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. AF-2C, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. AF-3A, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. AF-3B, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. AV-1A, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. AV-1B, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. AV-2A, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. AV-2B, Downgraded to C (sf); previously on Jan. 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Confirmed at Caa2 (sf); previously on Jan. 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IO, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade MERRILL LYNCH: Moody's Reviews Ratings on 13 Certificates --------------------------------------------------------- Moody's Investors Service placed 13 classes of Merrill Lynch Mortgage Trust 2005-MCP1, Mortgage Trust Commercial Mortgage Pass- Through Certificates, Series 2005-MCP1 on review for possible downgrade: -- Cl. A-M, $173.800M, Aaa (sf) Placed Under Review for Possible Downgrade; previously on July 27, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-J, $115.142M, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Aug 27, 2009 Downgraded to Aa2 (sf) -- Cl. B, $36.932M, A1 (sf) Placed Under Review for Possible Downgrade; previously on Aug 27, 2009 Downgraded to A1 (sf) -- Cl. C, $15.802M, A2 (sf) Placed Under Review for Possible Downgrade; previously on Aug 27, 2009 Downgraded to A2 (sf) -- Cl. D, $32.587M, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Aug 27, 2009 Downgraded to Baa1 (sf) -- Cl. E, $419.553M, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 27, 2009 Downgraded to Baa3 (sf) -- Cl. F, $28.242M, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Aug 27, 2009 Downgraded to Ba2 (sf) -- Cl. G, $17.380M, B1 (sf) Placed Under Review for Possible Downgrade; previously on Aug 27, 2009 Downgraded to B1 (sf) -- Cl. H, $21.725M, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Aug 27, 2009 Downgraded to Caa1 (sf) -- Cl. J, $6.518M, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 27, 2009 Downgraded to Caa3 (sf) -- Cl. K, $8.690M, Ca (sf) Placed Under Review for Possible Downgrade; previously on Aug 27, 2009 Downgraded to Ca (sf) -- Cl. L, $6.517M, Ca (sf) Placed Under Review for Possible Downgrade; previously on Aug 27, 2009 Downgraded to Ca (sf) -- Cl. M, $4.345M, Ca (sf) Placed Under Review for Possible Downgrade; previously on Aug 27, 2009 Downgraded to Ca (sf) The classes were placed on review due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. 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 August 27, 2009. Please see the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history. Deal And Performance Summary As of the September 13, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 21% to $1.38 billion from $1.74 billion at securitization. The Certificates are collateralized by 111 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans representing 44% of the pool. Four loans, representing 5% of the pool, have defeased and are collateralized by U.S. Government securities. The pool includes two loans with underlying ratings, representing 4% of the pool. Thirty-four 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. Seven loans have been liquidated from the pool since securitization, resulting in an aggregate $27.1 million loss (36% loss severity on average). Currently, 13 loans, representing 9% of the pool, are in special servicing. The largest specially serviced loan is the Mansion at Canyon Springs Loan ($35.6 million -- 2.6% of the pool), which is secured by a 360-unit, multi-family property located in San Antonio, Texas. The loan was transferred to special servicing in August 2008 for payment default and is currently 90+days delinquent. The remaining 12 specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $29.3 million appraisal reduction for the specially serviced loans. Based on the most recent remittance statement, Classes H through Q have experienced cumulative interest shortfalls totaling $2.67 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions and extraordinary trust expenses. Moody's review will focus on potential losses from specially serviced and troubled loans and the performance of the overall pool. MISSISSIPPI BUSINESS: S&P Downgrades Rating on 1999A Bonds to 'BB' ------------------------------------------------------------------ Standard & Poor's Ratings Services has lowered its rating on Mississippi Business Finance Corp.'s retirement facility revenue refunding bonds series 1999A (Wesley Manor Retirement Community Inc. project) to 'BB' from 'AAA' and removed it from CreditWatch with negative implications, where it was placed on May 12, 2010. The bonds are secured by a Ginnie Mae mortgage-backed security. On May 12, 2010, the issue was included in a rating action where Standard & Poor's placed its ratings on certain housing issues on CreditWatch with negative implications due to revised criteria for certain federal government-enhanced housing transactions. Standard & Poor's revised criteria affect government-enhanced housing transactions where funds are invested in money market funds and other investments with no guaranteed rate of return. 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. "The cash flow projections indicate, assuming no reinvestment earnings, that there will be insufficient revenues to pay regularly scheduled debt service starting on the Jan. 20, 2028, interest payment date," said Standard & Poor's credit analyst Moraa Andima. MISSISSIPPI HOME: S&P Downgrades Rating on Housing Bonds to 'BB' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered to 'BB' from 'AAA' the rating on Mississippi Home Corp.'s multifamily housing revenue bonds (Madonna Manor Apartments Project) series 2007-3, and removed it from CreditWatch. The bonds are secured by a Ginnie Mae mortgage-backed security. On May 12, 2010, the issue was included in a rating action where S&P placed its ratings on certain housing issues on CreditWatch with negative implications due to revised criteria for certain federal government-enhanced housing transactions. S&P's revised criteria affect government-enhanced housing transactions where funds are invested in money market funds and other investments with no guaranteed rate of return. 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. The cash flow projections that indicate that assuming no reinvestment earnings that there will be insufficient revenues to pay regularly scheduled debt service on the July 20, 2027, interest payment date. On that date, the shortfall is projected to be just under $200. The projected shortfall generally grows each interest payment date and reaches just over $45,000 by bond maturity on Jan. 20, 2049, assuming no interest earnings from now until that date. Beginning July 20, 2042, in the event that the security prepays, there may be insufficient assets to cover the reinvestment risk based on the 15-day minimum notice period required for special redemptions. NATIONAL COLLEGIATE: Moody's Downgrades Ratings on 97 Classes ------------------------------------------------------------- Moody's Investors Service downgraded 97 classes of notes in 15 National Collegiate student loan securitizations backed by private (i.e. not government guaranteed) student loans. The ratings of the notes remain under review for further possible downgrade. First Marblehead Data Services, Inc., and First Marblehead Education Resources, Inc., subsidiaries of First Marblehead Corporation, are the administrator and the special servicer of the transactions, respectively. Ratings Rationale The downgrades were prompted by a significant deterioration in collateral performance and the resulting erosion of parity levels (i.e. the ratio of total assets to total liabilities) for all transactions, as well as an upward restatement of the static pool default information provided by FMC. Performance deterioration and data restatement both contributed to Moody's increase of expected net losses to a range of 24%-36% of the original pool balance plus any prefunded amounts from a range of 15%-24% as of March 2009. As of the August 2010 distribution date, the more seasoned transactions (i.e., those closed in 2004 or earlier), had experienced cumulative gross defaults in excess of 18% of the original pool balance. Although the more recent transactions (i.e., those closed in 2005 or later) have incurred lower cumulative defaults to date, 17% to 45% of the pool balances in these transactions have not entered repayment status, as the borrowers are still in school. Those borrowers who will enter repayment status in the next 2-3 years are likely to face weak employment perspectives, which is likely to result in a continued trend of high delinquencies and defaults. High defaults have been eroding the collateral base and caused steady declines in parity levels in all 15 securitizations. Between July 2009 and July 2010 the total parity, including the TERI pledge fund, has decreased from a range of 92%-99% to a range of 86%-95%. The decreases in the parity levels are eroding excess spread needed to absorb losses and build up parity. The loss of excess spread, in turn, is expected to result in further declines in parity level. Delinquent loan balances remain high in all transactions. Although 30-day past due loans as a percent of loans in active repayment have declined from the 2009 peak levels of 8% to 20%, they remain elevated, ranging from 5% to 14%. The delinquency pipeline is expected to contribute to additional defaults in the future. FMC provides static pool cumulative default information by repayment year and loan type on a quarterly basis. In May 2010, this information was restated by FMC to reflect higher defaults, which also contributed to Moody's upward revisions of expected losses on the underlying collateral. For example, in the restated data, the cumulative defaults for December 2009 as a percentage of the total origination balance of all repayment vintages have increased by approximately 35% for DTC loans and by approximately 70% for the school channel loans. The ratings of the notes will remain under review for further possible downgrade until the conclusion of a third-party audit of this supplemental performance information. Available credit enhancement includes overcollateralization, reserve funds, the TERI pledge fund, subordination, and excess spread. Significant structural features include subordinate note interest triggers, reserve fund floors, and the change in cash flow allocations among the senior classes under the occurrence of certain events . In particular, senior notes from most trusts (other than the Master Trust, 2003-1, 2004-1, 2007-3 and 2007-4) benefit from the subordinate note interest trigger event, which redirects interest payments on the subordinate notes to principal payments on the senior notes. As of the August 25, 2010 distribution date, the Class C interest trigger was in effect for the 2005-1 and 2005-2 transactions. Notes issued by the Master Trust, 2007-3 and 2007-4 also benefit from financial guarantee insurance policies provided by Ambac Assurance Corporation. Therefore, the ratings of the notes reflect the higher of the guarantor's financial strength rating and the underlying rating (i.e., absent consideration of the guaranty) on the security. To assess rating implications of the higher expected losses, each individual transaction was run through a variety of stress scenarios using the Structured Finance Workstation(R), a cash flow model developed by Moody's Wall Street Analytics. Our expected lifetime net losses as a percentage of the original pool balance plus any loans added subsequently are approximately 23.9%, 28.6%, 26.3%, 31.2%, 25.8%, 31.2%, 28.6%, 29.2%, 35.9%, 30.7%, 36.2%, 33.4%, 34.4%, 33.9% and 33.8% respectively for the Master Trust, 2003-1, 2004-1, 2004-2, 2005-1, 2005-2, 2005-3, 2006-1, 2006-2, 2006-3, 2006-4, 2007-1, 2007-2, 2007-3 and 2007-4 trusts. For the trusts that do not benefit from any financial guarantee insurance policy, the ratings of the most junior Class A tranches could be upgraded in the future if the lifetime expected net losses are 10% lower, or downgraded if the lifetime expected net losses are 10% higher than the levels indicated above. The ratings of Class 2005AR-16 of the Master Trust and Class A-3-AR-7 of 2007-3 and 2007-4 will not be affected in the future if the lifetime expected net losses are 10% lower or 10% higher than the levels indicated above. 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 uncertainty with regard to expected losses are the weak economic environment and the high unemployment rate, which adversely impacts the income- generating ability of the borrowers. 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. The performance of DTC loans in particular is highly sensitive to these factors. In addition, the historical loss performance data available for these pools is relatively limited particularly for the most recent securitizations, as over 90% of the borrowers in the pools were still in school when the notes were issued. Primary sources of uncertainty with regard to the ratings of notes issued by the Master Trust, 2007-3 and 2007-4 are also linked to the future rating of Ambac Assurance Corporation. 