/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/110403.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, April 3, 2011, Vol. 14, No. 92 Headlines ABFC 2002-NC1: Moody's Downgrades Ratings on 76 Tranches ABSPOKE 2005-XA: S&P Downgrades Ratings on Floating Notes to 'D' ACCREDITED MORTGAGE: Moody's Downgrades Ratings on 35 Tranches ALLY FINANCIAL: Fitch Assigns 'B' Rating to $1.02 Bil. Notes AMERIQUEST MORTGAGE: Moody's Downgrades Ratings on 189 Tranches AMMC CLO: Moody's Upgrades Ratings on Four Classes of Notes AMRESCO INDEPENDENCE: Moody's Downgrades Ratings on Four Tranches AMRESCO RESIDENTIAL: Moody's Downgrades Ratings on 26 Tranches ANSONIA CDO: Fitch Downgrades Ratings on Two Classes of Notes ARCAP 2004-RR3: Fitch Downgrades Ratings on 13 Classes of Notes ARCAP 2006-RR7: Fitch Downgrades Ratings on Eight Classes ARES IIR: S&P Raises Ratings on Various Classes of Notes ARLINGTON STREET: Moody's Upgrades Rating on Class A-3 Notes AUSTIN CONVENTION: S&P Affirms 'BB+' Rating on $165 Mil. Bonds BANC OF AMERICA: Fitch Downgrades Ratings on 10 Classes of Notes BANC OF AMERICA: Moody's Downgrades Ratings on Six Tranches BEAR STEARNS: Moody's Downgrades Ratings on 93 Tranches BEAR STEARNS: Moody's Downgrades Ratings on 113 Tranches BLUEMOUNTAIN CLO: S&P Raises Ratings on Various Classes of Notes BRENTWOOD CLO: Moody's Upgrades Ratings on Various Classes CALLIDUS DEBT: Moody's Upgrades Ratings on Various Classes CBA COMMERCIAL: S&P Downgrades Rating on Class M-2 to 'D' CHASE COMMERCIAL: Fitch Upgrades Ratings on Four Classes of Notes CHESTER COUNTY: Moody's Downgrades Rating on 2011 Bonds to 'Ba1' CIT AND FINANCE: Moody's Downgrades Ratings on 23 Tranches CIT HOME: Moody's Corrects Press Release on Ratings COMM 2006-FL12: S&P Corrects Rating on Class J Notes to 'B-' COMMERCIAL MORTGAGE: Moody's Takes Rating Actions on 1998-C1 Notes COMPAGNIA FINANZIARIA: Fitch Corrects Press Release on Ratings CONSECO FINANCE: Moody's Downgrades Ratings on 11 Tranches COUNTYWIDE HOME: Moody's Downgrades Ratings on 159 Tranches CREDIT SUISSE: Moody's Affirms Ratings on Five 1997-C2 Certs. CREDIT SUISSE: Moody's Downgrades Ratings on Four 2001-CK3 Notes CREDIT SUISSE: Moody's Reviews Ratings on 18 2007-C2 Certs. CREST 2003-1: Moody's Affirms Ratings on Four Classes of Notes CSAM FUNDING: Moody's Upgrades Ratings on Various Classes of Notes CTX CDO: Moody's Affirms Ratings on All Classes of Notes CWCAPITAL COBALT: Moody's Affirms Ratings on All Classes of Notes DLJ COMMERCIAL: Moody's Affirms 'B1' Ratings on 1996-CF1 Certs. DOWNTOWN PHOENIX: S&P Downgrades Rating on Revenue Bonds to 'BB+' FARIBANKS AND UNITED: Moody's Corrects Press Release on Ratings FORTRESS CREDIT: Moody's Ups Rating on $13MM Class B Notes to Ba1 FORTRESS CREDIT: Moody's Ups Rating on $52MM Class B Notes to Ba2 G-FORCE 2005-RR: Fitch Downgrades Ratings on 10 Classes of Notes GE CAPITAL: Moody's Upgrades Ratings on Two Classes of Certs. GREENWICH CAPITAL: Moody's Downgrades Ratings on 16 2007-GG9 Notes HOMESTAR MORTGAGE: Moody's Downgrades Ratings on 47 Tranches IMPAC CMB: Moody's Downgrades Ratings on 133 Tranches INDEPENDENCE I: Fitch Affirms Ratings on Two Classes of Notes INMAN SQUARE: Fitch Affirms Ratings on Five Classes of Notes IXION PLC: S&P Downgrades Rating on Series 21 Notes to 'D' JP MORGAN: Fitch Downgrades Ratings on 13 2006-CIBC15 Certs. JP MORGAN: Moody's Downgrades Ratings on Two 2000-C10 Certs. JP MORGAN: Moody's Affirms Ratings on 12 Series 2010-C1 Notes LANDMARK CDO: Moody's Upgrades Ratings on Two Classes of Notes LEHMAN HOME: Moody's Downgrades Ratings on Nine Tranches LEHMAN MORTGAGE: Moody's Junks Rating on Class A1 From 'B3' LNR CDO: Moody's Takes Rating Actions on Various Classes of Notes LONGHORN CDO: Moody's Downgrades Ratings on Class B Notes MARATHON CLO: S&P Raises Ratings on Various Classes of Notes MASTR RESECURITIZATION: Moody's Downgrades Ratings on Two Notes MICHIGAN PUBLIC: S&P Gives Negative Outlook; Affirms 'BB+' Rating ML-CFC COMMERCIAL: Fitch Downgrades Ratings on Various Classes ML-CFC COMMERCIAL: Moody's Downgrades Ratings on Six Classes MORGAN STANLEY: Fitch Downgrades Ratings on 12 2005-HQ6 Certs. MORGAN STANLEY: Moody's Takes Rating Actions on 2001-TOP 5 Notes MORGAN STANLEY: Moody's Downgrades Ratings on Seven Tranches MORGAN STANLEY: S&P Downgrades Ratings on Three 2003-HQ2 Notes N-STAR REAL: Moody's Takes Rating Actions on Various Classes NAVIGATOR CDO: Moody's Upgrades Ratings on Various Classes NEVADA HOUSING: S&P Corrects Rating on Revenue Bonds to 'B' NORTHWOODS CAPITAL: Moody's Upgrades Ratings on Four Classes NORTHWOODS CAPITAL: S&P Raises Ratings on Various Classes of Notes NYLIM FLATIRON: Moody's Upgrades Ratings on Four Classes of Notes OWS CLO: S&P Raises Ratings on Various Classes of Notes PACIFICA CDO: S&P Raises Ratings on Various Classes of Notes PANTHER TRAILS: S&P Downgrades Ratings on 2005 Bonds to 'BB' PARCS MASTER: S&P Withdraws 'CCC-' Rating on Trust Units PRUDENTIAL SECURITIES: Moody's Takes Rating Actions on Notes RACERS SERIES: Moody's Upgrades Ratings on Series 2004-2-A Notes RALI SERIES: Moody's Downgrades Ratings on 242 Tranches RESIDENTIAL ASSET: Moody's Downgrades Ratings on 75 Tranches RESIDENTIAL ASSET: Moody's Downgrades Ratings on 222 Tranches RESIDENTIAL MORTGAGE: Moody's Cuts Rating on Notes to 'Caa1' RICHLAND TOWERS: Fitch Rates Class B Notes at 'BB-' ROSEDALE CLO: S&P Raises Ratings on Various Classes of Notes ROYAL BANK: S&P Withdraws 'CCC-' Rating on Aspen 2006-31 Swap SALOMON BROTHERS: Moody's Reviews Ratings on 2000-C2 Certificates SARGAS CLO: S&P Affirms 'B+' Rating on Class E Notes SASCO 2007-BHC1: Fitch Takes Rating Actions on Various Classes SIERRA TIMESHARE: Fitch Assigns Ratings on 2011-1 Notes SIERRA TIMESHARE: S&P Assigns 'BB' Rating to Class C Notes SLM STUDENT: Fitch Affirms Ratings on Senior Student Loans SLM STUDENT: Fitch Affirms Ratings on Various Classes of Notes SOUTH COAST: S&P Downgrades Ratings on Two Classes of Notes to 'D' STEERS MORNINGSIDE: S&P Withdraws 'B+' Rating on 2005-4 Certs. STILLMAN COLLEGE: S&P Downgrades Rating on Two Bonds to 'BB+' STRATFORD CLO: S&P Raises Ratings on Various Classes of Notes TABERNA PREFERRED: Moody's Downgrades Ratings on Three Classes TOPIARY CAPITAL: S&P Keeps 'BB+' Rating on CreditWatch Negative TRANSFERABLE CUSTODIAL: Moody'S Upgrades Note Rating From 'B3' VEGA CAPITAL: Moody's Reviews 'Ba3' Rating on Class C Notes WACHOVIA BANK: Fitch Downgrades Ratings on Six 2005-C21 Notes WELLS FARGO: Moody's Downgrades Ratings on 10 Tranches WHITEHORSE IV: Moody's Upgrades Ratings on Various Classes * Moody's Downgrades Ratings on 48 Tranches From 12 RMBS Deals * S&P Downgrades Ratings on 22 Certs. From Five CMBS Transactions * S&P Gives Positive Outlook on New York State Dormitory's Debt * S&P Lifts Ratings on New York City Industrial's Bonds From 'BB+' * S&P Puts Ratings on 70 Tranches on CreditWatch Positive ********* ABFC 2002-NC1: Moody's Downgrades Ratings on 76 Tranches -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 76 tranches from 15 subprime deals issued by ABFC. The collateral backing these deals primarily consists of first lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools issued from prior 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 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: ABFC 2002-NC1 Trust -- Cl. M-1, Downgraded to A3 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: ABFC 2002-OPT1 Trust -- Cl. AIO-INV, Downgraded to Ba3 (sf); previously on Oct 15, 2002 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Ba3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B2 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: ABFC 2003-OPT1 Trust -- Cl. A-1, Downgraded to A1 (sf); previously on Aug 27, 2003 Assigned Aaa (sf) -- Cl. A-1A, Downgraded to A1 (sf); previously on Aug 27, 2003 Assigned Aaa (sf) -- Cl. A-3, Downgraded to Baa1 (sf); previously on Aug 27, 2003 Assigned Aaa (sf) -- Cl. M-1, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: ABFC Asset-Backed Certificates, Series 2003-AHL1 -- Cl. AI, Downgraded to Aa1 (sf); previously on May 28, 2003 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: ABFC Asset-Backed Certificates, Series 2003-WMC1 -- Cl. M-1, Downgraded to Ba2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa1 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: ABFC Asset-Backed Certificates, Series 2004-AHL1 -- Cl. M-1, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: ABFC Asset-Backed Certificates, Series 2004-HE1 -- Cl. M-1, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: ABFC Asset-Backed Certificates, Series 2004-OPT1 -- Cl. M-1, Downgraded to Baa3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: ABFC Asset-Backed Certificates, Series 2004-OPT2 -- Cl. M-1, Downgraded to Ba3 (sf); previously on Apr 8, 2004 Assigned Aa2 (sf) -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: ABFC Asset-Backed Certificates, Series 2004-OPT3 -- Cl. A-1, Downgraded to Aa1 (sf); previously on May 11, 2004 Assigned Aaa (sf) -- Cl. A-4, Downgraded to Aa2 (sf); previously on May 11, 2004 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Ba2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: ABFC Asset-Backed Certificates, Series 2004-OPT4 -- Cl. A-1, Downgraded to Aa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Aa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: ABFC Mortgage Loan Asset-Backed Certificates, Series 2001- AQ1 -- Cl. A-6, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: ABFC Mortgage Loan Asset-Backed Certificates, Series 2002- WF1 -- Cl. M-1, Downgraded to B2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: ABFC Mortgage Loan Asset-Backed Certificates, Series 2002- WF2 -- Cl. A-2, Downgraded to Aa3 (sf); previously on Oct 8, 2002 Assigned Aaa (sf) -- Cl. M-1, Downgraded to B2 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: ABFC Mortgage Loan Asset-Backed Certificates, Series 2003- WF1 -- Cl. A-2, Downgraded to Aa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B2 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade ABSPOKE 2005-XA: S&P Downgrades Ratings on Floating Notes to 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the variable floating rate notes issued by ABSpoke 2005-XA Ltd. to 'D (sf)' from 'CCC- (sf)'. The downgrade follows a number of write-downs in the transaction's underlying reference portfolio, which have caused the notes to incur partial principal losses. ACCREDITED MORTGAGE: Moody's Downgrades Ratings on 35 Tranches -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 35 tranches from 9 Subprime deals issued by Accredited Mortgage Loan Trust. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans 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. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005). The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. 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 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Certain securities, as noted below, are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 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: Accredited Mortgage Loan Trust 2002-1 -- Cl. A-1, Downgraded to B2 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-2, Downgraded to B1 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Accredited Mortgage Loan Trust 2002-2 -- Cl. A-1, Downgraded to B1 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-2, Downgraded to B1 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-3, Downgraded to Ba3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Accredited Mortgage Loan Trust 2003-1 -- Cl. A-1, Downgraded to B1 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Accredited Mortgage Loan Trust 2003-2, Asset-Backed Notes, Series 2003-2 -- Cl. A-1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-2, Downgraded to B3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Accredited Mortgage Loan Trust 2003-3, Asset-Backed Notes, Series 2003-3 -- Cl. A-1, Downgraded to B3 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-2, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Accredited Mortgage Loan Trust 2004-1, Asset-Backed Notes, Series 2004-1 -- Cl. A-1, Downgraded to B2 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-2, Downgraded to B3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Accredited Mortgage Loan Trust 2004-2, Asset-Backed Notes, Series 2004-2 -- Cl. A-1, Downgraded to Caa2 (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: -- Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Underlying Rating: Downgraded to Caa2 (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Caa2 (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: -- Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Underlying Rating: Downgraded to Caa2 (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Accredited Mortgage Loan Trust 2004-3, Asset-Backed Notes, Series 2004-3 -- Cl. 1A4, Downgraded to Aa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1A5, Downgraded to Aa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1A6, Downgraded to Aa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2A6, Downgraded to Aa2 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1M1, Downgraded to A3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1M2, Downgraded to Ba3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1M3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1M4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2M1, Downgraded to A1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2M2, Downgraded to A2 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2M3, Downgraded to Baa2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2M4, Downgraded to Ba1 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2M5, Downgraded to B1 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2M6, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2M7, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4 -- Cl. M-1, Downgraded to Aa3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba1 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B2 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade ALLY FINANCIAL: Fitch Assigns 'B' Rating to $1.02 Bil. Notes ------------------------------------------------------------ Fitch Ratings expects to assign a 'B' rating to Ally Financial Inc.'s $1.02 billion perpetual preferred securities, series A. The perpetual preferred securities were originally issued by Ally to General Motors Company in 2006. GM will be the seller of the series A securities and Ally will not receive any proceeds from the sale. The securities are non-cumulative, non-callable for the first five years, and are expected to pay a fixed rate for the first five years and a LIBOR-based floating rate thereafter. On March 10, 2011, Fitch assigned a 'B+' rating to Ally's $2.67 billion trust preferred securities, series 2 issued out of GMAC Capital Trust I. The one notch rating differential on the perpetual preferred securities, series A, reflects the subordination of the series A securities, as they rank junior to the trust preferred securities. This rating action does not constitute a full review of Ally and its subsidiaries and therefore does not address every aspect of Fitch's rating criteria. Fitch expects to assign this rating: Ally Financial, Inc. -- Perpetual preferred securities, series A 'B'. Fitch currently rates Ally: Ally Financial, Inc. -- Long-term Issuer Default Rating 'BB'; -- Senior unsecured debt 'BB'; -- Short-term debt 'B'; -- Individual 'C/D'; -- Support '5'. GMAC Capital Trust I -- Trust preferred securities, series 2 'B+'. The Rating Outlook is Stable. AMERIQUEST MORTGAGE: Moody's Downgrades Ratings on 189 Tranches --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 189 tranches and confirmed the rating of 11 tranche from 34 Subprime deals issued by Ameriquest. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. Certain securities, as noted below, are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 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: Ameriquest Mortgage Securities Inc. Series 2001-2 -- Cl. M-3, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., 2002-4 -- Cl. M-3, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., 2003-AR3 -- Cl. M-2, Downgraded to A2 (sf); previously on Aug 23, 2006 Upgraded to Aa2 (sf) -- Cl. M-3, Downgraded to Ba1 (sf); previously on Aug 23, 2006 Upgraded to Aa3 (sf) -- Cl. M-4, Downgraded to Ba3 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to B1 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Ser 2003-6 -- Cl. M-2, Downgraded to Ba3 (sf); previously on Jul 14, 2003 Assigned A2 (sf) -- Cl. M-3, Downgraded to B3 (sf); previously on Jan 9, 2009 Downgraded to Baa2 (sf) -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2002-2 -- Cl. M-3, Downgraded to Caa1 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Confirmed at Ca (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2002-3 -- Cl. M-3, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Confirmed at Ca (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2002-AR1 -- Cl. M-1, Downgraded to Caa1 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2002-C -- Cl. M-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2002-D -- Cl. M-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2003-1 -- Cl. M-1, Downgraded to Ca (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B1 (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2003-10 -- Cl. AV-1, Downgraded to Aa2 (sf); previously on Dec 23, 2003 Assigned Aaa (sf) -- Cl. AV-2, Downgraded to Aa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to Aa3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-6, Downgraded to Aa3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa3 (sf); previously on Dec 23, 2003 Assigned Aa2 (sf) -- Cl. M-2, Downgraded to B2 (sf); previously on Dec 23, 2003 Assigned A2 (sf) -- Cl. M-3, Downgraded to B3 (sf); previously on Dec 23, 2003 Assigned A3 (sf) -- Cl. M-4, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-6, Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-6, Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2003-11 -- Cl. AV-1, Downgraded to A1 (sf); previously on Jan 26, 2004 Assigned Aaa (sf) -- Cl. AV-2, Downgraded to Baa2 (sf); previously on Jan 26, 2004 Assigned Aaa (sf) -- Cl. AV-4, Downgraded to Baa2 (sf); previously on Jan 26, 2004 Assigned Aaa (sf) -- Cl. AF-5, Downgraded to A2 (sf); previously on Jan 26, 2004 Assigned Aaa (sf) -- Cl. AF-6, Downgraded to A1 (sf); previously on Jan 26, 2004 Assigned Aaa (sf) -- Cl. M-1, Downgraded to B1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3B, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4B, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Confirmed at Ca (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2003-12 -- Cl. AV-1, Downgraded to A1 (sf); previously on Jan 26, 2004 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Ba2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2003-13 -- Cl. AV-1, Downgraded to A2 (sf); previously on Jan 26, 2004 Assigned Aaa (sf) -- Cl. AF-5, Downgraded to A2 (sf); previously on Jan 26, 2004 Assigned Aaa (sf) -- Cl. AF-6, Downgraded to A1 (sf); previously on Jan 26, 2004 Assigned Aaa (sf) -- Cl. M-1, Downgraded to B1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Confirmed at Ca (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2003-2 -- Cl. M-1, Downgraded to B3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2003-5 -- Cl. A-5, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2003-7 -- Cl. A, Downgraded to Aa2 (sf); previously on Jul 16, 2003 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Ba3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2003-8 -- Cl. AF-4, Downgraded to Baa1 (sf); previously on Aug 28, 2003 Assigned Aaa (sf) -- Cl. AF-5, Downgraded to A3 (sf); previously on Aug 28, 2003 Assigned Aaa (sf) -- Cl. M-1, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2003-9 -- Cl. AV-1, Downgraded to A2 (sf); previously on Nov 18, 2003 Assigned Aaa (sf) -- Cl. AV-2, Downgraded to A2 (sf); previously on Nov 18, 2003 Assigned Aaa (sf) -- Cl. AF-3, Downgraded to Aa2 (sf); previously on Nov 18, 2003 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa1 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa2 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Confirmed at Ca (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2003-AR1 -- Cl. M-3, Downgraded to Caa1 (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2003-AR2 -- Cl. M-1, Downgraded to Caa2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2004-FR1 -- Cl. A-5, Downgraded to B1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to B2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to B1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-9, Downgraded to Ca (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R1 -- Cl. A-1A, Downgraded to A3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to A1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba3 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa1 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R10 -- Cl. A-1, Downgraded to Aa3 (sf); previously on Dec 18, 2008 Confirmed at Aaa (sf) -- Financial Guarantor: Assured Guaranty Corp (Confirmed at Aa3, Outlook Negative on Dec 18, 2009) -- Cl. M-1, Downgraded to Ba3 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R11 -- Cl. A-1, Downgraded to Aa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Underlying Rating: Downgraded to Aa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Confirmed at Aaa (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa1 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R12 -- Cl. A-1, Downgraded to Aa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Confirmed at Aaa (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B3 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R2 -- Cl. A-1A, Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-1B, Downgraded to Baa3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Baa3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B1 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R3 -- Cl. A-1A, Downgraded to Baa1 (sf); previously on May 10, 2004 Assigned Aaa (sf) -- Cl. A-1B, Downgraded to Baa2 (sf); previously on May 10, 2004 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Caa1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Confirmed at Ca (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R4 -- Cl. M-1, Downgraded to Caa1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R5 -- Cl. A-1A, Downgraded to A1 (sf); previously on Jun 14, 2004 Assigned Aaa (sf) -- Cl. A-1B, Downgraded to A2 (sf); previously on Jun 14, 2004 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Caa1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R6 -- Cl. A-1, Downgraded to A1 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on Mar 9, 2009) -- Underlying Rating: Downgraded to A1 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R7 -- Cl. A-1, Downgraded to Aa3 (sf); previously on Aug 30, 2004 Assigned Aaa (sf) -- Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at Aa3, Outlook Negative on Nov 12, 2009) -- Underlying Rating: Downgraded to A1 (sf); previously on May 27, 2008 Assigned Aaa (sf) -- Cl. M-1, Downgraded to A3 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-9, Confirmed at Ca (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. M-10, Confirmed at Ca (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R8 -- Cl. M-1, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R9 -- Cl. M-1, Confirmed at Aa1 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Baa2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade AMMC CLO: Moody's Upgrades Ratings on Four Classes of Notes ----------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by AMMC CLO V, Limited: -- US$40,000,000 Class A-1-B Floating Rate Notes due 2017, Upgraded to Aa2(sf); previously on July 16, 2009 Downgraded to Aa3(sf); -- US$28,750,000 Class A-2 Floating Rate Notes due 2017, Upgraded to Aa1(sf); previously on July 16, 2009 Downgraded to Aa2(sf); -- US$9,750,000 Class B Floating Rate Notes due 2017, Upgraded to A1(sf); previously on July 16, 2009 Downgraded to A2(sf); -- US$19,500,000 Class C Floating Rate Deferrable Notes Due 2017, Upgraded to Baa2(sf); previously on March 18, 2009 Downgraded to Ba1(sf); -- US$19,500,000 Class D Floating Rate Deferrable Notes due 2017, Upgraded to B1(sf); previously on July 16, 2009 Downgraded to B3(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 ratio of the notes since the July 2009 rating action. Improvement in the credit quality is observed through an improvement in the average credit rating (as measured by the weighted average rating factor). As of the trustee report dated February 3, 2011, the weighted average rating factor is currently 2429 compared to 3042 in the June 2009 report. Additionally, defaulted securities total about $1.5million of the underlying portfolio compared to $11.8million in 2009. The percentage of securities rated Caa and below also declined to 6% from 20%. The overcollateralization ratio of the rated notes have also improved since the rating action. The Senior Overcollateralization Ratio Test is reported at 118.7% versus 112.3%. It is currently in compliance. 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 balance of $275million, defaulted par of $3million, a weighted average default probability of 24% (implying a WARF of 3460), a weighted average recovery rate upon default of 43% and a diversity score of 67. 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 CLO V, Limited, issued in December 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in these ratings was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 2009. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six 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, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. This is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF - 20% (2768) -- Class A-1-A: 0 -- Class A-1-B: +1 -- Class A-1-R: 0 -- Class A-2: +1 -- Class B: +3 -- Class C: +3 -- Class D: +2 Moody's Adjusted WARF +20% (4152) -- Class A-1-A: 0 -- Class A-1-B: -2 -- Class A-1-R: 0 -- Class A-2: -2 -- Class B: -2 -- Class C: -3 -- Class D: -3 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 manager's investment strategy 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: 1) Deleveraging: The deal's reinvestment period ended in December 2010. However, the amount and pace of deleveraging from principal proceeds is uncertain. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. On the March 2011 payment date, the Class A-1-A Notes and Class A-1-R Notes were paid about $690,000. 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 deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell 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. AMRESCO INDEPENDENCE: Moody's Downgrades Ratings on Four Tranches ----------------------------------------------------------------- Moody's Investors Service has downgraded four tranches issued in two securitizations and has confirmed two tranches in one securitization of small business loans sponsored by Amresco Independence Funding. The affected transactions are collateralized by the unguaranteed portion of Small Business Administration loans secured primarily by commercial real estate. American Business Lending, Inc (a Texas corporation) services these deals. Ratings Rationale On March 2, 2011, the two tranches in the Independence Funding Company, LLC, Series 1997-1 transaction were placed on review for possible downgrade following the publication of Moody's "Global Structured Finance Operational Risk Guidelines: Moody's Approach to Analyzing Performance Disruption Risk." According to the new guidelines, the transaction was determined to be subject to operational risk, since American Business Lending is an unrated company and the transaction structure does not include back-up servicing arrangements. As a result of Moody's review of the transaction performance and the available credit enhancement, Moody's determined that the operational risk is largely mitigated. Therefore, Moody's are confirming the ratings of the two classes in the 1997-1 transaction. As of the February 2011 distribution date, the reserve account was approximately 40% of the current pool balance. In the event of a servicing disruption, this account would be used to make the required interest and principal payments, thus significantly reducing the probability of a payment disruption. In addition, the Small Business Administration, the guarantor of a portion of the loans, will likely attempt to maximize collections and recoveries on the guaranteed portion of the loans. This will benefit the securitized (i.e., unguaranteed) portion of the loans as well. The downgrades of the 1999-1 and 2000-1 transactions were prompted by higher than expected losses. Since the last rating actions in June 2009, the cumulative net losses increased from 9.8% to 10.6% and from 12.7% to 15.1% of the original pool balance for the 1999- 1 and 2000-1 deals, respectively. The methodology used in these rating actions included projecting losses using a loan-by-loan analysis. Moody's current lifetime expected net losses for the 1999-1 and 2000-1 transactions are 11.5% and 16.75%, respectively. Moody's assessed the likelihood of each loan to default based on the levels of current delinquencies, business types, property locations, past payment histories, borrower's creditworthiness, and either appraisals or estimates of property market values. The expected losses on the pools were then examined in relation to available credit enhancement, including reserve accounts, subordination, and excess spread. Primary sources of assumption uncertainty are the general economic environment, commercial property values, and the ability of small businesses to recover from the recession. If the remaining expected losses used in determining the ratings were increased by 10%, the initial model-indicated ratings for the Class A tranches would be downgraded. The complete rating actions are: Issuer: Independence Funding Company, LLC, Series 1997-1 -- Class A, Confirmed at Aaa (sf); previously on Mar 2, 2011 Aaa (sf) Placed Under Review for Possible Downgrade -- Class B, Confirmed at A1 (sf); previously on Mar 2, 2011 A1 (sf) Placed Under Review for Possible Downgrade Issuer: AMRESCO Independence Funding, Inc. Series 1999-1 -- Class A, Downgraded to Aa1 (sf); previously on Dec 10, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class M, Downgraded to A3 (sf); previously on Dec 10, 2010 A2 (sf) Placed Under Review for Possible Downgrade Issuer: AMRESCO Independence Funding, Inc. Series 2000-1 -- Class A, Downgraded to A3 (sf); previously on Dec 10, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class M, Downgraded to Ba3 (sf); previously on Dec 10, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets in this transaction and the due diligence reports had a neutral impact on the rating. AMRESCO RESIDENTIAL: Moody's Downgrades Ratings on 26 Tranches -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 26 tranches from 6 subprime deals and confirmed the rating of 2 tranches from 2 Subprime deals issued by AMRESCO Residential Mortgage Loan Trust. The collateral backing these deals primarily consists of first lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools issued from prior 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans 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. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated in 2004 and prior). The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. 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 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% 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 levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 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: AMRESCO Residential Mortgage Loan Trust 1997-1 -- A-7, Downgraded to Baa2 (sf); previously on Mar 25, 1997 Assigned Aaa (sf) -- A-8, Downgraded to Baa1 (sf); previously on Mar 25, 1997 Assigned Aaa (sf) Issuer: Amresco Residential Mortgage Loan Trust 1997-2 -- A-7, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-8, Downgraded to A3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1F, Downgraded to Baa3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: AMRESCO Residential Mortgage Loan Trust 1997-3 -- A-8, Downgraded to A2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-9, Downgraded to A1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1A, Confirmed at Aaa (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1F, Downgraded to Ba3 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- M-2F, Downgraded to Caa3 (sf); previously on Mar 16, 2005 Downgraded to Ba1 (sf) -- B-1F, Downgraded to C (sf); previously on Jun 15, 2009 Downgraded to Ca (sf) Issuer: AMRESCO Residential Mortgage Loan Trust 1998-1 -- A-5, Downgraded to A3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-6, Downgraded to A2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1F, Downgraded to Ba3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-2F, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- M-1A, Downgraded to A1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- B-1F, Downgraded to C (sf); previously on Aug 25, 2004 Downgraded to Caa3 (sf) Issuer: AMRESCO Residential Securities Corporation Mortgage Loan Trust 1998-2 -- A-5, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- A-6, Downgraded to B1 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- M-1A, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- M-1F, Downgraded to Caa3 (sf); previously on Jun 15, 2009 Downgraded to Baa3 (sf) -- M-2F, Downgraded to C (sf); previously on Jun 15, 2009 Downgraded to B2 (sf) Issuer: AMRESCO Residential Securities Corporation Mortgage Loan Trust 1998-3 -- A-5, Downgraded to Ca (sf); previously on Jun 15, 2009 Downgraded to Ba3 (sf) -- A-6, Downgraded to Ca (sf); previously on Jun 15, 2009 Downgraded to Ba3 (sf) -- A-7, Confirmed at Aaa (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1A, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-2A, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- B-1A, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade ANSONIA CDO: Fitch Downgrades Ratings on Two Classes of Notes ------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed 17 classes issued by Ansonia CDO 2006-1 Ltd./LLC as a result of significant negative credit migration and increased interest shortfalls on the underlying collateral. Since Fitch's last rating action in May 2010, approximately 38.4% of the portfolio has been downgraded. Currently, 94.1% has a Fitch derived rating below investment grade and 74.1% has a rating in the 'CCC' rating category or lower, compared to 94.2% and 68.6%, respectively, at last review. As of the March 28, 2011 payment date, 67% of the collateral is experiencing interest shortfalls, compared to 56.8% at last review. This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Structured Finance CDOs'. However, given the portfolio's distressed nature, Fitch believes that the probability of default for all classes of notes can be evaluated without factoring potential further losses from the non-defaulted portion of the portfolio. Therefore, this transaction was not modeled using the Structured Finance Portfolio Credit Model. On the April 28, 2009 payment date, classes E through T notes did not receive their full interest distributions as a result of insufficient interest proceeds due to interest shortfalls on the underlying collateral. On May 5, 2009, the trustee notified the noteholders of an event of default due to non-payment of full and timely accrued interest to the classes E, F and G notes. The notes have not been accelerated or liquidated at the time of this review. In accordance with the transaction documents, interest received on credit impaired securities are deemed principal payments. To date, $37 million has been paid to classes A-FL/FX as principal, of which $35.5 million are interest proceeds from credit impaired securities. As of the most recent trustee payment date and on prior payment dates, the remaining interest proceeds have been insufficient to pay full and timely interest to classes B through G. Accordingly, Fitch has affirmed the non-deferrable classes (classes B through G notes) at 'Dsf'. For the class A and H through T notes, Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class A notes have been downgraded to 'CCsf', indicating that default is probable. Similarly, the class H through T notes have been affirmed at 'Csf', indicating that default is inevitable. Ansonia 2006-1 is collateralized by all or a portion of 115 classes in 33 separate underlying commercial mortgage back securities transactions. Approximately 66.7% of the collateral is not rated and represents the first loss position of the respective underlying CMBS transaction. Fitch has taken these actions as indicated: -- $188,436,406 class A-FL notes downgraded to 'CCsf' from 'CCCsf'; -- $69,965,527 class A-FX notes downgraded to 'CCsf' from 'CCCsf'; -- $57,479,000 class B notes affirmed at 'Dsf'; -- $34,285,000 class C notes affirmed at 'Dsf'; -- $16,134,000 class D notes affirmed at 'Dsf'; -- $18,151,000 class E notes affirmed at 'Dsf'; -- $24,201,000 class F notes affirmed at 'Dsf'; -- $30,252,000 class G notes affirmed at 'Dsf'; -- $26,218,000 class H notes affirmed at 'Csf'; -- $48,403,000 class J notes affirmed at 'Csf'; -- $43,361,000 class K notes affirmed at 'Csf'; -- $23,193,000 class L notes affirmed at 'Csf'; -- $14,117,000 class M notes affirmed at 'Csf'; -- $22,184,000 class N notes affirmed at 'Csf'; -- $18,151,000 class O notes affirmed at 'Csf'; -- $13,109,000 class P notes affirmed at 'Csf'; -- $12,100,000 class Q notes affirmed at 'Csf'; -- $10,084,000 class S notes affirmed at 'Csf'; -- $8,067,000 class T notes affirmed at 'Csf'. ARCAP 2004-RR3: Fitch Downgrades Ratings on 13 Classes of Notes --------------------------------------------------------------- Fitch Ratings has downgraded 13 classes issued by ARCAP 2004-RR3 Resecuritization, Inc. as a result of significant negative credit migration and increased losses to the underlying collateral. Since Fitch's last rating action in May 2010, approximately 39.5% of the portfolio has been downgraded. Currently, 61.3% has a Fitch derived rating below investment grade and 35% has a rating in the 'CCC' rating category or lower, compared to 61.6% and 19.7%, respectively, at last review. As of the Feb. 22, 2011 payment date, the portfolio has experienced $67.4 million in principal losses, of which $49.6 million occurred since the last review. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model for projecting future default levels for the underlying portfolio. The degree of correlated risk is high given the asset type and vintage. The credit enhancement to the class A-2 notes is consistent with the 'CCC' rating loss rates generated by PCM. For the class B through J notes, Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class B through D notes have been downgraded to 'CCsf', indicating that default is probable. Similarly, classes E through J have been downgraded to 'Csf', indicating that default is inevitable. As of the Feb. 22, 2011 payment date, classes L through N have experienced a full principal loss and the class K notes have experienced approximately $2 million in principal losses. Additionally, Fitch has withdrawn the rating of the interest-only class X. ARCAP 2004-RR3 is backed by 48 tranches from 17 CMBS transactions and is considered a CMBS B-piece resecuritization (also referred to as first loss CRE CDO/ReREMIC) as it includes the most junior bonds of CMBS transactions. The transaction closed Sept. 30, 2004. Fitch has taken these actions as indicated: -- $250,164,765 class A-2 notes downgraded to 'CCCsf' from 'BBB- sf/ LS3'; -- $40,907,000 class B notes downgraded to 'CCsf' from 'BBsf/LS5'; -- $31,362,000 class C notes downgraded to 'CCsf' from 'Bsf/LS5'; -- $6,818,000 class D notes downgraded to 'CCsf' from 'Bsf/ LS5'; -- $16,363,000 class E notes downgraded to 'Csf' from 'Bsf/ LS5'; -- $13,636,000 class F notes downgraded to 'Csf' from 'CCCsf'; -- $12,954,000 class G notes downgraded to 'Csf' from 'CCCsf'; -- $18,408,000 class H notes downgraded to 'Csf' from 'CCsf'; -- $8,863,000 class J notes downgraded to 'Csf' from 'CCsf'; -- $6,192,132 class K notes downgraded to 'Dsf' from 'Csf'; -- $0 class L notes downgraded to 'Dsf' from 'Csf'; -- $0 class M notes downgraded to 'Dsf' from 'Csf'; -- $0 class N notes downgraded to 'Dsf' from 'Csf'; -- Interest-only class X withdrawn. ARCAP 2006-RR7: Fitch Downgrades Ratings on Eight Classes --------------------------------------------------------- Fitch Ratings has downgraded eight and affirmed seven classes issued by ARCAP 2006-RR7 Resecuritization, Inc., as a result of significant negative credit migration and increased interest shortfalls on the underlying collateral. Since Fitch's last rating action in May 2010, approximately 35.9% of the portfolio has been downgraded. Currently, 95.6% has a Fitch derived rating below investment grade and 94.3% has a rating in the 'CCC' rating category or lower, compared to 94.6% and 63.2%, respectively, at the last review. As of the Feb. 28, 2011 trustee report, 91.7% of the collateral is experiencing interest shortfalls, compared to 68.1% at the last review. This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Structured Finance CDOs'. However, given the portfolio's distressed nature, Fitch believes that the probability of default for all classes of notes can be evaluated without factoring potential further losses from the non-defaulted portion of the portfolio. Therefore, this transaction was not modeled using the Structured Finance Portfolio Credit Model. For all classes, Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class A-D and A notes have been downgraded to 'CCsf', indicating that default is probable. Similarly, the class B through G notes have been downgraded and the class H through O notes have been affirmed at 'Csf', indicating that default is inevitable. ARCAP 2006-RR7 is backed by 37 tranches from 22 commercial mortgage backed securities transactions and is considered a CMBS B-piece resecuritization (also referred to as first loss CRE CDO/ReREMIC) as it includes the most junior bonds of CMBS transactions. The transaction closed May 2, 2006. Fitch has downgraded these classes: -- $68,000,000 class A-D notes downgraded to 'CCsf' from 'BBB/LS5'; -- $47,126,000 class A notes downgraded to 'CCsf' from 'BB/LS5'; -- $94,019,000 class B notes downgraded to 'Csf' from 'CCCsf'; -- $52,766,000 class C notes downgraded to 'Csf' from 'CCsf'; -- $21,107,000 class D notes downgraded to 'Csf' from 'CCsf'; -- $22,066,000 class E notes downgraded to 'Csf' from 'CCsf'; -- $34,538,000 class F notes downgraded to 'Csf' from 'CCsf'; -- $28,781,000 class G notes downgraded to 'Csf' from 'CCsf'. Fitch has affirmed these classes: -- $40,294,000 class H Notes affirmed at 'Csf'; -- $56,604,000 class J Notes affirmed at 'Csf'; -- $14,391,000 class K Notes affirmed at 'Csf'; -- $14,390,000 class L Notes affirmed at 'Csf'; -- $24,944,000 class M Notes affirmed at 'Csf'; -- $13,432,000 class N Notes affirmed at 'Csf'; -- $14,391,000 class O Notes affirmed at 'Csf'. ARES IIR: S&P Raises Ratings on Various Classes of Notes -------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A, B, C, D-1, and D-2 notes from Ares IIR CLO Ltd., a collateralized loan obligation transaction managed by Ares Management LLC. At the same time, S&P removed its ratings on the class A and B notes from CreditWatch, where S&P placed them with positive implications on Jan. 3, 2011. The upgrades reflect improved performance S&P has observed in the deal's underlying asset portfolio since S&P lowered its ratings on all of the notes on March 26, 2010, following the application of S&P's September 2009 corporate CDO criteria. As of the March 2, 2011 trustee report, the transaction had $1.83 million of defaulted assets compared with $6.82 million as of the Feb. 3, 2010 report, which S&P referenced for its March 2010 rating actions. In addition, as of March 2011 the deal held $18.61 million in assets from obligors with ratings equal to or lower than 'CCC+' compared with $36.07 million in the February 2010 report. As of the March 2, 2011, trustee report, the class A notes had been paid down to $131.02 million, a reduction of $45.23 million since February 2010. Since S&P's March 2010 rating actions, approximately $6.89 million in excess interest proceeds have been deposited into the principal collection account to cover losses that the transaction has experienced. The transaction has benefited from an increase in the overcollateralization available to support the rated notes. The trustee reported these O/C ratio in the March 2, 2011 monthly report: The senior O/C ratio was 138.74%, compared with a reported ratio of 125.46% in February 2010. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as S&P deems necessary. Rating And Creditwatch Actions Ares IIR CLO Ltd. Rating ------ Class To From ----- -- ---- A AAA (sf) AA+ (sf)/Watch Pos B AA+ (sf) A+ (sf)/Watch Pos C A+ (sf) BBB+ (sf) D-1 BBB(sf) BB (sf) D-2 BBB (sf) BB (sf) ARLINGTON STREET: Moody's Upgrades Rating on Class A-3 Notes ------------------------------------------------------------ Moody's Investors Service announced that it has upgraded the rating of these notes issued by Arlington Street CDO (Cayman) Ltd.: -- US$44,000,000 Class A-3 Fixed Rate Senior Secured Notes Due 2012, Upgraded to Baa3 (sf); previously on September 21, 2010 Upgraded to Ba3 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from the delevering of the Class A-1 and Class A-2 Notes, which have been paid down by approximately 79% or $36 million since the rating action in September 2010. As a result of the delevering, the overcollateralization ratios have increased since the rating action in September 2010. As of the latest trustee report dated March 10, 2011, the Class A overcollateralization ratio is reported at 164.06% versus 134.35% in August 2010. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $81.3 million, defaulted par of $33.7 million, a weighted average default probability of 23.6% (implying a WARF of 5844), a weighted average recovery rate upon default of 20.36%, and a diversity score of 16. 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. Arlington Street CDO (Cayman) Ltd., issued in June 2000, is a collateralized bond obligation backed primarily by a portfolio of senior unsecured bonds. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six 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, due to the low diversity of the collateral pool, CDOROM 2.6 was used to simulate a default distribution that was then applied as an input in the cash flow model. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. This is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (4675) -- Class A-1: 0 -- Class A-2: 0 -- Class A-3: +2 -- Class B: 0 -- Class C: 0 Moody's Adjusted WARF + 20% (7013) -- Class A-1: 0 -- Class A-2: 0 -- Class A-3: -2 -- Class B: 0 -- Class C: 0 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy 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: 1. Delevering: The main source of uncertainty in this transaction is whether delevering from unscheduled principal proceeds will continue and at what pace. Delevering may accelerate due to high prepayment levels in the bond market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2. Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3. Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's notes that the primary exposure to long-dated assets consists of a sizeable balance outstanding on a credit linked note referencing corporate debt securities. The possible liquidation of the credit linked note at the deal's maturity will have a significant impact on the rating of the Class A-3 Notes in particular. Moody's analysis assumes terminal values upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. In the absence of current market prices, Moody's performs various sensitivity analyses assuming a range of liquidation values. 4. Lack of portfolio granularity: The performance of the portfolio depends to a large extent on the credit conditions of a few large obligors that are rated, especially when they experience jump to default. Due to the deal's low diversity score and lack of granularity, Moody's supplemented its typical Binomial Expansion Technique analysis with a simulated default distribution using Moody's CDOROM(TM) software and/or individual scenario analysis. AUSTIN CONVENTION: S&P Affirms 'BB+' Rating on $165 Mil. Bonds -------------------------------------------------------------- Standard & Poor's Ratings Services said that it affirmed its 'BB+' rating on Austin Convention Center Enterprises Inc.'s $165 million first-tier revenue bonds series 2006 A and revised the outlook on the rating to stable from negative. At the same time, S&P downgraded its rating on the project's $95.17 million second-tier revenue bonds series 2006 B to 'BB-' from 'BB' and revised the outlook to stable from negative. "The rating actions reflect an overall deterioration in consolidated financial performance over the past two years caused by the recession's impact on Austin's hospitality sector," said Standard & Poor's credit analyst Jodi Hecht. Additionally, the revenue that was expected from the contracted group business, which comprises about 60% of room revenues, proved lower than management had anticipated. However, the financial performance of the series 2006 A bonds on a standalone basis was sufficient to support a 'BB+' rating. The series 2006 B bonds are subordinate in payment to the series A bonds, and a default on the series B bonds would not enable acceleration of the series A bonds. S&P assigned recovery ratings of '4' and '6', respectively, to the series A and series B bonds. The '4' rating suggests that, according to S&P's simulated default scenario, lenders would likely see an average recovery between 30% and 50%; the '6' rating reflects recovery in the 0% to 10% range. Austin Convention Center Enterprises Inc. used its borrowings to construct the headquarters hotel for the Austin Convention Center, and repays the debt with the net revenues from the hotel. The hotel opened in December 2003, reached a stabilized occupancy of about 76% in 2007, and is operated by Hilton under a management agreement. BANC OF AMERICA: Fitch Downgrades Ratings on 10 Classes of Notes ---------------------------------------------------------------- Fitch Ratings has downgraded 10 classes of Banc of America Commercial Mortgage Inc., series 2004-1 due to further deterioration of performance. Most of the increase in expected losses is due to an increase in losses associated with specially serviced loans. The downgrades are due to an increase in Fitch expected losses following Fitch's prospective review of potential stresses and expected losses associated with specially serviced assets. Fitch expects losses of 6.3% of the remaining pool balance; modeled losses as a percent of the original pool balance are at 5.20% including losses already incurred to date. As of the March 2011 distribution date, the pool's collateral balance has paid down 24.7% to $999 million from $1.3 billion at issuance. Ten of the remaining loans have defeased (7.4%). As of March 2011, there are seven specially serviced loans (8.43%). The SBC Center (fka Ameritech Center) office building (287,111 square feet) located in Troy, MI is the largest specially serviced loan. It is the 10th largest loan (2.67%) in the pool and the largest contributor to projected losses. The loan transferred to special servicing in May, 2010 for imminent default due to declining cash flow as a result of the loss of a large tenant. Updated values are significantly below the loan balance and an appraisal reduction of $23 million was taken in January 2011. The second largest specially serviced loan (1.6%) and the second largest contributor to projected losses is secured by a 94,725 sf retail building located in Tracy, CA. The loan transferred to special servicing in February 2010 for imminent default due to declining cash flow as a result of tenant vacancy. The loan was modified in October, 2010. Recent appraisals on this property indicate a value significantly below the outstanding loan balance. The third largest specially serviced asset (1.3%) and the third largest contributor to projected losses is a 181,596 sf office building in Glendale, AZ. The property is fully vacant after losing the single tenant. The property has been real estate owned as of June 12, 2009 and the special servicer is marketing the property for both lease and sale. Recent appraisals indicate a value significantly below the outstanding loan balance. Fitch downgrades, revises Loss Severity ratings, and assigned Recovery Ratings as noted, to these classes: -- $29.9 million class D to 'A/LS5' from 'AA/LS5'; Outlook to Stable from Negative; -- $13.3 million class E to 'BBB/LS5' from 'A/LS5'; Outlook to Stable from Negative; -- $18.3 million class F to 'BB/LS5' from 'BBB/LS5'; Outlook to Stable from Negative; -- $19.9 million class H to 'CCC/RR1' from 'B/LS5'; -- $6.6 million class J to 'CC/RR4' from 'B-/LS5'; -- $6.6 million class K to 'C/RR6' from 'B-/LS5'; -- $8.3 million class L to 'C/RR6' from 'B-/LS5'; -- $9.6 million class M to 'C/RR6' from 'CCC/RR1'; -- $10.8 million class N to 'C/RR6' from 'CCC/RR6'; -- $16.8 million class O to 'C/RR6' from 'CC/RR6'. In addition, Fitch affirms these classes: -- $230.7 million class A-1A at 'AAA/LS1'; Outlook Stable; -- $100.1 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $521.9 million class A-4 at 'AAA/LS1'; Outlook Stable; -- $31.5 million class B at 'AAA/LS5'; Outlook Stable; -- $13.3 million class C at 'AAA/LS5'; Outlook Stable; -- $11.6 million class G at 'BB/LS5'; Outlook Negative. Class A-1 and A-2 have paid in full. Fitch does not rate the $15.1 million class P certificates. The class XP notional balance is defined as zero as of March 2011. Therefore, the class has been paid in full. Fitch has withdrawn the rating on the interest-only class XC. BANC OF AMERICA: Moody's Downgrades Ratings on Six Tranches ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of six tranches from Banc of America Funding 2004-B. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Alt-A and Option ARM residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Alt-A and Option ARM pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued from prior to 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans 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. 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%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. 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 in performance. 