/raid1/www/Hosts/bankrupt/TCR_Public/110501.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, May 1, 2011, Vol. 14, No. 119
Headlines
ABACUS 2005-3: S&P Cuts Ratings on 2 Classes Following Losses
ANTHRACITE 2005-HY2: S&P Affirms 'CCC-' Rating on Class F Notes
ASG RESECURITIZATION: S&P Lowers Four Classes Ratings to 'CCC'
BANC OF AMERICA: Moody's Takes Action on $3BB of Prime Jumbo RMBS
BEAR STEARNS: Fitch Cuts 17 Classes of BSCMS 2007-PWR18 Bonds
COOKSON SPC: S&P Affirms 'CC' Ratings on Two Classes of Notes
CPS AUTO: S&P Assigns 'B' Rating on Class D Notes
CPS CAYMAN: S&P Assigns 'BB' Rating on Class B Notes
DSLA MORTGAGE: S&P Lowers Ratings on Two Classes of Notes to 'D'
FIRST REPUBLIC: Moody's Cuts 3 Tranches to Ba1
GEMSTONE CDO: Moody's Hikes Class A-3 FR Notes to 'B1(sf)'
GREENWICH CAPITAL: Moody's Places Eight CMBS Classes on Review
HIGHLAND LEGACY: Moody's Cuts Ratings on 2 Series of Notes to 'Ca'
JEFFERIES RESECURITIZATION: S&P Cuts Ratings on 4 Classes to 'CCC'
LB-UBS COMM'L: Moody's Keeps C-Rating on 5 Classes of Certs
MASTR ADJUSTABLE: S&P Lowers Class A-1 Notes Rating to 'CCC'
ML-CFC COMMERCIAL: S&P Lowers Four Classes Ratings to 'D'
MORGAN STANLEY: S&P Lowers Two Classes of Certs. Ratings to 'D'
MORGAN STANLEY: S&P Withdraws 'CCC-' Rating on Class IA Notes
MORGAN STANLEY: S&P Lowers Ratings on Three Classes to 'D'
MORGAN STANLEY: S&P Lowers Rating on Class IA Notes to 'D'
MORGAN STANLEY: S&P Lowers Rating on Class IIA Notes to 'D'
MRU STUDENT LOAN: S&P Lowers Class D Notes Rating to 'CCC-'
NORTH STREET: S&P Lowers Class D Notes Rating From 'CCC-' to 'D'
ORIGEN MANUFACTURED: S&P Lowers Rating on Class B-1 Certs to 'D'
PINNACLE POINT: S&P Lowers Ratings on Three Classes to 'D'
RENAISSANCE HOME: Moody's Confirms 'Ca' Rating for Class B Tranche
SANKATY HIGH: S&P Lowers Class C Notes Rating to 'CC'
SANTANDER DRIVE: Moody's Assigns Provisional Ratings to Notes
SLC STUDENT: Fitch Affirms 'BB' Rating on Class B 2007-2 Bonds
STARTS PLC: S&P Withdraws 'CCC-' Rating on Series 2007-24 Notes
TERIP NO. 1: S&P Withdraws 'CCC-' Ratings on Six Classes of Notes
UCAT 2005-1: S&P Lowers Class A Notes Rating to 'B-'
WACHOVIA BANK: Fitch Cuts 10 Classes of 2007-C30 Certs to 'CCC'
WACHOVIA BANK: Fitch Takes Various Actions on WBCMT 2003-C9 Certs.
WASHINGTON MUTUAL: Moody's Downgrades $76-Mil. of Prime RMBS
* Fitch Downgrades 439 Bonds From 244 U.S. RMBS Deals to 'Dsf'
*********
ABACUS 2005-3: S&P Cuts Ratings on 2 Classes Following Losses
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class C and C series 2 notes issued by Abacus 2005-3 Ltd., a
synthetic collateralized debt obligation transaction backed by
residential mortgage-backed securities, to 'D (sf)' from 'CCC-
(sf)'.
The downgrades follow a number of write-downs in the transaction's
underlying reference portfolio that caused the tranches to incur
principal losses.
Ratings Lowered
Abacus 2005-3 Ltd.
Rating
Class To From
C D (sf) CCC- (sf)
C series 2 D (sf) CCC- (sf)
ANTHRACITE 2005-HY2: S&P Affirms 'CCC-' Rating on Class F Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
classes from Anthracite 2005-HY2 Ltd., a commercial real estate
collateralized debt obligation (CRE CDO) transaction. "At the
same time, we affirmed one 'CCC- (sf)' rating from the
transaction," S&P said.
"The downgrades and affirmation reflect our analysis of the
transaction following our downgrades of 19 commercial mortgage-
backed securities (CMBS) certificates that serve as underlying
collateral for Anthracite 2005-HY2 Ltd. The downgraded securities
are from eight transactions and total $80.3 million (17.3% of the
total asset balance)," S&P related.
According to the March 22, 2011, trustee report, Anthracite 2005-
HY2 Ltd. is collateralized by 62 CMBS certificates ($350.7
million, 90.2%) from 17 transactions issued between 1998 and 2005.
The collateral also includes seven REIT securities ($37.9, 9.8%).
Total assets for Anthracite 2005-HY2 Ltd. is $388.6 million, with
a reported liability of $463.4 million.
Anthracite 2005-HY2 Ltd. has exposure to these CMBS certificates
that Standard & Poor's has downgraded:
* Bank of America Commercial Mortgage Inc. series 2004-6
(classes H through O; $32.7 million, 7.1%);
* Bank of America Commercial Mortgage Inc. series 2005-5
(classes L through O; $17.2 million, 3.7%); and
* JPMorgan Chase Commercial Mortgage Securities Corp. series
2004-PNC 1 (classes J and K; $9.6 million, 2.1%).
Standard & Poor's analyzed the transaction and its underlying
collateral assets in accordance with its current criteria. "Our
analysis is consistent with the lowered and affirmed ratings," S&P
said.
Ratings Lowered
Anthracite 2005-HY2 Ltd.
Rating
Class To From
A BBB (sf) A (sf)
B BB+ (sf) BBB (sf)
CFL B+ (sf) BB (sf)
CFX B+ (sf) BB (sf)
DFL CCC- (sf) B+ (sf)
DFX CCC- (sf) B+ (sf)
E CCC- (sf) B (sf)
RATING AFFIRMED
Anthracite 2005-HY2 Ltd.
Class Rating
F CCC- (sf)
ASG RESECURITIZATION: S&P Lowers Four Classes Ratings to 'CCC'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 22
classes from 10 residential mortgage-backed securities (RMBS)
resecuritized real estate mortgage investment conduit (re-REMIC)
transactions issued in 2002-2010. Six of these transactions paid
interest entirely on a sequential basis, while each of the other
five had a pro rata payment structure in at least one of its loan
groups. "At the same time, we removed 10 of them from CreditWatch
with negative implications. In addition, we affirmed our ratings
on 72 classes from five of the downgraded transactions, as well as
one other transaction. At the same time, we removed 10 of the
affirmed ratings from CreditWatch negative," S&P related.
"On Dec. 15, 2010, we placed our ratings on 20 classes from the 10
transactions within this review on CreditWatch negative, along
with ratings from a group of other RMBS re-REMIC securities.
Additionally, on April 1, 2011, we provided an update on the
CreditWatch placements and provided clarification regarding our
analysis of interest payment amounts within re-REMIC
transactions," S&P noted.
"Our ratings on the re-REMIC classes are intended to address the
timely payment of interest and principal. We reviewed the
interest and principal amounts due on the underlying securities,
which are then passed through to the applicable re-REMIC classes.
When performing this analysis, we applied our loss projections,
incorporating, where applicable, our recently revised loss
assumptions to the underlying collateral to identify the principal
and interest amounts that could be passed through from the
underlying securities under our rating scenario stresses. We
stressed our loss projections at various rating categories to
assess whether the re-REMIC classes could withstand the stressed
losses associated with their ratings while receiving timely
payment of interest and principal consistent with our criteria,"
according to S&P.
"As noted, in applying our loss projections we incorporated, where
applicable, our recently revised loss assumptions as outlined in
"Revised Lifetime Loss Projections For Prime, Subprime, And Alt-A
U.S. RMBS Issued In 2005-2007," published on March 25, 2011, into
our review. Such updates pertain to the 2005-2007 vintage prime,
subprime, and Alternative-A (Alt-A) transactions; some of which
are associated with the re-REMICs we reviewed," S&P noted.
Lifetime Loss Projections For Prime And Subprime RMBS
(Percent of original balance)
Prime RMBS Subprime RMBS
Aggregate Aggregate
Vintage Updated Prior Updated Prior
2005 5.5 4.00 18.25 15.40
2006 9.25 6.60 38.25 35.00
2007 11.75 9.75 48.50 43.20
Lifetime Loss Projections For Alternative-A RMBS
(Percent of original balance)
Fixed/
Aggregate long-reset
Vintage Updated Prior Updated Prior
2005 13.75 11.25 12.75 9.60
2006 29.50 26.25 25.25 25.00
2007 36.00 31.25 31.75 26.25
Short-reset
hybrid Option ARM
Vintage Updated Prior Updated Prior
2005 13.25 14.75 15.50 13.25
2006 30.00 30.50 34.75 26.75
2007 41.00 40.75 43.50 37.50
"As a result of this review, we lowered our ratings on certain
classes based on our assessment as to whether there were principal
and/or interest shortfalls from the underlying securities that
would impair the re-REMIC classes at the applicable rating
stresses. The affirmations reflect our assessment of the
likelihood that the re-REMIC classes will receive timely interest
and principal under the applicable stressed assumptions," S&P
stated.
Five of the 11 transactions that were part of this review
contain a pro rata interest payment structure in at least one of
their loan groups. Those five transactions are: ASG
Resecuritization Trust 2010-3, Citigroup Mortgage Loan Trust
2010-2, Bear Stearns Structured Products 2007-R8, BCAP LLC 2010-
RR2 Trust, and JP Morgan Mortgage Trust 2008-R2. "For the two
transactions that had rating downgrades, we based the downward
rating actions on our projections of principal loss amounts, as
opposed to interest shortfalls, allocated to the relevant re-REMIC
classes under the applicable ratings stress scenarios," said S&P.
In general, the underlying collateral for these transactions
consists of classes of securities backed primarily by prime,
subprime, and Alt-A mortgage loans originated between 1996 and
2007. The performance of this collateral has generally declined
in recent years. "As a result, we have revised our U.S. RMBS
default and loss assumptions over the past several years -- and
consequently our projected losses -- to reflect our view of the
continuing decline in U.S. residential mortgage loan performance,"
S&P added.
Rating Actions
ASG Resecuritization Trust 2010-3
Series 2010-3
Rating
Class CUSIP To From
2-A24 00212XBG5 CCC (sf) BB (sf)/Watch Neg
2-G24 00212XBA8 CCC (sf) BB (sf)/Watch Neg
2-G26 00212XBB6 CCC (sf) B (sf)
2-A26 00212XBH3 CCC (sf) B (sf)
BCAP LLC 2010-RR2 Trust
Series 2010-RR2
Rating
Class CUSIP To From
IV-A2 05532VAX5 A (sf) A (sf)/Watch Neg
I-A3 05532VAC1 AAA (sf) AAA (sf)/Watch Neg
IV-A3 05532VAY3 BBB (sf) BBB (sf)/Watch Neg
IV-A5 05532VBA4 BBB (sf) BBB (sf)/Watch Neg
V-A1 05532VBU0 A (sf) A (sf)/Watch Neg
I-A4 05532VAD9 AA (sf) AA (sf)/Watch Neg
I-A1 05532VAA5 AA (sf) AA (sf)/Watch Neg
IV-A1 05532VAW7 AAA (sf) AAA (sf)/Watch Neg
Bear Stearns Structured Products Inc.
Series 2005-1
Rating
Class CUSIP To From
A-1 07383UJL0 B+ (sf) BBB (sf)/Watch Neg
A-2 07383UJM8 CC (sf) B- (sf)
A-3 07383UJN6 CC (sf) CCC (sf)
Bear Stearns Structured Products Inc. Trust 2007-R8
Series 2007-R8
Rating
Class CUSIP To From
V-A-1 07402PAJ2 CCC (sf) BBB- (sf)/Watch Neg
VI-A-1 07402PAL7 CCC (sf) B- (sf)
Citigroup Mortgage Loan Trust 2010-2
Series 2010-2
Rating
Class CUSIP To From
1A1 17316HAA3 BB (sf) AAA (sf)/Watch Neg
1A2 17316HAB1 B- (sf) BBB (sf)/Watch Neg
Deutsche Alt-A Securities Resecuritization Trust, Ser 2007-2R
Series 2007-2R
Rating
Class CUSIP To From
1-A-1 25151NAA1 CCC (sf) BBB+ (sf)/Watch Neg
First Horizon Alternative Mortgage Securities Trust 2006-RE1
Series 2006-RE1
Rating
Class CUSIP To From
A-1 32051RAA9 CC (sf) A+ (sf)/Watch Neg
First Horizon Alternative Mortgage Securities Trust 2006-RE2
Series 2006-RE2
Rating
Class CUSIP To From
A-1 32051SAA7 CCC (sf) AAA (sf)/Watch Neg
J.P. Morgan MBS, Series 2002-R2
Series 2002-R2
Rating
Class CUSIP To From
III-A-1 46626CBS8 BBB (sf) AAA (sf)/Watch Neg
J.P. Morgan Mortgage Trust, Series 2008-R2
Series 2008-R2
Rating
Class CUSIP To From
1-A-1 46632TAA3 BB (sf) BB (sf)/Watch Neg
2-A 46632TAC9 CC (sf) CCC (sf)
1-A-2 46632TAB1 CC (sf) CCC (sf)
RBSSP Resecuritization Trust 2009-3
Series 2009-3
Rating
Class CUSIP To From
12-A1 74928FBS8 BBB (sf) AA (sf)
14-A2 74928FBX7 CC (sf) B+ (sf)
10-A1 74928FBN9 AAA (sf) AAA (sf)/Watch Neg
12-A2 74928FBT6 CC (sf) CCC (sf)
11-A2 74928FBR0 CCC (sf) B- (sf)
13-A2 74928FBV1 CC (sf) CCC (sf)
RATINGS AFFIRMED
ASG Resecuritization Trust 2010-3
Series 2010-3
Class CUSIP Rating
3-A84 00212XBY6 BBB (sf)
1-A87 00212XAK7 BBB (sf)
3-M16 00212XCB5 B (sf)
2-G19 00212XAY7 A (sf)
3-G60 00212XBQ3 AAA (sf)
3-G76 00212XBS9 A (sf)
3-G84 00212XBT7 BBB (sf)
2-G22 00212XAZ4 BBB (sf)
3-M40 00212XCE9 B (sf)
2-A19 00212XBE0 A (sf)
1-A81 00212XAH4 AA (sf)
1-A90 00212XAL5 BB (sf)
1-G87 00212XAD3 BBB (sf)
3-M24 00212XCC3 B (sf)
1-G78 00212XAA9 AAA (sf)
2-G14 00212XAW1 AAA (sf)
3-M32 00212XCD1 B (sf)
3-A76 00212XBX8 A (sf)
1-G90 00212XAE1 BB (sf)
2-A22 00212XBF7 BBB (sf)
3-A68 00212XBW0 AA (sf)
1-A84 00212XAJ0 A (sf)
1-G84 00212XAC5 A (sf)
1-A93 00212XAM3 B (sf)
3-G68 00212XBR1 AA (sf)
1-G81 00212XAB7 AA (sf)
2-A16 00212XBD2 AA (sf)
3-G92 00212XBU4 BB (sf)
3-A100 00212XCA7 B (sf)
3-A92 00212XBZ3 BB (sf)
3-G100 00212XBV2 B (sf)
1-G93 00212XAF8 B (sf)
2-G16 00212XAX9 AA (sf)
Bear Stearns Structured Products Inc. Trust 2007-R8
Series 2007-R8
Class CUSIP Rating
II-A-1 07402PAC7 CC (sf)
II-A-2 07402PAD5 CC (sf)
III-A-1 07402PAE3 CC (sf)
III-A-2 07402PAF0 CC (sf)
IV-A-1 07402PAG8 CC (sf)
IV-A-2 07402PAH6 CC (sf)
VI-A-2 07402PAM5 CC (sf)
Citigroup Mortgage Loan Trust 2010-2
Series 2010-2
Class CUSIP Rating
2A1 17316HAC9 A (sf)
4A1A 17316HAU9 AAA (sf)
5A1C 17316HBC8 AAA (sf)
7A1A 17316HBS3 AA (sf)
4A1B 17316HAV7 AA (sf)
5A1B 17316HBB0 AA (sf)
7A1 17316HBJ3 A (sf)
5A1D 17316HBD6 AA (sf)
2A1B 17316HAF2 A (sf)
3A1 17316HAL9 A (sf)
2A1A 17316HAE5 AA (sf)
3A1C 17316HAQ8 AAA (sf)
3A1B 17316HAP0 A (sf)
3A1D 17316HAR6 A (sf)
2A1D 17316HAH8 A (sf)
2A1C 17316HAG0 AAA (sf)
5A1 17316HAY1 AA (sf)
3A1A 17316HAN5 AA (sf)
5A1A 17316HBA2 AAA (sf)
RBSSP Resecuritization Trust 2009-3
Series 2009-3
Class CUSIP Rating
11-A1 74928FBQ2 AAA (sf)
13-A1 74928FBU3 AAA (sf)
14-A1 74928FBW9 AAA (sf)
BANC OF AMERICA: Moody's Takes Action on $3BB of Prime Jumbo RMBS
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 228
tranches and confirmed the ratings of 22 tranches from 26 prime
jumbo deals issued by Banc of America. The collateral backing
these deals consists primarily of first-lien, fixed and adjustable
rate prime jumbo residential mortgages.
