Approximately $36 billion of structured securities affected
New York, March 12, 2009 -- Moody's Investors Service (Moody's) announced today that it has placed
52 U.S. commercial real estate collateralized debt obligation
transactions ("CRE CDOs") on review for possible downgrade due to weakening
commercial real estate market fundamentals and updates to revised key
modeling parameter assumptions. The transactions placed on review
for possible downgrade represent the final phase of a U.S.
CRE CDO ratings sweep previously announced on December 19, 2008.
Moody's anticipates completion of the 52 reviews by March 31,
2009.
The 52 U.S. CRE CDOs placed on review for possible downgrade
are revolving cash flow CDOs with collateral quality and coverage tests
that are backed by a significant percentage of non-CMBS collateral
such as whole loans, B-notes and mezzanine debt. Moody's
is concerned about the likely future performance of this non-CMBS
collateral. Rapid economic deterioration is expected to stress
property cash flows over the next few years increasing term default risk.
For loans with near-term maturities, refinance risk will
also rise as cash flows deteriorate and higher risk premiums are required
to secure financing. The whole loans, B-notes,
and mezzanine debt included in these CRE CDOs were often backed by transitional
assets where future income growth was expected to occur to facilitate
refinancing the existing debt at maturity. Absent an expanding
economy, the likelihood of this future income growth is more remote.
KEY MODELING PARAMETERS
As previously announced, the revised parameters in Moody's model
for rating and monitoring CRE CDOs are related to asset correlation,
default probability, and recovery rate. These revisions are
generally consistent with recent revisions to key parameters for rating
and monitoring other collateralized debt obligation transactions backed
by asset backed securities ("SF CDOs").
Asset Correlation As part of the revised parameters, Moody's
updated its asset correlation assumption for the commercial real estate
sector to be consistent with the February 3, 2009 release of one
of its CRE CDO rating models, CDOROM v2.5 (for more details
on the model please refer to Moody's Special Report "CDOROM
v2.5 User Guide" available at www.moodys.com).
In using this model, non-CMBS collateral is defined as secured
corporate debt. Previously, the cumulative average asset
correlations for non-CMBS collateral were approximately 15%.
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 revolving non-CMBS cash
flow CRE CDOs result in average asset correlations of approximately 30%.
This result reflects Moody's reduction of one of the correlation
factors - the maximum over concentration stress - 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.
Default Probability Default probability is typically captured in Moody's
models in the collateral weighted average rating factor (WARF).
For CRE CDOs with non-CMBS 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.
Default Timing In Moody's analysis of cash flow CRE CDOs,
it employs one of its CRE CDO rating models, CDOEdge v3.2
(for more details on the model please refer to Moody's Special Report
"Moody's CDOEdge User Manual" available at www.moodys.com).
CDO Edge historically employed six default timing scenarios in analyzing
the expected loss at each tranche. In this ratings sweep,
Moody's will assume a delay in the default timing to better reflect
its expectation of how the underlying real estate collateral will perform
in this recession.
These changes bring into alignment Moody's modeling of revolving
non-CMBS cash flow CRE CDOs with its expectations for the performance
of the underlying real estate collateral.
LIKELY MAGNITUDE OF RATINGS TRANSITIONS
Moody's anticipates that the downgrades on all rated classes will
range from 7 to 12 notches in most cases. The actual magnitude
of the ratings migration will vary based on the collateral performance,
coverage tests, current credit enhancement, bond thickness,
excess spread, and ratings distribution of the underlying collateral.
If the deals are still in their revolving period, the collateral
manager strategy can also influence the outcome.
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).
AMAC CDO Funding I
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 12/11/2006 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 12/11/2006 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 12/11/2006 Assigned Aa2
Cl. C, A2 and Placed Under Review for Possible Downgrade;
previously on 12/11/2006 Assigned A2
Cl. D-1, Baa2 and Placed Under Review for Possible
Downgrade; previously on 12/11/2006 Assigned Baa2
Cl. D-2, Baa2 and Placed Under Review for Possible
Downgrade; previously on 12/11/2006 Assigned Baa2
Cl. E, Baa3 and Placed Under Review for Possible Downgrade;
previously on 12/11/2006 Assigned Baa3
Cl. F, Ba2 and Placed Under Review for Possible Downgrade;
previously on 12/11/2006 Assigned Ba2
Arbor Realty Mortgage Securities Ser 2005-1
Cl. A, Aaa and Placed Under Review for Possible Downgrade;
previously on 1/17/2006 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 1/17/2006 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 1/17/2006 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 1/17/2006 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 1/17/2006 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 1/17/2006 Assigned A3
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 1/17/2006 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 1/17/2006 Assigned Baa2
Cl. H, Baa3 and Placed Under Review for Possible Downgrade;
previously on 1/17/2006 Assigned Baa3
Arbor Realty Mortgage Securities Ser 2006-1
Cl. A-1A, Aaa and Placed Under Review for Possible
Downgrade; previously on 12/20/2006 Assigned Aaa
Cl. A-1AR, Aaa and Placed Under Review for Possible
Downgrade; previously on 12/20/2006 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 12/20/2006 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 12/20/2006 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 12/20/2006 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 12/20/2006 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 12/20/2006 Assigned A3
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 12/20/2006 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 12/20/2006 Assigned Baa2
Cl. H, Baa3 and Placed Under Review for Possible Downgrade;
previously on 12/20/2006 Assigned Baa3
Arbor Realty Mtge Secs Ser. 2004-1, Ltd
Cl. A, Aaa and Placed Under Review for Possible Downgrade;
previously on 1/28/2005 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 1/28/2005 Assigned Aa2
Cl. C, A3 and Placed Under Review for Possible Downgrade;
previously on 1/28/2005 Assigned A3
Cl. D, Baa2 and Placed Under Review for Possible Downgrade;
previously on 1/28/2005 Assigned Baa2
Brascan Real Estate CDO 2004-1, Ltd.
