Moody's places 109 US CRE CDOs on review for possible downgrade
Approximately $76 billion of structured securities affected
New York, December 19, 2008 -- Moody's Investors Service ("Moody's") today announced
that it has placed 109 US commercial real estate collateralized debt obligation
transactions ("CRE CDOs") on review for possible downgrade
because of weakening commercial real estate market fundamentals and revised
key modeling parameter assumptions.
The magnitude of the potential downgrade will depend upon numerous factors,
including transaction vintage distribution, current rating,
portfolio composition, tranche thickness, and credit enhancement.
For Aaa-rated CRE CDO tranches, ratings may be lowered from
2 to 6 notches. For other investment grade and below investment
grade rated tranches, which are generally thinner, the number
of notches lowered may be greater, from 4 to 8. Moody's
expects to complete these rating actions by the end of February 2009,
beginning with transactions with more than 75% pool concentration
in CMBS collateral.
Most of the remaining deals are revolving transactions with non-CMBS
collateral, including whole loans, B-Notes, mezzanine
debt, and other types of debt. We expect to complete a review
of the underlying collateral for this group of transactions prior to taking
any further rating action. As the structure for these deals does
not incorporate the same degree of leverage inherent in re-securitization
transactions, we do not anticipate as significant an impact on ratings.
The deepening recession and the reduced availability of financing have
heightened the risks for the US commercial real estate sector.
The headwinds faced by the retail segment in particular appear to be strengthening
as every day brings more bad news about consumer spending and consensus
projections of a gloomy holiday shopping season. The hotel sector
has been re-pricing for several months, and demand for office
space also appears to be declining in many markets. Multifamily
properties are buffeted by cross currents relating to growing unemployment,
shadow rentals that increase the supply of rental housing, relative
home affordability, and reduced rates of household formation.
Industrial properties have been adversely affected by slowing trade and
retail sales.
Moody's expects the aggregate default rate on CMBS loans (0.75%
as of November 2008) 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
10% from the peak reached in October 2007, are expected to
decline an additional 10 to 20% over the next 18 to 24 months.
Furthermore, we anticipate that the 2006 through 2008 vintages of
CMBS, both fixed and floating rate, will experience even more
downward pressure on ratings than earlier vintages. We are particularly
concerned about fixed rate CMBS deals with concentrations of "pro
forma" loans, which were often aggressively underwritten assuming
continued strong macroeconomic tailwinds. Moody's has previously
commented on aggressive underwriting and growing weakness in the commercial
real estate market in various quarterly publications. We have already
taken rating actions on a number of deals from the 2006 through 2008 vintages
as signs of stress appear and we will continue to take such actions as
issues develop.
Moody's has also revised three key parameters in Moody's model
for rating and monitoring CRE CDOs -- asset correlation,
default probability, and recovery rate. These revisions are
consistent with recent revisions to the key parameter assumptions for
rating and monitoring other collateralized debt obligation transactions
backed by structured finance securities ("ABS CDOs").
We have updated our asset correlation assumption for the commercial real
estate sector to be consistent with an upcoming release of our CDO rating
model, CDOROM v2.5, which will incorporate these new
parameters. 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 systematic
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 CMBS collateral.
Moody's has previously stated that CRE CDO deals with collateral
concentrations in below-investment-grade 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). In 2007 we began applying a default probability
stress on late-vintage CMBS collateral to partially offset the
leverage effect in CRE CDO deals that can amplify the effect of adverse
changes in their underlying collateral performance. Moody's
has noted in the past that tenant, property type, and loan
size diversification may help performance at the bond level; however,
the nature of the current recession is likely to be different from prior
recessions, potentially muting the benefits of diversification.
Based on our current negative outlook for commercial property performance,
we therefore intend to double the probability of default stress for CMBS
certificates rated during the period from 2006 through 2008 in our analysis
of CRE CDOs.
In our analysis of CRE CDOs, we historically have employed a fixed
recovery rate by original tranche rating. Going forward in our
modeling of CRE CDOs, we will use a floating recovery rate model
that uses a mean recovery rate determined by the rating of the subject
asset and that simulates a range of potential recovery rates around the
mean. With this more robust approach, we expect 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.
The following transactions are impacted by our action today (listed by
issuer name in alphabetical order).
ABACUS 2005-4 Ltd.
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 10/21/2005 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 10/21/2005 Assigned Aaa
Cl. B, Aa3 Placed Under Review for Possible Downgrade;
previously on 10/21/2005 Assigned Aa3
Cl. C, A3 Placed Under Review for Possible Downgrade;
previously on 10/21/2005 Assigned A3
Cl. D, Baa1 Placed Under Review for Possible Downgrade;
previously on 10/21/2005 Assigned Baa1
Cl. E-1, Baa1 Placed Under Review for Possible Downgrade;
previously on 10/21/2005 Assigned Baa1
Cl. E-2, Baa1 Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned Baa1
Cl. E-3, Baa1 Placed Under Review for Possible Downgrade;
previously on 1/3/2006 Assigned Baa1
ABACUS 2006-10 LTD
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 3/31/2006 Assigned Aaa
Cl. B, Aa1 Placed Under Review for Possible Downgrade;
previously on 3/31/2006 Assigned Aa1
Cl. C, Aa2 Placed Under Review for Possible Downgrade;
previously on 3/31/2006 Assigned Aa2
Cl. D, Aa3 Placed Under Review for Possible Downgrade;
previously on 3/31/2006 Assigned Aa3
Cl. E, A1 Placed Under Review for Possible Downgrade;
previously on 3/31/2006 Assigned A1
Cl. F, A2 Placed Under Review for Possible Downgrade;
previously on 3/31/2006 Assigned A2
Cl. G, A3 Placed Under Review for Possible Downgrade;
previously on 3/31/2006 Assigned A3
Cl. H, Baa1 Placed Under Review for Possible Downgrade;
previously on 3/31/2006 Assigned Baa1
Cl. J, Baa2 Placed Under Review for Possible Downgrade;
previously on 3/31/2006 Assigned Baa2
Cl. K, Baa3 Placed Under Review for Possible Downgrade;
previously on 3/31/2006 Assigned Baa3
Cl. L, Ba2 Placed Under Review for Possible Downgrade;
previously on 3/31/2006 Assigned Ba2
ABACUS 2006-13, Ltd.
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 10/23/2006 Assigned Aaa
Cl. B, Aa1 Placed Under Review for Possible Downgrade;
previously on 10/23/2006 Assigned Aa1
Cl. C, Aa2 Placed Under Review for Possible Downgrade;
previously on 10/23/2006 Assigned Aa2
Cl. D, Aa3 Placed Under Review for Possible Downgrade;
previously on 10/23/2006 Assigned Aa3
Cl. E, A1 Placed Under Review for Possible Downgrade;
previously on 10/23/2006 Assigned A1
Cl. F, A2 Placed Under Review for Possible Downgrade;
previously on 10/23/2006 Assigned A2
Cl. G, A3 Placed Under Review for Possible Downgrade;
previously on 10/23/2006 Assigned A3
Cl. H, Baa1 Placed Under Review for Possible Downgrade;
previously on 10/23/2006 Assigned Baa1
Cl. J, Baa2 Placed Under Review for Possible Downgrade;
previously on 10/23/2006 Assigned Baa2
Cl. K, Baa3 Placed Under Review for Possible Downgrade;
previously on 10/23/2006 Assigned Baa3
Cl. L, Ba1 Placed Under Review for Possible Downgrade;
previously on 10/23/2006 Assigned Ba1
Cl. M, Ba2 Placed Under Review for Possible Downgrade;
previously on 10/23/2006 Assigned Ba2
Cl. N, Ba3 Placed Under Review for Possible Downgrade;
previously on 10/23/2006 Assigned Ba3
ABACUS 2006-17, Ltd.
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned Aaa
Cl. B, Aa1 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned Aa1
Cl. C, Aa2 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned Aa2
Cl. D, Aa3 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned Aa3
Cl. E, A1 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned A1
Cl. F, A2 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned A2
Cl. G, A3 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned A3
Cl. H, Baa1 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned Baa1
Cl. J, Baa2 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned Baa2
Cl. K, Baa3 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned Baa3
Cl. L, Ba1 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned Ba1
Cl. M, Ba2 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned Ba2
Cl. N, Ba3 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned Ba3
Cl. O, B1 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned B1
Cl. P, B2 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned B2
Cl. Q, B3 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned B3
Abacus 2006-NS1
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 8/18/2006 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 9/26/2008 Downgraded to Aa2
Cl. C, Aa3 Placed Under Review for Possible Downgrade;
previously on 9/26/2008 Downgraded to Aa3
Cl. D, A1 Placed Under Review for Possible Downgrade;
previously on 9/26/2008 Downgraded to A1
Cl. E, A2 Placed Under Review for Possible Downgrade;
previously on 9/26/2008 Downgraded to A2
Cl. F, A3 Placed Under Review for Possible Downgrade;
previously on 9/26/2008 Downgraded to A3
Cl. G, Baa2 Placed Under Review for Possible Downgrade;
previously on 9/26/2008 Downgraded to Baa2
Cl. H, Baa3 Placed Under Review for Possible Downgrade;
previously on 9/26/2008 Downgraded to Baa3
Cl. J, Ba1 Placed Under Review for Possible Downgrade;
previously on 9/26/2008 Downgraded to Ba1
Cl. K, Ba3 Placed Under Review for Possible Downgrade;
previously on 9/26/2008 Downgraded to Ba3
Abacus 2006-NS2, Ltd.
Cl. L, B1 Placed Under Review for Possible Downgrade;
previously on 9/26/2008 Downgraded to B1
Cl. M, B2 Placed Under Review for Possible Downgrade;
previously on 9/26/2008 Downgraded to B2
Cl. N, B3 Placed Under Review for Possible Downgrade;
previously on 9/26/2008 Downgraded to B3
Cl. O, Caa1 Placed Under Review for Possible Downgrade;
previously on 9/26/2008 Downgraded to Caa1
Cl. P, Caa2 Placed Under Review for Possible Downgrade;
previously on 9/26/2008 Downgraded to Caa2
Cl. Q, Caa3 Placed Under Review for Possible Downgrade;
previously on 9/26/2008 Downgraded to Caa3
ABACUS 2007-18, LTD.
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aaa
Cl. A-3, Aaa Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aaa
Cl. B-1, Aa1 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aa1
Cl. B-2, Aa1 Placed Under Review for Possible Downgrade;
previously on 10/24/2007 Assigned Aa1
Acacia CRE CDO 1, Ltd.