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. Complete actions are: Issuer: The National Collegiate Master Student Loan Trust I (2001 Indenture) -- Ser. NCT-2002-AR9, Downgraded to Ba1 (sf) and Placed Under Review for Possible Downgrade; previously on June 11, 2009 Confirmed at A3 (sf) -- Ser. NCT-2002-AR-10, Downgraded to Ba2 (sf) and Placed Under Review for Possible Downgrade; previously on June 11, 2009 Confirmed at A3 (sf) -- NCT-2003AR-11, Downgraded to Caa2 (sf) and Placed Under Review for Possible Upgrade; previously on April 7, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- NCT-2003AR-12, Downgraded to Caa2 (sf) and Placed Under Review for Possible Upgrade; previously on April 7, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- NCT-2003AR-13, Downgraded to Caa2 (sf) and Placed Under Review for Possible Upgrade; previously on April 7, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- NCT-2003AR-14, Downgraded to Caa2 (sf) and Placed Under Review for Possible Upgrade; previously on April 7, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- NCT-2005AR-15, Downgraded to Caa2 (sf) and Placed Under Review for Possible Upgrade; previously on April 7, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- NCT-2005AR-16, Downgraded to Caa2 (sf) and Placed Under Review for Possible Upgrade; previously on April 7, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2003-1 (The) -- Cl. A-7, Downgraded to Caa1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. IO, Downgraded to Caa1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2004-1 -- Cl. A-2, Downgraded to A3 (sf) and Placed Under Review for Possible Downgrade; previously on March 11, 2009 Downgraded to Aa1 (sf) -- Cl. A-3, Downgraded to Ba1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa3 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-IO-2, Downgraded to Caa3 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: The National Collegiate Student Loan Trust 2004-2 -- Cl. A-4, Downgraded to A1 (sf) and Placed Under Review for Possible Downgrade; previously on March 11, 2009 Downgraded to Aa1 (sf) -- Cl. A-5-1, Downgraded to Baa2 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-IO, Downgraded to Baa2 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to B3 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Ca (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2005-1 -- Cl. A-4, Downgraded to A1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-5-1, Downgraded to Ba1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-5-2, Downgraded to Ba1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to B3 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Ca (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2005-2 -- Cl. A-4, Downgraded to Baa1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ba1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-5-2, Downgraded to Ba1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-IO, Downgraded to Ba1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to B3 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Ca (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2005-3 -- Cl. A-4, Downgraded to A1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-5-1, Downgraded to Ba1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-5-2, Downgraded to Ba1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-IO-1, Downgraded to Ba1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-IO-2, Downgraded to Ba1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to B2 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Ca (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2006-1 -- Cl. A-4, Downgraded to Baa1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ba1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-IO, Downgraded to Ba1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to B2 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Ca (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2006-2 -- Cl. A-2, Downgraded to Aa3 (sf) and Placed Under Review for Possible Downgrade; previously on March 11, 2009 Downgraded to Aa1 (sf) -- Cl. A-3, Downgraded to Baa1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-IO, Downgraded to B1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to B2 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Ca (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2006-3 -- Cl. A-4, Downgraded to Baa1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Baa2 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. IO, Downgraded to Baa2 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Ba2 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to B2 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to Ca (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2006-4 -- Cl. A-2, Downgraded to A1 (sf) and Placed Under Review for Possible Downgrade; previously on March 11, 2009 Downgraded to Aa1 (sf) -- Cl. A-3, Downgraded to Baa1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl.A-IO, Downgraded to Ba1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to B2 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Caa3 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to Ca (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2007-1 -- Cl. A-2, Downgraded to A1 (sf) and Placed Under Review for Possible Downgrade; previously on March 11, 2009 Downgraded to Aa1 (sf) -- Cl. A-3, Downgraded to Baa3 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl.A-IO, Downgraded to B1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to B2 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Caa3 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to Ca (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2007-2 -- Cl. A-2, Downgraded to A1 (sf) and Placed Under Review for Possible Downgrade; previously on March 11, 2009 Downgraded to Aa1 (sf) -- Cl. A-3, Downgraded to Baa1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl.A-IO, Downgraded to Ba1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to B1 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to B2 (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to Ca (sf) and Remains On Review for Possible Downgrade; previously on April 7, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2007-3 -- Cl. A-2-AR-4, Downgraded to Ba1 (sf) and Placed Under Review for Possible Downgrade; previously on Apr 13, 2009 Downgraded to Baa3 (sf) -- Cl. A-3-AR-1, Downgraded to Ba2 (sf) and Placed Under Review for Possible Downgrade; previously on Apr 13, 2009 Downgraded to Baa3 (sf) -- Cl. A-3-AR-2, Downgraded to B1 (sf) and Placed Under Review for Possible Downgrade; previously on Apr 13, 2009 Downgraded to Baa3 (sf) -- Cl. A-3-AR-3, Downgraded to Caa2 (sf) and Placed Under Review for Possible Upgrade; previously on Apr 13, 2009 Downgraded to Baa3 (sf) -- Cl. A-3-AR-4, Downgraded to Caa2 (sf) and Placed Under Review for Possible Upgrade; previously on Apr 13, 2009 Downgraded to Ba3 (sf) -- Cl. A-3-AR-5, Downgraded to Caa2 (sf) and Placed Under Review for Possible Upgrade; previously on Jul 29, 2009 Downgraded to B2 (sf) -- Cl. A-3-AR-6, Downgraded to Caa2 (sf) and Placed Under Review for Possible Upgrade; previously on April 7, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3-L, Downgraded to Caa2 (sf) and Placed Under Review for Possible Upgrade; previously on Jul 29, 2009 Downgraded to B2 (sf) -- Cl-A-IO, Downgraded to Caa2 (sf) and Placed Under Review for Possible Upgrade; previously on Jul 29, 2009 Downgraded to B2 (sf) Issuer: National Collegiate Student Loan Trust 2007-4 -- Cl. A-2-AR-4, Downgraded to Ba1 (sf) and Placed Under Review for Possible Downgrade; previously on Apr 13, 2009 Downgraded to Baa3 (sf) -- Cl. A-3-AR-1, Downgraded to Ba2 (sf) and Placed Under Review for Possible Downgrade; previously on Apr 13, 2009 Downgraded to Baa3 (sf) -- Cl. A-3-AR-2, Downgraded to B1 (sf) and Placed Under Review for Possible Downgrade; previously on Apr 13, 2009 Downgraded to Baa3 (sf) -- Cl. A-3-AR-3, Downgraded to Caa2 (sf) and Placed Under Review for Possible Upgrade; previously on Apr 13, 2009 Downgraded to Baa3 (sf) -- Cl. A-3-AR-4, Downgraded to Caa2 (sf) and Placed Under Review for Possible Upgrade; previously on Apr 13, 2009 Downgraded to Ba3 (sf) -- Cl. A-3-AR-5, Downgraded to Caa2 (sf) and Placed Under Review for Possible Upgrade; previously on Jul 29, 2009 Downgraded to B2 (sf) -- Cl. A-3-AR-6, Downgraded to Caa2 (sf) and Placed Under Review for Possible Upgrade; previously on April 7, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3-L, Downgraded to Caa2 (sf) and Placed Under Review for Possible Upgrade; previously on Jul 29, 2009 Downgraded to B2 (sf) -- Cl. A-IO, Downgraded to Caa2 (sf) and Placed Under Review for Possible Upgrade; previously on Jul 29, 2009 Downgraded to B2 (sf) NATIONAL COLLEGIATE: S&P Downgrades Ratings on Two Notes to 'D' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class C and D notes from National Collegiate Student Loan Trust 2007-1 to 'D (sf)' from 'B (sf)' and 'B- (sf)', respectively. S&P lowered the ratings to 'D (sf)' because the affected classes did not receive interest payments on the Sept. 27, 2010, distribution date. The transaction breached the class C note interest trigger, which prompted the interest shortfalls. The class C note interest trigger is tested monthly, and the transaction can cure the breach if it passes the appropriate performance tests on subsequent distribution dates. However, S&P believes that this transaction will continue to breach its class C note interest trigger for the foreseeable future due to the continued adverse performance trends of the underlying pool of private student loans, including the accelerated pace at which the transaction has been realizing defaults. Although this transaction has a reserve account in place for the benefit of the rated notes, the transaction documents do not contemplate utilizing the reserve account when the class C interest reprioritization is in effect. The transaction did not breach its class D note interest trigger, but the waterfall provides for class D note interest payment only after the interest on class C has been paid. The breach of the class C note interest trigger, as well as the resulting reprioritization of interest to pay down senior bonds, resulted in an interest shortfall to both the class C and D notes. The reserve account may be drawn to cover fees to the servicer, trustee, paying agent, and administrator, as well as backup administrator fees and expenses, certain additional TERI guarantee fees, and class A, B, C, and D note interest when no triggers are in effect. However, when a class C note interest trigger is in effect, the reserve account cannot be drawn upon to cover interest payments to the class C and D notes. The series 2007-1 transaction breached its class C note interest trigger due to the combined failure of the cumulative default rate and parity tests. The transaction failed its cumulative default rate test after it exceeded the scheduled cumulative default threshold rate, which resets upward each year through February 2017. As of the Sept. 27, 2010, distribution date, the cumulative default rate was 13.09%, which exceeds the threshold rate of 13.00%. The parity test failed because the aggregate outstanding balance of the class A and B notes exceeded the sum of the collateral balance plus the amounts on deposit in the reserve account. The aforementioned parity test result was 99.47% as of the Sept. 27, 2010, distribution date, almost 300 basis points below the 102.33% reported as of the Jan. 25, 2010, distribution date. The decline reflects the impact that the accelerated pace of defaults has had on this transaction. Table 1 Class C Cumulative Default Rate Threshold Resets Series 2007-1 Date CDR (%) ---- ------- 2/1/2008 4.00 2/1/2009 8.00 2/1/2010 13.00 2/1/2011 17.00 2/1/2012 20.00 2/1/2013 22.00 2/1/2014 25.00 2/1/2015 28.00 2/1/2016 30.00 2/1/2017 32.00 CDR - Cumulative default rate. Ratings Lowered National Collegiate Student Loan Trust 2007-1 Student loan asset-backed notes and certificates Rating ------ Class To From ----- -- ---- C D (sf) B (sf) D D (sf) B- (sf) NEVADA HOUSING: S&P Corrects Ratings on Housing Bonds to 'BB+' -------------------------------------------------------------- Standard & Poor's Ratings Services corrected to 'BB+' from 'AAA' its ratings on Nevada Housing Division's series 1999A and 1999B multi-unit housing revenue bonds (Diamond Creek Apartments Project), and removed the ratings from CreditWatch. The ratings are based on MBIA Insurance Corp. (BB+/Negative), the guaranteed investment contract provider for the bonds. On June 5, 2008, Standard & Poor's lowered its rating on MBIA to 'AA' from 'AAA'. The rating was subsequently lowered to 'BB+'. However, S&P did not contemporaneously lower the ratings on the series 1999A and 1999B bonds. On May 12, 2010, the ratings on the bonds were placed on CreditWatch with negative implications due to an error. NEWCASTLE CDO: Moody's Downgrades Ratings on 10 Classes of Notes ---------------------------------------------------------------- Moody's has downgraded 10 classes and confirmed two of Notes issued by Newcastle CDO IX 1, Limited due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor. The rating action, which concludes Moody's review, is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. -- Cl. S, Downgraded to Baa1 (sf); previously on Feb. 26, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-1, Downgraded to Baa1 (sf); previously on Feb. 26, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B1 (sf); previously on Feb. 26, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to B3 (sf); previously on Feb. 26, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to Caa1 (sf); previously on Feb. 26, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to Caa2 (sf); previously on Feb. 26, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to Caa2 (sf); previously on Feb. 26, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to Caa3 (sf); previously on Feb. 26, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. J, Downgraded to Caa3 (sf); previously on Feb. 26, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. K, Confirmed at Caa3 (sf); previously on Feb. 26, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. L, Downgraded to Ca (sf); previously on Feb. 26, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Confirmed at Ca (sf); previously on Feb. 26, 2010 Ca (sf) Placed Under Review for Possible Downgrade Ratings Rationale Newcastle CDO IX1, Limited is a revolving cash CRE CDO transaction backed by a portfolio of mezzanine debt (45.8% of the pool balance), B-note debt (18.3%), bank loan (17.6%), CRE CDO (9.8%), commercial mortgage backed securities (6.5%),asset-backed securities (1.7%) and CMBS raked bond (0.3%). As of the August 18, 2010 Trustee report, the aggregate Note balance of the transaction, including Preferred Shares and excluding notional S Class, has decreased to $794.0 million from $825 million at issuance, due to full or partial Note Cancellations to Class C, Class D, Class G, and Class H Notes. There are three assets with par balance of $32.3 million (4.3% of the current pool balance) that are considered Defaulted Securities as of the August 18, 2010 Trustee report. Moody's expects significant losses from those Defaulted Securities to occur once they are realized. 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 collateral. For non-CUSIP collateral, Moody's is eliminating the additional default probability stress applied to corporate debt in CDOROM(R) v2.6 as Moody's expect the underlying non-CUSIP collateral to experience lower default rates and higher recovery compared to corporate debt due to the nature of the secured real estate collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 6,674 (including Defaulted Securities) compared to 3,434 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (1.1% compared to 0% at last review), A1-A3 (1.1% compared to 0% at last review), Baa1-Baa3 (2.6% compared to 0% at last review), Ba1-Ba3 (11.7% compared to 23.7% at last review), B1-B3 (3.6% compared to 17.3% at last review), and Caa1-C (79.9% compared to 59.0% 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 4.2 years compared to 10.0 years at last review. The lower WAL cooresponds to the actual remaining WAL compared to the reinvestment WAL. 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 32.8% (excluding Defaulted Securities) compared to 15.0% covenant at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 100.0% compared to 16.7% at last review. The high MAC is due to the increase of very-high risk collateral concentrated within a small number of collateral names. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios 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 32.8% to 22.7% or up to 43% would result in average rating movement on the rated tranches of 0 to 4 notches downward and 0 to 6 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. NEWCASTLE CDO: Moody's Downgrades Ratings on Four Classes of Notes ------------------------------------------------------------------ Moody's has downgraded four classes of Notes issued by Newcastle CDO VII, Limited, due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor and a decrease in the weighted average recovery rate, an increase in Defaulted Securities, the failure of the Class III and Class IV interest coverage tests, and the failure of all Par Value tests, including the Indenture Specified Event of Default Par Value Test. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. -- Class I-A, Downgraded to Ca (sf); previously on March 18, 2009 Downgraded to Ba2 (sf) -- Class I-B, Downgraded to C (sf); previously on March 18, 2009 Downgraded to B1 (sf) -- Class II, Downgraded to C (sf); previously on March 18, 2009 Downgraded to Caa1 (sf) -- Class III, Downgraded to C (sf); previously on March 18, 2009 Downgraded to Ca (sf) -- Class IV-FL, Affirmed at C (sf); previously on March 18, 2009 Downgraded to C (sf) -- Class IV-FX, Affirmed at C (sf); previously on March 18, 2009 Downgraded to C (sf) Ratings Rationale Newcastle CDO VI, Limited, is a CRE CDO transaction backed by a portfolio commercial mortgage backed securities (68.9%), residential mortgage backed securities (16.2%), REIT debt (13.9%), and small business loans (1.0%). As of the September 17, 2010 Trustee report, the aggregate Note balance of the transaction has decreased to $516.8 million from $525.0 million at issuance, with approximately $13.3 million in paydowns direct to the Class I-A Notes. The paydowns are a result of the redirection of all interest and principle to paydown the Class I-A Notes due to the failure of all Par Value tests. The deal is currently in default as the indenture lists as a Event of Default if the Class I Par Value Ratio is less than 103%. As of the September 17, 2010 trustee report, this ratio is 38.4%. Additionally, there are approximately $5.1 million in unpaid interest proceeds to Classes III, IV-FX, IV-FL, and V. There are twenty assets with par balance of $126.4 million (26.0% of the current pool balance) that are considered Defaulted Securities as of the September 17, 2010 Trustee report. Seven of these assets (54.7% of the defaulted balance) are either CMBS, and thirteen are RMBS (45.3%). Moody's expects little to no recovery on these assets once losses are realized. 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 4,706 compared to 810 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (2.4% compared to 7.5% at last review), A1- A3 (4.6% compared to 2.6% at last review), Baa1-Baa3 (22.3% compared to 61.6% at last review), Ba1-Ba3 (11.0% compared to 6.4% at last review), B1-B3 (12.1% compared to 10.0% at last review), and Caa1-C (47.7% compared to 12.0% 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 5.8 years compared to 6.6 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 13.3% compared to 28.1% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 15.1% compared to 18.6% at last review. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios 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 13.3% to 8.3% or up to 18.3% would result in average rating movement on the rated tranches of 0 to 1 notches downward and 0 to 1 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. NEWCASTLE CDO: Moody's Downgrades Ratings on Six Classes of Notes ----------------------------------------------------------------- Moody's has downgraded six classes of Notes issued by Newcastle CDO V, Limited due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor, and a decrease in weighted average recovery rate. The rating action is the result of Moody's on- going surveillance of commercial real estate collateralized debt obligation transactions. -- Class I Floating Rate Notes, Downgraded to Baa1 (sf); previously on March 12, 2009 Downgraded to A3 (sf) -- Class II Deferrable Floating Rate Notes, Downgraded to B1 (sf); previously on March 12, 2009 Downgraded to Ba2 (sf) -- Class III Deferrable Floating Rate Notes, Downgraded to Caa1 (sf); previously on March 12, 2009 Downgraded to B1 (sf) -- Class IV-FL Deferrable Floating Rate Notes, Downgraded to Caa3 (sf); previously on March 12, 2009 Downgraded to B3 (sf) -- Class IV-FX Deferrable Fixed Rate Notes, Downgraded to Caa3 (sf); previously on March 12, 2009 Downgraded to B3 (sf) -- Class V Deferrable Fixed Rate Notes, Downgraded to C (sf); previously on March 12, 2009 Downgraded to Caa3 (sf) Ratings Rationale Newcastle CDO V, limited is a CRE CDO transaction backed by a portfolio commercial mortgage backed securities (56.8%), REIT debt (17.5%), residential mortgage backed securities (14.6%), CMBS rake-bonds (8.1%), and small business loans (2.9%). As of the September 17, 2010 Trustee report, the aggregate Note balance of the transaction has decreased to $421.3 million from $500.0 million at issuance, with the paydown directed to the Class I Notes. There are currently no defaulted or non-performing securities in the deal as of the September 17, 2010 trustee report. 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 1,975 compared to 709 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (6.3% compared to 3.3% at last review), A1- A3 (5.1% compared to 6.0% at last review), Baa1-Baa3 (39.8% compared to 54.1% at last review), Ba1-Ba3 (29.8% compared to 23.4% at last review), B1-B3 (4.8% compared to 9.3% at last review), and Caa1-C (14.2% compared to 3.9% 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 3.7 years compared to 3.7 years at last review. The lower WAL cooresponds to the actual remaining WAL compared to the reinvestment WAL. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of22.0% compared to 26.0% 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 10.5% compared to 21.0% at last review. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios 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 22.0% to 17.0% or up to 27.0% would result in average rating movement on the rated tranches of 1 to 2 notches downward and 0 to 1 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. NEW MEXICO MORTGAGE: S&P Cuts Rating on Housing Bonds to 'B+' ------------------------------------------------------------- Standard and Poor's has lowered New Mexico Mortgage Finance Authority's (St. Anthony Plaza Apartments) multifamily housing revenue bonds series 2007A to 'B+' from 'AAA', and removed it from CreditWatch with negative implications. "The rating action is based on S&P's view of the project's reliance on short-term market rate investments," said Standard & Poor's credit analyst Ryan Butler. The rating reflects S&P's view of these: * Revenues from mortgage debt service payments and investment earnings are insufficient to pay full and timely debt service on the bonds plus fees until maturity; and * Debt service coverage is projected by Standard & Poor's to fall below investment-grade levels in 2020. The rating also reflects S&P's view of these credit strengths: * The high credit quality of the FHA insurance (which S&P consider to be 'AAA' eligible); * Investments held in 'AAAm'-rated First American Treasury Obligations Fund Class D money market fund; and * An asset-to-liability ratio of 100.96% as of Sept. 1, 2010 On May 12, 2010, S&P placed its ratings on certain housing issues, including this issue, on CreditWatch with negative implications due to revised criteria for certain Federal Government-Enhanced housing transactions. Standard & Poor's has analyzed updated financial information based on its current stressed reinvestment rate assumptions for all scenarios as set forth in the related criteria articles. S&P believes the bonds are unable to meet all bond costs from transaction revenues until maturity, assuming these reinvestment earnings. NEW MEXICO MORTGAGE: S&P Cuts Rating on Revenue Bonds to 'B+' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on New Mexico Mortgage Finance Authority's (Chateau Apartments) multifamily housing revenue bonds to 'B+' from 'AAA', and removed it from CreditWatch with negative implications. "The rating action is based on S&P's view of the project's reliance on short-term market rate investments," said Standard & Poor's credit analyst Ryan Butler. The rating reflects S&P's view of these: * Revenues from mortgage debt service payments and investment earnings are insufficient to pay full and timely debt service on the bonds plus fees until maturity; and * Debt service coverage is projected by Standard & Poor's to fall below investment-grade levels in 2017. The rating also reflects S&P's view of these credit strengths: * The high credit quality of the FHA insurance, which S&P consider to be 'AAA' eligible; * Investments held in 'AAAm'-rated First American Treasury Obligations Fund Class D money market fund; and * An asset-to-liability ratio of 100.53% as of Sept. 1, 2010 On May 12, 2010, S&P placed its ratings on certain housing issues, including this issue, on CreditWatch with negative implications due to revised criteria for certain Federal Government-Enhanced housing transactions. Standard & Poor's has analyzed updated financial information based on its current stressed reinvestment rate assumptions for all scenarios as set forth in the related criteria articles. S&P believes the bonds are unable to meet all bond costs from transaction revenues until maturity, assuming these reinvestment earnings. NORTHWEST GEORGIA: S&P Downgrades Rating on Revenue Bonds to 'BB+' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered the rating to 'BB+' from 'AAA' and removed from CreditWatch the rating on Northwest Georgia Consolidated Housing Authority's series 2004 multifamily housing revenue bonds issued for the Callier Forest Apartments Project. The bonds are secured by a Fannie Mae mortgage backed security. On May 12, 2010, the issue was included in a rating action in which S&P placed its ratings on certain housing issues on CreditWatch with negative implications due to revised criteria for certain federal government-enhanced housing transactions. S&P's revised criteria affect government-enhanced housing transactions in which funds are invested in money market funds and other investments with no guaranteed rate of return. 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. The cash flow projections that include an assumption of no reinvestment earnings indicate that beginning Nov. 1, 2019, in the event that the security prepays, there may be insufficient assets to cover the reinvestment risk, based on the 15-day minimum notice period required for special redemptions. PACIFICA CDO: 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 Pacifica CDO VI, Ltd.: -- US$18,000,000 Class C-1 Senior Secured Deferrable Floating Rate Notes due 2021, Upgraded to Caa1 (sf); previously on Aug. 28, 2009 Downgraded to Caa2 (sf); -- US$7,000,000 Class C-2 Senior Secured Deferrable Fixed Rate Notes due 2021, Upgraded to Caa1 (sf); previously on Aug. 28, 2009 Downgraded to Caa2 (sf); -- US$12,000,000 Type I Composite Notes due 2021 (current Rated Balance of $7,505,533), Upgraded to B3 (sf); previously on Aug. 28, 2009 Downgraded to Ca (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from improvement in the credit quality of the underlying portfolio and an increase in the overcollateralization ratios of the notes since the last rating action in August 2009. Improvement in the credit quality is observed through an improvement in the average credit rating (as measured by the weighted average rating factor) and a decrease in the proportion of securities from issuers rated Caa1 and below. In particular, as of the latest trustee report dated September 1, 2010, the weighted average rating factor is currently 2512 compared to 3008 in the August 2009 report, and securities rated Caa1/CCC+ or lower make up approximately 8.0% of the underlying portfolio versus 17.4% in August 2009. Additionally, defaulted securities total about $19.43 million of the underlying portfolio compared to $39.77 million in August 2009. The overcollateralization ratios of the rated notes have also increased since the last rating action. The Class A, Class B, Class C and Class D overcollateralization ratios are reported at 120.37%, 110.96%, 104.57%, and 101.87%, respectively, versus August 2009 levels of 112.83%, 104.21%, 98.29%, and 95.78%, respectively, and all related overcollateralization tests are currently in compliance. Moody's also notes that the Class C-1, Class C-2, and Class D Notes are no longer deferring interest and that all previously deferred interest has been paid in full. Additionally, the rating action taken on the Type I Composite Notes results primarily from the reduction of the Type I Composite Notes Rated Balance and the higher likelihood of future cash distributions from the Type I Composite Notes underlying components, which consists of the Class C-2 Notes and the Subordinated Notes. Moody's rating of the Type I Composite Notes addresses solely the repayment of the Rated Balance, which is reduced by any distributions received from the underlying Class C- 2 Notes and Subordinated Notes components. According to the August 2010 payment date report, the Type I Composite Notes have a Rated Balance of $7,505,533, which is supported by $7 million of Class C-2 Notes and $5 million of Subordinated Notes. All of the overcollateralization tests are currently in compliance. In contrast, at the time of the last rating action, the Type I Composite Notes had a Rated Balance of $8,153,121, and the Class C-2 Notes and the Subordinated Notes were not receiving distributions due to overcollateralization test failures. 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 $448.35 million, defaulted par of $21.42 million, weighted average default probability of 24.83% (implying a WARF of 3591), a weighted average recovery rate upon default of 43.27%, and a diversity score of 55. 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. Pacifica CDO VI, Ltd., issued in August 2006, 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, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. 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% (2873) -- Class A-1a Notes: +2 -- Class A-1b Notes: 0 -- Class A-1c Notes: +2 -- Class A-2 Notes: +2 -- Class B Notes: +2 -- Class C-1 Notes: +2 -- Class C-2 Notes: +2 -- Class D Notes: +2 -- Type I Composite Notes: +2 Moody's Adjusted WARF +20% (4309) -- Class A-1a Notes: -2 -- Class A-1b Notes: -2 -- Class A-1c Notes: -2 -- Class A-2 Notes: -2 -- Class B Notes: -2 -- Class C-1 Notes: -4 -- Class C-2 Notes: -4 -- Class D Notes: 0 -- Type I Composite Notes: -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% (45.27%) -- Class A-1a Notes: 0 -- Class A-1b Notes: 0 -- Class A-1c Notes: 0 -- Class A-2 Notes: 0 -- Class B Notes: 0 -- Class C-1 Notes: 0 -- Class C-2 Notes: 0 -- Class D Notes: 0 -- Type I Composite Notes: +1 Moody's Adjusted WARR -2% (41.27%) -- Class A-1a Notes: -1 -- Class A-1b Notes: -1 -- Class A-1c Notes: -1 -- Class A-2 Notes: -1 -- Class B Notes: -1 -- Class C-1 Notes: -1 -- Class C-2 Notes: -1 -- Class D Notes: 0 -- Type I Composite Notes: 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 and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described below: 1) 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. 2) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis. 3) Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming lower of reported and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon, and diversity score. REPACS TRUST: S&P Affirms 'B+' Rating on Series 2005 CDO -------------------------------------------------------- Standard & Poor's Ratings Services affirmed its 'B+ (sf)' rating on REPACS Trust Series 2005 - Step Up Debt Units I, a synthetic collateralized debt obligation transaction, and removed it from CreditWatch with negative implications. S&P affirmed the rating following its review of the transaction's reference portfolio and the impact of the transaction's step-up feature, which increases the subordination available for the rated units throughout the life of the transaction. S&P's review found that the units have sufficient subordination to maintain their current rating. RESIDENTIAL MORTGAGE: S&P Junks Rating on 2008-2 Notes ------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating to 'CCC (sf)' from 'AA+ (sf)' on the notes from Residential Mortgage Securities Funding 2008-2 Ltd., a residential mortgage-backed securities re-securitized real estate mortgage investment conduit transaction, and removed it from CreditWatch with negative implications. The downgrade reflects S&P's assessment of the significant deterioration in the performance of the mortgage loans backing the underlying certificate. As a result of this performance deterioration, the downgraded class was unable to maintain its previous rating at the applicable rating stresses. The RMSF 2008-2 notes are backed by class M-1 from Renaissance Home Equity Loan Trust 2006-2. The underlying collateral from this trust consists primarily of subprime fixed- and adjustable- rate, first- and second-lien one- to four-family residential mortgage loans. While RMSF 2008-2 was structured with additional enhancement in the form of repackaged securities (class X from High Grade Structured Credit CDO 2005-1 Ltd. {'CC (sf)'} and class C from Porter Square CDO II Ltd. {'CC (sf)'}, which are both secured by revolving pools of asset-backed securities and synthetic securities), S&P does not expect any future cash flow from these underlying classes. Rating Actions Residential Mortgage Securities Funding 2008-2 Ltd. Rating ------ Class CUSIP To From ----- ----- -- ---- Notes 76115DAA1 CCC (sf) AA+ (sf)/Watch Neg RFC CDO: Moody's Downgrades Ratings on 10 Classes of Notes ---------------------------------------------------------- Moody's has downgraded 10 classes of Notes issued by RFC CDO 2006- 1, Ltd., due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. -- Cl. A-1, Downgraded to Baa1 (sf); previously on April 21, 2009 Downgraded to Aa2 (sf) -- Cl. A-2, Downgraded to B2 (sf); previously on April 21, 2009 Downgraded to Baa2 (sf) -- Cl. B, Downgraded to Caa1 (sf); previously on April 21, 2009 Downgraded to Ba1 (sf) -- Cl. C, Downgraded to Caa2 (sf); previously on April 21, 2009 Downgraded to Ba2 (sf) -- Cl. D, Downgraded to Ca (sf); previously on April 21, 2009 Downgraded to B1 (sf) -- Cl. E, Downgraded to C (sf); previously on April 21, 2009 Downgraded to B2 (sf) -- Cl. F, Downgraded to C (sf); previously on April 21, 2009 Downgraded to B3 (sf) -- Cl. G, Downgraded to C (sf); previously on April 21, 2009 Downgraded to Caa1 (sf) -- Cl. J, Downgraded to C (sf); previously on April 21, 2009 Downgraded to Caa3 (sf) -- Cl. K, Downgraded to C (sf); previously on April 21, 2009 Downgraded to Caa3 (sf) Ratings Rationale RFC CDO 2006-1, Ltd., is a revolving cash CRE CDO transaction backed by a portfolio of whole loans (52.3% of the pool balance), mezzanine debt (18.2%), commercial mortgage backed securities (16.8%), B-note debt (11.3%),and CMBS raked bond (1.4%). As of the September 21, 2010 Trustee report, the aggregate Note balance of the transaction, including Preferred Shares, has decreased to $512.2 million from $600 million at issuance, with the paydown directed to the Class A-1 Notes, as a result of failing the Class C, Class D, Class E, Class F, and Class G Overcollateralization Tests. There are twenty-two assets with par balance of $176.0 million (34.2% of the current pool balance) that are considered Impaired Collateral Interests as of the September 21, 2010 Trustee report. Moody's expects significant losses from those Impaired Collateral Interests to occur once they are realized. 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 collateral. For non-CUSIP collateral, Moody's is eliminating the additional default probability stress applied to corporate debt in CDOROM(R) v2.6 as Moody's expect the underlying non-CUSIP collateral to experience lower default rates and higher recovery compared to corporate debt due to the nature of the secured real estate collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 6,951 (including Impaired Collateral Interests) compared to 3,072 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (1.0% compared to 1.4% at last review), A1-A3 (1.9% compared to 3.5% at last review), Baa1-Baa3 (6.5% compared to 11.1% at last review), Ba1-Ba3 (8.2% compared to 16.3% at last review), B1-B3 (7.6% compared to 29.4% at last review), and Caa1-C (74.8% compared to 38.3% at last review). WAL acts to adjust the probability of default of the reference obligations in the pool for time. Moody's modeled to a WAL of 2.4 years compared to 2.7 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 33.4% (excluding certain Impaired Collateral Interests) compared to 34.9% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). For non-CUSIP collateral, Moody's is reducing the maximum over concentration stress applied to correlation factors due to the diversity of tenants, property types, and geographic locations inherent in the pooled transactions. Moody's modeled a MAC of 8.5% compared to 15.4% at last review. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios 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 33.4% to 28.3% or up to 38.4% would result in average rating movement on the rated tranches of 0 to 2 notches downward or 0 to 2 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. SAVANNAH HOUSING: S&P Downgrades Rating on Housing Bonds to 'BB+' ----------------------------------------------------------------- Standard & Poor's Ratings Services has lowered its rating on Savannah Housing Authority, Ga.'s multifamily housing revenue bonds (Savannah Summit Apartments project) series 2003 to 'BB+' from 'AAA' and removed it from CreditWatch with negative implications, where it was placed on May 12, 2010. The bonds are secured by a Ginnie Mae mortgage-backed security. On May 12, 2010, the issue was included in a rating action where Standard & Poor's placed its ratings on certain housing issues on CreditWatch with negative implications due to revised criteria for certain federal-government-enhanced housing transactions. Standard & Poor's revised criteria affect government-enhanced housing transactions where funds are invested in money market funds and other investments with no guaranteed rate of return. 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. "The cash flow projections indicate, assuming no reinvestment earnings, that there will be insufficient revenues to pay regularly scheduled debt service starting on the June 20, 2036, interest payment date," said Standard & Poor's credit analyst Moraa Andima. ST JOSEPH: S&P Junks Rating on Refunding Bonds From 'BBB-' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on St. Joseph County, Ind.'s general obligation economic development refunding bonds, issued for Madison Center Inc., to 'CCC' from 'BBB-'. At the same time, Standard & Poor's placed the 'CCC' rating on CreditWatch with negative implications. "The rating on the GO bonds is based on the credit quality of Madison Center Inc., a nonprofit mental health center, and moves in conjunction with the rating on Madison Center's revenue bonds," said Standard & Poor's credit analyst Caroline West. "The downgrade therefore reflects the lowering of the credit rating of Madison Center to 'CCC' from 'BB+', reflecting an unexpected and sharp drop in state funding, which, in turn, has contributed to deteriorating operating performance in the unaudited fiscal year ended June 30, 2010; very weak debt service coverage; a decline in liquidity; and a restructuring of the organization, in which mental health services will be transferred to another provider." The lowered rating specifically reflects S&P's view of: * Balance sheet erosion, with reductions in liquidity, and continued reductions expected in debt service reserve funds and a considerable debt load; * Operating performance well off of the previous year and off of budgeted expectations, due in large part to Medicaid reductions; * Very weak coverage, which resulted in a covenant violation; and * Considerable management turnover, with an interim CEO, and an interim CFO in place for over a year. STUDENT LOAN: Moody's Downgrades Ratings on Nine Classes of Notes ----------------------------------------------------------------- Moody's Investors Service downgraded nine classes of notes in two Student Loan Repackaging trusts. The ratings remain on review for possible further downgrade for most notes. Deutsche Bank Trust Company Americas is the administrator and trustee for both transactions. Complete rating actions are: Issuer: Student Loan ABS Repackaging Trust, Series 2007-1 -- Cl. 3-A-1, Downgraded to Caa1 (sf) and Remains On Review for Possible Downgrade; previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-IO, Downgraded to Caa1 (sf) and Remains On Review for Possible Downgrade; previously on April 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Caa2 (sf) and Remains On Review for Possible Upgrade; previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-IO, Downgraded to Caa2 (sf) and Remains On Review for Possible Upgrade; previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to Ba1 (sf) and Remains On Review for Possible Downgrade; previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-IO, Downgraded to Ba1 (sf) and Remains On Review for Possible Downgrade; previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A-1, Downgraded to Ba1 (sf) and Remains On Review for Possible Downgrade; previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A-IO, Downgraded to Ba1 (sf) and Remains On Review for Possible Downgrade; previously on April 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: Student Loan ABS Repacking Trust, Series 2007-2 -- Cl. IO, Downgraded to B3 (sf) and Remains On Review for Possible Downgrade; previously on April 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The downgrades were prompted primarily by the downgrade of certain underlying securities referenced in these two transactions on September 30, 2010. The ratings of certificates issued by Student Loan Repackaging Trust, Series 2007-1, are based on the ratings of the underlying securities and the payment timing swap provided by Deutsche Bank AG, New York Branch. The payment timing swap covers any interest shortfalls on the Certificates due solely to the accrual period for the Certificates being longer than the interest accrual period for the underlying securities for the related underlying distribution date. The actions on eight notes issued by this trust were prompted by the rating actions on some of the underlying securities, which were issued by four National Collegiate Student Loan trusts. The related underlying securities are these: * Group 3 Certificates: National Collegiate Student Loan Trust 2003-1, Class A-7 (current rating Caa1 (sf) under review for possible downgrade) and Class IO Notes (current rating Caa1 (sf) under review for possible downgrade); * Group 4 Certificates: National Collegiate Student Loan Trust 2004-1, Class A-4 (current rating Caa3 (sf) under review for possible downgrade) Class A-IO-2 Notes (current rating Caa3 (sf) under review for possible downgrade); * Group 5 Certificates: National Collegiate Student Loan Trust 2005-1, Class A-5-1 (current rating Ba1 (sf) under review for possible downgrade) and Class A-5-2 Certificates (current rating Ba1 (sf) under review for possible downgrade); * Group 6 Certificates: National Collegiate Student Loan Trust 2005-3, Class A-5-1 Certificates (current rating Ba1 (sf) under review for possible downgrade). The assets of the Student Loan Repackaging Trust, Series 2007-2 consist primarily of the Class 1-A-IO, Class 2-A-IO, Class 3-A-IO, Class 4-A-IO, Class 5-A-IO, Class 6-A-IO and Class 7-A-IO Certificates issued by the Student Loan ABS Repackaging Trust, Series 2007-1. The rating of the Class IO in the Student Loan Repackaging Trust, Series 2007-2 was determined based on the weighted average rating of the underlying IO bonds. As a consequence of the downgrade of the ratings on Class 3-A-IO, Class 4-A-IO, Class 5-A-IO and Class 6-A-IO, Class IO was also downgraded. The methodology used in rating the notes issued by the Student Loan Repackaging Trust, Series 2007-1 considered the higher of the pass-through rating of the underlying groups of securities and the guarantors' rating for the tranches within the 2007-1 trust that benefit from any financial guarantee. The methodology used in rating the Class A-IO from the Series 2007-2 trust consisted in translating the current rating of each underlying IO of the 2007-1 repackaging trust to Moody's idealized expected loss rate corresponding to each IO's respective weighted average remaining life. Then the average idealized loss and remaining average life for Class A-IO, both weighted by outstanding notional amount of the tranches, were used to determine the rating. For Student Loan Repackaging Trust, Series 2007-1, the primary sources of uncertainty with regard to the rating are the ratings of underlying notes in reference and the ratings of the financial guarantors. For Student Loan Repackaging Trust, Series 2007-2, the primary sources of uncertainty with regard to the rating are the ratings of the referenced underlying IO notes issued by Series 2007-1, the weighted average life and the notional balance of the IO's. The ratings of notes issued under both the Series 2007-1 and the Series 2007-2 could be downgraded or upgraded if the underlying securities referenced in both trusts are downgraded or upgraded. 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. SUTTER CBO: Fitch Downgrades Ratings on Class B Notes to 'D' ------------------------------------------------------------ Fitch Ratings has downgraded and withdrawn the ratings on the remaining class of notes from Sutter CBO 1998-1 Ltd./Corp. The rating actions are: -- $5,282,070 class B notes downgraded to 'D' from 'C/RR4'. Fitch subsequently withdraws the rating of the class B notes since the notes have matured. At the stated maturity date on Sept. 15, 2010, the class B notes received a total interest payment of approximately $15.3 million, leaving a final unpaid interest amount of approximately $1.1 million and a remaining unpaid principal balance of approximately $5.3 million. The downgrade of the class B notes reflects the issuer's failure to redeem the entire principal amount due at the stated maturity date. Sutter CBO 1998-1 was a collateralized bond obligation that closed on Sept. 1, 1998, and was managed by Wells Fargo Bank, NA. TERWIN MORTGAGE: Moody's Downgrades Rating on 19 Tranches --------------------------------------------------------- Moody's Investors Service has downgraded the rating of 19 tranches, confirmed the ratings of 17 tranches, and upgraded the ratings of 2 tranches from 11 RMBS transactions issued by Terwin Mortgage Trust. The collateral backing these deals primarily consists of first-lien, fixed and adjustable-rate subprime residential mortgages. Issuer: Terwin Mortgage Trust 2006-1 -- Cl. I-A-2, Downgraded to Aa2 (sf); previously on Jan. 