RATINGS RATIONALE
The actions are a result of deteriorating performance of prime
jumbo 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 principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "Pre-2005 US RMBS
Surveillance Methodology" published in January 2011, which
accounts for the deteriorating performance and outlook.
To assess the rating implications of the updated loss levels on
prime jumbo RMBS, each individual pool was run through a variety
of scenarios in the Structured Finance Workstation(R) (SFW), the
cash flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include fifty four different
combinations comprising of six loss levels, three loss timing
curves and three prepayment curves. For ratings implied Aa3 and
above, an additional prepayment curve is run to assess resilience
to a high prepayment scenario.
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 varies from 3%
to 5% on average. 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 with a base rate of new
delinquency of 3.00%, the adjusted rate of new delinquency would
be 3.03%. 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 0.75 to 2.5 for current
delinquencies ranging from less than 2.5% to greater than 10%
respectively. Delinquencies for subsequent years and ultimate
expected losses are projected using the approach described in the
methodology publication.
Class 1-A-3 from Banc of America Mortgage 2003-10 Trust is insured
by Radian Asset Assurance Inc. (Downgraded to Ba1, Outlook Stable
on Mar 12, 2009) and Class I-A-3 from Banc of America Mortgage
2003-9 Trust is insured by MBIA Insurance Corporation (Downgraded
to B3, Outlook Negative on Jun 25, 2009). For securities insured
by a financial guarantor, the rating on the securities is the
higher of (i) the guarantor's financial strength rating and (ii)
the current underlying rating (i.e., absent consideration of the
guaranty) on the security. The principal methodology used in
determining the underlying rating is the same methodology for
rating securities that do not have a financial guaranty and is as
described 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: Banc of America Funding 2004-D Trust
-- Cl. 1-A-1, Downgraded to Aa1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Confirmed at Aaa (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to B1 (sf); previously on Apr 15, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to Ba3 (sf); previously on Apr 15,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-2, Downgraded to B2 (sf); previously on Apr 15, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Caa3 (sf); previously on Apr 15, 2010
A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C (sf); previously on Apr 15, 2010
Ba2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on Apr 15, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-4, Downgraded to C (sf); previously on Apr 15, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
-- Cl. B-5, Downgraded to C (sf); previously on Apr 15, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2002-L Trust
-- Cl. 1-A-1, Downgraded to Ba2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Ba2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Ba2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Ba1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Ba1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Ba1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to Ba2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-P, Downgraded to B1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Aa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-P, Downgraded to Baa2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2003-10 Trust
-- Cl. 1-A-1, Confirmed at Aaa (sf); previously on Mar 30, 2004
Assigned Aaa (sf)
-- Cl. 1-A-2, Downgraded to Aa1 (sf); previously on Mar 30,
2004 Assigned Aaa (sf)
-- Cl. 1-A-3, Downgraded to Aa1 (sf); previously on Mar 30,
2004 Assigned Aaa (sf)
Financial Guarantor: Radian Asset Assurance Inc. (Downgraded to
Ba1, Outlook Stable on Mar 12, 2009)
-- Cl. 1-A-7, Confirmed at Aaa (sf); previously on Mar 30, 2004
Assigned Aaa (sf)
-- Cl. 1-A-8, Confirmed at Aa1 (sf); previously on Mar 30, 2004
Assigned Aa1 (sf)
-- Cl. 1-A-9, Downgraded to Aa1 (sf); previously on Mar 30,
2004 Assigned Aaa (sf)
-- Cl. 2-A-1, Downgraded to A1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-7, Downgraded to A1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-8, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to A3 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 15-IO, Downgraded to A3 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-IO, Confirmed at Aaa (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-PO, Downgraded to Ba3 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2003-9 Trust
-- Cl. I-A-2, Downgraded to Baa2 (sf); previously on Apr 15,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-3, Downgraded to A3 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to A3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
-- Cl. I-A-4, Downgraded to Aa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-8, Confirmed at Aaa (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-9, Downgraded to Aa1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-10, Downgraded to A1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-11, Downgraded to A3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-15, Confirmed at Aaa (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-16, Confirmed at Aaa (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-17, Downgraded to Aa2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-18, Downgraded to Aa2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-19, Downgraded to A1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-20, Downgraded to A1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-21, Downgraded to A1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-22, Downgraded to A2 (sf); previously on Apr 15,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Aa1 (sf); previously on Jan 30,
2004 Assigned Aaa (sf)
-- Cl. 2-A-4, Downgraded to Aa1 (sf); previously on Jan 30,
2004 Assigned Aaa (sf)
-- Cl. 2-A-5, Downgraded to A1 (sf); previously on Jan 30, 2004
Assigned Aaa (sf)
-- Cl. 3-A-1, Downgraded to A2 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Aa1 (sf); previously on Jan 30,
2004 Assigned Aaa (sf)
-- Cl. 4-A-2, Downgraded to Aa3 (sf); previously on Jan 30,
2004 Assigned Aaa (sf)
-- Cl. X-B-1, Downgraded to Ba3 (sf); previously on Apr 15,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. X-B-2, Downgraded to B3 (sf); previously on Apr 15, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. X-B-3, Downgraded to Ca (sf); previously on Apr 15, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. X-B-4, Downgraded to Ca (sf); previously on Apr 15, 2010
Ba2 (sf) Placed Under Review for Possible Downgrade
-- Cl. X-B-5, Downgraded to C (sf); previously on Apr 15, 2010
B2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 15-IO, Downgraded to Aa1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-IO, Confirmed at Aaa (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-PO, Downgraded to A3 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2003-A Trust
-- Cl. 1-A-1, Confirmed at Aaa (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Ba2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Ba2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-7, Downgraded to Ba2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-8, Downgraded to Ba2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-9, Downgraded to B1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to A1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Confirmed at Aaa (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-P, Confirmed at Aaa (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2003-C Trust
-- Cl. 1-A-1, Downgraded to Ba2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Ba2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Ba3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Ba1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Ba1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Ba3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Aa1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2003-D Trust
-- Cl. 1-A-1, Downgraded to Aa2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Aa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Baa2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Baa2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Baa2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to Baa2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-5, Downgraded to Baa1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-6, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-P, Downgraded to Baa3 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2003-E Trust
-- Cl. 1-A-1, Downgraded to A1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to A1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to A2 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to A1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to A1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Baa2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-P, Downgraded to Baa1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2003-G Trust
-- Cl. 1-A-1, Downgraded to A3 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to A1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-P, Downgraded to Ba3 (sf); previously on Nov 25, 2003
Assigned Aaa (sf)
Issuer: Banc of America Mortgage 2003-H Trust
-- Cl. 1-A-1, Downgraded to Aa1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Ba1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Ba1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Ba1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to Ba3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to A2 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2003-I Trust
-- Cl. 1-A-1, Downgraded to Ba1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-6, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Confirmed at Aaa (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Caa1 (sf); previously on Apr 15, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to Ca (sf); previously on Apr 15, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on Apr 15, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-4, Downgraded to C (sf); previously on Apr 15, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2003-J Trust
-- Cl. 1-A-1, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Ba1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-8, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Aa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to Aa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to A1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to Caa3 (sf); previously on Apr 15, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to Ca (sf); previously on Apr 15, 2010
B2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-4, Downgraded to C (sf); previously on Apr 15, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2003-K Trust
-- Cl. 1-A-1, Downgraded to Ba1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Ba1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Ba3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Caa2 (sf); previously on Apr 15, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to Ca (sf); previously on Apr 15, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on Apr 15, 2010 B3
(sf) Placed Under Review for Possible Downgrade
-- Cl. B-4, Downgraded to C (sf); previously on Apr 15, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
-- Cl. B-5, Downgraded to C (sf); previously on Apr 15, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2003-L Trust
-- Cl. 1-A-1, Downgraded to Ba2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Ba1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Ba3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Ba1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Ba1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Confirmed at Aaa (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to Ca (sf); previously on Apr 15, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on Apr 15, 2010
Ba2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-4, Downgraded to C (sf); previously on Apr 15, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2004-10 Trust
-- Cl. 1-A-1, Downgraded to A3 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to A1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to A3 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to Baa2 (sf); previously on Apr 15,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-5, Downgraded to A3 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-6, Downgraded to Aa2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-7, Downgraded to Aa2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-8, Downgraded to Aa2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-9, Downgraded to A3 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Baa2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-IO, Downgraded to Aa2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 15-IO, Downgraded to Baa2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. X-PO, Downgraded to A2 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2004-2 Trust
-- Cl. 1-A-1, Confirmed at Aaa (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to A1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Aa1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to Aa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-5, Downgraded to A1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-6, Downgraded to A2 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-7, Downgraded to A2 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-8, Downgraded to A2 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-9, Confirmed at Aaa (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-10, Confirmed at Aaa (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-11, Confirmed at Aaa (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-12, Confirmed at Aaa (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-13, Downgraded to Baa1 (sf); previously on Apr 15,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-B-3, Downgraded to C (sf); previously on Apr 15, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to A3 (sf); previously on May 27, 2004
Assigned Aaa (sf)
-- Cl. 2-A-3, Downgraded to Baa2 (sf); previously on May 27,
2004 Assigned Aaa (sf)
-- Cl. 2-A-4, Downgraded to Ba3 (sf); previously on May 27,
2004 Assigned Aa1 (sf)
-- Cl. 2-A-5, Downgraded to Baa2 (sf); previously on May 27,
2004 Assigned Aaa (sf)
-- Cl. 3-A-1, Downgraded to Ba2 (sf); previously on Apr 15,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-B-1, Downgraded to B3 (sf); previously on Apr 15, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-B-2, Downgraded to Caa3 (sf); previously on Apr 15,
2010 Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-B-3, Downgraded to Ca (sf); previously on Apr 15, 2010
B1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-B-4, Downgraded to C (sf); previously on Apr 15, 2010
B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-B-5, Downgraded to C (sf); previously on Apr 15, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Aa2 (sf); previously on May 27,
2004 Assigned Aaa (sf)
-- Cl. 4-15-IO, Downgraded to Aa2 (sf); previously on May 27,
2004 Assigned Aaa (sf)
-- Cl. 5-A-1, Downgraded to A1 (sf); previously on May 27, 2004
Assigned Aaa (sf)
-- Cl. 5-A-IO, Downgraded to A1 (sf); previously on May 27,
2004 Assigned Aaa (sf)
-- Cl. 5-B-2, Downgraded to B2 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-B-3, Downgraded to Caa1 (sf); previously on Apr 15,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-IO, Confirmed at Aaa (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 15-IO, Downgraded to Aa2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-PO, Downgraded to Baa2 (sf); previously on Apr 15,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2004-B Trust
-- Cl. 1-A-1, Downgraded to Aa1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Ba2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Ba2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2004-D Trust
-- Cl. B-1, Downgraded to Caa3 (sf); previously on Apr 15, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to Ca (sf); previously on Apr 15, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on Apr 15, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2004-E Trust
-- Cl. B-3, Downgraded to C (sf); previously on Apr 15, 2010 B1
(sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2004-F Trust
-- Cl. 1-A-1, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-6, Downgraded to B1 (sf); previously on Apr 15, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-7, Downgraded to B1 (sf); previously on Apr 15, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to B3 (sf); previously on Apr 15, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to A2 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C (sf); previously on Apr 15, 2010 B1
(sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on Apr 15, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2004-G Trust
-- Cl. 1-A-1, Downgraded to Ba3 (sf); previously on Apr 15,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-6, Downgraded to B1 (sf); previously on Apr 15, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-7, Downgraded to B1 (sf); previously on Apr 15, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-IO, Downgraded to B1 (sf); previously on Apr 15,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to B3 (sf); previously on Apr 15, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to Ca (sf); previously on Apr 15, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to B3 (sf); previously on Apr 15, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C (sf); previously on Apr 15, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C (sf); previously on Apr 15, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on Apr 15, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-4, Downgraded to C (sf); previously on Apr 15, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
-- Cl. B-5, Downgraded to C (sf); previously on Apr 15, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2004-H Trust
-- Cl. 1-A-1, Downgraded to Ba3 (sf); previously on Apr 15,
2010 A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Ba3 (sf); previously on Apr 15,
2010 A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Ba2 (sf); previously on Apr 15,
2010 A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Ba2 (sf); previously on Apr 15,
2010 A2 (sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2004-I Trust
-- Cl. 1-A-1, Downgraded to Ba3 (sf); previously on Apr 15,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Ba3 (sf); previously on Apr 15,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Ba2 (sf); previously on Apr 15,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Ba1 (sf); previously on Apr 15,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to B3 (sf); previously on Apr 15, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Confirmed at A1 (sf); previously on Apr 15, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Confirmed at A1 (sf); previously on Apr 15, 2010
A1 (sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2004-J Trust
-- Cl. 1-A-1, Downgraded to B3 (sf); previously on Apr 15, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to B3 (sf); previously on Apr 15, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Ba2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Caa2 (sf); previously on Apr 15,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to B3 (sf); previously on Apr 15, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to B1 (sf); previously on Apr 15, 2010
A1 (sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2004-K Trust
-- Cl. 1-A-1, Downgraded to B3 (sf); previously on Apr 15, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to B3 (sf); previously on Apr 15, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to B1 (sf); previously on Apr 15, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to B1 (sf); previously on Apr 15, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to B3 (sf); previously on Apr 15, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to B3 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to Ca (sf); previously on Apr 15, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to B2 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2004-L Trust
-- Cl. 1-A-1, Downgraded to Ba3 (sf); previously on Apr 15,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to B2 (sf); previously on Apr 15, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to B2 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to A3 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
BEAR STEARNS: Fitch Cuts 17 Classes of BSCMS 2007-PWR18 Bonds
-------------------------------------------------------------
Fitch Ratings has downgraded and removed from Rating Watch
Negative 17 classes of Bear Stearns Commercial Mortgage Securities
Trust 2007-PWR18, due to further deterioration of loan
performance, a portion of which involves increased expected losses
on the specially serviced loans. In addition, Fitch has assigned
Rating Outlooks as applicable.