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 2004 vintage, the adjusted rate of new delinquency would be 10.10%. in addition, 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 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 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: Banc of America Funding 2004-B Trust -- Cl. 6-A-1, Downgraded to Caa3 (sf); previously on Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-X-1, Downgraded to Caa3 (sf); previously on Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-A-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-M-1, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-M-2, Downgraded to C (sf); previously on Apr 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-M-3, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade BEAR STEARNS: Moody's Downgrades Ratings on 93 Tranches ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 93 tranches and confirmed one tranche from 12 Alt-A deals issued by Bear Stearns Asset-Backed Securities Trust. The collateral backing these deals primarily consists of first-lien, fixed rate Alt-A residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Alt-A pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued from prior to 2005. The principal methodology used in these ratings was "Pre-2005 US RMBS Surveillance Methodology" published in January 2011. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans 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. 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%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. 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 in performance. 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 2004 vintage, the adjusted rate of new delinquency would be 10.10%. In addition, 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 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 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 Asset Backed Securities I Trust 2004-AC4 -- Cl. A-1, Downgraded to Baa2; previously on Apr 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Baa2; previously on Apr 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-3, Confirmed at Aaa; previously on Apr 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba2; previously on Apr 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Baa2; previously on Apr 13, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Baa2; previously on Apr 13, 2010 Aaa Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B1; previously on Apr 13, 2010 A1 Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca; previously on Apr 13, 2010 Baa2 Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C; previously on Apr 13, 2010 Caa3 Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2004-AC5 -- Cl. A-1, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2004-AC6 -- Cl. A-1, Downgraded to B1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ca (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2004-AC7 -- Cl. A-1, Downgraded to B2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ca (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset-Backed Securities I Trust 2004-AC2 -- Cl. I-A1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. I-A2, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A3, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A4, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-X, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. I-PO, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. II-A, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-X, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-PO, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Caa3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset-Backed Securities I Trust 2004-AC3 -- Cl. A-1, Downgraded to A2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to A2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa2 (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset-Backed Securities Trust 2003-AC3 -- Cl. A-1, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset-Backed Securities Trust 2003-AC4 -- Cl. A, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. BB, Downgraded to C (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset-Backed Securities Trust 2003-AC5 -- Cl. A-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset-Backed Securities Trust 2003-AC6 -- Cl. A-1, Downgraded to A3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to A2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to A3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to A3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to A3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. BB, Downgraded to C (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset-Backed Securities Trust 2003-AC7 -- Cl. A-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Asset-Backed Securities Trust 2004-AC1 -- Cl. A-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa1 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade BEAR STEARNS: Moody's Downgrades Ratings on 113 Tranches -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 113 tranches and confirmed the ratings of 36 tranches issued by Bear Stearns ALT-A Trust 2006-R1. Ratings Rationale The actions are a result of Moody's revised loss expectation on the pools of mortgages backing the underlying certificates and Moody's updated ratings on the underlying certificates. The resecuritization is backed primarily by Class II-2A-2, Class II- 3A-3, Class II-3A-4, Class II-3A-5, Class III-1A-2, Class III-2A- 2, Class III-3A-2, Class III-3A-3 and Class III-3A-4 issued by the Bear Stearns ALT-A Trust, Mortgage Pass-Through Certificates, Series 2006-4, and the Class II-B-1 issued by Bear Stearns ALT-A Trust, Mortgage Pass-Through Certificates, Series 2006-5 ("the underlying certificates"). The underlying certificates are backed primarily by first-lien, Alt-A residential mortgage loans. The resecuritization has ten groups of bonds, where each group typically has one senior class which is backed by one underlying certificate. The resecuritization groups 1,2,3 and 4 also have five interest only classes each whose notional amount is linked to the related underlying certificate of the group. These four groups also have 30 exchangeable classes each that can be exchanged for the senior class and various combinations of the interest only classes of the group. Moody's ratings on the resecuritization certificates are based on: (i) The updated expected loss on the pools of loans backing the underlying certificates and the updated ratings on the underlying certificates. (ii) The credit enhancement available to the underlying certificates, and (iii) The structure of the resecuritization transaction. Moody's first updated its loss assumption on the underlying pools of mortgage loans (backing the underlying certificates) and then arrived at updated ratings on the underlying certificates. The ratings on the underlying certificates are based on expected recoveries on the bonds under ninety-six different combinations of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. In order to determine the ratings of the senior resecuritized bonds for each group, loss and principal payments on the related underlying certificate were fully ascribed to the resecuritized bond. The ratings of exchangeable resecuritized bonds were determined according to the permitted combinations of the senior class and the interest only classes of ech group. 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. As part of the sensitivity analysis, Moody's stressed the updated expected loss on the pool of loans backing the underlying certificates by an additional 10% and found that the implied ratings of the bonds do not change. Moody's Investors Service received and took into account a third party due diligence report on the underlying assets or financial instruments in this transaction and the due diligence reports had neutral impact on the ratings. The complete list of actions: Issuer: Bear Stearns ALT-A Trust 2006-R1 -- Cl. I-A-1, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-X-1, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-X-2, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-X-3, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-X-4, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-X-5, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-1, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-2, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-3, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-4, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-5, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-6, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-7, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-8, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-9, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-10, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-11, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-12, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-13, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-14, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-15, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-16, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-17, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-18, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-19, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-20, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-21, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-22, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-23, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-24, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-25, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-26, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-27, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-28, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-29, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-AE-30, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-X-1, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-X-2, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-X-3, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-X-4, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-X-5, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-1, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-2, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-3, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-4, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-5, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-6, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-7, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-8, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-9, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-10, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-11, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-12, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-13, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-14, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-15, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-16, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-17, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-18, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-19, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-20, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-21, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-22, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-23, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-24, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-25, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-26, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-27, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-28, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-29, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-AE-30, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-1, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-X-1, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-X-2, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-X-3, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-X-4, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-X-5, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-1, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-2, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-3, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-4, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-5, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-6, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-7, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-8, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-9, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-10, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-11, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-12, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-13, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-14, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-15, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-16, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-17, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-18, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-19, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-20, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-21, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-22, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-23, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-24, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-25, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-26, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-27, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-28, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-29, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-AE-30, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-A-1, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-X-1, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-X-2, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-X-3, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-X-4, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-X-5, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-1, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-2, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-3, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-4, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-5, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-6, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-7, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-8, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-9, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-10, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-11, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-12, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-13, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-14, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-15, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-16, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-17, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-18, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-19, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-20, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-21, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-22, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-23, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-24, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-25, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-26, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-27, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-28, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-29, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-AE-30, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. V-A-1, Downgraded to C (sf); previously on Apr 16, 2010 Downgraded to Ca (sf) -- Cl. VI-A-1, Downgraded to C (sf); previously on Apr 16, 2010 Downgraded to Ca (sf) -- Cl. VII-A-1, Downgraded to C (sf); previously on Jul 2, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. VIII-A-1, Downgraded to C (sf); previously on Jul 2, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. IX-A-1, Downgraded to C (sf); previously on Jul 2, 2010 Ca (sf) Placed Under Review for Possible Downgrade BLUEMOUNTAIN CLO: S&P Raises Ratings on Various Classes of Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A, A-2, B, and C notes from BlueMountain CLO II Ltd., a collateralized loan obligation transaction managed by BlueMountain Capital Management L.P., and removed three of the ratings from CreditWatch, where S&P placed them with positive implications on Jan. 3, 2011. At the same time, S&P affirmed the ratings on the class D and E notes from the same transaction. The upgrades reflect the improved performance S&P has observed in the transaction since S&P's Nov. 9, 2009, rating action. There has been fewer and improvement in the credit quality of the underlying collateral. Based on the February 2011 trustee report, the transaction has no defaults, compared with $27 million par as of the October 2009 monthly report. Some of the defaults were sold later at prices higher than their assigned recovery values, which contributed to an increase in the credit support. In addition, the trustee reported in February 2011 that there was no 'CCC' excess', which is defined in this transaction as the portion of 'CCC' rated collateral that is over 7.5% of the portfolio. In October, the 'CCC' excess was $10.947 million. According to the terms of the transaction, the trustee calculates the overcollateralization ratios by reducing the numerator according to the guidelines in the transaction's documents to account for the existing defaults and 'CCC' excess. Since there were no defaults and no 'CCC' excess as of February 2011, there wasn't a reduction in the O/C numerator in February 2011, compared with a reduction of more than 4% in October 2009. As a result, the O/C ratios increased: the trustee reported in the February 2011 report the class senior O/C (calculated at class B) of 124.63%, compared with 120.00% in October 2009. The mezzanine O/C (calculated at class D) was 110.75% as of February 2011, up from 106.63% in September 2009. Based on the improvement to the credit support, S&P upgraded the class A, A-2, B, and C classes. S&P affirmed its ratings on the class D and E notes to reflect the classes' adequate credit support at their current rating levels. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as S&P deem necessary. Rating And Creditwatch Actions BlueMountain CLO II Ltd. Rating ------ Class To From ----- -- ---- A AA+ (sf) AA (sf)/Watch Pos A-2 AA+ (sf) AA (sf)/Watch Pos B AA- (sf) A+ (sf)/Watch Pos C BBB+ (sf) BBB (sf) Ratings Affirmed BlueMountain CLO II Ltd. Class Rating ----- ------ D BB+ (sf) E B+ (sf) Transaction Information ----------------------- Issuer: BlueMountain CLO II Ltd. Collateral manager: BlueMountain Capital Management L.P. Underwriter: Morgan Stanley & Co. Inc. Trustee: Bank of New York Mellon (The) Transaction type: Cash flow CLO BRENTWOOD CLO: Moody's Upgrades Ratings on Various Classes ---------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Brentwood CLO Ltd. -- US$388,700,000 Class A-1A Floating Rate Senior Secured Extendable Notes Due 2022 (current outstanding balance of $359,492,788.21), Upgraded to Aa1 (sf); previously on June 16, 2009 Downgraded to Aa3 (sf); -- US$75,000,000 Class A-1B Delayed Draw Floating Rate Senior Secured Extendable Notes Due 2022 (current outstanding balance of $69,364,443.31), Upgraded to Aa1 (sf); previously on June 16, 2009 Downgraded to Aa3 (sf); -- US$51,500,000 Class A-2 Floating Rate Senior Secured Extendable Notes Due 2022, Upgraded to A2 (sf); previously on June 16, 2009 Downgraded to A3 (sf); -- US$68,600,000 Class B Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2022, Upgraded to Ba2 (sf); previously on June 16, 2009 Downgraded to Ba3 (sf); -- US$23,800,000 Class C Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2022, Upgraded to Caa1 (sf); previously on June 16, 2009 Downgraded to Caa3 (sf); -- US$21,000,000 Class D Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2022, Upgraded to Ca (sf); previously on June 16, 2009 Downgraded to C (sf); Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily due to an increase in the transaction's overcollateralization ratios and improvement in the credit quality of the underlying portfolio since the last rating action in June 2009. The overcollateralization ratios of the rated notes have improved since the rating action in June 2009. As per the January 2011 trustee report, the Class A, Class B, Class C, and Class D overcollateralization ratios are reported at 123.8%, 108.3%, 103.8% and 100.6% respectively, versus April 2009 levels of 116.9%, 103.2%, 99.1% and 96.2% respectively. In addition, the Class B Notes are no longer deferring interest, and all previously deferred interest has been repaid. However, the Class B, Class C and Class D overcollateralization tests continue to remain out of compliance and the Class C Notes and Class D Notes continue to defer interest. The Class A-1 Notes have amortized by approximately $30mm or 6.5% from interest and principal proceeds due to the failure of some of the overcollateralization tests. 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 January 2011 trustee report, the weighted average rating factor is 2744 compared to 3147 in April 2009, and securities rated Caa1 and below make up approximately 11.9% of the underlying portfolio versus 16.3% in April 2009. However, the dollar amount of defaulted securities has increased from $58 million in April 2009 to $66 million in January 2011. In addition, Moody's notes that the portfolio includes a number of structured finance securities. Based on the January 2011 trustee report, structured finance securities make up approximately 6.0% of the underlying portfolio. 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 balance of $593 million, defaulted par of $67 million, weighted average default probability of 33.2% (implying a WARF of 4257), a weighted average recovery rate upon default of 42.2% and a diversity score of 58. 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. Brentwood CLO Ltd., issued on December 21, 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 six 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 sensitivity analyses to test the impact on all rated notes of various default probabilities. This is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARF - 20% (3406) -- Class A-1A: +1 -- Class A-1B: +1 -- Class A-2: +3 -- Class B: +2 -- Class C: +2 -- Class D: +4 Moody's Adjusted WARF + 20% (5108) -- Class A-1A: -2 -- Class A-1B: -2 -- Class A-2: -2 -- Class B: -2 -- Class C: -4 -- Class D: -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 strategy 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: 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 sell 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. Additionally, illiquidity of the defaulted assets may further add to the volatility in the realized recovery rates. 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. 4) Exposure to credit estimates: The deal is exposed to a number of securities whose default probabilities are assessed through credit estimates. In the event that Moody's is not provided the necessary information to update the credit estimates in a timely fashion, the transaction may be impacted by any default probability stresses Moody's may assume in lieu of updated credit estimates. 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 III, Ltd.: -- US$50,000,000 Class A-1 Revolving Senior Secured Floating Rate Notes (current balance of $23,221,833), Upgraded to Aaa (sf); previously on October 1, 2009 Downgraded to Aa1 (sf); -- US$212,000,000 Class A-2 Senior Secured Floating Rate Notes (current balance of $98,460,575), Upgraded to Aaa (sf); previously on October 1, 2009 Downgraded to Aa1 (sf); -- US$8,000,000 Class A-4 Senior Secured Floating Rate Notes, Upgraded to Aaa (sf); previously on October 1, 2009 Downgraded to Aa2 (sf); -- US$16,000,000 Class B Senior Secured Floating Rate Notes, Upgraded to Aa1 (sf); previously on October 1, 2009 Downgraded to Aa1 (sf); -- US$22,000,000 Class C Senior Secured Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on October 1, 2009 Confirmed at Baa3 (sf); -- US$17,000,000 Class D Senior Secured Deferrable Floating Rate Notes, Upgraded to Baa3 (sf); previously on October 1, 2009 Confirmed at Ba3 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from the delevering of the Class A-1 Notes, Class A-2 Notes and Class A-3 Notes, which have been paid down by approximately $154 million since the rating action in October 2009. As a result of the delevering, the overcollateralization ratios have increased since the rating action in October 2009. As of the latest trustee report dated February 22, 2011, the Class A/B, Class C, Class D and Class E overcollateralization ratios are reported at 133.73%, 120%, 111.18% and 107.24% respectively, versus September 2009 levels of 118.79%, 111%, 105.65% and 103.12%, respectively. Moody's also notes that the deal has benefited from improvement in the credit quality of the underlying portfolio since the rating action in October 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 February 22, 2011 the weighted average rating factor is currently 2448 compared to 2606 in the September 2009 report, and securities rated Caa1/CCC+ or lower make up approximately 6% of the underlying portfolio versus 7.9% in September 2009. Additionally, defaulted and deferred interest securities total about $811,766 of the underlying portfolio compared to $15 million in September 2009. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $217.1 million, defaulted par of $2.2 million, a weighted average default probability of 19.11% (implying a WARF of 3162), a weighted average recovery rate upon default of 42.6%, 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. Callidus Debt Partners CLO Fund III, Ltd., issued in December 2, 2004, is a collateralized loan obligation, backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 2009. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six 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 sensitivity analyses to test the impact on all rated notes of various default probabilities. This is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -20% (2529) -- Class A-1: 0 -- Class A-2: 0 -- Class A-3: 0 -- Class A-4: 0 -- Class B: 0 -- Class C: 3 -- Class D: 2 -- Class E: 3 Moody's Adjusted WARF +20% (3794) -- Class A-1: 0 -- Class A-2: 0 -- Class A-3: 0 -- Class A-4: 0 -- Class B: -1 -- Class C: -1 -- Class D: -2 -- Class E: -2 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 manager's investment strategy 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: 1) Delevering: The main source of uncertainty in this transaction is whether delevering from unscheduled principal proceeds will continue and at what pace. Delevering may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Exposure to credit estimates: The deal is exposed to a large number of securities whose default probabilities are assessed through credit estimates. In the event that Moody's is not provided the necessary information to update the credit estimates in a timely fashion, the transaction may be impacted by any default probability stresses Moody's may assume in lieu of updated credit estimates. CBA COMMERCIAL: S&P Downgrades Rating on Class M-2 to 'D' -------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class M-2 commercial mortgage pass-through certificates from CBA Commercial Assets LLC's series 2007-1 to 'D (sf)' from 'CCC- (sf)'. The downgrade of the M-2 class follows a principal loss as reflected on the March 25, 2011, remittance report. The M-2 class realized a 13.2% loss to its opening principal balance of $3,669,000. As of the March 25, 2011, remittance report, the collateral pool consisted of 170 loans and nine real estate owned assets with an aggregate trust balance of $93.3 million, down from 237 loans totaling $127.6 million at issuance. Sixty-one loans totaling $37.1 million (39.8%) are currently with the special servicer. Nine of the assets in the pool are REO (4.4%), 37 are in foreclosure (19.9%), four are in bankruptcy (0.4%), five are 90- plus-days delinquent (2.0%), two are 60-days delinquent (0.4%), and 10 are 30-plus-days delinquent (5.4%). To date, the trust has experienced losses on 23 loans with a weighted average loss severity of 77.3%. The total losses to the trust are $12.6 million according to the March 25, 2011, remittance report. CHASE COMMERCIAL: Fitch Upgrades Ratings on Four Classes of Notes ----------------------------------------------------------------- Fitch Ratings has upgraded four classes of Chase Commercial Mortgage Securities Corp.'s, commercial mortgage pass-through certificates, series 1998-2: -- $27.6 million class F to 'AAA/LS1' from 'A+/LS1; Outlook Stable; -- $12.7 million class G to 'AAA/LS2' from 'A-/LS2'; Outlook Stable; -- $22.2 million class H to 'BBB/LS2' from 'B+/LS2'; Outlook Stable; -- $9.5 million class I to 'BB/LS1' from 'B-/LS1'; Outlook Stable. Fitch withdraws the rating on the interest-only class x. Classes A-1 through E have paid in full. Fitch does not rate the $12.3 million class J certificates. As of the March 2011 distribution date, the pool has paid down 93% to $83.7 million from $1.3 billion at issuance. There are currently 16 loans remaining in the pool, the largest of which (40%) has defeased. The remaining loans are all current, with one loan an office property in Bingham Farms, MI, (6%) in special servicing. The pool has exhibited stable to improving performance since issuance, with losses to date totaling 0.8% of the original pool balance. In its analysis of the remaining loans in the pool, Fitch assumed four loans would default and incur losses of 5.81% of the remaining pool. The losses were based on applying property and market specific cap rates to a stressed cash flow. CHESTER COUNTY: Moody's Downgrades Rating on 2011 Bonds to 'Ba1' ---------------------------------------------------------------- Moody's Investors Service has downgraded Chester County Hospital's debt rating to Ba1 from Baa2 and assigned a Ba1 rating to the Hospital's planned issuance of $57.5 million of fixed-rate Series 2011 bonds to be issued through the Chester County Health and Educational Facilities Authority, PA. The par amount of bonds may be lower if the Hospital chooses not to refund the Series 1996 bonds at the time of issuance, due to market conditions. The rating action impacts $79.3 million of pro-forma rated debt. The outlook has been revised to stable from negative. In January 2010, the organizational structure of the hospital and related entities was modified, with the creation of a new not-for- profit entity, the Chester County Hospital and Health System (the System). Unless described differently, financial figures in this report refer to consolidated audited financial statements for the System which includes the Hospital, its controlled entity the Chester County Hematology-Oncology Services, the Chester County Hospital Foundation (which engages in investment and fund-raising activities) (the Foundation), as well as other subsidiaries. The Hospital and CCHOS' combined operating revenue represents approximately 83% of total operating revenue for the consolidated System and nearly 89% of net assets of the consolidated System. Summary Rating Rationale The Hospital's rating reflects a significant increase in debt coupled with a track record of weak operating cash flow including ongoing transfers of support to subsidiaries generating deficits, recent pressure on patient volumes, and a very thin cushion of unrestricted cash and investments relative to size of expense base and growing debt levels. The stable outlook at the lower rating level reflects the Hospital's fundamentally healthy market position and good demographic projections for the service area, and favorable contract terms with its two largest private payers, with contracts negotiated through FY 2012 at a minimum. CCH's thin balance sheet leaves very little margin for error, and cost overruns or delays in the new patient tower project could contribute to rating pressure. Challenges * The Series 2011 bonds represent a sizeable increase in debt (a near doubling of debt for the Hospital on a standalone basis, and an approximately 62% increase in debt for the entire System). Pro-forma debt to revenue will increase to 41%, and debt to capitalization will increase to 62% (also incorporating a $6 million equity contribution by the Foundation to the patient tower project). * Unrestricted cash and investments provide weak support for growing expense base and increased debt. Thin operating performance, ongoing transfers of financial support, and capital spending have limited balance sheet growth for the System. In FY 2010 the System had 59 days cash on hand (down from 84 days in FY 2006), and pro-forma cash to debt (incorporating planned $6 million equity contribution to the project) weakens to 32%. * Recent pressure on patient volumes and the shift of inpatient admissions to observation stays has contributed to ongoing weak System-wide operating cash flow (5.5% operating cash flow margin in FY 2010), and pro-forma maximum annual debt service coverage of 1.6 times (not incorporating any additional revenue generated by the new patient tower). Similar to other hospitals, the economic recession has negatively impacted patient volumes, with inpatient admissions declining in FY 2009 and 2010 and year to date 2011 (first seven months of FY 2011). Surgical volume and emergency room visits have also declined in FY 2010 and FY 2011 YTD. Volumes have been impacted by competitor's expansion. Opportunities for further significant expense containment may be limited given the Hospital's status as a standalone hospital with an already low cost operating structure. * High dependence on two dominant payers, Independent Blue Cross and Aetna, which represented approximately 52% of CCH's payer mix on a gross patient revenue basis in FY 2010. Further, CCH has experienced challenges with other payer negotiations recently. The Keystone Mercy contract (a Medical Assistance HMO which represented 5.7% of gross revenue in FY 2009) was cancelled in September 2009, and the Cigna contract (representing 1.3% of gross revenues in FY 2010) has expired and is currently under negotiation. The Hospital has replaced most of the Keystone Mercy volume by contracts with other Medical Assistance HMOs. Although Medicare represents a relatively low portion of the payer mix (29% of gross revenue in FY 2010), this contribution could grow over time as a result of the accelerated pace of growth of the older resident population (over the age of 65) in the service area. Strengths * Healthy demographics for the Hospital's service area, Chester County, Pennsylvania (rated Aaa). The Hospital, a 219 bed acute care hospital located in southeastern Pennsylvania, outside Philadelphia, maintains a leading market share for its primary service area. Chester County is a growing and affluent service area, with a relatively low unemployment rate relative to the U.S. average and population growth projected over the next five years, particularly in the southwest and northwest portions of the Hospital's service area. However, the Hospital faces competition from both not-for-profit and for-profit competitors, with a key not-for-profit competitor recently opening a new patient tower and growing patient volumes in 2010. * Despite pressure on patient volumes and a growing shift toward observation stays over the past three years, net patient revenues continue to grow, with nearly $242 million of System- wide net patient revenues in FY 2010 representing a 33% increase over FY 2006. Net patient revenues for the first 7 months of FY 2011 are up compared to the same point last year, even adjusting for the consolidation of CCHOS during spring 2010. However, total expenses grew at a faster pace, up 35% between FY 2006 and 2010 and have limited operating cash flow despite healthy revenue growth. Detailed Rating Rationale Use Of Proceeds And Project Description: Bond proceeds will be used to refinance the Hospital's Series 1996 bonds, partly pay the costs of a new patient tower (approximately $6 million Hospital equity contribution also expected to support project costs), fund a debt service reserve fund, provide capitalized interest through the November 2012, and cover costs of issuance. The patient tower will include three floors, each with 24 private patient rooms, as well new space and equipment to enhance the Hospital's cancer treatment program. Initially, only one floor with 24 private rooms will be opened, and two floors will be constructed but not fit out and shelled for future usage. Management estimates that the cost of fitting out each additional shelled floor would be approximately $4-5 million and would be expected to be paid for with cash flow or gifts, with management reporting no additional borrowing plans. Legal Security: Gross revenue pledge of the obligated group, which is solely comprised of the Hospital. Payments under the loan agreement are a general obligation of the Hospital, with a security interest in the Hospital's Gross Revenues, a debt service reserve fund, and an Open-End Mortgage and Security Agreement on its facilities that also will secure its Series 2001bonds and (if not refunded) Series 1996 bonds. Debt-Related Derivatives And Debt Structure: No debt-related interest rate swap agreements. All of the Hospital's rated bonds are fixed rate. Less than 10% of the System's total debt is variable-rate, with some of the mortgages payable of the System subsidiaries having variable interest rates. Market Position/Competitive Strategy: Leading Market Share In Primary Service Area Is Key Credit Strength; Chester County Benefits From Strong Demographic Projections As a 219 bed acute care community hospital located in West Chester, Pennsylvania (approximately 30 miles west of Philadelphia), the Hospital maintains a healthy market position and leading market share within its primary service area. Key centers for excellence include the Hospital's cancer, cardiovascular, orthopedics, women's health, and pediatrics programs. The Hospital's Medicare case mix index was 1.37 in FY 2010, having steadily declined over the past four years (1.42 CMI in FY 2007). The Hospital's service area includes most of Chester County (G.O. rating of Aaa), an affluent and growing region with high average household income and low unemployment relative to U.S. averages. Although management reports that the Hospital's primary service area population grew nearly 8% over the past decade, the pace of historical and future growth over the next five years is notably higher in the southwest and northwest portions of the total service area. Thus, CCH has established several satellite locations outside of the primary service area, including clinical practices and medical office buildings, with the strategy of increasing Hospital patient volumes coming from those markets. Projected growth for the service area during 2010- 2015 is particularly strong for adults over the age of 65. The Hospital primarily competes with not-for-profit Paoli Hospital (part of Jefferson Health System rated Aa3), as well as for-profit hospitals, owned by the for-profit hospital chain, Community Health Systems (B1 rating on watchlist for possible downgrade). CCH maintains a healthy market position, with management reporting a 54% market share for inpatient admissions within the primary service area, and a 33% market share for the total service area. CCH's market share across service lines is particularly strong for OB/GYN and neonatology services. Outside of its direct service area, the Hospital also competes with the multitude of preeminent hospitals in Philadelphia, particularly for tertiary patient care. Operating Performance: Declining Patient Volumes And Growth Of Observation Stays Contribute To Thin Operating Cash Flow; Concentrated Commercial Payer Mix Although the Hospital has achieved healthy growth of net patient revenue over the past five years, expense growth has kept pace and limited operating cash flow margins. In FY 2010, the System's operating cash flow margin was 5.5% (excluding a $2.2 million write-off of construction in progress) and cash flow (including Moody's adjustment for normalized investment income) covered debt service 2.3 times. On a pro-forma basis, however, FY 2010 cash flow would cover maximum annual debt service on all of the System's debt (including mortgages payable for the subsidiaries) a thin 1.6 times. The Hospital will use capitalized interest to make debt service payments on the Series 2011 bonds through the middle of FY 2013, when one floor of the new patient tower (24 beds) is expected to open and generate revenue to help cover increased debt service responsibilities. In Moody's opinion, the Hospital's projections for net revenue growth are very ambitious. Similar to other health care institutions, CCH has experienced pressure on patient volumes, which management attributes to the economic recession and an aggressive reclassification of inpatient admissions to observation stays. After growing inpatient admissions during FY 2006-2008, admissions have steadily declined during FY 2009 through the first seven months of FY 2011. This decline is partly offset by the growth of patients categorized as observation stays during FY 2008-2010. However, volumes including both admissions and observations grew a modest 1.0% in FY 2009 and declined 0.8% in FY 2010. Total surgeries have also declined during this time frame (10,507 in FY 2010 compared to a higher 11,504 in FY 2009), and emergency room visits dropped to 41,553 in FY 2010 from a high of 44,439 in FY 2008. Although the economic environment has pressured patient volumes more broadly, one of the Hospital's key competitors opened a new patient pavilion and expanded emergency department during 2010 which also likely contributed to negative volume trends at CCH and is a credit concern. Generally, the Hospital has a favorable payer mix, with relatively low exposure to government payers. In FY 2010, Medicare represented 29% of gross revenue and Medicaid (including managed Medicaid plans) represented 6.7% of gross revenue. Medicare could represent a growing proportion of the Hospital's payer mix due to the projected growth of the 65 and over population within the service area. Although the Hospital relies more heavily on private payers, the concentration of payers is a key credit challenge. In FY 2010, two health insurers, Independence Blue Cross and Aetna, represented more than half of the payer mix on a gross revenue basis (IBC was 36% and Aetna was 16%). Further, CCH has experienced challenges with other payer negotiations. The Keystone Mercy contract (a Medical Assistance HMO which represented 5.7% of gross revenue in FY 2009) was cancelled in September 2009, and the Cigna contract (representing 1.3% of gross revenues in FY 2010) has expired and is currently under negotiation. The Hospital has replaced most of the Keystone Mercy volume by contracts with other Medical Assistance HMOs. Payer concentration risk is mitigated in the near-term, with the IBC contract negotiated through FY 2012 and Aetna through FY 2013, both with favorable terms for anticipated contracted rate increases. In Moody's opinion, potential for improved operating cash flow will rely heavily on a turnaround in patient volume trends, continued favorable negotiations with key payers, and expense management. Although management continues to focus on expense containment, the Hospital already operates within a low-cost operating model and further significant cost containment, achievement of economies of scale, and favorable negotiations with key payers could be challenging as a standalone hospital surrounded by large not-for-profit and for-profit healthcare systems. Management also continues to focus on avenues for ongoing physician alignment. Although historically the majority of Hospital physicians were independent, the Hospital has begun to employ a portion of the physicians and shares equity in certain medical office buildings with the clinical practices in order to maintain tight relationships with the physicians. These relationships may align physician loyalty but can prove to pressure margins further. In FY 2010, the Hospital and Foundation transferred a combined $4.2 million to subsidiaries which are incurring deficits on a standalone basis, including Professional Providers, Inc. (PPI, a physician employment and management subsidiary) and an OB/GYN practice. Although management is focused on initiatives to improve operating performance at the subsidiaries, management highlights that both PPI and the OB/GYN practice generate patient volumes and net patient revenue for the Hospital. During the first seven months of FY 2011, the Hospital and Foundation had transferred a combined $3.2 million to the subsidiaries with a budgeted total amount of $4 million of transfers in FY 2011 ($1 million from the Foundation and $3 million from the Hospital). Balance Sheet Position: Sizeable Increase In Debt With This Bond Issuance; Cash And Investments Provide Weak Cushion For Expenses And Debt Thin operating performance, ongoing transfers of financial support to certain subsidiaries, and capital spending have all contributed to limited growth of cash and investments in recent years. The System's cash and investments provide a weak cushion for a growing expense base and increasing debt levels. Cash and investments of $39.7 million in FY 2010 (including Foundation investments which are restricted to support the Hospital including the new patient tower project) would provide nearly 59 days cash on hand, down significantly from the 84 days cash on hand in FY 2006 (compared to FY 2009 median for Baa3 rated hospitals of 92 days and Ba rated hospitals of 66.5 days). In FY 2010, the System's investment asset allocation included roughly three-quarters of investments in cash and fixed income instruments and one-quarter in equities. With the issuance of the Series 2011 bonds, debt levels will increase significantly (nearly 100% increase in the Hospital's indebtedness and 62% increase in System wide debt). Pro-forma cash and investments (FY 2010 cash and investments less $6 million equity contribution) would provide 32% coverage of $104 million of pro-forma debt (compared to FY 2009 median for Baa3 hospitals of 76% and Ba rated hospitals 65%). Operating leverage will increase to 41% proforma debt-to-revenue prior to revenue being generated by the new project. The Hospital has completed a fundraising campaign to support construction of the new patient tower. Management is talking with donors who gave gifts to support the tower project, and Moody's expect that at least $9 million of temporarily restricted Foundation assets will be classified as unrestricted in FY 2011. Further, Moody's expect that the Foundation will make at least a $6 million equity contribution in support of the project. Beyond the Series 2011 Bonds, management reports no plans for additional direct debt. However, the management team is evaluating the possibility of leasing additional space in the future at satellite locations throughout the extended service area and future build out of the two shelled floors subject to patient demand and financial feasibility. Moody's will evaluate the credit impact of these future capital needs when financing arrangements are more concrete. Outlook The stable outlook reflects the Hospital's healthy market share, favorable payer mix with largest contracts in place through FY 2012 at a minimum, and management's ongoing focus on improved operating performance and reduction of transfers to weaker performing subsidiaries. CCH's thin balance sheet leaves very little margin for error, and cost overruns or delays in the new patient tower project could contribute to rating pressure. What Could Change the Rating -- Up Significant growth of unrestricted cash and investments to better cushion operations and debt coupled with strengthening of overall operating performance and debt service coverage What Could Change the Rating -- Down Sustained operating deficits at the subsidiaries requiring ongoing transfers of support from the Foundation and/or Hospital and limiting balance sheet growth; additional borrowing absent growth of cash and investments and net revenue available for debt service; declining net patient revenue or weakening of the Hospital's standalone operating performance and debt service coverage; significant additional capital needs; unfavorable negotiations for rate increases with key payers Key Indicators Assumptions and Adjustments: -- Based on financial statements for The Chester County Hospital and Health System (includes Hospital, its controlled entity the Chester County Hematology-Oncology Services, the Foundation, as well as other subsidiaries) -- First number reflects audit year June 30, 2009 -- Second number reflects audit year June 30, 2010 -- Investment returns smoothed at 6% unless otherwise noted * Inpatient admissions: 15,225, 14,897 * Total operating revenue: $244.9 million; $257.0 million * Total debt outstanding: $66.5 million; $64.1 million * Days cash on hand: 57 days; 59 days * Cash-to-debt: 55.6%; 61.9% * Operating margin: -0.9%; 0% * Operating cash flow margin: 4.7%; 5.5% * Operating cash flow: $11.6 million; $14.0 million * Annual debt service coverage with normalized investment income: 2.1 times; 2.3 times Rated Debt -- Series 2001, 2011: Baa2 rating Series 1996A: Baa2 underlying rating; insured by National Public Finance Guarantee Corp. (formerly MBIA; current financial strength rating is Baa1 with a developing outlook); expected to be refunded with Series 2011. CIT AND FINANCE: Moody's Downgrades Ratings on 23 Tranches ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 23 tranches and confirmed the ratings of two tranches from 5 Subprime deals issued by CIT and Finance America. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans 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. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005. The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. 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 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% 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 levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 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: CIT Home Equity Loan Trust 2003-1 -- Cl. A-4, Downgraded to A3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to A3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to A2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Finance America Mortgage Loan Trust 2003-1 -- Cl. M-1, Downgraded to A2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba1 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Finance America Mortgage Loan Trust 2004-1 -- Cl. M2, Downgraded to B3; previously on Apr 8, 2010 Aa2 Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to Ca; previously on Apr 8, 2010 Aa3 Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to Ca; previously on Apr 8, 2010 Ba1 Placed Under Review for Possible Downgrade -- Cl. M6, Downgraded to C; previously on Apr 8, 2010 Ba3 Placed Under Review for Possible Downgrade -- Cl. M7, Downgraded to C; previously on Apr 8, 2010 Ca Placed Under Review for Possible Downgrade Issuer: Finance America Mortgage Loan Trust 2004-2 -- Cl. M-1, Downgraded to A1 (sf); previously on Aug 13, 2004 Assigned Aa1 (sf) -- Cl. M-2, Downgraded to Ba2 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B2 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Confirmed at Ca (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Finance America Mortgage Loan Trust 2004-3 -- Cl. M-1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Confirmed at Ca (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade CIT HOME: Moody's Corrects Press Release on Ratings --------------------------------------------------- Moody's Investors Service has corrected the March 24 press release on the 16 tranches from four Subprime deals issued by CIT Home Equity Trust, EquiCredit Corporation, Lehman Brothers, and Sovereign Bank. According to Moody's the press release did not provide the link to the list of CUSIP identifiers. This has been corrected. This is the revised release: Moody's Investors Service has downgraded the ratings of 16 tranches from four Subprime deals issued by CIT Home Equity Trust, EquiCredit Corporation, Lehman Brothers, and Sovereign Bank. The collateral backing these deals primarily consists of first- lien, fixed and adjustable-rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans 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. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005). The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. 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 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Certain securities, as noted below, are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 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: CIT Home Equity Loan Trust 2002-1 -- Cl. AF-5, Downgraded to B1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. AF-6, Downgraded to Ba3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. AF-7, Downgraded to B1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-1, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-1, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-2, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: EQCC Trust 2001-1F -- Cl. A-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-4, Downgraded to Caa2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Lehman Home Equity Loan Trust 2001-1 -- Cl. A-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-IO, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Sovereign Bank Home Equity Loan Trust 2000-1 -- Cl. A-5, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. A-6, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. A-7, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) COMM 2006-FL12: S&P Corrects Rating on Class J Notes to 'B-' ------------------------------------------------------------ Standard & Poor's Ratings Services corrected its rating to 'B- (sf)' from 'D (sf)' on the class J commercial mortgage pass- through certificates from COMM 2006-FL12, a U.S. commercial mortgage-backed securities transaction. On Feb. 24, 2011, S&P lowered its ratings to 'D (sf)' on classes J and HDC1 from COMM 2006-FL12 following principal losses on the classes that resulted from the liquidation of the specially serviced Hotel Del Coronado loan, as reported in the Feb. 18, 2011 trustee remittance report. The realized losses were attributable to the 1% liquidation fee paid to the special servicer and other related expenses. The remittance report noted that the class J certificate had sustained a principal loss of $2.6 million (5.9% of its $43.3 million original certificate balance). Subsequently, the March 15, 2011 trustee remittance report reported a reallocation of the entire 1% liquidation fee and related expenses to class HDC1. The reallocation resulted in a change in the $2.6 million principal loss initially allocated to class J, which was then applied to class HDC1 (no longer rated). Following the new information regarding the principal loss to class J, S&P corrected its rating on class J to 'B- (sf)'. Rating Corrected COMM 2006-FL12 Commercial mortgage pass-through certificates series Rating ------ Class To From ----- -- ---- J B- (sf) D (sf) COMMERCIAL MORTGAGE: Moody's Takes Rating Actions on 1998-C1 Notes ------------------------------------------------------------------ Moody's Investors Service upgraded the rating of one class and affirmed two classes of Commercial Mortgage Acceptance Corp., Commercial Mortgage Pass-Through Certificates, Series 1998-C1: -- Cl. X, Affirmed at Aaa (sf); previously on Jul 28, 1998 Assigned Aaa (sf) -- Cl. M, Affirmed at C (sf); previously on May 25, 2006 Downgraded to C (sf) -- Cl. L, Upgraded to Caa3 (sf); previously on May 20, 2010 Downgraded to Ca (sf) Ratings Rationale The upgrade is due to overall improved pool performance. Additionally, at last review, Moody's had estimated $11.2 million in potential losses from seven poorly performing loans. Of those loans, two loans paid off, four loans remain in the pool and one loan liquidated resulting in an actual loss of $292,363 - a difference of $10.9 million. 