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to Ba1 (sf); previously on Jan. 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-M-1, Downgraded to Ca (sf); previously on Jan. 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-M-2, Downgraded to C (sf); previously on Jan. 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Terwin Mortgage Trust 2006-11ABS -- Cl. A-1, Confirmed at Caa2 (sf); previously on Jan. 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2a, Confirmed at Aa3 (sf); previously on Jan. 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2b, Confirmed at Ca (sf); previously on Jan. 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Terwin Mortgage Trust 2006-3 -- Cl. I-A-2, Downgraded to Ba3 (sf); previously on Jan. 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to Ca (sf); previously on Jan. 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-M-1, Downgraded to C (sf); previously on Jan. 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Terwin Mortgage Trust 2006-5 -- Cl. I-A-1, Confirmed at Ba1 (sf); previously on Jan. 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2b, Downgraded to B2 (sf); previously on Jan. 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2c, Downgraded to C (sf); previously on Jan. 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-M-1, Downgraded to C (sf); previously on Jan. 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Terwin Mortgage Trust 2006-7 -- Cl. I-A-1, Confirmed at B2 (sf); previously on Jan. 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2a, Confirmed at Aaa (sf); previously on Jan. 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2b, Confirmed at B3 (sf); previously on Jan. 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2c, Downgraded to Ca (sf); previously on Jan. 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Terwin Mortgage Trust, Series TMTS 2005-10HE -- Cl. A-1B, Confirmed at Aaa (sf); previously on Jan. 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-1C, Confirmed at Aaa (sf); previously on Jan. 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Confirmed at A1 (sf); previously on Jan. 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Confirmed at Baa2 (sf); previously on Jan. 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Confirmed at Ba3 (sf); previously on Jan. 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Confirmed at Caa2 (sf); previously on Jan. 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Terwin Mortgage Trust, Series TMTS 2005-14HE -- Cl. AF-2, Downgraded to Aa3 (sf); previously on Jan. 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov 12, 2009) Issuer: Terwin Mortgage Trust, Series TMTS 2005-16HE -- Cl. AF-2, Downgraded to Aa3 (sf); previously on Jan. 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov 12, 2009) Issuer: Terwin Mortgage Trust, Series TMTS 2005-2HE -- Cl. A-1, Upgraded to Aa1 (sf); previously on Nov 12, 2009 Confirmed at Aa3 (sf) -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov 12, 2009) Issuer: Terwin Mortgage Trust, Series TMTS 2005-4HE -- Cl. M-1, Upgraded to Aa1 (sf); previously on Jan. 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to A3 (sf); previously on Jan. 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Jan. 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Jan. 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Jan. 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Terwin Mortgage Trust, Series TMTS 2005-6HE -- Cl. M-1, Confirmed at Aa1 (sf); previously on Jan. 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Confirmed at Aa2 (sf); previously on Jan. 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Confirmed at A1 (sf); previously on Jan. 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Confirmed at Baa2 (sf); previously on Jan. 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Caa1 (sf); previously on Jan. 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Jan. 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Ratings Rationale The actions reflect the continued performance deterioration in Subprime pools in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on subprime pools issued from 2005 to 2007. To assess the rating implications of the updated loss levels on subprime RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. Tranche AF-2 issued by TMTS 2005-14HE, tranche AF-2 issued by TMTS 2005-16HE and tranche A-1 issued by TMTS 2005-2HE are wrapped by Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov 12, 2009). For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described above. 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. TEXAS DEPARTMENT: S&P Downgrades Ratings on 2006 Bonds to 'B' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered to 'B' from 'AAA' its rating on Texas Department of Housing & Community Affairs' series 2006 multifamily revenue bonds (Village Park Apartments Project), and removed the rating from CreditWatch. "The rating action is based on S&P's view of the project's reliance on short-term market-rate investments," said Standard & Poor's credit analyst Ryan Butler. The rating reflects S&P's view of these: * Insufficient assets to cover the carryforward balance release test; and * Revenue fund is projected to fall below investment-grade levels in 2015. The rating also reflects S&P's view of these credit strengths: * The high credit quality of the Fannie Mae credit enhancement facility, which S&P considers to be 'AAA' eligible; * Investments held in 'AAAm' rated market fund; and * An asset-to-liability ratio of 100.92% as of July 1, 2010. On May 12, 2010, S&P placed its ratings on certain housing issues, including this issue, on CreditWatch with negative implications due to revised criteria for certain federal government-enhanced housing transactions. S&P's revised criteria affect government- enhanced housing transactions that have funds invested in money market funds and other investments with no guaranteed rate of return. Standard & Poor's has analyzed updated financial information based on its current stressed reinvestment rate assumptions for all scenarios as set forth in the related criteria articles. S&P believes the bonds are unable to meet all bond costs from transaction revenues until maturity, assuming these reinvestment earnings. TEXAS DEPARTMENT: S&P Downgrades Rating on Revenue Bonds to 'BB+' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered to 'BB+' from 'AAA' its rating on Texas Department of Housing & Community Affairs' multifamily revenue bonds (Aspen Park Apartment Project), and removed the rating from CreditWatch. "The downgrade is based on S&P's view of the project's reliance on short-term market-rate investments," said Standard & Poor's credit analyst Ryan Butler. The rating reflects S&P's view of these: * Revenues from mortgage debt service payments and investment earnings are insufficient to cover payments reinvestment risk based on the 15-day minimum notice period required for special redemptions; and * Default scenario coverage is projected by Standard & Poor's to fall below investment-grade levels in 2025. The rating also reflects S&P's view of these credit strengths: * The high credit quality of the Fannie Mae credit enhancement facility, which S&P considers to be 'AAA' eligible; * Investments held in 'AAAm' rated market fund; and * An asset-to-liability ratio of 100.49% as of July 11, 2010. On May 12, 2010, S&P placed its ratings on certain housing issues, including this issue, on CreditWatch with negative implications due to revised criteria for certain federal government-enhanced housing transactions. S&P's revised criteria affect government- enhanced housing transactions that have funds invested in money market funds and other investments with no guaranteed rate of return. Standard & Poor's has analyzed updated financial information based on its current stressed reinvestment rate assumptions for all scenarios as set forth in the related criteria articles. S&P believes the bonds are unable to meet all bond costs from transaction revenues until maturity, assuming these reinvestment earnings. TIMES SQUARE: S&P Raises Rating on Mortgage Certs. to 'BB+' ----------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on Times Square Hotel Trust's mortgage and lease amortizing certificates to 'BB+' from 'BB'. At the same time, S&P revised its outlook on the rating to stable from positive. The action follows the Oct. 1, 2010, raising of the corporate credit rating on Starwood Hotels & Resorts Worldwide Inc. (BB+/Stable/--). The rating on the Times Square Hotel Trust transaction is based on the payments from Starwood on obligations pursuant to a triple- net-lease for the W New York - Times Square Hotel, located on Broadway at 47th St. in Manhattan. TLR MASTER: Moody's Downgrades Ratings on $11 Mil. Notes to 'B1' ---------------------------------------------------------------- Moody's Investors Service has downgraded notes issued by TLR Master Trust 2001. The downgrade was prompted by significant decrease in lease revenue since mid-2009. The notes are backed by cash flow generated from lease payments on a pool of containers and railcars, which comprise 86% and 14% of the original equipment cost as of the closing date, respectively. The complete rating action is: Issuer: TLR Master Trust 2001 -- $11 million of Fixed Rate Notes, Downgraded to B1 (sf); previously on March 1, 2010, Ba1 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The downgrade is prompted by a nearly 50% drop in lease revenue since mid-2009. As a result of the economic slow-down container utilization rate steadily dropped as demand for containers decreased. For instance, between January 2009 and August 2009 utilization rate fell from 91% to 75%. The decrease in the utilization rate resulted in lower revenue and higher storage and handling expenses, since the trust must pay third party depots to store the unused containers. As of August 2010, utilization rate has rebounded to 96%, however the improvement was mainly attributable to the sales of idle containers and reduction in fleet size. The net cash flow from container and rail car leases was not sufficient to cover the required quarterly principal payment due in October 2009. As a consequence, the notes suffer a growing principal payment shortfall. According to the September 2010 servicer report, the outstanding principal balance of the note was $2.2 million greater than scheduled. Although this nonpayment of scheduled principal payments does not constitute an event of default, the cumulative effect of the principal payment shortfalls is likely to impede repayment of the notes by the final maturity date of January 31, 2017. In addition to the principal payment shortfall, the trust has experienced difficulties in making interest payments. On the January 2010 payment date, the trust withdrew $45,627 from the interest reserve account in order to make the required interest payment. The trust has subsequently replenished the account from a onetime insurance payment for damaged railcar. The interest reserve account currently has $1.030 million on deposit, which is enough to cover approximately fifteen months of interest. In an effort to reduce expenses, the trust has been actively selling idled containers. The number of container units in service dropped from approximately 18,000 units in January 2009 to approximately 9,800 units in August 2010. The reduction in fleet size indicates that lease revenues are not likely to return to their previous levels, which renders the ultimate repayment of the principal highly uncertain. Since the repayment of the notes by the final maturity date is highly unlikely, Moody's relied on the expected recoveries on the container and railcar fleet for assigning its rating. Moody's expects recovery rate in the range of 99% to 100%. Primary sources of uncertainty with regard to performance of this transaction are the demand for containers and the used container and railcar prices. Factors that affect these variables include but not limited to the world trade volume and the recovery of world economy, availability and price of new containers, and scrap metal prices. 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. If the used container and railcar prices decline by 10% or more, the notes could be further downgraded in the future. Moody's rating methodology focused on projecting container and railcar lease revenues, which are driven by utilization rates, lease rates, the financial stability of leases and their ability to make lease payments. Factors that affect these variables include but not limited to the mix of long term and short term lease agreements in the Trust, the demand for containers as driven by the world trade volume and the recovery of the financial markets. The simulated revenues are fed through the payment waterfall to assess potential performance of the notes under different expected and stressed scenarios. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instrument in this transaction in the past 6 months UBS COMMERCIAL: S&P Downgrades Ratings on 11 2007-FL1 Certs. ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 11 classes of commercial mortgage pass-through certificates from UBS Commercial Mortgage Trust 2007-FL1, a U.S. commercial mortgage- backed securities transaction. Concurrently, S&P affirmed its ratings on nine other classes from the same transaction. S&P's rating actions follow its analysis of the transaction, which included the revaluation of the collateral securing the remaining 25 floating-rate loans in the pool, seven of which are currently with the special servicers. All of the loans are indexed to one- month LIBOR. The two major asset types (77.5% of the pooled trust balance) that were the primary driver of S&P's downgrades are: Lodging properties, which constitute 59.8% ($840.1 million) of the pooled trust balance according to the Sept. 15, 2010, trustee remittance report. Based on S&P's analysis, its property valuations have declined, on average, by 19.9% from the levels S&P assessed in its last review dated Nov. 12, 2009. Office properties, which make up 17.7% ($248.5 million) of the pooled trust balance and have experienced valuation declines, on average, by 12.7% below its last review levels. S&P generally attribute the declines to lower rental rates and/or higher vacancy rates. The other asset types are multifamily ($238.5 million, 17.0%), land ($45.5 million, 3.2%), and health care properties ($32.0 million, 2.3%). S&P lowered its rating on the class O-SA raked certificate to 'D (sf)' following interest shortfalls to the class for the past seven months, resulting primarily from special servicing fees for the St. Anthony Hotel loan. S&P expects the interest shortfalls to continue to affect this raked class in the future. The class X certificate is an interest-only certificate with a balance that references the aggregate certificate balances of the pooled principal and interest certificates in the transaction. S&P lowered its rating on class X based on its current criteria. S&P previously lowered four of its ratings to 'D (sf)' due to ongoing interest shortfalls. S&P affirmed the four 'D (sf)' ratings on these classes because they continue to have accumulated interest shortfalls outstanding. Lodging Collateral Lodging properties secure 13 loans in the pool totaling $840.1 million (59.8% of the pooled trust balance). These properties are predominantly in Manhattan (20.8% of the pooled trust balance); Maui, Hawaii (11.6%); and Washington, D.C. (8.6%). S&P based its hotel analyses, in part, on a review of the borrowers' operating statements available for year-to-date 2010, the 12 months ended Dec. 31, 2009, and the borrower's 2010 budgets, as well as Smith Travel Research reports. S&P noted that a reduction in business and leisure travel, in its opinion, significantly affected the performance of lodging collateral in 2009 compared to 2008. S&P's analysis considered current conditions in the local lodging markets. According to STR, the New York and Washington, D.C., lodging markets posted 15.0% and 0.6% increases, respectively, in revenue per available room for the first eight months of 2010 compared with 2009, whereas the general U.S. hotel industry reported a 4.0% increase in RevPAR for the same period. Largest Lodging Loan The Essex House loan, the largest loan in the pool, is secured by a 515-room full-service hotel and five remaining sponsor-owned residential condominium units in Manhattan. The current trust balance is $186.5 million (13.3% of the pooled trust balance), and the whole-loan balance is $303.1 million. In addition, the equity interests in the borrower of the whole loan secure $14.5 million of mezzanine debt. The master servicer, Berkadia Commercial Mortgage LLC, reported a 0.15x debt service coverage and 73.6% occupancy for the 12 months ended June 30, 2010. S&P's adjusted valuation, yielding a stressed in-trust loan-to-value (LTV) ratio of 162.1%, has fallen 13.2% since its last review, primarily due to a decline in RevPAR and an increase in operating expenses. The loan matures on Sept. 9, 2011, and has one 12-month extension option remaining. Lodging Loans With The Special Servicers There are two lodging loans with the special servicers. Details are: The Maui Prince Resort loan, the second-largest loan in the pool, has a trust and whole-loan balance of $192.5 million consisting of a $162.5 million senior pooled component (11.6% of the pooled trust balance) and a $30.0 million subordinate nonpooled component that supports the "MP" raked certificates. This loan is secured by a 310-room full-service hotel, development rights for the construction of additional hotel rooms, two 18-hole golf courses, and 1,190 acres of developable land in Maui, Hawaii. In addition, the equity interests in the borrower of the whole loan secure four mezzanine loans with a maximum principal balance of $227.5 million. The 90-plus-days delinquent Maui loan was transferred to the special servicer on June 18, 2009, due to imminent maturity default. The loan matured on July 9, 2009. The current property cash flow is insufficient to cover operating expenses, and reported occupancy was 50.9% as of June 2010. An updated October 2009 appraisal valued the property below the senior trust balance. The special servicer for this loan, CWCapital Asset Management LLC, has indicated that the loan has been modified following the sale of the collateral and the assumption of the loan on Aug. 27, 2010. As part of the loan modification, it is S&P's understanding that the maturity of the loan was extended to July 9, 2015, with two one-year extension options. In addition, the new sponsor agreed to repay servicer's advances and appraisal subordinate entitlement reduction amounts, as well as pay down the senior loan balance. The master servicer, Berkadia, stated that the new sponsor has funded $40.1 million, of which $12.5 million will be used to pay down the principal on the senior pooled component and the remainder will be applied against servicer's advances, ASER amounts, and other related expenses. Berkadia stated that it expects the October 2010 trustee remittance report to reflect the proceeds. CWCapital does not anticipate returning the Maui loan to master servicing until mid-2011 at the request of the new sponsor and the controlling class representative. CWCapital has stated that the new sponsor will pay the special servicing fee from January 2011 until the loan is returned to master servicing. Despite the loan modification, S&P's adjusted valuation, which yielded a stressed in-trust LTV ratio of 199.5%, is down 23.9% since its last review. While S&P expects the modification to result in the repayment of the accumulated interest shortfalls to classes J and K next month, S&P may lower its 'CCC- (sf)' ratings on these classes if this does not occur. The other lodging loan in special servicing, the St. Anthony Hotel (St. Anthony) loan, is secured by a 352-room full-service hotel in San Antonio, Texas. This loan has a whole-loan balance of $38.3 million, which consists of a $22.3 million senior pooled component (1.6% of the pooled trust balance), a $2.0 million subordinate nonpooled component raked to the class O-SA certificate, and a $14.0 million subordinate nontrust junior participation interest. In addition, the equity interests in the borrower of the whole loan secure $10.0 million of mezzanine debt. The 90-plus-days delinquent St. Anthony loan was transferred to the special servicer, Berkadia, on Feb. 10, 2010, due to the borrower's failure to pay operating expenses. The reported occupancy was 46.2% as of December 2009. According to Berkadia, it is pursuing foreclosure proceedings. An updated March 2010 appraisal valued the property at slightly above the trust's pooled balance. S&P's adjusted valuation, which yielded a stressed in- trust LTV ratio of 232.9%, has declined 17.7% since its last review due to a drop in RevPAR. S&P lowered its rating on class O-SA to 'D (sf)' due to interest shortfalls that S&P does not expect to be recovered in the near term. Lodging Loan With Maturities Within The Next Three Months One lodging loan within the pool matures within the next three months. The Hilton Arlington-TX loan is secured by a 308-room full-service hotel in Arlington, Texas. This loan has a whole- loan balance of $24.7 million, which consists of a $15.5 million senior pooled component (1.1% of the pooled trust balance), a $1.5 million subordinate nonpooled component that supports the class O-HA raked certificate, and a $7.7 million subordinate nontrust junior participation interest. Berkadia reported an 11.08x DSC and 56.2% occupancy for the 12 months ended June 30, 2010. S&P's adjusted valuation, yielding a stressed in-trust LTV ratio of 130.7%, is on par with the levels S&P assessed in its last review. Accordingly, S&P affirmed its 'CCC- (sf)' rating on class O-HA. This loan matures on Nov. 9, 2010, and has one one- year extension option remaining. Lodging Loans With Rated Raked Certificates In addition to the "MP", O-SA, and O-HA raked certificates, Standard & Poor's also rates the class O-MD raked certificate. The Marriott Washington DC loan is secured by a 470-room full- service hotel in Washington, D.C. This loan has a whole-loan balance of $118.8 million, which consists of a $55.3 million senior pooled component (3.9% of the pooled trust balance), a $1.9 million subordinate nonpooled component raked to the class O-MD certificate, and three subordinate nontrust junior participation interests totaling $61.6 million. Berkadia reported a DSC of 14.79x and 71.2% occupancy for the 12 months ended June 30, 2010. S&P's adjusted valuation, which yielded a stressed in-trust LTV ratio of 89.3%, is on par with the levels S&P assessed in its last review. Accordingly, S&P affirmed its 'CCC+ (sf)' rating on class O-MD. The loan matures on May 9, 2011, and has one one-year extension option remaining. Office Collateral Office properties secure five loans totaling $248.5 million (17.7% of the pooled trust balance). The office properties are concentrated in Reston and Fairfax, Va. (8.7% of the pooled trust balance), Santa Monica, Calif. (5.3%), Boston (1.9%), and Chicago (1.8%). S&P based its analysis of the office properties on its review of the borrowers' operating statements available for year- to-date 2010, the 12 months ended Dec. 31, 2009, and the borrowers' 2010 budgets, as well as the borrowers' 2010 rent rolls. Most of the office properties have experienced lower rental rates and/or higher vacancies since S&P's last review. Largest Office Loan The 2600-2800 Colorado Avenue loan, the largest office loan and the sixth-largest loan in the pool, has a trust balance of $75.0 million (5.3% of the pooled trust balance) and a maximum whole-loan balance of $148.0 million. In addition, the equity interests in the borrower of the whole loan secure two mezzanine loans totaling $40.0 million. This loan is secured by two five- story office buildings and one freestanding single-story preschool building in Santa Monica, Calif., totaling 305,750 sq. ft. Berkadia, the master servicer, reported a 9.70x DSC for year-end 2009 and 93.5% occupancy as of March 2010. S&P's adjusted valuation, which yielded a stressed in-trust LTV ratio of 92.5%, is down 6.2% since its last review, due primarily to lower in- place rental rates. The loan matures on July 9, 2011, and has three one-year extension options remaining. Office Loans With The Special Servicers Two office loans in the pool are with the special servicers. Details are: The Reston Office Portfolio loan, the eighth-largest loan in the pool, is secured by four class A office properties totaling 513,300 sq. ft. in Reston, Va. The loan has a trust balance of $67.5 million (4.8% of the pooled trust balance) and a whole-loan balance of $107.0 million. In addition, the equity interests in the borrower of the whole loan secure a $31.5 million mezzanine loan. The 30-plus-days delinquent loan was transferred to the special servicer on June 4, 2010, due to imminent maturity default. The loan matured on Aug. 9, 2010, and it is S&P's understanding that it did not meet the DSC and LTV tests necessary for the borrower to exercise its remaining two one-year extension options. The special servicer for this loan, Green Loan Services LLC, stated that it is exploring various workout strategies with the borrower and has ordered updated appraisals. The master servicer reported a DSC of 6.61x for year-end 2009 and a combined occupancy of 46.7% as of June 2010. S&P's adjusted valuation, which yielded a stressed in-trust LTV ratio of 147.1%, has declined 21.6% since S&P's last review due to lower-than-expected occupancy. The 281-321 Summer Street loan, secured by two office buildings totaling 257,700 sq. ft. in Boston, has a trust balance of $26.0 million (1.9% of the pooled trust balance) and a whole-loan balance of $51.0 million. In addition, the equity interests in the borrower of the whole loan secure a $15.2 million mezzanine loan. This loan, which is current, was transferred to the special servicer, CT Investment Management Co. LLC, on April 5, 2010, due to imminent maturity default. The loan matured on May 9, 2010, and it is S&P's understanding that it did not meet the DSC test necessary for the borrower to exercise its two remaining 12-months extension options. CT stated that the loan has since been modified (on Aug. 5, 2010). The loan modification included extending the maturity to June 9, 2011, with three one-year extension options. In addition, CT indicated that it will waive the special servicing and workout fees on this loan and expects the loan to be returned to master servicing as early as next month. Berkadia reported a 10.21x DSC for year-end 2009 and 54.6% occupancy as of July 2010. S&P's adjusted valuation, which yielded a stressed in-trust LTV ratio of 106.4%, has fallen 19.4% since its last review due to lower-than-expected occupancy. Other Specially Serviced Loans In addition to the four loans S&P discussed above, three other loans secured by land are with the special servicers. Details are: The Atlantic Towers loan is secured by three land parcels totaling 2.1 acres in Washington, D.C. This loan has a trust and whole- loan balance of $21.6 million (1.5% of the pooled trust balance). In addition, the equity interests in the borrower of the whole loan secure two mezzanine loans totaling $18.4 million. This 90- plus-days delinquent loan was transferred to the special servicer, Berkadia, on May 1, 2009, due to imminent maturity default, and the borrower failed to pay off the loan upon its May 9, 2009, maturity date. According to Berkadia, it is pursuing foreclosure proceedings. An updated June 2010 appraisal valued the property above the trust balance. S&P's adjusted valuation, yielding a stressed in-trust LTV ratio of 192.9%, has increased 41.8% since its last review. The RexCorp NJ/Long Island Land loan is secured by four parcels of unimproved land totaling 230 acres in Madison Borough and Chatham Township, N.J., and East Patchogue, N.Y. The loan has a trust and whole-loan balance of $13.9 million (1.0% of the pooled trust balance). The equity interests in the borrower of the whole loan secure mezzanine debt with a maximum principal balance of $8.8 million. The 60-plus-days delinquent loan was transferred to the special servicer, Berkadia, on Feb. 5, 2010, due to imminent maturity default. The loan matured on Feb. 11, 2010. Berkadia has indicated that it is currently pursuing foreclosure proceedings. An updated May 2010 appraisal valued the property below the trust balance. S&P's adjusted valuation, which yielded a stressed in-trust LTV ratio of 358.1%, has declined 63.4% since its last review. The RexCorp Plainview Land loan, secured by two vacant land parcels totaling 165 acres in Plainview, N.Y., has a trust and whole-loan balance of $10.0 million. The equity interests in the borrower of the whole loan secure mezzanine debt with a maximum principal balance of $15.1 million. The loan was transferred to the special servicer, Berkadia, on Feb. 5, 2010, due to imminent maturity default. The borrower was unable to pay off the loan upon its final Feb. 11, 2010, maturity. According to Berkadia, the loan has since been modified. The modification terms included a reduction in principal balance, an interest rate increase, and an extension of the maturity date to May 11, 2011, with a 12-month extension option. S&P's adjusted valuation, which yielded a stressed in-trust LTV ratio of 278.9%, has fallen 75.3% since its last review. Other Loan With Rated Raked Certificates In addition to the raked certificates S&P discussed above, Standard & Poor's also rates the class O-BH raked certificate in the pool. The Beverly HCPI loan has a trust and whole-loan balance of $35.0 million that consists of a $32.0 million senior pooled component (2.3% of the pooled trust balance) and a $3.0 million subordinate nonpooled component that supports the class O- BH raked certificate. This loan is secured by six skilled-nursing facilities totaling 852 beds in Indiana and Wisconsin. In addition, the equity interests in the borrower of the whole loan secure a $7.0 million mezzanine loan. Berkadia