The downgrades reflect an increase in Fitch expected losses across
the pool. Fitch modeled losses of 10.3% for the remaining pool
(expected losses of the original pool are at 10.6% and includes
losses realized to date). Fitch has designated 55 loans (33.3%) as
Fitch Loans of Concern, which includes 17 specially serviced loans
(12.1%). Fitch expects classes L through S may be fully depleted
from losses associated with the specially serviced loans.
As of the April 2011 distribution date, the pool's aggregate
principal balance has decreased by 3.1% to $2.42 billion from
$2.50 billion at issuance. Realized losses incurred to date total
$15 million. There are no defeased loans. Cumulative interest
shortfalls in the amount of $4.4 million are currently affecting
classes M through S.
The largest contributors to loss on a pool level basis (by
outstanding balance) are: RRI Hotel Portfolio (3.1% of the total
pool balance), Marriott Houston Westchase (3.2%), and Norfolk
Marriott (2.6%).
The RRI Portfolio is secured by 79 Red Roof Inn flagged hotels
located in 24 states. The loan transferred to special servicing in
June 2009 for imminent default. The loan is more than 90 days
delinquent. Modification talks with the borrower failed and the
special servicer is pursuing a dual track approach to resolve this
loan. The borrower has agreed to an orderly transfer of all of the
properties, predominately via deeds in lieu of foreclosure. In
addition, the special servicer is also marketing the loan
portfolio for sale, with loan advisor, Eastdil Securities. Final
bids are expected in the near term.
The Marriott Houston Westchase is secured by a 600-key full-
service Marriott hotel in Houston, TX. Hotel performance has been
deteriorating due to an overall weak market; however, the hotel
has improved its positioning relative to its peers. Occupancy
declined from 66.3% at issuance to 54.3% during 2010.
Additionally, RevPAR decreased from $85 at issuance to $66.38 for
the same period, while RevPAR penetration was 103.6% for 2010, a
significant increase from 83% at issuance. The servicer-reported
debt service coverage ratio (DSCR) (based on net operating income
[NOI]) has gradually decreased to 1.0 times (x) at year end (YE)
2009 and 0.83x for the nine months ended Sept. 30, 2010.
The Norfolk Marriott is secured by a 405-room full-service
Marriott hotel in Norfolk, VA, located in the heart of downtown
Norfolk. The property is connected to the Waterside Convention
Center, a 60,000-square foot (sf) facility owned by the city and
operated by the hotel and is adjacent to the largest mall in the
area, the MacArthur Center Shopping Mall. The loan was transferred
to the special servicer in September 2010 due to weaknesses in the
property's performance. The special servicer is currently awaiting
a request for modification from the borrower. For the trailing 12
months (TTM) ended Feb. 28, 2011, occupancy, ADR and RevPAR
declined to 67.3%, $100.96, and $74.71, respectively from 78.2%,
$128.70, and $100.60 at issuance. Nevertheless the hotel's RevPAR
penetration remained strong at 133.8% for TTM ended Feb. 28, 2011.
The servicer-reported DSCR (based on NOI) decreased to 0.76x as of
YE 2009 from 1.48x as of YE2008 and 1.45x at issuance.
Fitch downgrades, removes from Rating Watch Negative, and assigns
Outlooks and Loss Severity (LS) ratings to these classes:
-- $182.5 million class A-J to 'BB/LS4' from 'BBB/LS3'; Outlook
Negative;
-- $33.6 million class A-JA to 'BB/LS4' from 'BBB/LS3'; Outlook
Negative;
-- $25 million class B to'B/LS5' from 'BBB-/LS5'; Outlook
Negative;
-- $25 million class C to 'B-/LS5' from 'BB/LS5'; Outlook
Negative;
-- $18.9 million class D to 'B-/LS5' from 'BB/LS5'; Outlook
Negative;
In addition, Fitch downgrades, removes from Rating Watch Negative,
and assigns Recovery Ratings (RR) to these classes:
-- $25 million class E to 'CCC/RR1' from 'BB/LS5';
-- $18.9 million class F to 'CCC/RR1' from 'B/LS5';
-- $25 million class G to'CCC/RR1' from 'B-/LS5';
-- $21.9 million class H to 'CC/RR1' from 'B-/LS5'
-- $18.9 million class J to 'CC/RR1' from 'B-/LS5';
-- $25 million class K to'CC/RR4' from 'B-/LS5';
-- $9.4 million class L to 'C/RR6' from 'B-/LS5';
-- $9.4 million class M to 'C/RR6' from 'CCC/RR6';
-- $9.4 million class N to 'C/RR6' from 'CCC/RR6';
-- $6.3 million class O to 'C/RR6' from 'CCC/RR6';
-- $3.1 million class P to 'C/RR6' from 'CCC/RR6';
-- $3.1 million class Q to 'C/RR6' from 'CCC/RR6'.
Fitch also affirms, removes from Rating Watch Negative, assigns
Outlooks, and revises LS ratings:
-- $211.6 million class A-M at 'AAA/LS3' from 'LS1'; Outlook
Stable;
-- $38.9 million class A-MA at 'AAA/LS3' from 'LS1''; Outlook
Stable.
Fitch also affirms these classes with a Stable Outlook and revises
the LS ratings:
-- $271.1 million class A-1A at 'AAA/LS2' from 'LS1'; Outlook
Stable;
-- $61.8 million class A-1 at 'AAA/LS2' from 'LS1'; Outlook
Stable;
-- $291.9 million class A-2 at 'AAA/LS2' from 'LS1''; Outlook
Stable;
-- $269.7 million class A-3 at 'AAA/LS2' from 'LS1''; Outlook
Stable;
-- $131.9 million class A-AB at 'AAA/LS2' from 'LS1''; Outlook
Stable;
-- $710 million class A-4 at 'AAA/LS2' from 'LS1''; Outlook
Stable.
Fitch does not rate class S. Fitch has also withdrawn the ratings
assigned to the interest only classes, X-1 and X-2.
COOKSON SPC: S&P Affirms 'CC' Ratings on Two Classes of Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings
on three structured finance repackaged transactions.
The rating affirmations follow a review of certain repackaged
transactions, meaning transactions that have ratings that are
linked to the credit quality of the related asset, reference
obligations, and/or counterparties, as applicable (collectively,
"rating dependencies"). "Our review considered, among other
things, the structure of each repackaged transaction and its
related rating dependencies," S&P said.
"Our rating on STRATS Trust For Dominion Resources Inc.
Securities, Series 2005-6 is dependent on the lower of (i) the
rating on the underlying security, Dominion Resources Inc.'s
series 2005B 5.95% senior notes due June 15, 2035 ('A-'); and (ii)
the long-term rating on the swap counterparty, Wells Fargo
Bank N.A. ('AA/Negative/A-1+')," S&P noted.
S&P continued, "Our rating on Cookson SPC's series 2007-1LAC is
dependent on the lower of (i) the rating on the reference
obligation, Lacerta ABS CDO 2006-1 Ltd.'s class C floating-rate
notes due Feb. 15, 2046 ('CC (sf)'); and (ii) the long-term rating
on the swap counterparty, Citibank N.A. ('A+/Negative/A-1')."
"Our rating on Cookson SPC's series 2007-2LAC is dependent on the
lower of (i) the rating on the reference obligation, Lacerta ABS
CDO 2006-1 Ltd.'s class B floating-rate notes due Feb. 15, 2046
('CC (sf)'); and (ii) the long-term rating on the swap
counterparty, Citibank N.A. ('A+/Negative/A-1')," S&P added.
Ratings Affirmed
Cookson SPC
EUR24 million series 2007-1LAC notes due 2046
Class Rating
Notes CC (sf)
Cookson SPC
EUR10 million series 2007-2LAC notes due 2046
Class Rating
Notes CC (sf)
STRATS Trust For Dominion Resources Inc. Securities, Series 2005-6
US$25 million STRATS certificates series 2005-6
Class Rating
Certs A-
CPS AUTO: S&P Assigns 'B' Rating on Class D Notes
-------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to CPS
Auto Receivables Trust 2011-A's (CPSART 2011-A's) $100.364 million
asset-backed notes.
The transaction is an ABS securitization of subprime auto loan
receivables.
The ratings reflect S&P's view of:
* The availability of approximately 37.9%, 33.8%, 29.7%, and
26.9% of credit support for the class A, B, C, and D notes,
based on stressed cash flow scenarios (including excess
spread), which provide coverage in excess of 2.0x, 1.65x,
1.3x, and 1.0x our 15.0%-17.0% expected cumulative net loss
range for the class A, B, C, and D notes.
* "Our expectation that under a moderate stress scenario of
1.65x our expected net loss level, the ratings on the notes
will not decline by more than one rating category during the
first year, all else being equal. This is within the two-
category downgrade tolerance for classes rated 'A' to 'BB'
during the first year," S&P stated.
* The credit enhancement underlying each of the rated notes,
which is in the form of subordination,
overcollateralization, a reserve account, and excess spread
for the class A, B, C, and D notes.
* "The timely interest and principal payments made to the
rated notes under our stressed cash flow modeling scenarios,
which we believe are appropriate for the assigned ratings,"
S&P noted.
* The collateral characteristics of the subprime auto loans
securitized in this transaction.
* The transaction's payment and credit enhancement structures,
which include performance triggers.
* The transaction's legal structure.
"Our expected net loss level for the CPSART 2011-A pool is in the
range of 15.0%-17.0%, which reflects our opinion of the
performance of Consumer Portfolio Services Inc.'s (CPS')
securitizations, the pool's credit quality, the tighter
underwriting standards that CPS has implemented since late-2009,
and the static pool loss projections for CPS' originations. CPS
originated at least 95% of the CPSART 2011-A pool subsequent to
its tighter underwriting strategy. The expected net loss range for
the CPSART 2011-A pool is lower than our range of 18.0%-19.0% on
the CPSART 2010-A pool, which comprised loans originated prior to
2009 and included loans delinquent more than 30 days," S&P stated.
Ratings Assigned
CPS Auto Receivables Trust 2011-A
Class Rating Type Interest Amount
rate (mil. $)
A A (sf) Senior Fixed 82.592
B BBB (sf) Subordinate Fixed 6.534
C BB (sf) Subordinate Fixed 5.488
D B (sf) Subordinate Fixed 5.750
CPS CAYMAN: S&P Assigns 'BB' Rating on Class B Notes
----------------------------------------------------
Standard & Poor's Ratings Services made public its ratings on
seven classes of notes from seven CPS Cayman Residual Trust
transactions issued in 2006 and 2007. "At the same time, we made
public our underlying ratings (Standard & Poor's underlying
ratings, or SPURs) on the class A-4 notes from CPS Auto
Receivables Trust's series 2006-C and the class A-2 notes from
series 2007-TFC," S&P related.
The CPS Auto Receivables Trust and CPS Cayman Residual Trust
transactions are securitizations of subprime auto loans backed
predominantly by used automobiles and light-duty trucks. "The
ratings and SPURs reflect our views of each transaction's
collateral performance to date, future collateral performance
under various economic conditions, and the available credit
enhancement," according to S&P.
These ratings and SPURs were previously confidential and were made
public at the issuer's request.
SPURs Made Public
CPS Auto Receivables Trust
Series Class SPUR
2006-C A-4 AA (sf)
2007-TFC A-2 AA (sf)
Ratins Made Public
CPS Cayman Residual Trust
Series Class Rating
2006-B B A (sf)
2006-C B A- (sf)
2006-D B BBB+ (sf)
2007-A B BBB (sf)
2007-B B BBB- (sf)
2007-C B BB (sf)
2007TFC B A (sf)
DSLA MORTGAGE: S&P Lowers Ratings on Two Classes of Notes to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on eight
classes of mortgage pass-through certificates from seven U.S.
residential mortgage-backed securities (RMBS) transactions to 'D
(sf)'.
"At the same time, we placed our ratings on 17 classes from six of
the affected transactions on CreditWatch negative. We placed our
ratings on three additional classes on CreditWatch negative on
Jan. 18, 2011, to reflect our revised counterparty criteria.
These ratings remain on CreditWatch with negative implications.
All of the CreditWatch actions, as well as the three Jan. 18
CreditWatch placements noted, affected classes that are part of a
loan group containing a class that defaulted from a 'B-' rating or
higher. These RMBS transactions were issued between 2004 and
2007," S&P stated.
S&P explained, "The eight downgrades reflect our assessment of
principal write-downs on the affected classes during recent
remittance periods. The ratings on the lowered classes were
previously either 'BBB+ (sf)', 'B+ (sf)', 'B (sf)', or 'B- (sf)'."
The defaulted classes are backed by subprime, Alternative-A (Alt-
A), closed-end second-lien, and re-performing mortgage loan
collateral. A combination of subordination, excess spread, and
overcollateralization provide credit enhancement.
S&P expects to resolve the CreditWatch placements after it
completes its review of the underlying credit enhancement.
Standard & Poor's will continue to monitor its ratings on
securities that experience principal write-downs, and it will
adjust its ratings as it considers appropriate in accordance with
its criteria.
