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Rating Action:

Moody's Downgrades Two Classes of Maclaurin SPC 2007-2 Segregated Portfolio

06 Mar 2009

$927.5 Million of Structured Securities Affected

New York, March 06, 2009 -- Moody's Investors Service ("Moody's) downgraded the ratings of two classes Notes issued by Maclaurin SPC 2007-2 Segregated Portfolio. The rating actions are as follows:

-Class A1, $835,000,000, Variable Rate Notes Due 2052, downgraded to A2 from Aaa; previously on 12/19/2008 Placed Under Review for Possible Downgrade

-Class A2, $92,500,000, Variable Rate Notes Due 2052, downgraded to Ba1 from Aaa; previously on 12/19/2008 Placed Under Review for Possible Downgrade

Moody's downgraded Classes A1 and A2 due to deteriorating reference pool performance and revised modeling parameters, as outlined below.

The pool contains a 100% concentration in CMBS reference obligations of which approximately 18% was issued between 2004 and 2005. The overall average current credit quality of the reference obligations is approximately Baa3/Ba1.

Moody's expects the aggregate default rate on CMBS loans (1.16% as of January 2009) to revert to its long-term historical average of 1.5% to 2.0% in 2009, and most likely to surpass this level as the market begins to form a bottom in 2010 and 2011. Commercial property values, which have declined about 16% from the peak reached in October 2007, are expected to decline an additional 10 to 20% over the next 18 to 24 months.

Moody's has revised three key parameters in Moody's model for rating and monitoring commercial real estate collateralized debt obligations ("CRE CDOs") - asset correlation, default probability, and recovery rate. These revisions are generally consistent with recent revisions to the key parameter assumptions for rating and monitoring other collateralized debt obligation transactions backed by structured finance securities ("SF CDOs").

We have updated our asset correlation assumption for the commercial real estate sector to be consistent with one of Moody's CDO rating models, CDOROM v2.5 (released on February 3, 2009), which incorporates these new parameters. However, for CRE CDOs with non-CUSIP collateral, Moody's is reducing the maximum over concentration stress applied to correlation factors by half due to the diversity of tenants, property types, and geographic locations inherent in the collateral pools. Previously, the average asset correlations used for CMBS within CRE CDO deals ranged between 15% and 35%, depending on vintage and issuer diversity. In light of the systemic seizure of the credit markets, as well as higher intra industry and inter industry asset correlations, the updated correlation parameters for CRE CDOs will imply an average range of asset correlations of between 30% and 60% for the underlying collateral.

Moody's has previously stated that CRE CDO deals with collateral concentrations in CMBS certificates will likely be among the first transactions to be affected by credit issues that arise, and that the additional leverage inherent in these deals creates the potential for greater ratings transitions compared to that of a first order transaction (i.e., those containing non-CUSIP assets). For CRE CDOs with CUSIP collateral, the additional default probability stress sometimes applied to resecuritization collateral will not be applied to Moody's review of conduit and fusion commercial mortgage backed securities (CMBS) collateral from the 2006 to 2008 vintages due to a recent ratings sweep of these transactions. Based on Moody's current expectations for commercial real estate performance, we have migrated the ratings for recent vintage CMBS to levels that we believe will remain relatively stable for the next 12 to 24 months. As such, Moody's has eliminated the vintage stress factor and default probability resecuritization stress from its analysis of deals with recent vintage CMBS collateral.

For deals with pre-2006 CMBS collateral, Moody's is adopting the default probability resecuritization stress assumptions contained within CDOROM v2.5 to capture the leveraging effect and potential ratings volatility of the underlying collateral. For CMBS, this factor is equivalent to two times the probability of default (PD) for non-Aaa and six times the PD for Aaa-rated collateral. For CRE CDOs, this factor is equivalent to four times the probability of default (PD) for non-Aaa and twelve times the PD for Aaa-rated collateral. The lower stress for CMBS is due to the historical stable performance of this asset class.

For CRE CDOs with non-CUSIP collateral, Moody's is eliminating the additional default probability stress in CDOROM v2.5 that is applied to corporate debt as we anticipate that the underlying non-CMBS collateral will experience lower default rates and higher recovery rates. In addition, Moody's is reducing the maximum over concentration stress applied to correlation factors by half due to the diversity of tenants, property types, and geographic locations inherent in the collateral pools. For those deals that are significantly less diversified, we will add back over concentration stress as warranted.

In Moody's analysis of synthetic CRE CDOs, it historically employed a fixed recovery rate by the asset's original rating and tranche size. Our current analysis uses a simulation based mean recovery rate based on the asset's current rating and tranche size. This is consistent with the assumptions underlying CDOROM v2.5. With this more robust approach, Moody's expects to capture in our ratings more of the tail risk associated with variability of recovery rates.

As always, Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. The rating outcome may differ from the model output.

Moody's monitors transactions on both a monthly basis through a review of the available Trustee Reports and a periodic basis through a full review. This is Moody's first review since securitization.

The principal methodology used in rating and monitoring this transaction is "U.S. CMBS: Moody's Approach to Rating Synthetic CMBS Resecuritizations" dated December 19, 2005, which can be found at www.moodys.com in the Credit Policy & Methodologies directory, in the Ratings Methodologies subdirectory. Other methodologies and factors that may have been considered in the process of rating this issue can also be found in the Credit Policy & Methodologies directory.

New York
Deryk Meherik
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Michael M. Gerdes
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Downgrades Two Classes of Maclaurin SPC 2007-2 Segregated Portfolio
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