/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/110327.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, March 27, 2011, Vol. 15, No. 85 Headlines ABFS MORTGAGE: Moody's Downgrades Ratings on 17 Tranches AMMC CLO: Moody's Upgrades Ratings on Five Classes of Notes ARC MORTGAGE: Moody's Downgrades Ratings on 36 Tranches ARES VIR: S&P Raises Ratings on Various Classes of Notes ARGENT SECURITIES: Moody's Downgrades Ratings on 131 Tranches BANC OF AMERICA: Fitch Downgrades Ratings on 17 Classes of Notes BANC OF AMERICA: Moody's Affirms Ratings on 22 CMBS Classes BANC OF AMERICA: Moody's Affirms Ratings on Nine Certificates CAPTEC FRANCHISE: Moody's Upgrades Ratings on Three Classes CBA COMMERCIAL: S&P Downgrades Ratings on Four 2005-1 Certs. CENTEX HOME: Moody's Downgrades Ratings on 91 Tranches CENTURION CDO: Moody's Upgrades Ratings on Various Classes CREDIT SUISSE: Moody's Affirms Ratings on 15 2005-C2 Certificates CHRYSLER FINANCIAL: Moody's Upgrades Ratings on Nine Tranches CIT GROUP: Moody's Assigns 'B3' Rating to New Secured Notes COUNTRYWIDE MORTGAGE: Moody's Downgrades Ratings on 88 Tranches CS FIRST: Moody's Downgrades Ratings on 206 Tranches DLJ COMMERCIAL: Moody's Affirms Ratings on 1999-CG2 Certs. DLJ MORTGAGE: S&P Affirms 'B-' Rating on Class B-3OC Certs. E*TRADE ABS: Fitch Downgrades Rating on Class A-1 to 'B' FAIRBANKS CAPITAL: Moody's Downgrades Ratings on 12 Tranches FAIRFIELD STREET: Moody's Cuts Ratings on 11 Classes of Notes FALCON AUTO: Fitch Gives Ratings on Various Classes of Notes FFCA SECURED: Moody's Upgrades Ratings on Various Classes of Notes FIRST 2004-I: Moody's Upgrades Ratings on Various Classes FIRST UNION: Fitch Downgrades Ratings on Four 2001-C3 Certs. FIRST UNION-LEHMAN: Moody's Affirms Ratings on 10 1998-C2 Certs. FMAC LOAN: Moody's Upgrades Ratings on Various Classes of Certs. FREMONT HOME: Moody's Downgrades Ratings on 71 Tranches GMAC COMMERCIAL: S&P Downgrades Ratings on Six 2002-C2 Notes GS MORTGAGE: DBRS Assigns Provisional Rating of Class E at 'BB' GSMCS 2011-GC3: Moody's Assigns Ratings on 10 2011-GC3 Certs. GULF STREAM-COMPASS: S&P Raises Ratings on Various Classes HALCYON 2005-2: Moody's Downgrades Ratings on Various Classes HARBORVIEW MORTGAGE: Moody's Downgrades Ratings on 118 Tranches HIGHLAND LOAN: Moody's Downgrades Ratings on Various Notes INDEPENDENCE I: Moody's Affirms Ratings on Two Classes of Notes IXIS REAL: Moody's Downgrades Ratings on Three Tranches JP MORGAN: Moody's Affirms Ratings on 11 Series 2002-C3 Certs. JP MORGAN: S&P Assigns Ratings on 2011-C3 $1.49 Bil. Certs. JPMCC 2011-C3: Fitch Assigns Ratings on Various Certificates KINGSLAND III: S&P Raises Ratings on Various Classes of Notes LORAIN COUNTY: S&P Cuts Long-Term Rating on Housing Bonds to 'B' MARATHON CLO: Moody's Upgrades Ratings on Various Classes MARQUETTE US/EUROPEAN: Moody's Upgrades Ratings on Various Notes MERRILL LYNCH: Fitch Downgrades Ratings on Seven 2003-KEY1 Certs. MERRILL LYNCH: Moody's Downgrades Ratings on 80 Tranches MERRILL LYNCH: Moody's Upgrades Ratings on Five Certificates METROPOLITAN ASSET: Moody's Downgrades Ratings on Six Tranches MORGAN STANLEY: Moody's Upgrades Ratings on Two 1999-RM1 Certs. N-45 FIRST: Fitch Affirms Ratings on Six Classes of Notes NEW CENTURY: Moody's Downgrades Ratings on 97 Tranches NYLIM FLATIRON: S&P Raises Ratings on Various Classes of Notes OPTION ONE: Moody's Downgrades Ratings on 92 Tranches OWNIT MORTGAGE: Moody's Downgrades Ratings on Five Tranches PACIFIC SHORES: Fitch Affirms Ratings on Four Classes of Notes PARK PLACE: Moody's Downgrades Ratings on 42 Tranches PEOPLE'S CHOICE: Moody's Downgrades Ratings on 11 Tranches PHOENIX CLO: Moody's Upgrades Ratings on Various Classes of Notes PHOENIX INDUSTRIAL: S&P Downgrades Rating on Bonds to 'BB+' POPULAR ABS: Moody's Corrects Press Release on Note Ratings REAL ESTATE: Moody's Affirms Low-B Ratings on 6 Classes of Certs. REAL ESTATE: Moody's Affirms Ratings on 18 Classes of Certs. RITE AID: Moody's Affirms Ratings on 1999-1 Certificates SCHOONER TRUST: Moody's Affirms Ratings on 13 2004-CF2 Certs. SKY LAKES: Fitch Takes Rating Actions on Various Classes of Notes SLATE CDO: Moody's Downgrades Ratings on Two Classes of Notes STRUCTURED ASSET: Moody's Downgrades Ratings on 131 Tranches STRUCTURED ASSET: Moody's Lifts Ratings on 2003-1 Units to 'Ba1' TERWIN MORTGAGE: S&P Corrects Rating on Class A-1B From 'CCC' TIERS CORPORATE: S&P Withdraws 'D' Ratings on $42 Mil. Bonds TOPIARY CAPITAL: S&P Puts 'BB+' Rating on CreditWatch Negative UNITED ARTISTS: Moody's Upgrades Rating on 1995-A Certs. to 'B3' WACHOVIA BANK: Fitch Downgrades Ratings on 2006-C28 Certificates WHITEHORSE I: Moody's Upgrades Ratings on Various Classes YONKERS INDUSTRIAL: Moody's Confirms 'Ba1' Rating to Housing Bonds * Fitch Downgrades Ratings on 18 Bonds From 10 RMBS Transactions * S&P Downgrades Ratings on 133 Classes From 44 RMBS Transactions * S&P Downgrades Ratings on 450 Certs. From 286 RMBS Transactions ********* ABFS MORTGAGE: Moody's Downgrades Ratings on 17 Tranches -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 17 tranches and confirmed the ratings of 1 tranche from 13 Subprime deals issued by ABFS. The collateral backing these deals primarily consists of first lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools issued from prior 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated in 2004 and prior). The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Certain securities, as noted below, are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: ABFS Mortgage Loan Trust 2000-1 -- Cl. A-1, Downgraded to Caa3 (sf); previously on Apr 16, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to Caa3 (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: ABFS Mortgage Loan Trust 2000-3 -- Cl. A, Confirmed at Caa2 (sf); previously on Apr 16, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Confirmed at Caa2 (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: ABFS Mortgage Loan Trust 2000-4 -- Cl. A, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to Caa3 (sf); previously on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: ABFS Mortgage Loan Trust 2001-1 -- Cl. A-1, Current rating at B3 (sf); previously on Jul 2, 2009 Downgraded to B3 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Underlying Rating: Downgraded to Caa3 (sf); previously on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: ABFS Mortgage Loan Trust 2001-2, Mortgage Pass-Through Certificates, Series 2001-2 -- Cl. A-1, Current rating at B3 (sf); previously on Jul 2, 2009 Downgraded to B3 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Underlying Rating: Downgraded to Caa3 (sf); previously on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Current rating at B3 (sf); previously on Feb 18, 2009 Downgraded to B3 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Underlying Rating: Downgraded to Ca (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: ABFS Mortgage Loan Trust 2001-3 -- Cl. A-1, Downgraded to B3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) --Underlying Rating: Downgraded to Caa1 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Current rating at B3 (sf); previously on Feb 18, 2009 Downgraded to B3 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Underlying Rating: Downgraded to Ca (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: ABFS Mortgage Loan Trust 2001-4, Mortgage-Backed Notes, Series 2001-4 -- Cl. A, Current rating at B3 (sf); previously on Jul 2, 2009 Downgraded to B3 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Underlying Rating: Downgraded to Caa3 (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: ABFS Mortgage Loan Trust 2002-1 -- Cl. A-5, Downgraded to Caa3 (sf); previously on Apr 16, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Underlying Rating: Downgraded to Caa3 (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: ABFS Mortgage Loan Trust 2002-2 -- Cl. M-1, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: ABFS Mortgage Loan Trust 2002-3 -- Cl. M-1, Downgraded to Caa2 (sf); previously on Jul 2, 2009 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: ABFS Mortgage Loan Trust 2002-4 -- Cl. M-1, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: ABFS Mortgage Loan Trust 2003-1 -- Cl. A, Downgraded to Aa3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: ABFS Mortgage Loan Trust 2003-2 -- Cl. B, Downgraded to C (sf); previously on Jul 2, 2009 Downgraded to B2 (sf) AMMC CLO: Moody's Upgrades Ratings on Five Classes of Notes ----------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by AMMC CLO VI, Limited: -- US$63,250,000 Class A-1-B Notes due 2018, upgraded to Aa2(sf); previously on July 21, 2009 Downgraded to A1(sf); -- US$70,000,000 Class A-2 Notes due 2018, Upgraded to Aa2(sf); previously on July 21, 2009 Downgraded to Aa3 (sf); -- US$17,500,000 Class B Notes due 2018, Upgraded to A2(sf); previously on July 21, 2009 Downgraded to Baa1(sf); -- US$28,750,000 Class C Notes due 2018, Upgraded to Baa2(sf); previously on July 21, 2009 Downgraded to Ba2(sf); -- US$35,000,000 Class D Notes due 2018, Upgraded to B2(sf); previously on July 21, 2009 Downgraded to Caa3(sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from improvement in the credit quality of the underlying portfolio and an increase in the overcollateralization ratios of the notes since the July 2009 rating action. Improvement in the credit quality is observed through an improvement in the average credit rating (as measured by the weighted average rating factor). As of the trustee report dated February 15, 2011, the weighted average rating factor is currently 2488 (excluding Modifier) compared to 2915 (excluding Modifier) in the June 2009 report. Additionally, defaulted securities total about $5million of the underlying portfolio compared to $24million in 2009. Securities rated Caa and below also declined to 7% from 15%. The overcollateralization ratio of the rated notes have also improved since the rating action. The Senior Overcollateralization Ratio Test is reported at 118.24% versus 114.49%. It is currently in compliance. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par balance of $475million, defaulted par of $5million, a weighted average default probability of 23% (implying a WARF of 3510, excluding Modifier), a weighted average recovery rate upon default of 43% and a diversity score of 83. These default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends, and collateral manager latitude for trading the collateral are also factors. AMMC CLO VI, Limited, issued in June 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. This is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF - 20% (2808) -- Class A1R: 0 -- Class A1A: 0 -- Class A1B: +1 -- Class A2: +1 -- Class B: +3 -- Class C: +3 -- Class D: +1 Moody's Adjusted WARF +20% (4212) -- Class A1R: 0 -- Class A1A: 0 -- Class A1B: -2 -- Class A2: -2 -- Class B: -1 -- Class C: -1 -- Class D: -2 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. ARC MORTGAGE: Moody's Downgrades Ratings on 36 Tranches ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 36 tranches from 10 Subprime deals issued by ARC Mortgage Trust. The collateral backing these deals primarily consists of first lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools issued from prior 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated in 2004 and prior). The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Amortizing Residential Collateral Trust 2002-BC8 -- Cl. A1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A3, Downgraded to A3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-SIO, Downgraded to A3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Ca (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Amortizing Residential Collateral Trust 2002-BC9 -- Cl. M1, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Amortizing Residential Collateral Trust 2004-1 -- Cl. M1, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Ba1 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to B2 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M6, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M7, Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M8, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Amortizing Residential Collateral Trust Mortgage Pass- Through Certificates, Series 2001-BC6 -- Cl. A, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Amortizing Residential Collateral Trust Mortgage Pass- Through Certificates, Series 2002-BC1 -- Cl. A, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Amortizing Residential Collateral Trust Mortgage Pass- Through Certificates, Series 2002-BC2 -- Cl. A, Downgraded to B3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to C (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Amortizing Residential Collateral Trust, Series 2002-BC3 -- Cl. A, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M1, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: Amortizing Residential Collateral Trust, Series 2002-BC4 -- Cl. M1, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to B2 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Ca (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Amortizing Residential Collateral Trust, Series 2002-BC5 -- Cl. M1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to B2 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Amortizing Residential Collateral Trust, Series 2002-BC6 -- Cl. A1, Downgraded to Ba2 (sf); previously on Sep 18, 2002 Assigned Aaa (sf) -- Cl. A2, Downgraded to Ba2 (sf); previously on Sep 18, 2002 Assigned Aaa (sf) -- Cl. A4, Downgraded to Ba2 (sf); previously on Sep 18, 2002 Assigned Aaa (sf) -- Cl. M1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to Ca (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade ARES VIR: S&P Raises Ratings on Various Classes of Notes -------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B, C-1, C-2, and D notes from Ares VIR CLO Ltd., a collateralized loan obligation transaction managed by Ares Management LLC. At the same time, S&P affirmed its ratings on the class A-1A, A-1B, A-1C, and A-2 notes, and S&P removed its rating on the class A-1A, A-1C, A-2, and B notes from CreditWatch, where S&P placed them with positive implications on Jan. 3, 2011. The upgrades reflect improved performance S&P has observed in the deal's underlying asset portfolio since S&P lowered its ratings on most of the notes on March 26, 2010, following the application of S&P's September 2009 corporate CDO criteria. As of the Feb. 3, 2011 trustee report, the transaction had $7.01 million of defaulted assets and approximately $17.36 million in assets from obligors with ratings equal to or lower than 'CCC+'. This was down from $15.59 million in defaults and approximately $54.93 million in assets from obligors with ratings equal to or lower than 'CCC+' noted in the Feb. 3, 2010, trustee report, which S&P referenced for its March 2010 rating actions. In addition, since S&P's last rating action, approximately $17.57 million in excess interest proceeds have been deposited into the principal collection account to cover losses that the deal has experienced. The transaction has benefited from an increase in the overcollateralization available to support the rated notes. The trustee reported these par value (O/C) ratio in the Feb. 3, 2011 monthly report: * The class A/B par value ratio was 124.76%, compared with a reported ratio of 118.44% in February 2010. * The affirmations on the ratings on the class A-1A, A-1B, A-1C, and A-2 notes reflect S&P's opinion of the availability of sufficient credit support at the current rating levels. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as S&P deems necessary. Rating And Creditwatch Actions Ares VIR CLO Ltd. Rating ------ Class To From ----- -- ---- A-1A AA+ (sf) AA+ (sf)/Watch Pos A-1C AA+ (sf) AA+ (sf)/Watch Pos A-2 AA+ (sf) AA+ (sf)/Watch Pos B AA- (sf) A+ (sf)/Watch Pos C-1 A+ (sf) BBB+ (sf) C-2 A+ (sf) BBB+ (sf) D BBB (sf) BB+ (sf) Rating Affirmed Ares VIR CLO Ltd. Class Rating ----- ------ A-1B AAA (sf) ARGENT SECURITIES: Moody's Downgrades Ratings on 131 Tranches ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 131 tranches and confirmed the ratings of 5 tranches from 22 Subprime deals issued by Argent Securities Inc. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005. The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Argent Securities Inc., Series 2003-W1 -- Cl. MV-6, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-6, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to A3 (sf); previously on Aug 23, 2006 Upgraded to A1 (sf) -- Cl. M-3, Downgraded to Baa3 (sf); previously on Aug 28, 2003 Assigned A3 (sf) -- Cl. M-4, Downgraded to Ba1 (sf); previously on Aug 28, 2003 Assigned Baa1 (sf) -- Cl. M-5, Downgraded to B2 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Argent Securities Inc., Series 2003-W10 -- Cl. M-1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Argent Securities Inc., Series 2003-W2 -- Cl. M-3, Downgraded to Baa3 (sf); previously on Sep 11, 2003 Assigned A3 (sf) -- Cl. M-4, Downgraded to Ba2 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to B3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Argent Securities Inc., Series 2003-W3 -- Cl. MV-6, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. MF-6, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A1 (sf); previously on Sep 29, 2003 Assigned Aa2 (sf) -- Cl. M-2, Downgraded to B2 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Argent Securities Inc., Series 2003-W4 -- Cl. M-1, Downgraded to A3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Argent Securities Inc., Series 2003-W5 -- Cl. MV-6, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-6, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa2 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Argent Securities Inc., Series 2003-W6 -- Cl. M-2, Downgraded to Ca (sf); previously on Jan 28, 2004 Assigned Baa2 (sf) -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Argent Securities Inc., Series 2003-W7 -- Cl. M-1, Downgraded to Ba2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3B, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4B, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Confirmed at Ca (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Argent Securities Inc., Series 2003-W8 -- Cl. M-1, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Confirmed at Ca (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Argent Securities Inc., Series 2003-W9 -- Cl. M-1, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa1 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3B, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4B, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Argent Securities Inc., Series 2004-PW1 -- Cl. M-2, Confirmed at Aa2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Argent Securities Inc., Series 2004-W1 -- Cl. M-1, Downgraded to Ba3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Confirmed at Ca (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Argent Securities Inc., Series 2004-W10 -- Cl. M-1, Downgraded to A3 (sf); previously on Oct 18, 2004 Assigned Aa1 (sf) -- Cl. M-2, Downgraded to Ba3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Argent Securities Inc., Series 2004-W11 -- Cl. M-1, Downgraded to Baa3 (sf); previously on Dec 20, 2004 Assigned Aaa (sf) -- Cl. M-2, Downgraded to Ba3 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Argent Securities Inc., Series 2004-W2 -- Cl. M-1, Downgraded to Baa3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Argent Securities Inc., Series 2004-W3 -- Cl. A-3, Downgraded to Ba3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Ba3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. M-1, Downgraded to Caa2 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Argent Securities Inc., Series 2004-W4 -- Cl. A, Downgraded to B2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on Mar 9, 2009) -- Cl. M-1, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Argent Securities Inc., Series 2004-W5 -- Cl. M-1, Downgraded to B1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Argent Securities Inc., Series 2004-W6 -- Cl. M-1, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Confirmed at Ca (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Argent Securities Inc., Series 2004-W7 -- Cl. M-1, Downgraded to A2 (sf); previously on Jun 8, 2004 Assigned Aa1 (sf) -- Cl. M-2, Downgraded to B1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa1 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to C (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-9, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Argent Securities Inc., Series 2004-W8 -- Cl. A-2, Downgraded to Baa1 (sf); previously on Jun 8, 2004 Assigned Aaa (sf) -- Cl. A-5, Downgraded to Baa2 (sf); previously on Jun 8, 2004 Assigned Aaa (sf) -- Cl. M-1, Downgraded to B1 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Argent Securities Inc., Series 2004-W9 -- Cl. M-1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade BANC OF AMERICA: Fitch Downgrades Ratings on 17 Classes of Notes ---------------------------------------------------------------- Fitch Ratings has downgraded 17 classes of Banc of America Commercial Mortgage Inc.'s commercial mortgage pass-through certificates, series 2007-2. The downgrades are due to further performance deterioration, which includes an increase in expected losses on the specially serviced loans as well as other loans in the pool. The downgrades reflect an increase in Fitch expected losses across the pool. Fitch modeled losses of 12.5% of the remaining