Rating Actions and CreditWatch Placements
DSLA Mortgage Loan Trust 2007-AR1
Series 2007-AR1
Rating
Class CUSIP To From
1A-1A 23333YAA3 AA (sf)/Watch Neg AA (sf)
1A-1B 23333YAB1 D (sf) B (sf)
2A-1A 23333YAC9 AA (sf)/Watch Neg AA (sf)
2A-1C 23333YAE5 D (sf) B (sf)
Fannie Mae REMIC Trust 2004-W3
Series 2004-W3
Rating
Class CUSIP To From
M 31393U7L1 AA (sf)/Watch Neg AA (sf)
B-1 31393XWM5 A (sf)/Watch Neg A (sf)
B-2 31393XD79 BBB (sf)/Watch Neg BBB (sf)
B-3 31393XD87 D (sf) B (sf)
Home Equity Asset Trust 2007-3
Series 2007-3
Rating
Class CUSIP To From
1-A-1 43710TAA5 A (sf)/Watch Neg A (sf)
M-1 43710TAF4 D (sf) B- (sf)
2-A-4 43710TAE7 A (sf)/Watch Neg A (sf)
Home Equity Mortgage Trust 2005HF-1
Series 2005-HF1
Rating
Class CUSIP To From
A-1 2254W0LE3 AAA (sf)/Watch Neg AAA (sf)
A-2B 2254W0MB8 AAA (sf)/Watch Neg AAA (sf)
A-3B 2254W0MC6 AAA (sf)/Watch Neg AAA (sf)
G 2254W0LW3 AAA (sf)/Watch Neg AAA (sf)
M-1 2254W0LH6 AA+ (sf)/Watch Neg AA+ (sf)
M-2 2254W0LJ2 D (sf) B+ (sf)
MASTR Second Lien Trust 2005-1
Series 2005-1
Rating
Class CUSIP To From
M-1 57644DAB9 D (sf) B- (sf)
Structured Asset Securities Corp. Mortgage Loan Trust 2005-S7
Series 2005-S7
Rating
Class CUSIP To From
A2 863576DT8 AAA (sf)/Watch Neg AAA (sf)
M1 863576DU5 AA (sf)/Watch Neg AA (sf)
M2 863576DV3 D (sf) B- (sf)
Terwin Mortgage Trust 2005-9HGS
Series 2005-9HGS
Rating
Class CUSIP To From
A-1 881561WQ3 AAA (sf)/Watch Neg AAA (sf)
A-X 881561WR1 AAA (sf)/Watch Neg AAA (sf)
M-1 881561WS9 AA (sf)/Watch Neg AA (sf)
M-2 881561WT7 D (sf) BBB+ (sf)
Ratings Remaining on CreditWatch Negative
Home Equity Asset Trust 2007-3
Series 2007-3
Class CUSIP Rating
2-A-1 43710TAB3 AAA (sf)/Watch Neg
2-A-2 43710TAC1 AAA (sf)/Watch Neg
2-A-3 43710TAD9 AA (sf)/Watch Neg
FIRST REPUBLIC: Moody's Cuts 3 Tranches to Ba1
----------------------------------------------
Moody's Investors Service has downgraded the ratings of 15
tranches from the First Republic Mortgage Loan Trust 2001-FRB1,
2002-FRB1 and 2002-FRB2 transactions. The collateral backing
these deals consists primarily of first-lien, adjustable rate
prime jumbo residential mortgages.
RATINGS RATIONALE
The actions are a result of industry-wide deteriorating
performance of prime jumbo pools securitized before 2005 and the
small number of loans remaining in these pools. 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 principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "Pre-2005 US RMBS
Surveillance Methodology" published in January 2011, which
accounts for the deteriorating performance and outlook.
To assess the rating implications of the updated loss levels on
prime jumbo RMBS, each individual pool was run through a variety
of scenarios in the Structured Finance Workstation(R) (SFW), the
cash flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include fifty four different
combinations comprising of six loss levels, three loss timing
curves and three prepayment curves. For ratings implied Aa3 and
above, an additional prepayment curve is run to assess resilience
to a high prepayment scenario.
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 varies from 3%
to 5% on average. 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 with a base rate of new
delinquency of 3.00%, the adjusted rate of new delinquency would
be 3.03%. 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 0.75 to 2.5 for current
delinquencies ranging from less than 2.5% to greater than 10%
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: First Republic Mortgage Loan Trust 2001-FRB1
-- Cl. A, Downgraded to Aa3 (sf); previously on Dec 26, 2001
Assigned Aaa (sf)
-- Cl. B-1, Downgraded to Baa2 (sf); previously on Dec 26, 2001
Assigned Aa2 (sf)
-- Cl. B-2, Downgraded to Baa3 (sf); previously on Dec 26, 2001
Assigned A2 (sf)
-- Cl. B-3, Downgraded to Ba1 (sf); previously on Dec 26, 2001
Assigned Baa2 (sf)
-- Cl. X, Downgraded to Aa3 (sf); previously on Dec 26, 2001
Assigned Aaa (sf)
Issuer: First Republic Mortgage Loan Trust 2002-FRB1
-- Cl. A, Downgraded to Aa1 (sf); previously on Sep 16, 2002
Assigned Aaa (sf)
-- Cl. B-1, Downgraded to Baa2 (sf); previously on Sep 16, 2002
Assigned Aa2 (sf)
-- Cl. B-2, Downgraded to Baa3 (sf); previously on Sep 16, 2002
Assigned A2 (sf)
-- Cl. B-3, Downgraded to Ba1 (sf); previously on Sep 16, 2002
Assigned Baa2 (sf)
-- Cl. X, Downgraded to Aa1 (sf); previously on Sep 16, 2002
Assigned Aaa (sf)
Issuer: First Republic Mortgage Loan Trust 2002-FRB2
-- Cl. A-2, Downgraded to Aa2 (sf); previously on Dec 16, 2002
Assigned Aaa (sf)
-- Cl. B-1, Downgraded to Baa2 (sf); previously on Dec 16, 2002
Assigned Aa2 (sf)
-- Cl. B-2, Downgraded to Baa3 (sf); previously on Dec 16, 2002
Assigned A2 (sf)
-- Cl. B-3, Downgraded to Ba1 (sf); previously on Dec 16, 2002
Assigned Baa2 (sf)
-- Cl. X, Downgraded to Aa2 (sf); previously on Dec 16, 2002
Assigned Aaa (sf)
GEMSTONE CDO: Moody's Hikes Class A-3 FR Notes to 'B1(sf)'
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
classes of notes issued by Gemstone CDO Ltd. The notes affected by
the rating action are:
-- Class A-1 Floating Rate Notes Due December 2034 (current
balance of $15,435,364), Upgraded to Ba3 (sf); previously on
May 7, 2010 Downgraded to B3 (sf);
-- Class A-2 Floating Rate Notes Due December 2034 (current
balance of $4,864,728), Upgraded to Aa1 (sf); previously on
May 7, 2010 Downgraded to Ba2 (sf);
-- Class A-3 Floating Rate Notes Due December 2034 (current
balance of $16,723,192), Upgraded to B1 (sf); previously on
May 7, 2010 Downgraded to Caa1 (sf).
RATINGS RATIONALE
According to Moody's, the rating actions taken result primarily
from the continuing amortization of the Class A-1 and A-2 Notes,
which have been paid down by $9.7million and $13.5 million
respectively since Moody's last rating action on May 7, 2010.
There are currently $47.4 million of performing assets, roughly
78% of which have investment-grade ratings, providing sufficient
credit support for the respective ratings on approximately $37
million of outstanding Class A Notes. The structure of the
transaction provides for pro-rata/sequential payments between the
Class A-1, A-2 and A-3 Notes, whereby the Class A-2 Notes are
senior to the Class A-3 Notes. Once the Class A-2 Notes are paid
in full, the Class A-1 Notes and Class A-3 Notes will become pro-
rata.
Gemstone CDO Ltd. is a collateralized debt obligation backed
primarily by a portfolio of RMBS and ABS originated between 2001
and 2004. The performing assets are primarily ABS backed by
student loans and credit cards.
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in November 2010.
Moody's applied the Monte Carlo simulation framework within
CDOROMv2.6 to model the loss distribution for SF CDOs. Within this
framework, defaults are generated so that they occur with the
frequency indicated by the adjusted default probability pool (the
default probability associated with the current rating multiplied
by the Resecuritization Stress) for each credit in the reference.
Specifically, correlated defaults are simulated using a normal (or
"Gaussian") copula model that applies the asset correlation
framework. Recovery rates for defaulted credits are generated by
applying within the simulation the distributional assumptions,
including correlation between recovery values. Together, the
simulated defaults and recoveries across each of the Monte Carlo
scenarios define the loss distribution for the reference pool.
Once the loss distribution for the collateral has been calculated,
each collateral loss scenario derived through the CDOROM loss
distribution is associated with the interest and principal
received by the rated liability classes via the CDOEdge cash-flow
model. The cash flow model takes into account: collateral cash
flows, the transaction covenants, the priority of payments
(waterfall) for interest and principal proceeds received from
portfolio assets, reinvestment assumptions, the timing of
defaults, interest-rate scenarios and foreign exchange risk (if
present). The Expected Loss (EL) for each tranche is the weighted
average of losses to each tranche across all the scenarios, where
the weight is the likelihood of the scenario occurring. Moody's
defines the loss as the shortfall in the present value of cash
flows to the tranche relative to the present value of the promised
cash flows. The present values are calculated using the promised
tranche coupon rate as the discount rate. For floating rate
tranches, the discount rate is based on the promised spread over
Libor and the assumed Libor scenario.
Moody's Investors Service did not receive or take into account a
third-party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past six months.
Moody's rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are 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 Caa rated bucket notched down to Ca:
-- Class A-1: 0
-- Class A-2: -1
-- Class A-3: -1
-- Class B: 0
-- Class C: 0
-- Class D-1: 0
-- Class D-2: 0
-- Class E: 0
Moody's Caa rated bucket notched up by two notches:
-- Class A-1: +2
-- Class A-2: 0
-- Class A-3: +1
-- Class B: 0
-- Class C: 0
-- Class D-1: 0
-- Class D-2: 0
-- Class E: 0
GREENWICH CAPITAL: Moody's Places Eight CMBS Classes on Review
--------------------------------------------------------------
Moody's Investors Service placed eight classes of Greenwich
Capital Commercial Funding Corp., Commercial Mortgage Pass-Through
Certificates, Series 2005-GG5 on review for possible downgrade:
-- Cl. A-M, Aa2 (sf) Placed Under Review for Possible
Downgrade; previously on Jun 23, 2010 Downgraded to Aa2 (sf)
-- Cl. A-J, A3 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 23, 2010 Downgraded to A3 (sf)
-- Cl. B, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 23, 2010 Downgraded to Baa2 (sf)
-- Cl. C, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 23, 2010 Downgraded to Ba1 (sf)
-- Cl. D, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 23, 2010 Downgraded to B2 (sf)
-- Cl. E, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 23, 2010 Downgraded to B3 (sf)
-- Cl. F, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jun 23, 2010 Downgraded to Caa2 (sf)
-- Cl. G, Ca (sf) Placed Under Review for Possible Downgrade;
previously on Jun 23, 2010 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 (CMBS) transactions.
Moody's monitors transactions on a monthly basis through two sets
of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated July 23, 2010.
DEAL AND PERFORMANCE SUMMARY
As of the March 11, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 8% to $3.93 billion
from $4.30 billion at securitization. The Certificates are
collateralized by 160 mortgage loans ranging in size from less
than 1% to 9% of the pool, with the top ten loans representing 44%
of the pool. Three loans, representing less than 1% of the pool,
have defeased and are collateralized with U.S. Government
securities.
Thirty-six loans, representing 20% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Nine loans have been liquidated from the pool, resulting in an
aggregate realized loss of $24.2 million (58% loss severity).
Aggregate realized losses at last review were $5.9 million.
Thirty-three loans, representing 27% of the pool, are currently in
special servicing.
The largest specially serviced loan is the Schron Industrial
Portfolio ($317.5 million -- 8.1% of the pool), which is secured
by 36 industrial/flex facilities totaling 6.2 million square feet
of space located in 14 states. The loan was transferred to
special servicing on December 22, 2010 due to payment default. As
of the March 11, 2011 trustee statement, the special servicer
reports that the borrower failed to comply with requirements to
notify tenants to deposit rents directly to a designated account.
As a result, the special servicer has initiated the foreclosure
process. The remaining specially serviced loans are secured by a
mix of hotel, industrial, multifamily, office, retail, and self-
storage property types. The master servicer has recognized
appraisal reductions totaling $341.1 million for 25 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.
The principal methodology used in this rating was Moody's Approach
to Rating Fusion U.S. CMBS Transactions, published April 2005.
HIGHLAND LEGACY: Moody's Cuts Ratings on 2 Series of Notes to 'Ca'
------------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of these
notes issued by Highland Legacy Limited CLO:
-- US$10,000,000 Class D Fixed Rate Notes, Due 2011 (current
outstanding balance of $4,238,606), Downgraded to Ca (sf);
previously on September 2, 2009 Downgraded to Caa3 (sf);
-- US$20,000,000 Class D Floating Rate Notes, Due 2011 (current
outstanding balance of $8,477,213), Downgraded to Ca (sf);
previously on September 2, 2009 Downgraded to Caa3 (sf).
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are a
result of the significant deterioration in both the collateral
coverage available for the Class D Notes as well as in the credit
quality of the underlying portfolio since the previous rating
action. In particular, based on the latest trustee report dated
March 21, 2011, the overcollateralization ratio relating to the
Class D Notes has decreased to 58.49% from 108.31% in July 2009.
Defaulted securities currently held in the portfolio total about
$24.5 million, which is significantly higher than the $11.6
million reported in July 2009. Based on the same report, the
percentage of securities rated Caa1 or lower has also increased to
66.03% from 29% in July 2009. Moody's also noted that the
portfolio includes a number of investments in securities that
mature after the maturity date of the notes. Based on the trustee
report dated March 21,2011, securities that mature after the
maturity date of the notes make up approximately 38.3% of the
Aggregate Principal Amount versus 14.4% 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 $3.9 million, defaulted par of $24.5 million,
a weighted average default probability of 8.8% (implying a WARF of
7935), a weighted average recovery rate upon default of 38.93%,
and a diversity score of 4. 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.
Highland Legacy Limited CLO, issued in August 1999, 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.
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.
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. 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.
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.
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 non investment grade, especially
when they experience jump to default.
JEFFERIES RESECURITIZATION: S&P Cuts Ratings on 4 Classes to 'CCC'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on six
classes from Jefferies Resecuritization Trust 2009-R10, a U.S.
residential mortgage-backed securities (RMBS) resecuritized real
estate mortgage investment conduit (re-REMIC) transaction issued
in August 2009.
"At the same time, we removed all six ratings from CreditWatch
with negative implications. In addition, we affirmed
our rating on one class and removed it from CreditWatch negative.
We also withdrew our rating on one class. Before the withdrawal,
the rating was on CreditWatch negative," S&P related.
"On Dec. 15, 2010, we placed our ratings on 15 classes from
Jefferies Resecuritization Trust 2009-R10 on CreditWatch negative,
along with ratings from a group of other U.S. RMBS re-REMIC
securities. Additionally, on April 1, 2011, we provided an update
on the CreditWatch placements and clarified our analysis of
interest payment amounts within re-REMIC transactions," S&P noted.
S&P continued, "We intend our ratings on the re-REMIC classes to
address the timely payment of interest and principal. We reviewed
the interest and principal amounts due on the underlying
securities, which are then passed through to the applicable
re-REMIC classes. When performing this analysis, we applied our
loss projections, incorporating, where applicable, our recently
revised loss assumptions to the underlying collateral to identify
the principal and interest amounts that could be passed through
from the underlying securities under our rating scenario stresses.
We stressed our loss projections at various rating categories to
assess whether the re-REMIC classes could withstand the stressed
losses associated with their ratings while receiving timely
payment of interest and principal consistent with our criteria."
"We applied our recently revised loss assumptions, where
applicable, in our review. The changes are outlined in "Revised
Lifetime Loss Projections For Prime, Subprime, And Alt-A U.S. RMBS
Issued In 2005-2007," published March 25, 2011. The updates
pertain to the 2005-2007 vintage prime, subprime, and Alternative-
A (Alt-A) transactions, some of which are associated with the re-
REMIC we reviewed," S&P stated.