Cl. A, Aa3 Placed Under Review for Possible Downgrade;
previously on 11/06/2008 Placed Under Review for Possible Downgrade
Cl. B, A3 Placed Under Review for Possible Downgrade;
previously on 11/06/2008 Placed Under Review for Possible Downgrade
Cl. C, Baa2 Placed Under Review for Possible Downgrade;
previously on 11/06/2008 Placed Under Review for Possible Downgrade
Cl. Ba1, Aa3 Placed Under Review for Possible Downgrade;
previously on 11/06/2008 Placed Under Review for Possible Downgrade
Cl. E, Ba2 Placed Under Review for Possible Downgrade;
previously on 11/06/2008 Placed Under Review for Possible Downgrade
Cl. F, B1 Placed Under Review for Possible Downgrade;
previously on 11/06/2008 Placed Under Review for Possible Downgrade
Cl. G, Caa1 Placed Under Review for Possible Downgrade;
previously on 11/06/2008 Placed Under Review for Possible Downgrade
ACAS CRE CDO 2007-1, Ltd.
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aaa
Cl. B, Aa1 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aa1
Cl. C-FL, Aa2 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aa2
Cl. C-FX, Aa2 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aa2
Cl. D, Aa3 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aa3
Cl. E-FL, A1 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned A1
Cl. E-FX, A1 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned A1
Cl. F-FL, A2 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned A2
Cl. F-FX, A2 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned A2
Cl. G-FL, A3 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned A3
Cl. G-FX, A3 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned A3
Cl. H, Baa1 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Baa1
Cl. J, Baa2 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Baa2
Cl. K, Baa3 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Baa3
Cl. L, Ba1 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Ba1
Cl. M, Ba2 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Ba2
Cl. N, Ba3 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Ba3
AMP CMBS 2006-2
AMP CMBS 2006-2 USD 30,000,000 Variable Notes due 2047,
Aaa Placed Under Review for Possible Downgrade; previously on 11/20/2006
Assigned Aaa
Ansonia CDO 2006-1
Cl. A-FL, Aaa Placed Under Review for Possible Downgrade;
previously on 11/14/2006 Assigned Aaa
Cl. A-FX, Aaa Placed Under Review for Possible Downgrade;
previously on 11/14/2006 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 11/14/2006 Assigned Aa2
Cl. C, A1 Placed Under Review for Possible Downgrade;
previously on 11/14/2006 Assigned A1
Cl. D, A3 Placed Under Review for Possible Downgrade;
previously on 7/25/2008 Downgraded to A3
Cl. E, Baa1 Placed Under Review for Possible Downgrade;
previously on 7/25/2008 Downgraded to Baa1
Cl. F, Baa3 Placed Under Review for Possible Downgrade;
previously on 7/25/2008 Downgraded to Baa3
Cl. G, Ba1 Placed Under Review for Possible Downgrade;
previously on 7/25/2008 Downgraded to Ba1
Cl. H, Ba2 Placed Under Review for Possible Downgrade;
previously on 7/25/2008 Downgraded to Ba2
Ansonia CDO 2007-1 Ltd.
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aaa
Cl. B, Aa1 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aa1
Cl. C, Aa2 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aa2
Cl. D, Aa3 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aa3
Cl. E, A1 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned A1
Cl. F, A2 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned A2
Cl. G, A3 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned A3
Cl. H, Baa1 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Baa1
Cl. J, Baa2 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Baa2
Cl. K, Baa3 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Baa3
Cl. L, Ba1 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Ba1
Cl. M, Ba2 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Ba2
Cl. N, Ba3 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Ba3
Cl. O, B1 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned B1
Cl. P, B2 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned B2
Cl. Q, B3 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned B3
Anthracite 2005-HY2 Ltd. Commercial Mortgage-Related
Securities, Series 2005-HY2
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 7/27/2005 Assigned Aaa
Cl. B, Aa1 Placed Under Review for Possible Downgrade;
previously on 6/14/2007 Upgraded to Aa1
Cl. C-FL, A2 Placed Under Review for Possible Downgrade;
previously on 7/27/2005 Assigned A2
Cl. C-FX, A2 Placed Under Review for Possible Downgrade;
previously on 7/27/2005 Assigned A2
Cl. D-FL, Baa2 Placed Under Review for Possible Downgrade;
previously on 7/27/2005 Assigned Baa2
Cl. D-FX, Baa2 Placed Under Review for Possible Downgrade;
previously on 7/27/2005 Assigned Baa2
Cl. E-FL, Baa3 Placed Under Review for Possible Downgrade;
previously on 7/27/2005 Assigned Baa3
Anthracite CDO I Ltd.
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 5/29/2002 Assigned Aaa
Cl. B, Aaa Placed Under Review for Possible Downgrade;
previously on 2/20/2007 Upgraded to Aaa
Cl. B-FL, Aaa Placed Under Review for Possible Downgrade;
previously on 2/20/2007 Upgraded to Aaa
Cl. C, Aa1 Placed Under Review for Possible Downgrade;
previously on 2/20/2007 Upgraded to Aa1
Cl. C-FL, Aa1 Placed Under Review for Possible Downgrade;
previously on 2/20/2007 Upgraded to Aa1
Cl. D, A2 Placed Under Review for Possible Downgrade;
previously on 2/20/2007 Upgraded to A2
Cl. D-FL, A2 Placed Under Review for Possible Downgrade;
previously on 2/20/2007 Upgraded to A2
Anthracite CDO II Ltd.
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 12/10/2002 Assigned to Aaa
Cl. B, Aaa Placed Under Review for Possible Downgrade;
previously on 11/30/2005 Upgraded to Aaa
Cl. B-FL, Aaa Placed Under Review for Possible Downgrade;
previously on 11/30/2005 Upgraded to Aaa
Cl. C, Aa1 Placed Under Review for Possible Downgrade;
previously on 02/20/2007 Upgraded to Aa1
Cl. C-FL, Aa1 Placed Under Review for Possible Downgrade;
previously on 02/20/2007 Upgraded to Aa1
Cl. D, A1 Placed Under Review for Possible Downgrade;
previously on 08/25/2008 Upgraded to A1
Anthracite CDO III Collateralized Debt Obligations
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 4/2/2004 Assigned Aaa
Cl. B-FL, Aaa Placed Under Review for Possible Downgrade;
previously on 3/6/2007 Upgraded to Aaa
Cl. B-FX, Aaa Placed Under Review for Possible Downgrade;
previously on 3/6/2007 Upgraded to Aaa
Cl. C-FL, Aaa Placed Under Review for Possible Downgrade;
previously on 3/6/2007 Upgraded to Aaa
Cl. C-FX, Aaa Placed Under Review for Possible Downgrade;
previously on 3/6/2007 Upgraded to Aaa
Cl. D-FL, Aa3 Placed Under Review for Possible Downgrade;
previously on 3/6/2007 Upgraded to Aa3
Cl. D-FX, Aa3 Placed Under Review for Possible Downgrade;
previously on 3/6/2007 Upgraded to Aa3
Cl. E-FL, Baa1 Placed Under Review for Possible Downgrade;
previously on 3/6/2007 Upgraded to Baa1
Cl. E-FX, Baa1 Placed Under Review for Possible Downgrade;
previously on 3/6/2007 Upgraded to Baa1
Anthracite CRE CDO 2006-HY3, Ltd.
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 5/24/2006 Assigned Aaa
Cl. B-FL, Aa2 Placed Under Review for Possible Downgrade;
previously on 5/24/2006 Assigned Aa2
Cl. B-FX, Aa2 Placed Under Review for Possible Downgrade;
previously on 5/24/2006 Assigned Aa2
Cl. C-FL, A2 Placed Under Review for Possible Downgrade;
previously on 5/24/2006 Assigned A2
Cl. C-FX, A2 Placed Under Review for Possible Downgrade;
previously on 5/24/2006 Assigned A2
Cl. D, A3 Placed Under Review for Possible Downgrade;
previously on 5/24/2006 Assigned A3
Cl. E-FL, Baa2 Placed Under Review for Possible Downgrade;
previously on 5/24/2006 Assigned Baa2
Cl. E-FX, Baa2 Placed Under Review for Possible Downgrade;
previously on 5/24/2006 Assigned Baa2
Cl. F, Baa3 Placed Under Review for Possible Downgrade;
previously on 5/24/2006 Assigned Baa3
Cl. G, Ba2 Placed Under Review for Possible Downgrade;
previously on 5/24/2006 Assigned Ba2
Aphex Capital NSCR 2007-4, Ltd.
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 6/14/2007 Assigned Aaa
Cl. A-2, Aa1 Placed Under Review for Possible Downgrade;
previously on 6/14/2007 Assigned Aa1
Aphex Capital NSCR 2007-7SR, Ltd.