reported a DSC of 15.47x and 88.6% occupancy for the 12 months ended March 31, 2010. S&P's adjusted valuation, yielding a stressed in-trust LTV ratio of 78.4%, is comparable to the levels S&P assessed in its last review. Accordingly, S&P affirmed its 'B- (sf)' rating on class O-BH. This loan matures on April 9, 2011, and has one one-year extension option remaining. Ratings Lowered UBS Commercial Mortgage Trust 2007-FL1 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A-1 AA- (sf) AA+ (sf) 44.51 A-2 B+ (sf) BB+ (sf) 22.47 B B (sf) BB (sf) 18.39 C B- (sf) BB- (sf) 16.18 D CCC+ (sf) B+ (sf) 14.24 E CCC (sf) B (sf) 12.31 F CCC- (sf) B- (sf) 10.37 G CCC- (sf) CCC+ (sf) 8.43 H CCC- (sf) CCC (sf) 6.36 O-SA D (sf) CCC- (sf) N/A X AA- (sf) AA+ (sf) N/A Ratings Affirmed UBS Commercial Mortgage Trust 2007-FL1 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- J CCC- (sf) 4.42 K CCC- (sf) 2.49 L D (sf) N/A O-BH B-(sf) N/A O-HA CCC- (sf) N/A O-MD CCC+ (sf) N/A M-MP D (sf) N/A N-MP D (sf) N/A O-MP D (sf) N/A N/A - Not applicable. WACHOVIA COMMERCIAL: Moody's Reviews Ratings on 2005-C21 Certs. --------------------------------------------------------------- Moody's Investors Service placed 13 classes of Wachovia Commercial Securities Inc., Commercial Mortgage Pass-Through Certificates, Series 2005-C21 on review for possible downgrade: -- Cl. A-J, $215.323M, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Nov. 12, 2009 Downgraded to Aa2 (sf) -- Cl. B, $65.003M, A1 (sf) Placed Under Review for Possible Downgrade; previously on Nov. 12, 2009 Downgraded to A1 (sf) -- Cl. C, $32.502M, A3 (sf) Placed Under Review for Possible Downgrade; previously on Nov. 12, 2009 Downgraded to A3 (sf) -- Cl. D, $60.941M, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Nov. 12, 2009 Downgraded to Baa2 (sf) -- Cl. E, $36.564M, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Nov. 12, 2009 Downgraded to Baa3 (sf) -- Cl. F, $40.627M, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Nov. 12, 2009 Downgraded to Ba1 (sf) -- Cl. G, $32.502M, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Nov. 12, 2009 Downgraded to Ba2 (sf) -- Cl. H, $40.627M, B1 (sf) Placed Under Review for Possible Downgrade; previously on Nov. 12, 2009 Downgraded to B1 (sf) -- Cl. J, $16.250M, B2 (sf) Placed Under Review for Possible Downgrade; previously on Nov. 12, 2009 Downgraded to B2 (sf) -- Cl. K, $16.251M, B3 (sf) Placed Under Review for Possible Downgrade; previously on Nov. 12, 2009 Downgraded to B3 (sf) The classes were placed on review due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans 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 November 12, 2009. Deal And Performance Summary As of the September 17, 2010 distribution date, the transaction's aggregate certificate balance has decreased by 26% to $2.40 billion from $3.25 billion at securitization. The Certificates are collateralized by 214 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 40% of the pool. Four loans, representing 3% of the pool, have defeased and are collateralized by U.S. Government securities. The pool includes two loan with underlying ratings, representing 6% of the pool. Forty-eight 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. Four loans have been liquidated from the pool since securitization, resulting in an aggregate $18.0 million loss (39% loss severity on average). Currently, 12 loans, representing 6% of the pool, are in special servicing. The largest specially serviced loan is the 110 North Wacker Drive Loan ($44.3 million -- 2% of the pool), which is secured by a 227,000 square foot, office property located in Chicago, Illinois. The borrower is General Growth Properties and the building serves as GGP's corporate headquarters. The loan was transferred to special servicing in January 2010 due to GGP filing for bankruptcy. The loan matures in October 2010 and GGP has requested a loan extension. The remaining 11 specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $69.1 million appraisal reduction for the specially serviced loans. Based on the most recent remittance statement, Classes O through P have experienced cumulative interest shortfalls totaling $1.7 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions and extraordinary trust expenses. Moody's review will focus on potential losses from specially serviced and troubled loans and the performance of the overall pool. WASHINGTON MUTUAL: Moody's Downgrades Ratings on 12 Tranches ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 12 tranches and upgraded the ratings of 25 tranches in three transactions issued by Washington Mutual in 2005. Moody's Investors Service has also upgraded the ratings of one tranche issued by GMACM Mortgage Loan Trust 2005-AF1. The collateral backing these transactions consists primarily of first-lien, fixed-rate Alt-A residential mortgages. Ratings Rationale The rating actions are a result of updated loss levels on the pools as well as corrections to certain loss and cash flow allocation rules that were used in modeling these deals. The GMACM 2005-AF1 transaction has super senior support tranches that support other senior tranches up to a pre-defined dollar limit. The Washington Mutual 2005-7 and 2005-8 transactions, in addition to having the aforementioned dollar support limit feature, also have a percentage support limit feature where some super senior support tranches only support other senior tranches up to a pre- defined percentage of the support tranche's current balance in each period. The previous actions on these transactions did not fully incorporate the dollar limit and percentage limit rules. Moody's has also corrected additional errors in the Washington Mutual 2005-7 and 2005-8 transactions that caused incorrect cash flow allocation to some of the senior tranches. The rating actions reflect all the aforementioned corrections as well as updated recovery on the remaining tranches. 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 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. Complete rating actions are: Issuer: GMACM Mortgage Loan Trust 2005-AF1 -- Cl. A-11, Upgraded to Ca (sf); previously on April 21, 2010 Downgraded to C (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2005-6 Trust -- Cl. 1-CB, Downgraded to Caa3 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-CB, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-8, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-9, Downgraded to Caa2 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-10, Downgraded to C (sf); previously on Jan. 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. C-X, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. C-P, Downgraded to Caa1 (sf); previously on Jan. 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2005-8 Trust -- Cl. 1-A-1, Upgraded to Caa2 (sf); previously on April 8, 2010 Downgraded to Caa3 (sf) -- Cl. 1-A-2, Upgraded to Caa2 (sf); previously on April 8, 2010 Downgraded to Caa3 (sf) -- Cl. 1-A-3, Upgraded to Caa2 (sf); previously on April 8, 2010 Downgraded to Caa3 (sf) -- Cl. 1-A-4, Upgraded to Caa2 (sf); previously on April 8, 2010 Downgraded to Caa3 (sf) -- Cl. 1-A-5, Upgraded to Caa2 (sf); previously on April 8, 2010 Downgraded to Caa3 (sf) -- Cl. 1-A-6, Upgraded to Caa2 (sf); previously on April 8, 2010 Downgraded to Caa3 (sf) -- Cl. 1-A-7, Upgraded to Caa2 (sf); previously on April 8, 2010 Downgraded to Caa3 (sf) -- Cl. 1-A-8, Upgraded to Caa1 (sf); previously on April 8, 2010 Downgraded to Caa2 (sf) -- Cl. 2-CB-1, Upgraded to Caa1 (sf); previously on April 8, 2010 Downgraded to Ca (sf) -- Cl. 2-CB-3, Upgraded to Caa1 (sf); previously on April 8, 2010 Downgraded to Ca (sf) -- Cl. 2-CB-4, Upgraded to Caa1 (sf); previously on April 8, 2010 Downgraded to Ca (sf) -- Cl. 2-CB-5, Upgraded to Caa2 (sf); previously on April 8, 2010 Downgraded to Ca (sf) -- Cl. 3-CB-1, Upgraded to Caa3 (sf); previously on April 8, 2010 Downgraded to Ca (sf) Issuer: Washington Mutual Mortgage Pass-Through Certificates, WMALT Series 2005-7 -- Cl. 1-A-1, Upgraded to Caa2 (sf); previously on April 8, 2010 Downgraded to Caa3 (sf) -- Cl. 1-A-2, Upgraded to Caa2 (sf); previously on April 8, 2010 Downgraded to Caa3 (sf) -- Cl. 1-A-3, Upgraded to Caa2 (sf); previously on April 8, 2010 Downgraded to Caa3 (sf) -- Cl. 1-A-4, Upgraded to Caa2 (sf); previously on April 8, 2010 Downgraded to Caa3 (sf) -- Cl. 1-A-5, Upgraded to Caa2 (sf); previously on April 8, 2010 Downgraded to Caa3 (sf) -- Cl. 1-A-6, Upgraded to Caa2 (sf); previously on April 8, 2010 Downgraded to Caa3 (sf) -- Cl. 1-A-8, Upgraded to Caa2 (sf); previously on April 8, 2010 Downgraded to Caa3 (sf) -- Cl. 2-CB-1, Upgraded to Caa1 (sf); previously on April 8, 2010 Downgraded to Caa2 (sf) -- Cl. 2-CB-3, Upgraded to B2 (sf); previously on April 8, 2010 Confirmed at B3 (sf) -- Cl. 2-CB-4, Upgraded to Caa1 (sf); previously on April 8, 2010 Downgraded to Caa2 (sf) -- Cl. 2-CB-5, Upgraded to Caa1 (sf); previously on April 8, 2010 Downgraded to Caa2 (sf) -- Cl. C-X, Upgraded to B2 (sf); previously on April 8, 2010 Downgraded to B3 (sf) WESTWOOD CDO: Moody's Upgrades Rating on Class C Notes to Ba3 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by Westwood CDO II, Ltd.: -- US$237,825,000 Class A-1 Floating Rate Notes due 2022 (current outstanding balance of $223,647,892), Upgraded to Aa2 (sf); previously on June 23, 2009 Downgraded to A1 (sf); -- US$26,425,000 Class A-2 Floating Rate Notes due 2022, Upgraded to Baa1 (sf); previously on June 23, 2009 Downgraded to Baa2 (sf); -- US$8,750,000 Class B Floating Rate Notes due 2022, Upgraded to Baa3 (sf); previously on June 23, 2009 Downgraded to Ba1 (sf); -- US$19,250,000 Class C Deferrable Floating Rate Notes due 2022, Upgraded to Ba3 (sf); previously on June 23, 2009 Downgraded to B1 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from improvement in the credit quality of the underlying portfolio and an increase in the overcollateralization ratios of the notes since the last rating action in June 2009. Improvement in the credit quality is observed through an improvement in the average credit rating (as measured by the weighted average rating factor) and a decrease in the proportion of securities from issuers rated Caa1 and below. In particular, as of the latest trustee report dated September 13, 2010, the weighted average rating factor is currently 2609 compared to 3096 in the May 2009 report, and securities rated Caa1/CCC+ or lower make up approximately 10.5% of the underlying portfolio versus 19.1% in May 2009. Additionally, defaulted securities total about $18.3 million of the underlying portfolio compared to $29.0 million in May 2009. The overcollateralization ratios of the rated notes have also increased since the last rating action. The Class A/B, Class C, Class D and Class E overcollateralization ratios are reported at 114.2%, 106.3%, 99.8%, and 95.1%, respectively, versus May 2009 levels of 106.9%, 99.7%, 94.0%, and 89.9%, respectively. Moody's also notes that the Class C Notes are no longer deferring interest and that all previously deferred interest has been paid in full. Additionally, the rating action taken on the Class A-1 notes considers the benefit from the continued delevering of the notes as a result of the diversion of excess interest proceeds due to the failure of the Class C, Class D, and Class E overcollateralization tests. 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 $293.5 million, defaulted par of $18.8 million, weighted average default probability of 26.9% (implying a WARF of 3447), a weighted average recovery rate upon default of 43.64%, and a diversity score of 50. 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. Westwood CDO II, Ltd., issued in April 2007, 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, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. 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% (2758) -- Class A-1: +2 -- Class A-2: +2 -- Class B: +3 -- Class C: +2 -- Class D: +4 -- Class E: +1 -- Combination Notes: +4 Moody's Adjusted WARF + 20% (4136) -- Class A-1: -2 -- Class A-2: -2 -- Class B: -1 -- Class C: -1 -- Class D: -2 -- Class E: 0 -- Combination Notes: -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, where a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARR + 2% (45.64%) -- Class A-1: +1 -- Class A-2: +1 -- Class B: +1 -- Class C: +1 -- Class D: +1 -- Class E: 0 -- Combination Notes: +1 Moody's Adjusted WARR - 2% (41.64%) -- Class A-1: 0 -- Class A-2: 0 -- Class B: 0 -- Class C: 0 -- Class D: -1 -- Class E: 0 -- Combination Notes: -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. Sources of additional performance uncertainties are described below: 1) 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. 2) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis. 3) Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming lower of reported and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon, and diversity score. * S&P Cuts Rating on North Carolina Medical Care's Bonds to 'BB+' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on North Carolina Medical Care Commissions' multifamily housing revenue bonds (McDowell Nursing Center) series 2002A to 'BB+' from 'AAA', and removed it from CreditWatch with negative implications. "The rating action is based on S&P's view of the project's reliance on short-term market rate investments," said Standard & Poor's credit analyst Renee J. Berson. The rating reflects S&P's view of these: * Revenues from mortgage debt service payments and investment earnings are insufficient to pay full and timely debt service on the bonds plus fees until maturity; and * Asset/liability parity is projected to fall below 100% in 2035. Credit strengths in the issue include S&P's view of: * The high credit quality of the Ginnie Mae mortgage-backed security (considered to be 'AAA' eligible); Investments held in 'AAAm'-rated Fidelity Institutional Money Market Funds: Treasury Portfolio money market fund; and * Bond bebt service coverage within investment-grade level until maturity. On May 12, 2010, S&P placed its ratings on certain housing issues, including this rating, on CreditWatch with negative implications due to revised criteria for certain federal government-enhanced housing transactions. Standard & Poor's has analyzed updated financial information based on its current stressed reinvestment rate assumptions for all scenarios as set forth in the related criteria articles. S&P believes the bonds are unable to meet all bond costs from transaction revenues until maturity, assuming these reinvestment earnings. * 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 five of them from CreditWatch with negative implications. S&P also affirmed its ratings on 16 other tranches from seven transactions. 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 $2.039 billion. All six of the affected transactions are mezzanine structured finance CDOs of asset-backed securities, which are collateralized in large part by mezzanine tranches of U.S. 