Lifetime Loss Projections For Prime And Subprime RMBS
(Percent of original balance)
Prime RMBS Subprime RMBS
Aggregate Aggregate
Vintage Updated Prior Updated Prior
2005 5.5 4.00 18.25 15.40
2006 9.25 6.60 38.25 35.00
2007 11.75 9.75 48.50 43.20
Lifetime Loss Projections For Alternative-A RMBS
(Percent of original balance)
Fixed/
Aggregate long-reset
Vintage Updated Prior Updated Prior
2005 13.75 11.25 12.75 9.60
2006 29.50 26.25 25.25 25.00
2007 36.00 31.25 31.75 26.25
Short-reset
hybrid Option ARM
Vintage Updated Prior Updated Prior
2005 13.25 14.75 15.50 13.25
2006 30.00 30.50 34.75 26.75
2007 41.00 40.75 43.50 37.50
"As a result of this review, we lowered our ratings on certain
classes based on our assessment as to whether there were principal
and/or interest shortfalls from the underlying securities that
would impair the re-REMIC classes at the applicable rating
stresses. The affirmation reflects our assessment of the
likelihood that the re-REMIC class will receive timely interest
and principal under the applicable stressed assumptions. We also
withdrew our rating on one class because it was fully paid off,"
S&P related.
The re-REMIC classes reviewed are paid interest pro rata versus
sequentially. "We based each of the downward rating actions within
this review on our projections of interest shortfalls, as opposed
to principal loss amounts, allocated to the re-REMIC classes under
the applicable ratings stress scenarios," S&P further noted.
In general, the underlying collateral for this transaction
consists of classes of securities backed primarily by Alt-A
mortgage loans originated between 2004 and 2007. The performance
of this collateral has generally declined in recent years. "As a
result, we have revised our U.S. RMBS default and loss assumptions
over the past several years -- and consequently our projected
losses -- to reflect our view of the continuing decline in U.S.
residential mortgage loan performance," S&P added.
Rating Actions
Jefferies Resecuritization Trust 2009-R10
Series 2009-R10
Rating
Class CUSIP To From
1-A2 47233EAB5 NR AAA (sf)/Watch Neg
1-A3 47233EAC3 AAA (sf) AAA (sf)/Watch Neg
1-A4 47233EAD1 BB (sf) AAA (sf)/Watch Neg
1-A5 47233EAE9 B- (sf) AA (sf)/Watch Neg
1-A6 47233EAF6 CCC (sf) A (sf)/Watch Neg
1-A7 47233EAG4 CCC (sf) BBB (sf)/Watch Neg
1-A8 47233EAH2 CCC (sf) BB (sf)/Watch Neg
1-A9 47233EAS8 CCC (sf) B (sf)/Watch Neg
LB-UBS COMM'L: Moody's Keeps C-Rating on 5 Classes of Certs
-----------------------------------------------------------
Moody's Investors Service upgraded the ratings of eight classes
and affirmed ten classes of LB-UBS Commercial Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 2004-C8:
-- Cl. A-4, Affirmed at Aaa (sf); previously on Dec 7, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. A-5, Affirmed at Aaa (sf); previously on Dec 7, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. A-6, Affirmed at Aaa (sf); previously on Dec 7, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. X-CL, Affirmed at Aaa (sf); previously on Dec 7, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. X-CP, Affirmed at Aaa (sf); previously on Dec 7, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. A-J, Upgraded to Aaa (sf); previously on Jan 13, 2011
Downgraded to Aa2 (sf)
-- Cl. B, Upgraded to Aa3 (sf); previously on Jan 13, 2011
Downgraded to A2 (sf)
-- Cl. C, Upgraded to A3 (sf); previously on Jan 13, 2011
Downgraded to Baa2 (sf)
-- Cl. D, Upgraded to Baa3 (sf); previously on Jan 13, 2011
Downgraded to Ba2 (sf)
-- Cl. E, Upgraded to B2 (sf); previously on Jan 13, 2011
Downgraded to Caa1 (sf)
-- Cl. F, Upgraded to Caa1 (sf); previously on Jan 13, 2011
Downgraded to Ca (sf)
-- Cl. G, Upgraded to Caa2 (sf); previously on Jan 13, 2011
Downgraded to C (sf)
-- Cl. H, Upgraded to Caa3 (sf); previously on Apr 15, 2010
Downgraded to C (sf)
-- Cl. J, Affirmed at C (sf); previously on Apr 15, 2010
Downgraded to C (sf)
-- Cl. K, Affirmed at C (sf); previously on Apr 15, 2010
Downgraded to C (sf)
-- Cl. L, Affirmed at C (sf); previously on Apr 15, 2010
Downgraded to C (sf)
-- Cl. M, Affirmed at C (sf); previously on Apr 15, 2010
Downgraded to C (sf)
-- Cl. N, Affirmed at C (sf); previously on Apr 15, 2010
Downgraded to C (sf)
RATINGS RATIONALE
The upgrades are due to lower expected losses for the pool
resulting from a smaller than anticipated loss realized at the
liquidation of the Lembi Portfolio ($113.9 million balance at
liquidation -- 12% of the pool), decreased loss expectations for
other loans in the pool, increased credit subordination and
improved overall pool performance.
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), 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
6.5% of the current balance. At last review, Moody's cumulative
base expected loss was 9.1%. Moody's stressed scenario loss is
12.4% of the current balance. Moody's provides a current list of
base and stress scenario losses for conduit and fusion CMBS
transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
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 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.
The principal methodologies used in these ratings were "CMBS:
Moody's Approach to Rating Fusion Transactions" published in April
2005 and "CMBS: Moody's Approach to Rating Large Loan/Single
Borrower Transactions" published in July 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 paydown analysis based on the
individual loan level Moody's LTV ratio. Moody's Herfindahl score
(Herf), a measure of loan level diversity, is a primary
determinant of pool level diversity and has a greater impact on
senior certificates. Other concentrations and correlations may be
considered in Moody's analysis. Based on the model pooled credit
enhancement levels at Aa2 and B2, the remaining conduit classes
are either interpolated between these two data points or
determined based on a multiple or ratio of either of these two
data points. For fusion deals, the credit enhancement for loans
with investment-grade 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 18 compared to 15 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 (CMBS) transactions.
Moody's monitors transactions on a monthly basis through two sets
of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated January 13, 2011. Please
see the ratings tab on the issuer / entity page on moodys.com for
the last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past six months.
DEAL PERFORMANCE
As of the April 15, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 38% to $810.7
million from $1.3 billion at securitization. The Certificates are
collateralized by 63 mortgage loans ranging in size from less than
1% to 14% of the pool, with the top ten non-defeased loans
representing 40% of the pool. Three loans, representing 27% of
the pool, have defeased and are secured by U.S. Government
securities. Defeasance at last review represented 23% of the
pool. The pool contains one loan with an investment grade credit
estimate, representing 14% of the pool.
Eleven loans, representing 11% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Nine loans have been liquidated from the pool, resulting in a
realized loss of $11.4 million (6% loss severity). Currently ten
loans, representing 15% of the pool, are in special servicing.
The largest specially serviced loan is the Hunt Retail Portfolio
Loan ($32.1 million -- 4.0% of the pool), which is secured by
eleven retail properties totaling 225,614 square feet (SF) located
across five states in the Southeastern and Southwestern U.S. The
loan was transferred to special servicing in October 2008 due to
monetary default and became real estate owned (REO) in mid-2009.
An appraisal dated July 6th, 2010 valued the portfolio at $21.7
million.
The remaining eight specially serviced properties are secured by a
mix of property types. Moody's estimates an aggregate $38.0
million loss for the specially serviced loans (45% expected loss
on average).
Moody's has assumed a high default probability for three poorly
performing loans representing 1% of the pool and has estimated an
aggregate $2.0 million loss (20% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2009 operating results for 60%
of the pool's non-defeased loans and partial year 2010 financials
for 84% of the pool's non-defeased loans. Excluding specially
serviced and troubled loans, Moody's weighted average LTV is 92%
compared to 97% at Moody's prior review. Moody's net cash flow
reflects a weighted average haircut of 11% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of non-defeased loans of 9.2%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.28X and 1.05X, respectively, compared to
1.35X and 1.10X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
For analysis of the collateral underlying the loan with a credit
estimate and the three largest conduit loans, Moody's used the
same financial information as the January 2011 review as we have
received minimal updated financial information since the last
review.
The loan with a credit estimate is The Grace Building Loan ($111.2
million -- 13.7% of the pool), which is secured by a 1.5 million
square foot office building located in the Midtown submarket of
New York City. The loan represents a 33% pari-passu interest in a
$337.0 million loan. A $28.5 million B Note, which is held
outside the trust, also encumbers the property. The property is
currently 100% leased. Brookfield Office Properties and Swig
Equities are the loan sponsors. Moody's current underlying rating
and stressed DSCR are Baa1 and 1.35X, respectively.
The top three conduit loans represent 7% of the outstanding pool
balance. The largest loan is the North Haven Pavilion Loan ($24.5
million -- 3.0% of the pool), which is secured by a 148,052 square
foot shadow anchored retail center located in North Haven,
Connecticut. As of September 2010, the center was 98% leased, the
same as at last review and securitization. Major tenants include
Sports Authority (36% of the net rentable area (NRA); lease
expiration in October 2019) and Michael's Stores (16% of the NRA;
lease expiration in February 2014). Moody's LTV and stressed DSCR
are 103% and 1.00X, respectively.
The second largest loan is the Parkridge Six Aurora Loan Services
Loan ($22.7 million -- 2.4% of the pool), which is secured by a
161,218 square foot office building located in Littelton, a suburb
of Denver, Colorado. The property is 100% leased to Aurora Loan
Services through July 2016. Moody's LTV and stressed DSCR are 99%
and 1.03X, respectively.
The third largest loan is the Rosemead Place Loan ($21.1 million -
- 2.3% of the pool), which is secured by a 340,583 square foot
anchored retail property located in the San Gabriel Valley section
of Los Angeles County. Major tenants include Target (40% of the
NRA; lease expiration in November 2037) and Bally's Total Fitness
(13% of the NRA; lease expiration in February 2016). As of
September 2010, the property was 88% leased compared to 95% at
securitization. Moody's LTV and stressed DSCR are 84% and 1.16X,
respectively.
MASTR ADJUSTABLE: S&P Lowers Class A-1 Notes Rating to 'CCC'
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on one class
and affirmed ratings on two other classes from a residential
mortgage backed securities (RMBS) resecuritized real estate
mortgage investment conduit (re-REMIC) transaction issued in 2005.
"At the same time, we affirmed and removed our ratings on two
classes from a transaction issued in 2004 from CreditWatch with
negative implications. We also withdrew our ratings on three
classes from a transaction in which the re-REMIC securities were
paid down. At the time of the withdrawal, two of the ratings were
on CreditWatch negative," S&P said.
"On Dec. 15, 2010, we placed our ratings on five classes from the
three transactions in this review on CreditWatch with negative
implications, along with ratings from a group of other RMBS re-
REMIC securities. Additionally, on April 1, 2011, we provided an
update on the CreditWatch placements and provided clarification
regarding our analysis of interest payment amounts within re-REMIC
transactions," S&P noted.
According to S&P, "Our ratings on the re-REMIC classes are
intended to address the timely payment of interest and principal.
We reviewed the interest and principal amounts due on the
underlying securities, which are then passed through to the
applicable re-REMIC classes. When performing this analysis, we
applied our loss projections, incorporating, where applicable, our
recently revised loss assumptions to the underlying collateral to
identify the principal and interest amounts that could be passed
through from the underlying securities under our rating scenario
stresses. We stressed our loss projections at various rating
categories to assess whether the re-REMIC classes could withstand
the stressed losses associated with their ratings while receiving
timely payment of interest and principal consistent with our
criteria."
"We applied our recently revised loss assumptions, where
applicable, in our review. The changes are outlined in "Revised
Lifetime Loss Projections For Prime, Subprime, And Alt-A U.S. RMBS
Issued In 2005-2007," published March 25, 2011. The updates
pertain to the 2005-2007 vintage prime, subprime, and Alternative-
A (Alt-A) transactions, some of which are associated with the re-
REMICs we reviewed," S&P said.
Lifetime Loss Projections For Prime And Subprime RMBS
(Percent of original balance)
Prime RMBS Subprime RMBS
Aggregate Aggregate
Vintage Updated Prior Updated Prior
2005 5.5 4.00 18.25 15.40
2006 9.25 6.60 38.25 35.00
2007 11.75 9.75 48.50 43.20
Lifetime Loss Projections For Alternative-A RMBS
(Percent of original balance)
Fixed/
Aggregate long-reset
Vintage Updated Prior Updated Prior
2005 13.75 11.25 12.75 9.60
2006 29.50 26.25 25.25 25.00
2007 36.00 31.25 31.75 26.25
Short-reset
hybrid Option ARM
Vintage Updated Prior Updated Prior
2005 13.25 14.75 15.50 13.25
2006 30.00 30.50 34.75 26.75
2007 41.00 40.75 43.50 37.50
"As a result of this review, we lowered our rating on one class
based on our projections of principal loss amounts, as opposed to
interest shortfalls, allocated to the re-REMIC class under the
applicable rating stress scenario. The affirmations reflect our
assessment of the likelihood that the re-REMIC classes will
receive timely interest and principal under the applicable
stressed assumptions. We also withdrew our ratings on three
classes because the securities were paid down," S&P said.
In general, the underlying collateral for these transactions
consists of classes of securities backed primarily by prime,
subprime, and Alt-A mortgage loans originated between 1998 and
2005. The performance of this collateral has generally declined in
recent years. "As a result, we have revised our U.S. RMBS
default and loss assumptions over the past several years -- and
consequently our projected losses -- to reflect our view of the
continuing decline in U.S. residential mortgage loan performance,"
S&P added.
Rating Actions
MASTR Adjustable Rate Mortgages Trust 2005-5
Series 2005-5
Rating
Class CUSIP To From
A-1 576433ZR0 CCC (sf) B- (sf)/Watch Neg
Mellon Re-REMIC Pass-Through Trust 2004-TBC1
Series 2004-TBC1
Rating
Class CUSIP To From
A 58552RAA8 AAA (sf) AAA (sf)/Watch Neg
X 58552RAB6 AAA (sf) AAA (sf)/Watch Neg
Washington Mutual Mortgage Trust Series 2003-R1
Series 2003-R1
Rating
Class CUSIP To From
A-1 93934EAA3 NR AAA (sf)/Watch Neg
A-3 93934EAC9 NR AAA (sf)/Watch Neg
A-R 93934EAF2 NR AAA (sf)
Ratings Affirmed
MASTR Adjustable Rate Mortgages Trust 2005-5
Series 2005-5
Class CUSIP Rating
A-2 576433ZS8 CCC (sf)
A-3 576433ZW9 CCC (sf)
NR--Not rated.
ML-CFC COMMERCIAL: S&P Lowers Four Classes Ratings to 'D'
---------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on six
classes of commercial mortgage-backed securities (CMBS) from
ML-CFC Commercial Mortgage Trust 2007-7.