Cl. A, Aaa and Placed Under Review for Possible Downgrade;
previously on 11/2/2004 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 11/2/2004 Assigned Aa2
Cl. C, A3 and Placed Under Review for Possible Downgrade;
previously on 11/2/2004 Assigned A3
Cl. D, Baa3 and Placed Under Review for Possible Downgrade;
previously on 11/2/2004 Assigned Baa3
Cl. E, Ba2 and Placed Under Review for Possible Downgrade;
previously on 11/2/2004 Assigned Ba2
Brascan Structured Notes 2005-2, Ltd.
Cl. A, Aaa and Placed Under Review for Possible Downgrade;
previously on 1/3/2006 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 1/3/2006 Assigned Aa2
Cl. C, A2 and Placed Under Review for Possible Downgrade;
previously on 1/3/2006 Assigned A2
Cl. D, Baa2 and Placed Under Review for Possible Downgrade;
previously on 1/3/2006 Assigned Baa2
Cl. E, Baa3 and Placed Under Review for Possible Downgrade;
previously on 1/3/2006 Assigned Baa3
Capital Trust RE CDO 2004-1 Ltd.
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 10/12/2004 Assigned Aaa
CapitalSource Real Estate Loan Trust 2006-A
Cl. A-1A, Aaa and Placed Under Review for Possible
Downgrade; previously on 1/4/2007 Assigned Aaa
Cl. A-1R, Aaa and Placed Under Review for Possible
Downgrade; previously on 1/4/2007 Assigned Aaa
Cl. A-2A, Aaa and Placed Under Review for Possible
Downgrade; previously on 1/4/2007 Assigned Aaa
Cl. A-2B, Aaa and Placed Under Review for Possible
Downgrade; previously on 1/4/2007 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 1/4/2007 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 1/4/2007 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 1/4/2007 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 1/4/2007 Assigned A3
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 1/4/2007 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 1/4/2007 Assigned Baa2
Cl. H, Baa3 and Placed Under Review for Possible Downgrade;
previously on 1/4/2007 Assigned Baa3
Cl. J, Ba2 and Placed Under Review for Possible Downgrade;
previously on 1/4/2007 Assigned Ba2
CapLease CDO 2005-1 Ltd.
Cl. A, Aaa and Placed Under Review for Possible Downgrade;
previously on 3/11/2005 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 3/11/2005 Assigned Aa2
Cl. C, A2 and Placed Under Review for Possible Downgrade;
previously on 3/11/2005 Assigned A2
Cl. D, Baa2 and Placed Under Review for Possible Downgrade;
previously on 3/11/2005 Assigned Baa2
Cl. E, Baa3 and Placed Under Review for Possible Downgrade;
previously on 3/11/2005 Assigned Baa3
CAPMARK VII - CRE LTD.
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 8/31/2006 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 8/31/2006 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned A3
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned Baa2
Cl. H, Baa3 and Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned Baa3
Cl. J, Ba2 and Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned Ba2
Cl. K, B2 and Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned B2
Carbon Capital II Real Estate CDO 2005-1
Cl. A, Aaa and Placed Under Review for Possible Downgrade;
previously on 10/7/2005 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 10/7/2005 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 10/7/2005 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 10/7/2005 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 10/7/2005 Assigned A3
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 10/7/2005 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 10/7/2005 Assigned Baa2
Cl. H, Baa3 and Placed Under Review for Possible Downgrade;
previously on 10/7/2005 Assigned Baa3
Cl. I, Ba1 and Placed Under Review for Possible Downgrade;
previously on 10/7/2005 Assigned Ba1
Cl. J, Ba2 and Placed Under Review for Possible Downgrade;
previously on 10/7/2005 Assigned Ba2
Concord Real Estate CDO 2006-1 Ltd.
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 12/21/2006 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 12/21/2006 Assigned Aaa
Cl. B, Aa1 and Placed Under Review for Possible Downgrade;
previously on 12/21/2006 Assigned Aa1
Cl. C, Aa2 and Placed Under Review for Possible Downgrade;
previously on 12/21/2006 Assigned Aa2
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 12/21/2006 Assigned A2
Cl. E, Baa1 and Placed Under Review for Possible Downgrade;
previously on 12/21/2006 Assigned Baa1
Cl. F, Baa3 and Placed Under Review for Possible Downgrade;
previously on 12/21/2006 Assigned Baa3
CRESS 2008-1, Ltd.
Class A-1 Notes, Aaa and Placed Under Review for Possible
Downgrade; previously on 1/28/2008 Assigned Aaa
Class A-2 Notes, Aaa and Placed Under Review for Possible
Downgrade; previously on 1/28/2008 Assigned Aaa
Class B Notes, Aa2 and Placed Under Review for Possible Downgrade;
previously on 1/28/2008 Assigned Aa2
Class C Notes, A1 and Placed Under Review for Possible Downgrade;
previously on 1/28/2008 Assigned A1
Class D Notes, A2 and Placed Under Review for Possible Downgrade;
previously on 1/28/2008 Assigned A2
Class E Notes, A3 and Placed Under Review for Possible Downgrade;
previously on 1/28/2008 Assigned A3
CW Capital COBALT II, Ltd.