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 ----------- ----- -- ---- E*Trade ABS CDO I A-2 BB+ (sf) A (sf) /Watch Neg C-Bass CBO VI B BB+ (sf) AAA (sf) C-Bass CBO VI C BB- (sf) A (sf)/Watch Neg C-Bass CBO VI D CCC- (sf) B- (sf)/Watch Neg C-Bass CBO VI E CC (sf) CCC- (sf) Libra CDO SrSwap D (sf) CCC+srs (sf)/WatchNeg Structured Finance A CC (sf) BB- (sf)/Watch Neg Advisors ABS III Sherwood Funding CDO A-1 CC (sf) CCC+ (sf) Varick Structured A-1 CC (sf) CCC (sf) Asset Fund Varick Structured A-2 CC (sf) CCC (sf) Asset Fund Ratings Affirmed Transaction Class Rating ----------- ----- ------ Blue Heron Funding IX Cert AAA (sf) Blue Heron Funding VII Cert AAA (sf) C-Bass CBO VI A AAA (sf) E*Trade ABS CDO I B CC (sf) E*Trade ABS CDO I C-1 CC (sf) E*Trade ABS CDO I C-2 CC (sf) E*Trade ABS CDO I Pref Shs CC (sf) E*Trade ABS CDO I Comp Sec CC (sf) Libra CDO C CC (sf) Libra CDO D CC (sf) Libra CDO X CC (sf) Sherwood Funding CDO C CC (sf) Sherwood Funding CDO D CC (sf) Structured Finance Advisors ABS III B CC (sf) Structured Finance Advisors ABS III C CC (sf) Structured Finance Advisors ABS III Pref Shs CC (sf) Other Ratings Outstanding Transaction Class Rating ----------- ----- ------ Libra CDO A D (sf) Libra CDO B D (sf) Sherwood Funding CDO A-2 D (sf) Sherwood Funding CDO B-1 D (sf) Sherwood Funding CDO B-2 D (sf) * S&P Downgrades Ratings on 34 Classes From Five CMBS Deals ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 34 classes of certificates from five U.S. commercial mortgage-backed securities transactions due to interest shortfalls. S&P lowered its ratings on 23 of these classes to 'D (sf)' because S&P expects these downgrades to continue. The 23 downgraded classes that S&P downgraded to 'D (sf)' have experienced interest shortfalls for six or more months. The recurring interest shortfalls for the respective certificates are primarily due to one or more of these factors: * Appraisal subordinate entitlement reductions in effect for the specially serviced loans; * Lack of servicer advancing for loans where nonrecoverable advance declarations have been made; and * Special servicing fees. Standard & Poor's analysis primarily considered the ASERs based on appraisal reduction amounts calculated using recent Member of the Appraisal Institute appraisals. S&P also considered servicer nonrecoverable advance declarations and special servicing fees that are likely, in its view, to cause recurring interest shortfalls. Eleven of the 34 classes experienced shortfalls for four months or less and are at an increased risk of experiencing shortfalls in the future. If these shortfalls continue, S&P will likely further downgrade these classes to 'D (sf)'. ARAs and resulting ASERs are implemented in accordance with each respective transaction's terms. Typically, these terms call for the automatic implementation of an ARA equal to 25% of the stated principal balance of a loan when a loan is 60 days past due and an appraisal or other valuation is not available within a specified timeframe. S&P primarily considered ASERs based on ARAs calculated from MAI appraisals when deciding which classes from the affected transactions to downgrade to 'D (sf)'. S&P used this approach because ARAs based on a principal balance haircut are highly subject to change, or even reversal, once the special servicer obtains the MAI appraisals. Servicer nonrecoverable advance declarations can prompt shortfalls due to a lack of debt service advancing, the recovery of previously made advances deemed nonrecoverable, or the failure to advance trust expenses where nonrecoverable declarations have been determined. Trust expenses may include, but are not limited to, property operating expenses, property taxes, insurance payments, and legal expenses. Banc of America Commercial Mortgage Trust 2007-5 S&P lowered its ratings on the class M, N, O, P, and Q certificates from Banc of America Commercial Mortgage Trust 2007-5 due to recurring interest shortfalls resulting from ASERs related to eight of the 11 loans that are currently with the special servicer, C-III Asset Management LLC, as well as special servicing fees. As of the Sept. 10, 2010, remittance report, ARAs totaling $32.2 million were in effect for eight loans. The total reported ASER amount was $170,635, and the reported cumulative ASER amount was $2.1 million. Standard & Poor's considered eight ASERs ($170,635), all of which were based on MAI appraisals, as well as current special servicing fees in determining its rating actions. The reported interest shortfalls totaled $189,723 and have affected all of the classes subordinate to and including class M. Class O has experienced interest shortfalls for nine months, and classes P and Q have experienced interest shortfalls for 11 months, and S&P expects these shortfalls to recur in the foreseeable future. Consequently, S&P downgraded these classes to 'D (sf)'. The collateral pool for the BACM 2007-5 transaction consists of 97 loans with an aggregate trust balance of $1.83 billion. As of the Sept. 10, 2010, remittance report, 11 loans ($176.0 million; 9.6%) in the pool were with the special servicer. The payment status of these loans is: two ($47.1 million, 2.6%) are real estate owned, five ($35.9 million, 2.0%) are in foreclosure, one ($4.0 million, 0.2%) is more than 90 days delinquent, and three ($89.0 million, 4.8%) are in their grace periods. LB-UBS Commercial Mortgage Trust 2006-C4 S&P lowered its ratings on the class J, K, L, M, N, P, Q, and S certificates from LB-UBS Commercial Mortgage Trust 2006-C4 due to recurring interest shortfalls primarily resulting from ASERs related to 10 of the 17 loans that are currently with the special servicer, CWCapital Asset Management, as well as special servicing fees. As of the Sept. 17, 2010, remittance report, ARAs totaling $76.7 million were in effect for 15 loans. The total reported ASER amount was $321,273 and the reported cumulative ASER amount was $2.8 million. Standard & Poor's considered 10 ASERs ($265,879), all of which were based on MAI appraisals, as well as current special servicing fees and interest not advanced ($115,589) on four loans, in determining its rating actions. The reported interest shortfalls total $422,559 and have affected all of the classes subordinate to and including class J. Classes K, L, M, N, P, Q, and S have experienced interest shortfalls for seven (K), eight (L, M & N), nine (P), and 10 (Q and S) months, respectively, and S&P expects these shortfalls to recur in the foreseeable future. Consequently, S&P downgraded these classes to 'D (sf)'. The collateral pool for the LB-UBS 2006-C4 transaction consists of 145 loans with an aggregate trust balance of $1.93 billion. As of the Sept. 17, 2010, remittance report, 17 loans ($191.7 million; 10.5%) in the pool were with the special servicer. The payment status of the delinquent loans is: Four ($100.8 million, 5.5%) are REO, seven ($55.5 million, 3.0%) are in foreclosure, and six ($35.3 million, 1.9%) are more than 90 days delinquent. LB-UBS Commercial Mortgage Trust 2007-C2 S&P lowered its ratings on the class H, J, K, L, M, and N certificates from LB-UBS Commercial Mortgage Trust 2007-C2 due to recurring interest shortfalls resulting from ASERs related to 17 of the 22 loans that are currently with the special servicer, LNR Partners Inc., as well as special servicing fees. As of the Sept. 17, 2010, remittance report, ARAs totaling $107.2 million were in effect for 17 loans. The total reported ASER amount was $541,294, and the reported cumulative ASER amount was $5.3 million. Standard & Poor's considered 12 ASERs ($484,731), all of which were based on MAI appraisals, as well as current special servicing fees, in determining its rating actions. The reported interest shortfalls total $683,699 and have affected all of the classes subordinate to and including class H. Classes L, M, and N have experienced interest shortfalls for 12 months, and S&P expects these shortfalls to recur for the foreseeable future. Consequently, S&P downgraded this class to 'D (sf)'. The collateral pool for the LB-UBS 2007-C2 transaction consists of 166 loans with an aggregate trust balance of $3.48 billion. As of the Sept. 17, 2010, remittance report, 22 loans ($647.7 million; 18.6%) in the pool were with the special servicer. The payment status of these loans is: seven ($101.1 million, 2.9%) are REO, four (31.9 million, 0.9%) are in foreclosure, eight ($272.0 million, 7.8%) are more than 90 days delinquent, one ($53.3 million, 1.5%) is less than 30 days delinquent, and two ($189.3 million, 5.4%) are current. Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18 S&P lowered its ratings on the class K, L, M, N, O, P, and Q certificates from Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18 due to recurring interest shortfalls resulting from ASERs related to 11 of the 16 loans that are currently with the special servicer, C-III Asset Management LLC, as well as special servicing fees. As of the Sept. 13, 2010, remittance report, ARAs totaling $113.9 million were in effect for 13 loans. The total reported ASER amount was $258,339, and the reported cumulative ASER amount was $2.56 million. Standard & Poor's considered seven ASERs ($222,829), all of which were based on MAI appraisals, as well as current special servicing fees in determining its rating actions. The reported interest shortfalls totaled $308,837 and have affected all of the classes subordinate to and including class K. Classes M, N, and O have experienced interest shortfalls for six months, while classes P and Q have experienced interest shortfalls for 11 months, respectively, and S&P expects these shortfalls to recur in the foreseeable future. Consequently, S&P downgraded these classes to 'D (sf)'. The collateral pool for the BSCMS 2007-PWR18 transaction consists of 183 loans with an aggregate trust balance of $2.45 billion. As of the Sept. 13, 2010, remittance report, 16 loans ($371.0 million; 15.11%) in the pool were with the special servicer. The payment status of these loans is: nine ($134.5 million, 5.48%) are in foreclosure, 4 loans ($63.5 million, 2.59%) are more than 90 days delinquent, 1 loan ($8.8 million, 0.36%) is more than 60 days delinquent, and 2 loans ($164.1 million, 6.69%) are late and less than one month delinquent. ML-CFC Commercial Mortgage Trust 2007-8 S&P lowered its ratings on the class J, K, L, M, N, P, Q, and S certificates from ML-CFC Commercial Mortgage Securities Trust 2007-8 (MLCFC 2007-8) due to recurring interest shortfalls resulting from ASERs related to 15 of the 23 loans that are currently with the special servicer, LNR, as well as special servicing fees. As of the Sept. 14, 2010, remittance report, ARAs totaling $63.6 million were in effect for 16 loans. The total reported ASER amount was $325,759, and the reported cumulative ASER amount was $2.69 million. Standard & Poor's considered 13 ASERs ($277,469), all of which were based on MAI appraisals, as well as current special servicing fees in determining its rating actions. The reported interest shortfalls totaled $427,261 and have affected all of the classes subordinate to and including class J. Classes M, N, P, and Q have experienced interest shortfalls for nine months, while class S has experienced interest shortfalls for 10 months, and S&P expects these shortfalls to recur in the foreseeable future. Consequently, S&P downgraded these classes to 'D (sf)'. The collateral pool for the MLCFC 2007-8 transaction consists of 216 loans with an aggregate trust balance of $2.40 billion. As of the Sept. 14, 2010, remittance report, 23 loans ($473.1 million; 19.7%) in the pool were with the special servicer. The payment status of these loans is: one ($3.6 million; 0.15%) is REO, two ($8 million; 0.33%) are in foreclosure, 15 ($173.0 million; 7.20%) are more than 90 days delinquent, two ($3.5 million; 0.14%) are more than 60 days delinquent, two ($35.1 million; 1.46%) are late and less than one month delinquent, and one ($250 million; 10.41%) is current but with the special servicer. Ratings Lowered Banc of America Commercial Mortgage Trust 2007-5 Commercial mortgage pass-through certificates Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement (%) Current Accumulated ----- -- ---- ------------------ ----------- ----------- M CCC- (sf) CCC+ (sf) 2.56 11,720 19,050 N CCC- (sf) CCC+ (sf) 2.31 17,620 49,541 O D (sf) CCC (sf) 1.93 26,430 196,370 P D (sf) CCC (sf) 1.80 8,810 85,978 Q D (sf) CCC- (sf) 1.55 17,620 193,820 LB-UBS Commercial Mortgage Trust 2006-C4 Commercial mortgage pass-through certificates Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement (%) Current Accumulated ----- -- ---- ------------------ ----------- ----------- J CCC-(sf) CCC+ (sf) 4.64 12,637 17,958 K D (sf) CCC (sf) 3.15 138,555 886,886 L D (sf) CCC (sf) 2.75 34,983 277,447 M D (sf) CCC- (sf) 2.20 46,644 373,154 N D (sf) CCC- (sf) 1.93 23,317 186,539 P D (sf) CCC- (sf) 1.53 34,983 305,509 Q D (sf) CCC- (sf) 1.26 23,322 233,221 S D (sf) CCC- (sf) 0.98 23.322 233,221 LB-UBS Commercial Mortgage Trust 2007-C2 Commercial mortgage pass-through certificates Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement (%) Current Accumulated ----- -- ---- ------------------ ----------- ----------- H CCC+ (sf) B- (sf) 3.64 74,302 74,302 J CCC- (sf) B- (sf) 2.62 184,011 359,309 K CCC- (sf) CCC (sf) 1.47 207,013 414,021 L D (sf) CCC- (sf) 0.96 75,738 786,331 M D (sf) CCC- (sf) 0.71 37,869 454,430 N D (sf) CCC- (sf) 0.58 18,935 227,215 Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18 Commercial mortgage pass-through certificates Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement (%) Current Accumulated ----- -- ---- ------------------ ----------- ----------- K CCC- (sf) B- (sf) 2.98 24,261 24,261 L CCC- (sf) CCC+ (sf) 2.60 36,507 36,507 M D (sf) CCC (sf) 2.22 36,507 167,575 N D (sf) CCC- (sf) 1.84 36,504 219,021 O D (sf) CCC- (sf) 1.58 24,338 146,030 P D (sf) CCC- (sf) 1.45 12,169 94,589 Q D (sf) CCC- (sf) 1.32 12,169 133,861 ML-CFC Commercial Mortgage Trust 2007-8 Commercial mortgage pass-through certificates Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement (%) Current Accumulated ----- -- ---- ------------------ ----------- ----------- J CCC+ (sf) B- (sf) 3.75 26,936 28,271 K CCC- (sf) CCC+ (sf) 3.11 78,178 197,921 L CCC- (sf) CCC (sf) 2.48 65,564 236,136 M D (sf) CCC- (sf) 2.10 39,340 249,805 N D (sf) CCC- (sf) 1.97 13,112 118,008 P D (sf) CCC- (sf) 1.85 13,112 118,008 Q D (sf) CCC- (sf) 1.59 26,228 236,055 S D (sf) CCC- (sf) 1.47 13,112 120,087 ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers" public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. A list of Meetings, Conferences and Seminars appears in each Wednesday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com/ On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. For copies of court documents filed in the District of Delaware, please contact Vito at Parcels, Inc., at 302-658-9911. For bankruptcy documents filed in cases pending outside the District of Delaware, contact Ken Troubh at Nationwide Research & Consulting at 207/791-2852. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors" Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland, USA. Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Howard C. Tolentino, Joseph Medel C. Martirez, Denise Marie Varquez, Philline Reluya, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2010. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $775 for 6 months delivered via e- mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Christopher Beard at 240/629-3300. *** End of Transmission ***