"We lowered our rating on the class G certificate to 'D (sf)'
after it sustained a principal loss, which was reported in the
April 14, 2011, trustee remittance report. The principal loss
followed the March 2011 liquidation of one specially serviced
asset. The class G certificate experienced a reported loss of
5.2%, or $1.45 million of its $27.9 million original balance. The
class H certificate, which Standard & Poor's previously lowered to
'D (sf)', lost 100% of its $3.0 million opening balance," S&P
related.
The downgrades of the class D, E, and F certificates to 'D (sf)'
reflect accumulated interest shortfall amounts that have remained
outstanding for four months or more. "We expect these shortfalls
to remain outstanding for the foreseeable future," S&P said.
According to S&P, "We lowered our ratings on the class B and C
certificates to reflect our analysis of current interest
shortfalls affecting these classes. The lowered ratings on these
classes also reflect potential interest shortfalls that are
likely to affect the classes based on appraisal subordinate
entitlement reduction (ASER) amounts that are in effect for 34 of
the 44 remaining specially serviced assets. The downgrades of
these classes also reflect the reduced interest available to the
trust and the potential for these classes to experience continued
shortfalls in the future. As of the April 2011 trustee remittance
report, 44 assets ($551.1 million, 21.7% of the pool) are
currently with the special servicer, Midland Loan Services Inc.
(Midland)."
According to the April 2011 trustee remittance report, the
principal loss relates to one asset that was with the special
servicer and liquidated in March 2011. Details are:
* The Capistrano Collection consisted of a 24,561-sq.-ft.
retail property in San Juan Capistrano, Calif. According to
the April trustee remittance report, the asset had a total
exposure of $9.0 million prior to liquidation. The asset was
transferred to Midland in July 2009 due to payment default.
The trust incurred a $4.5 million realized loss when the
asset was liquidated on March 29, 2011. Based on the April
2011 trustee remittance report, the loan experienced a 55.5%
loss severity.
According to the April 2011 trustee remittance report, the
transaction's collateral pool consists of 308 loans with an
aggregate trust balance of $2.54 billion, down from 326 loans
totaling $2.79 billion at issuance. The trust has experienced
$110.7 million in losses on 19 assets. Based on the April 2011
trustee remittance report, the weighted average loss severity for
these assets was approximately 62.3%.
Ratings Lowered
ML-CFC Commercial Mortgage Trust 2007-7
Commercial mortgage pass-through certificates
Credit Reported
Rating enhancement interest shortfalls ($)
Class To From (%) current accumulated
B CCC (sf) B (sf) 6.39 (69,326) 14,750
C CCC- (sf) B (sf) 5.29 137,770 407,956
D D (sf) B- (sf) 3.51 223,874 873,879
E D (sf) CCC (sf) 2.41 137,775 736,861
F D (sf) CCC- (sf) 1.04 172,209 1,011,279
G D (sf) CCC- (sf) 0 137,770 858,283
MORGAN STANLEY: S&P Lowers Two Classes of Certs. Ratings to 'D'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
classes of commercial mortgage-backed securities (CMBS) from
Morgan Stanley Capital I Trust 2005-HQ7.
The downgrades of the class O and P certificates to 'D (sf)'
follow principal losses sustained by the classes, which were
reported in the April 14, 2011, trustee remittance report. The
principal losses were related to four specially serviced assets
that were liquidated in March or April 2011. The class O
certificate experienced reported losses amounting to 50.0% ($2.4
million) of its $4.9 million original balance. The class P
certificate experienced reported losses amounting to 100% of its
$4.9 million original balance. The class Q certificates, which
Standard & Poor's previously lowered to 'D (sf)', lost 100% of its
$3.5 million opening balance.
"The downgrades to the class J, K, L, M, and N certificates
reflect our analysis of the potential interest shortfalls that are
likely to affect the transaction, as well as reduced liquidity
available to the trust. We lowered our ratings on the class M and
N certificates due to potential interest shortfalls that are
likely to affect the classes based on appraisal subordinate
entitlement reduction (ASER) amounts in effect for two of the 13
remaining specially serviced assets. The downgrades of the class
J, K, and L certificates reflect a reduction of available interest
to the trust and the potential for these classes to experience
shortfalls in the future. As of the April 2011 trustee remittance
report, 13 assets ($59.1 million, 3.4% of the pool) are currently
with the special servicer, C-III Asset Management LLC (C-III),"
S&P related.
According to the April 2011 trustee remittance report, the losses
relate to four assets that were with the special servicer.
Details are:
* The Padden Market Center asset is an 81,582-sq.-ft. retail
property in Vancouver, Wa. According to the trustee
remittance report, the asset had a total exposure of $14.3
million prior to resolution. The loan was transferred to C-
III in April 2010 due to payment default. The trust
incurred a $3.1 million realized loss when the asset
liquidated on April 6, 2011. Based on the April 2011
trustee remittance report, the loss severity for this loan
was 23.0% of its balance.
* The Pennsylvania Retail Portfolio asset consisted of two
single-tenant retail properties totaling 59,000 sq. ft. in
Pittsburgh, Pa. According to the trustee remittance report,
the asset had a total exposure of $8.3 million prior to
resolution. The loan was transferred to C-III in October
2010 due to payment default. The trust incurred a $4.8
million realized loss when the asset was liquidated on March
30, 2011. Based on the April 2011 trustee remittance
report, the loss severity for this loan was 59.1% of its
balance.
* The Shashabaw Plaza asset is a 14,372-sq.-ft. retail
property in Oakland, Mich. According to the trustee
remittance report, the asset had a total exposure of $2.5
million prior to resolution. The loan was transferred to C-
III in November 2010 due to payment default. The trust
incurred a $1.1 million realized loss when the asset
liquidated on April 1, 2011. Based on the April 2011
trustee remittance report, the loss severity for this loan
was 44.1% of its balance.
* The Olive Road Mini Storage is a 57,465-sq.-ft. self storage
property in Pensacola, Fla. According to the trustee
remittance report, the asset had a total exposure of $2.9
million prior to resolution. The loan was transferred to C-
III in March 2009 due to payment default. The trust
incurred a $1.8 million realized loss when the asset was
liquidated on March 16, 2011. Based on the April 2011
trustee remittance report, the loss severity for this loan
was 78.3% of its balance.
According to the April 2011 trustee remittance report, the
collateral pool for the transaction consisted of 255 loans with an
aggregate trust balance of $1.72 billion, down from 278 loans
totaling $1.96 billion at issuance. To date, the trust has
experienced losses on 17 assets totaling $46.6 million. Based on
the April 2011 trustee remittance report, the weighted average
loss severity for these assets was approximately 56.4%.
Ratings Lowered
Morgan Stanley Capital I Trust 2005-HQ7
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
J B- (sf) B+ (sf) 2.56
K CCC+ (sf) B (sf) 1.42
L CCC (sf) B (sf) 0.99
M CCC- (sf) B- (sf) 0.43
N CCC- (sf) B- (sf) 0.14
O D (sf) CCC+ (sf) 0.00
P D (sf) CCC (sf) 0.00
MORGAN STANLEY: S&P Withdraws 'CCC-' Rating on Class IA Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its rating on the
class IA notes from Morgan Stanley ACES SPC's series 2006-5, a
synthetic collateralized debt obligation (CDO) transaction.
The withdrawn rating follows the full redemption and subsequent
termination of the notes.
Rating Withdrawn
Morgan Stanley ACES SPC
Series 2006-5
Rating
Class To From
IA NR CCC- (sf)
MORGAN STANLEY: S&P Lowers Ratings on Three Classes to 'D'
----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on three
classes of notes from Morgan Stanley ACES SPC's series 2006-3, a
synthetic collateralized debt obligation (CDO) transaction.
The lowered ratings follow credit events in the underlying
portfolio that have caused the tranches to incur a principal loss.
Ratings Lowered
Morgan Stanley ACES SPC
Series 2006-3
Rating
Class To From
IC D (sf) CCC- (sf)
IIA D (sf) CCC- (sf)
IIF D (sf) CCC- (sf)
MORGAN STANLEY: S&P Lowers Rating on Class IA Notes to 'D'
----------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
IA notes from Morgan Stanley ACES SPC's series 2006-7, a synthetic
collateralized debt obligation (CDO) transaction.
The lowered rating follows credit events in the transaction's
underlying portfolio that have caused the tranche to incur a full
principal loss.
Rating Lowered
Morgan Stanley ACES SPC
Series 2006-7
Rating
Class To From
IA D (sf) CCC- (sf)
MORGAN STANLEY: S&P Lowers Rating on Class IIA Notes to 'D'
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
IIA notes from Morgan Stanley ACES SPC series 2007-13, a synthetic
collateralized debt obligation (CDO) transaction. "At the same
time, we affirmed our 'CCC- (sf)' ratings on the class IIB and
IIIB notes," S&P related.
"We lowered the rating on the class IIA notes following credit
events in the underlying portfolio that have caused the tranche to
incur a principal loss. The affirmations reflect our view that
the tranches have adequate credit support at their current rating
levels," S&P noted.
Rating Lowered
Morgan Stanley ACES SPC
Series 2007-13
Rating
Class To From
IIA D (sf) CCC- (sf)
Ratings Affirmed
Morgan Stanley ACES SPC
Series 2007-13
Class Rating
IIB CCC- (sf)
IIIB CCC- (sf)
Other Rating Outstanding
Morgan Stanley ACES SPC
Series 2007-13
Class Rating
IV D (sf)
MRU STUDENT LOAN: S&P Lowers Class D Notes Rating to 'CCC-'
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A-1A, A-1B, B, C, and D notes issued by MRU Student Loan
Trust 2008-A, an asset-backed securities (ABS) transaction backed
by private student loans. "Concurrently, we removed these
ratings from CreditWatch with negative implications, where we
placed them on Aug. 5, 2009. We did not rate the class E
capitalized interest notes," S&P noted.
"The downgrades reflect our view of the collateral's poor
performance to date, its current characteristics, and our
expectation that cumulative defaults and net losses will likely
continue to increase. The trust's cash inflows are already
strained due to the low levels of loans in active repayment, and
there is a high cost of funds owed on the notes," S&P continued.
Key Transaction Participants
American Education Services, a division of the Pennsylvania Higher
Education Assistance Agency, is the servicer of the private
student loans.
MRU Holdings Inc. (MRU) was the transaction's original sponsor and
administrator. MRU filed for Chapter 7 bankruptcy on Feb. 6,
2009. The transactions documents allowed but did not require MRU
as the administrator to perform or hire others to perform
predefault special servicing aimed at riskier loans. "In its role
as administrator, we believe MRU was actively involved in
determining which loans were at greater risk for default and the
implementation of what MRU deemed an appropriate servicing
strategy for those particular loans. MRU also oversaw the
transfer of late-stage delinquent loans to a collection agency for
more rigorous collection activities. MRU's Chapter 7 bankruptcy
filing constituted an event of default under the administration
agreement and triggered the replacement of MRU by the backup
administrator, The Bank of New York Trust Co. (BNY)," according to
S&P.
Contrary to what typically occurs with regard to other ABS asset
classes, most student loans enter repayment several years after
the loans are originated because most borrowers don't make
payments while they are still in school. "We have observed that
efforts aimed at educating the borrower and the co-borrower about
the terms surrounding their loan prior to a student entering the
repayment period after graduation typically minimize delinquencies
and defaults. We believe this trust may not benefit from an
improving economic environment to the same degree as other trusts
if it does not have servicing efforts focused on educating and
contacting the borrowers and co-borrowers early in the repayment
cycle, as well as other special servicing aimed at certain
borrowers who are deemed by certain transaction participants as
more likely to default ("predefault special servicing")," S&P
noted.
Collateral and Credit Risk
For the 2008-A transaction, MRU marketed, arranged, and acquired
student loans through various subsidiary companies. MRU marketed
the loans directly to consumers and did not involve the schools'
financial aid office in the loan origination process. The funds
were typically disbursed directly to the borrowers. MRU offered
the loans to students enrolled in schools eligible under Title IV,
Part B of the Higher Education Act of 1965 and schools that
were approved by MRU's credit department. MRU primarily extended
the loans in the 2008-A trust to students who were attending
undergraduate and graduate programs. Generally, the underwriting
process used credit scores, income, and debt burden tests, similar
to factors measured when applying for other forms of consumer
credit. Additionally, MRU used other criteria such as a student's
self-reported grade point average (GPA) and self-reported major to
determine which obligors it would extend credit to and determine
the risk-based pricing of the loan. MRU typically required a
cosigner if a student did not meet the minimum requirements.
At issuance, the pool characteristics were:
* 74.2% of the loans were cosigned.
* The weighted average FICO score for the entire pool was 711.
* 31.7% of the loans were made to borrowers or coborrowers
with FICO scores of less than 670.
* 22.0% of the loans were made to borrowers or coborrowers
with FICO scores that were greater than 760.
* None of the loans were originated through the school
channel.
* 85% of the loans were in in-school/grace status.
* The weighted average of the months remaining in in-school
status was approximately 24 months.
S&P has typically observed that loans with comparable loan and
obligor characteristics may perform:
* Cosigned loans are more likely to perform better than non-
cosigned loans.
* Obligors with higher FICO scores are likely to perform
better than obligors with lower FICO scores.
* Obligors with demonstrated payment behaviors are less likely
to exhibit early payment default post securitization than
obligors whose loans have not entered repayment.
* Loans that are originated through a school channel are less
likely to experience fraud than loans that are directly
originated to consumers.
* Loans that receive predefault special servicing aimed at
educating the borrower and co-borrower of their repayment
obligations are more likely to perform better than loans
that do not receive predefault special servicing.
Pool Performance
"As part of our analytical review and in accordance with our
student loan criteria, we compare a transaction's remaining credit
enhancement with our projection of remaining net losses by
reviewing a trust's collateral performance and the current pool
collateral characteristics, including but not limited to, gross
cumulative defaults and levels of forbearance and deferments.
Based on our analysis, we believe the current remaining credit
enhancement for series 2008-A is commensurate with the lowered
ratings," S&P stated.
S&P added, "We also believe the borrowers and co-borrowers of the
pool of student loans backing this transaction will likely face
continued high unemployment rates that could affect their ability
to find employment and make timely payments on their loans.
Default Expectations and Net Loss Projections
"Based on our view of the current and projected performance of
this trust, we currently project lifetime cumulative defaults will
be 30%-33% of the original pool balance including interest to be
capitalized, which is an increase from our expectation of 12%-14%
at issuance. Depending on the rating scenario, we assume future
stressed recovery rates of approximately 20%-30% of the dollar
amount of cumulative defaults, which results in our expectation
for remaining cumulative net losses of 17%-22% of the current
principal balance, including accrued interest to be capitalized,"
S&P noted.
Projections (%)
Projected lifetime cumulative defaults(1) 30-33
Recovery assumption 20-30
Projected remaining cumulative net loss(2) 17-22
(1) As a percent of the initial collateral balance including
accrued interest to be capitalized.
(2) As a percent of current collateral balance including
accrued interest to be capitalized.
Payment Structure
All of the notes except the class A-1A notes were offered as
floating-rate notes at a spread over three-month LIBOR. The class
A-1A notes are supported by an interest rate floor agreement.