Cl. A-1A, Aaa and Placed Under Review for Possible
Downgrade; previously on 5/17/2006 Assigned Aaa
Cl. A-1AR, Aaa and Placed Under Review for Possible
Downgrade; previously on 5/17/2006 Assigned Aaa
Cl. A-1B, Aaa and Placed Under Review for Possible
Downgrade; previously on 5/17/2006 Assigned Aaa
Cl. A-2A, Aaa and Placed Under Review for Possible
Downgrade; previously on 5/17/2006 Assigned Aaa
Cl. A-2B, Aaa and Placed Under Review for Possible
Downgrade; previously on 5/17/2006 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 5/17/2006 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 5/17/2006 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 5/17/2006 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 5/17/2006 Assigned A3
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 5/17/2006 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 5/17/2006 Assigned Baa2
Cl. H, Baa3 and Placed Under Review for Possible Downgrade;
previously on 5/17/2006 Assigned Baa3
Cl. J, Ba1 and Placed Under Review for Possible Downgrade;
previously on 5/17/2006 Assigned Ba1
Cl. K, Ba2 and Placed Under Review for Possible Downgrade;
previously on 5/17/2006 Assigned Ba2
CWCapital COBALT I, Ltd.
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 5/17/2005 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 5/17/2005 Assigned Aaa
Cl. B-1, Aa2 and Placed Under Review for Possible
Downgrade; previously on 5/17/2005 Assigned Aa2
Cl. B-2, Aa2 and Placed Under Review for Possible
Downgrade; previously on 5/17/2005 Assigned Aa2
Cl. C, A2 and Placed Under Review for Possible Downgrade;
previously on 5/17/2005 Assigned A2
Cl. D, A3 and Placed Under Review for Possible Downgrade;
previously on 5/17/2005 Assigned A3
Cl. E-1, Baa1 and Placed Under Review for Possible
Downgrade; previously on 5/17/2005 Assigned Baa1
Cl. E-2, Baa1 and Placed Under Review for Possible
Downgrade; previously on 5/17/2005 Assigned Baa1
Cl. F-1, Baa2 and Placed Under Review for Possible
Downgrade; previously on 5/17/2005 Assigned Baa2
Cl. F-2, Baa2 and Placed Under Review for Possible
Downgrade; previously on 5/17/2005 Assigned Baa2
Cl. G, Baa3 and Placed Under Review for Possible Downgrade;
previously on 5/17/2005 Assigned Baa3
FMC Real Estate CDO 2005-1 Ltd.
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 7/20/2005 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 7/20/2005 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 7/20/2005 Assigned Aa2
Cl. C, A2 and Placed Under Review for Possible Downgrade;
previously on 7/20/2005 Assigned A2
Cl. D, Baa1 and Placed Under Review for Possible Downgrade;
previously on 7/20/2005 Assigned Baa1
Cl. E, Baa2 and Placed Under Review for Possible Downgrade;
previously on 7/20/2005 Assigned Baa2
Cl. F, Baa3 and Placed Under Review for Possible Downgrade;
previously on 7/20/2005 Assigned Baa3
Cl. G, Ba2 and Placed Under Review for Possible Downgrade;
previously on 7/20/2005 Assigned Ba2
Cl. H, B2 and Placed Under Review for Possible Downgrade;
previously on 7/20/2005 Assigned B2
Gramercy Real Estate CDO 2005-1 Ltd.
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 7/20/2005 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 7/20/2005 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 7/20/2005 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 7/20/2005 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 7/20/2005 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 7/20/2005 Assigned A3
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 7/20/2005 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 7/20/2005 Assigned Baa2
Cl. H, Baa3 and Placed Under Review for Possible Downgrade;
previously on 7/20/2005 Assigned Baa3
Cl. J, Ba2 and Placed Under Review for Possible Downgrade;
previously on 7/20/2005 Assigned Ba2
Cl. K, B2 and Placed Under Review for Possible Downgrade;
previously on 7/20/2005 Assigned B2
Gramercy Real Estate CDO 2006-1
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 8/31/2006 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 8/31/2006 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned A3
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned Baa2
Cl. H, Baa3 and Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned Baa3
Cl. J, Ba2 and Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned Ba2
Cl. K, B2 and Placed Under Review for Possible Downgrade;
previously on 8/31/2006 Assigned B2
Gramercy Real Estate CDO 2007-1, Ltd.
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 8/15/2007 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 8/15/2007 Assigned Aaa
Cl. A-3, Aaa and Placed Under Review for Possible
Downgrade; previously on 8/15/2007 Assigned Aaa
Cl. B-FL, Aa2 and Placed Under Review for Possible
Downgrade; previously on 8/15/2007 Assigned Aa2
Cl. B-FX, Aa2 and Placed Under Review for Possible
Downgrade; previously on 8/15/2007 Assigned Aa2
Guggenheim Str. Real Estate Fund. 2005-1 Ltd.