U.S. $10,000,000 Class A-1B Credit
Linked Variable Floating Rate Notes Due December 2038, Aaa Placed
Under Review for Possible Downgrade; previously on 12/12/2007 Assigned
Aaa
U.S. $10,350,000 Class F Credit Linked
Variable Floating Rate Notes Due December 2038, A3 Placed Under
Review for Possible Downgrade; previously on 12/12/2007 Assigned
A3
U.S. $116,000,000 Class A-1A Credit
Linked Variable Floating Rate Notes Due December 2038, Aaa Placed
Under Review for Possible Downgrade; previously on 12/12/2007 Assigned
Aaa
U.S. $12,150,000 Class E Credit Linked
Variable Floating Rate Notes Due December 2038, A2 Placed Under
Review for Possible Downgrade; previously on 12/12/2007 Assigned
A2
U.S. $13,500,000 Class B Credit Linked
Variable Floating Rate Notes Due December 2038, Aa1 Placed Under
Review for Possible Downgrade; previously on 12/12/2007 Assigned
Aa1
U.S. $15,750,000 Class C Credit Linked
Variable Floating Rate Notes Due December 2038, Aa2 Placed Under
Review for Possible Downgrade; previously on 12/12/2007 Assigned
Aa2
U.S. $5,000,000 Class D-A Credit
Linked Variable Floating Rate Notes Due December 2038, A1 Placed
Under Review for Possible Downgrade; previously on 12/12/2007 Assigned
A1
U.S. $54,000,000 Class A-2 Credit
Linked Variable Floating Rate Notes Due December 2038, Aaa Placed
Under Review for Possible Downgrade; previously on 12/12/2007 Assigned
Aaa
U.S. $8,500,000 Class D-B Credit
Linked Variable Floating Rate Notes Due December 2038, A1 Placed
Under Review for Possible Downgrade; previously on 12/12/2007 Assigned
A1
ARCap 2003-1 Resecuritization Trust Collateralized Debt Obligation
Certificates, Series 2003-1
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 9/3/2003 Assigned Aaa
Cl. B, Aaa Placed Under Review for Possible Downgrade;
previously on 9/21/2006 Upgraded to Aaa
Cl. C, Aa1 Placed Under Review for Possible Downgrade;
previously on 9/21/2006 Upgraded to Aa1
Cl. D, Aa2 Placed Under Review for Possible Downgrade;
previously on 9/21/2006 Upgraded to Aa2
Cl. E, A1 Placed Under Review for Possible Downgrade;
previously on 9/21/2006 Upgraded to A1
Cl. F, A2 Placed Under Review for Possible Downgrade;
previously on 9/21/2006 Upgraded to A2
ARCap 2004-1 Resecuritization Trust Collateralized Debt Obligation
Certificates, Series 2004-1
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 5/3/2004 Assigned Aaa
Cl. B, Aaa Placed Under Review for Possible Downgrade;
previously on 10/12/2006 Upgraded to Aaa
Cl. C, Aa3 Placed Under Review for Possible Downgrade;
previously on 10/12/2006 Upgraded to Aa3
Cl. D, A1 Placed Under Review for Possible Downgrade;
previously on 10/12/2006 Upgraded to A1
Cl. E, A3 Placed Under Review for Possible Downgrade;
previously on 10/12/2006 Upgraded to A3
Cl. F, Baa1 Placed Under Review for Possible Downgrade;
previously on 10/12/2006 Upgraded to Baa1
ARCap 2005-1 Resecuritization Trust Collateralized Debt Obligation
Certificates, Series 2005-1
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 3/16/2006 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 3/16/2006 Assigned Aa2
Cl. C, A2 Placed Under Review for Possible Downgrade;
previously on 3/16/2006 Assigned A2
Cl. D, A3 Placed Under Review for Possible Downgrade;
previously on 3/16/2006 Assigned A3
Cl. E, Baa1 Placed Under Review for Possible Downgrade;
previously on 3/16/2006 Assigned Baa1
Cl. F, Baa2 Placed Under Review for Possible Downgrade;
previously on 3/16/2006 Assigned Baa2
Cl. G, Baa3 Placed Under Review for Possible Downgrade;
previously on 3/16/2006 Assigned Baa3
CALCULUS CMBS Resecuritization Trust
Credit Default Swap Class A, Aaa Placed Under Review for Possible
Downgrade; previously on 9/7/2006
Series 2006-1 Trust Units, Baa2 Placed Under Review for Possible
Downgrade; previously on 9/7/2006
Series 2006-2 Trust Units, Baa2 Placed Under Review for Possible
Downgrade; previously on 10/23/2006
Series 2006-3 Trust Units, A3 Placed Under Review for Possible
Downgrade; previously on 9/7/2006
Series 2006-4 Trust Units, A3 Placed Under Review for Possible
Downgrade; previously on 9/7/2006
Series 2006-5 Trust Units, A1 Placed Under Review for Possible
Downgrade; previously on 9/7/2006
Series 2006-6 Trust Units, A1 Placed Under Review for Possible
Downgrade; previously on 9/7/2006
CALCULUS CMBS Resecuritization Trust 2007, dated 3/27/2007
Series 2007-1 Trust Units, A2 Placed Under Review for Possible
Downgrade; previously on 6/8/2007
CALCULUS SCRE Trust
Credit Default Swap 1, Aaa Placed Under Review for Possible Downgrade;
previously on 2/2/2007
Credit Default Swap 2, Aa1 Placed Under Review for Possible Downgrade;
previously on 2/2/2007
Series 2006-1 Trust Units, Aaa Placed Under Review for Possible
Downgrade; previously on 2/2/2007
Series 2006-10 Trust Units, Baa3 Placed Under Review for
Possible Downgrade; previously on 2/2/2007
Series 2006-11 Trust Units, Aa1 Placed Under Review for Possible
Downgrade; previously on 2/2/2007
Series 2006-2 Trust Units, Aaa Placed Under Review for Possible
Downgrade; previously on 2/2/2007
Series 2006-3 Trust Units, Aa1 Placed Under Review for Possible
Downgrade; previously on 2/2/2007
Series 2006-4 Trust Units, Aa2 Placed Under Review for Possible
Downgrade; previously on 2/2/2007
Series 2006-5 Trust Units, A1 Placed Under Review for Possible
Downgrade; previously on 2/2/2007
Series 2006-6 Trust Units, A2 Placed Under Review for Possible
Downgrade; previously on 2/2/2007
Series 2006-7 Trust Units, A3 Placed Under Review for Possible
Downgrade; previously on 2/2/2007
Series 2006-8 Variable Distribution Trust Certificates, Baa2
Placed Under Review for Possible Downgrade;
previously on 2/2/2007 Assigned Baa2
Cedarwoods CRE CDO II, Ltd.
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 3/7/2007 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 3/7/2007 Assigned Aaa
Cl. A-3, Aaa Placed Under Review for Possible Downgrade;
previously on 3/7/2007 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 3/7/2007 Assigned Aa2
Cl. C, A2 Placed Under Review for Possible Downgrade;
previously on 3/7/2007 Assigned A2
Cl. D, Baa2 Placed Under Review for Possible Downgrade;
previously on 3/7/2007 Assigned Baa2
Cl. E, Baa3 Placed Under Review for Possible Downgrade;
previously on 3/7/2007 Assigned Baa3
Cl. F, Ba2 Placed Under Review for Possible Downgrade;
previously on 3/7/2007 Assigned Ba2
Cedarwoods CRE CDO, Ltd.
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 8/17/2006 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 8/17/2006 Assigned Aaa
Cl. A-3, Aaa Placed Under Review for Possible Downgrade;
previously on 8/17/2006 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 8/17/2006 Assigned Aa2
Cl. C, A2 Placed Under Review for Possible Downgrade;
previously on 8/17/2006 Assigned A2
Cl. D, Baa2 Placed Under Review for Possible Downgrade;
previously on 8/17/2006 Assigned Baa2
Cl. E, Baa3 Placed Under Review for Possible Downgrade;
previously on 8/17/2006 Assigned Baa3
Cl. F, Ba2 Placed Under Review for Possible Downgrade;
previously on 8/17/2006 Assigned Ba2
Centerline 2007-1 Resecuritization Trust
Cl. A-1, Aa1 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to Aa1
Cl. A-2, A1 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to A1
Cl. B, A2 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to A2
Cl. C, A3 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to A3
Cl. D, Baa1 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to Baa1
Cl. E, Baa2 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to Baa2
Cl. F, Baa3 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to Baa3
Cl. G, Ba1 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to Ba1
Cl. H, Ba2 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to Ba2
Cl. J, Ba3 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to Ba3
Cl. K, B2 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to B2
Cl. L, B3 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to B3
Cl. M, Caa1 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to Caa1
Cl. N, Caa2 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to Caa2
Cl. O, Caa3 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to Caa3
Cl. P, Caa3 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to Caa3
Centerline 2007-SRR5, Ltd.
U.S. $10,000,000 Class J Floating Rate
Deferrable Interest Notes Due 2052, Ba2 Placed Under Review for
Possible Downgrade; previously on 8/23/2007 Assigned Ba2
U.S. $10,000,000 Class L Floating Rate
Deferrable Interest Notes Due 2052, B1 Placed Under Review for Possible
Downgrade; previously on 8/23/2007 Assigned B1
U.S. $128,000,000 Class A-2 Senior
Secured Floating Rate Notes Due 2052, Aaa Placed Under Review for
Possible Downgrade; previously on 8/23/2007 Assigned Aaa
U.S. $17,000,000 Class F Floating Rate
Deferrable Interest Notes Due 2052, Baa1 Placed Under Review for
Possible Downgrade; previously on 8/23/2007 Assigned Baa1
U.S. $200,000,000 Class A-1 Senior
Secured Floating Rate Notes Due 2052, Aaa Placed Under Review for
Possible Downgrade; previously on 8/23/2007 Assigned Aaa
U.S. $24,000,000 Class D Floating Rate
Deferrable Interest Notes Due 2052, A1 Placed Under Review for Possible
Downgrade; previously on 8/23/2007 Assigned A1
U.S. $34,000,000 Class G Floating Rate
Deferrable Interest Notes Due 2052, Baa3 Placed Under Review for
Possible Downgrade; previously on 8/23/2007 Assigned Baa3
U.S. $39,000,000 Class C Senior Secured
Floating Rate Notes Due 2052, Aa3 Placed Under Review for Possible
Downgrade; previously on 8/23/2007 Assigned Aa3
U.S. $4,000,000 Class H Floating Rate
Deferrable Interest Notes Due 2052, Ba1 Placed Under Review for
Possible Downgrade; previously on 8/23/2007 Assigned Ba1
U.S. $4,000,000 Class N Floating Rate
Deferrable Interest Notes Due 2052, B3 Placed Under Review for Possible
Downgrade; previously on 8/23/2007 Assigned B3
U.S. $42,000,000 Class B Senior Secured
Floating Rate Notes Due 2052, Aa1 Placed Under Review for Possible
Downgrade; previously on 8/23/2007 Assigned Aa1
U.S. $42,000,000 Class E Floating Rate
Deferrable Interest Notes Due 2052, A3 Placed Under Review for Possible
Downgrade; previously on 8/23/2007 Assigned A3
U.S. $7,000,000 Class M Floating Rate
Deferrable Interest Notes Due 2052, B2 Placed Under Review for Possible
Downgrade; previously on 8/23/2007 Assigned B2
U.S. $8,000,000 Class K Floating Rate
Deferrable Interest Notes Due 2052, Ba3 Placed Under Review for
Possible Downgrade; previously on 8/23/2007 Assigned Ba3
Cloverie Plc, Series 2005-56 EUR 25,000,000 Class
A Secured Floating Rate Portfolio Credit Linked Notes
Series 2005-56 EUR 25,000,000 Class A Secured Floating
Rate Portfolio Credit Linked Notes due 2025, Aa2 Placed Under Review
for Possible Downgrade; previously on 9/29/2005 Assigned Aa2
CMBSpoke 2006-I
Cl. A, Aa2 Placed Under Review for Possible Downgrade;
previously on 8/9/2006 Assigned Aa2
Cl. B, A2 Placed Under Review for Possible Downgrade;
previously on 8/9/2006 Assigned A2
Cl. C, Baa3 Placed Under Review for Possible Downgrade;
previously on 8/9/2006 Assigned Baa3
COMM 2008-RS3 Commercial Mortgage Related Securities, Series
2008-RS3
Cl. A-2A, Aaa Placed Under Review for Possible Downgrade;
previously on 6/30/2008 Assigned Aaa
Cl. A-2B, Aaa Placed Under Review for Possible Downgrade;
previously on 6/30/2008 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 6/30/2008 Assigned Aa2
Cl. C, A1 Placed Under Review for Possible Downgrade;
previously on 6/30/2008 Assigned A1
Cl. D, A2 Placed Under Review for Possible Downgrade;
previously on 6/30/2008 Assigned A2
Cl. E, A3 Placed Under Review for Possible Downgrade;
previously on 6/30/2008 Assigned A3
Cl. F, Baa1 Placed Under Review for Possible Downgrade;
previously on 6/30/2008 Assigned Baa1
Cl. G, Baa2 Placed Under Review for Possible Downgrade;
previously on 6/30/2008 Assigned Baa2
Cl. H, Baa3 Placed Under Review for Possible Downgrade;
previously on 6/30/2008 Assigned Baa3
Cl. X-B, Aaa Placed Under Review for Possible Downgrade;
previously on 6/30/2008 Assigned Aaa
Cl. X-W, Aaa Placed Under Review for Possible Downgrade;
previously on 6/30/2008 Assigned Aaa
COMM Resecuritization 2003-J2R, CMBS Trust Certificates,
Series 2003-J2R
Cl. A-1A, Aaa Placed Under Review for Possible Downgrade;
previously on 5/30/2003 Assigned Aaa
Cl. A-1AIO, Aaa Placed Under Review for Possible Downgrade;
previously on 5/30/2003 Assigned Aaa
Cl. A-1B, Aaa Placed Under Review for Possible Downgrade;
previously on 5/30/2003 Assigned Aaa
Cl. A-1BIO, Aaa Placed Under Review for Possible Downgrade;
previously on 5/30/2003 Assigned Aaa
Crest 2003-1 Ltd.