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 existing ratings. Moody's rating action reflects a cumulative base expected loss of 6.2% of the current balance. At last review, Moody's cumulative base expected loss was 11.7%. Moody's stressed scenario loss is 9.1% 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 sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate 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 credit estimates in the same transaction. 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 23, compared to 25 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated May 20, 2010. Deal Performance As of the March 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 92% to $96.9 million from $1.2 billion at securitization. The Certificates are collateralized by 44 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten performing loans representing 50% of the pool. Seven loans, representing 13% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the 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. Fifteen loans have been liquidated from the pool since securitization, resulting in an aggregate $12.3 million loss (29% loss severity on average). One loan, representing 3% of the pool, is currently in special servicing. The master servicer has recognized a $1.9 million appraisal reduction on the specially serviced loan. Moody's has estimated a $2.1 million loss (73% expected loss) for the specially serviced loan. Moody's was provided with full year 2009 and partial year 2010 operating results for 95% and 74%, respectively, of the pool's loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 55% compared to 64% at last review. Moody's net cash flow reflects a weighted average haircut of 14% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.0%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.51X and 2.21X, respectively, compared to 1.41X and 1.97X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 24% of the pool balance. The largest loan is Shrewsbury Plaza Loan ($10.7 million -- 11.1% of the pool), which is secured by a 225,000 square foot retail center located in Shrewsbury, New Jersey. The property was 84% leased as of December 2010. Loan performance has improved since last review due to an increase in base rent. Moody's LTV and stressed DSCR are 39% and 2.75X, respectively, compared to 70% and 1.45X at last review. The second largest loan is JP Center Loan ($8.5 million -- 8.7% of the pool), which is secured by a 68,400 SF grocery anchored retail center located in Jamaica Plains, Massachusetts. Performance has been stable. The property was 100% leased as of December 2010. Moody's LTV and stressed DSCR are 75% and 1.45X, respectively, compared to 78% and 1.38X at last review. The third largest loan is Dorchester Manor Loan ($4.0 million -- 4.2% of the pool), which is secured by a 200-unit multifamily complex located in New Milford, New Jersey. The property was 83% leased as of December 2009. Moody's LTV and stressed DSCR are 32% and 3.19X, respectively, compared to 33% and 3.08X at last review. COMPAGNIA FINANZIARIA: Fitch Corrects Press Release on Ratings -------------------------------------------------------------- Fitch Ratings has corrected a release it published earlier, which incorrectly stated the class C notes' previous rating. The corrected version says: Fitch Ratings has affirmed Compagnia Finanziaria 1 S.r.l. Series 2007-1's class A notes and downgraded the class B and C notes: -- EUR216.26m class A floating-rate notes: affirmed at 'AAAsf'; Outlook revised to Negative from Stable; assigned Loss Severity Rating (LS) of 'LS-1'; -- EUR95.05m class B floating-rate notes: downgraded to 'A-sf' from 'Asf'; Outlook Negative; assigned 'LS-3'; -- EUR47.54m class C floating-rate notes: downgraded to 'BB+sf' from 'BBB+sf'; Outlook Negative; assigned 'LS-3'; The rating actions reflect Fitch's expectations about the future performance of the transaction and the credit enhancement available to the rated notes. As of January 2011, the Fitch cumulative default ratio stood at 5.95% against a base case of 3.50%, and the Fitch cumulative loss ratio was 5.30% compared to a base case of 2.87%. As a consequence, the principal deficiency ledger balance reached EUR18.4m at the end of January 2011. However, as of January 2011, the CE for the notes has increased to 50.7%, 28.8% and 18.0% for the class A, B and C notes respectively, due to the progressive amortization of the notes, which started in January 2010. Fitch compared the available CE with its pool performance base-case expectations, which includes net losses in excess of 9% of the residual pool. On the interest payment date ending in January 2010 there was a shortfall of EUR10.29m in the transaction cash reserve, mainly due to the significant level of defaulted receivables experienced in that quarterly collection period (EUR18.07m). Since this IPD, the cash reserve has been zero because of the increasing amounts of defaults in the portfolio. Fitch is continuing to monitor the situation regarding the transaction's servicers, Carifin Italia S.p.A. and Plusvalore S.p.A., which are part of Gruppo Delta S.p.A., which was placed under special administration by the Bank of Italy in May 2009. The Bank of Italy and the other Italian and foreign banks currently providing Delta with credit lines are discussing a restructuring plan for the group. On February 18, 2011, Delta placed Carifin and Plusvalore in voluntary winding-up due to its ongoing debt restructuring. However, the servicers are still operating their business as normal. The agency takes some comfort from the fact that a back-up servicer, Unicredit Credit Management Bank SpA. (UGC, rated 'RSS1-'/'CSS1-'), was appointed at closing. UGC has already carried out monitoring and analysis activities to be ready to step in if the servicers are replaced. In addition, UGC has cooperated with the Bank of Italy in constructing the restructuring plan, further disclosure of which is expected by the end of March. Fitch will closely monitor the development of the events involving Delta and its subsidiaries to better evaluate their potential implications (if any) on the deal. Compagnia Finanziaria 2007-1 is the second securitization of consumer and personal loans receivables originated in Italy by Carifin and Plusvalore, following Compagnia Finanzaria 1 S.r.l. which was paid in full on December 9, 2009. CONSECO FINANCE: Moody's Downgrades Ratings on 11 Tranches ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 11 tranches from three Subprime deals issued by Conseco Finance Home Equity Loan Trust. The collateral backing these deals primarily consists of first-lien, fixed-rate Subprime residential mortgages. Ratings rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 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: Conseco Finance Home Equity Loan Trust 2001-C -- Cl. M-2, Downgraded to Ba1 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to B3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: Conseco Finance Home Equity Loan Trust 2001-D -- Cl. M-1, Downgraded to A2 (sf); previously on Nov 20, 2001 Assigned Aa3 (sf) -- Cl. M-2, Downgraded to Caa1 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Conseco Finance Home Equity Loan Trust 2002-A -- Cl. M-1, Downgraded to A2 (sf); previously on Mar 5, 2002 Assigned Aa2 (sf) -- Cl. M-2, Downgraded to B1 (sf); previously on Mar 5, 2002 Assigned A2 (sf) -- Cl. B-1, Downgraded to Ca (sf); previously on Mar 5, 2002 Assigned Baa2 (sf) -- Cl. B-2, Downgraded to C (sf); previously on Jul 26, 2004 Assigned Ba1 (sf) COUNTYWIDE HOME: Moody's Downgrades Ratings on 159 Tranches ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 159 tranches and confirmed the ratings on five tranches from 20 Alt-A deals issued by Countywide Home Loans Inc. The collateral backing these deals primarily consists of first-lien, adjustable rate Alt- A residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Alt-A pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued from prior to 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans 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. 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%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. 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 in performance. 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 2004 vintage, the adjusted rate of new delinquency would be 10.10%. in addition, 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 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 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 2004-10CB -- Cl. A, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Apr 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-13CB -- Cl. A-1, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to B2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-15 -- Cl. 1-A-1, Downgraded to Caa1 (sf); previously on Apr 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa1 (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-16CB -- Cl. 1-A-1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Ba1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-2, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-3, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-4, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-5, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-17CB -- Cl. 1-A-1, Downgraded to Caa1 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa1 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa1 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-M, Downgraded to C (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Apr 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-18CB -- Cl. 1-A-1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-8, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-9, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-2, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-22CB -- Cl. 1-A-1, Downgraded to B2 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to B2 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B2 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-24CB -- Cl. 1-A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-25CB -- Cl. A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-27CB -- Cl. A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-28CB -- Cl. 1-A-1, Downgraded to B2 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to B3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to B2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to B2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-8, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-9, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-30CB -- Cl. 1-A-1, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Confirmed at Aa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to B3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-12, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-13, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-14, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-15, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-16, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-17, Confirmed at Aa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-18, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B1 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to B1 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to C (sf); previously on Apr 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-32CB -- Cl. 1-A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-33 -- Cl. 1-A-1, Confirmed at Baa1 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Confirmed at Baa1 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to Caa1 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-X, Downgraded to Caa1 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-36CB -- Cl. 1-A-1, Downgraded to Caa1 (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa1 (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Caa1 (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Caa1 (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-8CB -- Cl. A, Downgraded to B2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2004-2CB -- Cl. 1-A-1, Confirmed at Aa1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2004-4CB -- Cl. 1-A-1, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Ba3 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to Ba3 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to Ba3 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-4, Downgraded to Ba3 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Ba3 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2004-5CB -- Cl. 1-A-1, Downgraded to Baa3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Baa3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Baa3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Baa3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2004-6CB -- Cl. A, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ca (sf); previously on Apr 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade CREDIT SUISSE: Moody's Affirms Ratings on Five 1997-C2 Certs. ------------------------------------------------------------- Moody's Investors Service affirmed the ratings of five classes of Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 1997-C2: -- Cl. A-X, Affirmed at Aaa (sf); previously on Dec 19, 1997 Assigned Aaa (sf) -- Cl. D, Affirmed at Aaa (sf); previously on Jun 1, 2006 Upgraded to Aaa (sf) -- Cl. E, Affirmed at Aaa (sf); previously on Dec 8, 2006 Upgraded to Aaa (sf) -- Cl. H, Affirmed at Caa2 (sf); previously on May 2, 2005 Downgraded to Caa2 (sf) -- Cl. I, Affirmed at C (sf); previously on May 2, 2005 Downgraded to C (sf) Ratings rationale The affirmations are due to key rating parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 3.0% of the current balance. At last review, Moody's cumulative base expected loss was 7.1%. Moody's stressed scenario loss is 8.2% 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 sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate 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 credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. 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 17 compared to 18 at Moody's prior review. In cases where the Herf falls below 20, Moody's employs also the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. For deals that include a pool of credit tenant loans, Moody's currently uses a Gaussian copula model, incorporated in its public CDO rating model CDOROMv2.8 to generate a portfolio loss distribution to derive credit enhancement levels for CTL component. Under Moody's CTL approach, the rating of a transaction's certificates is primarily based on the senior unsecured debt rating (or the corporate family rating) of the tenant, usually an investment grade rated company, leasing the real estate collateral supporting the bonds. This tenant's credit rating is the key factor in determining the probability of default on the underlying lease. The lease generally is "bondable", which means it is an absolute net lease, yielding fixed rent paid to the trust through a lock-box, sufficient under all circumstances to pay in full all interest and principal of the loan. The leased property should be owned by a bankruptcy-remote, special purpose borrower, which grants a first lien mortgage and assignment of rents to the securitization trust. The dark value of the collateral, which assumes the property is vacant or "dark", is then examined to determine a recovery rate upon a loan's default. Moody's also considers the overall structure and legal integrity of the transaction. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated May 20, 2010. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal performance As of the March 17, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 89% to $162.2 million from $1.465 billion at securitization. The Certificates are collateralized by 47 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 57% of the pool. The pool includes a credit tenant lease (CTL) component, representing 42% of the pool. There are no loans with investment grade credit estimates. Four loans, representing 15% of the pool, have defeased and are collateralized with U.S. Government securities. Seven loans, representing 24% 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. Twenty loans have been liquidated from the pool, resulting in an aggregate $39.4 million realized loss (20% loss severity on average). At Moody's last review the pool had realized an aggregate loss of $38.9 million. Three loans, representing 8% of the pool, are currently in special servicing. The largest specially serviced loan is the Bannockburn Executive Plaza Loan ($8.6 million --5.3% of the pool), which is secured by a 131,500 square foot (SF) industrial building located in Bannockburn, Illinois. The loan was transferred to special servicing in December 2010 as the result of a requested loan restructure. The loan is currently being restructured to interest-only payments. The loan remains 30 days delinquent. The second largest specially serviced loan is the Autumn Run Apartments Loan ($4.2 million -- 2.6% of the pool), which is secured by a 204 unit multifamily property located in Louisville, Kentucky. The loan was transferred to special servicing in August 2010 as the result of payment default. The loan is currently in foreclosure and a receiver has been assigned. In March 2011, the master servicer recognized an $835,400 appraisal reduction on the loan. The remaining specially serviced loan is secured by an office property and remains current. Moody's has estimated an aggregate $2.4 million loss (19% expected loss on average) for two of the specially serviced loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 100% and 76% of the pool, respectively, excluding the CTL and defeased loans. Excluding specially serviced loans, troubled loans and CTL loans, Moody's weighted average LTV is 74% compared to 80% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.2%. Excluding specially serviced loans, troubled loans and CTL loans, Moody's actual and stressed DSCRs are 1.44X and 1.57X, respectively, compared to 1.16X and 1.50X 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. The top three performing conduit loans represent 24% of the pool balance. The largest loan is the 78 Corporate Center Loan ($18.2 million - 11.2% of the pool), which is secured by a 176,700 SF office building located in Bedminster Township, New Jersey. The property is 100% leased to Verizon Wireless through November 2021. Moody's LTV and stressed DSCR are 66% and 1.73X, respectively, compared to 70% and 1.63X at last review. The second largest loan is the Kendig Square Shopping Center Loan ($12.5 million -- 7.7% of the pool), which is secured by a 260,200 SF anchored retail center located in West Lampeter Township (Lancaster County), Pennsylvania. The two largest tenants are K- Mart (33% of the net rentable area; lease expiration September 2016) and Weis Market (23% od the NRA; lease expiration August 2016). The property was 97% leased as of December 2010 compared to 99% at last review. Moody's LTV and stressed DSCR are 71% and 1.48X, respectively, compared to 76% and 1.43X at last review. The third largest loan is the 1515 Industrial Way Loan ($7.7 million -- 4.7% of the pool), which is secured by a 225,000 SF industrial building located in Belmont, California. The property is 100% leased to Novartis until July 2012. The loan is currently on the watchlist. The loan has passed its December 11, 2007 anticipated repayment date (ARD). A lockbox has been put in place and excess cash flow is applied to paydown principal. Moody's LTV and stressed DSCR are 51% and 2.14X, respectively, compared to 47% and 2.29X at last review. The CTL component includes thirty four-loans ($67.7 million -- 42% of the pool) secured by properties leased to seven tenants under bondable leases. The largest exposures are CVS/Caremark Corp (33% of the CTL component; Moody's senior unsecured rating Baa2 -- stable outlook) and Sears (28% of the CTL component; Moody's LT Corporate rating Ba2 -- positive outlook). The bottom-dollar weighted average rating factor for this pool is 2,220 compared to 1,766 at last review. WARF is a measure of the overall quality of a pool of diverse credits. The bottom-dollar WARF is a measure of the default probability within the pool. CREDIT SUISSE: Moody's Downgrades Ratings on Four 2001-CK3 Notes ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings of four classes and affirmed seven classes of Credit Suisse First Boston Commercial Mortgage Securities Corp., Commercial Mortgage Pass- Through Certificates, Series 2001-CK3: -- Cl. A-4, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-X, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. C, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. D, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. E, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. F, Affirmed at Aa3 (sf); previously on Apr 15, 2010 Downgraded to Aa3 (sf) -- Cl. G-1, Downgraded to Ba1 (sf); previously on Apr 15, 2010 Downgraded to Baa2 (sf) -- Cl. G-2, Downgraded to Ba1 (sf); previously on Apr 15, 2010 Downgraded to Baa2 (sf) -- Cl. H, Downgraded to Caa1 (sf); previously on Apr 15, 2010 Downgraded to B2 (sf) -- Cl. J, Downgraded to C (sf); previously on Apr 15, 2010 Downgraded to Caa2 (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 and interest shortfalls. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 10.5% of the current balance. At last review, Moody's cumulative base expected loss was 4.9%. Moody's stressed scenario loss is 11.7% of the current balance. The current cumulative base expected loss is higher than the prior review because losses are forecast for 38% of the current pool balance compared to 16% of the pool balance at last review. 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 sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodology used in this rating was "CMBS: Moody's Approach to Rating Fusion Transactions" published in July 2000, which is available on Moody's website at www.moodys.com. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, 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 credit estimates 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 credit estimates in the same transaction. 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 21 compared to 31 at last review. 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 April 15, 2010. Moody's Investors Service received and took into account one or more third party due diligence report(s) on the underlying assets or financial instruments in this transaction and the due diligence report(s) had a neutral impact on the ratings. Deal performance As of the March 17, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 78% to $246.7 million from $1.1 billion at securitization. The Certificates are collateralized by 51 mortgage loans ranging in size from less than 1% to 17% of the pool, with the top ten loans representing 39% of the pool. Nine loans, representing 19% of the pool, have defeased and are collateralized by U.S. Government securities. The pool includes one loan, representing 17% of the pool, with an investment grade credit estimate. The pool faces significant refinancing risk as 33 loans, representing 75% of the pool, have matured or will mature within the next six months. Thirty loans, representing 69% 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. Twenty-three loans have been liquidated from the pool since securitization, resulting in a $57.1 million loss (average 45% loss severity). The pool had experienced an aggregate $35.8 million loss at last review. Five loans, representing 5% of the pool, are currently in special servicing. The largest specially serviced loan is the 400 Captain Neville Drive Loan ($5.5 million -- 2.2% of the pool), which is secured by a 208,000 square foot (SF) industrial property located in Waterbury, Connecticut. This loan was transferred to special servicing March 2010 due to monetary default. A $2.9 million appraisal reduction was realized September 2010. The special servicer is evaluating various disposition options including foreclosure or note sale. The remaining four specially serviced loans are secured by a mix of property types. The master servicer has recognized a $1.2 million appraisal reduction for one of the specially serviced loans. Moody's has estimated an aggregate $5.3 million loss (44% expected loss on average) for all of the specially serviced loans. As of the most recent remittance statement date, the transaction has experienced unpaid accumulated interest shortfalls totaling $1.0 million affecting Classes J through O. Interest shortfalls are caused by special servicing fees, appraisal reductions, extraordinary trust expenses and interest payment reductions due to loan modifications. Moody's has assumed a high default probability for nine poorly performing loans representing 33% of the pool and has estimated a $19.5 million loss (24% expected loss based on a 51% probability default) from these troubled loans. Moody's was provided with full year 2009 operating results for 95% of the pool and partial year 2010 results for 91% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 72%, essentially the same as Moody's prior full review. Moody's net cash flow reflects a weighted average haircut of 10.3% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.5%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.31X and 1.59X, respectively, compared to 1.42X and 1.54X 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. The loan with a credit estimate is the Atrium Mall Loan ($42.7 million -- 17.3% of the pool), which is secured by a 214,800 SF unanchored enclosed shopping center located approximately nine miles west of Downtown Boston in Chestnut Hill, Massachusetts. Financial performance has declined since last review in concert with declining occupancy. The mall is presently 64% leased compared to 85% at last review with Borders, William Sonoma and Abercrombie and Fitch each recently leaving the property. The borrower, Simon Property Group, has announced a remerchandising program beginning in 2011 to improve occupancy and tenant sales. The loan remains current after having passed the recent March 15, 2011 anticipated repayment date. Simon has requested that the master servicer consider a modification of the loan's ARD payment terms. The loan has amortized 2% since last review. Moody's current credit estimate and stressed DSCR are Baa3 and 1.24X, respectively, compared to A1 and 1.55X at last review. The top three performing conduit loans represent 20% of the pool balance. The largest loan is the 4434 -- 4444 El Camino Real Loan ($26.0 million -- 11% of the pool) which is secured by 96,600 SF office building located approximately 10 miles northwest of San Jose in Los Altos, California. The property was built in 2000 and up until December 31, 2010 was 100% leased to Rambus, Inc. The property is now vacant and the loan matures in April 2011. Moody's analysis reflects a high probability of default given current market conditions and looming maturity. The loan remains current and has benefited from 2% amortization since last full review. Moody's LTV and stressed DSCR are 269% and 0.40X, respectively compared to 197% and 0.52X at last full review. The second largest loan is the Crossroads Loan ($13.8 million -- 5.6% of the pool) which is secured by an 83-unit multifamily building located on the Lower East Side of New York City. The property was 98% leased as of September 2010 versus 95% at last review. The loan matures in May 2011 and according to the master servicer, the borrower is actively pursuing refinancing options. Moody's LTV and stressed DSCR are 104% and 0.91X, respectively, compared to 106% and 0.9X at last full review. The third largest loan is the Pirates Landing Apartments Loan ($9.7 million -- 3.9% of the pool), which is secured by a 234-unit apartment complex located in Seabrook, Texas. The property was 88% leased as of December 2010, the same as last review. Financial performance has declined due to market concessions. The loan matures in April 2011 and the borrower is actively pursuing refinancing. Moody's LTV and stressed DSCR are 108% and 0.95X, respectively, compared to 99% and 1.04X at last review. CREDIT SUISSE: Moody's Reviews Ratings on 18 2007-C2 Certs. ----------------------------------------------------------- Moody's Investors Service placed 18 classes of Credit Suisse Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2007-C2 on review for possible downgrade: -- Cl. A-M, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-MFL, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Mar 9, 2011 Confirmed at 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, B3 (sf) Placed Under Review for Possible Downgrade; previously on Feb 6, 2009 Downgraded to B3 (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. O, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb 6, 2009 Downgraded to Caa3 (sf) -- Cl. P, Ca (sf) Placed Under Review for Possible Downgrade; previously on Feb 6, 2009 Downgraded to Ca (sf) -- Cl. Q, Ca (sf) Placed Under Review for Possible Downgrade; previously on Feb 6, 2009 Downgraded to Ca (sf) The classes were placed on review due to higher expected losses for the pool resulting from actual 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 6, 2009. Deal And Performance Summary As of the March 17, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 2% to $3.2 billion from $3.3 billion at securitization. The Certificates are collateralized by 205 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans representing 38% of the pool. Fifty-five loans, representing 22% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twelve loans have been liquidated from the pool since securitization, resulting in an aggregate realized loss of $24.2 million (37% loss severity). Twenty three loans, representing 27% of the pool, are currently in special servicing. The largest loan, representing 15% of the pool, is a portfolio of 32 multifamily properties located in five states. The loan sponsor is Alliance PJRT, which is affiliated with Alliance Holdings (Alliance) and PJ Finance Co (PJ Finance). The loan was transferred to special servicing on March 10, 2010 due to the bankruptcy filing of PJ Finance, which holds a 90% interest in the borrowing entity. Alliance did not participate in the bankruptcy filing. The other specially serviced loans are comprised of mostly multifamily properties, as well as several office and retail properties. The master servicer has recognized appraisal reductions totaling $63.8 million for 11 of the specially serviced loans. Moody's review will focus on potential losses from specially serviced and troubled loans and the performance of the overall pool. CREST 2003-1: Moody's Affirms Ratings on Four Classes of Notes -------------------------------------------------------------- Moody's has affirmed four and downgraded two classes of Notes issued by Crest 2003-1, Ltd., due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor, and increase in Defaulted Securities. The affirmations are due to paydowns to the senior notes from amortization of the underlying collateral as well as re-direction of interest proceeds due to the failure of the senior overcollateralization test. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. -- Cl. A-1, Affirmed at Aaa (sf); previously on Jan 11, 2009 Confirmed at Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on Jan 11, 2009 Confirmed at Aaa (sf) -- Cl. B-1, Affirmed at Aa2 (sf); previously on Jan 23, 2009 Downgraded to Aa2 (sf) -- Cl. B-2, Affirmed at Aa2 (sf); previously on Jan 23, 2009 Downgraded to Aa2 (sf) -- Cl. C-1, Downgraded to Ba3 (sf); previously on Jun 4, 2010 Downgraded to Baa3 (sf) -- Cl. C-2, Downgraded to Ba3 (sf); previously on Jun 4, 2010 Downgraded to Baa3 (sf) Ratings rationale Crest 2003-1 is a static CRE CDO transaction backed by a portfolio commercial mortgage backed securities (72.9% of the current pool balance) and real estate investment trust debt (27.1%). As of the February 28, 2011 Trustee report, the aggregate Note balance of the transaction has decreased to $494.7 million from $600.0 million at issuance, with the paydown directed to the Class A1 and Class A2 Notes, from regular amortization of the underlying collateral pool. There are twenty-five assets with a par balance of $134.1 million (32.9% of the current pool balance) that are considered Defaulted Securities as of the February 28, 2011 Trustee report. There have been realized losses of $99.3 million to date on the underlying collateral, and Moody's does expect significant losses to occur on the Defaulted Securties 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. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 5,102 compared to 3,982 at last review. The distribution of current ratings and credit estimates is: Aaa- Aa3 (0.8% compared to 0.5% at last review), A1-A3 (5.9% compared to 3.2% at last review), Baa1-Baa3 (28.3% compared to 27.3% at last review), Ba1-Ba3 (9.3% compared to 11.7% at last review), B1- B3 (6.2% compared to 18.2% at last review), and Caa1-C (49.5% compared to 39.1% at last review). WAL acts to adjust the probability of default of the collateral in the pool for time. Moody's modeled to a WAL of 2.8 years compared to 3.4 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 17.2% compared to 13.9% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 4.2% compared to 11.0% at last review. The low MAC is due to higher default probability collateral concentrated within a small number of collateral names. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, 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 17.2% to 7.2% or up to 27.2% would result in average rating movement on the rated tranches of 0 to 2 notches downward and 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 sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 six months. CSAM FUNDING: Moody's Upgrades Ratings on Various Classes of Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has upgraded the ratings of these notes issued by CSAM Funding IV: -- US$319,000,000 Class A-1 Floating Rate Notes Due 2016 (current outstanding balance of $ $265,385,573.97), Upgraded to Aaa (sf); previously on July 23, 2009 Downgraded to Aa3 (sf); -- US$100,000 Class A-1V Floating Rate Notes Due 2016 (current outstanding balance of $83,192.97); Upgraded to Aaa (sf); previously on July 23, 2009 Downgraded to Aa3 (sf); -- US$129,900,000 Class A-1NV Floating Rate Notes Due 2016 (current outstanding balance of $108,067,667.89); Upgraded to Aaa (sf); previously on July 23, 2009 Downgraded to Aa3 (sf); -- US$32,500,000 Class A-2 Floating Rate Notes Due 2016; Upgraded to Aa3 (sf); previously on July 23, 2009 Downgraded to A3 (sf); -- US$19,000,000 Class B-1 Deferrable Floating Rate Notes Due 2016; Upgraded to Baa3 (sf); previously on July 23, 2009 Downgraded to Ba2 (sf); -- US$14,000,000 Class B-2 Deferrable Fixed Rate Notes Due 2016; Upgraded to Baa3 (sf); previously on July 23, 2009 Downgraded to Ba2 (sf); -- US$16,500,000 Class C-1 Floating Rate Notes Due 2016; Upgraded to Ba3 (sf); previously on November 23, 2010 Caa1 (sf) Placed Under Review for Possible Upgrade; -- US$7,500,000 Class C-2 Fixed Rate Notes Due 2016; Upgraded to Ba3 (sf); previously on November 23, 2010 Caa1 (sf) Placed Under Review for Possible Upgrade; -- US$6,750,000 Class D-1 Floating Rate Notes Due 2016; Upgraded to Caa3 (sf); previously on November 23, 2010 Ca (sf) Placed Under Review for Possible Upgrade; -- US$4,250,000 Class D-2 Fixed Rate Notes Due 2016; Upgraded to Caa3 (sf); previously on November 23, 2010 Ca (sf) Placed Under Review for Possible Upgrade. Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from the delevering of the Class A Notes, which have been paid down by approximately 16% or $70.1 million since the rating action in July 2009. As a result of the delevering, the overcollateralization ratios have increased since the rating action. As of the latest trustee report dated February 18, 2011, the Class A, Class B, Class C and Class D overcollateralization ratios are reported at 126.76%, 117.23%, 111.15% and 108.57%, respectively, versus July 2009 levels of 115.44%, 107.96%, 103.10% and 100.90%, respectively and are all currently in compliance. In addition, the Class D Notes are no longer deferring interest and the deferred interest has been repaid. Moody's also notes that the deal has benefited from improvement in the credit quality of the underlying portfolio since the rating action in July 2009. Based on the February 2011 trustee report, the weighted average rating factor is 2617 compared to 2806 in July 2009, and securities rated Caa1 and below make up approximately 7.7% of the underlying portfolio versus 11.4% in July 2009. The deal also experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to about $19 million from approximately $44 million in July 2009. Moody's notes that this deals is exposed to a 11.9% of collateral maturing after the Stated Maturity of the notes and credit estimates make up approximately 9.4% of the underlying portfolio. 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 balance of $513.5 million, defaulted par of $20.3 million, a weighted average default probability of 23.54% (implying a WARF of 3542), a weighted average recovery rate upon default of 42.19%, and a diversity score of 70. 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. CSAM Funding IV, issued in June 2004, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six 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, due to the low diversity of the collateral pool, CDOROM 2.6 was used to simulate a default distribution that was then applied as an input in the cash flow model. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. This is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2834) -- Class A-1: 0 -- Class A-1V: 0 -- Class A-1NV: 0 -- Class A-2: +2 -- Class B-1: +2 -- Class B-2: +2 -- Class C-1: +2 -- Class C-2: +2 -- Class D-1: +2 -- Class D-2: +2 Moody's Adjusted WARF + 20% (4250) -- Class A-1: -1 -- Class A-1V: -1 -- Class A-1NV: -1 -- Class A-2: -2 -- Class B-1: -2 -- Class B-2: -2 -- Class C-1: -2 -- Class C-2: -2 -- Class D-1: -2 -- Class D-2: -2 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 manager's investment strategy 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: 1. Delevering: The main source of uncertainty in this transaction is whether delevering from unscheduled principal proceeds will continue and at what pace. Delevering may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2. Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3. Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes an asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. 4. Exposure to credit estimates: The deal is exposed to a large number of securities whose default probabilities are assessed through credit estimates. In the event that Moody's is not provided the necessary information to update the credit estimates in a timely fashion, the transaction may be impacted by any default probability stresses Moody's may assume in lieu of updated credit estimates. CTX CDO: Moody's Affirms Ratings on All Classes of Notes -------------------------------------------------------- Moody's has affirmed all classes of Notes issued by CTX CDO I, Ltd. The key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life, weighted average recovery rate, and Moody's asset correlation are all performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. Moody's prior full review is summarized in a press release dated February 10, 2010. Moody's rating action is: -- Cl. A, Affirmed at Ca (sf); previously on Feb 10, 2010 Downgraded to Ca (sf) -- Cl. B, Affirmed at C (sf); previously on Feb 10, 2010 Downgraded to C (sf) -- Cl. C, Affirmed at C (sf); previously on Feb 10, 2010 Downgraded to C (sf) -- Cl. D, Affirmed at C (sf); previously on Feb 10, 2010 Downgraded to C (sf) -- Cl. E, Affirmed at C (sf); previously on Feb 10, 2010 Downgraded to C (sf) -- Cl. F, Affirmed at C (sf); previously on Feb 10, 2010 Downgraded to C (sf) -- Cl. G, Affirmed at C (sf); previously on Feb 10, 2010 Downgraded to C (sf) -- Cl. H, Affirmed at C (sf); previously on Feb 10, 2010 Downgraded to C (sf) -- Cl. J, Affirmed at C (sf); previously on Nov 13, 2009 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on Nov 13, 2009 Downgraded to C (sf) Ratings rationale CTX CDO I, Ltd., is a revolving hybrid synthetic CRE CDO transaction backed by a reference portfolio of cash collateral (10.0 % of the pool) and synthetic credit default swaps (90.0% of the pool) referencing commercial mortgage backed securities, commercial real estate CDOs, and real estate investment trust debt. However, due to an Event of Default caused by a failure in the Default Par Value Coverage Ratio test as reported by the Trustee report dated February 26 2010, the Trustee ceased the reinvestment feature of transaction. As of February 28, 2011, the aggregate Notes balance of the transaction is $165.5 million, the same as at issuance. 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 8,270 compared to 5,053 at last review. The distribution of current ratings and credit estimates is: Baa1-Baa3 (3.0% compared to 15.2% at last review), Ba1-Ba3 (2.0% compared to 7.0% at last review), B1-B3 (4.0% compared to 34.8% at last review), and Caa1-C (91.0% compared to 43.0% 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 5.5 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 1.6% compared to 6.0% 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 99.9% compared to 23.0% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. 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 sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. CWCAPITAL COBALT: Moody's Affirms Ratings on All Classes of Notes ----------------------------------------------------------------- Moody's has affirmed all classes of Notes issued by CWCapital COBALT III Synthetic CDO, Ltd. as the deal is performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. -- Cl. A, Affirmed at Ca (sf); previously on Feb 10, 2010 Downgraded to Ca (sf) -- Cl. B, Affirmed at C (sf); previously on Feb 10, 2010 Downgraded to C (sf) -- Cl. C, Affirmed at C (sf); previously on Nov 12, 2009 Downgraded to C (sf) -- Cl. D, Affirmed at C (sf); previously on Nov 12, 2009 Downgraded to C (sf) -- Cl. E, Affirmed at C (sf); previously on Nov 12, 2009 Downgraded to C (sf) -- Cl. F, Affirmed at C (sf); previously on Nov 12, 2009 Downgraded to C (sf) -- Cl. G, Affirmed at C (sf); previously on Nov 12, 2009 Downgraded to C (sf) Ratings rationale CWCapital COBALT III Synthetic CDO, Ltd., is a hybrid CRE CDO transaction (15% cash collateral and 85% credit default swaps) backed by a portfolio commercial mortgage backed securities (90% of the current pool balance) and CRE CDOs (10%). As of the February 24, 2011 Trustee report, the aggregate Note balance of the transaction is $175 million, the same as that at issuance. There are twelve assets with par balance of $77.7 million (16.3% of the current pool balance) that are considered Defaulted Securities as of the February 24, 2011 Trustee report. While there have been limited 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. 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 and 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 9,033 compared to 4,509 at last review. The distribution of current ratings and credit estimates is: Baa1-Baa3 (0.0% compared to 14.1% at last review), Ba1-Ba3 (2.1% compared to 14.1% at last review), B1-B3 (0.0% compared to 30.5% at last review), and Caa1-C (97.9% compared to 41.3% at last review). WAL acts to adjust the probability of default of the collateral and reference obligations in the pool for time. Moody's modeled to a WAL of 5.6 years compared to 6.0 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 0.2% compared to 5.7% 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 0% compared to 25% at last review. The low MAC is due to higher default probability collateral concentrated within a small number of collateral names. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. 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. However, in light of the performance indicators noted above, Moody's believes that it is unlikely that the ratings announced are sensitive to further change. 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 sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. DLJ COMMERCIAL: Moody's Affirms 'B1' Ratings on 1996-CF1 Certs. --------------------------------------------------------------- Moody's Investors Service affirmed the rating of one class of DLJ Commercial Mortgage Corp., Commercial Mortgage Pass-Through Certificates, Series 1996-CF1: -- B-4, Affirmed at B1 (sf); previously on May 20, 2010 Upgraded to B1 (sf) Ratings Rationale The affirmation is due to key rating parameters, including Moody's LTV 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 class is sufficient to maintain its current rating. Moody's rating action reflects a cumulative base expected loss of 3.3% of the current balance. At last review, Moody's cumulative base expected loss was 2.0%. Moody's stressed scenario loss is 14.1% of the current balance. 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 sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate 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 credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. 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 1 compared to 2 at Moody's prior review. In cases where the Herf falls below 20, Moody's employs also the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated May 20, 2010. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal performance As of the March 14, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $13.8 million from $470 million at securitization. The Certificates are collateralized by two mortgage loans representing 3% and 97% of the pool. One loan, representing 3% of the pool is 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. Moody's has not assumed a probability of default for the watchlisted loan at this time. Seven loans have been liquidated from the pool, resulting in an aggregate $17.1 million realized loss (52% loss severity on average), the same as at last review. Currently there are no loans in special servicing. Moody's was provided with full year 2009 and partial year 2010 operating results for 100% of the pool. Moody's weighted average LTV is 29% compared to 47% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 20% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.5%. Moody's actual and stressed DSCRs are 1.40X and 4.29X, respectively, compared to 1.34X and 2.42X 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. The largest loan in the pool is the Maccabees Office Center Loan ($13.4 million -- 97.2% of the pool), which is secured by a 335,000 square foot office building located in Southfield, Michigan. The property was 96% leased as of December 2010, the same as at last review. The two largest tenants are Royal Maccabees Life Insurance (45% of the net rentable area; lease expiration December 2013) and W. B Doner (31% of the NRA; lease expiration May 2013). Property performance has been stable. However, Moody's is concerned about potential future income volatility as leases for approximately 75% of the NRA expire before the January 12, 2017 loan maturity. Moody's LTV and stressed DSCR are 30% and 3.79X, respectively, compared to 29% and 3.94X at last review. The second loan is the Jackson Creek Shopping Center Loan ($393,159 million -- 2.8%), which is secured by a 171,028 SF anchored community shopping center located in Bloomington, Indiana. The loan has a maturity date of January 12, 2012. Moody's LTV and stressed DSCR are 5% and >4.00, respectively, compared to 10.4% and >4.00 at last review. DOWNTOWN PHOENIX: S&P Downgrades Rating on Revenue Bonds to 'BB+' ----------------------------------------------------------------- Standard & Poor's Ratings Services said it lowered its rating on the Downtown Phoenix Hotel Corp.'s hotel net revenue bonds series 2005A to 'BB+' from 'BBB-' and revised the outlook to stable. The project used the debt to build a 1,000-room convention center headquarters hotel in downtown Phoenix. The hotel opened in late September 2008 and is operating under a Sheraton Corp. flag. The project completed construction on time and within budget and closed out the construction contracts in 2010. The rating action reflects a slower than expected ramp-up over the past two years caused by the recession's impact on downtown Phoenix's hospitality sector, especially as debt service obligations increase by 19% in 2012, when principal repayment begins. In addition, the revenues from contracted group business, which typically account for about 70% of total room revenue, proved lower than the Sheraton had anticipated in the 2005 original forecast estimates. The senior lien on the hotel's net cash flow secures the senior 2005A series bonds. In addition, S&P rates the subordinate bonds series 2005B series 'A-(SPUR)' with a stable outlook based on the security from a second lien on a portion of city excise taxes from the citywide hotel and car rental taxes. Also securing the subordinate 2005B series debt is the second lien on the project net cash flow and lease payments due under the room block agreement. The excise taxes fund the lease payments, which are required to be equal to these year's subordinate debt service, if needed. A default on the 2005B series bonds would not enable acceleration of the 2005A series bonds. S&P assigned a recovery rating of '4' to series 2005A. The '4' suggests that, following S&P's simulated default scenario, lenders would likely see an average recovery of between 30% and 50%. In S&P's simulated default scenario, S&P assumed that the hotel revenue per available room declines to about $73 in 2024 from about $83 in 2010. The project defaults in 2024 as the cash flow declines, the gross operating margin drops to 24% and the reserves are depleted. The stable outlook reflects S&P's expectation that the Phoenix market will continue to rebound, potentially gaining some ADR growth over the next three years based on the expected increase in the number of convention center events. S&P could revise the outlook to positive if the market's performance improves, the gross operating margin increases through a combination of ADR growth without significant operating expense growth, contributing to DSCR, based on hotel net revenues, of higher than 1.85x for a period of one to two years. S&P may lower the rating if the DSCR goes lower than 1.35x as a result of a prolonged economic slowdown or other competitive factors that reduce net hotel revenues for more than two years. FARIBANKS AND UNITED: Moody's Corrects Press Release on Ratings --------------------------------------------------------------- Moody's Investors Service says that the March 23 press release for the 12 tranches three Subprime deals issued by Faribanks and United Companies provided an incorrect link to the list of CUSIP identifiers. According to Moody's this has been corrected, and the appropriate link is included in this revised release: Moody's Investors Service has downgraded the ratings of 12 tranches three Subprime deals issued by Faribanks and United Companies. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans 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. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005). The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. 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 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Certain securities, as noted below, are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Financial Guaranty Insurance Company are rated at their underlying rating without consideration of Financial Guaranty Insurance Company guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 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: Fairbanks Capital Mortgage Loan Trust 1999-1 -- A, Downgraded to Aa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1, Downgraded to A2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-2, Downgraded to Baa2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- B, Downgraded to B1 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: UCFC Home Equity Loan Asset-Backed Certificates, Series 1998-C -- A-6, Downgraded to Caa3 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa3 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- A-7, Downgraded to Caa2 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa2 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: UCFC Home Equity Loan Trust 1998-D -- MF-1, Downgraded to A1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- MF-2, Downgraded to Ca (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- BF-1, Downgraded to C (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- MV-1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- MV-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- BV-1, Downgraded to C (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade FORTRESS CREDIT: Moody's Ups Rating on $13MM Class B Notes to Ba1 ----------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Fortress Credit Funding II LP: -- US$14,000,000 Class A-2 Floating Rate Senior Delayed Draw Term Notes Due 2017, Upgraded to Aaa(sf); previously on June 23, 2009 Downgraded to Aa3 (sf); -- US$15,800,000 Class A-3 Floating Rate Senior Term Notes Due 2017, Upgraded to Aa3 (sf); previously on June 23, 2009 Downgraded to Baa1 (sf); -- US$13,000,000 Class B Floating Rate Senior Subordinated Deferrable Interest Term Notes Due 2017, Upgraded to Baa1 (sf); previously onJune 23, 2009 Downgraded to Ba1 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from the delevering of the Class A-1 Notes, which have been paid down by approximately 25.3% or $31.9 million since the rating action in June 2009. This transaction's Reinvestment Period ended in August 2010. As of the latest trustee report dated February 15, 2010, the Class A and Class B overcollateralization ratios are reported at 142.0% and 128.8%, respectively. Moody's also notes that the deal has benefited from improvement in the credit quality of the underlying portfolio since the rating action in June 2009. Based on the February 2011 trustee report, the weighted average rating factor is 2740 compared to 3436 in May 2009, and securities rated Caa1/CCC and below total about $23.8 million of the underlying portfolio versus $38.6 million in May 2009. Based on the same trustee report, the weighted average recovery rate is 47.7% compared to 45.3% in May 2009. The deal also experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to about $3.0 million from approximately $7.3 million in May 2009. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $177 million, defaulted par of $3.0 million, a weighted average default probability of 28.2% (implying a WARF of 4234), a weighted average recovery rate upon default of 41.9%, and a diversity score of 30. 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. Fortress Credit Funding II LP, issued on September 1, 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans of middle market issuers. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six 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. For securities whose default probabilities are assessed through credit estimates, Moody's applied additional default probability stresses by assuming an equivalent of Caa3 for CEs that were not updated within the last 15 months, which currently account for approximately 8.4% of the collateral balance. In addition, Moody's applied a 1.5 notch-equivalent assumed downgrade for CEs last updated between 12-15 months ago, and a 0.5 notch-equivalent assumed downgrade for CEs last updated between 6-12 months ago. For each CE where the related exposure constitutes more than 3% of the collateral pool, Moody's applied a 2-notch equivalent assumed downgrade (but only on the CEs representing in aggregate the largest 30% of the pool) in lieu of the aforementioned stresses. Notwithstanding the foregoing, in all cases the lowest assumed rating equivalent is Caa3. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. This is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (5081) -- Class A-1: 0 -- Class A-2: 0 -- Class A-3: +2 -- Class V: +2 Moody's Adjusted WARF + 20% (3387) -- Class A-1: 0 -- Class A-2: -1 -- Class A-3: -2 -- Class B: -2 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 manager's investment strategy 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: 1) Delevering: The main source of uncertainty in this transaction is whether delevering from unscheduled principal proceeds will continue and at what pace. Delevering may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Exposure to credit estimates: The deal is exposed to a large number of securities whose default probabilities are assessed through credit estimates. In the event that Moody's is not provided the necessary information to update the credit estimates in a timely fashion, the transaction may be impacted by any default probability stresses Moody's may assume in lieu of updated credit estimates. Moody's also conducted stress tests to assess the collateral pool's concentration risk in obligors bearing a credit estimate that constitute more than 3% of the collateral pool. Moody's observed that a significant portion of the underlying collateral pool consists of such assets. FORTRESS CREDIT: Moody's Ups Rating on $52MM Class B Notes to Ba2 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by Fortress Credit Funding I LP: -- US$56,000,000 Class A-2 Floating Rate Senior Delayed Draw Term Notes Due 2017, Upgraded to Aa1 (sf); previously on June 23, 2009 Downgraded to A1 (sf); -- US$63,200,000 Class A-3 Floating Rate Senior Term Notes Due 2017, Upgraded to A1 (sf); previously on June 23, 2009 Downgraded to Baa2 (sf); -- US$52,000,000 Class B Floating Rate Senior Subordinated Deferrable Interest Term Notes Due 2017, Upgraded to Baa3 (sf); previously on June 23, 2009 Downgraded to Ba2 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from the delevering of the Class A-1 Notes, which have been paid down by approximately 21.9% or $110.3 million since the rating action in June 2009. This transaction's Reinvestment Period ended in August 2010. As of the latest trustee report dated February 15, 2010, the Class A and Class B overcollateralization ratios are reported at 138.7% and 126.1%, respectively. Moody's also notes that the deal has benefited from improvement in the credit quality of the underlying portfolio since the rating action in June 2009. Based on the February 2011 trustee report, the weighted average rating factor is 2952 compared to 3659 in May 2009, and securities rated Caa1/CCC and below total about $199.9 million of the underlying portfolio versus $271.7 million in May 2009. Based on the same trustee report, the weighted average recovery rate is 48.1% compared to 46.5% in May 2009. The deal also experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to about $13.6 million from approximately $65.0 million in May 2009. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $698.3 million, defaulted par of $34.6 million, a weighted average default probability of 31.8% (implying a WARF of 4902), a weighted average recovery rate upon default of 42.06%, and a diversity score of 40. 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. Fortress Credit Funding I LP, issued on September 1, 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans of middle market issuers. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six 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. For securities whose default probabilities are assessed through credit estimates ("CEs"), Moody's applied additional default probability stresses by assuming an equivalent of Caa3 for CEs that were not updated within the last 15 months, which currently account for approximately 9.3% of the collateral balance. In addition, Moody's applied a 1.5 notch-equivalent assumed downgrade for CEs last updated between 12-15 months ago, and a 0.5 notch- equivalent assumed downgrade for CEs last updated between 6-12 months ago. For each CE where the related exposure constitutes more than 3% of the collateral pool, Moody's applied a 2-notch equivalent assumed downgrade (but only on the CEs representing in aggregate the largest 30% of the pool) in lieu of the aforementioned stresses. Notwithstanding the foregoing, in all cases the lowest assumed rating equivalent is Caa3. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. This is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (3922) -- Class A-1: 0 -- Class A-2: +1 -- Class A-3: +2 -- Class B: +2 Moody's Adjusted WARF + 20% (5882) -- Class A-1: 0 -- Class A-2: 0 -- Class A-3: -2 -- Class B: -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 manager's investment strategy 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: 1) Delevering: The main source of uncertainty in this transaction is whether delevering from unscheduled principal proceeds will continue and at what pace. Delevering may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Exposure to credit estimates: The deal is exposed to a large number of securities whose default probabilities are assessed through credit estimates. In the event that Moody's is not provided the necessary information to update the credit estimates in a timely fashion, the transaction may be impacted by any default probability stresses Moody's may assume in lieu of updated credit estimates. Moody's also conducted stress tests to assess the collateral pool's concentration risk in obligors bearing a credit estimate that constitute more than 3% of the collateral pool. Moody's observed that a significant portion of the underlying collateral pool consists of such assets. G-FORCE 2005-RR: Fitch Downgrades Ratings on 10 Classes of Notes ---------------------------------------------------------------- Fitch Ratings has downgraded 10 and affirmed three classes issued by G-Force 2005-RR LLC as a result of negative credit migration and increased losses to the underlying portfolio. Since Fitch's last rating action in May 2010, approximately 20.3% of the portfolio has been downgraded. Currently, 57.1% has a Fitch derived rating below investment grade and 27.8% has a rating in the 'CCC' category or lower, compared to 54.5% and 15.5%, respectively, at last review. As of the March 23, 2011 payment date, the portfolio has experienced $36.4 million in principal losses, of which $27.3 million occurred since the last review. Additionally, there have been $49.5 million in paydowns since Fitch's last rating action, resulting in the full repayment of the class A-1 notes. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model for projecting future default levels for the underlying portfolio. The degree of correlated risk is high given the commercial mortgage backed securities (CMBS) and vintage concentrations. The credit enhancement to the class A-2 and B notes are generally consistent with the rating loss rates generated by PCM. For the class C through M notes, Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class C and D notes have been downgraded to 'CCsf', indicating that default is probable. Similarly, the class E through J notes have been downgraded and the class K through M notes affirmed at 'Csf', indicating that default is inevitable. As of the March 23, 2011 payment date, class N has experienced approximately $3.1 million in principal losses. The Negative Outlook on the class A-2 notes reflects Fitch's expectation that underlying CMBS loans will continue to face refinance risk. The Loss Severity rating indicates a tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the base-case loss expectation for the collateral, as explained in 'Criteria for Structured Finance Loss Severity Ratings'. The LS rating should always be considered in conjunction with the probability of default for tranches. Fitch does not assign LS ratings or Outlooks to classes rated 'CCCsf' and below. Additionally, Fitch has withdrawn the rating of the interest-only class X. G-FORCE 2005-RR is backed by 36 tranches from 13 CMBS transactions and is considered a CMBS B-piece resecuritization (also referred to as first loss CRE CDO/ReREMIC) as it includes the most junior bonds of CMBS transactions. The transaction closed Feb. 22, 2005. Fitch has taken these actions as indicated: -- $0 class A-1 marked as 'PIF'; -- $215,741,472 class A-2 notes downgraded to 'Bsf/LS3' from 'BBB-/LS3'; Outlook Negative; -- $40,230,000 class B notes downgraded to 'CCCsf from 'B+sf/LS5'; -- $25,144,000 class C notes downgraded to 'CCsf' from 'Bsf/LS5'; -- $5,029,000 class D notes downgraded to 'CCsf' from 'Bsf/LS5'; -- $16,972,000 class E notes downgraded to 'Csf' from 'CCCsf'; -- $8,172,000 class F notes downgraded to 'Csf' from 'CCCsf'; -- $10,686,000 class G notes downgraded to 'Csf' from 'CCsf'; -- $14,457,000 class H notes downgraded to 'Csf' from 'CCsf'; -- $6,286,000 class J notes downgraded to 'Csf' from 'CCsf'; -- $5,658,000 class K notes affirmed at 'Csf'; -- $7,543,000 class L notes affirmed at 'Csf'; -- $4,400,000 class M notes affirmed at 'Csf'; -- $1,936,469 class N notes downgraded to 'Dsf' from 'Csf'; -- Interest-only class X withdrawn. GE CAPITAL: Moody's Upgrades Ratings on Two Classes of Certs. ------------------------------------------------------------- Moody's Investors Service upgraded the ratings of two and affirmed 13 classes of GE Capital Commercial Mortgage Corporation, Commercial Mortgage Pass-Through Certificates, Series 2002-2: -- Cl. A-2, Affirmed at Aaa (sf); previously on Aug 15, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Aug 15, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on Aug 15, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on Mar 1, 2006 Upgraded to Aaa (sf) -- Cl. C, Affirmed at Aaa (sf); previously on Mar 1, 2006 Upgraded to Aaa (sf) -- Cl. D, Affirmed at Aaa (sf); previously on Apr 12, 2007 Upgraded to Aaa (sf) -- Cl. F, Upgraded to Aaa (sf); previously on Sep 25, 2008 Upgraded to Aa1 (sf) -- Cl. G, Upgraded to Aa3 (sf); previously on Sep 25, 2008 Upgraded to A1 (sf) -- Cl. H, Affirmed at Baa1 (sf); previously on Sep 25, 2008 Upgraded to Baa1 (sf) -- Cl. J, Affirmed at Ba1 (sf); previously on Aug 15, 2002 Definitive Rating Assigned Ba1 (sf) -- Cl. K, Affirmed at Ba2 (sf); previously on Aug 15, 2002 Definitive Rating Assigned Ba2 (sf) -- Cl. L, Affirmed at Ba3 (sf); previously on Aug 15, 2002 Definitive Rating Assigned Ba3 (sf) -- Cl. M, Affirmed at B1 (sf); previously on Aug 15, 2002 Definitive Rating Assigned B1 (sf) -- Cl. N, Affirmed at B2 (sf); previously on Aug 15, 2002 Definitive Rating Assigned B2 (sf) -- Cl. O, Affirmed at Caa1 (sf); previously on Mar 1, 2006 Downgraded to Caa1 (sf) Ratings rationale The upgrades are due to overall improved pool performance and increased credit subordination levels due to loan payoffs and amortization and overall improved pool performance. The pool has amortized 18% since last full review. 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 existing ratings. Moody's rating action reflects a cumulative base expected loss of 1.8% of the current balance. Moody's stressed scenario loss is 5.6% 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 sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, 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 credit estimate 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 credit estimates in the same transaction. 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 30, compared to 49 at Moody's prior full review. 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 April 12, 2007. 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 six months. Deal performance As of the March 11, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 24% to $739.4 million from $971.8 million at securitization. The Certificates are collateralized by 100 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top ten non-defeased loans representing 29% of the pool. Thirty-two loans, representing 36% of the pool, have defeased and are secured by U.S. Government securities. The pool has significant near-term refinance risk, as loans representing 61% of the non- defeased pool matures within the next 24 months. Twenty loans, representing 22% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council 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 $1.5 million loss (11% loss severity on average). Two loans, representing 1% of the pool, are currently in special servicing. Moody's has estimated an aggregate $2.1 million loss (20% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for four poorly performing loans representing 3% of the pool and has estimated a $3.5 million loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 90% and 82%, respectively, of the pool's non-defeased loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 77% compared to 86% at Moody's prior full review. Moody's net cash flow reflects a weighted average haircut of 10% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.6%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.39X and 1.41X, respectively, compared to 1.40X and 1.17X at Moody's prior full review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 14% of the pool balance. The largest loan is the Town Center at the Waterfront Loan ($36.6 million -- 5.0%), which is secured by a 374,000 square foot retail center located approximately five miles southeast of downtown Pittsburgh in Homestead, Pennsylvania. The property was 98% leased as of September 2010, essentially the same as at last review. Property performance has declined due to lower rental revenue and expense reimbursements. The loan is structured with a 360-month amortization schedule and matures in August 2012. Moody's LTV and stressed DSCR are 88% and 1.17X, respectively, compared to 76% and 1.42X at last full review. The second largest loan is the 584 Broadway Office Building Loan ($36.2 million -- 4.9%), which is secured by two adjacent Class B office buildings totaling 226,000 square feet. The buildings are located in the Soho submarket of New York City. The properties were 90% leased as of June 2010, compared to 98% at last review. Property performance has improved since last review and the loan is benefiting from amortization, paying down 6% since last full review. Moody's LTV and stressed DSCR are 62% and 1.61X, respectively, compared to 72% and 1.39X at last full review. The third largest loan is the Town & Country Village -- Sacramento Loan ($30.6 million -- 4.1%), which is secured by a 235,000 square foot grocery-anchored retail center located in Sacramento, California. The center was 81% leased as of November 2010, compared to 91% at last review. The property experienced a large decline in tenants in 2009 and is gradually signing new leases. The loan is currently on the master servicer's watchlist due to low DSCR and matures in July 2012. Moody's LTV and stressed DSCR are 105% and 0.95X, respectively, compared to 89% and 1.12X at last full review. GREENWICH CAPITAL: Moody's Downgrades Ratings on 16 2007-GG9 Notes ------------------------------------------------------------------ Moody's Investors Service downgraded the ratings of 16 classes, confirmed two classes and affirmed six classes of Greenwich Capital Commercial Funding Corp., Commercial Mortgage Trust 2007- GG9, Commercial Mortgage Pass-Through Certificates, Series 2007- GG9: -- Cl. A-2, Affirmed at Aaa (sf); previously on Mar 19, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Mar 19, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-AB, Affirmed at Aaa (sf); previously on Mar 19, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Mar 19, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-1-A, Affirmed at Aaa (sf); previously on Mar 19, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. X, Affirmed at Aaa (sf); previously on Mar 19, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-M, Confirmed at Aaa (sf); previously on Mar 9, 2011 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-MFL, Confirmed at Aaa (sf); previously on Mar 9, 2011 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-J, Downgraded to Baa1 (sf); previously on Mar 9, 2011 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Baa2 (sf); previously on Mar 9, 2011 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Ba1 (sf); previously on Mar 9, 2011 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to Ba2 (sf); previously on Mar 9, 2011 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to Ba3 (sf); previously on Mar 9, 2011 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to B1 (sf); previously on Mar 9, 2011 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Downgraded to B3 (sf); previously on Mar 9, 2011 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. H, Downgraded to Caa1 (sf); previously on Mar 9, 2011 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. J, Downgraded to Ca (sf); previously on Mar 9, 2011 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. K, Downgraded to Ca (sf); previously on Mar 9, 2011 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. L, Downgraded to Ca (sf); previously on Mar 9, 2011 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to Ca (sf); previously on Mar 9, 2011 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. N, Downgraded to Ca (sf); previously on Mar 9, 2011 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. O, Downgraded to C (sf); previously on Mar 9, 2011 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. P, Downgraded to C (sf); previously on Mar 9, 2011 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. Q, Downgraded to C (sf); previously on Mar 9, 2011 Caa3 (sf) Placed Under Review for Possible Downgrade 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 confirmations and 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 their current ratings. On March 9, 2011, Moody's placed 18 classes on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 7.8% of the current balance. At last review, Moody's cumulative base expected loss was 4.9%. Moody's stressed scenario loss is 26.4% 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 sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 credit estimates 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 credit estimates 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 February 10, 2009. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the March 11, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 4% to $6.3 billion from $6.6 billion at securitization. The Certificates are collateralized by 196 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 41% of the pool. The pool contains two loans with investment grade credit estimates that represent 8% of the pool. The pool does not contain any defeased loans. Fifty-seven loans, representing 24% 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, resulting in an aggregate realized loss of $49.1 million (57% loss severity overall). Twenty-seven loans, representing 21% of the pool, are currently in special servicing. The master servicer has recognized an aggregate $167.9 million appraisal reduction for 15 of the specially serviced loans. Moody's has estimated an aggregate $337.6 million loss (33% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 32 poorly performing loans representing 7% of the pool and has estimated a $31.3 million aggregate loss (7.5% expected loss based on a 25% probability default) from these troubled loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 88% and 63% of the pool's loans, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 117% compared to 111% at securitization. Moody's net cash flow reflects a weighted average haircut of 4% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 8.9%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.28X and 0.86X, respectively, compared to 1.38X and 0.95X at securitization. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 31 compared to 38 at Moody's prior review. The largest loan with a credit estimate is the 590 Madison Avenue Loan ($350 million -- 5.5% of the pool), which is secured by a 1.0 million square foot Class A office building located in Midtown Manhattan. The loan is interest only for its entire ten year term. The property was 90% leased as of September 2010 compared to 96% at securitization. Property performance has declined since securitization due to lower occupancy and lower in-place rents. Moody's current credit estimate and stressed DSCR are Aa3 and 1.51X, respectively, compared to Aaa and 1.77X at securitization. The second loan with a credit estimate is the Merchandise Mart Loan ($175 million -- 2.8% of the pool), which represents a pari passu interest in a $350 million loan. The loan is interest only for its entire ten year term. There is additional mezzanine debt of $300 million. The loan is secured by 3.4 million SF mixed-use office and design showroom building located in Chicago, Illinois. The property was 93% leased as of November 2010 compared to 95% at securitization. The property has performed below Moody's original expectations due to lower base rents and trade show revenue. Moody's current credit estimate and stressed DSCR are A1 and 1.57X, respectively, compared to Aa1 and 1.90X at securitization. The top three performing conduit loans represent 18% of the pool balance. The largest loan is the John Hancock Tower & Garage at Clarendon Loan ($640.5 million -- 10.1% of the pool), which is secured by a 1.7 million SF Class A office building and 2,013 space garage located in Boston, Massachusetts. The loan is interest only for its entire ten year term. The property was 80% leased as of October 2010 compared to 99% at securitization. The properties' performance has declined since securitization due to a decrease in occupancy and an increase in property taxes. However, due to an increase in recent leasing activity Moody's expects performance to slowly improve going forward. Bain Capital recently executed for 208,000 SF (13% of the net rentable area)beginning in the fall of 2011. However, Bain Capital does not begin paying rent until January 2014. Moody's analysis reflects a stabilized value for this asset. Moody's LTV and stressed DSCR are 120% and 0.77X, respectively, compared to 108% and 0.90X at securitization. The second largest loan is the 667 Madison Avenue Loan ($250 million -- 3.9% of the pool), which is secured by a 250,000 SF Class A office building located in Midtown Manhattan. The loan is interest only for its entire ten year term. The property was 99% leased as of September 2010, essentially the same at securitization. Property performance has declined since securitization due to higher operating expenses and lower base rents. Moody's LTV and stressed DSCR are 108% and 0.85X, respectively, compared to 91% and 1.07X at securitization. The third largest loan is the TIAA RexCorp Long Island Portfolio ($235.9 million -- 3.7% of the pool), which is secured by five suburban office buildings totaling 1.2 million SF located in Long Island, New York. The loan is interest only for its entire ten year term. The portfolio was 86% leased as of April 2010 compared to 88% at securitization. Performance remains stable. Moody's LTV and stressed DSCR are 110% and 0.89X, respectively, compared to 112% and 0.93X at last review. HOMESTAR MORTGAGE: Moody's Downgrades Ratings on 47 Tranches ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 47 tranches and confirmed the ratings of two tranches from six Alt-A deals issued by Homestar Mortgage Acceptance Corp. in 2004. 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 deteriorating performance of Alt-A pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued from prior to 2005. The principal methodology used in these ratings was "Pre-2005 US RMBS Surveillance Methodology" published in January 2011. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans 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. 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%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. . 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 in performance. 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 2004 vintage, the adjusted rate of new delinquency would be 10.10%. in addition, 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 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Certain securities, as noted below, are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 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: Homestar Mortgage Acceptance Corp. Asset-Backed Pass- Through Certificates, Series 2004-1 -- Cl. A-1, Downgraded to A1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to A3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Homestar Mortgage Acceptance Corp. Asset-Backed Pass- Through Certificates, Series 2004-2 -- Cl. AV-1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AV-2, Downgraded to A1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B1 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Homestar Mortgage Acceptance Corp. Asset-Backed Pass- Through Certificates, Series 2004-3 -- Cl. AV-1, Downgraded to Aa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AV-2C, Downgraded to Aa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AV-3, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B1 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa2 (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Homestar Mortgage Acceptance Corp. Asset-Backed Pass- Through Certificates, Series 2004-4 -- Cl. A-3, Downgraded to Aa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to A3 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Baa2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ba1 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to B1 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Homestar Mortgage Acceptance Corp. Asset-Backed Pass- Through Certificates, Series 2004-5 -- Cl. A-1, Downgraded to Aa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Aa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to A3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Baa3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to B1 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: Homestar Mortgage Acceptance Corp. Asset-Backed Pass- Through Certificates, Series 2004-6 -- Cl. M-1, Confirmed at Aa1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Confirmed at Aa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Baa2 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ba3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Caa2 (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade IMPAC CMB: Moody's Downgrades Ratings on 133 Tranches ----------------------------------------------------- Moody's Investors Service has downgraded the ratings of 133 tranches and confirmed the rating of 10 tranches from 24 Alt-A deals issued by Impac. 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 deteriorating performance of Alt-A pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued from prior 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans 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. 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%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. 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 in performance. 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 2004 vintage, the adjusted rate of new delinquency would be 10.10%. In addition, 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 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Certain tranches in transactions serviced by GMAC Mortgage, LLC's, were placed on review for possible downgrade in 2010 due to two concerns regarding the servicer's practices. Firstly, GMACM used shared custodial bank accounts for multiple RMBS transactions and secondly, GMACM had to suspend foreclosures in 25 states due to irregularities in its foreclosure processes. As GMACM is a subsidiary of C rated Residential Capital, LLC (RFC), in case of a default, losses could have been absorbed by the trusts. Since the tranches were placed on review, GMACM has eliminated the use of a common bank account across RMBS deals and set up individual accounts for each transaction. Also, GMACM has reviewed and revamped its foreclosure process, and has lifted its suspension of foreclosure sales and evictions on a case by case basis. The ratings actions are based on recent pool performance and the available credit enhancement. Moody's is not keeping these bonds under further review due to the two issues highlighted above as they have been resolved. However, the state attorneys general are engaged in ongoing discussions with several servicers regarding loan modifications and foreclosure procedures. The ultimate settlement of those discussions may entail fines, loan forgiveness, cash payments to borrowers or other features that could reduce future cash flows to RMBS investors. Moody's will continue to monitor the outcome and assess future credit implications on the ratings as the situation evolves. Certain securities, as noted below, are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 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: Impac CMB Trust Series 2002-9F -- Cl. A-1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Baa3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to B1 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Impac CMB Trust Series 2003-1 -- Cl. 1-A-1, Confirmed at A1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Confirmed at A1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Confirmed at A1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Confirmed at A1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade Issuer: Impac CMB Trust Series 2003-11 -- Cl. 1-A-1, Downgraded to A3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to A3 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-1, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-2, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-3, Downgraded to B2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Impac CMB Trust Series 2003-2F -- Cl. A-1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Ca (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade Issuer: Impac CMB Trust Series 2003-4 -- Cl. 3-A-1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-M-1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-M-2, Downgraded to B2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- 3-B-1, Downgraded to Ca (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: Impac CMB Trust Series 2003-8 -- Cl. 1-A-1, Downgraded to Aa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-2, Downgraded to Baa2 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-3, Downgraded to Baa2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-4, Downgraded to Ba1 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: Impac CMB Trust Series 2003-9F -- Cl. A-1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Issuer: Impac CMB Trust Series 2004-10 -- Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Apr 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Underlying Rating: Downgraded to Caa2 (sf); previously on Apr 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Underlying Rating: Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Caa2 (sf); previously on Apr 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Underlying Rating: Downgraded to Caa2 (sf); previously on Apr 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to Baa3 (sf); previously on Jun 8, 2009 Downgraded to A3 (sf) -- Cl. 3-M-1, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-M-2, Downgraded to Ca (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-M-3, Downgraded to C (sf); previously on Apr 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-M-4, Downgraded to C (sf); previously on Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-M-5, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Impac CMB Trust Series 2004-11 Collateralized Asset-Backed Bonds, Series 2004-11 -- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Underlying Rating: Downgraded to Caa3 (sf); previously on Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Caa3 (sf); previously on Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Underlying Rating: Downgraded to Caa3 (sf); previously on Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa2 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Ca (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-M-1, Downgraded to C (sf); previously on Apr 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-M-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-M-3, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-M-4, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-M-5, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-M-6, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 2-B, Downgraded to C (sf); previously on Nov 21, 2008 Downgraded to Ca (sf) Issuer: Impac CMB Trust Series 2004-4 Collateralized Asset-Backed Bonds, Series 2004-4 -- Cl. 1-A-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to A2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to A3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-1, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-2, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-3, Downgraded to B2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-4, Downgraded to Ca (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-5, Downgraded to Ca (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-6, Downgraded to C (sf); previously on Apr 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to A2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-M-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-M-2, Downgraded to Caa2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-B, Downgraded to C (sf); previously on Apr 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Impac CMB Trust Series 2004-5 Collateralized Asset-Backed Bonds, Series 2004-5 -- Cl. 1-A-1, Downgraded to A1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to A1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-1, Downgraded to A3 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-2, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-3, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-4, Downgraded to B1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-5, Downgraded to B2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-M-6, Downgraded to C (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Impac CMB Trust Series 2004-6 Collateralized Asset-Backed Bonds, Series 2004-6 -- Cl. 1-A-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Baa2 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to A2 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to A2 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba1 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B1 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa2 (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Impac CMB Trust Series 2004-7 Collateralized Asset-Backed Bonds, Series 2004-7 -- Cl. 1-A-2, Confirmed at Baa2 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Impac CMB Trust Series 2004-8 Collateralized Asset-Backed Bonds, Series 2004-8 -- Cl. 1-A, Downgraded to Caa2 (sf); previously on Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Underlying Rating: Downgraded to Caa2 (sf); previously on Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa2 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Underlying Rating: Downgraded to Caa2 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Underlying Rating: Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Impac CMB Trust Series 2004-9 Collateralized Asset-Backed Bonds, Series 2004-9 -- Cl. 1-A-1, Downgraded to Baa3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Ba3 (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Caa1 (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to Caa1 (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C (sf); previously on Apr 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2002-2 -- Cl. M-3, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2003-1 -- Cl. A-1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Ca (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2003-2 -- Cl. A-1, Downgraded to Aa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Aa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Aa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Aa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-IO, Downgraded to Aa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Aa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2003-3 -- Cl. A-1, Downgraded to Aa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B1 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Ca (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2004-1 -- Cl. A-4, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Baa3 (sf); previously on Jun 8, 2009 Downgraded to A1 (sf) -- Cl. A-6, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2004-2 -- Cl. A-4, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to B2 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to B1 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2004-3 -- Cl. 1-A-3, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A2 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2004-4 -- Cl. 1-A-3, Downgraded to Aa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Aa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade INDEPENDENCE I: Fitch Affirms Ratings on Two Classes of Notes ------------------------------------------------------------- Fitch Ratings has affirmed two classes of notes issued by Independence I CDO, Ltd./Inc.,: -- $54,302,524 class A notes at 'BBsf/LS3', Outlook Negative; -- $50,000,000 class B notes at 'Csf'. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model for projecting future default levels for the underlying portfolio. These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs', for the class A notes. Fitch also considered additional qualitative factors into its analysis, as described below, to conclude the rating affirmation for the notes. Since the last rating action in March 2010, the credit quality of the collateral has deteriorated with approximately 40% of the portfolio downgraded a weighted average of 3.5 notches. Approximately 59.7% of the portfolio has a Fitch derived rating below investment grade and 41.9% has a rating in the 'CCC' rating category or lower, compared to 40.1% and 27.3% respectively, at last review. The affirmation of the class A notes is due to principal repayment of the notes offsetting the effects of deterioration in the portfolio. The class A notes have de-levered from both principal receipts and excess spread, which has been diverted as a result of the class A/B overcollateralization ratio failing its covenant. In total, approximately 34.4%, or $28.5 million, of the class A balance has amortized in the past year, increasing credit enhancement levels for the capital structure. Fitch expects the portfolio to continue generating excess spread until interest rates rise or there is significant additional deterioration in the portfolio. Fitch's Outlook remains Negative on the class A notes due to weakness in rising interest rate scenarios and the potential for further negative migration in the underlying portfolio, with 19.3% of the portfolio having a Negative Outlook. Fitch does not maintain Outlooks for tranches rated 'CCC' and below. The Loss Severity rating of 'LS3' for the class A notes indicates the tranches' 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. Breakevens for the class B notes were below SF PCM's 'CCC' default level, the lowest level of defaults projected by SF PCM. For this class, Fitch compared the class's credit enhancement level to expected losses from the distressed and defaulted assets in the portfolio (rated 'CC' or lower). The amount of loss expected from the portfolio, taking into account future excess spread, indicates that default continues to appear inevitable for the class B notes. The class B notes are rated to the timely receipt of interest and continue to receive accrued interest distributions. Due to the event of default that occurred in September 2004, after the aggregate portfolio balance declined below the aggregate outstanding balance of notes, class B interest payments could be diverted towards class A principal redemption at the direction of over 50% of the class A note holders. However, no action has yet been taken to accelerate the notes. Independence I is a cash flow structured finance collateralized debt obligation that closed on Dec. 18, 2000, and is managed by Declaration Management & Research LLC. The portfolio is comprised of commercial mortgage-backed securities (36.5%), residential mortgage-backed securities (23.9%), commercial and consumer asset- backed securities (22.8%), SF CDOs (10.8%) and corporate CDOs (5.9%) from 1996 through 2003 vintage transactions. INMAN SQUARE: Fitch Affirms Ratings on Five Classes of Notes ------------------------------------------------------------ Fitch Ratings has affirmed five classes of notes issued by Inman Square Funding I, Ltd./Corp.: -- $6,103,029 class II-fixed notes at 'Csf'; -- $26,155,837 class II-floating notes at 'Csf'; -- $21,355,041 class III-fixed notes at 'Csf'; -- $4,091,121 class IV-fixed notes at 'Csf'; -- $14,385,129 class IV-floating notes at 'Csf'. This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Structured Finance CDOs'. The Structured Finance Portfolio Credit Model and Fitch's cash flow model were not used in this review because the portfolio's expected losses from distressed and defaulted collateral (rated 'CC' or lower) significantly exceeds the class II-fixed and class II- floating (together, class II) notes' credit enhancement levels. Additionally, structural features were determined to have minimal impact in the context of the classes' ratings. As a result, Fitch continues to believe that default is inevitable at or prior to maturity for all the remaining classes of notes. Since Fitch's last rating action in March 2010, the total portfolio balance has declined to $64.5 million, according to the Feb. 10, 2011 trustee report, of which approximately 83.8% has a Fitch derived rating of 'CC' or lower. Using asset-specific and standard recovery rate assumptions for these assets, as applicable, Fitch calculates a portfolio expected loss of 71.5%, which would result in the class II notes being undercollateralized. The class II notes are now amortizing because the class I notes paid in full in July 2010. There is excess spread going towards redeeming the class II notes. However, the overall amount is marginal relative to the amount of principal shortfall Fitch expects over the remaining life of the transaction. The class III-fixed, class IV-fixed and class IV-floating notes are not receiving interest or principal distributions and are not expected to receive any proceeds going forward. Inman Square I is a cash flow structured finance collateralized debt obligation that closed on Oct. 20, 2004, and is monitored by TCW Asset Management Company. Inman Square I entered an event of default on April 13, 2009, because the class I/II overcollateralization ratio decline below 100%. To date, the maturity of the transaction has not been accelerated. The portfolio is comprised of residential mortgage-backed securities (81.2%), SF CDOs (7%), corporate CDOs (6.2%) and commercial asset-backed securities (5.5%) from 1999 through 2004 vintage transactions. IXION PLC: S&P Downgrades Rating on Series 21 Notes to 'D' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the note from Ixion PLC's series 21, a synthetic collateralized debt obligation of asset-backed securities transaction, to 'D (sf)' from 'CC (sf)'. The downgrade reflects the reduction of the outstanding principal amount of the note to zero due to cash settlement payments related to various credit events. Rating Lowered Ixion PLC Series 21 Rating ------ To From -- ---- Notes D (sf) CC (sf) JP MORGAN: Fitch Downgrades Ratings on 13 2006-CIBC15 Certs. ------------------------------------------------------------ Fitch Ratings has downgraded and removed from Rating Watch Negative 13 classes of JP Morgan Chase Commercial Mortgage Securities Corp., series 2006-CIBC15 commercial mortgage pass- through certificates due to further deterioration of loan performance, most of which involves increased projected losses on the specially serviced loans. The downgrades reflect an increase in Fitch modeled losses across the pool. Fitch modeled losses of 13.6% of the remaining pool; modeled losses of the original pool are at 14.8%, including losses already incurred to date. Fitch expects losses associated with the specially serviced loans to deplete classes E through N and a portion of class D. As of the March 2011 distribution date, the pool's aggregate principal balance has been reduced by 5.4% to $2.004 billion from $2.118 billion at issuance. Since issuance, the transaction has realized losses totaling 1.9% of the original pool balance. Interest shortfalls totaling $7.5 million are affecting classes E through NR. Fitch has identified 42 loans (37.2%) as Fitch Loans of Concern, which includes 15 specially serviced loans (15.5%). Of the 15 loans in special servicing, two loans (3.6%) were real-estate owned, six loans (8%) were in foreclosure, three loans (2.3%) were 90 days or more delinquent, three loans (1.2%) were 60 days delinquent, and one loan (0.4%) was current. The largest contributors to modeled losses are three (10.4%) of the top 15 loans in the transaction, two (7.3%) of which are currently specially serviced. The largest contributor to modeled losses (3.3%) is a specially serviced loan secured by two regional malls, totaling 967,872 square feet, located in Rome, GA and Hermitage, PA. The loan was transferred to special servicing in October 2008 due to imminent default. The loan was initially secured by a portfolio of four regional malls totaling 1.9 million square feet located across four states. Two of the properties were sold in April and November 2010 and were released from the portfolio. For the two remaining properties, the year-end 2010 servicer-reported debt service coverage ratio was 0.30 times on a net operating income basis. Updated appraisals on the two remaining properties from October and December 2010 indicate a value significantly below the remaining loan balance. The second largest contributor to modeled losses (3.1%) is a loan secured by a 404-key hotel property located in Scottsdale, AZ. The NOI DSCR for the trailing-12 month period ending November 2010 was 0.58x, down significantly from the 1.93x reported at issuance. The loan remains current as the borrower continues to fund debt service shortfalls out of pocket. Property performance has suffered from the recent economic downturn and the property continues to perform significantly below its competitive set in terms of occupancy, average daily rate, and revenue per available room. According to February 2011 Smith Travel Research report, the property's occupancy, ADR, and RevPAR was 50.4%, $117.90, and $59.46, respectively, compared to its competitive set of 61.7%, $198.66, and $122.63, respectively. The third largest contributor to modeled losses (4%) is a specially serviced loan secured by a portfolio of 12 industrial and office properties totaling 1.8 million sf located across nine states. The loan was transferred to special servicing in June 2009 for imminent default. The special servicer and the borrower are currently engaged in discussions regarding terms of a loan restructure. The proposed restructure terms include a write-down of the loan balance, an infusion of new equity, and a bifurcation of the loan into a A/B tranche structure. Occupancy as of December 2010 was 78.5%, down significantly from the 100% reported at issuance. Fitch has downgraded, removed from Rating Watch Negative, revised Loss Severity ratings, and assigned Recovery Ratings where noted to these classes: -- $211.8 million class A-M to 'Asf/LS4' from 'AAAsf/LS3'; Outlook Stable; -- $164.2 million class A-J to 'B-sf/LS4' from 'BBB-sf/LS4'; Outlook Negative; -- $37.1 million class B to 'CCCsf/RR1' from 'BBsf/LS5'; -- $15.9 million class C to 'CCCsf/RR1' from 'BBsf/LS5'; -- $31.8 million class D to 'CCsf/RR4' from 'B-sf/LS5'; -- $26.5 million class E to 'Csf/RR6' from 'B-sf/LS5'; -- $29.5 million class F to 'Csf/RR6' from 'CCCsf/RR6'; -- $27.1 million class G to 'Csf/RR6' from 'CCCsf/RR6'; -- $22.1 million class H to 'Csf/RR6' from 'CCsf/RR6'; -- $8.3 million class J to 'Csf/RR6' from 'CCsf/RR6'; -- $10.8 million class K to 'Csf/RR6' from 'CCsf/RR6'; -- $8.1 million class L to 'Csf/RR6' from 'CCsf/RR6'; -- $2.7 million class M to 'Csf/RR6' from 'CCsf/RR6'. Additionally, Fitch has affirmed these classes: -- $6.4 million class A-1 at 'AAAsf/LS2'; Outlook Stable; -- $73.7 million class A- 3at 'AAAsf/LS2'; Outlook Stable; -- $1.002 billion class A-4 at 'AAAsf/LS2'; Outlook Stable; -- $101 million class A-SB at 'AAAsf/LS2'; Outlook Stable; -- $224.4 million class A-1A at 'AAAsf/LS2'; Outlook Stable. The $1.1 million class N remains at 'D/RR6'. Class P, which remains at 'Dsf/RR6', and the unrated class NR were reduced to zero due to realized losses. Fitch has withdrawn the rating on the interest-only classes X-1 and X-2. JP MORGAN: Moody's Downgrades Ratings on Two 2000-C10 Certs. ------------------------------------------------------------ Moody's Investors Service downgraded the ratings of two classes and affirmed six classes of J.P. Morgan Commercial Mortgage Finance Corp., Commercial Mortgage Pass-Through Certificates, Series 2000-C10: -- Cl. X, Affirmed at Aaa (sf); previously on Nov 8, 2000 Definitive Rating Assigned Aaa (sf) -- Cl. C, Affirmed at Aaa (sf); previously on Dec 8, 2006 Upgraded to Aaa (sf) -- Cl. D, Affirmed at Aaa (sf); previously on Jul 17, 2008 Upgraded to Aaa (sf) -- Cl. E, Affirmed at A2 (sf); previously on Jul 17, 2008 Upgraded to A2 (sf) -- Cl. F, Affirmed at Baa1 (sf); previously on Jul 17, 2008 Upgraded to Baa1 (sf) -- Cl. G, Downgraded to Caa3 (sf); previously on Jul 14, 2010 Downgraded to B3 (sf) -- Cl. H, Downgraded to C (sf); previously on Jul 14, 2010 Downgraded to Ca (sf) -- Cl. J, Affirmed at C (sf); previously on Jul 14, 2010 Downgraded to C (sf) Ratings rationale The downgrades are due to higher expected losses resulting from anticipated losses from specially serviced and troubled loans and an increase in interest shortfalls. The affirmations are due to key parameters, including Moody's LTV 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 their current ratings. Moody's rating action reflects a cumulative base expected loss of 21.6% of the current balance. At last review, Moody's cumulative base expected loss was 23.9%. The decline in base expected loss is due to an increase of realized losses for the pool to $36.7 million from $23.4 million at last review. Moody's stressed scenario loss is 24.0% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. 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 sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate 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 credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. 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 8 compared to 12 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated July 14, 2010. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal performance As of the March 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 89% to $80.5 million from $740.1 million at securitization. The Certificates are collateralized by 20 mortgage loans ranging in size from less than 1% to 23% of the pool, with the top ten loans representing 84% of the pool. The pool does not contain any defeased loans or loans with investment-grade credit estimates. Three loans, representing 5% 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. Twenty-three loans have been liquidated from the pool, resulting in a realized loss of $36.7 million (38% loss severity). Nine loans, representing 66% of the pool, are currently in special servicing. The largest loan in special servicing is the Liberty Fair Mall Loan ($18.3 million -- 22.7% of the pool), which is secured by a 435,402 square foot (SF) mall located in Martinsville, Virginia. The loan was transferred to the special servicer in December 2009 after the borrower indicated it would not continue to cover the loan's debt service. Terms for a deed- in-lieu of foreclosure could not be agreed upon and the servicer is currently pursuing a foreclosure. The second largest loan in special servicing is the Embassy Suites -- Chicago Loan ($13.6 million -- 16.8% of the pool), which is secured by a 237 room full-service hotel located in Deerfield, Illinois. The loan transferred to the special servicer in October 2009 due to imminent monetary default and became REO in December 2010 via a deed-lieu of foreclosure. The remaining seven specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $9.1 million appraisal reduction for five of the loans in special servicing. Moody's has estimated an aggregate $15.4 million loss (31% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for two poorly performing loans representing 4% of the pool and has estimated an aggregate $1.5 million loss (43% expected loss based on a 68% probability default) from these troubled loans. Moody's was provided with full year 2009 operating results for 89% of the loans in the pool. Excluding troubled loans, Moody's weighted average LTV is 59% compared to 71% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.5%. Excluding troubled loans, Moody's actual and stressed DSCRs are 1.26X and 2.01X, respectively, compared to 1.38X and 1.96X 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. The top three performing conduit loans represent 17% of the pool balance. The largest loan is the Pavilion East Loan ($7.4 million -- 9.2% of the pool), which is secured by a 171,157 SF anchored retail center located in Richardson, Texas. Major tenants include Richardson Bike Mart (19% of the net rentable area -- lease expiration December 31, 2017), Sprouts Grocers (17% of the NR -- lease expiration October 11, 2011) and TJ Maxx (17% of the NRA - lease expiration October 11, 2011). Spouts Grocers and TJ Maxx sublease their space from Albertson's, a supermarket retailer, who vacated the property in 2006. The property was 93% leased in December 2010, which is in-line with historical levels. Property performance has been stable. Moody's LTV and stressed DSCR are 51% and 2.13X, respectively, compared to 54% and 2.00X at last review. The second largest loan is the Pavilion East Loan ($3.2 million -- 4.0% of the pool), which is secured by a 84,250 SF retail center located in Dallas, Texas. The anchor tenant is 24 Hour Fitness (38% of the NRA -- lease expiration September 2016). The property was 90% leased in December 2010, which is in-line with historical levels. Property performance has been stable. Moody's LTV and stressed DSCR are 39% and 3.01X, respectively, compared to 43% and 2.69X at last review. The third largest loan is the Thomas Jefferson II Apartments Loan ($3.2 million -- 4.0% of the pool), which is secured by a 23 unit multifamily property located in Hoboken, New Jersey. The property has been fully leased for most of the past three years. Property performance has been stable. Moody's LTV and stressed DSCR are 59% and 1.74X. JP MORGAN: Moody's Affirms Ratings on 12 Series 2010-C1 Notes ------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 12 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2010-C1: -- Cl. A-1, Affirmed at Aaa (sf); previously on Jun 24, 2010 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on Jun 24, 2010 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Jun 24, 2010 Definitive Rating Assigned Aaa (sf) -- Cl. X-A, Affirmed at Aaa (sf); previously on Jun 24, 2010 Definitive Rating Assigned Aaa (sf) -- Cl. X-B, Affirmed at Aaa (sf); previously on Jun 24, 2010 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aa2 (sf); previously on Jun 24, 2010 Definitive Rating Assigned Aa2 (sf) -- Cl. C, Affirmed at A3 (sf); previously on Jun 24, 2010 Definitive Rating Assigned A3 (sf) -- Cl. D, Affirmed at Baa2 (sf); previously on Jun 24, 2010 Definitive Rating Assigned Baa2 (sf) -- Cl. E, Affirmed at Baa3 (sf); previously on Jun 24, 2010 Definitive Rating Assigned Baa3 (sf) -- Cl. F, Affirmed at Ba2 (sf); previously on Jun 24, 2010 Definitive Rating Assigned Ba2 (sf) -- Cl. G, Affirmed at B1 (sf); previously on Jun 24, 2010 Definitive Rating Assigned B1 (sf) -- Cl. H, Affirmed at B3 (sf); previously on Jun 24, 2010 Definitive Rating Assigned B3 (sf) Ratings rationale 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 their current ratings. Moody's rating action reflects a cumulative base expected loss of 1.5% of the current balance. Moody's stressed scenario loss is 4.3% 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 sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, 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 credit estimates 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 credit estimates in the same transaction. 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 17, the same as at securitization. In cases where the Herf falls below 20, Moody's employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. 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 assigned definitive ratings summarized in a press release dated June 24, 2010. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal performance As of the March 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 0.9% to $709.6 million from $716.3 million at securitization. The Certificates are collateralized by 39 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans representing 55% of the pool. The pool contains five loans with investment-grade credit estimates that represent 17% of the pool. To date, the pool has not experienced any losses and there are no loans currently on the master servicer's watchlist or in special servicing. Moody's has utilized the same financial statements provided at securitization with limited updated information. Moody's weighted average LTV is 83%, the same as at securitization. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.3%. Moody's actual and stressed DSCRs are 1.46X and 1.23X, respectively, compared to 1.46X and 1.22X at securitization. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with an investment-grade credit estimate is the Cole Portfolio Loan ($41.6 million -- 5.9% of the pool), which is secured by a pool of 16 single-tenant retail properties located across 10 states with a large concentration in Texas. There are seven Walgreens, two LA Fitness Centers, two Fed Ex distribution centers, two Advance Autos, two Tractor Supplies, and one Academy Sports. The average property size is 27,000 square feet (SF); the pool's total size is 466,000 SF. At securitization, the portfolio was 100% leased. The sponsor is Cole Capital REIT. Moody's current credit estimate and stressed DSCR are Baa3 and 1.55X, the same as at securitization. The second largest loan with a credit estimate is the Berry Plastics Portfolio ($28.5 million -- 4.0% of the pool), which is secured by three single-tenant properties that are leased to Berry Plastics (Moody's unsecured debt rating Caal -- stable outlook). The properties are located in Indiana, Kansas and Maryland. The portfolio consists of 1.43 million SF. The leases expire in 2028 and have two 10-year renewal options. The sponsor is WP Carey. Moody's current credit estimate and stressed DSCR are Baa2 and 1.6X, the same as at securitization. The third largest loan with a credit estimate is the CVS Portfolio 1 ($22.2 million -- 3.1% of the pool), which is secured by a portfolio of ten, free-standing retail properties leased to CVS/Caremark Corp.(CVS; Moody's senior unsecured shelf rating of (P)Baa2 -- stable outlook). The average size is 13,000 SF and the leases run through to 2034 and 2035. The properties are located in Florida, Indiana, Alabama, Arizona, Georgia, North Carolina, Maine and Minnesota. The sponsor is American Realty Capital Trust. Moody's current credit estimate and stressed DSCR are Baa3 and 1.48X, the same as at securitization The fourth largest loan with a credit estimate is the 4075 Channel Drive Loan ($15.0 million -- 2.1% of the pool), which is secured by a 119,000 SF freight truck terminal and distribution center that is 100% leased to FedEx (Moody's senior unsecured debt rating Baa2 -- stable outlook) through 2021. The sponsor is American Realty Capital Trust. Moody's current credit estimate and stressed DSCR are Baa1 and 1.8X, the same as at securitization. The fifth loan with a credit estimate is the CVS Portfolio 2 ($10.4 million -- 1.5% of the pool), which is secured by a portfolio of five retail properties leased to CVS. The average size is 13,500 SF and the leases run through to 2034. The properties are located in California, Florida, Missouri, North Carolina and Nevada. The sponsor is American Realty Capital Trust. Moody's current credit estimate and stressed DSCR are Baa3 and 1.48X, the same as at securitization. The top three performing conduit loans represent 25% of the pool balance. The largest loan is the Gateway Salt Lake Loan ($100.0 million -- 14.0% of the pool), which is secured by a 624,000 SF open-air life-style center located in Salt Lake City, Utah. Anchor tenants include Barnes and Noble, Dick's Sporting Goods, and Gateway Theatres. At securitization, in-line sales per square feet were $373 compared to $441 in 2008. The property was 98% leased at securitization. The sponsor is Inland Western Retail REIT. Moody's LTV and stressed DSCR are 76% and 1.28X, respectively, essentially the same as at securitization. The second largest loan is the Inland Western Retail Portfolio A Loan ($47.1 million -- 6.6% of the pool), which is secured by four multi-tenanted retail properties totaling 470,000 SF located in Virginia, California, New Jersey and Texas. The portfolio's largest tenants are Save Mart Supermarket (12% of the gross leasable area; lease expiration in 2026), Acme/Albertson's (12% of the GLA; lease expiration in 2023), Gold's Gym (10% of the GLA; lease expiration in 2013) and Office Depot (4% of the GLA; lease expiration in 2019). At securitization, the portfolio was 89% leased. The sponsor is Inland Western Retail REIT. Moody's LTV and stressed DSCR are 92% and 1.1X, respectively, essentially the same as at securitization. The third largest loan is the Columbia Center I & II Loan ($32.6 million -- 4.6% of the pool), which is secured by a two 14-story Class A office towers located in Troy, Michigan. The property totals approximately 507,000 SF. The largest tenants are Giarmarco, Mullins & Horton PC (10% of the net rentable area; expiration in 2017), Kemp Klein Law Firm (5.7% of the NRA; expiration in 2014) and Bodman LLP (5.5% of the NRA; expiration in 2014). At securitization, the property was 87% leased. The sponsor is Orley Family and Kirco Development. Moody's LTV and stressed DSCR are 99% and 1.32X, respectively, essentially the same as at securitization. LANDMARK CDO: Moody's Upgrades Ratings on Two Classes of Notes -------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Landmark CDO Ltd.: -- $7,000,000 Class D-1 Fourth Priority Floating Rate Notes Due 2013 (current outstanding balance of $2,731,392), Upgraded to Ba1 (sf); previously on August 11, 2009 Downgraded to Caa3 (sf); -- $2,000,000 Class D-2 Fourth Priority Fixed Rate Notes Due 2013 (current outstanding balance of $931,065), Upgraded to Ba1 (sf); previously on August 11, 2009 Downgraded to Caa3 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from substantial delevering of the rated notes, which significantly improved the overcollateralization available for the Class D-1 Notes and Class D-2 Notes. Since the last rating action in July 2010, the Class C-1 Notes and C-2 Notes have been paid in full, and the Class D-1 Notes and Class D-2 Notes have been paid down by approximately 59% or $5.34 million. Based on the latest trustee report dated February, 2011, performing par plus principal proceeds equal $16.7 million, while the outstanding balance of the Class D-1 Notes and D-2 Notes total $3.7 million. Moody's also notes that previously deferred interest on the Class D-1 Notes and Class D-2 Notes has been paid in full. Considering recent historical volatility observed in the Class D interest coverage test, the rating actions also reflect Moody's concerns about the potential for interest shortfall on the Class D-1 Notes and Class D-2 Notes. Since scheduled principal maturities on the next few payment dates are limited, interest payments due to the Class D-1 Notes and Class D-2 Notes may be heavily reliant on principal prepayments and/or sales of the underlying collateral. Under the terms of the Indenture, a missed interest payment on the Class D-1 Notes and D-2 Notes, currently the most senior notes in the capital structure, will trigger an Event of Default, which may then lead to subsequent acceleration and liquidation of the collateral. Landmark CDO LTD., issued in July of 2001, 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 six months. Moody's did not perform sensitivity analysis to test the impact of various default probabilities on the rated notes because the main driver for this action is the substantial collateralization available for the rated notes, somewhat offset by concerns about a potential for interest shortfall on the rated notes. 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 manager's investment strategy 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: 1) Delevering: The main source of uncertainty in this transaction is whether delevering from unscheduled principal proceeds will continue and at what pace. Delevering may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes an asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. LEHMAN HOME: Moody's Downgrades Ratings on Nine Tranches -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 9 tranches from 3 Subprime deals issued by Lehman Home Equity Loan Trust and Southern Pacific Secured Asset Corporation. The collateral backing these deals primarily consists of first lien, fixed and adjustable rate Subprime residential mortgages. In addition, Moody's has withdrawn the rating of one tranche from Norwest Asset Acceptance Corporation, Series 1998-HE1. Moody's Investors Service has withdrawn the credit rating pursuant to published credit rating methodologies that allow for the withdrawal of the credit rating if the size of the pool outstanding at the time of the withdrawal has fallen below a specified level. Please refer to Moody's Investors Service Withdrawal Policy, which can be found on Moody's website, www.moodys.com. Moody's current RMBS surveillance methodologies apply to pools with at least 40 loans or a pool factor of greater than 5%. As a result, Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools issued from prior 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans 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. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated in 2004 and prior). The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. 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 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Certain securities, as noted below, are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 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: Lehman Home Equity Loan Trust 1998-2 -- A-2, Downgraded to Aa3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-2, Downgraded to Caa1 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- B-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Norwest Asset Acceptance Corporation, Series 1998-HE1 -- A, Withdrawn (sf); previously on Nov 17, 2008 Upgraded to Aa2 (sf) -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Southern Pacific Secured Asset Corp 1998-01 -- A-1, Current Rating at B3 (sf); previously on Feb 18, 2009 Downgraded to B3 (sf) -- Underlying Rating: Downgraded to Ca (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- A-6, Current Rating at B3 (sf); previously on Feb 18, 2009 Downgraded to B3 (sf) -- Underlying Rating: Downgraded to Caa1 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- A-7, Current Rating at B3 (sf); previously on Feb 18, 2009 Downgraded to B3 (sf) -- Underlying Rating: Downgraded to Caa1 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) Issuer: Southern Pacific Secured Assets Corp 1998-2 -- A-7, Current Rating at B3 (sf); previously on Jul 2, 2009 Downgraded to B3 (sf) -- Underlying Rating: Downgraded to Caa2 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- A-8, Current Rating at B3 (sf); previously on Jul 2, 2009 Downgraded to B3 (sf) -- Underlying Rating: Downgraded to Caa1 (sf); previously on Jul 2, 2009 Downgraded to B3 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) LEHMAN MORTGAGE: Moody's Junks Rating on Class A1 From 'B3' ----------------------------------------------------------- Moody's Investors Service has downgraded the rating of class A1 issued by Lehman Mortgage Trust 2008-4 from B3 to Caa1. Issuer: Lehman Mortgage Trust 2008-4 -- Cl. A1, Downgraded to Caa1 (sf); previously on Jan 29, 2010 B3 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The action is a result of Moody's revised loss expectation on the pool of mortgages backing the underlying certificate, Class 2-A1 issued by Lehman Mortgage Trust 2006-9. The underlying certificate is backed primarily by first-lien, Alt-A residential mortgage loans. The Class A1 resecuritization bond issued by Lehman 2008-4 is a senior class, supported by a subordinated bond Class A2, which receives principal payments after Class A1 but absorbs losses before Class A1. Moody's ratings on the resecuritization certificates are based on: (i) The updated expected loss on the pool of loans backing the underlying certificate and the updated rating on the underlying certificate. Moody's current loss expectation on the Alt-A pool backing the Lehman 2008-4 underlying certificate and the current rating of this underlying certificate can be found at http://www.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF198174 (ii) The credit enhancement available to the underlying certificate, and (iii) The structure of the resecuritization transaction. Moody's first updated its loss assumption on the underlying pool of mortgage loans (backing the underlying certificate) and then arrived at updated rating on the underlying certificate. The rating on the underlying certificate is based on expected recoveries on the bonds under ninety-six different combinations of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. In order to determine the ratings of the Lehman 2008-4 resecuritized bonds, losses on the underlying certificate were ascribed to the resecuritized classes, according to the structure of the resecuritized transaction. The losses on the resecuritized certificates are allocated "bottom up" with the subordinate class taking losses ahead of the senior class. Principal payments to the certificates are allocated sequentially, with the senior class being paid ahead of the subordinate class. 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. As part of the sensitivity analysis, Moody's stressed the updated expected loss on the pool of loans backing the underlying certificate by an additional 10% and found that the implied rating of the resecuritization bond Class A1 changes from Caa1 to Caa2. Moody's Investors Service received and took into account a third party due diligence report on the underlying assets or financial instruments in this transaction and the due diligence reports had neutral impact on the ratings. LNR CDO: Moody's Takes Rating Actions on Various Classes of Notes ----------------------------------------------------------------- Moody's has downgraded one and affirmed eleven classes of Notes issued by LNR CDO V, LTD as the deal is experiencing extended interest shortfalls and deteriorating credit profile across all tranches. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. -- Cl. A, Downgraded to C (sf); previously on Feb 19, 2010 Downgraded to Ca (sf) -- Cl. B, Affirmed at C (sf); previously on Feb 19, 2010 Downgraded to C (sf) -- Cl. C-FL, Affirmed at C (sf); previously on Dec 4, 2009 Downgraded to C (sf) -- Cl. C-FX, Affirmed at C (sf); previously on Dec 4, 2009 Downgraded to C (sf) -- Cl. D, Affirmed at C (sf); previously on Dec 4, 2009 Downgraded to C (sf) -- Cl. E, Affirmed at C (sf); previously on Dec 4, 2009 Downgraded to C (sf) -- Cl. F, Affirmed at C (sf); previously on Dec 4, 2009 Downgraded to C (sf) -- Cl. G, Affirmed at C (sf); previously on Dec 4, 2009 Downgraded to C (sf) -- Cl. H, Affirmed at C (sf); previously on Dec 4, 2009 Downgraded to C (sf) -- Cl. J, Affirmed at C (sf); previously on Dec 4, 2009 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on Dec 4, 2009 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Dec 4, 2009 Downgraded to C (sf) Ratings rationale LNR CDO V, LTD, is a static CRE CDO transaction backed by a portfolio commercial mortgage backed securities (100% of the current pool balance). As of the February 28, 2011 Trustee report, the aggregate Note balance of the transaction, including Preferred Shares is $761.2 million, the same as that at issuance. All of the assets (100% of the current pool balance) are listed as Impaired Collateral Assets as of the February 28, 2011 Trustee report. While there have been realized losses of $262.6 million to date on the underlying collateral, Moody's does expect significant losses to occur on the remaining collateral pool 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. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 10,000 compared to 8,258 at last review. The distribution of current ratings and credit estimates is: B1-B3 (0.0% compared to 2.6% at last review), and Caa1-C (100% compared to 97.4% at last review). WAL acts to adjust the probability of default of the collateral in the pool for time. Moody's modeled to a WAL of 9.0 years compared to 7.0 years at last review. The increased WAL is due to changes in the distribution of collateral weighted average life within the pool. 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 0.0% compared to 0.1% 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 MAC was not applicable to this review as all of the collateral has a bottom-dollar WARF of 10,000. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. 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. However, in light of the performance indicators noted above, Moody's believes that it is unlikely that the ratings announced are sensitive to further change. 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 sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 six months. LONGHORN CDO: Moody's Downgrades Ratings on Class B Notes --------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Longhorn CDO (Cayman) Ltd.: -- US$49,000,000 Class B Floating Rate Senior Secured Notes Due 2012 (current outstanding balance of $21,987,193.93), Downgraded to Ca (sf); previously on August 17, 2009 Downgraded to Caa3 (sf). Ratings Rationale According to Moody's, the rating action taken on the notes result from its consideration of the insufficient collateralization remaining for the above notes. Based on the last trustee report, dated March 10, 2011, performing par plus principal proceeds equal $17.8 million while the outstanding balance on the Class B notes is $22 million. Based on the same trustee report, the Class B overcollateralization ratio is 80.74% versus a trigger level of 102.9%. Defaulted securities currently held in the portfolio total about $2.3 million, but are expected to have extremely low recoveries. Additionally, this transaction currently is exposed to a large percentage of loans maturing after the stated maturity of the notes, which may expose the note holders to market risk upon liquidation of such collateral. Based on the March 10, 2011 trustee report, the long-dated basket is 19%. In Moody's assessment, the amount of par collateralization from the remaining portfolio represents a level of collateralization consistent with a Ca rating. Longhorn CDO (Cayman) Ltd., issued in March 2000, 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 six 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, due to the low diversity of the collateral pool, CDOROM 2.6 was used to simulate a default distribution that was then applied as an input in the cash flow model. Moody's did not perform sensitivity analysis to test the impact of various default probabilities on the rated notes because the main driver for this action is the lack of collateralization available for the rated notes. 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 manager's investment strategy 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: 1. Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes an asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. 2. Lack of portfolio granularity: The performance of the portfolio depends to a large extent on the credit conditions of a few large obligors, especially when they experience a jump to default. MARATHON CLO: S&P Raises Ratings on Various Classes of Notes ------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class B, C, D, and E notes from Marathon CLO I Ltd., a collateralized loan obligation transaction managed by Marathon Asset Management LLC. At the same time S&P removed its ratings on the class B, C, and D notes from CreditWatch, where S&P placed them with positive implications on Jan. 3, 2011. Concurrently, S&P affirmed its 'AAA (sf)' ratings on the class A-1 and A-2 notes. The upgrades reflect an improvement in the performance of the deal's underlying asset portfolio since its Dec. 2, 2009 rating action, when S&P lowered its rating on the class D note following the application of its September 2009 corporate collateralized debt obligation criteria. As of the Feb. 17, 2011 trustee report, the transaction had $3.2 million in defaulted assets. This was down from $13.9 million, as reported in the Nov. 18, 2009 trustee report, which S&P referenced for its December 2009 rating actions. The transaction has further benefited from an increase in the overcollateralization available to support the rated notes. The trustee reported these O/C ratios in the Feb. 17, 2011 monthly report: * The class A/B O/C ratio was 203.33%, compared with a reported ratio of 189.51% in November 2009; * The class C O/C ratio was 142.68%, compared with a reported ratio of 133.69% in November 2009; * The class D O/C ratio was 110.16%, compared with a reported ratio of 103.52% in November 2009; and * The class E O/C ratio was 108.36%, compared with a reported ratio of 100.72% in November 2009. The affirmations of S&P's ratings on the class A-1 and A-2 notes reflect the availability of credit support at the current rating levels. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as S&P deem necessary. Rating And Creditwatch Actions Marathon CLO I Ltd. Rating ------ Class To From ----- -- ---- B AAA (sf) AA (sf)/Watch Pos C A+ (sf) A (sf)/Watch Pos D BBB+ (sf) BB+ (sf)/Watch Pos E BB+ (sf) BB (sf) Ratings Affirmed Marathon CLO I Ltd. Class Rating ----- ------ A-1 AAA (sf) A-2 AAA (sf) Transaction Information ----------------------- Issuer: Marathon CLO I Ltd. Coissuer: Marathon CLO I Corp. Collateral manager: Marathon Asset Management LLC Underwriter: Merrill Lynch & Co. Inc. Trustee: The Bank of New York Mellon Transaction type: Cash flow CLO MASTR RESECURITIZATION: Moody's Downgrades Ratings on Two Notes --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of two tranches and confirmed the rating of one tranche from two RMBS resecuritization deals issued by MASTR in 2005 and 2008. Issuer: MASTR Resecuritization 2005-3CI -- Cl. N-1, Downgraded to Caa3 (sf); previously on Mar 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: MASTR Resecuritization Trust 2008-1 -- Cl. A-1, Confirmed at Caa1 (sf); previously on Jan 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-IO, Downgraded to Caa3 (sf); previously on Jan 29, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The actions are a result of the bonds not having sufficient credit enhancement to maintain the current ratings when compared to the revised loss expectation on the pools of mortgages backing the underlying certificates. The resecuritization MASTR 2008-1 is backed by four underlying certificates: Class A-1 issued by CWALT 2006-21CB, Class 1-A-4 issued by CWALT 2007-22, Class A-10 issued by RALI 2006-QS16, and Class 2-A-3 issued by CWALT 2007-1T1. The underlying certificates are backed primarily by first-lien, Alt-A residential mortgage loans. The class A-1 issued by MASTR 2008-1 is a senior class, supported by a subordinated bond class A-2, which receives principal payments after class A-1 but absorbs losses before class A-1. The class A-IO is an interest only bond whose notional amount is linked to the underlying certificate 1-A-4 issued by CWALT 2007-22. The resecuritization MASTR 2005-3Cl is backed by four outstanding underlying certificates: Class 1-X-3, 3-X-3, and M-X issued by CWALT 2005-27 and Class M-X issued by CHL 2005-9. The underlying certificates are backed primarily by first-lien, Option-Arm residential mortgage loans. The underlying certificates are all interest only bonds. The class N-1 issued by MASTR 2005-3Cl is a senior class, supported by a subordinated bond class N-2, which receives principal payments after class N-1. Losses are not allocated to the resecuritized bonds. Moody's ratings on the resecuritization certificates are based on: (i) The updated expected loss on the pools of loans backing the underlying certificates and the updated ratings on the underlying certificates. Moody's current loss expectation on the Alt-A pools backing the MASTR 2008-1 underlying certificates and the current ratings of those underlying certificates can be found at http://www.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF198174 . Moody's current loss expectation on the Option-Arm pools backing the MASTR 2005-3Cl underlying certificates and the current ratings of those underlying certificates can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_S F225686. (ii) The credit enhancement available to the underlying certificates, and (iii) The structure of the resecuritization transaction. Moody's first updated its loss assumption on the underlying pools of mortgage loans (backing the underlying certificates) and then arrived at updated ratings on the underlying certificates. The ratings on the underlying certificates are based on expected recoveries on the bonds under ninety-six different combinations of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. In order to determine the ratings of MASTR 2008-1 resecuritized bonds, losses on the underlying certificates were ascribed to the resecuritized classes, according to the structure of the resecuritized transaction. The losses on the resecuritized certificates are allocated "bottom up" with the subordinate class taking losses ahead of the senior class. Principal payments to the certificates are allocated sequentially, with the senior class being paid ahead of the subordinate class. In order to determine the ratings of MASTR 2005-3Cl resecuritized bonds, interest payments from the underlying interest only certificates are allocated sequentially to the resecuritized bonds, with the senior class being paid ahead of the subordinate class. Losses are not allocated to the resecurtized bonds. 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. As part of the sensitivity analysis, Moody's stressed the updated expected loss on the pool of loans backing the underlying certificates by an additional 10% and found that the implied ratings of the bonds do not change. Moody's Investors Service received and took into account a third party due diligence report on the underlying assets or financial instruments in this transaction and the due diligence reports had neutral impact on the ratings. MICHIGAN PUBLIC: S&P Gives Negative Outlook; Affirms 'BB+' Rating ----------------------------------------------------------------- Standard & Poor's Ratings Services revised the rating outlook to negative from stable on Michigan Public Educational Facilities Authority's limited-obligation revenue bonds series 2010, issued for Dr. Joseph F. Pollack Academic Center of Excellence. At the same time, Standard & Poor's affirmed its 'BB+' long-term rating on the bonds. "The rating action reflects S&P's view of the school's nearly 70% decline in cash and a challenging state funding environment that will add further revenue pressures," said Standard & Poor's credit analyst Carlotta Mills. Historically, the academy's financial position has been good, in S&P's opinion. However in recent years, operations have suffered, primarily due to the school's move and subsequent decline in enrollment, and the school's transition to self-management. At fiscal year-end 2010, the academy's cash dropped to about $480,000 from about $1.5 million the previous year. Effectively this was a decline in days' cash on hand from about 67 to a low, but adequate for the rating category, 23 days. To help improve cash flow, in addition to using its unrestricted cash, PACE borrowed $1.2 million in state aid notes in July 2009, which it paid off within a year. In March 2010, it borrowed $600,000, which it also paid off by July 2010. However, in July 2010, it borrowed $1.18 million, at 3.04%, payable in $120,208 equal installments over 10 months, beginning in October 2010. In order to decrease expenses and not rely on state aid loans, the school has reassessed staffing needs and has exited from the state retirement plan, thus saving in excess of $100,000, according to management. In addition, the school will realize savings from self-management. The fiscal 2011 budget was based on flat enrollment, although it increased 90 students. Management expects to end the 2011 fiscal year with a fund balance of $415,000, an improvement from fiscal 2010's $315,111. The negative outlook reflects S&P's concern that the school's cash position has significantly decreased and management's expectation that state funding will decline just as the school is trying to stabilize and as debt service ramps up. However S&P understands that fiscals 2010 and 2011 are transition years for PACE as it has moved locations and become self-managed. S&P could take a positive rating action if the school is able to manage cash flow and maintain adequate liquidity. In addition, S&P would view positively an increase in enrollment levels that would be sufficient to generate adequate per-pupil revenues and provide good debt service coverage, despite anticipated declines in funding. Conversely, if operations are again unable to cover debt service and enrollment is stagnant, there could be further negative rating action during S&P's two-year outlook period. ML-CFC COMMERCIAL: Fitch Downgrades Ratings on Various Classes -------------------------------------------------------------- Fitch Ratings downgrades 15 classes and revises Outlooks on commercial mortgage pass-through certificates from ML-CFC Commercial Mortgage Trust, series 2006-1. The downgrades are the result of increased loss expectations by Fitch across the pool. Fitch modeled losses of 8.32% of the remaining pool; expected losses of the original pool are at 7.42%, including losses already incurred to date. Fitch has designated 29 loans (19%) as Fitch Loans of Concern, which includes 16 specially serviced loans (10.6%). Fitch expects classes H through Q may be fully depleted from losses associated with the specially serviced assets and class G will also be impaired. As of the March 2011 distribution date, the pool's aggregate principal balance has been paid down by approximately 18.2% to $1.75 billion from $2.14 billion at issuance. Interest shortfalls are affecting classes H through Q. The largest contributors to modeled losses are Inglewood Park (1.8% of the transaction), Colonial Mall Glynn Place (1.2%) and U- Store-It Portfolio (1.2%). The Inglewood Park loan was collateralized by a seven building office/industrial park located in Largo, Maryland totaling 536,197 square feet. The loan was transferred to the Special Servicer on May 10, 2009, due to payment default. In December 2010, one building was sold and the net proceeds of $5.3 million were applied to the loan principal. A receiver has been appointed by court to manage, lease and eventually sell the collateral. Property occupancy recently increased to 54.8% as of March 11, 2011, due to a new lease agreement. The Colonial Mall Glynn Place loan is collateralized by a 196,000 sf shadow anchored regional mall in Brunswick, GA. The loan was transferred to the special servicer on March 29, 2010 due to imminent default. None of the four anchors, Sears, JC Penney, Belk and an Embassy Suites Hotel, are part of the collateral. A former fifth anchor, Steve and Barry's is in bankruptcy and closed this store in early 2009. A receiver is in place to manage the property, which is currently 72.3% occupied. The loan has passed its Dec. 8, 2010 maturity date. The U-Store-It Portfolio loan is collateralized by four properties, containing 194,241 sf of self storage space and 56,455 sf of commercial/warehouse space. The loan was transferred to the special servicer on June 3, 2009. The properties are all located in the Chicago, IL metropolitan statistical area. The single tenant occupying the warehouse space vacated at the expiration of its lease term (Dec. 31, 2008). The current combined occupancy is approximately 64.2%. Workout discussions with the special servicer are in progress. The loan has passed its Jan. 8, 2011 maturity date. Fitch downgrades, revises Loss Severity ratings, and revises Outlooks to these classes: -- $ 82.1 million class A-J to 'A/LS4' from 'AA/LS3'; Outlook to Stable from Negative; -- $100 million class AN-FL to 'A/LS4' from 'AA/LS3'; Outlook to Stable from Negative; -- $50.9 million class B to 'BBB-/LS5' from 'A/LS4'; Outlook to Stable from Negative; -- $21.4 million class C to 'BB/LS5' from 'BBB/LS5'; Outlook to Stable from Negative. Fitch downgrades, and maintains Loss Severity ratings and Outlook Negative to this class: -- $29.5 million class D to 'B-/LS5' from 'BBB-/LS5'; Outlook Negative. Fitch downgrades and assigns recovery ratings to these classes: -- $16.1 million class E to 'CCC/RR1' from 'BB/LS5'; -- $24.1 million class F to 'CCC/RR1' from 'BB/LS5'; -- $16.1 million class G to 'CCC/RR5 from 'B/LS5'; -- $26.8 million class H to 'CC/RR6' from'B-/LS5'; -- $5.4 million class J to'CC/RR6' from 'B-/LS5'; -- $5.4 million class K to 'CC/RR6' from 'B-/LS5'; -- $8 million class L to 'CC/RR6' from 'CCC/RR6'; -- $2.7 million class M to 'CC/RR6' from 'CCC/RR6'; -- $8 million class N to 'CC/RR6' from 'CCC/RR6'; -- $5.4 million class P 'CC/RR6' from'CCC/RR6'. Fitch also affirms these classes and revises LS ratings: -- $47.9 million class A-2 to'AAA/LS2' from 'AAA'/LS1'; Outlook Stable; -- $66.2 million class A-3 to'AAA/LS2' from 'AAA'/LS1'; Outlook Stable; -- $105.2 million class A-3FL to'AAA/LS2' from 'AAA'/LS1'; Outlook Stable; -- $75 million class A-3B to'AAA/LS2' from 'AAA'/LS1'; Outlook Stable; -- $121 million class A-SB to'AAA/LS2' from 'AAA'/LS1'; Outlook Stable; -- $489.5 million class A-4 to'AAA/LS2' from 'AAA'/LS1'; Outlook Stable; -- $231 million class A-1A to'AAA/LS2' from 'AAA'/LS1'; Outlook Stable; -- $214.2 million class A-M to'AAA/LS4' from 'AAA'/LS3'; Outlook Stable. Class A-1 has paid in full. Fitch does not rate the $13.5 million class Q. Fitch has withdrawn the ratings on the Interest-only class X. ML-CFC COMMERCIAL: Moody's Downgrades Ratings on Six Classes ------------------------------------------------------------ Moody's Investors Service downgraded the ratings of six classes and affirmed thirteen classes of ML-CFC Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-7: -- Cl. A-2, Affirmed at Aaa (sf); previously on Jun 20, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-2FL, Affirmed at Aaa (sf); previously on Jun 20, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-3FL, Affirmed at Aaa (sf); previously on Jun 20, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-SB, Affirmed at Aaa (sf); previously on May 26, 2010 Confirmed at Aaa (sf) -- Cl. X, Affirmed at Aaa (sf); previously on Jun 20, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aa2 (sf); previously on May 26, 2010 Downgraded to Aa2 (sf) -- Cl. A-4FL, Affirmed at Aa2 (sf); previously on May 26, 2010 Downgraded to Aa2 (sf) -- Cl. A-1A, Affirmed at Aa2 (sf); previously on May 26, 2010 Downgraded to Aa2 (sf) -- Cl. AM, Affirmed at A3 (sf); previously on May 26, 2010 Downgraded to A3 (sf) -- Cl. AM-FL, Affirmed at A3 (sf); previously on May 26, 2010 Downgraded to A3 (sf) -- Cl. AJ, Downgraded to Caa1 (sf); previously on May 26, 2010 Downgraded to B1 (sf) -- Cl. AJ-FL, Downgraded to Caa1 (sf); previously on May 26, 2010 Downgraded to B1 (sf) -- Cl. B, Downgraded to Caa2 (sf); previously on May 26, 2010 Downgraded to Caa1 (sf) -- Cl. C, Downgraded to Caa3 (sf); previously on May 26, 2010 Downgraded to Caa2 (sf) -- Cl. D, Downgraded to Ca (sf); previously on May 26, 2010 Downgraded to Caa3 (sf) -- Cl. E, Downgraded to C (sf); previously on May 26, 2010 Downgraded to Ca (sf) -- Cl. F, Affirmed at C (sf); previously on May 26, 2010 Downgraded to C (sf) -- Cl. G, Affirmed at C (sf); previously on May 26, 2010 Downgraded to C (sf) -- Cl. H, Affirmed at C (sf); previously on May 26, 2010 Downgraded to C (sf) Ratings rationale The downgrades are due to realized and anticipated losses from specially serviced and troubled loans and anticipated increases in interest shortfalls due to recent loan modifications of several of the specially serviced loans. The affirmations are due to key parameters, including Moody's LTV 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 their current ratings. Moody's rating action reflects a cumulative base expected loss of 10.1% of the current balance. At last review, Moody's cumulative base expected loss was 13.6%. Although the current base expected loss is lower than at the prior review, the pool has realized an additional $106.2 million in realized losses since last review. Moody's current base expected loss plus aggregate realized losses is 14.2% compared to 13.9% at last review. Moody's stressed scenario loss is 23.0% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. 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 sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate 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 credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. 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 113 compared to 122 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated May 26, 2010. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal performance As of the March 14, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 9% to $2.55 billion from $2.79 billion at securitization. The Certificates are collateralized by 309 mortgage loans ranging in size from less than 1% to 4% of the pool, with the top ten loans representing 21% of the pool. The pool includes two loans with investment-grade credit estimates, representing less than 1% of the pool. Eighty-one loans, representing 28% 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. Nineteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $115.4 million (66% loss severity overall). At the prior review, five loans had been liquidated from the pool, resulting in an aggregate $9.1 million loss (24% loss severity on average). Currently there are forty-three loans, representing 21% of the pool, in special servicing. The largest specially serviced loan is the One Pacific Plaza Loan ($105.0 million -- 4.1% of the pool), which is secured by a 428,244 square foot (SF) office building located in Huntington Beach, California. The loan was transferred to special servicing in November 2009 due to the borrower disclosing it could no longer cover debt service payments. The lender filed for foreclosure in January 2010 and a receiver was appointed in May 2010. The receiver engaged a broker to market the property and the special servicer is currently reviewing all offers received. The second largest specially serviced loan is the 10 Milk Street Loan ($58.0 million -- 2.3% of the pool), which is secured by a 229,843 SF class B office building located in the financial district area of Boston, Massachusetts. The loan was transferred to special servicing in March 2010 due to the borrower's request for a loan modification. The borrower and special servicer have successfully negotiated a modification of the loan agreement. Major terms of the modification include an interest rate reduction and all excess cash flow to be put into a TI/LC reserve. Additionally, in the event that the borrower triggers an event of default under the new loan terms, the borrower has agreed not to dispute foreclosure/receivership. The remaining 41 specially serviced properties are secured by a mix of property types. Moody's has estimated an aggregate $162.3 million loss (32% expected loss on average) for all of the specially serviced loans. Moody's has assumed a high default probability for 36 poorly performing loans representing 13% of the pool and has estimated an aggregate $51 million loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 83% and 66% of the pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 112% compared to 129% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 6% to the most recently available full year net operating income. Moody's value reflects a weighted average capitalization rate of 9.8%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.37X and 1.01X, respectively, compared to 1.26X and 0.92X 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. The three largest performing loans represent 7% of the outstanding pool balance. The largest loan is the Commons at Calabasas Loan ($101.5 million -- 4.0% of the pool), which is secured by a 171,097 SF grocery anchored retail center located in Calabasas, California. As of September 2010 the property was 100% leased compared to 99% at the prior review. Tenants include Ralphs Grocery Co. (31% of the net rentable area; lease expiration November 2023) and Edwards Theaters (20% of the NRA; lease expiration December 2023). Moody's LTV and stressed DSCR are 125% and 0.71X, respectively, compared to 131% and 0.68X at last review. The second largest performing loan is the Residence Inn Bethesda Loan ($46.3 million -- 1.8% of the pool), which is secured by a 187 room extended stay hotel located in Bethesda, Maryland. Occupancy and revenue per available room (RevPAR) for the 12 month period ending December 2010 were 83% and $150, respectively, compared to 85% and $149 at the last review. Moody's LTV and stressed DSCR are 102% and 1.17X, respectively, compared to 117% and 1.02X at last review. The third largest performing loan is the Millbridge Apartments Loan ($40.0 million -- 1.6% of the pool), which is secured by an 848 unit multifamily complex located in Clementon, New Jersey. As of September 2010 the property was 90% leased compared to 91% at the prior review. This loan is currently on the master servicer's watchlist for failing a debt service coverage test in September 2009 which could result in termination of the current property management company. Moody's LTV and stressed DSCR are 97% and 0.95X, respectively, compared to 115% and 0.80X at last review. MORGAN STANLEY: Fitch Downgrades Ratings on 12 2005-HQ6 Certs. -------------------------------------------------------------- Fitch Ratings has downgraded 12 classes of Morgan Stanley Capital I Trust series 2005-HQ6, commercial mortgage pass-through certificates, due to an increase in expected losses on the specially serviced loans and further deterioration of collateral performance. The downgrades reflect an increase in Fitch modeled losses across the pool, which includes assumed losses on loans in special servicing and on performing loans with declines in performance indicative of a higher probability of default. Fitch modeled losses of 8.4% of the current pool balance based on expected losses on the specially serviced loans and loans assumed to not refinance at maturity; expected losses of the original pool are 8.4%. As of the March 2011 distribution date, the pool's aggregate principal balance has decreased 12.1% to $2.42 billion from $2.75 billion at issuance. As of March 2011, there are cumulative interest shortfalls in the amount of $3.1 million, affecting classes K through S. In total, there are 17 assets (8.5% of the pool) in special servicing including seven assets (2.9%) that are real estate owned. At Fitch's last review, there were 10 loans (9.6%) in special servicing. The largest contributor to expected loss is Oviedo Marketplace (2.1% of the pool balance), a REO retail center. The collateral is 435,000 square feet of a 953,000-sf regional mall located in Oviedo, FL, approximately 15 miles northeast of Orlando. The loan was transferred to special servicing in April 2009 when the loan's original sponsor, General Growth Properties, included the property in its bankruptcy filing. The second largest contributor to expected loss is the Lincoln Square Retail loan (12.4% of the pool balance) collateralized by four retail properties totaling 503,178 sf located along Broadway, between 66th and 68th streets on the Upper West Side of Manhattan. Major tenants include Loews Lincoln Center, Reebok Sports Club. A retail chain, Century 21, has taken the space vacated by Barnes & Noble and is expected to open in late 2011. The third largest contributor to expected loss is 1500 Broadway (11.9% of the pool balance), secured by a 514,000-sf, 33-story office building located in the Times Square submarket of Midtown Manhattan, between 43rd and 44th streets. The reported occupancy as of June 30, 2010 was 72% after losing a large tenant in late 2009. Fitch has downgraded, revised Rating Outlooks and Loss Severity ratings, and assigned or maintained Recovery Ratings to these classes as indicated: -- $27.5 million class D to 'BBB-sf/LS5' from 'BBBsf/LS5'; Outlook to Negative from Stable; -- $24.1 million class E to 'BBsf/LS5' from 'BBBsf/LS5'; Outlook to Negative from Stable; -- $27.5 million class G to 'B-sf/LS5' from 'BBsf/LS5'; Outlook to Negative from Stable; -- $34.4 million class H to 'B-sf/LS5' from 'Bsf/LS5'; Outlook Negative; -- $31 million class J to from 'CCCsf/RR1' from 'B-sf/LS5'; -- $41.3 million class K to from 'CCsf/RR3' from 'B-sf/LS5'; -- $10.3 million class L to from 'CCsf/RR6' from 'B-sf/LS5'; -- $10.3 million class M to from 'Csf/RR6' from 'B-sf/LS5'; -- $17.2 million class N to from 'Csf/RR6' from 'B-sf/LS5'; -- $3.4 million class O to from 'Csf/RR6' from 'B-sf/LS5'; -- $10.3 million class P to from 'Csf/RR6' from 'B-sf/LS5'; -- $10.3 million class Q to from 'Csf/RR6' from 'CCCsf/RR6'. Additionally, Fitch has affirmed these classes and revised or maintained Rating Outlooks and LS Ratings as indicated: -- $178.4 million class A-1A at 'AAAsf/LS2'; Outlook Stable; -- $266.9 million class A-2A at 'AAAsf/LS2'; Outlook Stable; -- $42.1 million class A-2B at 'AAAsf/LS2'; Outlook Stable; -- $96.5 million class A-AB at 'AAAsf/LS2'; Outlook Stable; -- $103 million class A-3 at 'AAAsf/LS2'; Outlook Stable; -- $1.06 billion class A-4A at 'AAAsf/LS2'; Outlook Stable; -- $151.5 million class A-4B at 'AAAsf/LS2'; Outlook Stable; -- $175.6 million class A-J at 'AAsf/LS4'; Outlook Stable; -- $24.1 million class B at 'AAsf/LS5'; Outlook to Negative from Stable; -- $34.4 million class C at 'Asf/LS5'; Outlook to Negative from Stable; -- $27.5 million class F at 'BBsf/LS5'; Outlook to Negative from Stable. Fitch does not rate the $13 million class S. Class A-1 is paid in full. Fitch previously withdrew its ratings on interest-only classes X-1 and X-2. MORGAN STANLEY: Moody's Takes Rating Actions on 2001-TOP 5 Notes ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of two classes and affirmed 11 classes of Morgan Stanley Dean Witter Capital I Trust 2001-TOP 5, Commercial Mortgage Pass-Through Certificates, Series 2001-TOP5: -- Cl. A-4, Affirmed at Aaa (sf); previously on Dec 27, 2001 Definitive Rating Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on Dec 27, 2001 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on Aug 16, 2005 Upgraded to Aaa (sf) -- Cl. C, Affirmed at Aaa (sf); previously on Sep 25, 2008 Upgraded to Aaa (sf) -- Cl. D, Upgraded to Aa1 (sf); previously on Sep 25, 2008 Upgraded to Aa2 (sf) -- Cl. E, Upgraded to A3 (sf); previously on Feb 12, 2007 Upgraded to Baa1 (sf) -- Cl. F, Affirmed at Baa3 (sf); previously on Dec 27, 2001 Definitive Rating Assigned Baa3 (sf) -- Cl. G, Affirmed at Ba1 (sf); previously on Dec 27, 2001 Assigned Ba1 (sf) -- Cl. H, Affirmed at Ba2 (sf); previously on Dec 27, 2001 Assigned Ba2 (sf) -- Cl. J, Affirmed at Ba3 (sf); previously on Dec 27, 2001 Assigned Ba3 (sf) -- Cl. K, Affirmed at B1 (sf); previously on Dec 27, 2001 Assigned B1 (sf) -- Cl. L, Affirmed at B2 (sf); previously on Dec 27, 2001 Assigned B2 (sf) -- Cl. M, Affirmed at B3 (sf); previously on Dec 27, 2001 Assigned B3 (sf) Ratings rationale The upgrades are due to overall improved pool performance and increased credit subordination levels due to loan payoffs and amortization. The pool has amortized 29% since last review. 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 existing ratings. Moody's rating action reflects a cumulative base expected loss of 1.9% of the current balance. Moody's stressed scenario loss is 4.9% 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 sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodology used in this rating was "CMBS: Moody's Approach to Rating U.S. Conduit Transactions" published in September 2000. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, 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 credit estimate 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 credit estimates 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 February 12, 2007. 