Cl. A, Aaa and Placed Under Review for Possible Downgrade;
previously on 1/12/2006 Assigned Aaa
Cl. B, Aa1 and Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Upgraded to Aa1
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Upgraded to A1
Cl. D, A3 and Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Upgraded to A3
Cl. E, Baa2 and Placed Under Review for Possible Downgrade;
previously on 7/26/2007 Upgraded to Baa2
Cl. S, Aaa and Placed Under Review for Possible Downgrade;
previously on 1/12/2006 Assigned Aaa
Guggenheim Struct. Real Estate Fund 2005-2
Cl. A, Aaa and Placed Under Review for Possible Downgrade;
previously on 8/25/2005 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 8/25/2005 Assigned Aa2
Cl. C, A2 and Placed Under Review for Possible Downgrade;
previously on 8/25/2005 Assigned A2
Cl. D, Baa2 and Placed Under Review for Possible Downgrade;
previously on 8/25/2005 Assigned Baa2
Cl. E, Baa3 and Placed Under Review for Possible Downgrade;
previously on 8/25/2005 Assigned Baa3
Cl. F, Ba2 and Placed Under Review for Possible Downgrade;
previously on 8/25/2005 Assigned Ba2
Cl. S, Aaa and Placed Under Review for Possible Downgrade;
previously on 8/25/2005 Assigned Aaa
Guggenheim Struct. Real Estate Fund 2006-3
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 8/17/2006 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 8/17/2006 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 8/17/2006 Assigned Aa2
Cl. C, A2 and Placed Under Review for Possible Downgrade;
previously on 8/17/2006 Assigned A2
Cl. D, Baa1 and Placed Under Review for Possible Downgrade;
previously on 8/17/2006 Assigned Baa1
Cl. E, Baa3 and Placed Under Review for Possible Downgrade;
previously on 8/17/2006 Assigned Baa3
Cl. F, Ba2 and Placed Under Review for Possible Downgrade;
previously on 8/17/2006 Assigned Ba2
Cl. G, B2 and Placed Under Review for Possible Downgrade;
previously on 8/17/2006 Assigned B2
Cl. S, Aaa and Placed Under Review for Possible Downgrade;
previously on 8/17/2006 Assigned Aaa
Guggenheim Struct. Real Estate Fund 2006-4
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 2/2/2007 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 2/2/2007 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 2/2/2007 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 2/2/2007 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 2/2/2007 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 2/2/2007 Assigned A3
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 2/2/2007 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 2/2/2007 Assigned Baa2
Cl. H, Baa3 and Placed Under Review for Possible Downgrade;
previously on 2/2/2007 Assigned Baa3
Cl. J, Ba2 and Placed Under Review for Possible Downgrade;
previously on 2/2/2007 Assigned Ba2
Cl. K, B2 and Placed Under Review for Possible Downgrade;
previously on 2/2/2007 Assigned B2
Cl. S, Aaa and Placed Under Review for Possible Downgrade;
previously on 2/2/2007 Assigned Aaa
Hartford Mezz Investors I CRE CDO 2007-1, Ltd
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 8/13/2007 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 8/13/2007 Assigned Aaa
Cl. A-3, Aaa and Placed Under Review for Possible
Downgrade; previously on 8/13/2007 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 8/13/2007 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 8/13/2007 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 8/13/2007 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 8/13/2007 Assigned A3
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 8/13/2007 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 8/13/2007 Assigned Baa2
Cl. H, Baa3 and Placed Under Review for Possible Downgrade;
previously on 8/13/2007 Assigned Baa3
Cl. J, Ba2 and Placed Under Review for Possible Downgrade;
previously on 8/13/2007 Assigned Ba2
Cl. K, B2 and Placed Under Review for Possible Downgrade;
previously on 8/13/2007 Assigned B2
Highland Park CDO I, LLC
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 1/4/2007 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 1/4/2007 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 1/4/2007 Assigned Aa2
Cl. C, A2 and Placed Under Review for Possible Downgrade;
previously on 1/4/2007 Assigned A2
Cl. D, Baa2 and Placed Under Review for Possible Downgrade;
previously on 1/4/2007 Assigned Baa2
Cl. E, Baa3 and Placed Under Review for Possible Downgrade;
previously on 1/4/2007 Assigned Baa3
Cl. F, Ba2 and Placed Under Review for Possible Downgrade;
previously on 1/4/2007 Assigned Ba2
Legg Mason Real Estate CDO I, Ltd.
Cl. A1-R, Aaa and Placed Under Review for Possible
Downgrade; previously on 8/14/2006 Assigned Aaa
Cl. A1-T, Aaa and Placed Under Review for Possible
Downgrade; previously on 8/14/2006 Assigned Aaa
Cl. A2, Aaa and Placed Under Review for Possible Downgrade;
previously on 8/14/2006 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 8/14/2006 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 8/14/2006 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 8/14/2006 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 8/14/2006 Assigned A3
Cl. F-1, Baa1 and Placed Under Review for Possible
Downgrade; previously on 8/14/2006 Assigned Baa1
Cl. F-2, Baa1 and Placed Under Review for Possible
Downgrade; previously on 8/14/2006 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 8/14/2006 Assigned Baa2
Legg Mason Real Estate CDO II, Corp.
Cl. A-1R, Aaa and Placed Under Review for Possible
Downgrade; previously on 5/23/2007 Assigned Aaa
Cl. A-1T, Aaa and Placed Under Review for Possible
Downgrade; previously on 5/23/2007 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 5/23/2007 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 5/23/2007 Assigned Aa2
Cl. C, A3 and Placed Under Review for Possible Downgrade;
previously on 5/23/2007 Assigned A3
Marathon Real Estate CDO 2006-1, Ltd.
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 5/22/2006 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 5/22/2006 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 5/22/2006 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 5/22/2006 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 5/22/2006 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 5/22/2006 Assigned A3
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 5/22/2006 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 5/22/2006 Assigned Baa2
Cl. H, Baa3 and Placed Under Review for Possible Downgrade;
previously on 5/22/2006 Assigned Baa3
Cl. J, Ba3 and Placed Under Review for Possible Downgrade;
previously on 5/22/2006 Assigned Ba3
Cl. K, B2 and Placed Under Review for Possible Downgrade;
previously on 5/22/2006 Assigned B2
Mesa West Capital CDO, Ltd. 2007-1
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 2/28/2007 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 2/28/2007 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 2/28/2007 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 2/28/2007 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 2/28/2007 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 2/28/2007 Assigned A3
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 2/28/2007 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 2/28/2007 Assigned Baa2
Cl. H, Baa3 and Placed Under Review for Possible Downgrade;
previously on 2/28/2007 Assigned Baa3
Cl. J, Ba2 and Placed Under Review for Possible Downgrade;
previously on 2/28/2007 Assigned Ba2
Cl. K, B2 and Placed Under Review for Possible Downgrade;
previously on 2/28/2007 Assigned B2
Morgan Stanley 2007-XLC1, Ltd.