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 03/20/2003 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 03/20/2003 Assigned Aaa
Cl. B-1, Aaa Placed Under Review for Possible Downgrade;
previously on 08/10/2006 Upgraded to Aaa
Cl. B-2, Aaa Placed Under Review for Possible Downgrade;
previously on 08/10/2006 Upgraded to Aaa
Cl. C-1, Aa3 Placed Under Review for Possible Downgrade;
previously on 08/10/2006 Upgraded to Aa3
Cl. C-2, Aa3 Placed Under Review for Possible Downgrade;
previously on 08/10/2006 Upgraded to Aa3
Crest 2003-2
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 12/19/2003 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 12/19/2003 Assigned Aaa
Cl. A-3, Aaa Placed Under Review for Possible Downgrade;
previously on 12/19/2003 Assigned Aaa
Cl. B-1, Aaa Placed Under Review for Possible Downgrade;
previously on 9/21/2006 Upgraded to Aaa
Cl. B-2, Aaa Placed Under Review for Possible Downgrade;
previously on 9/21/2006 Upgraded to Aaa
Cl. C-1, Aa2 Placed Under Review for Possible Downgrade;
previously on 9/21/2006 Upgraded to Aa2
Cl. C-2, Aa2 Placed Under Review for Possible Downgrade;
previously on 9/21/2006 Upgraded to Aa2
Cl. D-1, A3 Placed Under Review for Possible Downgrade;
previously on 9/21/2006 Upgraded to A3
Cl. D-2, A3 Placed Under Review for Possible Downgrade;
previously on 9/21/2006 Upgraded to A3
Cl. E-1, Ba1 Placed Under Review for Possible Downgrade;
previously on 9/21/2006 Upgraded to Ba1
Cl. E-2, Ba1 Placed Under Review for Possible Downgrade;
previously on 9/21/2006 Upgraded to Ba1
Crest 2004-1. Collateralized Debt Obligations
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 11/22/2004 Assigned Aaa
Cl. B-1, Aaa Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Upgraded to Aaa
Cl. B-2, Aaa Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Upgraded to Aaa
Cl. C-1, Aa1 Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Upgraded to Aa1
Cl. C-2, Aa1 Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Upgraded to Aa1
Cl. D, Aa3 Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Upgraded to Aa3
Cl. E-1, A3 Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Upgraded to A3
Cl. E-2, A3 Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Upgraded to A3
Cl. F, Baa1 Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Upgraded to Baa1
Cl. G-1, Baa3 Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Upgraded to Baa3
Cl. G-2, Baa3 Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Upgraded to Baa3
Cl. H-1, Ba2 Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Upgraded to Ba2
Cl. H-2, Ba2 Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Upgraded to Ba2
Crest Exeter Street Solar 2004-1. Collateralized Debt Obligations
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 5/3/2004 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 5/3/2004 Assigned Aaa
Cl. B-1, Aaa Placed Under Review for Possible Downgrade;
previously on 9/15/2006 Upgraded to Aaa
Cl. B-2, Aaa Placed Under Review for Possible Downgrade;
previously on 9/15/2006 Upgraded to Aaa
Cl. C-1, Aa2 Placed Under Review for Possible Downgrade;
previously on 9/15/2006 Upgraded to Aa2
Cl. C-2, Aa2 Placed Under Review for Possible Downgrade;
previously on 9/15/2006 Upgraded to Aa2
Crystal River Resecuritization 2006-1 Ltd.
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 1/23/2007 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 1/23/2007 Assigned Aa2
Cl. C, A1 Placed Under Review for Possible Downgrade;
previously on 1/23/2007 Assigned A1
Cl. D, A3 Placed Under Review for Possible Downgrade;
previously on 1/23/2007 Assigned A3
Cl. E, Baa1 Placed Under Review for Possible Downgrade;
previously on 1/23/2007 Assigned Baa1
Cl. F, Baa2 Placed Under Review for Possible Downgrade;
previously on 1/23/2007 Assigned Baa2
Cl. G, Baa3 Placed Under Review for Possible Downgrade;
previously on 1/23/2007 Assigned Baa3
Cl. J, Ba2 Placed Under Review for Possible Downgrade;
previously on 1/23/2007 Assigned Ba2
Cl. K, B2 Placed Under Review for Possible Downgrade;
previously on 1/23/2007 Assigned B2
CTX CDO I, Ltd.
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 6/22/2007 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 6/22/2007 Assigned Aa2
Cl. C, A2 Placed Under Review for Possible Downgrade;
previously on 6/22/2007 Assigned A2
Cl. D, A3 Placed Under Review for Possible Downgrade;
previously on 6/22/2007 Assigned A3
Cl. E, Baa1 Placed Under Review for Possible Downgrade;
previously on 6/22/2007 Assigned Baa1
Cl. F, Baa2 Placed Under Review for Possible Downgrade;
previously on 6/22/2007 Assigned Baa2
Cl. G, Baa3 Placed Under Review for Possible Downgrade;
previously on 6/22/2007 Assigned Baa3
Cl. H, Ba1 Placed Under Review for Possible Downgrade;
previously on 6/22/2007 Assigned Ba1
Cl. J, Ba2 Placed Under Review for Possible Downgrade;
previously on 6/22/2007 Assigned Ba2
Cl. K, Ba3 Placed Under Review for Possible Downgrade;
previously on 6/22/2007 Assigned Ba3
CW Capital Cobalt III Synthetic CDO, LTD.
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 12/1/2006 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 12/1/2006 Assigned Aa2
Cl. C, A2 Placed Under Review for Possible Downgrade;
previously on 12/1/2006 Assigned A2
Cl. D, A3 Placed Under Review for Possible Downgrade;
previously on 12/1/2006 Assigned A3
Cl. E, Baa1 Placed Under Review for Possible Downgrade;
previously on 12/1/2006 Assigned Baa1
Cl. F, Baa3 Placed Under Review for Possible Downgrade;
previously on 12/1/2006 Assigned Baa3
Cl. G, Ba2 Placed Under Review for Possible Downgrade;
previously on 12/1/2006 Assigned Ba2
CWCAPITAL COBALT Vr LTD.
CL. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 11/21/2007 Assigned Aaa
CL. A-2, Aa2 Placed Under Review for Possible Downgrade;
previously on 11/6/2008 Downgraded to Aa2
CL. B, Aa3 Placed Under Review for Possible Downgrade;
previously on 11/6/2008 Downgraded to Aa3
CL. C, A1 Placed Under Review for Possible Downgrade;
previously on 11/6/2008 Downgraded to A1
CL. D, A2 Placed Under Review for Possible Downgrade;
previously on 11/6/2008 Downgraded to A2
CL. E, Baa1 Placed Under Review for Possible Downgrade;
previously on 11/6/2008 Downgraded to Baa1
CL. F, Baa2 Placed Under Review for Possible Downgrade;
previously on 11/6/2008 Downgraded to Baa2
CL. G, Baa3 Placed Under Review for Possible Downgrade;
previously on 11/6/2008 Downgraded to Baa3
Dillon Read CMBS CDO 2006-1 Ltd
Cl. A1, Aaa Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Aaa
Cl. A2, Aa2 Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Aa2
Cl. A3, A2 Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned A2
Cl. A4, A3 Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned A3
Cl. A-S1VF, Aaa Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Aaa
Cl. B1, Baa2 Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Baa2
Cl. B2, Baa3 Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Baa3
Cl. B3, Ba1 Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Ba1
Cl. B4, Ba2 Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Ba2
Eirles Two Limited Series 193
Series 193 USD 40,000,000 Floating Rate Credit Linked Secured
Notes due 2046, Aa3 Placed Under Review for Possible Downgrade;
previously on 6/29/2005 Assigned Aa3
Eirles Two Limited Series 194
Series 194 USD 38,500,000 Floating Rate Credit Linked Secured
Notes due 2042, Aa3 Placed Under Review for Possible Downgrade;
previously on 6/27/2005 Assigned Aa3
Eirles Two Limited Series 196
Series 196 USD 50,000,000 Floating Rate Credit Linked Secured
Notes due 2056, Aa3 Placed Under Review for Possible Downgrade;
previously on 7/29/2005 Assigned Aa3
Fairfield Street Solar 2004-1 Ltd. Collateralized Debt Obligations
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 12/21/2004 Assigned Aaa
Cl. A-2a, Aaa Placed Under Review for Possible Downgrade;
previously on 12/21/2004 Assigned Aaa
Cl. A-2b, Aaa Placed Under Review for Possible Downgrade;
previously on 12/21/2004 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 12/21/2004 Assigned Aa2
Cl. B-2, Aa2 Placed Under Review for Possible Downgrade;
previously on 12/21/2004 Assigned Aa2
Cl. C, A2 Placed Under Review for Possible Downgrade;
previously on 12/21/2004 Assigned A2
Cl. C-2, A2 Placed Under Review for Possible Downgrade;
previously on 12/21/2004 Assigned A2
Cl. D, Baa3 Placed Under Review for Possible Downgrade;
previously on 12/21/2004 Assigned Baa3
Cl. D-2, Baa3 Placed Under Review for Possible Downgrade;
previously on 12/21/2004 Assigned Baa3
Cl. E, Ba3 Placed Under Review for Possible Downgrade;
previously on 12/21/2004 Assigned Ba3
Cl. E-2, Ba3 Placed Under Review for Possible Downgrade;
previously on 12/21/2004 Assigned Ba3
G-FORCE CDO 2006-1 Ltd.