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 six months. Deal performance As of the March 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 44% to $583.8 million from $1.04 billion at securitization. The Certificates are collateralized by 107 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten non- defeased loans representing 37% of the pool. The pool contains one loan, representing 8% of the pool, with an investment grade credit estimate. Twenty-nine loans, representing 25% of the pool, have defeased and are secured by U.S. Government securities. The pool has significant near-term refinance risk, as loans representing 71% of the non-defeased pool mature within the next 12 months. Twenty-nine loans, representing 22% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council 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 $542,002 loss (8% loss severity on average). Four loans, representing 2% of the pool, are currently in special servicing. Moody's has estimated an aggregate $3.4 million loss (32% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for one performing loan representing 0.2% of the pool and has estimated a $155,346 loss (15% expected loss based on a 30% probability default) from this troubled loan. Moody's was provided with full year 2009 and partial year 2010 operating results for 94% and 86%, respectively, of the pool's non-defeased loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 65% compared to 71% at Moody's prior full review. Moody's net cash flow reflects a weighted average haircut of 14% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.9%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.66X and 1.85X, respectively, compared to 1.62X and 1.44X at Moody's prior full review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's uses a variation of 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 32 compared to 48 at Moody's prior full review. The loan with a credit estimate is the Manufactured Home Communities Portfolio Loan ($44.0 million -- 7.5%), which is secured by seven manufactured housing communities located in Florida (3), suburban Phoenix (2), suburban Denver and Las Vegas. The portfolio totals 2,105 units and each community has a full complement of amenities. As of December 2009, the portfolio was 90% leased, essentially the same as at last review. Property performance has improved due to increased rental income and the loan is benefiting from amortization. The loan has paid down 7% since last full review and matures in September 2011. Moody's current credit estimate and stressed DSCR are A3 and 1.62X, respectively, compared to Baa3 and 1.41X at last full review. The top three performing conduit loans represent 13% of the pool balance. The largest loan is the Great American Technical Center Loan ($30.8 million -- 5.3%), which is secured by two office/R&D buildings totaling 237,000 square feet (SF) located in Santa Clara, California. The property is part of the 5.5 million SF Marriott Business Park. The properties are 100% leased to two tenants: Broadcom (58% of the net rentable area; lease expiration November 2012) and Data Domain (42% of the NRA; lease expiration June 2018). Property performance has improved since last review when Broadband was the sole tenant following two tenants vacating. The loan is also benefiting from amortization, paying down 11% since last full review, and matures in November 2011. Moody's analysis reflects a stressed cash flow due to Moody's concerns about the property refinancing with significant lease rollover in 2012, as well as a soft Santa Clara office/R&D market. Moody's LTV and stressed DSCR are 56% and 2.04X, respectively, compared to 91% and 1.24X at last full review. The second largest loan is the Great Western Savings Building Loan ($25.1 million -- 4.3%) , which is secured by a 153,000 SF Class A office building located in downtown Berkeley, California. As of January 2010, the property was 92% leased compared to 86% at last full review. Major tenants include MPR Associates, Inc. (17% of the NRA; lease expiration October 2012) and Cadence Systems (14% of the NRA; lease expiration October 2012). Property performance has improved since last review due to increased base rent and is stable. The loan is benefiting from amortization, paying down 6% since last review, and matures in October 2011. Moody's LTV and stressed DSCR are 63% and 1.71X, respectively, compared to 81% and 1.34X at last full review. The third largest loan is the Lake Mary Centre Loan ($22.2 million -- 3.8%), which is secured by a 339,000 SF community retail center located near Orlando in Lake Mary, Florida. The property is anchored by K-Mart, which leases 26% of the property's NRA through August 2013, and Albertson's, which leases 19% of the NRA through June 2012. The center was 96% leased as of September 2010, similar to at last full review. Property performance is stable and the loan is benefiting from amortization. The loan has paid down 6% since last full review and matures in November 2011. Moody's LTV and stressed DSCR are 62% and 1.62X, respectively, compared to 68% and 1.47X at last full review. MORGAN STANLEY: Moody's Downgrades Ratings on Seven Tranches ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of seven tranches and confirmed the ratings of four tranches issued by Morgan Stanley Mortgage Resecuritization Trust 2008-1R. Issuer: Morgan Stanley Mortgage Resecuritization Trust 2008-1R -- Cl. A1, Downgraded to Caa2 (sf); previously on Jan 29, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. A3, Downgraded to Caa2 (sf); previously on Jan 29, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. A6, Downgraded to Caa3 (sf); previously on Jan 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A7, Downgraded to Caa2 (sf); previously on Jan 29, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. A8, Confirmed at Ca (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A9, Downgraded to Caa2 (sf); previously on Jan 29, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. A10, Confirmed at Ca (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A11, Downgraded to Caa3 (sf); previously on Jan 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A12, Confirmed at Ca (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A13, Downgraded to Caa3 (sf); previously on Jan 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A14, Confirmed at Ca (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade Ratings Rationale The actions are a result of the bonds not having sufficient credit enhancement to maintain the current ratings when compared to the revised loss expectation on the pool of mortgages backing the underlying certificate. The resecuritization is backed by the class 7-A1 (the "Underlying Certificate") issued by CSMC Mortgage-Backed Trust Series 2006-9. The underlying certificate is backed primarily by first-lien, Alt- A residential mortgage loans. The resecuritization has three depositable classes (Classes A3, A4, and A5) that can be deposited in exchange for one or more classes of exchangeable certificates (Classes A1, A2, and A6 through A14).The Class A3 issued by Morgan Stanley 2008-1R is a senior class, supported by a subordinated bond Class A4, which receives principal payments after Class A3 but absorbs losses before Class A4. The class A5 is an interest only bond whose notional amount is linked to the Class A4. Moody's ratings on the resecuritization certificates are based on: (i) The updated expected loss on the pool of loans backing the underlying certificate and the updated rating on the underlying certificate. (ii) The credit enhancement available to the underlying certificate, and (iii) The structure of the resecuritization transaction. Moody's first updated its loss assumption on the underlying pool of mortgage loans (backing the underlying certificate) and then arrived at updated rating on the underlying certificate. The rating on the underlying certificate is based on expected recoveries on the bonds under ninety-six different combinations of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. In order to determine the ratings of depositable resecuritized bonds, loss on the underlying certificate was ascribed to the resecuritized classes, according to the structure of the resecuritized transaction. The losses on the resecuritized certificates are allocated "bottom up" with the subordinate class taking losses ahead of the senior class. Principal payments to the certificates are allocated sequentially, with the senior class being paid ahead of the subordinate class. In order to determine the ratings of exchangeable resecuritized bonds, losses on the depositable certificates were ascribed to these exchangeable classes, according to the available exchanges of the depositable classes for exchangeable classes. 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. As part of the sensitivity analysis, Moody's stressed the updated expected loss on the pool of loans backing the underlying certificates by an additional 10% and found that the implied ratings of the resecuritized bonds do not change. Moody's Investors Service received and took into account a third party due diligence report on the underlying assets or financial instruments in this transaction and the due diligence reports had neutral impact on the ratings. MORGAN STANLEY: S&P Downgrades Ratings on Three 2003-HQ2 Notes -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on three classes of commercial mortgage-backed securities from Morgan Stanley Dean Witter Capital I Trust 2003-HQ2. In addition, S&P affirmed its ratings on 12 other classes and withdrew its rating on another class from the same transaction. The rating actions reflect S&P's analysis of the remaining collateral in the pool, the deal structure, and the liquidity available to the trust using S&P's U.S. conduit/fusion criteria. S&P's analysis included a review of the credit characteristics of all of the remaining loans in the pool and considered the principal losses that have occurred. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.69x and a loan-to-value ratio of 65.9%. S&P further stressed the loans' cash flows under S&P's 'AAA' scenario to yield a weighted average DSC of 1.37x and an LTV ratio of 80.9%. The implied defaults and loss severity under the 'AAA' scenario were 20.7% and 19.8%, respectively. The DSC and LTV calculations S&P noted above exclude one ($3.0 million; 0.4%) specially serviced asset and 11 fully and one partially defeased loans ($175.7 million; 22.8%). S&P separately estimated losses for the specially serviced asset, and included it in its 'AAA' scenario implied default and loss severity figures. S&P's analysis also considered the volume of nondefeased, nonspecially serviced loans that are scheduled to mature through December 2012 (13 loans, $155.6 million, 20.2% of the trust balance). While these loans have a weighted average DSC of 2.00x, S&P believes that some of these loans could face refinancing challenges given current market conditions and the underlying property performance. If these loans are not able to be refinanced at maturity, they could potentially be transferred to the special servicer, resulting in additional trust fund expenses. S&P withdrew its rating on the class X-2 interest-only certificate following the reduction of its notional balance as noted in the March 2011 trustee remittance report. S&P affirmed its rating on the class X-1 interest-only certificate based on S&P's current criteria. Credit Considerations As of the March 14, 2011, trustee remittance report, one loan, the Star Village Commons loan ($3.0 million, 0.4%), was with the special servicer, C-III Asset Management LLC. The loan is secured by a 40,248-sq.-ft. retail property located in Lake Worth, Texas. The loan was transferred to the special servicer on Jan. 2, 2009, due to the borrower's inability to support the center, according to the special servicer. C-III indicated that the property was sold and a modification and assumption of the note was closed on Oct. 22, 2010. Terms of the modification include a $1.1 million principal write-down, a three-year maturity date extension to Jan. 1, 2016, and a permanent rate reduction to 4.5% from 5.91%. As of the March 14, 2011 trustee remittance report, an appraisal reduction amount totaling $664,375 is in effect against the loan. The loan was reported as being one-month delinquent during the same reporting period. Standard & Poor's expects a minimal, if any, loss upon the ultimate resolution of the loan. Transaction Summary As of the March 2011 trustee remittance report, the transaction had an aggregate trust balance of $770.9 million (47 loans), compared with $931.6 million (51 loans) at issuance. The master servicer, Wells Fargo Bank N.A., provided financial information for 95.8% of the nondefeased trust balance, all of which were reporting full-year 2009, full-year 2010, or partial-year 2010 data. S&P calculated a weighted average DSC of 1.85x for the nondefeased loans in the pool based on the servicer-reported figures. S&P's adjusted DSC and LTV were 1.69x and 65.9%, respectively, excluding the specially serviced asset and defeased loans. S&P separately estimated losses for the one specially serviced asset and included it in its 'AAA' scenario implied default and loss severity figures. Six loans ($59.3 million, 7.7%) are on the master servicer's watchlist. Four ($24.4 million, 3.2%) loans have a reported DSC below 1.10x, and three ($22.1 million, 2.9%) of these loans have a reported DSC below 1.00x. To date, the pool has experienced principal losses totaling $6.6 million in connection with two loans. Summary of Top 10 Real Estate Loans The top 10 loans secured by real estate have an aggregate outstanding balance of $474.1 million (61.5%). Using servicer- reported information, S&P calculated a weighted average DSC of 1.92x for the top 10 nondefeased loans. S&P's adjusted DSC and LTV figures for the top 10 nondefeased loans were 1.72x and 63.9%, respectively. One of the top 10 real estate loans is on the master servicer's watchlist and another has a reported DSC below 1.10x. The DC Portfolio loan ($41.2 million, 5.4%) is the fourth-largest nondefeased loan in the pool and is secured by two mixed-use properties totaling 214,666 sq. ft. in Washington, D.C. The loan appears on the master servicer's watchlist due to upcoming lease expirations. As of the nine months ended Sept. 30, 2010, the portfolio had a reported DSC of 1.62x and the reported occupancy was 80.2%. The 408-420 Fulton St. loan ($14.9 million, 1.9%) is the 10th- largest nondefeased loan in the pool and is secured by a 48,480- sq.-ft. unanchored retail center in Brooklyn, N.Y. As of the nine months ended Sept. 30, 2010, the reported DSC was 0.85x. According to the master servicer, the reported decline in DSC was due to a decrease in rental income and an increase in operating expenses. As of Sept. 30, 2010, the property was reported to be 100% occupied. Standard & Poor's stressed the loans in the pool according to its criteria and the resultant credit enhancement levels are consistent with S&P's rating actions. Ratings Lowered Morgan Stanley Dean Witter Capital I Trust 2003-HQ2 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- L B- (sf) B (sf) 1.40 M CCC (sf) B- (sf) 0.80 N CCC- (sf) CCC (sf) 0.50 Ratings Affirmed Morgan Stanley Dean Witter Capital I Trust 2003-HQ2 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) ----- ------ ---------------------- A-1 AAA (sf) 19.98 A-2 AAA (sf) 19.98 B AA+ (sf) 14.85 C AA (sf) 9.41 D AA- (sf) 8.20 E A (sf) 6.99 F BBB+ (sf) 5.63 G BBB- (sf) 4.58 H BB+ (sf) 2.76 J BB- (sf) 2.01 K B+ (sf) 1.71 X-1 AAA (sf) N/A Rating Withdrawn Morgan Stanley Dean Witter Capital I Trust 2003-HQ2 Commercial mortgage pass-through certificates Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- X-2 NR AAA (sf) N/A N/A -- Not applicable. NR -- Not rated. N-STAR REAL: Moody's Takes Rating Actions on Various Classes ------------------------------------------------------------ Moody's has downgraded three and affirmed nine classes of Notes issued by N-Star Real Estate CDO IX, Ltd. due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor, a decrease in the weighted average recovery rate, and an increase in defaulted assets since last review. 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 Ba3 (sf); previously on Apr 28, 2010 Downgraded to Baa2 (sf) -- Cl. A-2, Downgraded to Caa1 (sf); previously on Apr 28, 2010 Downgraded to B2 (sf) -- Cl. A-3, Downgraded to Caa2 (sf); previously on Apr 28, 2010 Downgraded to Caa1 (sf) -- Cl. B, Affirmed at Caa2 (sf); previously on Apr 28, 2010 Downgraded to Caa2 (sf) -- Cl. C, Affirmed at Caa3 (sf); previously on Apr 28, 2010 Downgraded to Caa3 (sf) -- Cl. D, Affirmed at Caa3 (sf); previously on Apr 28, 2010 Downgraded to Caa3 (sf) -- Cl. E, Affirmed at Caa3 (sf); previously on Apr 28, 2010 Downgraded to Caa3 (sf) -- Cl. F, Affirmed at Caa3 (sf); previously on Apr 28, 2010 Confirmed at Caa3 (sf) -- Cl. G, Affirmed at Caa3 (sf); previously on Apr 28, 2010 Confirmed at Caa3 (sf) -- Cl. H, Affirmed at Caa3 (sf); previously on Apr 28, 2010 Confirmed at Caa3 (sf) -- Cl. J, Affirmed at Caa3 (sf); previously on Apr 28, 2010 Confirmed at Caa3 (sf) -- Cl. K, Affirmed at Caa3 (sf); previously on Apr 28, 2010 Confirmed at Caa3 (sf) Ratings rationale N-Star Real Estate CDO IX, Ltd., is a revolving CRE CDO transaction with the reinvestment period ending in June 2012. The collateral pool contains 60.3% commercial mortgage backed securities of which approximately 90% was issued between 2005 and 2008. The remaining collateral includes CRE CDO (28.0%), CMBS rake bonds (4.1%), real estate investment trust debt (1.3%), and commercial real estate loans (6.3%). As of the March 1, 2011 trustee report, the outstanding note balance was $800 million, the same as at securitization. However, the current collateral par balance has increased to over $1.0 billion dollars from $942 million at last review. The increase in overcollateralization is the result of discount collateral purchases. The pool contains 41 assets totaling $252 million (27.7% of the collateral pool balance) that are listed as Defaulted Securities as of the March 1, 2011 trustee report. Seventeen of these assets (49.4% of the defaulted balance) are CRE CDO, 19 assets are CMBS (40.1%), two assets are commercail real estate loans (7.4%), and five assets are CMBS rake bonds (3.1%). 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. 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 assets. 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) v2.8 as Moody's expect the underlying non-CUSIP collateral to experience low default rates and higher recovery due to the nature of the secured real estate collateral. Moody's modeled a bottom-dollar WARF of 3,822, which is the WARF excluding defaulted collateral, compared to 3,087 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (3.8% compared to 8.8% at last review), A1-A3 (7.7% compared to 10.1% at last review), Baa1-Baa3 (19.1% compared to 15.8% at last review), Ba1- Ba3 (19.8% compared to 26.4% at last review), B1-B3 (12.7% compared to 13.0% at last review), and Caa1-C (37.0% compared to 25.9% at last review). WAL acts to adjust the probability of default of the assets in the pool for time. Moody's modeled to the covenant WAL of 6.0 years compared to 7.0 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 18.6% compared to a WARR of 20.0% 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). 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 10.2% compared to 11.2% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, 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 18.6% to 8.6% or up to 28.6% would result in average rating movement on the rated tranches of 0 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 sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 six months. NAVIGATOR CDO: Moody's Upgrades Ratings on Various Classes ---------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Navigator CDO 2006, Ltd.: -- US$40,000,000 Class A Floating Rate Senior Secured Revolving Notes Due 2020 (current outstanding balance of $32,663,125), Upgraded to Aa1 (sf); previously on July 8, 2009 Downgraded to Aa2 (sf); -- US$265,000,000 Class A Floating Rate Senior Secured Term Notes Due 2020 (current outstanding balance of $216,393,205), Upgraded to Aa1 (sf); previously on July 8, 2009 Downgraded to Aa2 (sf); -- US$26,000,000 Class B-1 Floating Rate Secured Deferrable Term Notes Due 2020, Upgraded to Baa3 (sf); previously on July 8, 2009 Confirmed at Ba1 (sf); -- US$7,000,000 Class B-2 Fixed Rate Secured Deferrable Term Notes Due 2020, Upgraded to Baa3 (sf); previously on July 8, 2009 Confirmed at Ba1 (sf); -- US$15,500,000 Class C Floating Rate Secured Deferrable Term Notes Due 2020, Upgraded to Ba3 (sf); previously on July 8, 2009 Confirmed at B1 (sf); -- US$12,500,000 Class D Floating Rate Secured Deferrable Term Notes Due 2020 (current outstanding balance of $10,437,972), Upgraded to Caa1 (sf); previously on July 8, 2009 Confirmed at Caa3 (sf); -- US$10,000,000 Class 1 Combination Notes Due 2020 (current rated balance of $7,289,426, Upgraded to Baa1 (sf); previously on July 8, 2009 Downgraded to Baa3 (sf). Ratings rationale According to Moody's, the rating actions taken on the notes result primarily from an increase in the transaction's overcollateralization ratios and an improvement in the credit quality of the underlying portfolio since the rating action in July 2009. The overcollateralization ratios of the rated notes have improved since the rating action in July 2009. Based on the latest trustee report dated March 7, 2011, The Class A, Class B, Class C, and Class D overcollateralization ratios are reported at 128.2%, 113.2%, 107.3%, and 103.7%, respectively, versus June 2009 levels of 116.4%, 104.9%, 100.3%, and 96.9%, respectively, and all related overcollateralization tests are currently in compliance. The overcollateralization ratios have benefited from the delevering of the Class A Notes, which were paid down by $43 million or 15% since July 2009. In addition, the Class D overcollateralization ratio has increased in part due to the diversion of excess interest to delever the Class D Notes in the event of a Class D overcollateralization test failure, including on the March 2010 payment date, when $2.1 million of interest proceeds reduced the outstanding balance of the Class D Notes by 17%. Moody's also notes that the Class C Notes and Class D Notes are no longer deferring interest and that all previously deferred interest has been paid in full. 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, based on the latest trustee report dated March 7, 2011, the weighted average rating factor is currently 2683 compared to 2890 in the June 2009 report, and securities rated Caa1/CCC+ or lower make up approximately 6.4% of the underlying portfolio versus 13.1% in June 2009. Additionally, defaulted securities total about $3.8 million of the underlying portfolio compared to $29 million in June 2009. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $315.6, defaulted par of $8.5 million, a weighted average default probability of 28.99% (implying a WARF of 3800), a weighted average recovery rate upon default of 44.51%, 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. Navigator CDO 2006, Ltd., issued in September 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodologies used in this rating were "Moody's Approach to Rating Collateralized Loan Obligations" published in August 2009 and "Using the Structured Note Methodology to Rate CDO Combo-Notes" published in February 2004. 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 six 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. For securities whose default probabilities are assessed through credit estimates, Moody's applied additional default probability stresses by assuming an equivalent of Caa3 for CEs that were not updated within the last 15 months. In addition, Moody's applied a 1.5 notch-equivalent assumed downgrade for CEs last updated between 12-15 months ago, and a 0.5 notch-equivalent assumed downgrade for CEs last updated between 6-12 months ago. In addition to the base case analysis, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. This is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (3040) -- Class A Revolving: +1 -- Class A Term: +1 -- Class B-1: +2 -- Class B-2: +2 -- Class C: +2 -- Class D: +3 Moody's Adjusted WARF + 20% (4560) -- Class A Revolving: -2 -- Class A Term: -2 -- Class B-1: -2 -- Class B-2: -2 -- Class C: -2 -- Class D: -2 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 manager's investment strategy 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: 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 deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell 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. However, as part of the base case, Moody's considered spread levels higher than the covenant levels due to the large difference between the reported and covenant levels. 4) Exposure to credit estimates: The deal is exposed to a large number of securities whose default probabilities are assessed through credit estimates. In the event that Moody's is not provided the necessary information to update the credit estimates in a timely fashion, the transaction may be impacted by any default probability stresses Moody's may assume in lieu of updated credit estimates. NEVADA HOUSING: S&P Corrects Rating on Revenue Bonds to 'B' ----------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on Nevada Housing Division's (Diamond Creek Apartments Project) multi-unit housing revenue bonds series 1999B to 'B' from 'BB+'. NORTHWOODS CAPITAL: Moody's Upgrades Ratings on Four Classes ------------------------------------------------------------ Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Northwoods Capital VIII, Limited: -- US$37,500,000 Class C Senior Secured Deferrable Floating Rate Notes due 2022, Upgraded to Baa3 (sf); previously on September 25, 2009 Confirmed at Ba1 (sf); -- US$32,500,000 Class D Senior Secured Deferrable Floating Rate Notes due 2022, Upgraded to Ba2 (sf); previously on September 25, 2009 Confirmed at Ba3 (sf); -- US$10,000,000 Class E Secured Deferrable Floating Rate Notes due 2022, Upgraded to B1 (sf); previously on September 25, 2009 Downgraded to Caa2 (sf); -- US$11,500,000 Type III Composite Obligations due 2022 (current rated balance of $9,238,700), Upgraded to Ba3 (sf); previously on September 25, 2009 Downgraded to B2 (sf). Ratings rationale According to Moody's, the rating actions taken on the notes result primarily from improvement in the overcollateralization ratio of the rated notes since the rating action in September 2009. As of the latest trustee report dated March 9, 2011, the Senior overcollateralization ratio is reported at 140.19%, versus August 2009 levels of 128.13%. This overcollateralization test is currently in compliance. Credit quality of the underlying portfolio has remained stable since the last rating action in September 2009. Credit quality is observed through the average credit rating (as measured by the weighted average rating factor) and the proportion of securities from issuers rated Caa1 and below. As of the March 9 2011 report, the weighted average rating factor is currently 3206 compared to 3262 in the August 2009 report, and securities rated Caa1 or lower make up approximately 17.1% of the underlying portfolio versus 14.4% in August 2009. In addition, there are currently $20.7 million of defaulted securities based on the March 2011 trustee report, compared to $54.2 million in August 2009. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $505 million, defaulted par of $22 million, a weighted average default probability of 38% (implying a WARF of 4863), a weighted average recovery rate upon default of 40.79%, and a diversity score of 35. 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. Northwoods Capital VIII, Limited, issued in June 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 six 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, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. This is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (3890) -- Class A-1: +2 -- Class A-2: +2 -- Class B: +2 -- Class C: +2 -- Class D: +2 -- Class E: +2 -- Type III Composite : +1 Moody's Adjusted WARF + 20% (5836) -- Class A-1: -2 -- Class A-2: -2 -- Class B: -2 -- Class C: -2 -- Class D: -2 -- Class E: -4 -- Type III Composite: -2 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 manager's investment strategy and behaviour and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) Recovery of Moody's assumed defaulted assets: Market value fluctuations in assets which were assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. 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. However, as part of the base case, Moody's considered spread and coupon levels higher than the covenant levels due to the large difference between the reported and covenant levels. NORTHWOODS CAPITAL: S&P Raises Ratings on Various Classes of Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class A-1a, A-1b, A-2, B, C-1, and C-2 from Northwoods Capital V Ltd., a cash flow collateralized loan obligation transaction managed by Angelo, Gordon & Co. L.P. At the same time, S&P removed its ratings on the A-1a, A-1b, A-2, and B notes from CreditWatch with positive implications. In the most recent monthly trustee report as of Feb. 25, 2011, the trustee calculated the class A, B, and C, overcollateralization ratios to be 133.54%, 121.25%, and 109.73%, respectively. All have increased from their corresponding ratios of 126.9%, 115.2% and 103.9%, respectively, as per the October 2009 trustee report, which S&P used for its analysis when S&P downgraded the classes in December 2009. The transaction is currently passing its reinvestment diversion test, which was failing in November 2009. The test is measured during the reinvestment period (ending November 2012) in the interest proceeds section of the payment priorities waterfall after the payment of the class C interest; if the test is breached the cure amount (restricted to 50% of available interest proceeds) is diverted to reinvestment. In addition, in the February 2011 report, the trustee reports $19.5 million in par defaults, which is down from $51.14 million reported in October 2009. Some of the defaults were sold at prices higher than the assigned recovery values, and a few of the defaulted obligors either emerged from bankruptcy or converted their prior loans into other loans or instruments. The transaction has also benefited from an improvement in the weighted average spread. The trustee reports the WAS to be 4.11% in the February 2011 report, up from 2.99% in October 2009. S&P raised its ratings on the A-1a, A-1b, A-2, B, C-1, and C-2 notes to reflect the increased credit support to the tranches as reflected by an increase in the transaction's overcollateralization ratios and the improvement in key collateral measures such as the WAS and level of defaults. Standard & Poor's will continue to monitor the collateralized debt obligation transactions it rates and take rating actions, including CreditWatch placements, when appropriate. Rating And Creditwatch Actions Northwoods Capital V Ltd. Rating ------ Class To From ----- -- ---- A-1a AA+ (sf) AA (sf)/Watch Pos A-1b AA+ (sf) AA (sf)/Watch Pos A-2 AA- (sf) A+ (sf)/Watch Pos B BBB+ (sf) BB+ (sf)/Watch Pos C-1 B+ (sf) CCC- (sf) C-2 B+ (sf) CCC- (sf) NYLIM FLATIRON: 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 NYLIM FLATIRON CLO 2004-1 Ltd.: -- US$260,750,000 Class A Floating Rate Notes Due 2016 (current outstanding balance of $144,682,665), Upgraded to Aaa (sf), previously on September 10, 2009 Downgraded to Aa1 (sf); -- US$14,000,000 Class B Floating Rate Notes Due 2016, Upgraded to Aa1 (sf), previously on September 10, 2009 Downgraded to A2 (sf); -- US$21,000,000 Class C Deferrable Floating Rate Notes Due 2016, Upgraded to A3(sf), previously on September 10, 2009 Downgraded Ba1 (sf); -- US$26,250,000 Class D Deferrable Floating Rate Notes Due 2016, Upgraded to B1 (sf), previously on September 10, 2009 Downgraded Caa2 (sf). Ratings rationale According to Moody's, the rating actions taken on the notes result primarily from delevering of the Class A Notes and improvement in the credit quality of the underlying portfolio since the rating action in September 2009. The Class A Notes have delevered $116 million and as a result of delevering the OC ratios of the rated notes have improved since September 2009. As of the latest trustee report dated February 28, 2001, the Class A/B, Class C, and Class D overcollateralization ratios are at 136.14%, 120.23% and 105.80%, respectively, versus July 2009 levels of 120.62%, 112.06%, and 103.48%, respectively. All related overcollateralization tests are currently in compliance. Credit quality of the underlying portfolio has also improved since the rating action in September 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 February 2011 report, the weighted average rating factor is currently 2372 compared to 2637 in the July 2009 report, and securities rated Caa1 or lower make up approximately 4.3% of the underlying portfolio versus 8.5% in July 2009. In addition, there are currently no defaulted securities based on the February 2011 trustee report, compared to $15.9 million in July 2009. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $216 million, a weighted average default probability of 19.7% (implying a WARF of 3203), a weighted average recovery rate upon default of 43.03%, and a diversity score of 43. 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. NYLIM FLATIRON CLO 2004-1 Ltd., issued in October 2004, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's website. 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 six 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, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. This is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARF -20% (2562) -- Class A: 0 -- Class B: +1 -- Class C: +2 -- Class D: +2 Moody's Adjusted WARF +20% (3844) -- Class A: 0 -- Class B: -2 -- Class C: -2 -- Class D: -2 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 manager's investment strategy and behaviour and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) Delevering: The main source of uncertainty in this transaction is whether delevering from unscheduled principal proceeds will continue and at what pace. Delevering may accelerate due to high prepayment levels in the bond and loan markets and/or collateral sales by the manager, which may have significant impact on the notes' ratings. OWS CLO: S&P Raises Ratings on Various Classes of Notes ------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2, X-1, X-2, B, C, and D notes from OWS CLO I Ltd., a collateralized loan obligation transaction managed by Alcentra Ltd. At the same time, S&P removed its ratings on the class A-1 and A-2 notes from CreditWatch with positive implications. The upgrades reflect the improved performance S&P has observed in the transaction and a paydown on the class A-1 outstanding note balance since S&P's January 2010 rating actions. According to the Feb. 28, 2011 trustee report, the transaction held approximately $3 million in defaulted assets, down from $21 million noted in the Nov. 30, 2009, trustee report. Additionally, as of February 2011, the deal held approximately $15 million in assets from obligors rated in the 'CCC' category, down from $33 million in November 2009. The class A overcollateralization ratio improved to 121.21% in February from 106.78% in November 2009. The class A-1 notes paid down $47 million since January 2010. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as S&P deem necessary. Rating And Creditwatch Actions OWS CLO I Ltd. Rating ------ Class To From ----- -- ---- A-1 AAA (sf) AA+ (sf)/Watch Pos A-2 AA+ (sf) A+ (sf)/Watch Pos X-1 A+ (sf) BB+ (sf) X-2 A+ (sf) BB+ (sf) B BBB+ (sf) B (sf) C BB+ (sf) CCC (sf) D CCC+ (sf) CCC- (sf) PACIFICA CDO: S&P Raises Ratings on Various Classes of Notes ------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class A-2L, A-3L, B-1L, and B-2L notes from Pacifica CDO IV Ltd., a collateralized loan obligation transaction managed by Alcentra Ltd. and removed the ratings on the class A-2L and A-3L notes from CreditWatch with positive implications. At the same time, S&P affirmed its ratings on the class A-1L, PN1, PN2, and PN3 notes. The upgrades reflect improved performance S&P has observed in the deal's underlying asset portfolio since its last rating action in December 2009. The affirmation on the class A-1L notes reflects the availability of credit support at the class' current rating level. S&P also affirmed its 'AAA (sf)' ratings on the class PN1 com se, PN2 com se, and PN3 com se notes, whose rated balances are backed by U.S. Treasury principal strips. According to the Feb. 4, 2011, trustee report, the transaction currently holds $13.4 million in 'CCC' rated assets, down from $15.8 million noted in the Nov. 5, 2009, trustee report. In addition, the transaction holds $1.03 million in defaulted securities, down from $14.99 million in November 2009. Accordingly, the transaction's overcollateralization ratios have improved: * The senior class A O/C ratio is 125.66% versus 119.77% in November 2009; * The class A O/C ratio is 115.44% versus 110.14% in November 2009; * The class B-1L O/C ratio is 109.23% versus 104.27% in November 2009; and * The class B-2L O/C ratio is 105.18% versus 100.32% in November 2009. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as S&P deems necessary. Rating And Creditwatch Actions Pacifica CDO IV Ltd. Rating ------ Class To From ----- -- ---- A-2L AA+ (sf) AA (sf)/Watch Pos A-3L A+ (sf) A- (sf)/Watch Pos B-1L BBB+ (sf) BB+ (sf) B-2L BB- (sf) CCC+ (sf) Ratings Affirmed Pacifica CDO IV Ltd. Class Rating ----- ------ A-1L AAA (sf) PN1 Com Se AAA (sf) PN2 Com Se AAA (sf) PN3 Com Se AAA (sf) PANTHER TRAILS: S&P Downgrades Ratings on 2005 Bonds to 'BB' ------------------------------------------------------------ Standard & Poor's Ratings Services has lowered its long-term rating on Panther Trails Community Development District, Fla.'s series 2005 bonds to 'BB' from 'BBB-' due to a high rate of delinquent assessment payments and a low overall value-to-lien ratio after the issuance of the district's series 2011 bonds. The outlook is stable. Factors hampering the credit strength of the bonds include: * An overall value-to-lien ratio of 5 to 1 and more than 50% of individual assessable lots with a value-to-lien ratio less than or equal to 5 to 1, after incorporating the series 2011 bonds; * High payment delinquency rates, which have averaged 16% over the past three fiscal years; and * A high foreclosure rate, with an estimated 13% of total assessments associated with lots that are in some stage of the foreclosure process. Factors supporting the underlying credit quality of the district include its: * Adequate annual debt service coverage by annual special assessments, coupled with a recent history of successful annual tax lien certificate sales through fiscal 2010 (Sept. 30, 2010), despite weakened local housing market conditions; and * Fully developed residential nature. "S&P expects that special assessment collection rates and good collection enforcement procedures will ensure special assessment revenues remain sufficient to pay debt service on the bonds," said Standard & Poor's credit analyst Andrew Teras. Non-ad valorem special assessments imposed and levied on specific land parcels within the community development district and collected by Hillsborough County secure the 2005 bonds. The series 2011 bonds, issued in February 2011 and not rated by Standard & Poor's, are secured by special assessments on the same lands securing the 2005 bonds. However, the series 2011 special assessments are not available to pay the series 2005 bonds and the series 2005 special assessments are not available to pay the series 2011 bonds. PARCS MASTER: S&P Withdraws 'CCC-' Rating on Trust Units -------------------------------------------------------- Standard & Poor's Ratings Services withdrew its rating on the trust units from PARCS Master Trust's series 2007-11 McKinley, a synthetic collateralized debt obligation transaction. The rating withdrawal follows the termination of the trust units. Rating Withdrawn PARCS Master Trust Series 2007-11 McKinley Rating ------ To From -- ---- Trust units NR CCC- (sf) NR - Not rated. PRUDENTIAL SECURITIES: Moody's Takes Rating Actions on Notes ------------------------------------------------------------ Moody's Investors Service upgraded the rating of one class and affirmed five classes of Prudential Securities Secured Financing Corporation, Series Key 2000-C1: -- Cl. X, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. F, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. G, Upgraded to Aaa (sf); previously on Aug 26, 2010 Upgraded to Aa2 (sf) -- Cl. J, Affirmed at Ba2 (sf); previously on Jun 29, 2000 Definitive Rating Assigned Ba2 (sf) -- Cl. K, Affirmed at Caa3 (sf); previously on Aug 26, 2010 Downgraded to Caa3 (sf) -- Cl. M, Affirmed at C (sf); previously on Aug 26, 2010 Downgraded to C (sf) Ratings Rationale The upgrade is due to increased subordination due to loan amortization and payoffs. 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 existing ratings. Moody's rating action reflects a cumulative base expected loss of 14.7% of the current balance. At last review, Moody's cumulative base expected loss was 13.0%. Moody's stressed scenario loss is 18.9% 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 sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, 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 credit estimate 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 credit estimates in the same transaction. 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 8, the same as at Moody's prior review. In cases where the Herf falls below 20, Moody's employs also the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated May 20, 2010. Deal Performance As of the March 17, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 90% to $78.7 million from $816.3 million at securitization. The Certificates are collateralized by 19 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten non-defeased loans representing 70% of the pool. Two loans, representing 6% of the pool, have defeased and are secured by U.S. Government securities. Three loans, representing 13% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the 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. Twenty loans have been liquidated from the pool since securitization, resulting in an aggregate $21.8 million loss (18% loss severity on average). Three loans, representing 20% of the pool, are currently in special servicing. The largest specially serviced loan is the Northcrest Village Shopping Center Loan ($9.7 million -- 12.3% of the pool), which is secured by a 136,275 square foot (SF) retail center located in Carrollton, Texas. The property was 37% leased as of March 2010 compared to 20% at last review. The loan transferred into special servicing in November 2008 and is now real estate owned. The second largest specially serviced loan is the Country Meadow Estates Loan ($3.5 million -- 4.4% of the pool), which is secured by a 187-unit multifamily complex located in Lee's Summit, Missouri. The property was 82% leased as of March 2010 compared to 75% at last review. The loan transferred into special servicing in August 2008 and is now REO. The master servicer has recognized an aggregate $4.1 million appraisal reduction on the specially serviced loans. Moody's has estimated a $7.2 million loss (45% expected loss on average) for the specially serviced loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 99% and 99%, respectively, of the pool's non-defeased loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 71% compared to 80% at last review. Moody's net cash flow reflects a weighted average haircut of 14% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.0%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.29X and 1.62X, respectively, compared to 1.57X and 1.52X 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. The top three performing conduit loans represent 40% of the pool balance. The largest loan is Meadowood Plaza Shopping Center Loan ($11.7 million -- 14.9% of the pool), which is secured by a 100,000 SF retail center located in Reno, Nevada. The center is anchored by Best Buy, Barnes & Noble and Petco. The property was 100% leased as of September 2010, the same as last review. Moody's LTV and stressed DSCR are 77% and 1.40X, respectively, compared to 87% and 1.25X at last review. The second largest loan is Aberfeldy Portfolio Center Loan ($10.9 million -- 13.9% of the pool), which is secured by a six- building portfolio totaling 481,901 SF of office, retail and warehouse space located in various Texas cities. Performance has fluctuated since securitization due to lease rollovers. The portfolio was 92% leased as of September 2010. Moody's LTV and stressed DSCR are 83% and 1.42X, respectively, compared to 106% and 1.11X at last review. The third largest loan is Inman Grove Shopping Center Loan ($8.9 million -- 11.3% of the pool), which is secured by a 112,400 SF grocery anchored retail center located in Edison, New Jersey. The center was 96% leased as of September 2010. Moody's LTV and stressed DSCR are 67% and 1.57X, respectively, compared to 65% and 1.63X at last review. RACERS SERIES: Moody's Upgrades Ratings on Series 2004-2-A Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these certificates issued by RACERS, Series 2004-2-A: -- US$5,000,000 Class A1 Certificates, Upgraded to Baa3 (sf); previously on September 23, 2010 Upgraded to Ba3 (sf); -- US$3,000,000 Class A2 Certificates, Upgraded to Baa3 (sf); previously on September 23, 2010 Upgraded to Ba3 (sf). Ratings Rationale The transaction is a structured note whose rating is based on the rating of the underlying security and the legal structure of the transaction. The rating action is a result of the change of the rating of US$44,000,000 Class A-3 Fixed Rate Senior Secured Notes Due 2012 issued by Arlington Street CDO (Cayman) Ltd., which was upgraded to Baa3 (sf) by Moody's on March 28, 2011. 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 six months. RALI SERIES: Moody's Downgrades Ratings on 242 Tranches ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 242 tranches and confirmed the ratings of 36 tranches from 44 Alt-A deals issued by RALI. The collateral backing these deals primarily consists of first-lien, fixed rate and adjustable rate residential mortgages. Moody's is also reinstating the rating on Class A-9 issued by RALI Series 2003-QS11 Trust. The rating on this tranche was previously withdrawn due to an administrative error. Ratings rationale The actions are a result of deteriorating performance of Alt-A and Option ARM pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued from prior to 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans 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. 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%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. . 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 in performance. 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 2004 vintage, the adjusted rate of new delinquency would be 10.10%. In addition, 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 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Certain tranches in transactions serviced by GMAC Mortgage, LLC's, were placed on review for possible downgrade in 2010 due to two concerns regarding the servicer's practices. Firstly, GMACM used shared custodial bank accounts for multiple RMBS transactions and secondly, GMACM had to suspend foreclosures in 25 states due to irregularities in its foreclosure processes. As GMACM is a subsidiary of C rated Residential Capital, LLC, in case of a default, losses could have been absorbed by the trusts. Since the tranches were placed on review, GMACM has eliminated the use of a common bank account across RMBS deals and set up individual accounts for each transaction. Also, GMACM has reviewed and revamped its foreclosure process, and has lifted its suspension of foreclosure sales and evictions on a case by case basis. The ratings actions are based on recent pool performance and the available credit enhancement. Moody's is not keeping these bond under further review due to the two issues highlighted above as they have been resolved. However, the state attorneys general are engaged in ongoing discussions with several servicers regarding loan modifications and foreclosure procedures. The ultimate settlement of those discussions may entail fines, loan forgiveness, cash payments to borrowers or other features that could reduce future cash flows to RMBS investors. Moody's will continue to monitor the outcome and assess future credit implications on the ratings as the situation evolves. Certain securities, as noted below, are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 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: RALI Series 2001-QS13 Trust -- A-1, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-P, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-V, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2001-QS18 Trust -- Cl. A-1, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2001-QS19 Trust -- Cl. A-2, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2002-QS1 Trust -- Cl. A-9, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2002-QS13 Trust -- A-1, Downgraded to Aa2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-2, Downgraded to Aa2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-7, Downgraded to Aa2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-7A, Downgraded to Aa2 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- A-8, Downgraded to Aa2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-P, Downgraded to Aa2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-V, Downgraded to Aa2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2002-QS14 Trust -- A-10, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-11, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-12, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-P, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2002-QS16 Trust -- A-1, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-2, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-3, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-P, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-V, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2002-QS18 Trust -- A-1, Downgraded to A1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-P, Downgraded to A1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-V, Downgraded to A1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2002-QS2 Trust -- Cl. A-3, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2002-QS5 Trust -- Cl. A-4, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-10, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-12, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2002-QS7 Trust -- Cl. A-7, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-8, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-16, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2002-QS9 Trust -- Cl. A-1, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-10, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2003-QS1 Trust -- A-1, Downgraded to Aa3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-2, Downgraded to Aa3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-3, Downgraded to Aa3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-4, Downgraded to Aa3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-5, Downgraded to Aa3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-6, Downgraded to Aa3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-8, Downgraded to A1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Underlying Rating: Downgraded to A1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-9, Downgraded to Aa3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-10, Downgraded to Aa3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-13, Downgraded to Aa3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-14, Downgraded to Aa3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-P, Downgraded to Aa3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-V, Downgraded to Aa3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2003-QS10 Trust -- Cl. A-1, Downgraded to A1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to A2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to A1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to A1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to A1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Aa3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to A1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to A2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to A2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to A1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to A1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to A1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to A1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to A1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to A1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to A1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to Aa3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2003-QS11 Trust -- Cl. A-1, Downgraded to A3 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to A3 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to A3 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to A3 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to A3 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-9, Reinstated to A3 (sf) -- Cl. A-10, Downgraded to A3 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to A3 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to A3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to A3 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to A3 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to A3 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to A3 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2003-QS12 Trust -- A-1, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-2, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-2A, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-3, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-4, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-5, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-P, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-V, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2003-QS13 Trust -- A-1, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-2, Downgraded to Baa3 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-5, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-6, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-7, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-8, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-9, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-10, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-P, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-V, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2003-QS14 Trust -- A-1, Downgraded to Ba1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-P, Downgraded to Ba1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-V, Downgraded to Ba1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2003-QS15 Trust -- A-1, Downgraded to A1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-2, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-3, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-5, Downgraded to A1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-6, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-7, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-P, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-V, Downgraded