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 5/9/2007 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 5/9/2007 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 5/9/2007 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 5/9/2007 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 5/9/2007 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 5/9/2007 Assigned A3
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 5/9/2007 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 5/9/2007 Assigned Baa2
Cl. H, Baa3 and Placed Under Review for Possible Downgrade;
previously on 5/9/2007 Assigned Baa3
Cl. J, Ba2 and Placed Under Review for Possible Downgrade;
previously on 5/9/2007 Assigned Ba2
Cl. K, B2 and Placed Under Review for Possible Downgrade;
previously on 5/9/2007 Assigned B2
Newcastle CDO IX 1, Limited
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 5/21/2007 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 5/21/2007 Assigned Aaa
Cl. B, Aa1 and Placed Under Review for Possible Downgrade;
previously on 5/21/2007 Assigned Aa1
Cl. C, Aa2 and Placed Under Review for Possible Downgrade;
previously on 5/21/2007 Assigned Aa2
Cl. D, Aa3 and Placed Under Review for Possible Downgrade;
previously on 5/21/2007 Assigned Aa3
Cl. E, A1 and Placed Under Review for Possible Downgrade;
previously on 5/21/2007 Assigned A1
Cl. F, A2 and Placed Under Review for Possible Downgrade;
previously on 5/21/2007 Assigned A2
Cl. G, A3 and Placed Under Review for Possible Downgrade;
previously on 5/21/2007 Assigned A3
Cl. H, Baa1 and Placed Under Review for Possible Downgrade;
previously on 5/21/2007 Assigned Baa1
Cl. J, Baa2 and Placed Under Review for Possible Downgrade;
previously on 5/21/2007 Assigned Baa2
Cl. K, Baa3 and Placed Under Review for Possible Downgrade;
previously on 5/21/2007 Assigned Baa3
Cl. L, Ba2 and Placed Under Review for Possible Downgrade;
previously on 5/21/2007 Assigned Ba2
Cl. M, B2 and Placed Under Review for Possible Downgrade;
previously on 5/21/2007 Assigned B2
Cl. S, Aaa and Placed Under Review for Possible Downgrade;
previously on 5/21/2007 Assigned Aaa
Newcastle CDO VIII Limited
Cl. I-A, Aaa and Placed Under Review for Possible
Downgrade; previously on 12/18/2006 Assigned Aaa
Cl. I-AR, Aaa and Placed Under Review for Possible
Downgrade; previously on 12/18/2006 Assigned Aaa
Cl. I-B, Aaa and Placed Under Review for Possible
Downgrade; previously on 12/18/2006 Assigned Aaa
Cl. II, Aa1 and Placed Under Review for Possible Downgrade;
previously on 12/18/2006 Assigned Aa1
Cl. III, Aa2 and Placed Under Review for Possible Downgrade;
previously on 12/18/2006 Assigned Aa2
Cl. IV, Aa3 and Placed Under Review for Possible Downgrade;
previously on 12/18/2006 Assigned Aa3
Cl. IX-FL, Baa2 and Placed Under Review for Possible
Downgrade; previously on 12/18/2006 Assigned Baa2
Cl. IX-FX, Baa2 and Placed Under Review for Possible
Downgrade; previously on 12/18/2006 Assigned Baa2
Cl. S, Aaa and Placed Under Review for Possible Downgraded;
previously on 12/18/2006 Assigned Aaa
Cl. V, A1 and Placed Under Review for Possible Downgrade;
previously on 12/18/2006 Assigned A1
Cl. VI, A2 and Placed Under Review for Possible Downgrade;
previously on 12/18/2006 Assigned A2
Cl. VII, A3 and Placed Under Review for Possible Downgrade;
previously on 12/18/2006 Assigned A3
Cl. VIII, Baa1 and Placed Under Review for Possible Downgrade;
previously on 12/18/2006 Assigned Baa1
Cl. X, Baa3 and Placed Under Review for Possible Downgrade;
previously on 12/18/2006 Assigned Baa3
Cl. XII, Ba2 and Placed Under Review for Possible Downgrade;
previously on 12/18/2006 Assigned Ba2
Nomura CRE CDO 2007-2 Ltd.
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 4/10/2007 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 4/10/2007 Assigned Aaa
Cl. A-R, Aaa and Placed Under Review for Possible
Downgrade; previously on 4/10/2007 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 4/10/2007 Assigned Aa2
Cl. C, Aa3 and Placed Under Review for Possible Downgrade;
previously on 4/10/2007 Assigned Aa3
Cl. D, A1 and Placed Under Review for Possible Downgrade;
previously on 4/10/2007 Assigned A1
Cl. E, A2 and Placed Under Review for Possible Downgrade;
previously on 4/10/2007 Assigned A2
Cl. F, A3 and Placed Under Review for Possible Downgrade;
previously on 4/10/2007 Assigned A3
Cl. G, Baa1 and Placed Under Review for Possible Downgrade;
previously on 4/10/2007 Assigned Baa1
Cl. H, Baa2 and Placed Under Review for Possible Downgrade;
previously on 4/10/2007 Assigned Baa2
Cl. J, Baa3 and Placed Under Review for Possible Downgrade;
previously on 4/10/2007 Assigned Baa3
Cl. K, Ba1 and Placed Under Review for Possible Downgrade;
previously on 4/10/2007 Assigned Ba1
Cl. L, Ba2 and Placed Under Review for Possible Downgrade;
previously on 4/10/2007 Assigned Ba2
Cl. M, Ba3 and Placed Under Review for Possible Downgrade;
previously on 4/10/2007 Assigned Ba3
Cl. N, B1 and Placed Under Review for Possible Downgrade;
previously on 4/10/2007 Assigned B1
Cl. O, B3 and Placed Under Review for Possible Downgrade;
previously on 4/10/2007 Assigned B3
N-Star REL CDO IV Ltd.