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 10/2/2006 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 10/2/2006 Assigned Aaa
Cl. A-3, Aaa Placed Under Review for Possible Downgrade;
previously on 10/2/2006 Assigned Aaa
Cl. B, Aa3 Placed Under Review for Possible Downgrade;
previously on 7/25/2008 Downgraded to Aa3
Cl. C, A1 Placed Under Review for Possible Downgrade;
previously on 7/25/2008 Downgraded to A1
Cl. D, Baa1 Placed Under Review for Possible Downgrade;
previously on 7/25/2008 Downgraded to Baa1
Cl. JRFL, Aaa Placed Under Review for Possible Downgrade;
previously on 10/2/2006 Assigned Aaa
Cl. SSFL, Aaa Placed Under Review for Possible Downgrade;
previously on 10/2/2006 Assigned Aaa
Greenwich Capital Commercial Mortgage Trust 2007-RR2
Cl. A-1FL, Aaa Placed Under Review for Possible Downgrade;
previously on 6/28/2007 Assigned Aaa
Cl. A-1FX, Aaa Placed Under Review for Possible Downgrade;
previously on 6/28/2007 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 6/28/2007 Assigned Aaa
Cl. X, Aaa Placed Under Review for Possible Downgrade;
previously on 6/28/2007 Assigned Aaa
GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through
Certificates, Series 2006-CC1
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 4/13/2006 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 4/13/2006 Assigned Aa2
GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through
Certificates, Series 2006-CC1
Cl. C, A2 Placed Under Review for Possible Downgrade;
previously on 4/13/2006 Assigned A2
Cl. D, A3 Placed Under Review for Possible Downgrade;
previously on 4/13/2006 Assigned A3
Cl. E, Baa1 Placed Under Review for Possible Downgrade;
previously on 4/13/2006 Assigned Baa1
Cl. F, Baa2 Placed Under Review for Possible Downgrade;
previously on 4/13/2006 Assigned Baa2
Cl. G, Baa3 Placed Under Review for Possible Downgrade;
previously on 4/13/2006 Assigned Baa3
Cl. H, Ba1 Placed Under Review for Possible Downgrade;
previously on 4/13/2006 Assigned Ba1
Cl. J, Ba2 Placed Under Review for Possible Downgrade;
previously on 4/13/2006 Assigned Ba2
Cl. K, Ba3 Placed Under Review for Possible Downgrade;
previously on 4/13/2006 Assigned Ba3
Cl. L, B1 Placed Under Review for Possible Downgrade;
previously on 4/13/2006 Assigned B1
Cl. M, B2 Placed Under Review for Possible Downgrade;
previously on 4/13/2006 Assigned B2
GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through
Certificates, Series 2006-RR2
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 8/16/2006 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 8/16/2006 Assigned Aaa
Cl. B, Aa1 Placed Under Review for Possible Downgrade;
previously on 8/16/2006 Assigned Aa1
Cl. C, Aa2 Placed Under Review for Possible Downgrade;
previously on 8/16/2006 Assigned Aa2
Cl. D, Aa3 Placed Under Review for Possible Downgrade;
previously on 8/16/2006 Assigned Aa3
Cl. E, A2 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to A2
Cl. F, A3 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to A3
Cl. G, Baa1 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to Baa1
Cl. H, Baa2 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to Baa2
Cl. J, Baa3 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to Baa3
Cl. K, Ba1 Placed Under Review for Possible Downgrade;
previously on 9/25/2008 Downgraded to Ba1
Cl. L, Ba2 Placed Under Review for Possible Downgrade;
previously on 8/1/2008 Downgraded to Ba2
Cl. M, Ba3 Placed Under Review for Possible Downgrade;
previously on 8/1/2008 Downgraded to Ba3
Cl. N, B1 Placed Under Review for Possible Downgrade;
previously on 8/1/2008 Downgraded to B1
Cl. O, B3 Placed Under Review for Possible Downgrade;
previously on 8/1/2008 Downgraded to B3
Cl. P, Caa1 Placed Under Review for Possible Downgrade;
previously on 8/1/2008 Downgraded to Caa1
Cl. Q, Caa2 Placed Under Review for Possible Downgrade;
previously on 8/1/2008 Downgraded to Caa2
GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through
Certificates, Series 2006-RR3
Cl. A1-S, Aaa Placed Under Review for Possible Downgrade;
previously on 12/21/2006 Assigned Aaa
Cl. A1-P, Aaa Placed Under Review for Possible Downgrade;
previously on 12/21/2006 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 12/21/2006 Assigned Aaa
Cl. B, Aa1 Placed Under Review for Possible Downgrade;
previously on 12/21/2006 Assigned Aa1
Cl. C, Aa2 Placed Under Review for Possible Downgrade;
previously on 12/21/2006 Assigned Aa2
Cl. D, Aa3 Placed Under Review for Possible Downgrade;
previously on 12/21/2006 Assigned Aa3
Cl. E, A1 Placed Under Review for Possible Downgrade;
previously on 12/21/2006 Assigned A1
Cl. F, A2 Placed Under Review for Possible Downgrade;
previously on 12/21/2006 Assigned A2
Cl. G, A3 Placed Under Review for Possible Downgrade;
previously on 12/21/2006 Assigned A3
Cl. O, Ba3 Placed Under Review for Possible Downgrade;
previously on 12/21/2006 Assigned Ba3
Cl. X, Aaa Placed Under Review for Possible Downgrade;
previously on 12/21/2006 Assigned Aaa
GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through
Certificates, Series 2007-GKK1
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 5/24/2007 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 5/24/2007 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 5/24/2007 Assigned Aa2
Cl. C, A1 Placed Under Review for Possible Downgrade;
previously on 5/24/2007 Assigned A1
Cl. D, A2 Placed Under Review for Possible Downgrade;
previously on 5/24/2007 Assigned A2
Cl. E, A3 Placed Under Review for Possible Downgrade;
previously on 5/24/2007 Assigned A3
Cl. F, Baa1 Placed Under Review for Possible Downgrade;
previously on 5/24/2007 Assigned Baa1
Cl. G, Baa2 Placed Under Review for Possible Downgrade;
previously on 5/24/2007 Assigned Baa2
Cl. H, Baa3 Placed Under Review for Possible Downgrade;
previously on 5/24/2007 Assigned Baa3
Cl. J, Ba2 Placed Under Review for Possible Downgrade;
previously on 5/24/2007 Assigned Ba2
Cl. K, B2 Placed Under Review for Possible Downgrade;
previously on 5/24/2007 Assigned B2
HALCYON 2005-2, Ltd.
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 10/20/2005 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 10/20/2005 Assigned Aa2
Cl. C, Baa1 Placed Under Review for Possible Downgrade;
previously on 10/20/2005 Assigned Baa1
HARBOR Series 2006-1 LLC
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 7/28/2006 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 7/28/2006 Assigned Aa2
Cl. C, A3 Placed Under Review for Possible Downgrade;
previously on 7/28/2006 Assigned A3
Cl. D, Baa2 Placed Under Review for Possible Downgrade;
previously on 7/28/2006 Assigned Baa2
HARBOR Series 2006-2 LLC
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 10/4/2006 Assigned Aaa
Cl. B, A1 Placed Under Review for Possible Downgrade;
previously on 10/4/2006 Assigned A1
Cl. C, A3 Placed Under Review for Possible Downgrade;
previously on 10/4/2006 Assigned A3
Cl. D, Baa3 Placed Under Review for Possible Downgrade;
previously on 10/4/2006 Assigned Baa3
J.P. Morgan-CIBC Commercial Mortgage-Backed
Securities Trust 2006-RR1
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 7/12/2006 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 7/12/2006 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 7/12/2006 Assigned Aa2
Cl. C, A2 Placed Under Review for Possible Downgrade;
previously on 7/12/2006 Assigned A2
Cl. D, A3 Placed Under Review for Possible Downgrade;
previously on 7/12/2006 Assigned A3
Cl. E, Baa1 Placed Under Review for Possible Downgrade;
previously on 7/12/2006 Assigned Baa1
Cl. F, Baa2 Placed Under Review for Possible Downgrade;
previously on 7/12/2006 Assigned Baa2
Cl. G, Baa3 Placed Under Review for Possible Downgrade;
previously on 7/12/2006 Assigned Baa3
Cl. H, Ba2 Placed Under Review for Possible Downgrade;
previously on 11/6/2008 Downgraded to Ba2
Cl. J, Ba3 Placed Under Review for Possible Downgrade;
previously on 11/6/2008 Downgraded to Ba3
Cl. K, B2 Placed Under Review for Possible Downgrade;
previously on 11/6/2008 Downgraded to B2
Cl. L, Caa1 Placed Under Review for Possible Downgrade;
previously on 11/6/2008 Downgraded to Caa1
JER CRE CDO 2005-1, Limited
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 11/17/2005 Assigned Aaa
Cl. B-1, Aa2 Placed Under Review for Possible Downgrade;
previously on 11/17/2005 Assigned Aa2
Cl. B-2, Aa2 Placed Under Review for Possible Downgrade;
previously on 11/17/2005 Assigned Aa2
Cl. C, A2 Placed Under Review for Possible Downgrade;
previously on 11/17/2005 Assigned A2
Cl. D, Baa3 Placed Under Review for Possible Downgrade;
previously on 11/20/2008 Downgraded to Baa3
Cl. E, Ba2 Placed Under Review for Possible Downgrade;
previously on 11/20/2008 Downgraded to Ba2
Cl. F, B1 Placed Under Review for Possible Downgrade;
previously on 11/20/2008 Downgraded to B1
Cl. G, Caa1 Placed Under Review for Possible Downgrade;
previously on 11/20/2008 Downgraded to Caa1
JER CRE CDO 2006-2, Limited
Cl. A-FL, Aaa Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Aaa
Cl. B-FL, Aa2 Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Aa2
Cl. C-FL, A1 Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned A1
Cl. C-FX, A1 Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned A1
Cl. D-FL, A2 Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned A2
Cl. D-FX, A2 Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned A2
Cl. E-FL, A3 Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned A3
Cl. E-FX, A3 Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned A3
Cl. F-FL, Baa1 Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Baa1
Cl. G-FL, Baa2 Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Baa2
Cl. H-FL, Baa2 Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Baa2
Cl. J-FX, Baa3 Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Baa3
Cl. K, Ba2 Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Ba2
Cl. L, B2 Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned B2
Kimberlite CDO I, Ltd.
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 10/17/2006 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 10/17/2006 Assigned Aa2
Cl. C, A1 Placed Under Review for Possible Downgrade;
previously on 10/17/2006 Assigned A1
Cl. D, A2 Placed Under Review for Possible Downgrade;
previously on 10/17/2006 Assigned A2
Cl. E, A3 Placed Under Review for Possible Downgrade;
previously on 10/17/2006 Assigned A3
Cl. F, Baa1 Placed Under Review for Possible Downgrade;
previously on 10/17/2006 Assigned Baa1
Cl. G, Baa3 Placed Under Review for Possible Downgrade;
previously on 10/17/2006 Assigned Baa3
Cl. H, Ba2 Placed Under Review for Possible Downgrade;
previously on 10/17/2006 Assigned Ba2
LEAFs CMBS I Ltd.