pool; expected losses on the original pool balance total 11.5%, including losses already incurred to date. Fitch has designated 57 loans (43.9%) as Fitch Loans of Concern, which includes 27 specially serviced loans (29.9%). At Fitch's last review, there were 15 specially serviced loans (4.7%). Currently, Fitch expects classes K through S may be fully depleted from eventual losses associated with the specially serviced loans. As of the March 2011 distribution date, the pool's aggregate principal balance has been paid down by 9.8% to $2.86 billion from $3.17 billion at issuance. The pool paid down by over 8% at the March 2011 remittance as a result of the $187.5 million One Park Avenue loan paying off in full (less the liquidation fee) and the Beacon Seattle & DC Portfolio paying down by $68 million following the sale and release of the Market Square property. No loans have defeased since issuance. Interest shortfalls are currently affecting classes H through S. The largest contributor to expected losses is the specially- serviced 575 Lexington Avenue loan (5.6%), which is secured by an approximately 640,000 square foot office building located in Midtown Manhattan. The current balance of the seven year, interest-only loan is $160.3 million. The loan transferred to special servicing in March 2010 for imminent default. Performance has lagged the property's stabilization schedule. Foreclosure was filed at the end of January 2011. However, the loan has been kept current via funds swept from a hard lockbox. In addition, the loan was paid down by $2.2 million in January through the application of reserve funds. The second largest contributor to expected losses is the specially-serviced Palm Beach Gardens Marriott loan (1.7%), which is secured by a 279-key full service Marriott in Palm Beach Gardens, FL (north of West Palm Beach). The loan has been in special servicing since October 2009, having transferred for imminent default. The borrower and special servicer are nearing completion of a discounted payoff of the loan, with substantial losses expected. The third largest contributor to expected losses is the specially- serviced Beacon Seattle & DC Portfolio (11.4%), which was originally secured by 16 properties, the pledge of the mortgage and the borrower's ownership interest in one property (Market Square), as well as the pledge of cash flows from three properties (Reston Town Center, 1300 North Seventeenth Street, and Washington Mutual Tower). In the aggregate, the 20 properties comprised approximately 9.8 million sf of office space. The loan has been in special servicing since April 2010, having transferred for imminent default. The loan remained current as the borrower was negotiating a modification, which closed in December 2010. Key modification terms included a five-year extension of the loan to May 2017, a deleveraging structure that provides for the release of properties over time, and an interest rate reduction. The largest property by allocated loan amount, Market Square in Washington D.C., recently sold in March 2011 with proceeds used to pay down the loan, build up a new reserve account, and repay prior interest shortfalls. In addition, a sale of the 1300 North 17th Street property is expected to close shortly. Fitch has downgraded these classes and revised Loss Severity ratings and Recovery Ratings as indicated: -- $153.8 million class A-J to 'BBsf/LS4' from 'BBB-sf/LS4', Outlook Negative; -- $100 million class A-JFL to 'BBsf/LS4' from 'BBB-sf/LS4', Outlook Negative; -- $15.9 million class B to 'Bsf/LS5' from 'BBsf/LS5', Outlook Negative; -- $47.6 million class C to 'CCCsf/RR1' from 'Bsf/LS5'; -- $31.7 million class D to 'CCCsf/RR1' from 'B-sf/LS5'; -- $15.9 million class E to 'CCCsf/RR1' from 'B-sf/LS5'; -- $27.8 million class F to 'CCCsf/RR1' from 'B-sf/LS5'; -- $27.8 million class G to 'CCCsf/RR1' from 'B-sf/LS5'; -- $43.6 million class H to 'CCsf/RR3' from 'B-sf/LS5'; -- $35.7 million class J to 'Csf/RR6' from 'B-sf/LS5'; -- $35.7 million class K to 'Csf/RR6' from 'B-sf/LS5'; -- $15.9 million class L to 'Csf/RR6' from 'B-sf/LS5'; -- $7.9 million class M to 'Csf/RR6' from 'B-sf/LS5'; -- $15.9 million class N to 'Csf/RR6' from 'B-sf/LS5'; -- $4 million class O to 'Csf/RR6' from 'B-sf/LS5'; -- $4 million class P to 'Csf/RR6' from 'CCCsf/RR6'; -- $11.9 million class Q to 'Csf/RR6' from 'CCsf/RR6'. Fitch also affirms these classes and their respective Rating Outlooks: -- $532.8 million class A-2 at 'AAAsf/LS2', Outlook Stable; -- $38.9 million class A-2FL at 'AAAsf/LS2', Outlook Stable; -- $162.6 million class A-3 at 'AAAsf/LS2', Outlook Stable; -- $61 million class A-AB at 'AAAsf/LS2', Outlook Stable; -- $602 million class A-4 at 'AAAsf/LS2', Outlook Stable; -- $521.1 million class A-1A at 'AAAsf/LS2', Outlook Stable; -- $317.3 million class A-M at 'AAAsf/LS4', Outlook Stable. The class A-1 certificates have paid in full. Fitch does not rate the $30.9 million class S. Additionally, Fitch has withdrawn the rating on the IO class XW. BANC OF AMERICA: Moody's Affirms Ratings on 22 CMBS Classes ----------------------------------------------------------- Moody's Investors Service affirmed the ratings of 22 CMBS classes of Banc of America Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-3: -- Cl. A-1, Affirmed at Aaa (sf); previously on Aug 23, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on Aug 23, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-2FL, Affirmed at Aaa (sf); previously on Aug 23, 2007 Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Aug 23, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-AB, Affirmed at Aaa (sf); previously on Aug 23, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. XW, Affirmed at Aaa (sf); previously on Aug 23, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aa3 (sf); previously on Jan 26, 2010 Downgraded to Aa3 (sf) -- Cl. A-5, Affirmed at Aa3 (sf); previously on Jan 26, 2010 Downgraded to Aa3 (sf) -- Cl. A-1A, Affirmed at Aa3 (sf); previously on Jan 26, 2010 Downgraded to Aa3 (sf) -- Cl. A-M, Affirmed at Baa1 (sf); previously on Jan 26, 2010 Downgraded to Baa1 (sf) -- Cl. A-MF, Affirmed at Baa1 (sf); previously on Jan 26, 2010 Downgraded to Baa1 (sf) -- Cl. A-MFL, Affirmed at Baa1 (sf); previously on Jan 26, 2010 Downgraded to Baa1 (sf) -- Cl. A-J, Affirmed at B3 (sf); previously on Jan 26, 2010 Downgraded to B3 (sf) -- Cl. B, Affirmed at Caa2 (sf); previously on Jan 26, 2010 Downgraded to Caa2 (sf) -- Cl. C, Affirmed at Caa3 (sf); previously on Jan 26, 2010 Downgraded to Caa3 (sf) -- Cl. D, Affirmed at Ca (sf); previously on Jan 26, 2010 Downgraded to Ca (sf) -- Cl. E, Affirmed at Ca (sf); previously on Jan 26, 2010 Downgraded to Ca (sf) -- Cl. F, Affirmed at C (sf); previously on Jan 26, 2010 Downgraded to C (sf) -- Cl. G, Affirmed at C (sf); previously on Jan 26, 2010 Downgraded to C (sf) -- Cl. H, Affirmed at C (sf); previously on Jan 26, 2010 Downgraded to C (sf) -- Cl. J, Affirmed at C (sf); previously on Jan 26, 2010 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on Jan 26, 2010 Downgraded to C (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's LTV ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Two notable credit positive events have occurred since last review: the migration of loans out of special servicing and the payoff of the pool's third largest loan, One Park Avenue. Currently there are 14 loans representing 7% of the deal in special servicing compared to 24 loans representing 27% of the pool at last review. The One Park Avenue Loan ($187.5 million), was a pari passu interest in a $375 million first mortgage. At last review the loan was in special servicing and Moody's had estimated a significant loss for this loan. In March 2011 Vornado Realty Trust purchased a 95% stake in One Park Avenue. The sale proceeds were used to retire the debt. Due to fees, advances and expenses the loan payoff resulted in a minimal ($1.9 million or 1%) loss. The deal was originally over-collateralized, so the realized loss to the certificates ($398,000) is less than the loss from the One Park Avenue Loan payoff. One Park Avenue is the only loan in the pool that has paid off or been liquidated. The previously mentioned credit positive events did result in a lowered base expected loss estimate than at last review. However, the overall pool quality does not warrant any upgrades at this time. While the conduit LTV has only increased marginally to 128% from 127% at last review, the pool LTV has increased to 157% from 127% at last review. Even after excluding specially serviced and troubled loans, loans representing 85% of the pool have a stressed DSCR of less than 1.0X. Additionally, most of the loans that migrated out of special servicing remain on the servicer's watchlist. Moody's rating action reflects a cumulative base expected loss of 11.2% of the current balance. At last review, Moody's cumulative base expected loss was 15.1%. Moody's stressed scenario loss is 24.6% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 21 compared to 29 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated January 26, 2010. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the March 10, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 6% to $3.3 billion from $3.5 billion at securitization. The Certificates are collateralized by 150 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans representing 52% of the pool. The pool does not contain any defeased loans or loans with credit estimates. Thirty loans, representing 36% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. There are 14 loans, representing 7% of the pool, in special servicing. The largest specially serviced loan is the Metropolis Shopping Center Loan ($86 million -- 3% of the pool), which is secured by Phase I of a suburban power center located southwest of Indianapolis, Indiana. The property is also encumbered by a $9 million B-Note. The property is currently in foreclosure and the servicer has recognized a $38 million appraisal reduction for this loan. The remaining 13 specially serviced loans are secured by a mix of commercial and multifamily properties. The servicer has recognized a $153 million aggregate appraisal reduction for 12 of the 14 specially serviced loans and one troubled loan. Moody's has assumed a high default probability for 18 poorly performing loans representing 28% of the pool and has estimated an aggregate $140 million loss (15% expected loss based on a 46% probability default) from these troubled loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 96% and 83% of the pool's loans, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 128% compared to 127% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 13% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.6%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.35X and .85X, respectively, compared to 1.34X and .86X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 21% of the pool balance. The largest loan is the Presidential Towers Loan ($325.0 million -- 10% of the pool), which is secured by four connected 50-story apartment buildings (2,346 units) located in the Intown submarket of downtown Chicago, Illinois. As of January 2010 the multifamily units were 92% leased compared to 96% at last review. The property's 87,000 square foot retail component is undergoing renovations, which is believed to have contributed to the decline in occupancy. The retail space was only 41% leased as per the January 2011 rent roll. Property performance is expected to improve as the retail space is leased up. Moody's LTV and stressed DSCR are 133% and 0.65X, which is the same as at last review. The second largest loan is the Renaissance Mayflower Hotel Loan ($200 million -- 6% of the pool), which is secured by a 657-unit hotel located in Washington, D.C. The loan was being specially serviced at last review. The loan term was extended by 12 months and the loan was transferred out of special servicing in October 2010. The loan is current. Moody's LTV and stressed DSCR is 155% and .75X, respectively, compared to 167% and .68X at last review The third largest loan is the Pacific Shores Building 9 & 10 Loan ($184 million -- 5% of the pool), which is secured by two Class A office buildings located in a suburban office park in Redwood City, California. The property serves as Facet Biotech's corporate headquarters. Abbott Laboratories (A1, stable outlook) acquired Facet Biotech in April 2010. The property is 100% leased, which is the same as at last review. Moody's LTV and stressed DSCR are 145% and .71X, compared to 160% and .65X at last review. BANC OF AMERICA: Moody's Affirms Ratings on Nine Certificates ------------------------------------------------------------- Moody's Investors Service affirmed the ratings of nine classes of Banc of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2000-2: -- Cl. X, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. F, Affirmed at Aa2 (sf); previously on Jun 30, 2010 Downgraded to Aa2 (sf) -- Cl. G, Affirmed at A3 (sf); previously on Jun 30, 2010 Downgraded to A3 (sf) -- Cl. H, Affirmed at B1 (sf); previously on Jun 30, 2010 Downgraded to B1 (sf) -- Cl. K, Affirmed at C (sf); previously on Jun 30, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Jun 30, 2010 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on Jun 30, 2010 Downgraded to C (sf) -- Cl. O, Affirmed at C (sf); previously on Jun 30, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Jun 30, 2010 Downgraded to C (sf) Ratings Rationale The affirmations are due to key rating parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index remaining within acceptable ranges. Moody's rating action reflects a cumulative base expected loss of 42.1% ($42.5 million) of the current balance. At last review, Moody's cumulative base expected loss was 21.8% ($53.7 million). Moody's current cumulative base expected loss is higher than at last review as a percentage of the current outstanding balance because of the significant deleveraging of the pool due to loan amortization and payoffs. Moody's stressed scenario loss is 43.2% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 8 compared to 15 at Moody's prior full review. In cases where the Herf falls below 20, Moody's employs also the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated June 30, 2010. Please see the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the March 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 89% to $101.10 million from $889.00 million at securitization. The Certificates are collateralized by 16 mortgage loans ranging in size from less than 1% to 20% of the pool, with the top ten loans representing 73% of the pool. Three loans, representing 6% of the pool, have defeased and are collateralized with U.S. Government securities. One loan, representing 5% of the pool, is on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty-six loans have been liquidated from the pool since securitization, resulting in an aggregate $21.8 million loss (15% loss severity on average). Nine loans, representing 79% of the pool, are currently in special servicing. The largest specially serviced loan is the Towngate Community Shopping Center Loan ($20.2 million -- 20.0%), which is secured by 286,729 square foot retail complex located in Moreno Valley, California. The loan transferred to special servicing in December 2009 for maturity default and is in process of foreclosure. The borrower continues to make full debt service payments post maturity while the special servicer continues with the foreclosure process. The second largest loan is special servicing is the SCI Portfolio - 1401 Elm St. Loan ($18.1 million - 18.0%), which is secured by 428,884 square foot condominium unit in a 1.3 million square foot office property located in downtown Dallas, Texas. The loan was transferred to special servicing in December 2008 after the Bank of America, which leased the entire building, vacated. The property is 100% vacant and became real estate owned (REO) in April 2009. The servicer has recognized a $17.7 million appraisal reduction for this loan. The third largest loan in special servicing is the Rio Apartments Loan ($11.5 million -11.4%), which is secured by a multifamily property located in Miami, Florida. The borrower was unable to pay off the loan at maturity in April 2010 and the loan is in foreclosure. The remaining six specially serviced loans are secured by a mix of property types. Moody's has estimated an aggregate $42.2 million loss (52% expected loss on average) for the specially serviced loans. The master servicer has recognized an aggregate $61.7 million appraisal reduction for eight of the specially serviced loans. As of the most recent remittance statement date, the transaction has experienced unpaid accumulated interest shortfalls totaling $4.0 million affecting Classes J through P. Interest shortfalls are caused by special servicing fees, appraisal reductions, extraordinary trust expenses and interest payment reductions due to loan modifications. Moody's expects interest shortfalls to increase due to the pool's high exposure to specially serviced loans. Moody's was provided with full year 2009 operating results for 100% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 81% compared to 66% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.9%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.26X and 0.91X, respectively, compared to 1.59X and 1.17X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 14% of the pool balance. The largest loan is the Gateway Village Shopping Center Loan ($6.8 million -- 6.7%), which is secured by a 126,285 square foot retail property located in Glendale, Arizona. Moody's LTV and stressed DSCR are 87% and 1.30X, respectively, compared to 87% and 1.44X at last review. The second largest loan is the 500 South Sepulveda Boulevard Loan ($5.1 million -- 5.0%), which is secured by a 43,722 square foot office property located in Los Angeles, California. Moody's LTV and stressed DSCR are 69% and 1.51X, respectively, essentially the same as at last review. The third largest loan is the GTEC Center Loan ($2.4 million -- 2.4% of the pool), which is secured by 46,880 square foot office property located in the Montgomery, Alabama. Moody's LTV and stressed DSCR are 69% and 1.57X, respectively, essentially the same as at last review. CAPTEC FRANCHISE: Moody's Upgrades Ratings on Three Classes ----------------------------------------------------------- Moody's Investors Service has upgraded three classes of certificates from Captec Franchise Trust 1999-1. The certificates are backed by franchise loans made to fast-food and casual dining restaurants. The complete rating action is: Issuer: Captec Franchise Trust 1999-1 -- Class A-IO, Upgraded to Aa2 (sf); previously on Nov 11, 2010 Ba1 (sf) Placed Under Review for Possible Upgrade -- Class B, Upgraded to Aa2 (sf); previously on Nov 11, 2010 B3 (sf) Placed Under Review for Possible Upgrade -- Class C, Upgraded to Ba3 (sf); previously on Aug 18, 2004 Downgraded to Ca (sf) The rating action was prompted by high levels of credit enhancement available to protect certificate holders from collateral losses. In the month of January, five loans prepaid totaling about $2.4 million, which completely repaid the remaining balance of the Class A-2 certificate which had been on review for possible upgrade and also a portion of the Class B certificate. As of the February 15th payment date, subordination now provides credit enhancement of 91% to the Class B certificate and 33% enhancement to the Class C certificate, as a percentage of the current pool. The transaction has only two loans in special servicing which comprise 7% of the current pool balance. There is less obligor concentration risk in this pool relative to other franchise loan securitizations, with the largest borrower representing 14% percent of the current pool. The new rating reflects the underlying risks in the transaction as well as Moody's view on future performance of the collateral properties. The primary source of uncertainty for the transactions is the current macroeconomic environment and its impact on the restaurant and fast food industry. Moody's current outlook on the restaurant industry is stable but weak as many fast food restaurants remain under financial pressure. In order to estimate losses on the collateral pool, Moody's calculates the expected loss given default of the obligors that have become nonperforming, and also estimates future losses on the performing portion of the pool, all as a percentage of the outstanding pool balance. In evaluating the nonperforming loans, key factors include collateral valuations and expected recovery rates, volatility around those recovery rates, historical obligor performance, time until recovery or liquidation on defaulted obligors, concessions due to restructuring which may negatively impact the overall cash flow of the trust and/or the collateral, and future industry expectations. In evaluating the performing portion of the pool, Moody's estimate default rates based on industry outlook and credit quality of underlying concepts and/or borrowers, with additional stress applied for concentrated pools, such as the Captec pool related to this action. Moody's then apply a stressed loss severity that accounts for historical loss experience as well as possible future deterioration of the underlying collateral. Moody's total losses are then evaluated against the available credit enhancement provided by overcollateralization, subordination, and excess spread if available. Sufficiency of coverage is considered in light of remaining borrower concentrations and concepts, remaining bond maturities, and economic outlook. Moody's Investor Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. CBA COMMERCIAL: S&P Downgrades Ratings on Four 2005-1 Certs. ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on four classes of commercial mortgage pass-through certificates from CBA Commercial Assets 2005-1, a U.S. commercial mortgage-backed securities transaction. The downgrades reflect Standard & Poor's analysis of the transaction and potential losses that S&P expects to be generated by the specially serviced assets, debt service delinquent loans, and loans that S&P determined to be credit-impaired. S&P downgraded the class M-3 certificate to 'D (sf)' due to a realized principal loss of $148,163 (5.5% of the initial class balance) following the liquidation of an asset, as reflected in the Feb. 25, 2011 trustee remittance report. S&P's analysis of the specially serviced assets, delinquent loans, and loans that S&P determined to be credit-impaired mainly considered recent appraisal values and broker's opinions of value to arrive at loss estimates for the collateral. S&P's estimates also factored in expenses and fees required to complete the liquidation process. S&P's analysis of the remaining loans in the pool considered the performance of the collateral to date, as well as the impact that current economic stress and liquidity conditions may have on future performance. As of the Feb. 25, 2011 trustee remittance report, the collateral pool consisted of 228 loans and four real estate owned (REO) assets with an aggregate trust balance of $81.4 million, compared with 572 loans totaling $214.9 million at issuance. As of the February remittance report, there were 30 assets totaling $11.0 million (13.5%) with the special servicer, Midland Loan Services Inc. (Midland). The status of the 30 specially serviced assets and 23 delinquent loans in the pool ($18.5 million, 22.7%) is: four are REO ($1.3 million, 1.5%), 13 are in foreclosure ($4.1 million, 5.0%), 12 are 90-plus-days delinquent ($4.2 million, 5.2%), seven are 60-plus-days delinquent ($1.7 million, 2.2%), six are 30-plus-days delinquent ($1.8 million, 2.3%), nine are in bankruptcy ($2.7 million, 3.3%), one is in its grace period ($1.7 million, 2.1%), and one is current ($1.0 million, 1.1%). S&P also ran various stress scenarios. S&P's base-case losses assumed that 59.1% of specially serviced loans would experience a loss with a weighted average loss severity of 57.1%. To date, the trust has experienced 75 losses totaling $20.8 million. S&P previously downgraded five subordinate classes to 'D (sf)' as a result of principal losses. Standard & Poor's stressed the remaining loans in the pool as part of its analysis and S&P believes the resultant credit enhancement levels are consistent with the lowered ratings. Ratings Lowered CBA Commercial Assets 2005-1 Commercial mortgage pass-through certificates series 2005-1 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- A BB (sf) BBB (sf) 19.29 M-1 CCC+ (sf) B+ (sf) 10.05 M-2 CCC- (sf) CCC+ (sf) 3.12 M-3 D (sf) CCC (sf) 0.00 CENTEX HOME: Moody's Downgrades Ratings on 91 Tranches ------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 91 tranches and confirmed the ratings of 4 tranches from 11 Subprime deals issued by ABFS. The collateral backing these deals primarily consists of first lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools issued from prior 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated in 2004 and prior). The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Centex Home Equity Loan Trust 2001-B -- Cl. A-5, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to A3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Centex Home Equity Loan Trust 2002-A -- Cl. AF-4, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-6, Downgraded to A3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AV, Downgraded to Aa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. MF-1, Downgraded to B2 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-1, Downgraded to B2 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-2, Downgraded to C (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. BF, Downgraded to C (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Centex Home Equity Loan Trust 2002-C -- Cl. AF-4, Downgraded to A2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to A2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-6, Downgraded to A1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Centex Home Equity Loan Trust 2002-D -- Cl. AF-4, Downgraded to A1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to A1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-6, Downgraded to Aa3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Centex Home Equity Loan Trust 2003-A -- Cl. AF-4, Confirmed at Aaa (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-5, Confirmed at Aaa (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-6, Confirmed at Aaa (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: Centex Home Equity Loan Trust 2003-B -- Cl. AF-4, Downgraded to Aa2 (sf); previously on Jul 31, 2003 Assigned Aaa (sf) -- Cl. AF-5, Downgraded to Aa2 (sf); previously on Jul 31, 2003 Assigned Aaa (sf) -- Cl. AF-6, Downgraded to Aa1 (sf); previously on Jul 31, 2003 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa1 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Centex Home Equity Loan Trust 2003-C -- Cl. AF-4, Downgraded to Aa2 (sf); previously on Oct 30, 2003 Assigned Aaa (sf) -- Cl. AF-5, Downgraded to Aa2 (sf); previously on Oct 30, 2003 Assigned Aaa (sf) -- Cl. AF-6, Downgraded to Aa1 (sf); previously on Oct 30, 2003 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Ba2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa1 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Centex Home Equity Loan Trust 2004-B -- Cl. AF-5, Downgraded to A1 (sf); previously on May 19, 2004 Assigned Aaa (sf) -- Cl. AF-6, Downgraded to Aa3 (sf); previously on May 19, 2004 Assigned Aaa (sf) -- Cl. M-1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa1 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Centex Home Equity Loan Trust 2004-C -- Cl. AF-4, Downgraded to A1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to A1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-6, Downgraded to Aa3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to B3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Caa1 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Centex Home Equity Loan Trust 2004-D -- Cl. AF-3, Downgraded to Aa3 (sf); previously on Oct 26, 2004 Assigned Aaa (sf) -- Cl. AF-4, Downgraded to A1 (sf); previously on Oct 26, 2004 Assigned Aaa (sf) -- Cl. AF-5, Downgraded to A1 (sf); previously on Oct 26, 2004 Assigned Aaa (sf) -- Cl. AF-6, Downgraded to Aa3 (sf); previously on Oct 26, 2004 Assigned Aaa (sf) -- Cl. MF-1, Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-2, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. MF-3, Downgraded to Caa1 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-1, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-4, Downgraded to C (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-5, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-6, Downgraded to C (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. BF, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. BV, Downgraded to C (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: CHEC Loan Trust 2004-1 -- Cl. A-3, Downgraded to A3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba2 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa1 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa2 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-9, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Confirmed at Ca (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade CENTURION CDO: Moody's Upgrades Ratings on Various Classes ---------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Centurion CDO III, Limited: -- US$32,000,000 Class II Senior Secured Fixed Rate Notes Due 2013, Upgraded to Aaa (sf); previously on June 22, 2010 Upgraded to Aa2 (sf) -- US$27,500,000 Class III Mezzanine Secured Fixed Rate Notes Due 2013, Upgraded to Aaa (sf); previously on June 22, 2010 Upgraded to Ba3 (sf) -- US$1,000,000 Class IV-A Mezzanine Secured Floating Rate Notes Due 2013, Upgraded to B3 (sf); previously on May 28, 2009 Downgraded to Ca (sf) -- US$16,000,000 Class IV-B Mezzanine Secured Fixed Rate Notes Due 2013, Upgraded to B3 (sf); previously on May 28, 2009 Downgraded to Ca (sf) Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from the delevering of the Class I Senior Notes, which have been paid down by approximately $56.9 million, since the rating action in June 2010. As a result of the delevering, the overcollateralization ratios have increased since the rating action in June 2010. As of the latest trustee report dated February 22, 2011, the Senior, Class III Mezzanine, and the Junior overcollateralization ratios are reported at 262.4%, 141.1% and 109.77%, respectively, versus June 2010 levels of 159.2%, 121.6% and 106.12%, respectively. Additionally, the deal has accumulated enough principal proceeds from asset sales and unscheduled amortizations to fully collateralize the outstanding principal balance of the Class I Senior Notes, the Class II Senior Notes, and the Class III Mezzanine Notes, as well as a significant portion of the Class IV-A Mezzanine Notes and the Class IV-B Mezzanine Notes. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $80.92 million, defaulted par of $5.65 million, a weighted average default probability of 22.65% (implying a WARF of 4686), a weighted average recovery rate upon default of 32.89%, and a diversity score of 11. These default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Centurion CDO III, Limited, issued in March 2001, is a collateralized bond obligation backed primarily by a portfolio of senior unsecured bonds and senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 2009. This publication incorporates rating criteria that apply to both collateralized loan obligations and collateralized bond obligations. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. In addition, due to the low diversity of the collateral pool, CDOROM 2.6 was used to simulate a default distribution that was then applied as an input in the cash flow model. For securities whose default probabilities are assessed through credit estimates, Moody's applied additional default probability stresses by assuming an equivalent of Caa3 for CEs that were not updated within the last 15 months. In addition, Moody's applied a 1.5 notch-equivalent assumed downgrade for CEs last updated between 12-15 months ago, and a 0.5 notch-equivalent assumed downgrade for CEs last updated between 6-12 months ago. For each CE where the related exposure constitutes more than 3% of the collateral pool, Moody's applied a 2-notch equivalent assumed downgrade (but only on the CEs representing in aggregate the largest 30% of the pool) in lieu of the aforementioned stresses. Notwithstanding the foregoing, in all cases the lowest assumed rating equivalent is Caa3. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF --20% (3749) -- Class I: 0 -- Class II: 0 -- Class III: 0 -- Class IV-A: +1 -- Class IV-B: +1 Moody's Adjusted WARF +20% (5623) -- Class I: 0 -- Class II: 0 -- Class III: 0 -- Class IV-A: 0 -- Class IV-B: 0 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) Delevering: The main source of uncertainty in this transaction is whether delevering from unscheduled principal proceeds will continue and at what pace. Delevering may accelerate due to high prepayment levels in the bond and loan markets and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Lack of portfolio granularity: The performance of the portfolio depends to a large extent on the credit conditions of a few large obligors, especially when they experience jump to default. Due to the deal's low diversity score and lack of granularity, Moody's supplemented its typical Binomial Expansion Technique analysis with a simulated default distribution using Moody's CDOROMTM software and/or individual scenario analysis. CREDIT SUISSE: Moody's Affirms Ratings on 15 2005-C2 Certificates ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 15 classes of Credit Suisse First Boston Mortgage Securities Corporation, Commercial Mortgage Pass-Through Certificates, Series 2005-C2: -- Cl. A-3, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-AB, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-X, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-SP, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-4, Affirmed at Aa2 (sf); previously on Aug 26, 2010 Downgraded to Aa2 (sf) -- Cl. A-1-A, Affirmed at Aa2 (sf); previously on Aug 26, 2010 Downgraded to Aa2 (sf) -- Cl. A-MFL, Affirmed at Baa1 (sf); previously on Aug 26, 2010 Downgraded to Baa1 (sf) -- Cl. A-MFX, Affirmed at Baa1 (sf); previously on Aug 26, 2010 Downgraded to Baa1 (sf) -- Cl. A-J, Affirmed at Caa1 (sf); previously on Aug 26, 2010 Downgraded to Caa1 (sf) -- Cl. B, Affirmed at Ca (sf); previously on Aug 26, 2010 Downgraded to Ca (sf) -- Cl. C, Affirmed at C (sf); previously on Aug 26, 2010 Downgraded to C (sf) -- Cl. D, Affirmed at C (sf); previously on Aug 26, 2010 Downgraded to C (sf) -- Cl. E, Affirmed at C (sf); previously on Aug 26, 2010 Downgraded to C (sf) -- Cl. F, Affirmed at C (sf); previously on Aug 26, 2010 Downgraded to C (sf) -- Cl. G, Affirmed at C (sf); previously on Aug 26, 2010 Downgraded to C (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed DSCR and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 11.2% of the current balance. At last full review, Moody's cumulative base expected loss was 14.1%. The current cumulative base loss plus realized losses is 16.8%, essentially the same as at last review. Realized losses increased approximately $48 million since last review due to the recent modification of the Washington Mutual Irvine Campus Loan ($55.4 million -- 4.3% of the pool). The modification included a $48 million dollar principal write-off that eliminated Classes H through L and a portion of Class G. The loan is in the process of being returned to the master servicer. Moody's stressed scenario loss is 19.3% of the current balance Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 24, the same as at Moody's prior full review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated August 26, 2010. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past 6 months. Deal Performance As of the March 17, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 20% to $1.29 billion from $1.61 billion at securitization. The Certificates are collateralized by 153 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 47% of the pool. Eleven loans, representing 5.9% of the pool, have defeased and are collateralized with U.S. Government securities. No loans have investment grade credit estimates. Thirty-four loans, representing 18% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Seven loans have been liquidated from the pool since securitization, resulting in an aggregate $90.3 million loss (49% loss severity on average). At last review the pool had an aggregate realized loss of $42.4 million. Currently 12 loans, representing 19% of the pool, are in special servicing. The largest specially serviced loan is The Tri-County Mall Loan ($141.1 million -- 11.0% of the pool), which is secured by a 1.1 million square foot regional mall located in Cincinnati, Ohio. The loan was transferred to special servicing in August 2009 due to imminent default and is currently 90+ days delinquent. The remaining 11 specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $107.2 million appraisal reduction for six of the specially serviced loans. Moody's has estimated an aggregate loss of $101.5 million (59% expected loss on average) for all of the specially serviced loans. Moody's has assumed a high default probability for 11 poorly performing loans representing 6% of the pool and has estimated a $11.5 million loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 96% and 100%, respectively, of the non- defeased performing pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 100%, compared to 101% at last full review. Moody's net cash flow reflects a weighted average haircut of 9% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.26X and 1.04X, respectively, compared to 1.33X and 1.03X at last full review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing loans represent 20% of the pool balance. The largest performing loan is the 390 Park Avenue Loan ($105.6 million -- 8.3% of the pool), which is secured by a 234,000 square foot office building located in New York City. The property was 100% leased as of December 2010, compared to 97% at last review. Net income has increased slightly since last review and performance is stable. Moody's LTV and stressed DSCR are 110% and 0.83X, respectively, compared to 117% and 0.79X at last review. The second largest performing loan is the Spectrum Office Portfolio Loan ($82.2 million -- 6.4% of the pool), which is secured by six office properties located in the North Rivers submarket of Chicago, Illinois. The portfolio was 89% leased as of year-end 2010 compared to 86% at last review. Portfolio performance has declined due to decreased rental revenues. Moody's LTV and stressed DSCR are 124% and 0.83X, respectively, compared to 106% and 0.97X at last review. The third largest performing loan is the 65 Broadway Loan ($70.5 million -- 5.5% of the pool), which is secured by a 342,000 square foot office building located in New York City in the Battery Park submarket. The property was 86% leased as of year- end 2010, compared to 85% at last review. Property performance has declined due to decreased rental income. Moody's LTV and stressed DSCR are 113% and 0.81X, respectively, compared to 103% and 0.95X at last review. CHRYSLER FINANCIAL: Moody's Upgrades Ratings on Nine Tranches ------------------------------------------------------------- Moody's has upgraded nine tranches from three prime auto loan securitizations and three tranches from three re-securitizations sponsored and serviced by Chrysler Financial Services Americas LLC. Eight tranches continue to remain on review for possible upgrade. Ratings Issuer: Chrysler Financial Auto Securitization Trust 2007-A -- Cl. A-4, Upgraded to Aaa (sf); previously on Dec 21, 2010 Aa3 (sf) Placed Under Review for Possible Upgrade -- Cl. B, Upgraded to Aa1 (sf) and Remains On Review for Possible Upgrade; previously on Dec 21, 2010 A3 (sf) Placed Under Review for Possible Upgrade -- Cl. C, Upgraded to A1 (sf) and Remains On Review for Possible Upgrade; previously on Dec 21, 2010 Ba1 (sf) Placed Under Review for Possible Upgrade Issuer: Chrysler Financial Auto Securitization Trust 2008-A -- Cl.A-4, Upgraded to Aaa (sf); previously on Dec 21, 2010 Aa3 (sf) Placed Under Review for Possible Upgrade -- Cl. B, Upgraded to Aa1 (sf) and Remains On Review for Possible Upgrade; previously on Dec 21, 2010 A3 (sf) Placed Under Review for Possible Upgrade -- Cl. C, Upgraded to A2 (sf) and Remains On Review for Possible Upgrade; previously on Dec 21, 2010 Ba1 (sf) Placed Under Review for Possible Upgrade Issuer: Chrysler Financial Auto Securitization Trust 2008-B -- Cl. A-4a, Upgraded to Aaa (sf); previously on Dec 21, 2010 Aa3 (sf) Placed Under Review for Possible Upgrade -- Cl. A-4b, Upgraded to Aaa (sf); previously on Dec 21, 2010 Aa3 (sf) Placed Under Review for Possible Upgrade -- Cl. B, Upgraded to Aa2 (sf) and Remains On Review for Possible Upgrade; previously on Dec 21, 2010 Baa1 (sf) Placed Under Review for Possible Upgrade Re-securitizations Issuer: CFAST 2007-A B Note Trust -- Cl. A-1, Upgraded to Aa1 (sf) and Remains On Review for Possible Upgrade; previously on Dec 21, 2010 A3 (sf) Placed Under Review for Possible Upgrade Issuer: CFAST 2008-A B Note Trust -- Cl. A-1, Upgraded to Aa1 (sf) and Remains On Review for Possible Upgrade; previously on Dec 21, 2010 A3 (sf) Placed Under Review for Possible Upgrade Issuer: CFAST 2008-B B Note Trust -- CFAST 2008-B B Note Trust Notes, Upgraded to Aa2 (sf) and Remains On Review for Possible Upgrade; previously on Dec 21, 2010 Baa1 (sf) Placed Under Review for Possible Upgrade Ratings Rationale The rating actions were prompted by the buildup of credit enhancement relative to remaining losses, short remaining life of the securities, as well as by a downward revision of Moody's lifetime cumulative net loss expectations due to further stabilization of performance since Moody's placed these securitizations on review. The affected securitizations benefit from non-declining reserve accounts and overcollateralization, as well as additional credit enhancement in the form of cash contributed by the sponsor to the 2007-A and 2008-A transactions in November 2008. The rating actions do not take into account the pending acquisition of Chrysler Financial by TD Bank Group, as details about the acquisition are yet to be finalized. In Moody's opinion, the proposed acquisition should benefit the outstanding securitizations by providing longer term stability to Chrysler Financial's servicing operations as it restructures and explores future business prospects. This should mitigate the risk of servicing disruption during the life of the longer maturing securities. Following an agreement in 2009 between Chrysler LLC and GMAC Inc. (now Ally Financial Inc.) to provide wholesale and retail financing for Chrysler vehicles, Chrysler Financial is no longer the captive finance arm of Chrysler LLC. The company has since had to rely predominantly on originating standard (non subvented) loans and has