Cl. A, Aaa and Placed Under Review for Possible Downgrade;
previously on 7/27/2005 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 7/27/2005 Assigned Aa2
Cl. C, A2 and Placed Under Review for Possible Downgrade;
previously on 7/27/2005 Assigned A2
Cl. D, Baa2 and Placed Under Review for Possible Downgrade;
previously on 7/27/2005 Assigned Baa2
Cl. E, Baa3 and Placed Under Review for Possible Downgrade;
previously on 7/27/2005 Assigned Baa3
Cl. F, Ba2 and Placed Under Review for Possible Downgrade;
previously on 7/27/2005 Assigned Ba2
Cl. G, B2 and Placed Under Review for Possible Downgrade;
previously on 7/27/2005 Assigned B2
N-Star REL CDO VI Ltd.
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 3/22/2006 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 3/22/2006 Assigned Aaa
Cl. A-R, Aaa and Placed Under Review for Possible
Downgrade; previously on 3/22/2006 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned A1
Cl. D, A3 and Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned A3
Cl. E, Baa1 and Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned Baa1
Cl. F, Baa2 and Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned Baa2
Cl. G, Baa3 and Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned Baa3
Cl. H, Ba2 and Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned Ba2
Cl. J, Ba3 and Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned Ba3
Cl. K, B2 and Placed Under Review for Possible Downgrade;
previously on 3/22/2006 Assigned B2
N-Star REL CDO VIII Ltd.
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 12/20/2006 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 12/20/2006 Assigned Aaa
Cl. A-R, Aaa and Placed Under Review for Possible
Downgrade; previously on 12/20/2006 Assigned Aaa
Cl. B, Aa1 and Placed Under Review for Possible Downgrade;
previously on 12/20/2006 Assigned Aa1
Cl. C, Aa2 and Placed Under Review for Possible Downgrade;
previously on 12/20/2006 Assigned Aa2
Cl. D, Aa3 and Placed Under Review for Possible Downgrade;
previously on 12/20/2006 Assigned Aa3
Cl. E, A1 and Placed Under Review for Possible Downgrade;
previously on 12/20/2006 Assigned A1
Cl. F, A2 and Placed Under Review for Possible Downgrade;
previously on 12/20/2006 Assigned A2
Cl. H, Baa1 and Placed Under Review for Possible Downgrade;
previously on 12/20/2006 Assigned Baa1
Cl. J, Baa2 and Placed Under Review for Possible Downgrade;
previously on 12/20/2006 Assigned Baa2
Cl. K, Baa3 and Placed Under Review for Possible Downgrade;
previously on 12/20/2006 Assigned Baa3
Cl. L, Ba1 and Placed Under Review for Possible Downgrade;
previously on 12/20/2006 Assigned Ba1
Cl. M, Ba2 and Placed Under Review for Possible Downgrade;
previously on 12/20/2006 Assigned Ba2
Cl. N, Ba3 and Placed Under Review for Possible Downgrade;
previously on 12/20/2006 Assigned Ba3
Petra CRE CDO 2007-1, Ltd.
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 6/28/2007 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 6/28/2007 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 6/28/2007 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 6/28/2007 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 6/28/2007 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 6/28/2007 Assigned A3
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 6/28/2007 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 6/28/2007 Assigned Baa2
Cl. H, Baa3 and Placed Under Review for Possible Downgrade;
previously on 6/28/2007 Assigned Baa3
Cl. J, Ba2 and Placed Under Review for Possible Downgrade;
previously on 6/28/2007 Assigned Ba2
Cl. K, B2 and Placed Under Review for Possible Downgrade;
previously on 6/28/2007 Assigned B2
Prima Capital CDO 2005-1 Ltd.
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 6/1/2005 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 6/1/2005 Assigned Aaa
Cl. B, Aaa and Placed Under Review for Possible Downgrade;
previously on 10/8/2007 Upgraded to Aaa
Cl. C, Aa2 and Placed Under Review for Possible Downgrade;
previously on 10/8/2007 Upgraded to Aa2
Cl. D, A3 and Placed Under Review for Possible Downgrade;
previously on 6/1/2005 Assigned A3
Cl. E, Baa2 and Placed Under Review for Possible Downgrade;
previously on 6/1/2005 Assigned Baa2
Cl. F, Baa3 and Placed Under Review for Possible Downgrade;
previously on 6/1/2005 Assigned Baa3
Cl. G, Ba2 and Placed Under Review for Possible Downgrade;
previously on 6/1/2005 Assigned Ba2
Cl. H, B2 and Placed Under Review for Possible Downgrade;
previously on 6/1/2005 Assigned B2
Prima Capital CRE Securitization 2006-1 Ltd.
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 11/20/2006 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 11/20/2006 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 11/20/2006 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 11/20/2006 Assigned A1
Cl. D, A3 and Placed Under Review for Possible Downgrade;
previously on 11/20/2006 Assigned A3
Cl. E, Baa1 and Placed Under Review for Possible Downgrade;
previously on 11/20/2006 Assigned Baa1
Cl. F, Baa2 and Placed Under Review for Possible Downgrade;
previously on 11/20/2006 Assigned Baa2
Cl. G, Baa3 and Placed Under Review for Possible Downgrade;
previously on 11/20/2006 Assigned Baa3
Cl. H, Ba2 and Placed Under Review for Possible Downgrade;
previously on 11/20/2006 Assigned Ba2
Cl. J, B2 and Placed Under Review for Possible Downgrade;
previously on 11/20/2006 Assigned B2
Cl. K, B3 and Placed Under Review for Possible Downgrade;
previously on 11/20/2006 Assigned B3
RAIT CRE CDO I, Ltd.