Cl. A-1B, Aaa Placed Under Review for Possible Downgrade;
previously on 11/22/2002 Assigned Aaa
Cl. A-1C, Aaa Placed Under Review for Possible Downgrade;
previously on 01/21/2003 Assigned Aaa
Cl. A-1MF, Aaa Placed Under Review for Possible Downgrade;
previously on 01/21/2003 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 11/22/2002 Assigned Aaa
Cl. B, Aaa Placed Under Review for Possible Downgrade;
previously on 02/08/2006 Upgraded Aaa
Cl. C, Aa3 Placed Under Review for Possible Downgrade;
previously on 02/08/2006 Assigned Aa3
Cl. D, Baa2 Placed Under Review for Possible Downgrade;
previously on 02/08/2006 Assigned Baa2
Lenox Street 2007-1, LTD.
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 4/25/2007 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 4/25/2007 Assigned Aa2
Cl. C, A2 Placed Under Review for Possible Downgrade;
previously on 4/25/2007 Assigned A2
Cl. D, A3 Placed Under Review for Possible Downgrade;
previously on 4/25/2007 Assigned A3
Cl. E, Baa1 Placed Under Review for Possible Downgrade;
previously on 4/25/2007 Assigned Baa1
Cl. F, Baa3 Placed Under Review for Possible Downgrade;
previously on 4/25/2007 Assigned Baa3
Cl. G, Ba1 Placed Under Review for Possible Downgrade;
previously on 4/25/2007 Assigned Ba1
Cl. H, Ba2 Placed Under Review for Possible Downgrade;
previously on 4/25/2007 Assigned Ba2
Cl. J, Ba3 Placed Under Review for Possible Downgrade;
previously on 4/25/2007 Assigned Ba3
LNR CDO 2002-1 Ltd.
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 7/9/2002 Assigned Aaa
Cl. B, Aaa Placed Under Review for Possible Downgrade;
previously on 3/15/2007 Upgraded to Aaa
Cl. C, Aa1 Placed Under Review for Possible Downgrade;
previously on 3/15/2007 Upgraded to Aa1
Cl. D-FL, A2 Placed Under Review for Possible Downgrade;
previously on 3/15/2007 Upgraded to A2
Cl. D-FX, A2 Placed Under Review for Possible Downgrade;
previously on 3/15/2007 Upgraded to A2
Cl. E-FL, Baa3 Placed Under Review for Possible Downgrade;
previously on 7/9/2002 Assigned Baa3
Cl. E-FX, Baa3 Placed Under Review for Possible Downgrade;
previously on 7/9/2002 Assigned Baa3
Cl. E-FXD, Baa3 Placed Under Review for Possible Downgrade;
previously on 7/9/2002 Assigned Baa3
LNR CDO 2003-1 Ltd.
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 7/3/2003 Assigned Aaa
Cl. B, Aaa Placed Under Review for Possible Downgrade;
previously on 10/12/2006 Upgraded to Aaa
Cl. C-FL, Aa1 Placed Under Review for Possible Downgrade;
previously on 10/12/2006 Upgraded to Aa1
Cl. C-FX, Aa1 Placed Under Review for Possible Downgrade;
previously on 10/12/2006 Upgraded to Aa1
Cl. D-FL, Aa2 Placed Under Review for Possible Downgrade;
previously on 10/12/2006 Upgraded to Aa2
Cl. D-FX, Aa2 Placed Under Review for Possible Downgrade;
previously on 10/12/2006 Upgraded to Aa2
Cl. E-FL, Baa1 Placed Under Review for Possible Downgrade;
previously on 10/12/2006 Upgraded to Baa1
Cl. E-FX, Baa1 Placed Under Review for Possible Downgrade;
previously on 10/12/2006 Upgraded to Baa1
LNR CDO III Ltd. Collateralized Debt Obligations, Series
2005-1
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 9/1/2005 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 9/1/2005 Assigned Aa2
Cl. C, A2 Placed Under Review for Possible Downgrade;
previously on 9/1/2005 Assigned A2
Cl. D-FL, A3 Placed Under Review for Possible Downgrade;
previously on 9/1/2005 Assigned A3
Cl. E-FL, Baa1 Placed Under Review for Possible Downgrade;
previously on 9/1/2005 Assigned Baa1
Cl. E-FX, Baa1 Placed Under Review for Possible Downgrade;
previously on 9/1/2005 Assigned Baa1
Cl. F-FL, Baa2 Placed Under Review for Possible Downgrade;
previously on 9/1/2005 Assigned Baa2
Cl. F-FX, Baa2 Placed Under Review for Possible Downgrade;
previously on 9/1/2005 Assigned Baa2
Cl. G-FL, Baa3 Placed Under Review for Possible Downgrade;
previously on 9/1/2005 Assigned Baa3
LNR CDO IV Ltd. Collateralized Debt Obligations, Series 2006-1
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned Aaa
Cl. B-FL, Aa2 Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned Aa2
Cl. B-FX, Aa2 Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned Aa2
Cl. C-FL, A2 Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned A2
Cl. C-FX, A2 Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned A2
Cl. D-FL, A3 Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned A3
Cl. D-FX, A3 Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned A3
Cl. E, Baa2 Placed Under Review for Possible Downgrade;
previously on 7/25/2008 Downgraded to Baa2
Cl. F-FL, Baa3 Placed Under Review for Possible Downgrade;
previously on 7/25/2008 Downgraded to
Cl. F-FX, Baa3 Placed Under Review for Possible Downgrade;
previously on 7/25/2008 Downgraded to
Cl. G, Ba1 Placed Under Review for Possible Downgrade;
previously on 7/25/2008 Downgraded to Ba1
Cl. H, Ba3 Placed Under Review for Possible Downgrade;
previously on 7/25/2008 Downgraded to Ba3
Cl. J, B1 Placed Under Review for Possible Downgrade;
previously on 7/25/2008 Downgraded to B1
Cl. K, B2 Placed Under Review for Possible Downgrade;
previously on 7/25/2008 Downgraded to B2
LNR CDO V LTD. Collateralized Debt Obligations, Series 2007-1
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned Aa2
Cl. C-FL, A1 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned A1
Cl. C-FX, A1 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned A1
Cl. D, A2 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned A2
Cl. E, A3 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned A3
Cl. F, Baa1 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned Baa1
Cl. G, Baa2 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned Baa2
Cl. H, Baa3 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned Baa3
Cl. J, Ba1 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned Ba1
Cl. K, Ba2 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned Ba2
Cl. L, Ba3 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned Ba3
Maclaurin SPC 2007-2 Segregated Portfolio
Cl. A1, Aaa Placed Under Review for Possible Downgrade;
previously on 8/24/2007 Assigned Aaa
Cl. A2, Aaa Placed Under Review for Possible Downgrade;
previously on 8/24/2007 Assigned Aaa
Magnolia Finance II plc Series 2007-2A
USD 150,000,000 CMBS Portfolio Variable Rate Notes due November
2052, Aaa Placed Under Review for Possible Downgrade; previously
on 7/27/2007 Assigned Aaa
Magnolia Finance II plc Series 2007-5
USD 18,000,000 CMBS Portfolio Variable Rate Notes due October
2045, Aaa Placed Under Review for Possible Downgrade; previously
on 9/18/2007 Assigned Aaa
Magnolia Finance II Series 2005-6
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 1/3/2006 Assigned Aaa
Cl. B, Aaa Placed Under Review for Possible Downgrade;
previously on 1/3/2006 Assigned Aaa
Magnolia Finance II Series 2007-2
Cl. D CMBS Portfolio Variable Rate Notes due November 2052,
Baa3 Placed Under Review for Possible Downgrade; previously on 7/27/2007
Assigned Baa3
Cl. E CMBS Portfolio Variable Rate Notes due November 2052,
Ba2 Placed Under Review for Possible Downgrade; previously on 7/27/2007
Assigned Ba2
MAX CMBS I Ltd.