reduced its staff to facilitate restructuring and realignment of its business. Despite the uncertainty relating to the pending acquisition, the class A4 senior securities were upgraded to Aaa (sf). This rating is higher than that achievable for senior classes of new Chrysler Financial auto loan securitizations with the present servicing arrangements due to the shorter term to maturity of these well seasoned transactions and the much higher levels of absolute credit enhancement relative to their respective remaining pool losses. Moody's consider these seasoned senior tranches to be less affected by the uncertainties associated with servicing. The longer maturing securities, which are more exposed to the diminishing scale of the servicing platform, and hence stand to gain more from the acquisition, remain on review for further possible upgrade. Credit enhancement for all tranches has increased substantially due to the sequential pay structure and non-declining reserve accounts, as evidenced by the ratio of total credit enhancement to the remaining expected losses. Credit support (without giving benefit to excess spread or yield supplement overcollateralization ranges between 42% to 51% of the outstanding collateral balance, which provides approximately 10 to 13 times coverage against remaining expected losses of approximately 4% of the remaining collateral balance adjusted for YSOC. Key performance metrics and credit assumptions are provided later in this release. The re-securitization trust notes are secured by the Class B notes issued by Chrysler Financial Auto Securitization Trust 2007-A, Chrysler Financial Auto Securitization Trust 2008-A, and Chrysler Financial Auto Securitization Trust 2008-B transactions. The trust notes benefit solely from the credit enhancement available to the underlying notes in the underlying trusts and are therefore assigned the same ratings as the underlying notes given the pure pass-through transaction structure. Below are key performance metrics and credit assumptions for each affected transaction. Credit assumptions include Moody's expected lifetime CNL expectation which is expressed as a percentage of the original pool balance; and Moody's lifetime remaining CNL expectation and Aaa levels which are expressed as a percentage of the current pool balance (adjusted for YSOC). The Aaa level is the level of credit enhancement that would be consistent with a Aaa rating for the given asset pool. For the affected securitizations, additional qualitative factors such as remaining life of the securities and risk of servicer disruption were also considered in determining the ratings. Performance metrics include pool factor which is the ratio of the current collateral balance and the original collateral balance at closing; total credit enhancement (expressed as a percentage of the outstanding collateral pool balance adjusted for YSOC) which typically consists of subordination, overcollateralization, and a reserve fund; YSOC; and per annum excess spread. The YSOC compensates for the lower APR on the subvened loans. Issuer: Chrysler Financial Auto Securitization Trust 2007-A * Lifetime CNL expectation - 6.5%, prior expectation (December 2010) was 6.5% to 7.0% * Lifetime Remaining CNL expectation -- 4% * Aaa level -- Approximately 16% * Pool factor -- 21% * Total credit enhancement (excluding excess spread & YSOC): Class A-4 -- 49%; Class B -- 27%; Class C -- 19% * Excess spread -- Approximately 1% per annum * YSOC -- Approximately 2% Issuer: Chrysler Financial Auto Securitization Trust 2008-A * Lifetime CNL expectation - 6.0%, prior expectation (December 2010) was 6.5% - 7.0% * Lifetime Remaining CNL expectation -- 4% * Aaa level -- Approximately 16% * Pool factor -- 22% * Total credit enhancement (excluding excess spread & YSOC): Class A-4 -- 51%; Class B -- 26%; Class C -- 16% * Excess spread -- Approximately 2% per annum * YSOC -- Approximately 2% Issuer: Chrysler Financial Auto Securitization Trust 2008-B * Lifetime CNL expectation - 5.75%, prior expectation (December 2010) was 6.25% - 7.75% * Lifetime Remaining CNL expectation -- 4.2% * Aaa level -- Approximately 16% * Pool factor -- 25% * Total credit enhancement (excluding excess spread & YSOC): Class A-4 -- 42%; Class B -- 18% * Excess spread -- Approximately 1% per annum * YSOC -- Approximately 3% Ratings on the affected securities could be upgraded (where applicable) if the lifetime CNLs are lower by 10%, or downgraded if the lifetime CNLs are higher by 10%. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current macroeconomic environment, in which unemployment continues to remain at elevated levels, and strength in the used vehicle market. Moody's currently views the used vehicle market as much stronger now than it was at the end of 2008 when the uncertainty relating to the economy as well as the future of the U.S auto manufacturers was significantly greater. Overall, Moody's expect a sluggish recovery in the U.S. economy, with elevated fiscal deficits and persistent, high unemployment levels. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past 6 months. CIT GROUP: Moody's Assigns 'B3' Rating to New Secured Notes ----------------------------------------------------------- Moody's Investors Service assigned a rating of B3 to CIT Group Inc.'s new Series C Second Priority Secured Notes due 2014 and 2018. CIT's other ratings, including its B3 corporate family rating, are not affected by the new transaction. The outlook for CIT's ratings is stable. Proceeds from the new Series C notes will be used by CIT to redeem a portion of the company's Series A second priority secured notes, also rated B3, that mature in 2013 and 2014. The Series C notes are expected to have a lower interest rate than the 7% coupon on the Series A notes, which will reduce CIT's interest expense. In the past year, CIT has redeemed or refinanced over $10 billion of high cost debt. The new transaction reduces CIT's weighted average cost of debt, extends its debt maturity profile, and improves its liquidity runway. The Series C notes have the same guarantors, collateral, and priority as the Series A notes. The notes are guaranteed by nearly all direct and indirect material domestic restricted subsidiaries of CIT. The notes are secured on a second lien basis by substantially all U.S. assets owned by CIT not otherwise pledged to other secured debts and securitizations, as well as stock pledges of certain foreign CIT subsidiaries. The asset pledges and guarantees are subordinated to the CIT's $3 billion first lien credit facility. The Series C notes include customary restrictions regarding liens, mergers, and asset sales, but the new notes don't include the cash sweep provision that exists in the Series A notes. Additionally, the collateral pledges and guarantees of the notes will be automatically released when the Series A notes are fully repaid, in essence converting the Series C notes to unsecured notes. In Moody's view, these differences in features do not warrant a notching distinction between the Series C and Series A notes. Moody's rates both series of second lien notes at the same level as CIT's corporate family rating because, at about $21 billion outstanding (pro forma), they represent a significant proportion of the firm's total debt and deposits of about $40 billion (proforma). In its last CIT rating action on August 13, 2010, Moody's assigned a rating of B1 to CIT's senior secured term loan facility. CIT Group, Inc., is a bank holding company with headquarters in New York City and Livingston, New Jersey. COUNTRYWIDE MORTGAGE: Moody's Downgrades Ratings on 88 Tranches --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 88 tranches and confirmed the ratings of nine tranches from 17 Alt-A deals issued by Countrywide. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Alt-A residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Alt-A pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued before 2005. The principal methodology used in these ratings was "Pre-2005 US RMBS Surveillance Methodology" published in January 2011. The rating on the IO tranche Cl. M-IO in the deal CWALT, Inc. Mortgage Pass-Through Certificate, Series 2004-J8, is tied to the credit profile of the bonds referenced by this IO tranche. Because Moody's expect a majority of the bonds referenced by this IO tranche to be written down, the tranche is rated C. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 10.10%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service published credit rating methodologies allow for the withdrawal of a credit rating if the size of the pool outstanding at the time of the withdrawal has fallen below a specified level. Moody's current RMBS surveillance methodologies apply to pools with at least 40 loans and a pool factor of greater than 5%. As a result, Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for monitoring of the transaction (such as a credit enhancement floor). Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Alternative Loan Trust 2004-J9 -- Cl. 1-A-3, Downgraded to Aa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Aa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Aa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Aa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-4, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-5, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-J13 -- Cl. 1-A-2, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-J4 -- Cl. 1-A-4, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on Apr 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-J5 -- Cl. 1-A-5, Downgraded to A1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to A2 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to A2 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to A2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-J6 -- Cl. 1-A-1, Downgraded to A2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to A2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to A2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to A2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to A2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-X, Downgraded to A2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to A2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-J7 -- Cl. 1-A-3, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Ba3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Ba3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to A2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to C (sf); previously on Apr 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-J8 -- Cl. 1-A-1, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-X, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-X, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-A, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO-B, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-IO, Downgraded