to A1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2003-QS16 Trust -- A-1, Downgraded to Ba3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-P, Downgraded to Ba3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-V, Downgraded to Ba3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2003-QS17 Trust -- A-I-1, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-I-2, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-P, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- A-V, Downgraded to A3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- CB-4, Downgraded to A3 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- CB-5, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- CB-6, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- NB-1, Downgraded to A3 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- NB-2, Downgraded to A3 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- NB-3, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- NB-4, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2003-QS18 Trust -- A-1, Downgraded to A3 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- A-P, Downgraded to A3 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- A-V, Downgraded to A3 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2003-QS19 Trust -- A-I, Downgraded to A3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-P, Downgraded to A3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-V, Downgraded to A3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- CB, Downgraded to A3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- NB-1, Downgraded to A3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- NB-2, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- NB-4, Downgraded to A3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- NB-5, Downgraded to A3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- NB-6, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- NB-7, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2003-QS20 Trust -- Cl. A-I, Downgraded to Ba1 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Ba1 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to Ba1 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB, Downgraded to Ba1 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2003-QS23 Trust -- Cl. A-1, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2003-QS3 Trust -- Cl. A-4, Downgraded to A2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2003-QS9 Trust -- Cl. A-1, Downgraded to A3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to A3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to A3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to A3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to A3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2003-QA1 Trust -- Cl. A-I, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-II, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba3 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Mar 3, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2004-QA1 Trust -- Cl. A-I, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-II, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba3 (sf); previously on Mar 3, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Mar 3, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Mar 3, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2004-QA2 Trust -- Cl. A-I, Downgraded to Baa2 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-II, Downgraded to Baa2 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa1 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2004-QA3 Trust -- Cl. CB-I, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-II, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. NB-I-1, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. NB-I-2, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. NB-II-1, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. NB-II-2, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ca (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2004-QA4 Trust -- Cl. CB-I, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. NB-I, Downgraded to B1 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. NB-II-1, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. NB-III, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. NB-II-2, Downgraded to Ba1 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. NB-II-3, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ca (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2004-QA5 Trust -- Cl. A-I, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-IO, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-II, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-III-1, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-III-2, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-III-3, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-III-IO-1, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-III-IO-2, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C (sf); previously on Apr 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2004-QA6 Trust -- Cl. CB-I, Downgraded to Caa1 (sf); previously on Apr 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. CB-II, Downgraded to Caa1 (sf); previously on Apr 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. NB-I, Downgraded to Caa1 (sf); previously on Apr 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. NB-II, Downgraded to Caa1 (sf); previously on Apr 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. NB-III-1, Downgraded to Caa1 (sf); previously on Apr 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. NB-III-2, Downgraded to Ca (sf); previously on Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. NB-III-3, Downgraded to Caa1 (sf); previously on Apr 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. NB-IV, Downgraded to Caa1 (sf); previously on Apr 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C (sf); previously on Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2004-QS1 Trust -- Cl. A-1, Downgraded to Baa3 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ba1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Ba1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ba2 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Baa3 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Ba1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to Baa3 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2004-QS13 Trust -- Cl. A-P, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. CB, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. NB, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2004-QS14 Trust -- Cl. A-1, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2004-QS15 Trust -- Cl. A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa1 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2004-QS16 Trust -- Cl. I-A-1, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-4, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-5, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-P, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-V, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-P, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-V, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2004-QS2 Trust -- Cl. A-I-1, Downgraded to Ba3 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-2, Downgraded to Ba3 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-3, Downgraded to Ba3 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-4, Downgraded to B1 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-5, Downgraded to B1 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to B1 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to Ba3 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB, Downgraded to B1 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2004-QS3 Trust -- Cl. A-I-1, Downgraded to Baa3 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Baa3 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to Baa3 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-II, Downgraded to Baa3 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. CB, Downgraded to Baa3 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2004-QS5 Trust -- Cl. A-1, Downgraded to Baa2 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Baa2 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Baa3 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Baa3 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Baa2 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Baa2 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Baa2 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Baa2 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Baa2 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to Baa2 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2004-QS6 Trust -- Cl. A-1, Downgraded to Ba1 (sf); previously on Mar 3, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Ba1 (sf); previously on Mar 3, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to Ba1 (sf); previously on Mar 3, 2010 A2 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2004-QS9 Trust -- Cl. A-1, Downgraded to B1 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to B1 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-V, Downgraded to B1 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade RESIDENTIAL ASSET: Moody's Downgrades Ratings on 75 Tranches ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 75 tranches and confirmed the ratings of three tranches from 16 Subprime deals issued by Residential Asset Securities Corporation. The collateral backing these deals primarily consists of first- lien, fixed and adjustable-rate Subprime residential mortgages. Ratings rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. Certain tranches in transactions serviced by GMAC Mortgage, LLC's (GMACM), were placed on review for possible downgrade in 2010 due to two concerns regarding the servicer's practices. Firstly, GMACM used shared custodial bank accounts for multiple RMBS transactions and secondly, GMACM had to suspend foreclosures in 25 states due to irregularities in its foreclosure processes. As GMACM is a subsidiary of C rated Residential Capital, LLC (RFC), in case of a default, losses could have been absorbed by the trusts. Since the tranches were placed on review, GMACM has eliminated the use of a common bank account across RMBS deals and set up individual accounts for each transaction. Also, GMACM has reviewed and revamped its foreclosure process, and has lifted its suspension of foreclosure sales and evictions on a case by case basis. The ratings actions are based on recent pool performance and the available credit enhancement. Moody's is not keeping the bond under further review due to the two issues highlighted as they have been resolved. However, the state attorneys general are engaged in ongoing discussions with several servicers regarding loan modifications and foreclosure procedures. The ultimate settlement of those discussions may entail fines, loan forgiveness, cash payments to borrowers or other features that could reduce future cash flows to RMBS investors. Moody's will continue to monitor the outcome and assess future credit implications on the ratings as the situation evolves. Certain securities, as noted below, are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 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: RASC Series 2001-KS2 Home Equity Mortgage Asset-Backed Pass-Through Certificates, Series 2001-KS2 -- Cl. A-I-5, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to Caa1 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-II, Downgraded to B1 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: RASC Series 2001-KS3 Trust -- A-I-5, Downgraded to Caa2 (sf); previously on Mar 3, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- A-I-6, Downgraded to Caa1 (sf); previously on Mar 3, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- A-II, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa3 (sf) Remained On Review for Possible Downgrade -- M-I-1, Downgraded to C (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- M-II-1, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- M-II-2, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RASC Series 2002-KS1 Trust -- Cl. A-I-5, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-6, Downgraded to Caa2 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-IIA, Downgraded to Caa3 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-IIB, Downgraded to Caa3 (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RASC Series 2002-KS4 Trust -- Cl. A-I-5, Downgraded to Caa3 (sf); previously on Dec 2, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-6, Downgraded to Caa2 (sf); previously on Dec 2, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-IIA, Downgraded to Ca (sf); previously on Dec 2, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-IIB, Downgraded to Ca (sf); previously on Dec 2, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RASC Series 2002-KS8 Trust -- A-5, Downgraded to Caa3 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- A-6, Downgraded to Caa2 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RASC Series 2003-KS10 Trust -- Cl. A-I-4, Downgraded to A2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-5, Downgraded to A2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to A1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: RASC Series 2003-KS2 Trust -- Cl. A-I-5, Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-3, Downgraded to C (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: RASC Series 2003-KS6 Trust -- Cl. A-I, Downgraded to Caa1 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-II, Downgraded to Caa1 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: RASC Series 2003-KS7 Trust -- Cl. A-I-5, Downgraded to Ba2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to Ca (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to C (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-3, Downgraded to C (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: RASC Series 2003-KS8 Trust -- Cl. A-I-4, Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-5, Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to Caa2 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to C (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-3, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: RASC Series 2004-KS10 Trust -- Cl. A-I-3, Downgraded to A1 (sf); previously on Sep 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-II-1, Downgraded to A1 (sf); previously on Sep 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-II-2, Downgraded to A1 (sf); previously on Sep 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa2 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: RASC Series 2004-KS11 Trust -- Cl. A-I-3, Confirmed at Aaa (sf); previously on Sep 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-II-1, Confirmed at Aaa (sf); previously on Sep 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-II-2, Confirmed at Aaa (sf); previously on Sep 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: RASC Series 2004-KS12 Trust -- Cl. M-1, Downgraded to Ba3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RASC Series 2004-KS8 Trust -- Cl. A-I-4, Downgraded to Ba2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-5, Downgraded to Ba2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to Ca (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to C (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-3, Downgraded to C (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-2, Downgraded to C (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: RASC Series 2004-KS9 Trust -- Cl. A-I-4, Downgraded to Caa2 (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa2 (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. A-I-5, Downgraded to Caa3 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa3 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. A-I-6, Downgraded to Caa2 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa2 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. A-II-3, Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. A-II-4, Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: Residential Asset Securities Corporation, Series 2002-KS2 -- Cl. A-I-5, Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aa2 (sf) Remained On Review for Possible Downgrade -- Cl. A-I-6, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Remained On Review for Possible Downgrade -- Cl. M-I-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa3 (sf) Remained On Review for Possible Downgrade -- Cl. M-I-2, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade RESIDENTIAL ASSET: Moody's Downgrades Ratings on 222 Tranches ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 222 tranches and confirmed the ratings of five tranches from 39 Subprime deals issued by Residential Asset Mortgage Products. The collateral backing these deals primarily consists of first- lien, fixed and adjustable-rate Subprime residential mortgages. Ratings rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. Certain tranches in transactions serviced by GMAC Mortgage, LLC's (GMACM), were placed on review for possible downgrade in 2010 due to two concerns regarding the servicer's practices. Firstly, GMACM used shared custodial bank accounts for multiple RMBS transactions and secondly, GMACM had to suspend foreclosures in 25 states due to irregularities in its foreclosure processes. As GMACM is a subsidiary of C rated Residential Capital, LLC, in case of a default, losses could have been absorbed by the trusts. Since the tranches were placed on review, GMACM has eliminated the use of a common bank account across RMBS deals and set up individual accounts for each transaction. Also, GMACM has reviewed and revamped its foreclosure process, and has lifted its suspension of foreclosure sales and evictions on a case by case basis. The ratings actions are based on recent pool performance and the available credit enhancement. Moody's is not keeping these bond under further review due to the two issues highlighted above as they have been resolved. However, the state attorneys general are engaged in ongoing discussions with several servicers regarding loan modifications and foreclosure procedures. The ultimate settlement of those discussions may entail fines, loan forgiveness, cash payments to borrowers or other features that could reduce future cash flows to RMBS investors. Moody's will continue to monitor the outcome and assess future credit implications on the ratings as the situation evolves. Certain securities, as noted below, are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 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: RAMP Mortgage Asset-Backed Pass-Through Certificates, Series 2001-RS1 -- Cl. A-II, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa3 (sf) Remained On Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-4, Downgraded to Caa2 (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RAMP Series 2001-RS3 Trust -- A-II, Downgraded to Caa1 (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- A-I-5, Downgraded to Caa2 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RAMP Series 2002-RS2 Trust -- Cl. A-I-5, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to B1 (sf); previously on Mar 3, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to Ca (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2002-RS3 Trust -- Cl. A-I-5, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-II-1, Downgraded to A3 (sf); previously on Sep 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to C (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-1, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-3, Downgraded to C (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-II-S, Downgraded to A3 (sf); previously on Sep 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2002-RS4 Trust -- Cl. A-I-5, Downgraded to B3 (sf); previously on Apr 8, 2010 Baa3 (sf) Remained On Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-6, Downgraded to B2 (sf); previously on Apr 8, 2010 Baa3 (sf) Remained On Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RAMP Series 2002-RS5 Trust -- Cl. A-I-5, Downgraded to B3 (sf); previously on Apr 8, 2010 Baa3 (sf) Remained On Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-6, Downgraded to B2 (sf); previously on Apr 8, 2010 Baa3 (sf) Remained On Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-II, Downgraded to B2 (sf); previously on Apr 8, 2010 Baa3 (sf) Remained On Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RAMP Series 2002-RS6 Trust -- Cl. A-I-5, Downgraded to Caa1 (sf); previously on Mar 3, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-6, Downgraded to B3 (sf); previously on Mar 3, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-7, Downgraded to Caa1 (sf); previously on Mar 3, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-II, Downgraded to Caa3 (sf); previously on Mar 3, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RAMP Series 2002-RS7 Trust -- A-1, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RAMP Series 2002-RZ2 Trust -- Cl. M-2, Downgraded to Ba3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Confirmed at Ca (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2002-RZ3 Trust -- Cl. M-1, Downgraded to Baa3 (sf); previously on Sep 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Aug 24, 2010 Downgraded to Caa1 (sf) and Remained On Review for Possible Downgrade Issuer: RAMP Series 2002-RZ4 Trust -- Cl. A, Confirmed at A3 (sf); previously on Mar 3, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RAMP Series 2003-RS1 Trust -- Cl. A-I-5, Downgraded to Caa1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to B3 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-II, Downgraded to Ca (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. M-I-1, Downgraded to Ca (sf); previously on Mar 3, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2003-RS10 Trust -- Cl. A-I-6, Downgraded to A2 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-7, Downgraded to A1 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to B1 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-3, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-1, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-3, Downgraded to C (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-4, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2003-RS11 Trust -- A-I-6A, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Remained On Review for Possible Downgrade -- A-I-6B, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Remained On Review for Possible Downgrade -- Underlying Rating: Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- A-I-7, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Remained On Review for Possible Downgrade -- M-I-1, Downgraded to Caa1 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- M-I-2, Downgraded to Ca (sf); previously on Mar 3, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- M-I-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- M-II-1, Downgraded to A3 (sf); previously on Mar 3, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- M-II-2, Downgraded to Caa3 (sf); previously on Mar 3, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- M-II-3, Downgraded to Ca (sf); previously on Mar 3, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- M-II-4, Downgraded to C (sf); previously on Mar 3, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- M-II-5, Downgraded to C (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2003-RS2 Trust -- Cl. A-I-5, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-6, Downgraded to Caa1 (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-II, Downgraded to B2 (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RAMP Series 2003-RS3 Trust -- Cl. A-I-4, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-5, Downgraded to Caa1 (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-II, Downgraded to Caa2 (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RAMP Series 2003-RS4 Trust -- Cl. A-I-5, Downgraded to Caa1 (sf); previously on Apr 8, 2010 Baa2 (sf) Remained On Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-6, Downgraded to B3 (sf); previously on Apr 8, 2010 Baa2 (sf) Remained On Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-II-A, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa2 (sf) Remained On Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-II-B, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RAMP Series 2003-RS5 Trust -- A-I-5, Downgraded to B3 (sf); previously on Mar 3, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- A-I-6, Downgraded to B2 (sf); previously on Mar 3, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- A-II-A, Downgraded to B1 (sf); previously on Mar 3, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- A-II-B, Downgraded to B1 (sf); previously on Mar 3, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RAMP Series 2003-RS6 Trust -- Cl. A-I-5, Downgraded to Caa1 (sf); previously on Apr 8, 2010 Baa3 (sf) Remained On Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-6, Downgraded to B3 (sf); previously on Apr 8, 2010 Baa3 (sf) Remained On Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-II-A, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa2 (sf) Remained On Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-II-B, Downgraded to Caa2 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RAMP Series 2003-RS7 Trust -- A-I-5, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- A-I-6, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-I-1, Downgraded to B2 (sf); previously on Mar 3, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- M-I-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- M-I-3, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- M-II-1, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-II-2, Downgraded to B3 (sf); previously on Mar 3, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- M-II-3, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2003-RS8 Trust -- A-I-6A, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-I-6B, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- A-I-7, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-I-8, Downgraded to Baa2 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-I-1, Downgraded to Caa3 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-I-2, Downgraded to Ca (sf); previously on Mar 3, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- M-I-3, Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- M-II-1, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-II-2, Downgraded to B3 (sf); previously on Mar 3, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- M-II-3, Downgraded to C (sf); previously on Mar 3, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- M-II-4, Downgraded to C (sf); previously on Sep 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- M-II-5, Downgraded to C (sf); previously on Sep 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2003-RS9 Trust -- Cl. A-I-6A, Downgraded to Ba2 (sf); previously on Apr 8, 2010 Aa2 (sf) Remained On Review for Possible Downgrade -- Cl. A-I-6B, Downgraded to Ba2 (sf); previously on Apr 8, 2010 Aa2 (sf) Remained On Review for Possible Downgrade -- Underlying Rating: Downgraded to Ba2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-7, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aa2 (sf) Remained On Review for Possible Downgrade -- Cl. M-I-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A2 (sf) Remained On Review for Possible Downgrade -- Cl. M-I-2, Downgraded to C (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-3, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-1, Downgraded to Ba3 (sf); previously on Apr 8, 2010 A2 (sf) Remained On Review for Possible Downgrade -- Cl. M-II-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Remained On Review for Possible Downgrade -- Cl. M-II-3, Downgraded to C (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-4, Downgraded to C (sf); previously on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2003-RZ2 Trust -- Cl. A-1, Downgraded to A3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to A3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. M-1, Downgraded to Ba1 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2 (sf); previously on Mar 3, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Mar 3, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2003-RZ3 Trust -- Cl. A-5-A, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5-B, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-6, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Mar 3, 2010 A2 (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2003-RZ4 Trust -- Cl. A-6, Downgraded to Baa3 (sf); previously on Apr 8, 2010 Aaa (sf) Remained On Review for Possible Downgrade -- Underlying Rating: Downgraded to Baa3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-7, Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aaa (sf) Remained On Review for Possible Downgrade -- Cl. M-1, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa2 (sf) Remained On Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2 (sf); previously on Apr 8, 2010 A3 (sf) Remained On Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Remained On Review for Possible Downgrade Issuer: RAMP Series 2003-RZ5 Trust -- A-6-A, Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aaa (sf) Remained On Review for Possible Downgrade -- A-6-B, Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aaa (sf) Remained On Review for Possible Downgrade -- Underlying Rating: Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- A-7, Downgraded to Baa1 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1, Downgraded to Caa1 (sf); previously on Mar 3, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- M-2, Downgraded to Ca (sf); previously on Mar 3, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2004-RS1 Trust -- A-I-6A, Downgraded to Ba2 (sf); previously on Mar 3, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- A-I-6B, Downgraded to Ba2 (sf); previously on Mar 3, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Ba2 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade* -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- A-I-7, Downgraded to Ba1 (sf); previously on Mar 3, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- M-I-1, Downgraded to Caa3 (sf); previously on Mar 3, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- M-I-2, Downgraded to C (sf); previously on Mar 3, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- M-I-3, Downgraded to C (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- M-II-1, Downgraded to Baa1 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- M-II-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- M-II-3, Downgraded to C (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2004-RS10 Trust -- Cl. A-I-4, Downgraded to A1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-5, Downgraded to A2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to A1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-1, Confirmed at Aa2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-3, Downgraded to C (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-4, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-3, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2004-RS11 Trust -- Cl. M-1, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2004-RS12 Trust -- Cl. A-I-4, Downgraded to Aa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-5, Downgraded to Aa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to Aa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to B2 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to C (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-3, Downgraded to C (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-2, Confirmed at Aa3 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-3, Confirmed at A1 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-4, Downgraded to Ba3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-5, Downgraded to C (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-6, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2004-RS2 Trust -- Cl. A-I-4, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-5, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to Ca (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to C (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-3, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-1, Downgraded to B1 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-2, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-3, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2004-RS3 Trust -- Cl. A-I-4, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-5, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba3 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2004-RS4 Trust -- Cl. A-I-5, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-1, Downgraded to Ba2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-2, Downgraded to Ca (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-3, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2004-RS5 Trust -- Cl. A-I-5, Downgraded to Caa2 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-6, Downgraded to Caa1 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. M-II-1, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aa2 (sf) Remained On Review for Possible Downgrade -- Cl. M-II-2, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa2 (sf) Remained On Review for Possible Downgrade -- Cl. M-II-3, Downgraded to C (sf); previously on Apr 8, 2010 Baa3 (sf) Remained On Review for Possible Downgrade -- Cl. M-II-4, Downgraded to C (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-5, Downgraded to C (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2004-RS6 Trust -- Cl. A-I-4, Downgraded to A2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-5, Downgraded to A3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to A2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to B2 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-3, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-1, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-3, Downgraded to C (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-4, Downgraded to C (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2004-RS7 Trust -- Cl. A-I-4, Downgraded to Caa1 (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa1 (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade* -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. A-I-5, Downgraded to Caa2 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa2 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade* -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. A-I-6, Downgraded to Caa1 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa1 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade* -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. A-II-A, Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade* -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. A-II-B2, Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade* -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. A-III, Downgraded to Caa2 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa2 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade* -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: RAMP Series 2004-RS8 Trust -- Cl. A-I-4, Downgraded to Ba3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-5, Downgraded to B1 (sf); previously on Sep 27, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to Ba3 (sf); previously on Sep 27, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-II-3, Downgraded to Aa1 (sf); previously on Sep 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Downgraded to Caa3 (sf); previously on Sep 27, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to C (sf); previously on Sep 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-1, Downgraded to B1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-3, Downgraded to C (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-4, Downgraded to C (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2004-RS9 Trust -- Cl. A-I-4, Downgraded to Caa1 (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-5, Downgraded to Caa2 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-6, Downgraded to Caa1 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. M-II-1, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-3, Downgraded to C (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-4, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: RAMP Series 2004-RZ1 Trust -- A-I-6, Downgraded to Aa3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-I-7, Downgraded to Aa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- A-II, Downgraded to A1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1, Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- M-3, Downgraded to C (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- M-4, Downgraded to C (sf); previously on Jul 6, 2010 Downgraded to Caa1 (sf) and Remained On Review for Possible Downgrade RESIDENTIAL MORTGAGE: Moody's Cuts Rating on Notes to 'Caa1' ------------------------------------------------------------ Moody's Investors Service has downgraded the rating of the Secured Floating Rate Notes issued by Residential Mortgage Securities Funding 2008-7 from Caa1 to Caa3. Issuer: Residential Mortgage Securities Funding 2008-7, Ltd. -- Secured Floating Rate Notes, Downgraded to Caa3 (sf); previously on Jan 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The action is as a result of the bond not having sufficient credit enhancement to maintain the current rating when compared to the revised loss expectation on the pools of mortgages backing the underlying certificates. The resecuritization is backed by two underlying certificates: Class 1-A-3 issued by Wells Fargo 2005-14, which is backed primarily by first-lien, Alt-A residential mortgage loans and Class 1A3 issued by CitiMortgage 2007-A5, which is backed primarily by first-lien, Prime Jumbo residential mortgage loans. The resecuritization has only senior notes that absorb all losses and receive all payments from the underlying certificates. Moody's ratings on the resecuritization notes are based on: (i) The updated expected loss on the pools of loans backing the underlying certificates and the updated ratings on the underlying certificates. (ii) The credit enhancement available to the underlying certificates, and (iii) The structure of the resecuritization transaction. Moody's first updated its loss assumption on the underlying pools of mortgage loans (backing the underlying certificates) and then arrived at updated ratings on the underlying certificates. The ratings on the underlying certificates are based on expected recoveries on the bonds under ninety-six different combinations of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. 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. As part of the sensitivity analysis, Moody's stressed the updated expected loss on the pools of loans backing the underlying certificates by an additional 10% and found that the implied rating of the resecuritized notes does not change. Moody's Investors Service received and took into account a third party due diligence report on the underlying assets or financial instruments in this transaction and the due diligence reports had neutral impact on the ratings. RICHLAND TOWERS: Fitch Rates Class B Notes at 'BB-' --------------------------------------------------- Fitch Ratings rates Richland Towers, LLC secured multi-use communication tower revenue notes, series 2011-1: -- $143,000,000 class A 'Asf'; Outlook Stable; -- $45,000,000 class B 'BB-sf'; Outlook Stable. For a detailed description of Fitch's rating analysis including key rating drivers, stresses, rating sensitivity analysis, model, criteria application and data adequacy please see the presale report 'Richland Towers, LLC Secured Multi-Use Communication Tower Revenue Notes, Series 2011-1', dated March 15, 2011, and available on Fitch's web site 'www.fitchratings.com.' Hearst Television is a tenant in occupancy at three of the collateral tower site assets and represents approximately 2.2% of the annualized run rate revenue. Hearst Television is a wholly owned subsidiary of Hearst Corporation. The Hearst Corporation also owns a 40% interest in the parent company of Fitch Ratings. ROSEDALE CLO: S&P Raises Ratings on Various Classes of Notes ------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class A-1A, A-1D, A-1R, A-1J, B, C, D-1, and D-2 notes from Rosedale CLO Ltd., a collateralized loan obligation transaction managed by Princeton Advisory Group Inc. At the same time, S&P removed its ratings on the class A-1A, A-1D, A-1R, and A-1J notes from CreditWatch, where S&P placed them with positive implications on Jan. 4, 2011. S&P also affirmed its ratings on the class X, A-1S, and E notes. The upgrades reflect the improved performance of the collateral in the deal's underlying asset portfolio since S&P's Nov. 25, 2009 rating actions. At that time S&P downgraded all of the rated notes, except class X, following the application of its September 2009 corporate collateralized debt obligation criteria. As of the Feb. 28, 2011 trustee report, the transaction had $9.4 million in defaulted assets. This was down from $27.2 million, as reported in the Oct. 19, 2009, trustee report, which S&P referenced for its November 2009 rating actions. Additionally, assets from obligors rated in the 'CCC' category were reported at $13.4 million in February 2011, compared with $22.2 million in October 2009. The transaction has also benefited from an increase in the overcollateralization available to support the rated notes. The trustee reported these O/C ratios in the Feb. 28, 2011, monthly report: * The class A/B O/C ratio was 119.98%, compared with a reported ratio of 110.27% in October 2009; * The class C O/C ratio was 112.58%, compared with a reported ratio of 103.59% in October 2009; * The class D O/C ratio was 106.29%, compared with a reported ratio of 98.22% in October 2009; and * The class E O/C ratio was 102.39%, compared with a reported ratio of 94.91% in October 2009. The affirmations of S&P's ratings on the class X, A-1S, and E notes reflect the credit support available to them at the current rating levels. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as S&P deems necessary. Rating And Creditwatch Actions Rosedale CLO Ltd. Rating ------ Class To From ----- -- ---- A-1A AA (sf) A+ (sf)/Watch Pos A-1D AA (sf) A+ (sf)/Watch Pos A-1R AA (sf) A+ (sf)/Watch Pos A-1J AA (sf) A+ (sf)/Watch Pos B A+ (sf) BBB+ (sf) C BBB (sf) BB- (sf) D-1 BB- (sf) CCC- (sf) D-2 BB- (sf) CCC- (sf) Ratings Affirmed Rosedale CLO Ltd. Class Rating ----- ------ X AAA (sf) A-1S AA+ (sf) E CCC- (sf) Transaction Information ----------------------- Issuer: Rosedale CLO Ltd. Coissuer: Rosedale CLO LLC Collateral manager: Princeton Advisory Group Inc. Underwriter: Dresdner Kleinwort Trustee: Wells Fargo Bank N.A. Transaction type: Cash flow CLO ROYAL BANK: S&P Withdraws 'CCC-' Rating on Aspen 2006-31 Swap ------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its 'CCC-srp (sf)' rating on the series Aspen 2006-31 credit default swap issued by Royal Bank of Canada, London Branch, between Desjardins Securite Financiere and Compagnie d'Assurance Vie. Series Aspen 2006-31 is a synthetic collateralized debt obligation transaction. S&P withdrew the rating at the arranger's request. SALOMON BROTHERS: Moody's Reviews Ratings on 2000-C2 Certificates ----------------------------------------------------------------- Moody's Investors Service placed six classes of Salomon Brothers Mortgage Securities VII, Inc., Commercial Mortgage Pass-Through Certificates, Series 2000-C2 on review for possible downgrade: -- Cl. X, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. C, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. D, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. E, A1 (sf) Placed Under Review for Possible Downgrade; previously on Aug 4, 2010 Confirmed at A1 (sf) -- Cl. F, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Aug 4, 2010 Downgraded to Ba1 (sf) -- Cl. G, B3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 4, 2010 Downgraded to B3 (sf) The classes were placed on review due to an increase in interest shortfalls due to the servicer, KeyCorp Real Estate Capital Markets, Inc., recovering approximately $400,000 in advances on the Diamond Point Plaza Loan, the largest delinquent specially serviced loan in the pool. This loan was declared non-recoverable on December 10, 2009, and based on the most recent remittance statement there is here is approximately $7.0 million in outstanding advances, including principal and interest, property protection and litigation fees. 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 4, 2010. Deal And Performance Summary As of the March 18, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 88% to $92.5 million from $781.5 million at securitization. The Certificates are collateralized by 28 mortgage loans ranging in size from less than 1% to 28% of the pool, with the top ten non-defeased loans representing 81% of the pool. Two loans, representing 6% of the pool, have defeased and are secured by U.S. Government securities. Two loans, representing 4% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (formerly the Commercial Mortgage Securities Association) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Fourteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $33.0 million (54% loss severity). Eleven loans, representing 80% of the pool, are currently in special servicing. The specially serviced loans are secured by a mix of multifamily, retail, office, assisted living and industrial property types. The master servicer has recognized an aggregate $25.9 million appraisal reduction for seven of the specially serviced loans. The largest delinquent specially serviced loan is the Diamond Point Plaza Loan ($14.2 million -- 15.3% of the pool), which is secured by a 251,000 square foot retail center located in suburban Baltimore, Maryland. The loan was transferred to special servicing in June 2002 and became real estate owned in February 2006. The trust initiated a suit against the borrower for fraud and Wal-Mart, the parent of Sam's Club, for vacating the center prior to its lease expiration. In December 2005 the trust was awarded $2.0 million from Wal-Mart, which it has collected, and a $20.9 million judgment against the borrower and its affiliates. The special servicer, ORIX Capital Markets LLC, is still pursuing legal action against the borrower to collect the settlement. Prior to the March 18, 2011 distribution, the master servicer had been recouping approximately $30,000 of funds previously advanced on this loan monthly. This process was briefly halted during the three month period between December 2010 and February 2011. However, an additional $400,000 in trust expenses associated with this loan was recouped in the March 2011 remittance statement, thereby affecting Classes D through G. This dramatic increase in recovered trust expenses is the main driver for the increase in interest shortfalls which are now affecting investment grade bond classes. At this time, it is unclear as to the total amount the master servicer will be recouping on previous advances in future months. As a result, it is currently unknown if interest shortfalls will increase, remain stable or decrease by the next remittance statement. Moody's review will focus on the current reduced interest payments available to the trust as well as the potential impact future interest shortfalls will have on the trust certificates. SARGAS CLO: S&P Affirms 'B+' Rating on Class E Notes ---------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the class B notes from Sargas CLO II Ltd., a collateralized loan obligation transaction managed by Pangaea Asset Management LLC. S&P removed its ratings on the class B and C notes from CreditWatch, where S&P placed them with positive implications on Jan. 3, 2011. At the same time, S&P affirmed its ratings on the class A-2, C, D, and E notes. The upgrade reflects $108.82 million in paydowns to the class A-1 and A-2 note balances since S&P's last rating action in March 2010. The class A-1 notes were paid down completely in December 2010 and the class A-2 notes have approximately 40% of their original balance outstanding. The affirmations on the class A-2, C, D, and E notes reflect the availability of credit support at their current rating levels. According to the Feb. 28, 2011, trustee report, the transaction currently holds $34.5 million in 'CCC' rated assets, down from $52.9 million noted in the Jan. 5, 2010, trustee report. In addition, the transaction holds $26.4 million in defaulted securities, up from $14.8 million in January 2010. Accordingly, the transaction's overcollateralization ratios have improved: * The class A O/C ratio is 355.87% versus 149.52% in January 2010; and * The class E O/C ratio is 111.47% versus 105.41% in January 2010. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as S&P deems necessary. Rating And Creditwatch Action Sargas CLO II Ltd. Rating ------ Class To From ----- -- ---- B AA+ (sf) AA (sf)/Watch Pos C A (sf) A (sf)/Watch Pos Ratings Affirmed Sargas CLO II Ltd. Class Rating ----- ------ A-2 AAA (sf) D BBB (sf) E B+ (sf) SASCO 2007-BHC1: Fitch Takes Rating Actions on Various Classes -------------------------------------------------------------- Fitch Ratings has downgraded one and affirmed 16 classes issued by SASCO 2007-BHC1 Trust as a result of significant negative credit migration and increased interest shortfalls on the underlying collateral. Since Fitch's last rating action in May 2010, approximately 79.9% of the portfolio has been downgraded. Currently, 99.2% of the underlying collateral has a Fitch derived rating below investment grade and 86.8% has a rating in the 'CCC' category or lower, compared to 95.2% and 18.4% at the last review. As of the Jan. 31, 2011 trustee report, 51.4% of the portfolio is experiencing interest shortfalls, compared to 20.1% at the last review. This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Structured Finance CDOs'. However, given the portfolio's distressed nature, Fitch believes that the probability of default for all classes of notes can be evaluated without factoring potential further losses from the non-defaulted portion of the portfolio. Therefore, this transaction was not modeled using the Structured Finance Portfolio Credit Model. For the class A-1 through S notes, Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class A notes have been downgraded to 'CCsf', indicating that default is probable. Similarly, the class A-2 through S notes have been affirmed at 'Csf', indicating that default is inevitable. Additionally, Fitch has withdrawn the rating of the interest-only class X. SASCO 2007-BHC1 is backed by 88 mezzanine tranches from 42 commercial mortgage backed securities transactions. Approximately 85.2% are from the 2006 vintage, while the balance is from the 2005 (12.7%) and 2004 (2.1%) vintages. The transaction closed March 15, 2007. Fitch has taken these actions as indicated: -- $350,912,000 class A-1 notes downgraded to 'CCsf' from 'CCCsf'; -- $68,929,000 class A-2 notes affirmed at 'Csf'; -- $16,292,000 class B notes affirmed at 'Csf'; -- $10,026,000 class C notes affirmed at 'Csf'; -- $3,133,000 class D notes affirmed at 'Csf'; -- $8,146,000 class E notes affirmed at 'Csf'; -- $5,013,000 class F notes affirmed at 'Csf'; -- $6,266,000 class G notes affirmed at 'Csf'; -- $8,146,000 class H notes affirmed at 'Csf'; -- $4,386,000 class J notes affirmed at 'Csf'; -- $5,013,000 class K notes affirmed at 'Csf'; -- $3,759,000 class L notes affirmed at 'Csf'; -- $1,253,000 class M notes affirmed at 'Csf'; -- $1,253,000 class N notes affirmed at 'Csf'; -- $2,506,000 class P notes affirmed at 'Csf'; -- $1,253,000 class Q notes affirmed at 'Csf'; -- $1,253,000 class S notes affirmed at 'Csf'; -- Interest-only class X withdrawn. SIERRA TIMESHARE: Fitch Assigns Ratings on 2011-1 Notes ------------------------------------------------------- Fitch Ratings assigns ratings to Sierra Timeshare 2011-1 Receivables Funding LLC. The Rating Outlook is Stable for all classes of notes. Fitch's stress and rating sensitivity analysis are discussed in the presale report titled 'Sierra Timeshare 2011-1 Receivables Funding LLC,' dated March 14, 2011, which is available on Fitch's web site at 'www.fitchratings.com'. Fitch has taken these rating actions: Sierra Timeshare 2011-1 Receivables Funding LLC: -- $295,920,000 class A vacation timeshare loan backed notes 'Asf'; Outlook Stable; -- $79,590,000 class B vacation timeshare loan backed notes 'BBBsf'; Outlook Stable; -- $24,490,000 class C vacation timeshare loan backed notes 'BB- sf'; Outlook Stable. SIERRA TIMESHARE: S&P Assigns 'BB' Rating to Class C Notes ---------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Sierra Timeshare 2011-1 Receivables Funding LLC's $400 million vacation timeshare loan-backed notes. The ratings reflect S&P's opinion of the credit enhancement available in the form of subordination, overcollateralization, a reserve account, and available excess spread. S&P's ratings also reflect its view of Wyndham Consumer Finance Inc.'s servicing ability and experience in the timeshare market. Ratings Assigned Sierra Timeshare 2011-1 Receivables Funding LLC Class Rating Amount (mil. $) ----- ------ --------------- A A (sf) 295.92 B BBB- (sf) 79.59 C BB (sf) 24.49 SLM STUDENT: Fitch Affirms Ratings on Senior Student Loans ---------------------------------------------------------- Fitch Ratings affirms the senior student loan-backed notes at 'AAAsf' and the subordinate student loan-backed note at 'BBsf' issued by SLM Student Loan Trust 2004-1. The collateral supporting the notes are student loans originated under the Federal Family Education Loan Program. The Rating Outlook is Stable. The ratings on the SLM Student Loan Trust 2004-1 senior and subordinate notes are affirmed based on sufficient level of credit enhancement to cover the applicable basis factor stresses. Credit enhancement consists of overcollateralization, subordination, and projected excess spread. The senior class A notes benefit from the subordination provided by the lower priority note. The loans are serviced and originated by SLM Corp. SLM Corp. provides funds for education loans, primarily federal guaranteed student loans originated under the FFELP. SLM Corp. and its subsidiaries are not sponsored by or are agencies of the U.S. government. Fitch has assigned SLM Corp. a long- and short-term Issuer Default Ratings of 'BBB-' and 'F3', respectively. Fitch has taken these rating actions: SLM Student Loan Trust 2004-1: -- Class A-2 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Class A-3 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Class A-4 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Class A-5 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Class A-6 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Class B affirmed at 'BBsf/LS3'; Outlook Stable. SLM STUDENT: Fitch Affirms Ratings on Various Classes of Notes -------------------------------------------------------------- Fitch Ratings affirms the senior notes at 'AAAsf' and subordinate student loan note at 'BBsf' issued by SLM Student Loan Trust Series 2004-3. The Rating Outlook remains Stable for both senior and subordinate bonds. The ratings on the senior and subordinate notes are affirmed based on the sufficient level of credit enhancement to cover the applicable basis factor stress. Credit enhancement consists of subordination, overcollateralization and the projected excess spread. Additionally, the class A notes benefit from subordination provided by the lower priority notes. The loans are serviced and originated by SLM Corp. SLM Corp. provides funds for educational loans, primarily federal guaranteed student loans originated under the FFELP. SLM Corp. and its subsidiaries are not sponsored by or agencies of the U.S. government. Fitch has assigned SLM Corp. a long- and short-term Issuer Default Ratings of 'BBB-' and 'F3', respectively. SLM Student Loan Trust Series 2004-3: -- Class A-4 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Class A-5 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Class A-6A affirmed at 'AAAsf/LS1'; Outlook Stable; -- Class A-6B affirmed at 'AAAsf/LS1'; Outlook Stable; -- Class B affirmed at 'BBsf/LS3'; Outlook Stable. SOUTH COAST: S&P Downgrades Ratings on Two Classes of Notes to 'D' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on the class A-2 and A-3 notes from South Coast Funding II Ltd. to 'D (sf)'. At the same time, S&P affirmed its 'CC (sf)' rating on the class A-1 notes. The downgrades reflect a default in the payment of interest due on the class A-2 and A-3 notes, which are nondeferrable notes. The rating actions are consistent with S&P's criteria for ratings on collateralized debt obligation transactions that have triggered an event of default and may be subject to acceleration or liquidation. Ratings Lowered South Coast Funding II Ltd. Rating ------ Class To From ----- -- ---- A-2 D (sf) CC (sf) A-3 D (sf) CC (sf) Rating Affirmed South Coast Funding II Ltd. Class Rating ----- ------ A-1 CC (sf) STEERS MORNINGSIDE: S&P Withdraws 'B+' Rating on 2005-4 Certs. -------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its 'B+ (sf)' rating on the trust certificates issued by Steers Morningside Heights CDO Trust Series 2005-4, a synthetic collateralized debt obligation of a corporate CDO transaction. The rating withdrawal follows the termination of the notes pursuant to the Feb. 4, 2011, amendment and termination agreement. Rating Withdrawn Steers Morningside Heights CDO Trust Series 2005-4 Rating ------ Class To From ----- -- ---- Trust Cert NR B+ (sf) NR - Not rated. STILLMAN COLLEGE: S&P Downgrades Rating on Two Bonds to 'BB+' ------------------------------------------------------------- Standard & Poor's Rating Services lowered its long-term rating to 'BB+' from 'BBB-' on Tuscaloosa County, Ala.'s series 2007A and 2007B bonds, issued for Stillman College. The 'BB+' rating reflects Standard & Poor's assessment of Stillman's very weak financial profile that has been persistent for several years coupled with increasing student dependence and fluctuations in the demand profile. The rating also reflects Standard & Poor's view of the college's continued weak financial resource levels; very weak matriculation rates that have declined sharply over the past five years, though there was some improvement in 2010; and a warning notice issued in July 2010 by the Southern Assn. for Colleges and Schools, for failure to comply with financial stability and resource requirements. Partly offsetting credit factors include improving enrollment although applications have decreased due to a new recruitment strategy, improving operations with breakeven results in fiscal 2010, and a recently updated campus with very limited capital needs. "The stable outlook reflects S&P's view of Stillman's improved operations in fiscal 2010 and its expectation that operations will improve further over the next year," said Standard & Poor's credit analyst Meggi McNamara. If the college cannot sustain its fiscal 2010 performance or if financial resources weaken further, Standard & Poor's could consider a negative outlook during the next year. Additionally, Standard & Poor's believes the warning and possible accreditation probation underscores the need for sustained improvement in operations. Standard & Poor's does not believe a higher rating is likely at this time given Stillman's weak liquidity measures, high debt burden, and history of poor operating performance. Stillman College is an historically black institution located in West Tuscaloosa, Ala. The college enrolled 1,078 students in fall 2010, all of whom are undergraduate students. STRATFORD CLO: S&P Raises Ratings on Various Classes of Notes ------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2, B, and C notes from Stratford CLO Ltd., a collateralized loan obligation transaction managed by Highland Capital Management L.P. At the same time, S&P removed its ratings on the class A-2 and B notes from CreditWatch, where S&P placed them with positive implications on Jan. 3, 2011. S&P also affirmed its ratings on the class A-1, D, and E notes, and removed the rating on the class A-1 notes from CreditWatch with positive implications. The upgrades reflect improved performance S&P has observed in the deal's underlying asset portfolio since its Jan. 29, 2010 rating action, when S&P downgraded all the notes following the application of its September 2009 CDO criteria for corporate backed securities. The affirmations of the ratings on the class A-1, D, and E notes reflect the availability of credit support at the current rating levels. According to the January 2011 trustee report, the transaction had $64 million of nonperforming assets in its underlying portfolio. This was down from $97 million noted in the November 2009 trustee report, which S&P referenced for its January 2010 rating actions. Similarly, according to the January 2011 trustee report, the transaction had $54 million of 'CCC' rated assets, compared with $103 million of 'CCC' rated assets noted in the November 2009 trustee report. The transaction has also benefited from an increase in overcollateralization (O/C) available to support the rated notes. The trustee reported these O/C ratios in the January 2011 monthly report: * The class A and B O/C ratio was 114.40%, compared with a reported ratio of 107.84% in November 2009; * The class C O/C ratio was 106.93%, compared with a reported ratio of 101.04% in November 2009; * The class D O/C ratio was 103.98%, compared with a reported ratio of 98.35% in November 2009; and * The class E O/C ratio was 100.93%, compared with a reported ratio of 95.56% in November 2009. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as S&P deem necessary. Rating And Creditwatch Actions Stratford CLO Ltd. Rating ------ Class To From ----- -- ---- A-1 AA+ (sf) AA+ (sf)/Watch Pos A-2 A+ (sf) BBB+ (sf)/Watch Pos B BBB+ (sf) BBB- (sf)/Watch Pos C BB+ (sf) B+ (sf) D CCC- (sf) CCC- (sf) E CCC- (sf) CCC- (sf) Transaction Information ----------------------- Issuer: Stratford CLO Ltd. Coissuer: Stratford CLO LLC Collateral manager: Highland Capital Management L.P. Underwriter: Credit Agricole Corporate and Investment Bank Indenture Trustee: State Street Bank and Trust Co., Boston, MA Transaction type: Cash flow CLO TABERNA PREFERRED: Moody's Downgrades Ratings on Three Classes -------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings on these notes issued by Taberna Preferred Funding VII, Ltd. -- US$350,000,000 Class A-1LA Floating Rate Notes Due February 2037, (current balance of $230,954,118.58), Downgraded to Caa1 (sf); previously on April 28, 2010 Downgraded to B3 (sf); -- US$120,000,000 Class A-1LB Floating Rate Notes Due February 2037 (current balance of $ 120,000,000), Downgraded to Ca (sf); previously on April 28, 2010 Downgraded to Caa2 (sf); -- US$25,000,000 Class A-2LA Floating Rate Notes Due February 2037 (current balance of$25,000,000), Downgraded to C (sf); previously on April 28, 2010 Downgraded to Ca (sf) Ratings Rationale Taberna Preferred Funding VII, Ltd., issued on September 28, 2006, is a collateral debt obligation backed by a portfolio of CMBS, CRE CDOs and REIT trust preferred securities (the 'TRUP CDO'). On April 28, 2010, the last rating action date, Moody's downgraded four classes of notes, which were the result of the application of revised and updated key modeling assumptions, as well as the deterioration in the credit quality of the transaction's underlying portfolio. Moody's indicated that the downgrade action on the notes are primarily the result of increase of the assumed defaulted amount. The assumed defaulted amount now totals $201 million (37.6% of the portfolio). All the assumed defaulted assets are carried at zero recovery in Moody's analysis. The remaining assets in the portfolio have seen a slight improvement in their Weighted Average Rating Factor to 3757 from 4269 as of the last rating action. The current model WARF accounts for a credit estimate stress, described in Moody's Rating Methodology "Updated Approach to the Usage of Credit Estimates in rated Transactions", October 2009. The par loss due to the increase in the assumed defaulted amount has resulted in loss of overcollateralization for the affected tranches and an increase in the expected losses to the tranches since the last rating action. As of the latest trustee report dated February 28, 2011, the Senior Overcollateralization Test is reported at 108.04% (limit 125%), versus trustee reported levels used in the last rating action of 115.60%, from the report dated as of March 31, 2010. Moody's has noticed that the transaction continues to be negatively impacted by large imbalanced fixed- floating interest rate swaps, that results in significant payments to the hedge counterparty. In this case, the magnitude of the imbalance between the cash inflows and outflows due to the presence of over-hedging has been magnified by the increase in the defaulted assets in the collateral portfolio. In its analysis, Moody's has accounted for the reduction of cash available to pay the notes due to the significant swap payments to the hedge counterparty. The rating action also takes into consideration that the transaction triggered an Event of Default on May 20, 2010, arising from the failure to maintain the Class A-2L Overcollateralization Ratio at or greater than 100%. The trustee also issued a notice, dated as of July 7, 2010, that a majority of the Controlling Class directed the Trustee to declare the principal of all of the Notes to be immediately due and payable. The Event of Default is continuing. In Moody's analysis, Moody's assume that the WAL of the portfolio is approximately 20.1years. The portfolio of this TRUP CDO is composed of CMBS securities and trust preferred securities issued by REITs that are generally not publicly rated by Moody's. To evaluate their credit quality, Moody's derives credit scores for these non-publicly rated assets and evaluates the sensitivity of the rated transactions to their volatility, as described in Moody's Rating Methodology "Updated Approach to the Usage of Credit Estimates in Rated Transactions", October 2009. The effect of the stress testing of these credit scores varies between one and three notches, depending on the total amount and relative size of these securities in the collateral pool. Moody's performed a number of sensitivity analyses of the results to some of the key factors driving the ratings. The sensitivity of the model results to increases and decreases in the WARF (representing a slight improvement and a slight deterioration of the credit quality of the collateral pool) was examined. If WARF is increased by 670 points from the base case of 3555, the model results in an expected loss that is one notch worse than the result of the base case for Class A-1 Notes. If the WARF is decreased by 707 points, expected losses are one notch better than the base case results. Additionally, the effect of using loss distribution generated from CDOROM was also tested resulting in an expected loss that did not create any rating movement for the rated notes. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. Moody's considers as well the structural protections in this transaction, the recent deal performance in the current market conditions, the legal environment, and specific documentation features. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. The transaction's portfolio was modeled, according to Moody's rating approach, using CDOROM v.2.8 to develop the default distribution from which the Moody's Asset Correlation parameter was obtained. This parameter was then used as an input in a cash flow model using CDOEdge. CDOROM v.2.8 is available on moodys.com under Products and Solutions -- Analytical models, upon return of a signed free license agreement. 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 six months. TOPIARY CAPITAL: S&P Keeps 'BB+' Rating on CreditWatch Negative --------------------------------------------------------------- Standard & Poor's Ratings Services said that its 'BB+(sf)' rating on Topiary Capital Ltd.'s Series 2008-1 notes is remaining on CreditWatch, where it was placed on March 18, 2011, with negative implications. The calculation agent, RMS, is in the process of determining whether or not the March 11, 2011, earthquake in Japan is an activation event. If it is, the noteholders will be at risk for losses of principal and interest for subsequent covered events that occur from March 11 through July 31. Accordingly, S&P has determined that if the earthquake is an activation event, S&P will lower the rating on the notes to 'CCC+(sf)' and remove it from Creditwatch. On March 18, S&P had indicated that the rating could fall as low as 'CCC(sf)'. Alternately, if RMS determines that the March 11 quake is not an activation event, S&P will remove the rating from CreditWatch and affirm it at 'BB+(sf)'. When S&P receive updated information from RMS, S&P will take the appropriate rating action. S&P does not expect to receive a final determination until April 25, 2011. Ratings List Rating Remaining On CreditWatch Negative Topiary Capital Ltd. Series 2008-1 notes BB+(sf)/Watch Neg TRANSFERABLE CUSTODIAL: Moody'S Upgrades Note Rating From 'B3' -------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the rating of one class of custodial receipts issued by Transferable Custodial Receipts. The rating action is: -- US$20,500,000 Transferable Custodian Receipts, Upgraded to Baa1 (sf); previously on April 30, 2010 Downgraded to B3 (sf) Ratings Rationale Transferable Custodial Receipts, issued on October 11, 2002, is a repack of the Class A-2 Floating Rate Notes issued by Bristol CDO I Ltd., a collateralized debt obligation issuance backed by a portfolio of asset-backed securities, including exposure to Residential Mortgage-Backed Securities originated between 1998 and 2002. The Class A-2 Notes issued by Bristol CDO I Ltd. were upgraded to Baa1 on March 10th. Transferable Custodial Receipts are insured by CIFG Assurance North America, Inc whose insurance financial strength rating was downgraded to Ca from Caa2 on November 11, 2009 and was withdrawn on November 12, 2009. Therefore, no credit was given to this insurance agreement during Moody's analysis. 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 six months VEGA CAPITAL: Moody's Reviews 'Ba3' Rating on Class C Notes ----------------------------------------------------------- Moody's Investors Service announced that it has placed the rating of these notes issued by Vega Capital Ltd. (as the "Issuer") under review for possible downgrade: -- US$63,900,000 Series 2010-I Class C Principal At-Risk Variable Rate Notes due December 20, 2013, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on December 14, 2010 Assigned Ba3 (sf). Vega Capital Ltd. is a catastrophe bond program that can issue notes in different series exposed to a portfolio of natural catastrophe perils over a specific risk period. Investors in the Series 2010-I Notes, issued on December 14, 2010, provide protection to Swiss Reinsurance Company Ltd. against losses that may result from the occurrence of up to five individual perils over a risk period of three years until December 14, 2013. The perils covered by the Series 2010-I issuance include certain European windstorms, Japan typhoons, Japan earthquakes, California earthquakes and North Atlantic hurricanes. According to Moody's, the rating action taken on the notes is primarily the result of the M9.0 Tohoku Pacific Offshore Earthquake that occurred in Japan on March 11, 2011. Moody's expects that the Japan Earthquake, as an event covered under the terms of the transaction, will possibly breach the trigger level for such peril and erode the first loss protection available to the rated notes. For Japan earthquakes, the transaction uses a parametric index (as the "Japan Earthquake Index Value") to determine the occurrence and severity of losses due to a covered event. The Japan Earthquake Index Value is a function of the values of the Japan Meteorological Agency Instrumental Intensity recorded at specific recording stations in Japan and published by JMA. The structure of Vega Capital Ltd. allows for the build-up over time of a first-loss protection layer via payments by the Counterparty to a Reserve Account. As the transaction was issued in December 2010, there has not been a substantial build-up funds in the Reserve Account. The initial reserve payment of $10.5 million was made on March 21, 2011, the first payment date. However, the Class C Notes have an additional layer of protection below them provided by the $42.6 million Class D Notes that are not rated by Moody's. Because the loss trigger mechanism of the transaction limits the annual losses attributable to each separate peril, a second covered event (other than an earthquake in Japan) is required for the Class C Notes to experience losses. This is true even if the entire $37.5 million Japan aggregate annual limit is reached due to the Japan Earthquake, given the current $53.1 million available as a first loss layer benefitting the Class C Notes. However, even though data from JMA needed to calculate the Japan Earthquake Index Value is not yet available, Moody's expects that this parametric index will exceed the trigger level, eroding the first loss layer of protection to the Class C Notes and thus increase the likelihood that they will suffer losses if there is a second event during the first year. As noted, in its decision to place the Class C Notes rating under review for possible downgrade, Moody's considered the Reserve Account payment of $10.5 million made on the first payment date of March 21, 2011. Moody's has placed the Class C Notes' ratings under review for possible downgrade while Moody's assesses the full impact of the Japan Earthquake after data from JMA is released to the public, the potential receipt of an Event Notice from the Counterparty, and if that is the case, the receipt of an Event Report from EQECAT, the Event Calculation Agent. WACHOVIA BANK: Fitch Downgrades Ratings on Six 2005-C21 Notes ------------------------------------------------------------- Fitch Ratings has downgraded 6 classes and upgraded 1 class of Wachovia Bank Commercial Mortgage Trust's commercial mortgage pass-through certificates, series 2005-C21. In addition, Fitch has revised the Loss Severity ratings and assigned Ratings Outlooks and Recovery Ratings as applicable. The downgrades reflect Fitch expected losses across the pool. Fitch modeled losses of 4.59% of the remaining pool; expected losses based on the original pool size are 4.08%, reflecting losses already incurred to date. Fitch has designated 61 loans (31.25%) as Fitch Loans of Concern, which include eleven specially serviced loans (3.74%). Seven of the Fitch Loans of Concern (18.55%) are within the transaction's top 15 loans by unpaid principal balance. Fitch considers the Loans of Concern to have a high probability of defaulting during the term, with losses ranging from $36,000 to $20.3 million. Fitch expects that class P may eventually be fully depleted from losses associated with loans currently in special servicing. The upgrade reflects reductions to the pools principal balance, resulting in increased credit enhancement to the senior classes. As of the March 2011 distribution date, the pool's aggregate principal balance has reduced by 27.4% (including 0.75% of realized losses) to $2.36 billion from $3.25 billion at issuance. Three of the previously top 15 loans by loan balance (7.4% of original pool balance) had matured and repaid in 2010. Four loans (2.52%) are currently defeased. Three of the Super Senior classes (A-1, A-2PFL, A-2C) have paid in full. Due to realized losses, class P has been reduced to $24.4 million from $48.8 million at issuance. Interest shortfalls are affecting class P. The largest contributor to Fitch-modeled losses is the Park Place II loan (1.89%). The loan is secured by a 253,674 square foot retail center in Sacramento, CA anchored by Kohl's, Bed Bath & Beyond, and Marshals. The center has experienced cash flow issues due to occupancy declines. Borders Books, who had previously occupied 25,000 sf (10% of the net rentable area), had vacated in January 2009. The entire space was released in March 2009 to A&S Bargain Books, which had subsequently terminated its lease in December 2009; the space is currently vacant. The December 2010 rent roll reported occupancy at 79%. The servicer-reported year end December 2010 debt service coverage ratio was 0.85 times. Per PPR Global, the Sacramento retail market reported a fourth-quarter 2010 vacancy rate of 19.6%. Rent levels for 2010 reported at $16.22 per square foot versus $15.31 psf in place for the collateral property. The second largest contributor to Fitch-modeled losses is The Hinmann Pool loan (1.65%), collateralized by five Michigan properties (four office and one mixed-use), and one retail property in Bolingbrook, IL. The 702,671 sf portfolio has experienced cash flow declines due to occupancy issues throughout 2010. Twenty two percent (22%) of the portfolio's NRA had experienced vacancies in 2010, the largest of which was at a 123,070 sf office building (18% NRA) in Battle Creek, MI that had gone completely dark in the first quarter of 2010. The Borrower was able to release the entire property to the Kellogg Company (rated 'A-' by Fitch) on a 10-year triple net lease beginning October 2010. The portfolio's December 2010 rent rolls reported a combined occupancy of 77%. The servicer-reported year to date September 2010 DSCR was 1.08x. The third largest contributor to Fitch-modeled losses (0.79%) is secured by a 280,572 sf office tower in Phoenix, AZ. The loan had transferred to the special servicer in December 2009 due to monetary default. In August 2010, the Borrower and special servicer had executed a forbearance agreement which included a discounted payoff (DPO) that was to be paid on the forbearance expiration date of Nov. 30, 2010. The Borrower did not repay the loan at the end of the forbearance period; the special servicer is currently pursuing foreclosure and is placing the property under receivership. Fitch downgrades and assigns Outlooks, Loss Severity ratings or Recovery Ratings on these classes as indicated: -- $40.6 million class F to 'BBB-sf/LS5' from 'BBB+sf/LS5'; Outlook Stable; -- $32.5 million class G to 'BBsf/LS5' from 'BBBsf/LS5'; Outlook Stable; -- $40.6 million class H to 'B-sf/LS5' from 'BBsf/LS5'; Outlook Stable; -- $16.3 million class J to 'CCCsf/RR1' from 'BBsf/LS5'; -- $16.3 million class K to 'CCCsf/RR1' from 'Bsf/LS5'; -- $16.3 million class L to 'CCCsf/RR2' from 'B-sf/LS5'. Fitch upgrades and assigns Outlooks and LS ratings on these: -- $65 million class B to 'AAAsf/LS5' from 'AA+sf/LS4'; Outlook Stable. In addition, Fitch affirms these classes and revises the LS ratings and RR ratings as indicated: -- $31.4 million class A-3 at 'AAAsf/LS1'; Outlook Stable; -- $137.3 million class A-PB at 'AAAsf/LS1'; Outlook Stable; -- $917.5 million class A-4 at 'AAAsf/LS1'; Outlook Stable; -- $322.3 million class A-1A at 'AAAsf/LS1'; Outlook Stable; -- $325 million class A-M at 'AAAsf/LS3' from 'AAAsf/LS1'; Outlook Stable; -- $215.3 million class A-J at 'AAAsf/LS3' from 'AAAsf/LS1'; Outlook Stable; -- $32.5 million class C at 'AAsf/LS5'; Outlook Stable; -- $60.9 million class D at 'A+sf/LS5' from 'A+sf/LS4'; Outlook Stable; -- $36.6 million class E at 'A-sf/LS5'; Outlook Stable; Classes A-1, A-2PFL, and A-2C have repaid in full. Fitch does not rate classes M through P. Fitch had withdrawn the rating of the interest-only class IO on July 13, 2010. WELLS FARGO: Moody's Downgrades Ratings on 10 Tranches ------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 10 tranches and confirmed the ratings of 5 tranches from Wells Fargo Home Equity Trust 2004-2. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust -- Cl. AI-5, Confirmed at Aaa (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AI-6, Confirmed at Aaa (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AI-7, Confirmed at Aaa (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AI-8, Confirmed at Aaa (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AI-9, Confirmed at Aaa (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AII-1A, Downgraded to Aa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AII-1B, Downgraded to Aa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AIII-3, Downgraded to Aa3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A2 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Baa3 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ba3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to B2 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade WHITEHORSE IV: Moody's Upgrades Ratings on Various Classes ---------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by WhiteHorse IV Ltd.: -- US$28,000,000 Class A-2 Floating Rate Notes Due 2020, Upgraded to A1 (sf); previously on September 3, 2009 Downgraded to A2 (sf) -- US$25,000,000 Class B Deferrable Floating Rate Notes Due 2020, Upgraded to Baa2 (sf); previously on September 3, 2009 Confirmed at Baa3 (sf) -- US$16,500,000 Class C Floating Rate Notes Due 2020, Upgraded to Ba2 (sf); previously on September 3, 2009 Confirmed at Ba3 (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 since the rating action in September 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 trustee report dated February 2011, the weighted average rating factor is currently 2382 compared to 2855 in the August 2009 report, and securities rated Caa1 or lower make up approximately 1.40% of the underlying portfolio versus 8.20% in August 2009. Additionally, defaulted securities total about $0.9 million of the underlying portfolio compared to $25.4 million in August 2009. The overcollateralization ratios of the rated notes have been relatively stable since the rating action in September 2009. The Class A, Class B, Class C, and Class D overcollateralization ratios are reported at 121.56%, 113.64%, 108.95%, and 105.01%, respectively, versus August 2009 levels of 119.30%, 111.52%, 106.92%, and 103.06%, respectively, and all related overcollateralization tests are currently in compliance. 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 balance, including principal proceeds, of $436 million, defaulted par of $0.9 million, a weighted average default probability of 27.4% (implying a WARF of 3422), a weighted average recovery rate upon default of 44.2%, 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. WhiteHorse IV Ltd., 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 six 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 of various default probabilities. 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 loss), assuming that all other factors are held equal: Moody's Adjusted WARF - 20% (2738) -- Class A-1: +1 -- Class A-2: +3 -- Class B: +3 -- Class C: +2 -- Class D: +3 Moody's Adjusted WARF + 20% (4106) -- Class A-1: -1 -- Class A-2: -2 -- Class B: -1 -- Class C: -1 -- Class D: -2 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: 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 deal's 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 worse of reported and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon, and diversity score. * Moody's Downgrades Ratings on 48 Tranches From 12 RMBS Deals -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 48 tranches and confirmed the ratings of 14 tranches from 12 Alt-A RMBS deals issued by 11 different issuers. 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 deteriorating performance of Alt-A pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued from prior to 2005. The principal methodology used in these ratings was "Pre-2005 US RMBS Surveillance Methodology" published in January 2011. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans 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. 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%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. 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 in performance. 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 2004 vintage, the adjusted rate of new delinquency would be 10.10%. in addition, 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 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Certain securities are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 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: Charlie Mac Trust 2004-1 -- Cl. A-1, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-7, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-8, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-9, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Compass Residential Mortgage Trust 2004-R1 -- Cl. A-1, Downgraded to B1 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-2, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Fannie Mae REMIC Trust 2004-W13 -- Cl. M, Downgraded to C (sf); previously on Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: FNBA Mortgage Loan Trust 2004-AR1 -- Cl. A-1, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Global Mortgage Securitization 2004-A Ltd. -- Cl. A1, Downgraded to A2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to A2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A3, Downgraded to A2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. X-A1, Downgraded to A2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to Ba3 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B4, Downgraded to Caa3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to C (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B6, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Greenpoint Mortgage Loan Trust 2004-1 -- Cl. A, Downgraded to B3 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. SP, Downgraded to B3 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Metropolitan Asset Funding, Inc. Series 2000-A -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Newcastle Mortgage Securities Trust 2004-1 -- Cl. A, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B1 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: PAMEX Mortgage Trust 1999-A -- A, Downgraded to A2 (sf); previously on Jul 15, 1999 Assigned Aaa (sf) -- M-1, Downgraded to Baa1 (sf); previously on Mar 5, 2002 Upgraded to Aaa (sf) -- M-2, Downgraded to Ba2 (sf); previously on Mar 5, 2002 Confirmed at A2 (sf) -- M-3, Downgraded to B1 (sf); previously on Mar 5, 2002 Confirmed at Baa2 (sf) Issuer: RFSC Series 2001-RM2 Trust -- Cl. A-I, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-II, Downgraded to Aa3 (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-V-I, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AP-I, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-1, Downgraded to A3 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-2, Downgraded to Ba1 (sf); previously on Mar 3, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II-3, Downgraded to B2 (sf); previously on Mar 3, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-1, Confirmed at Aa2 (sf); previously on Mar 3, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Confirmed at Baa1 (sf); previously on Mar 3, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-3, Downgraded to Ca (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-II-1, Downgraded to Ca (sf); previously on Apr 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-II-2, Downgraded to C (sf); previously on Apr 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Sequoia Mortgage Trust 2003-2 -- Cl. A-1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa1 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Sequoia Mortgage Trust 2004-3 -- Cl. A, Downgraded to Ba1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa1 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade * S&P Downgrades Ratings on 22 Certs. From Five CMBS Transactions ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 22 classes of commercial mortgage pass-through certificates from five U.S. commercial mortgage-backed securities transactions. The downgrades reflect current and potential interest shortfalls. S&P lowered its ratings on 10 of these classes to 'D (sf)' because S&P expects the interest shortfalls to continue. Eight of the 10 classes that S&P downgraded to 'D (sf)' have had accumulated interest shortfalls outstanding for four or more months. The remaining two classes have had accumulated interest shortfalls outstanding for three months. The recurring interest shortfalls for the respective certificates are primarily due to one or more of these factors: * Appraisal subordinate entitlement reduction amounts in effect for specially serviced loans; * A lack of servicer advancing for loans where the servicer has made nonrecoverable advance declarations; * Special servicing fees; and * Interest rate reductions or deferrals resulting from loan modifications. Standard & Poor's analysis primarily considered the ASER amounts 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 S&P's view, to cause recurring interest shortfalls. The servicer implements ARAs and the resulting ASER amounts according to 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 ASER amounts based on ARAs calculated from MAI appraisals when deciding which classes from the affected transactions to downgrade to 'D (sf)' 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 when nonrecoverable declarations have been determined. Trust expenses may include, but are not limited to, property operating expenses, property taxes, insurance payments, and legal expenses. S&P detail the 22 downgraded classes from the five CMBS transactions below. Credit Suisse Commercial Mortgage Trust Series 2007-C5 S&P lowered its ratings to 'D (sf)' on the class E, F, G, and H certificates from Credit Suisse Commercial Mortgage Trust Series 2007-C5. The lowered ratings on these four classes reflect accumulated interest shortfalls resulting from ASER amounts related to 16 ($172.3 million, 6.4%) of the 30 assets ($471.1 million, 17.5%) that are currently with the special servicer, C-III Asset Management LLC, as well as interest not advanced, special servicing fees, and interest rate modifications on three loans: the Allanza At The Lakes loan ($85.0 million, 3.2%), the Mystic Marriott loan ($43.0 million, 1.6%), and the Fly Away Parking loan ($5.4 million, 0.2%). S&P also lowered its rating on the class D certificate because S&P believes this class is susceptible to future interest shortfalls. As of the March 17, 2011, trustee remittance report, ARAs totaling $185.5 million were in effect for 23 loans. The total reported ASER amount, excluding ASER recoveries of $271,528, was $450,653, and the reported cumulative ASER amount was $9.8 million. Standard & Poor's considered 12 ASER amounts, all of which were based on MAI appraisals, as well as current special servicing fees, interest not advanced, and interest rate reduction from the modification of three aforementioned loans, in determining its rating actions. The reported monthly interest shortfalls totaled $943,738, and accumulated interest shortfalls have affected all of the classes subordinate to and including class E. Classes E, F, G, and H have had accumulated interest shortfalls outstanding between eight and 12 months, which S&P expects to remain outstanding for the foreseeable future. JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2004-CIBC8 S&P lowered its ratings to 'D (sf)' on the class L, M, and N certificates from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2004-CIBC8 due to interest shortfalls resulting from ASER amounts related to three ($18.8 million, 2.3%) of the eight ($36.6 million, 4.5%) assets that are currently with the special servicer, Midland Loan Services (Midland), as well as special servicing fees. S&P also lowered its ratings on the class G, H, J, and K certificates due to reduced liquidity support available to these four classes. As of the March 14, 2011, trustee remittance report, ARAs totaling $12.1 million were in effect for four loans. The total reported ASER amount on three loans was $43,968, and the reported cumulative ASER amount was $657,223. Standard & Poor's considered two ASER amounts, both of which were based on MAI appraisals, as well as current special servicing fees in determining its rating actions. The reported monthly interest shortfalls totaled $59,609, and accumulated interest shortfalls have affected all of the classes subordinate to and including class L. Classes L, M, and N have had accumulated interest shortfalls outstanding between seven and 12 months, which S&P expects to remain outstanding for the foreseeable future. JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2005-CIBC11 S&P lowered its ratings on the class H, J, K, and L certificates from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2005-CIBC11 due to interest shortfalls resulting from ASER amounts related to seven ($39.5 million, 2.7%) of the 15 ($223.0 million, 15.2%) loans that are currently with the special servicer, J.E. Robert Co. Inc., as well as interest not advanced, other interest adjustment, special servicing fees, and loan modification of the West Valley Shopping Center loan. As of the March 14, 2011, trustee remittance report, ARAs totaling $16.3 million were in effect for 10 loans. The total reported ASER amount, excluding an ASER recovery of $50,095, was $48,731, and the reported cumulative ASER amount was $431,362. Standard & Poor's considered four ASER amounts, all of which were based on MAI appraisals, as well as current special servicing fees, interest not advanced ($10,620), and interest reduction ($48,805) resulting from the modification of the West Valley Shopping Center loan, in determining its rating actions. The reported monthly interest shortfalls totaled $292,567 and accumulated interest shortfalls have affected all of the classes subordinate to and including class H. Classes K and L have had accumulated interest shortfalls outstanding for three months, which S&P expects to remain outstanding for the foreseeable future. Consequently, S&P lowered its ratings on these two classes to 'D (sf)'. LB-UBS Commercial Mortgage Trust 2002-C7 S&P lowered its ratings on the class Q and S certificates from LB- UBS Commercial Mortgage Trust 2002-C7 due to interest shortfalls resulting from ASER amounts related to three ($21.4 million, 3.0%) of the five loans ($26.4 million, 3.8%) that are currently with the special servicer, LNR Partners LLC, as well as interest not advanced and special servicing fees. S&P lowered its ratings on the class M, N, and P certificates due to reduced liquidity support available to these three classes. As of the March 17, 2011 trustee remittance report, ARAs totaling $11.7 million were in effect for four assets. The total reported ASER amount on three loans was $63,317, and the reported cumulative ASER amount was $900,374. Standard & Poor's considered the three ASER amounts, all of which were based on MAI appraisals, as well as current special servicing fees and interest not advanced, in determining its rating actions. The reported monthly interest shortfalls totaled $82,273, and accumulated interest shortfalls have affected all of the classes subordinate to and including class Q. Class S has had accumulated interest shortfalls outstanding for four months, which S&P expects to remain outstanding for the foreseeable future. Consequently, S&P lowered its rating on class S to 'D (sf)'. Morgan Stanley Capital I Inc.'s series 1998-CF1 S&P lowered its rating on the class F certificate from Morgan Stanley Capital I Inc.'s series 1998-CF1 due to interest shortfalls resulting from special servicing fees related to two ($6.2 million, 6.8%) loans that are currently with the special servicer, LNR, as well as interest not advanced and the recovery of prior advance amounts as per the March 15, 2011, trustee remittance report. Standard & Poor's considered interest not advanced ($33,569) and current special servicing fees, in determining its rating actions. The reported monthly interest shortfalls totaled $288,417 and accumulated interest shortfalls have affected all of the classes subordinate to and including class F. Class F has incurred shortfalls for two consecutive months. Rating Actions Credit Suisse Commercial Mortgage Trust Series 2007-C5 Commercial mortgage pass-through certificates Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement Current Accumulated ----- -- ---- ------------------ ------- ----------- D CCC (sf) B (sf) 8.99 0 0 E D (sf) B- (sf) 7.85 (48,025) 624,568 F D (sf) B- (sf) 7.35 69,511 588,600 G D (sf) CCC (sf) 5.83 208,538 2,069,287 H D (sf) CCC (sf) 5.07 104,266 1,213,721 JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2004-CIBC8 Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement Current Accumulated ----- -- ---- ------------------ ------- ----------- G BB+ (sf) BBB (sf) 6.41 0 0 H B+ (sf) BBB- (sf) 4.08 0 0 J B- (sf) BB (sf) 3.31 0 0 K CCC- (sf) B (sf) 2.53 0 0 L D (sf) CCC (sf) 1.75 3,740 52,227 M D (sf) CCC- (sf) 1.17 18,545 149,941 N D (sf) CCC- (sf) 0.59 18,545 208,256 JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-CIBC11 Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement Current Accumulated ----- -- ---- ------------------ ------- ----------- H CCC+ (sf) BB- (sf) 3.16 89,349 89,349 J CCC (sf) B (sf) 2.70 28,879 28,879 K D (sf) CCC (sf) 2.08 38,504 87,809 L D (sf) CCC- (sf) 1.62 28,875 86,624 LB-UBS Commercial Mortgage Trust 2002-C7 Commercial mortgage pass-through certificates Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement Current Accumulated ----- -- ---- ------------------ ------- ----------- M BB (sf) BBB- (sf) 5.44 0 0 N B+ (sf) BB+ (sf) 4.59 0 0 P CCC+ (sf) BB (sf) 3.32 0 0 Q CCC- (sf) B+ (sf) 2.69 2,266 4,474 S D (sf) B- (sf) 2.26 12,609 42,728 Morgan Stanley Capital I Inc. Commercial mortgage pass-through certificates series 1998-CF1 Reported Rating interest shortfalls ($) ------ ----------------------- Class To From Credit enhancement Current Accumulated ----- -- ---- ------------------ ------- ----------- F CCC+ (sf) BB (sf) 40.03 69,144 161,356 * S&P Gives Positive Outlook on New York State Dormitory's Debt --------------------------------------------------------------- Standard & Poor's Ratings Services has revised its outlook to positive from stable and affirmed its 'BB+' rating on debt issued by the New York State Dormitory Authority for Pace University. The outlook revision reflects Standard & Poor's belief that the university's improved demand and stable enrollment levels could lead to a significant improvement in financial performance during the next two years. The 'BB+' rating is based on Standard & Poor's assessment of the university's general obligation pledge supported by very weak expendable resource levels, driven by a recent history of operating losses on a full accrual basis and the recognition of significant other postemployment benefit liabilities in fiscals 2009 and 2010, as well as limited revenue-raising flexibility due to strong competition and already high levels of tuition and fees. In its rating analysis, Standard & Poor's also considered the university's continued operating losses and high debt levels as of June 30, 2010. Positive rating factors in Standard & Poor's view include the university's stable enrollment levels, with significant growth in full-time undergraduate enrollment from fall 2008 to 2010--a key driver of financial performance for the university; a significant improvement in financial performance for fiscals 2008-2010; and a good level of cash and investments for the rating category. "The positive outlook reflects S&P's opinion that a pattern of improving financial results, demonstrated by balanced financial performance on a full accrual basis, combined with stable enrollment and overall improved demand could lead to a higher rating within the next two years," said Standard & Poor's credit analyst Mary Peloquin-Dodd. Standard & Poor's would have a negative view of any significant weakening in financial performance or a significant increase in debt during the outlook period. Conversely, Standard & Poor's could return the outlook to stable if Pace's financial performance continues to be characterized by operating deficits on a full accrual basis, coupled with decreased liquidity or increased debt. The university currently has no plans to issue new money debt, although it may explore near-term opportunities to refinance its existing debt. Management indicates fiscal year-to-date performance is also positive, and will likely be positive based on generally accepted accounting principles at fiscal year-end. * S&P Lifts Ratings on New York City Industrial's Bonds From 'BB+' ------------------------------------------------------------------ Standard & Poor's Ratings Services said it raised to 'BBB-' from 'BB+' its long-term rating and underlying rating on the New York City Industrial Development Agency's series 2007 civic facility refunding revenue bonds, issued on behalf of Polytechnic Institute of New York University. The outlook is stable. "The higher rating reflects Polytechnic's enrollment growth, strengthened student quality, and cash and investment ratios that are consistent with the rating category," said Standard & Poor's credit analyst Nick Waugh. S&P views these credit improvements as related to an affiliation agreement with New York University, which may or may not lead to a formal consolidation, but to date has increased administrative, managerial, and academic connectivity between the institutions. The 'BBB-' rating reflects S&P's view of Polytechnic's: * Deficit operating performance on a generally accepted accounting practices basis and forecast of a smaller deficit for fiscal 2011. * However, this is partially mitigated by generally balanced operations on a cash basis; and * Low financial resources relative to the 'BBB' rating category. Positive credit factors include: * Increased managerial, oversight, and financial connectivity between Polytechnic and NYU; * Improving demand and growing enrollment; * Improving student quality; and * Moderate maximum annual debt service burden and no plans to issue additional debt beyond interest-free loans from NYU. The bonds are a general obligation of the university. Polytechnic, the nation's second-oldest private engineering university, was founded in 1854 in Brooklyn, N.Y. * S&P Puts Ratings on 70 Tranches on CreditWatch Positive --------------------------------------------------------- Standard & Poor's Ratings Services placed its ratings on 70 tranches from 18 U.S. collateralized debt obligation transactions on CreditWatch with positive implications. At the same time, S&P placed its ratings on 14 tranches from three U.S. CDO transactions on CreditWatch with negative implications. All the tranches with ratings being placed on CreditWatch positive come from CDO transactions backed by securities issued by corporate obligors. The issuance amount of the tranches with ratings placed on CreditWatch positive is $5.408 billion. Most of the CreditWatch positive placements on the CLOs follow the continued improvement in the credit quality of the obligors whose loans collateralize the rated notes. These improvements reflect an increase in upgrades to the speculative grade obligors whose loans collateralize the rated notes and a steep reduction in default rates. This trend of low defaults is expected to continue as Standard & Poor's U.S. corporate trailing 12-month speculative- grade default rate for December 2011 is projected to be 1.8%. As a result of these improvements, S&P believes that the tranches with ratings S&P placed on CreditWatch positive may be able to support higher ratings. S&P also placed its ratings on 14 tranches from three deals on CreditWatch with negative implications due to deterioration in the credit quality of the portfolio. Two of these transactions are CDOs backed by commercial mortgage-backed securities and one is a mezzanine structured finance CDO of asset-backed securities, which are collateralized in large part by mezzanine tranches of U.S. residential mortgage-backed securities and other SF securities. The CreditWatch negative placements reflect the deterioration in the credit quality of the securities held by these transactions. The issuance amount of the tranches with ratings placed on CreditWatch negative is $0.846 billion. S&P will resolve the CreditWatch placements after S&P complete a comprehensive cash flow analysis and committee review for each of the affected transactions. S&P expects to resolve these CreditWatch placements within 90 days. S&P will continue to monitor the CDO transactions S&P rate and take rating actions, including CreditWatch placements, as S&P deem appropriate. Ratings Placed On Creditwatch Positive Ares Enhanced Loan Investment Strategy III Ltd. Rating ------ Class To From ----- -- ---- A A+ (sf)/Watch Pos A+ (sf) Ares X CLO Ltd. Rating ------ Class To From ----- -- ---- A-1 AA (sf)/Watch Pos AA (sf) A-2 AA (sf)/Watch Pos AA (sf) A-3 AA (sf)/Watch Pos AA (sf) B A+ (sf)/Watch Pos A+ (sf) C-1 BBB- (sf)/Watch Pos BBB- (sf) C-2 BBB- (sf)/Watch Pos BBB- (sf) D-1 CCC- (sf)/Watch Pos CCC- (sf) D-2 CCC- (sf)/Watch Pos CCC- (sf) Callidus Debt Partners CDO Fund I Ltd. Rating ------ Class To From ----- -- ---- B-2 CCC- (sf)/Watch Pos CCC- (sf) Castle Garden Funding Rating ------ Class To From ----- -- ---- A-1 AA (sf)/Watch Pos AA (sf) A-2 AA (sf)/Watch Pos AA (sf) A-3a AA+ (sf)/Watch Pos AA+ (sf) A-3b AA (sf)/Watch Pos AA (sf) A-4 A+ (sf)/Watch Pos A+ (sf) B-1 BBB- (sf)/Watch Pos BBB- (sf) B-2 BBB- (sf)/Watch Pos BBB- (sf) C-1 BB- (sf)/Watch Pos BB- (sf) C-2 BB- (sf)/Watch Pos BB- (sf) D-1 B+ (sf)/Watch Pos B+ (sf) D-2 B+ (sf)/Watch Pos B+ (sf) Clydesdale CLO 2004 Ltd. Rating ------ Class To From ----- -- ---- A-1 AA (sf)/Watch Pos AA (sf) A-2 A+ (sf)/Watch Pos A+ (sf) B-1 BBB- (sf)/Watch Pos BBB- (sf) B-2 BBB- (sf)/Watch Pos BBB- (sf) C-1 B+ (sf)/Watch Pos B+ (sf) C-2 B+ (sf)/Watch Pos B+ (sf) Duane Street CLO III Ltd. Rating ------ Class To From ----- -- ---- A1 AA- (sf)/Watch Pos AA- (sf) A2a AA (sf)/Watch Pos AA (sf) A2b AA- (sf)/Watch Pos AA- (sf) B A- (sf)/Watch Pos A- (sf) Duane Street CLO IV Ltd. Rating ------ Class To From ----- -- ---- A-1R A+ (sf)/Watch Pos A+ (sf) A-1T A+ (sf)/Watch Pos A+ (sf) Emporia Preferred Funding I Ltd. Rating ------ Class To From ----- -- ---- B-1 AA- (sf)/Watch Pos AA- (sf) B-2 AA- (sf)/Watch Pos AA- (sf) C A- (sf)/Watch Pos A- (sf) Endurance CLO I Ltd. Rating ------ Class To From ----- -- ---- A AA+ (sf)/Watch Pos AA+ (sf) Essex Park CDO Ltd. Rating ------ Class To From ----- -- ---- A-1a AA+ (sf)/Watch Pos AA+ (sf) A-1v AA+ (sf)/Watch Pos AA+ (sf) A-2a AA+ (sf)/Watch Pos AA+ (sf) A-2v AA+ (sf)/Watch Pos AA+ (sf) B-1 A+ (sf)/Watch Pos A+ (sf) B-2 A+ (sf)/Watch Pos A+ (sf) C-1 BBB- (sf)/Watch Pos BBB- (sf) C-2 BBB- (sf)/Watch Pos BBB- (sf) D BB (sf)/Watch Pos BB (sf) Granite Ventures III Ltd. Rating ------ Class To From ----- -- ---- A-1 AA+ (sf)/Watch Pos AA+ (sf) A-2 AA- (sf)/Watch Pos AA- (sf) B A- (sf)/Watch Pos A- (sf) Hudson Straits CLO 2004 Ltd. Rating ------ Class To From ----- -- ---- A-1 AA+ (sf)/Watch Pos AA+ (sf) A-2 AA+ (sf)/Watch Pos AA+ (sf) B A+ (sf)/Watch Pos A+ (sf) C BBB (sf)/Watch Pos BBB (sf) D-1 B+ (sf)/Watch Pos B+ (sf) D-2 B+ (sf)/Watch Pos B+ (sf) Northwoods Capital IV Ltd. Rating ------ Class To From ----- -- ---- A-2 A+ (sf)/Watch Pos A+ (sf) B BB+ (sf)/Watch Pos BB+ (sf) Oak Hill Credit Partners V Ltd. Rating ------ Class To From ----- -- ---- B A- (sf)/Watch Pos A- (sf) C BB+ (sf)/Watch Pos BB+ (sf) Peritus I CDO Ltd. Rating ------ Class To From ----- -- ---- X A (sf)/Watch Pos A (sf) B BBB+ (sf)/Watch Pos BBB+ (sf) Southfork CLO Ltd. Rating ------ Class To From ----- -- ---- A-3a A+ (sf)/Watch Pos A+ (sf) A-3b A+ (sf)/Watch Pos A+ (sf) B BBB+ (sf)/Watch Pos BBB+ (sf) C B+ (sf)/Watch Pos B+ (sf) Sutter CBO 2000-2 Ltd. Rating ------ Class To From ----- -- ---- B-1 CCC- (sf)/Watch Pos CCC- (sf) B-1L CCC- (sf)/Watch Pos CCC- (sf) Venture III CDO Ltd. Rating ------ Class To From ----- -- ---- A-1 AA+ (sf)/Watch Pos AA+ (sf) A-2 A- (sf)/Watch Pos A- (sf) Def B BB+ (sf)/Watch Pos BB+ (sf) Ratings Placed On Creditwatch Negative Gemstone CDO Ltd. Rating ------ Class To From ----- -- ---- B B- (sf)/Watch Neg B- (sf) C CCC- (sf)/Watch Neg CCC- (sf) LNR CDO 2002-1 Ltd. Rating ------ Class To From ----- -- ---- A A+ (sf)/Watch Neg A+ (sf) B BBB+ (sf)/Watch Neg BBB+ (sf) C BB (sf)/Watch Neg BB (sf) D-FL B (sf)/Watch Neg B (sf) D-FX B (sf)/Watch Neg B (sf) E-FL CCC (sf)/Watch Neg CCC (sf) E-FX CCC (sf)/Watch Neg CCC (sf) E-FXD CCC (sf)/Watch Neg CCC (sf) Newcastle CDO VII Ltd. Rating ------ Class To From ----- -- ---- I-A BB- (sf)/Watch Neg BB- (sf) I-B B- (sf)/Watch Neg B- (sf) II CCC (sf)/Watch Neg CCC (sf) III CCC- (sf)/Watch Neg CCC- (sf) ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers" public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. A list of Meetings, Conferences and Seminars appears in each Wednesday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com/ On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. For copies of court documents filed in the District of Delaware, please contact Vito at Parcels, Inc., at 302-658-9911. For bankruptcy documents filed in cases pending outside the District of Delaware, contact Ken Troubh at Nationwide Research & Consulting at 207/791-2852. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors" Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland, USA. Jhonas Dampog, 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 2011. 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 ***