CL. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 11/14/2007 Assigned Aaa
MAX CMBS I Ltd., Series 2008-1
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 6/25/2008 Assigned Aaa
Cl. A-2A, Aaa Placed Under Review for Possible Downgrade;
previously on 6/25/2008 Assigned Aaa
Cl. A-2B, Aaa Placed Under Review for Possible Downgrade;
previously on 6/25/2008 Assigned Aaa
Cl. C, Aa2 Placed Under Review for Possible Downgrade;
previously on 6/25/2008 Assigned Aa2
Cl. E, A1 Placed Under Review for Possible Downgrade;
previously on 6/25/2008 Assigned A1
Cl. F, A2 Placed Under Review for Possible Downgrade;
previously on 6/25/2008 Assigned A2
Cl. G, A3 Placed Under Review for Possible Downgrade;
previously on 6/25/2008 Assigned A3
Cl. H, Baa1 Placed Under Review for Possible Downgrade;
previously on 6/25/2008 Assigned Baa1
Cl. J, Baa2 Placed Under Review for Possible Downgrade;
previously on 6/25/2008 Assigned Baa2
Cl. K, Baa3 Placed Under Review for Possible Downgrade;
previously on 6/25/2008 Assigned Baa3
Cl. X-B, Aaa Placed Under Review for Possible Downgrade;
previously on 6/25/2008 Assigned Aaa
Cl. X-C, Aaa Placed Under Review for Possible Downgrade;
previously on 6/25/2008 Assigned Aaa
Cl. X-W, Aaa Placed Under Review for Possible Downgrade;
previously on 6/25/2008 Assigned Aaa
Morgan Stanley Capital I Inc 2005-RR6
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 1/25/2006 Assigned Aaa
Cl. A-2FL, Aaa Placed Under Review for Possible Downgrade;
previously on 1/25/2006 Assigned Aaa
Cl. A-2FX, Aaa Placed Under Review for Possible Downgrade;
previously on 1/25/2006 Assigned Aaa
Cl. A-3FL, Aaa Placed Under Review for Possible Downgrade;
previously on 1/25/2006 Assigned Aaa
Cl. A-3FX, Aaa Placed Under Review for Possible Downgrade;
previously on 1/25/2006 Assigned Aaa
Cl. A-J, Aaa Placed Under Review for Possible Downgrade;
previously on 1/25/2006 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 1/25/2006 Assigned Aa2
Cl. C, A2 Placed Under Review for Possible Downgrade;
previously on 1/25/2006 Assigned A2
Cl. D, A3 Placed Under Review for Possible Downgrade;
previously on 1/25/2006 Assigned A3
Cl. E, Baa1 Placed Under Review for Possible Downgrade;
previously on 1/25/2006 Assigned Baa1
Cl. F, Baa2 Placed Under Review for Possible Downgrade;
previously on 1/25/2006 Assigned Baa2
Cl. G, Baa3 Placed Under Review for Possible Downgrade;
previously on 1/25/2006 Assigned Baa3
Cl. H, Ba3 Placed Under Review for Possible Downgrade;
previously on 11/6/2008 Downgraded to Ba3
Cl. J, B1 Placed Under Review for Possible Downgrade;
previously on 11/6/2008 Downgraded to B1
Cl. K, B2 Placed Under Review for Possible Downgrade;
previously on 11/6/2008 Downgraded to B2
Cl. L, Caa1 Placed Under Review for Possible Downgrade;
previously on 11/6/2008 Downgraded to Caa1
Cl. M, Caa2 Placed Under Review for Possible Downgrade;
previously on 11/6/2008 Downgraded to Caa2
Cl. N, Caa3 Placed Under Review for Possible Downgrade;
previously on 11/6/2008 Downgraded to Caa3
Cl. X, Aaa Placed Under Review for Possible Downgrade;
previously on 1/25/2006 Assigned Aaa
MSC 2006-SRR1
Cl. A2, Aaa Placed Under Review for Possible Downgrade;
previously on 9/5/2006 Assigned Aaa
Cl. A2-S, Aa1 Placed Under Review for Possible Downgrade;
previously on 9/5/2006 Assigned Aa1
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 9/5/2006 Assigned Aa2
Cl. B-S, Aa3 Placed Under Review for Possible Downgrade;
previously on 9/5/2006 Assigned Aa3
Cl. C, A2 Placed Under Review for Possible Downgrade;
previously on 9/5/2006 Assigned A2
Cl. C-S, A3 Placed Under Review for Possible Downgrade;
previously on 9/5/2006 Assigned A3
Cl. D, Baa1 Placed Under Review for Possible Downgrade;
previously on 9/5/2006 Assigned Baa1
Cl. D-S, Baa2 Placed Under Review for Possible Downgrade;
previously on 9/5/2006 Assigned Baa2
Cl. E, Baa2 Placed Under Review for Possible Downgrade;
previously on 9/5/2006 Assigned Baa2
Cl. E-S, Baa3 Placed Under Review for Possible Downgrade;
previously on 9/5/2006 Assigned Baa3
Cl. F, Baa3 Placed Under Review for Possible Downgrade;
previously on 9/5/2006 Assigned Baa3
Cl. F-S, Ba1 Placed Under Review for Possible Downgrade;
previously on 9/5/2006 Assigned Ba1
Cl. G, Ba1 Placed Under Review for Possible Downgrade;
previously on 9/5/2006 Assigned Ba1
Cl. H, Ba2 Placed Under Review for Possible Downgrade;
previously on 9/5/2006 Assigned Ba2
Cl. J, Ba3 Placed Under Review for Possible Downgrade;
previously on 9/5/2006 Assigned Ba3
Cl. K, B1 Placed Under Review for Possible Downgrade;
previously on 9/5/2006 Assigned B1
Cl. L, B2 Placed Under Review for Possible Downgrade;
previously on 9/5/2006 Assigned B2
Cl. M, B3 Placed Under Review for Possible Downgrade;
previously on 9/5/2006 Assigned B3
MSC 2007-SRR3
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 3/21/2007 Assigned Aaa
Cl. B, Aa1 Placed Under Review for Possible Downgrade;
previously on 3/21/2007 Assigned Aa1
Cl. C, Aa2 Placed Under Review for Possible Downgrade;
previously on 3/21/2007 Assigned Aa2
Cl. D, Aa3 Placed Under Review for Possible Downgrade;
previously on 3/21/2007 Assigned Aa3
Cl. E, A1 Placed Under Review for Possible Downgrade;
previously on 3/21/2007 Assigned A1
Cl. F, A2 Placed Under Review for Possible Downgrade;
previously on 3/21/2007 Assigned A2
Cl. G, A3 Placed Under Review for Possible Downgrade;
previously on 3/21/2007 Assigned A3
Cl. H, Baa1 Placed Under Review for Possible Downgrade;
previously on 3/21/2007 Assigned Baa1
Cl. J, Baa2 Placed Under Review for Possible Downgrade;
previously on 3/21/2007 Assigned Baa2
Cl. K, Baa3 Placed Under Review for Possible Downgrade;
previously on 3/21/2007 Assigned Baa3
MSC 2007-SRR4 Segregated Portfolio
U.S. $13,800,000 Class B Variable Floating
Rate Notes Due 2052, Aa3 Placed Under Review for Possible Downgrade;
previously on 7/9/2007 Assigned Aa3
U.S. $18,400,000 Class C Variable Floating
Rate Notes Due 2052, A1 Placed Under Review for Possible Downgrade;
previously on 7/9/2007 Assigned A1
Newcastle CDO X, Limited
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aaa
Cl. A-3, Aaa Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aaa
Cl. B, Aa3 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aa3
Cl. C, A3 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned A3
Cl. S, Aaa Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aaa
N-Star Real Estate CDO VII Ltd.
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 9/18/2008 Placed Under Review for Possible Downgrade
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 9/18/2008 Placed Under Review for Possible Downgrade
Cl. A-3, Aaa Placed Under Review for Possible Downgrade;
previously on 9/18/2008 Placed Under Review for Possible Downgrade
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 9/18/2008 Placed Under Review for Possible Downgrade
Cl. C, A2 Placed Under Review for Possible Downgrade;
previously on 9/18/2008 Placed Under Review for Possible Downgrade
Cl. D-FL, Baa2 Placed Under Review for Possible Downgrade;
previously on 9/18/2008 Placed Under Review for Possible Downgrade
Cl. D-FX, Baa2 Placed Under Review for Possible Downgrade;
previously on 9/18/2008 Placed Under Review for Possible Downgrade
N-Star Real Estate CDO IX, Ltd.
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 3/7/2007 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 3/7/2007 Assigned Aaa
Cl. A-3, Aaa Placed Under Review for Possible Downgrade;
previously on 3/7/2007 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 3/7/2007 Assigned Aa2
Cl. C, A1 Placed Under Review for Possible Downgrade;
previously on 3/7/2007 Assigned A1
Cl. D, A2 Placed Under Review for Possible Downgrade;
previously on 3/7/2007 Assigned A2
Cl. E, A3 Placed Under Review for Possible Downgrade;
previously on 3/7/2007 Assigned A3
Cl. F, Baa1 Placed Under Review for Possible Downgrade;
previously on 3/7/2007 Assigned Baa1
Cl. G, Baa2 Placed Under Review for Possible Downgrade;
previously on 3/7/2007 Assigned Baa2
Cl. H, Baa3 Placed Under Review for Possible Downgrade;
previously on 3/7/2007 Assigned Baa3
Cl. J, Ba1 Placed Under Review for Possible Downgrade;
previously on 3/7/2007 Assigned Ba1
Cl. K, Ba2 Placed Under Review for Possible Downgrade;
previously on 3/7/2007 Assigned Ba2
Salisbury International Investments Limited Series 2005-04 USD
15,000,000 Class A Secured Floating Rate Portfolio Credit
Linked Notes due 2025
Series 2005-04 USD 15,000,000 Class A Secured Floating
Rate Portfolio Credit Linked Notes due 2025, Aa2 Placed Under Review
for Possible Downgrade; previously on 9/29/2005 Assigned Aa2
Salisbury International Investments Limited Series 2005-05 USD
20,000,000 Class A Secured Floating Rate Portfolio Credit
Linked Notes due 2025
Series 2005-05 USD 20,000,000 Class A Secured Floating
Rate Portfolio Credit Linked Notes due 2025, Aa2 Placed Under Review
for Possible Downgrade; previously on 9/29/2005 Assigned Aa2
Salisbury International Investments Limited Series 2005-06 USD
27,500,000 Class A Secured Floating Rate Portfolio Credit
Linked Notes due 2025
Series 2005-06 USD 27,500,000 Class A Secured Floating
Rate Portfolio Credit Linked Notes due 2025, Aa2 Placed Under Review
for Possible Downgrade; previously on 9/29/2005 Assigned Aa2
Salisbury International Investments Limited Series 2005-07 USD
15,000,000 Class A Secured Floating Rate Portfolio Credit
Linked Notes due 2025
Series 2005-07 USD 15,000,000 Class A Secured Floating
Rate Portfolio Credit Linked Notes due 2025, Aa2 Placed Under Review
for Possible Downgrade; previously on 9/29/2005 Assigned Aa2
Salisbury International Investments Limited Series 2005-08 USD
15,000,000 Class A Secured Floating Rate Portfolio Credit
Linked Notes due 2025
Series 2005-08 USD 15,000,000 Class A Secured Floating
Rate Portfolio Credit Linked Notes due 2025, Aa2 Placed Under Review
for Possible Downgrade; previously on 9/29/2005 Assigned Aa2
SASCO 2007-BHC1 Trust, Commercial Mortgage-Backed
Securities Pass-Through Certificates, Series 2007-BHC1
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 3/23/2007 Assigned Aaa
Seawall 2006-1, Ltd.
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 2/13/2006 Assigned Aaa
Cl. B, Aa3 Placed Under Review for Possible Downgrade;
previously on 2/13/2006 Assigned Aa3
Cl. C-1, A1 Placed Under Review for Possible Downgrade;
previously on 2/13/2006 Assigned A1
Cl. C-2, A3 Placed Under Review for Possible Downgrade;
previously on 2/13/2006 Assigned A3
Seawall 2006-4, Ltd.
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 10/31/2006 Assigned Aaa
Cl. B, Aa3 Placed Under Review for Possible Downgrade;
previously on 10/31/2006 Assigned Aa3
Cl. C, A3 Placed Under Review for Possible Downgrade;
previously on 10/31/2006 Assigned A3
Cl. D-1, Baa2 Placed Under Review for Possible Downgrade;
previously on 10/31/2006 Assigned Baa2
Cl. D-2, Baa3 Placed Under Review for Possible Downgrade;
previously on 10/31/2006 Assigned Baa3
Cl. E-1, Ba1 Placed Under Review for Possible Downgrade;
previously on 10/31/2006 Assigned Ba1
Cl. E-2, Ba2 Placed Under Review for Possible Downgrade;
previously on 10/31/2006 Assigned Ba2
Cl. E-3, Ba3 Placed Under Review for Possible Downgrade;
previously on 10/31/2006 Assigned Ba3
Cl. E-4, B2 Placed Under Review for Possible Downgrade;
previously on 10/31/2006 Assigned B2
Super Senior, Aaa Placed Under Review for Possible Downgrade;
previously on 10/31/2006 Assigned Aaa
Seawall 2006-4a, Ltd.