Cl. A-1A, Aaa and Placed Under Review for Possible
Downgrade; previously on 11/20/2006 Assigned Aaa
Cl. A-1B, Aaa and Placed Under Review for Possible
Downgrade; previously on 11/20/2006 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 11/20/2006 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 11/20/2006 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 11/20/2006 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 11/20/2006 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 11/20/2006 Assigned A3
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 11/20/2006 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 11/20/2006 Assigned Baa2
Cl. H, Baa3 and Placed Under Review for Possible Downgrade;
previously on 11/20/2006 Assigned Baa3
Cl. J, Ba2 and Placed Under Review for Possible Downgrade;
previously on 11/20/2006 Assigned Ba2
RAIT Preferred Funding II. Ltd.
Cl. A-1R, Aaa and Placed Under Review for Possible
Downgrade; previously on 6/13/2007 Assigned Aaa
Cl. A-1T, Aaa and Placed Under Review for Possible
Downgrade; previously on 6/13/2007 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 6/13/2007 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 6/13/2007 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 6/13/2007 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 6/13/2007 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 6/13/2007 Assigned A3
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 6/13/2007 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 6/13/2007 Assigned Baa2
Cl. H, Baa3 and Placed Under Review for Possible Downgrade;
previously on 6/13/2007 Assigned Baa3
Cl. J, Ba2 and Placed Under Review for Possible Downgrade;
previously on 6/13/2007 Assigned Ba2
Resource Real Estate Funding CDO 2006-1, Ltd.
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 8/22/2006 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Assigned A1
Cl. D, A3 and Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Assigned A3
Cl. E, Baa1 and Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Assigned Baa1
Cl. F, Baa2 and Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Assigned Baa2
Cl. G, Baa3 and Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Assigned Baa3
Cl. J, Ba2 and Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Assigned Ba2
Cl. K, B2 and Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Assigned B2
Resource Real Estate Funding CDO 2007-1 Ltd.
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 6/27/2007 Assigned Aaa
Cl. A-1R, Aaa and Placed Under Review for Possible
Downgrade; previously on 6/27/2007 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 6/27/2007 Assigned Aaa
Cl. B, Aa1 and Placed Under Review for Possible Downgrade;
previously on 6/27/2007 Assigned Aa1
Cl. C, Aa2 and Placed Under Review for Possible Downgrade;
previously on 6/27/2007 Assigned Aa2
Cl. D, Aa3 and Placed Under Review for Possible Downgrade;
previously on 6/27/2007 Assigned Aa3
Cl. E, A1 and Placed Under Review for Possible Downgrade;
previously on 6/27/2007 Assigned A1
Cl. F, A2 and Placed Under Review for Possible Downgrade;
previously on 6/27/2007 Assigned A2
Cl. G, A3 and Placed Under Review for Possible Downgrade;
previously on 6/27/2007 Assigned A3
Cl. H, Baa1 and Placed Under Review for Possible Downgrade;
previously on 6/27/2007 Assigned Baa1
Cl. J, Baa2 and Placed Under Review for Possible Downgrade;
previously on 6/27/2007 Assigned Baa2
Cl. K, Baa3 and Placed Under Review for Possible Downgrade;
previously on 6/27/2007 Assigned Baa3
Cl. L, Ba2 and Placed Under Review for Possible Downgrade;
previously on 6/27/2007 Assigned Ba2
Cl. M, B2 and Placed Under Review for Possible Downgrade;
previously on 6/27/2007 Assigned B2
RFC CDO 2006-1, Ltd
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 3/29/2006 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 3/29/2006 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 3/29/2006 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 3/29/2006 Assigned A1
Cl. D, A3 and Placed Under Review for Possible Downgrade;
previously on 3/29/2006 Assigned A3
Cl. E, Baa1 and Placed Under Review for Possible Downgrade;
previously on 3/29/2006 Assigned Baa1
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 3/29/2006 Assigned Baa1
Cl. G, Baa3 and Placed Under Review for Possible Downgrade;
previously on 3/29/2006 Assigned Baa3
Cl. J, Ba2 and Placed Under Review for Possible Downgrade;
previously on 3/29/2006 Assigned Ba2
Cl. K, B2 and Placed Under Review for Possible Downgrade;
previously on 3/29/2006 Assigned B2
RFC CDO 2007-1, Ltd
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 4/25/2007 Assigned Aaa
Cl. A-1R, Aaa and Placed Under Review for Possible
Downgrade; previously on 4/25/2007 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 4/25/2007 Assigned Aaa
Cl. A-2R, Aaa and Placed Under Review for Possible
Downgrade; previously on 4/25/2007 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 4/25/2007 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 4/25/2007 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 4/25/2007 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 4/25/2007 Assigned A3
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 4/25/2007 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 4/25/2007 Assigned Baa2
Cl. H, Baa3 and Placed Under Review for Possible Downgrade;
previously on 4/25/2007 Assigned Baa3
Cl. J, Ba1 and Placed Under Review for Possible Downgrade;
previously on 4/25/2007 Assigned Ba1
Cl. K, Ba2 and Placed Under Review for Possible Downgrade;
previously on 4/25/2007 Assigned Ba2
Cl. L, Ba3 and Placed Under Review for Possible Downgrade;
previously on 4/25/2007 Assigned Ba3
ROCK 1 CRE CDO
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 12/19/2006 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 12/19/2006 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 12/19/2006 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 12/19/2006 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 12/19/2006 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 12/19/2006 Assigned A3
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 12/19/2006 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 12/19/2006 Assigned Baa2
Cl. H, Baa3 and Placed Under Review for Possible Downgrade;
previously on 12/19/2006 Assigned Baa3
Cl. J, Ba1 and Placed Under Review for Possible Downgrade;
previously on 12/19/2006 Assigned Ba1
Cl. K, Ba2 and Placed Under Review for Possible Downgrade;
previously on 12/19/2006 Assigned Ba2
Cl. L, Ba3 and Placed Under Review for Possible Downgrade;
previously on 12/19/2006 Assigned Ba3
Cl. M, B1 and Placed Under Review for Possible Downgrade;
previously on 12/19/2006 Assigned B1
Cl. N, B2 and Placed Under Review for Possible Downgrade;
previously on 12/19/2006 Assigned B2
Cl. O, B3 and Placed Under Review for Possible Downgrade;
previously on 12/19/2006 Assigned B3
Sandelman Realty CRE CDO I
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 3/23/2007 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 3/23/2007 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 3/23/2007 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 3/23/2007 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 3/23/2007 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 3/23/2007 Assigned A3
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 3/23/2007 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 3/23/2007 Assigned Baa2
Cl. H, Baa3 and Placed Under Review for Possible Downgrade;
previously on 3/23/2007 Assigned Baa3
Cl. J, Ba2 and Placed Under Review for Possible Downgrade;
previously on 3/23/2007 Assigned Ba2
Cl. K, B2 and Placed Under Review for Possible Downgrade;
previously on 3/23/2007 Assigned B2
Cl. L, B3 and Placed Under Review for Possible Downgrade;
previously on 3/23/2007 Assigned B3
Cl. S, Aaa and Placed Under Review for Possible Downgrade;
previously on 3/23/2007 Assigned Aaa
SASCO 2008-C2, LLC
SASCO 2008-C2, LLC Secured Floating Rate Term Note,
B3 and Placed Under Review for Possible Downgrade; previously on
9/18/2008 Downgraded to B3
Sorin Real Estate CDO IV Ltd.