According to the transactions documents, if, under the interest
rate floor agreement, the three-month LIBOR rate is below a
certain floor rate, the counterparty will pay the difference to
the issuing entity. Merrill Lynch & Co. Inc. (A/Negative/A-1),
the swap guarantor, guarantees the payment obligations of
the counterparty, Merrill Lynch Capital Services, under the
interest rate floor agreement. Standard & Poor's currently rates
the swap guarantor higher than the revised ratings of the notes.
A downgrade of the swap guarantor's rating below the ratings on
the notes may prompt Standard & Poor's to further review the
ratings assigned to the notes.
Note Interest Rates
Class Interest rate
A-1A 7.4%
A-1B Three-month LIBOR plus 3.0%
B Three-month LIBOR plus 5.5%
C Three-month LIBOR plus 7.0%
D Three-month LIBOR plus 10.0%
The 2008-A trust uses a senior-subordinate structure whereby the
class A-1A, A-1B, B, and C notes each benefit from the
subordination provided by its lower-rated classes. The initial
overcollateralization was 14.25% and is required under the
transaction documents to build to a target of 21.50% of the
current asset balance with a floor of 12.00% of the initial asset
balance.
The trust also benefits from a fully funded non-amortizing 0.25%
reserve account and a cash capitalization account. The cash
capitalization account steps down periodically, as set out in the
transaction documents. In accordance with the transaction
documents, if the transaction doesn't use all of the funds in the
cash capitalization account, the remaining funds will be released
through the transaction waterfall in October 2011.
The trust makes quarterly payments on the notes primarily from
collections on a pool of private student loans. The principal
payments are made sequentially, but switch to pro rata after the
step-down date in October 2015 as long as cumulative gross
defaults do not exceed certain specified limits. The principal
payment priority switches back to sequential whenever the
cumulative gross defaults exceed such limits.
Each class of notes has a required credit enhancement target.
When class A reaches its overcollateralization target, the class B
notes can begin to receive principal; when classes A and B reach
their respective targets, the class C notes can begin to receive
principal; and when classes A, B, and C reach their respective
targets, the class D notes can begin to receive principal. Once
these credit enhancement targets are reached, principal payments
will be made from the remaining available funds in reverse order
to the class D, C, B, and A notes.
Under certain scenarios as set out in the transaction documents,
the trust will make certain principal payments to senior classes
before making any interest payments due to the next lower rated
class. Additionally, the trust has the ability to borrow against
upcoming period's collections to pay a current period's interest
payments ("next period borrowings").
Principal payable to the notes will generally be equal to the
excess of the note balance over the total assets plus the amount
sufficient to first reach and then maintain the required
overcollateralization. The excess spread, if any, will be used to
reach overcollateralization targets for each class.
The unrated class E notes are paid from cash available after all
required payments are made to the class A, B, C, and D notes.
Accordingly, payments to the class E notes have no effect on the
rated notes' credit enhancement. Any periodic interest payments
not made to the class E notes are capitalized into the class E
note principal balance.
Break-even Cash Flow Modeling Assumptions
"We ran break-even cash flows under various interest rate
scenarios and rating stress assumptions. These cash flow runs
provided break-even percentages that represent the projected
maximum amount of remaining cumulative net losses a transaction
can absorb (as a percent of the pool balance as of the cash flow
cutoff date) before failing to pay full and timely interest and
ultimate principal," S&P stated. These are some of the major
assumptions S&P modeled as the loans enter repayment:
* "We made broad assumptions to derive representative loan-
level information from the information presented in the
prospectus and trustee reports for purposes of our cash flow
modeling," S&P stated.
* Recovery rates were of 20%-30%, depending on the rating
scenario.
* Prepayment speeds started at approximately two CPR (constant
prepayment rate, an annualized prepayment speed stated as a
percentage of the current loan balance) and ramping up 1%
per year to a maximum rate of four to seven CPR, depending
on the rating scenario. "We held the applicable maximum
rate constant for the remaining life of the deal," S&P
noted.
* "We also assumed that the next period borrowings would be in
an amount sufficient to pay all items in items one through
nine in the priority of the payment waterfall. We may
review the transaction for further rating actions if the
trust doesn't draw and allocate the next period borrowings
in accordance with our assumptions," S&P stated.
Break-even Cash Flow Modeling Results
and Rating Actions
"Based on our cash flow runs, which consider the collateral pool
balance as of the Dec. 31, 2010, cutoff date, we projected the
percentage of remaining cumulative net losses the class A through
class D notes are able to absorb before experiencing a payment
default. Based on the break-evens according to the cash flow runs
and the remaining expected net losses of 17% to 22% (based on the
current pool balance including interest to be capitalized), we
lowered our ratings on the class A through class D notes to
reflect our view of the current loss-coverage levels," S&P noted.
Remaining Cumulative Net Losses And Rating Actions
Class Original Approximate Lowered rating
rating remaining based on current
cumulative net loss coverage
losses (%)* levels
A AAA 31.5 BBB
B AA 23.25 BB
C A 13.50 B-
D BBB 2.25 CCC-
*based on the current pool balance including interest to be
capitalized
Standard & Poor's will continue to monitor the performance of the
student loan receivables backing this transaction relative to its
revised cumulative default expectations and its assessment of the
credit enhancement available to each class.
Ratings Lowered and Removed From CreditWatch Negative
MRU Student Loan Trust 2008-A
Rating
Class To From
A-1A BBB (sf) AAA (sf)/Watch Neg
A-1B BBB (sf) AAA (sf)/Watch Neg
B BB (sf) AA (sf)/Watch Neg
C B- (sf) A (sf)/Watch Neg
D CCC- (sf) BBB (sf)/Watch Neg
NORTH STREET: S&P Lowers Class D Notes Rating From 'CCC-' to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
D notes and affirmed its rating on the class B notes from North
Street Reference-Linked Notes 2005-8 Ltd., a synthetic
collateralized debt obligation (CDO) transaction. "At the same
time, we withdrew our rating on the class A notes from that
transaction," S&P stated.
S&P continued, "We lowered the rating on the class D notes as a
result of credit events in the underlying portfolio that have
caused the tranche to incur a principal loss. Our affirmation on
the rating on the class B notes reflects our view that the tranche
has adequate credit support at the current rating level. We
withdrew our rating on the class A notes following an optional
swap reduction on the notes that has reduced the outstanding
notional balance to zero."
Rating Lowered
North Street Reference-Linked Notes 2005-8 Ltd.
Rating
Class To From
D D (sf) CCC- (sf)
Rating Affirmed
North Street Reference-Linked Notes 2005-8 Ltd.
Class Rating
B CCC- (sf)
Rating Withdrawn
North Street Reference-Linked Notes 2005-8 Ltd.
Rating
Class To From
A NR CCC- (sf)
NR - Not rated.
ORIGEN MANUFACTURED: S&P Lowers Rating on Class B-1 Certs to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
B-1 certificates from Origen Manufactured Housing Contract
Senior/Subordinate Asset-Backed Certificates Series 2002-A to 'D
(sf)' from 'CCC- (sf)'.
Origen Manufactured Housing Contract Senior/Subordinate Asset-
Backed Certificates Series 2002-A is backed by fixed-rate
manufactured housing loans originated by Origen Financial LLC.
The lowered rating reflects a payment default resulting from an
interest shortfall for this class on the April 2010 distribution
date. The interest shortfall is due to the payment distribution in
which interest on the written-down portion of principal is paid
subordinate to senior principal payments. "We believe that the
interest shortfall will likely persist into the future due to
adverse performance trends observed in the underlying collateral
pool, as well as the subordination of the write-down interest for
this class to senior principal payments," S&P stated.
Standard & Poor's will continue to monitor the other outstanding
ratings associated with this transaction.
PINNACLE POINT: S&P Lowers Ratings on Three Classes to 'D'
----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class C-1, C-2, and D notes from Pinnacle Point Funding II Ltd., a
high-grade hybrid collateralized debt obligation, to 'D (sf)' from
'CC (sf)'.
"We previously downgraded the three nondeferrable notes (classes
A-1B, A-2, B) to 'D (sf)' on Nov. 4, 2009, due to missed interest
payments. These downgrades affect the three deferrable notes from
Pinnacle Point Funding II Ltd. and reflect the fact that the
proceeds from the liquidation of the portfolio assets were
insufficient to pay any of the rated notes in full," S&P said.
Ratings Lowered
Pinnacle Point Funding II Ltd.
Rating
Class To From
C-1 D (sf) CC (sf)
C-2 D (sf) CC (sf)
D D (sf) CC (sf)
Other Ratings Outstanding
Pinnacle Point Funding II Ltd.
Class Rating
A-1B D (sf)
A-2 D (sf)
B D (sf)
RENAISSANCE HOME: Moody's Confirms 'Ca' Rating for Class B Tranche
------------------------------------------------------------------
Moody's Investors Service has confirmed the rating of Cl. B
tranche from Renaissance Home Equity Loan Trust 2002-2. The
collateral backing the deal 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.
The principal methodology used in this rating is described in the
Monitoring and Performance Review section in "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "Pre-2005 US RMBS
Surveillance Methodology" published in January 2011, which
accounts for the deteriorating performance and outlook.
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.
Complete rating actions are:
Issuer: Renaissance Home Equity Loan Trust 2002-2
-- Cl. B, Confirmed at Ca (sf); previously on Apr 8, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
SANKATY HIGH: S&P Lowers Class C Notes Rating to 'CC'
-----------------------------------------------------
Standard & Poor's Ratings Services lowered its rating of the class
C notes of Sankaty High Yield Partners III, a market value
collateralized debt obligation (CDO) transaction managed by
Sankaty Advisors LLC. The class D and E notes remain at 'CC (sf)'.
Typically, market value CDOs liquidate their collateral portfolio
and distribute the proceeds to pay the notes on or prior to their
legal final maturity date. The downgrade is based on the notice of
revocation of liquidation direction and the forbearance agreement,
each dated as of April 20, 2011, indicating that on the final
maturity date of April 30, 2011, the assets will not be liquidated
to pay the notes in full according to the terms of the
transaction. "If the notes are not paid in full on the maturity
date, we will likely lower the ratings to 'D (sf)'," S&P noted.
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 it deems necessary.
Rating Lowered
Sankaty High Yield Partners III
Rating
Class To From
C CC (sf) CCC- (sf)
Other Ratings Outstanding
Class Rating
D CC (sf)
E CC (sf)
SANTANDER DRIVE: Moody's Assigns Provisional Ratings to Notes
-------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by Santander Drive Auto Receivables Trust
2011-1 (SDART 2011-1). This is the first public senior/
subordinated transaction of the year for Santander Consumer USA
Inc.
The complete rating actions are:
Issuer: Santander Drive Auto Receivables Trust 2011-1
-- Cl. A-1, Assigned (P)P-1 (sf)
-- Cl. A-2, Assigned (P)Aaa (sf)
-- Cl. A-3, Assigned (P)Aaa (sf)
-- Cl. B, Assigned (P)Aa1 (sf)
-- Cl. C, Assigned (P)A1 (sf)
-- Cl. D, Assigned (P)Baa2 (sf)
-- Cl. E, Assigned (P)Ba2 (sf)
RATINGS RATIONALS
Moody's said the ratings are based on the quality of the
underlying auto loans and their expected performance, the strength
of the structure, the availability of excess spread over the life
of the transaction, and the experience and expertise of SC USA as
servicer.
The principal methodology used in rating the transaction is
"Moody's Approach to Rating U.S. Auto Loan-Backed Securities,"
published in June 2007.
Moody's median cumulative net loss expectation for the SDART
2011-1 pool is 12.0% and total credit enhancement required to
achieve Aaa rating (i.e. Aaa proxy) is 43.0%. The loss
expectation was based on an analysis of SC USA's portfolio vintage
performance as well as performance of past securitizations, and
current expectations for future economic conditions.
The Assumption Volatility Score for this transaction is Low/Medium
versus a Medium for the sector. This is driven by the a
Low/Medium assessment for Governance due to the presence of a
highly rated parent, Banco Santander (Aa2 negative outlook/P-1),
in addition to the size and strength of SC USA's servicing
platform.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If the net loss used in
determining the initial rating were changed to 20%, 25% or 35.0%,
the initial model output for the Class A notes might change from
Aaa to Aa1, Aa2, and A2, respectively; Class B notes might change
from Aa1 to A3, Baa3, and below B3, respectively; Class C notes
might change from A1 to Ba1, B2, and below B3, respectively; Class
D notes might change from Baa2 to below B3 in all three scenarios;
and Class E notes might change from Ba2 to below B3 in all three
scenarios.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time, rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not
aged. Parameter Sensitivities only reflect the ratings impact of
each scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity 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 in this transaction.
Additional research including a pre-sale report for this
transaction is available at www.moodys.com. The special reports,
"Updated Report on V Scores and Parameter Sensitivities for
Structured Finance Securities" and "V Scores and Parameter
Sensitivities in the U.S. Vehicle ABS Sector" are also available
on moodys.com.
SLC STUDENT: Fitch Affirms 'BB' Rating on Class B 2007-2 Bonds
--------------------------------------------------------------
Fitch Ratings affirms the senior notes issued by SLC Student Loan
Trust series 2007-2 at 'AAAsf' and the subordinate student loan
note at 'BBsf'. The Rating Outlook remains Stable for both the
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 minimum 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 are agencies of the U.S.
government. Fitch has assigned SLM Corp. a long- and short-term
Issuer Default Ratings (IDRs) of 'BBB-' and 'F3', respectively.
SLC Student Loan Trust Series 2007-2:
-- Class A-1 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-2 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-3 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B affirmed at 'BBsf/LS3'; Outlook Stable.
STARTS PLC: S&P Withdraws 'CCC-' Rating on Series 2007-24 Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its 'CCC- (sf)' rating
on the notes from STARTS (Ireland) PLC's series 2007-24, a
synthetic collateralized debt obligation (CDO) transaction.
The rating withdrawal follows the full repurchase and subsequent
termination of the notes.
Rating Withdrawn
STARTS (Ireland) PLC
Series 2007-24
Rating
Class To From
Notes NR CCC- (sf)
NR - Not rated.
TERIP NO. 1: S&P Withdraws 'CCC-' Ratings on Six Classes of Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on the
notes from Terip No. 1 (CDO) Ltd., a synthetic collateralized debt
obligation (CDO) transaction.
"We withdrew the ratings following the full repurchase and
subsequent termination of the notes," S&P said.
Ratings Withdrawn
Terip No. 1 (CDO) Ltd.
Rating
Class To From
A NZD NR CCC- (sf)
B USD NR CCC- (sf)
B SGD NR CCC- (sf)
B AUD NR CCC- (sf)
C USD NR CCC- (sf)
C AUD NR CCC- (sf)
NR - Not rated.
UCAT 2005-1: S&P Lowers Class A Notes Rating to 'B-'
----------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on UCAT
2005-1's class A notes to 'B- (sf)' from 'BBB- (sf)' and removed
it from CreditWatch with negative implications, where S&P had
initially placed it on June 29, 2009.
UCAT 2005-1's $100 million (the original amount at issuance in
2005) class A notes constitute a repackaging of Lease Investment
Flight Trust 2001-1's (LIFT's) $95 million class A-1 notes and $50
million class A-2 notes. LIFT is an aircraft asset-backed
securities transaction collateralized primarily by the long-term
lease revenue and sale proceeds from 29 aircraft.