Cl. D-1, Baa2 Placed Under Review for Possible Downgrade;
previously on 10/31/2006 Assigned Baa2
Cl. D-2, Baa3 Placed Under Review for Possible Downgrade;
previously on 10/31/2006 Assigned Baa3
Cl. E-1, Ba1 Placed Under Review for Possible Downgrade;
previously on 10/31/2006 Assigned Ba1
Cl. E-2, Ba2 Placed Under Review for Possible Downgrade;
previously on 10/31/2006 Assigned Ba2
Cl. E-3, Ba3 Placed Under Review for Possible Downgrade;
previously on 10/31/2006 Assigned Ba3
Cl. E-4, B2 Placed Under Review for Possible Downgrade;
previously on 10/31/2006 Assigned B2
Seawall 2007-1, Ltd.
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 5/2/2007 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 5/2/2007 Assigned Aa2
Cl. C-1, A1 Placed Under Review for Possible Downgrade;
previously on 5/2/2007 Assigned A1
Cl. C-2, A3 Placed Under Review for Possible Downgrade;
previously on 5/2/2007 Assigned A3
Cl. D-1, Baa1 Placed Under Review for Possible Downgrade;
previously on 5/2/2007 Assigned Baa1
Cl. D-2, Baa3 Placed Under Review for Possible Downgrade;
previously on 5/2/2007 Assigned Baa3
Cl. E-1, Ba2 Placed Under Review for Possible Downgrade;
previously on 5/2/2007 Assigned Ba2
Cl. E-2, Ba3 Placed Under Review for Possible Downgrade;
previously on 5/2/2007 Assigned Ba3
Super Senior, Aaa Placed Under Review for Possible Downgrade;
previously on 5/2/2007 Assigned Aaa
Seawall SPC - Paired Notes
Series 2008 CMBS CDO-2 U.S. $62,125,964
Class A Floating Rate Notes Due 2049, Aaa Placed Under Review for
Possible Downgrade; previously on 6/17/2008 Assigned Aaa
Seawall SPC - Series 2005-1
Series 2005-1 $20,000,000 Floating Rate Credit
Linked Notes due February 2046, Aa3 Placed Under Review for Possible
Downgrade; previously on 8/12/2005 Assigned Aa3
Seawall SPC - Series 2005-2
Cl. C-1, A1 Placed Under Review for Possible Downgrade;
previously on 10/20/2005 Assigned A1
Cl. C-2, A3 Placed Under Review for Possible Downgrade;
previously on 10/20/2005 Assigned A3
Seawall SPC - Series 2007-1 D2
$16,000,000 Floating Rate Notes Due 2042, Baa3
Placed Under Review for Possible Downgrade; previously on 6/25/2007
Assigned Baa3
Seawall SPC - Series 2008-39
Seawall SPC - Series 2008-39 U.S.$
20,000,000 Floating Rate Notes Due 2045, Aaa Placed
Under Review for Possible Downgrade; previously on 7/17/2008 Assigned
Aaa
Slate CDO 2007-1, Ltd.
U.S.$ 13,500,000 Class B2 Mezzanine Secured
Deferrable Interest Floating Rate Notes Due 2052, Baa3 Placed Under
Review for Possible Downgrade; previously on 6/26/2007 Assigned Baa3
U.S.$ 132,000,000 Class A1SB Senior Secured
Floating Rate Notes Due 2052, Aaa Placed Under Review for Possible
Downgrade; previously on 6/26/2007 Assigned Aaa
U.S.$ 18,000,000 Class B1 Mezzanine Secured
Deferrable Interest Floating Rate Notes Due 2052, Baa2 Placed Under
Review for Possible Downgrade; previously on 6/26/2007 Assigned Baa2
U.S.$ 27,800,000 Class A3 Secured Deferrable
Interest Floating Rate Notes Due 2052, A2 Placed Under Review for
Possible Downgrade; previously on 6/26/2007 Assigned A2
U.S.$ 38,200,000 Class A2 Senior Secured
Floating Rate Notes Due 2052, Aa2 Placed Under Review for Possible
Downgrade; previously on 6/26/2007 Assigned Aa2
U.S.$ 67,500,000 Class A1J Senior Secured
Floating Rate Notes Due 2052, Aaa Placed Under Review for Possible
Downgrade; previously on 6/26/2007 Assigned Aaa
U.S.$270,000,000 Class A1SA Variable
Funding Senior Secured Floating Rate Notes Due 2052, Aaa Placed
Under Review for Possible Downgrade; previously on 6/26/2007 Assigned
Aaa
Sorin Real Estate CDO II Ltd.
Cl. A, Aaa Placed Under Review for Possible Downgrade;
previously on 12/28/2005 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 12/28/2005 Assigned Aa2
Cl. C, A2 Placed Under Review for Possible Downgrade;
previously on 12/28/2005 Assigned A2
Cl. D, Baa2 Placed Under Review for Possible Downgrade;
previously on 12/28/2005 Assigned Baa2
Cl. E, Baa3 Placed Under Review for Possible Downgrade;
previously on 12/28/2005 Assigned Baa3
Cl. F, Ba1 Placed Under Review for Possible Downgrade;
previously on 12/28/2005 Assigned Ba1
Cl. G, Ba2 Placed Under Review for Possible Downgrade;
previously on 12/28/2005 Assigned Ba2
Cl. H, Ba3 Placed Under Review for Possible Downgrade;
previously on 12/28/2005 Assigned Ba3
Cl. X, Aaa Placed Under Review for Possible Downgrade;
previously on 12/28/2005 Assigned Aaa
Investor Swap, Aaa Placed Under Review for Possible Downgrade;
previously on 12/28/2005 Assigned
Sorin Real Estate CDO III
Cl. A-1A, Aaa Placed Under Review for Possible Downgrade;
previously on 4/26/2006 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 4/26/2006 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 4/26/2006 Assigned Aa2
Cl. C-FL, A2 Placed Under Review for Possible Downgrade;
previously on 4/26/2006 Assigned A2
Cl. C-FX, A2 Placed Under Review for Possible Downgrade;
previously on 4/26/2006 Assigned A2
Cl. D, Baa2 Placed Under Review for Possible Downgrade;
previously on 4/26/2006 Assigned Baa2
SRRSpoke 2007-IA
U.S. $4,095,000 Subordinated Variable
Floating Rate Notes Due 2037, Aaa Placed Under Review for Possible
Downgrade; previously on 9/25/2007 Assigned Aaa
U.S. $76,050,000 Class I Variable Floating
Rate Notes Due 2037, Aaa Placed Under Review for Possible Downgrade;
previously on 9/25/2007 Assigned Aaa
SRRSpoke 2007-IB
U.S. $13,162,500 Class I Variable Floating
Rate Notes Due 2037, Aa1 Placed Under Review for Possible Downgrade;
previously on 9/25/2007 Assigned Aa1
STEERS High-Grade CMBS Resecuritization Trust
Credit Default Swap Class A, Aaa Placed Under Review for Possible
Downgrade; previously on 5/24/2006
Credit Default Swap Class B, Aa2 Placed Under Review for Possible
Downgrade; previously on 5/24/2006
Series 2006-1, Aaa Placed Under Review for Possible Downgrade;
previously on 5/24/2006 Assigned Aaa
Series 2006-2, Aa2 Placed Under Review for Possible Downgrade;
previously on 5/24/2006 Assigned Aa2
Series 2006-3, Aa2 Placed Under Review for Possible Downgrade;
previously on 5/24/2006 Assigned Aa2
Series 2006-4, A3 Placed Under Review for Possible Downgrade;
previously on 5/24/2006 Assigned A3
Series 2006-5, Aa2 Placed Under Review for Possible Downgrade;
previously on 5/24/2006 Assigned Aa2
STEERS High-Grade CMBS Resecuritization Trust 2
Credit Default Swap Class C, A3 Placed Under Review for Possible
Downgrade; previously on 09/07/2006 Assigned A3
Series 2006-10, Aa2 Placed Under Review for Possible Downgrade;
previously on 09/07/2006 Assigned Aa2
Series 2006-11, A3 Placed Under Review for Possible Downgrade;
previously on 09/07/2006 Assigned A3
Series 2006-6, A3 Placed Under Review for Possible Downgrade;
previously on 09/07/2006 Assigned A3
Series 2006-8, A3 Placed Under Review for Possible Downgrade;
previously on 09/07/2006 Assigned A3
TIERS Synthetic CDO-Linked Variable Coupon Trust, Series
2008-1
U.S.$ 36,000,000 TIERS Synthetic CDO-Linked
Variable Coupon Trust Certificates, Series 2008-1,
Aaa Placed Under Review for Possible Downgrade; previously on 7/22/2008
Assigned Aaa
Vertical Millbrook 2007-1 - Series 56
U.S. $90,000,000 Class A-1 Variable
Floating Rate Credit-Linked Notes Due October 12, 2052,
Aaa Placed Under Review for Possible Downgrade; previously on 10/3/2007
Assigned Aaa
Vertical Millbrook 2007-1 - Series 57
U.S. $40,000,000 Class A-1A Veriable
Rate Credit-Linked Notes due August 25, 2037, Aaa Placed
Under Review for Possible Downgrade; previously on 10/3/2007 Assigned
Aaa
WAVE 2007-1
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 5/23/2007 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 5/23/2007 Assigned Aaa
Cl. B, Aa3 Placed Under Review for Possible Downgrade;
previously on 5/23/2007 Assigned Aa3
Cl. C, A3 Placed Under Review for Possible Downgrade;
previously on 5/23/2007 Assigned A3
Cl. D, Baa3 Placed Under Review for Possible Downgrade;
previously on 5/23/2007 Assigned Baa3
WAVE 2007-2
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aaa
Cl. B, Aaa Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aaa
Cl. C-FL, Aa2 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aa2
Cl. C-FX, Aa2 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aa2
Cl. D-FL, A2 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned A2
Cl. D-FX, A2 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned A2
Cl. E-FL, Baa1 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Baa1
Cl. E-FX, Baa1 Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Baa1
WAVE 2007-3
Cl. A-1, Aaa Placed Under Review for Possible Downgrade;
previously on 9/12/2007 Assigned Aaa
Cl. A-2, Aaa Placed Under Review for Possible Downgrade;
previously on 9/12/2007 Assigned Aaa
Cl. B, Aa2 Placed Under Review for Possible Downgrade;
previously on 9/12/2007 Assigned Aa2
Cl. C, A3 Placed Under Review for Possible Downgrade;
previously on 9/12/2007 Assigned A3
Cl. D, Baa3 Placed Under Review for Possible Downgrade;
previously on 9/12/2007 Assigned Baa3
This press release updates the modeling parameters in Moody's current
CRE CDO methodologies:
"U.S. CMBS: Moody's Approach to Rating
Synthetic CMBS Resecuritizations" dated December 19, 2005;
"U.S. CMBS: Moody's Approach to Rating
Static CDOs Backed by Commercial Real Estate Securities" dated June
17, 2004; and
"CMBS: Moody's Approach to Revolving Facilities in
CDOs Backed by Commercial Real Estate Interests" dated July 29,
2004.
These methodologies 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.
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF151479
For more information please see www.moodys.com.
New York
James Duca
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Deryk Meherik
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653