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 9/11/2006 Assigned Aaa
Cl. A-2, Aaa and Placed Under Review for Possible
Downgrade; previously on 9/11/2006 Assigned Aaa
Cl. A-3, Aa1 and Placed Under Review for Possible
Downgrade; previously on 9/11/2006 Assigned Aa1
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 9/11/2006 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 9/11/2006 Assigned A1
Cl. D, A3 and Placed Under Review for Possible Downgrade;
previously on 9/11/2006 Assigned A3
Cl. E, Baa1 and Placed Under Review for Possible Downgrade;
previously on 9/11/2006 Assigned Baa1
Cl. F, Baa3 and Placed Under Review for Possible Downgrade;
previously on 9/11/2006 Assigned Baa3
Cl. G, Ba2 and Placed Under Review for Possible Downgrade;
previously on 9/11/2006 Assigned Ba2
Spring Asset Funding LTD.
Cl. A, Aaa and Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned A3
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Baa2
Cl. H, Baa3 and Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Baa3
Cl. J, Ba1 and Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Ba1
Cl. K, Ba2 and Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Ba2
Cl. L, Ba3 and Placed Under Review for Possible Downgrade;
previously on 11/3/2006 Assigned Ba3
Wachovia CRE CDO 2006-1
Cl. A-1A, Aaa and Placed Under Review for Possible
Downgrade; previously on 7/19/2006 Assigned Aaa
Cl. A-1B, Aaa and Placed Under Review for Possible
Downgrade; previously on 7/19/2006 Assigned Aaa
Cl. A-2A, Aaa and Placed Under Review for Possible
Downgrade; previously on 7/19/2006 Assigned Aaa
Cl. A-2B, Aaa and Placed Under Review for Possible
Downgrade; previously on 7/19/2006 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 7/19/2006 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 7/19/2006 Assigned A1
Cl. D, A2 and Placed Under Review for Possible Downgrade;
previously on 7/19/2006 Assigned A2
Cl. E, A3 and Placed Under Review for Possible Downgrade;
previously on 7/19/2006 Assigned A3
Cl. F, Baa1 and Placed Under Review for Possible Downgrade;
previously on 7/19/2006 Assigned Baa1
Cl. G, Baa2 and Placed Under Review for Possible Downgrade;
previously on 7/19/2006 Assigned Baa2
Cl. H, Baa3 and Placed Under Review for Possible Downgrade;
previously on 7/19/2006 Assigned Baa3
Cl. J, Ba1 and Placed Under Review for Possible Downgrade;
previously on 7/19/2006 Assigned Ba1
Cl. K, Ba2 and Placed Under Review for Possible Downgrade;
previously on 7/19/2006 Assigned Ba2
Cl. L, Ba3 and Placed Under Review for Possible Downgrade;
previously on 7/19/2006 Assigned Ba3
Cl. M, B1 and Placed Under Review for Possible Downgrade;
previously on 7/19/2006 Assigned B1
Cl. N, B2 and Placed Under Review for Possible Downgrade;
previously on 7/19/2006 Assigned B2
Cl. O, B3 and Placed Under Review for Possible Downgrade;
previously on 7/19/2006 Assigned B3
Wrightwood Capital Real Estate CDO 2005-1
Cl. A-1, Aaa and Placed Under Review for Possible
Downgrade; previously on 11/29/2005 Assigned Aaa
Cl. A-R, Aaa and Placed Under Review for Possible
Downgrade; previously on 11/29/2005 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 11/29/2005 Assigned Aa2
Cl. C, A1 and Placed Under Review for Possible Downgrade;
previously on 11/29/2005 Assigned A1
Cl. D, A3 and Placed Under Review for Possible Downgrade;
previously on 11/29/2005 Assigned A3
Cl. E, Baa1 and Placed Under Review for Possible Downgrade;
previously on 11/29/2005 Assigned Baa1
Cl. F, Baa3 and Placed Under Review for Possible Downgrade;
previously on 11/29/2005 Assigned Baa3
Cl. G, Ba1 and Placed Under Review for Possible Downgrade;
previously on 11/29/2005 Assigned Ba1
Cl. H, Ba3 and Placed Under Review for Possible Downgrade;
previously on 11/29/2005 Assigned Ba3
This press release updates the modeling parameters in Moody's current
CRE CDO methodologies:
• "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.
For more information please see www.moodys.com.
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 places 52 US CRE CDOs on review for possible downgrade