The downgrade reflects S&P's opinion of:
* The LIFT transaction's (the 'CCC+ (sf)' rated class A-1 and
A-2 notes and 'B+ (sf)' rated class A-3 notes) performance
and the quality and value of the 29 aircraft in LIFT's
portfolio;
* The overcollateralization of UCAT 2005-1's class A notes;
* The excess spread received on the underlying class A-1 and
A-2 notes issued by LIFT over UCAT 2005-1's class A notes;
* The UCAT 2005-1 transaction's payment structure and cash
flow mechanics;
* The UCAT transaction's legal structure; and
* GE Capital Aviation Services Ltd.'s demonstrated servicing
ability as LIFT's servicer.
"In our analysis, we first projected LIFT's cash flow by stressing
the lessees' default rates and the timing of those defaults, each
aircraft's future lease rate as a result of the downturn, the
repossessed aircraft's time off-lease, the repossession and
remarketing expenses, the maintenance expenses, and the
interest-rate risk. We then analyzed the amount of projected cash
flow for LIFT that can be passed on to repay UCAT 2005-1's class A
notes according to the payment structure and cash flow mechanics
described in UCAT 2005-1's transaction documents," S&P related.
S&P stated, "The fleet in LIFT's transaction is significantly
concentrated in older aircraft that were designed in the 1980s,
some of which, in our view, are likely to become economically
obsolete earlier than expected. According to LIFT's April 2011
report, LIFT's aircraft collateral consisted of 10 B737-300,
five B767-300ER, and four A320-200, as well as 10 other aircraft
manufactured between 1986 and 2000. The 29 aircraft were leased
to 24 airlines in 17 countries as of April 2011 and the total
lease income in the April 2011 payment period was approximately
$7.9 million."
LIFT's class A minimum principal payment was behind its schedule:
In April 2011, LIFT paid only $6.6 million of the $379.9 million
required minimum principal payment. This was primarily due to the
reduced aircraft appraisal value as of April 30, 2010, which led
to a much higher required minimum principal payment on LIFT's
class A notes.
As of April 15, 2011, UCAT 2005-1's class A notes received $43,333
in interest payments and $31,343 in principal repayments; the
remaining balance of UCAT 2005-1's class A notes was approximately
$90 million.
Standard & Poor's will continue to review whether, in its view,
the current rating on UCAT 2005-1's class A notes remains
consistent with the credit enhancement available to support that
rating and take rating actions as it deems necessary.
WACHOVIA BANK: Fitch Cuts 10 Classes of 2007-C30 Certs to 'CCC'
---------------------------------------------------------------
Fitch Ratings has downgraded 12 classes of Wachovia Bank
Commercial Mortgage Trust's commercial mortgage pass-through
certificates, series 2007-C30, due to increased modeled loss
expectations and Fitch loans of concern.
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
and/or significant lease rollover risk indicative of a higher
probability of default. Fitch modeled losses of 14.7% (15.2%
cumulative transaction losses which includes losses realized to
date). As of April 2011, there are cumulative interest shortfalls
in the amount of $26.2 million currently affecting classes E
through S.
As of the April 2011 distribution date, the pool's aggregate
principal balance has been paid down by 1.1% to $7.81 billion from
$7.90 billion at issuance. Fitch has identified eight of the top
15 loans (40.4%) as Fitch Loans of Concern, which includes two
specially serviced loans (21.6%). There are no defeased loans in
the pool.
The largest contributor to modeled losses is the Peter Cooper
Village/Stuyvesant Town (PCV/ST) loan (19.2% of the pool), which
remains in special servicing. Collateral for the PCV/ST loan
consists of 56 multi-story buildings situated on 80 acres with a
total of 11,227 apartments. The special servicer gained control
of the property by acquiring the mezzanine debt of the borrower.
The special servicer is working to stabilize the asset and engaged
Rose Associates as property manager. The special servicer intends
to renovate 570 vacant units in 2011 at a cost of approximately
$48 million. Property performance continues to be below what is
needed to service the debt; however, the securitized loan balance
per unit ($267,213) is low relative to other New York City
multifamily properties. The most recent servicer-reported debt
service coverage ratio (DSCR) was 0.66 times (x) as of June 2009
and occupancy was reported at 94% as of Feb. 28, 2011.
The second largest contributor to losses is 350 Park Avenue
(5.5%). The interest-only loan is secured by a 538,424 square
foot (sf) office property located in New York City. As of Jan. 1,
2011, the building's occupancy is at 91% with approximately 28% of
the total NRA rolling over in the next five years. The September
2010 year-to-date (YTD) OSAR reflects a DSCR of 0.89x. The loan
remains a concern due to the lack of structural cash reserves to
fund debt service shortfalls, and the likelihood that the original
plan for the borrower to re-sign leases at higher than in-place
rents as leases roll will not occur.
The third largest contributor to losses is Five Times Square
(6.9%). The interest-only loan is secured by the leasehold
interest in a 1.1 million sf office property in New York City.
The September 2010 YTD OSAR reflects a DSCR of 1.0x with occupancy
at 100%. The property is 96.7% leased to Ernst & Young through
2022 with two 10-year extension options. The loan is highly
leveraged, with the A-note at $973 per sf and total debt at $1,095
per sf.
In total, there are currently 16 assets (23.6%) in special
servicing which consists of eight assets (20.1%) that are REO, one
loan (2.4%) that is current, four loans (0.6%) that are 90 days
delinquent, two loans (0.5%) that are 60 days delinquent, and one
loan (0.1%) in foreclosure. At Fitch's last review there were 18
loans (21.6%) in special servicing.
Fitch has downgraded these classes, assigned Recovery Ratings
(RRs) and revised Loss Severity Ratings:
-- $540.3 million class A-M to 'BBB/LS4' from 'AAA/LS3';
Outlook Stable;
-- $250 million class A-MFL to 'BBB/LS4' from 'AAA/LS3';
Outlook Stable;
-- $671.8 million class A-J to 'CCC/RR1' from 'BB/LS4';
-- $49.4 million class B to 'CCC/RR1' from 'BB/LS5';
-- $79 million class C to 'CCC/RR1' from 'BB/LS5';
-- $69.2 million class D to 'CCC/RR1' from 'B/LS5';
-- $59.3 million class E to 'CCC/RR1' from 'B/LS5';
-- $69.2 million class F to 'CCC/RR1' from 'B-/LS5';
-- $98.8 million class G to 'CCC/RR4' from 'B-/LS5';
-- $79 million class H to 'CCC/RR6' from 'B-/LS5';
-- $88.9 million class J to 'CCC/RR6' from 'B-/LS5';
-- $79 million class K to 'CCC/RR6' from 'B-/LS5'.
Fitch has affirmed these classes and revised the Loss Severity
Ratings:
-- $88.5 million class A-2 at 'AAA/LS2'; Outlook Stable;
-- $908.7 million class A-3 at 'AAA/LS2'; Outlook Stable;
-- $195.5 million class A-4 at 'AAA/LS2'; Outlook Stable;
-- $126.9 million class A-PB at 'AAA/LS2'; Outlook Stable;
-- $1.8764 billion class A-5 at 'AAA/LS2'; Outlook Stable;
-- $2.2885 billion class A-1A at 'AAA/LS2'; Outlook Stable.
Fitch withdraws the ratings of the interest only classes X-P, X-C
and X-W.
Class A-1 is paid in full. Fitch does not rate classes L through
S.
WACHOVIA BANK: Fitch Takes Various Actions on WBCMT 2003-C9 Certs.
------------------------------------------------------------------
Fitch Ratings has taken rating actions on Wachovia Bank Commercial
Mortgage Trust (WBCMT), commercial mortgage pass-through
certificates, series 2003-C9.
The downgrades are due to expected losses on the specially
serviced asset, as well as potential losses on Fitch loans of
concern.
The upgrades are due to increased credit enhancement as a result
of approximately $75 million on paydown since Fitch's last rating
action.
As of the March 2011 distribution date, the pool's certificate
balance has paid down 31.7% to $785.3 million from $1,149.2
million at issuance. Thirteen loans are defeased (16% of the
current transaction balance).
There is one specially serviced asset in the pool (0.5%). The
asset is a real estate owned 45,650 square foot retail center
located in St. Joseph, MO. The asset was transferred to the
special servicer in March 2010 and a property inspection conducted
at that time indicated the property is in fair overall condition.
Foreclosure occurred on Nov. 30, 2010. Recent values indicate the
asset is worth less than the outstanding loan amount.
The largest loan of concern is Bellamay Grand (2.6%), a 360-unit
multifamily property consisting of 13 three story apartment
buildings with a clubhouse located in Gainesville, FL. The loan
transferred to special servicing in October 2009 due to monetary
default. The loan was modified and returned to the servicer in
April 2010. Recent financials indicate improved performance. As
of year-end 2010, the debt service coverage ratio (DSCR) was 1.05
times (x) with 84.72% occupancy versus 2009 year-end DSCR of 0.36x
and 65.28% occupancy. However, the loan is scheduled to return to
contractual rate and amortization in April 2012 which will lower
than the loans DSCR.
Fitch has affirmed, maintains or revises Outlooks and revised LS
ratings to these classes:
-- $97.2 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $508.5 million class A-4 at 'AAA/LS1'; Outlook Stable;
-- $34.5 million class B at 'AAA/LS3'; Outlook Stable;
-- $17.2 million class C at 'AAA/LS4'; Outlook Stable;
-- $15.8 million class F at 'A-/LS4'; Outlook revised to Stable
from Negative;
-- $15.8 million class G at 'BB/LS4'; Outlook revised to Stable
from Negative;
-- $15.8 million class H at 'B/LS4'; Outlook revised to Stable
from Negative;
-- $8.6 million class J at 'B-/LS5'; Outlook revised to Stable
from Negative;
-- $5.7 million class K at 'B-/LS5'; Outlook revised to Stable
from Negative;
-- $5.7 million class N at 'CC/RR6'.
Fitch has upgraded and revised these LS ratings:
-- $33 million class D upgraded to 'AAA/LS3' from 'AA-/LS4';
Outlook Stable;
-- $14.4 million class E upgraded to 'AA/LS5' from 'A/LS5';
Outlook Stable;
Fitch has downgraded and assigned these LS ratings and Recovery
Ratings (RRs):
-- $4.3 million class L to 'CCC/RR1' from 'B-/LS5';
-- $4.3 million class M to 'CCC/RR1' from 'B-/LS5;
-- $2.9 million class O to 'C/RR6' from 'CC/RR6'.
Fitch does not rate the $1.5 million class P.
The class X-P 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 X-C.
WASHINGTON MUTUAL: Moody's Downgrades $76-Mil. of Prime RMBS
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 32
tranches from three prime jumbo deals issued by Washington Mutual.
The collateral backing these deals consists primarily of first-
lien, fixed rate prime jumbo residential mortgages.
RATINGS RATIONALE
The actions are a result of deteriorating performance of prime
jumbo 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 principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "Pre-2005 US RMBS
Surveillance Methodology" published in January 2011, which
accounts for the deteriorating performance and outlook.
To assess the rating implications of the updated loss levels on
prime jumbo RMBS, each individual pool was run through a variety
of scenarios in the Structured Finance Workstation(R) (SFW), the
cash flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include fifty four different
combinations comprising of six loss levels, three loss timing
curves and three prepayment curves. For ratings implied Aa3 and
above, an additional prepayment curve is run to assess resilience
to a high prepayment scenario.
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 varies from 3%
to 5% on average. 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 with a base rate of new
delinquency of 3.00%, the adjusted rate of new delinquency would
be 3.03%. 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 0.75 to 2.5 for current
delinquencies ranging from less than 2.5% to greater than 10%
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.
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: Washington Mutual MSC 2003-MS6 Trust
-- Cl. I-A, Downgraded to A2 (sf); previously on Apr 29, 2003
Assigned Aaa (sf)
-- Cl. II-A, Downgraded to A3 (sf); previously on Apr 29, 2003
Assigned Aaa (sf)
-- Cl. III-A-6, Downgraded to A3 (sf); previously on Apr 29,
2003 Assigned Aaa (sf)
-- Cl. III-A-8, Downgraded to A3 (sf); previously on Apr 29,
2003 Assigned Aaa (sf)
-- Cl. III-X, Downgraded to A3 (sf); previously on Apr 29, 2003
Assigned Aaa (sf)
-- Cl. III-P, Downgraded to A3 (sf); previously on Apr 29, 2003
Assigned Aaa (sf)
-- Cl. III-B-1, Downgraded to B1 (sf); previously on Sep 1,
2004 Upgraded to Aaa (sf)
-- Cl. III-B-2, Downgraded to Caa1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. III-B-3, Downgraded to Ca (sf); previously on Apr 15,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. C-X, Downgraded to A2 (sf); previously on Apr 29, 2003
Assigned Aaa (sf)
-- Cl. C-P, Downgraded to A3 (sf); previously on Apr 29, 2003
Assigned Aaa (sf)
Issuer: Washington Mutual MSC 2003-MS8 Trust
-- Cl. I-A-1, Downgraded to Aa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-2, Downgraded to Aa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-3, Downgraded to Aa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-6, Downgraded to A1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to A1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
-- Cl. I-A-9, Downgraded to A1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-10, Downgraded to A1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-11, Downgraded to A1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-X, Downgraded to Aa3 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-P, Downgraded to A1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-1, Downgraded to Aa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-2, Downgraded to Aa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-3, Downgraded to Aa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. II-X, Downgraded to Aa3 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. II-P, Downgraded to A1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Washington Mutual MSC Mortgage Pass-Through
Certificates, Series 2002-MS2
-- Cl. C-B-2, Downgraded to A3 (sf); previously on Sep 1, 2004
Upgraded to Aaa (sf)
-- Cl. C-B-3, Downgraded to Ba1 (sf); previously on Jul 27,
2005 Upgraded to Aaa (sf)
-- Cl. C-B-4, Downgraded to B2 (sf); previously on Jul 27, 2005
Upgraded to A1 (sf)
-- Cl. C-B-5, Downgraded to Caa2 (sf); previously on Jul 27,
2005 Upgraded to Ba1 (sf)
* Fitch Downgrades 439 Bonds From 244 U.S. RMBS Deals to 'Dsf'
--------------------------------------------------------------
Fitch Ratings has downgraded 439 bonds in 244 U.S. RMBS
transactions to 'Dsf'. The downgrades indicate that the bonds in
question have incurred a principal write-down. Of the bonds that
Fitch is downgrading to 'Dsf' 99.5% were previously rated 'Csf',
indicating an expected default. The remaining bonds were rated
'CCsf'. The action is limited to just the bonds with write-downs.
The remaining bonds in these transactions have not been analyzed
and the Recovery Ratings have not been updated as part of this
review.
Of the 244 transactions affected by these downgrades, 116 are
Prime, 77 are Alt-A and 40 are Subprime. The remaining transaction
types are other sectors. The majority of the bonds (58%) have a
Recovery Rating of 'RR5' or 'RR6' indicating that minimal recovery
is expected. Some 37% of the bonds have Recovery Ratings of either
'RR2' or 'RR3', which indicates anywhere from 50%-90% of the
outstanding balance is expected to be recovered.
The downgrades are part of Fitch's ongoing surveillance process.
Fitch will continue to monitor these transactions for additional
defaults.
*********
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, 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.
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