to C (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade Issuer: CWMBS, Inc. Alternative Loan Trust 2002-12 -- Cl. A-8, Withdrawn (sf); previously on Oct 21, 2002 Assigned Aaa (sf) -- Cl. PO, Withdrawn (sf); previously on Oct 21, 2002 Assigned Aaa (sf) -- Cl. M, Withdrawn (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Withdrawn (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Withdrawn (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2003-16 -- Cl. A-5, Downgraded to Aa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Aa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Aa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Aa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2003-33 -- Cl. A-2, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to A1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to A1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to A1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to A1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to A1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2003-38 -- Cl. A-1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2003-J11 -- Cl. 1-A-1, Downgraded to B2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to B2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to B2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to B3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to B1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to B1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to B2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to B2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to B1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to B1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to B2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to B3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-X, Downgraded to B1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to B2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-X, Downgraded to B2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to B2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2003-J12 -- Cl. A-1, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade CS FIRST: Moody's Downgrades Ratings on 206 Tranches ---------------------------------------------------- Moody's Investors Service has downgraded the ratings of 206 tranches, confirmed the rating of 18 tranches and withdrawn the ratings of 11 tranches from 30 Alt-A deals issued by CSFB. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Alt-A residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Alt-A pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued from prior to 2005. The principal methodology used in these ratings was "Pre-2005 US RMBS Surveillance Methodology" published in January 2011. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 10.10%. in addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service published credit rating methodologies allow for the withdrawal of a credit rating if the size of the pool outstanding at the time of the withdrawal has fallen below a specified level. Moody's current RMBS surveillance methodologies apply to pools with at least 40 loans and a pool factor of greater than 5%. As a result, Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for monitoring of the transaction (such as a credit enhancement floor). Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: CS First Boston Mortgage Securities Corp 2001-1 -- Cl. A-IO, Withdrawn (sf); previously on May 15, 2009 Confirmed at A2 (sf) Issuer: CSFB Mortgage Pass-Through Certificates, Series 2002-9 -- Cl. I-A-1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. I-X, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. I-P, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-1, Downgraded to Caa2 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-2, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2001-26 -- Cl. D-B-1, Downgraded to A1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. D-B-2, Downgraded to Caa3 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. D-B-3, Downgraded to C (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2001-28 -- Cl. I-A-1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Baa1 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to Baa1 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-X, Downgraded to Baa1 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-P, Downgraded to Baa1 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-1, Confirmed at Ca (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2002-10 -- II-A-1, Downgraded to A2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- II-X, Downgraded to A2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- II-B-1, Downgraded to Caa1 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- II-B-2, Downgraded to C (sf); previously on Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- I-M-1, Downgraded to A1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- I-M-2, Confirmed at Baa2 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- I-B, Confirmed at Ca (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2002-18 -- Cl. II-A-1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. II-X, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. II-P, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. II-PP, Downgraded to Aa3 (sf); previously on Jun 25, 2002 Assigned Aaa (sf) -- Cl. II-B-1, Downgraded to Caa2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-B-2, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2002-22 -- Cl. II-M-2, Downgraded to Baa2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-B-1, Downgraded to Caa3 (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-B-2, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2002-24 -- Cl. I-B-1, Downgraded to Aa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2002-26 -- Cl. I-A-4, Withdrawn (sf); previously on Oct 24, 2002 Assigned Aaa (sf) -- Cl. I-A-28, Withdrawn (sf); previously on Oct 24, 2002 Assigned Aaa (sf) -- I-A-34, Withdrawn (sf); previously on Oct 24, 2002 Assigned Aaa (sf) -- I-A-35, Withdrawn (sf); previously on Oct 24, 2002 Assigned Aaa (sf) -- Cl. I-X, Withdrawn (sf); previously on Oct 24, 2002 Assigned Aaa (sf) -- Cl. I-P, Withdrawn (sf); previously on Oct 24, 2002 Assigned Aaa (sf) -- Cl. I-B-1, Withdrawn (sf); previously on Sep 25, 2003 Upgraded to Aaa (sf) -- Cl. I-B-2, Withdrawn (sf); previously on Jan 7, 2005 Upgraded to Aaa (sf) -- Cl. I-B-3, Withdrawn (sf); previously on Jan 7, 2005 Confirmed at A2 (sf) -- Cl. I-B-4, Withdrawn (sf); previously on Jan 7, 2005 Upgraded to Baa2 (sf) -- Cl. IV-B-3, Downgraded to B2 (sf); previously on Jul 23, 2009 Downgraded to Ba2 (sf) -- Cl. IV-B-4, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. III-M-3, Downgraded to Caa3 (sf); previously on Apr 15, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2002-29 -- Cl. I-B-2, Downgraded to Baa2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-3, Downgraded to Ca (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-4, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2002-30 -- Cl. D-B-1, Downgraded to Aa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. D-B-2, Downgraded to Caa2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. D-B-3, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2002-5 -- Cl. IV-B-1, Downgraded to B1 (sf); previously on Apr 15, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-B-2, Downgraded to C (sf); previously on Apr 15, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-B-3, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. P-P, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-1 -- Cl. D-B-2, Downgraded to Ba1 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. D-B-3, Downgraded to Ca (sf); previously on Apr 15, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. D-B-4, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-17 -- Cl. III-A-2, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-3, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-4, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-5, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-7, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. III-X, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. III-P, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IV-X, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IV-P, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. V-A-1, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. V-X, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. V-P, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. VI-A-1, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. VI-X, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IV-A-1, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. VII-A-1, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. VII-X, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. D-B-2, Downgraded to Caa3 (sf); previously on Apr 15, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. D-B-3, Downgraded to C (sf); previously on Apr 15, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-21 -- Cl. A-X, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. D-B-1, Downgraded to Ba1 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. D-B-2, Downgraded to Ca (sf); previously on Apr 15, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. D-B-3, Downgraded to C (sf); previously on Apr 15, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-8 -- Cl. D-B-1, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. D-B-2, Downgraded to Caa2 (sf); previously on Apr 15, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. D-B-3, Downgraded to C (sf); previously on Apr 15, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-AR2 -- Cl. V-A-1, Downgraded to Ba1 (sf); previously on Jul 23, 2009 Downgraded to A3 (sf) Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-AR26 -- Cl. I-A-1, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-2, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. III-X, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-A-1, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. V-A-1, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. VI-A-1, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. VII-A-1, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. VIII-A-1, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-1, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-2, Downgraded to C (sf); previously on Apr 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-3, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-4, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-AR28 -- Cl. VI-M-3, Downgraded to Ba1 (sf); previously on Jul 23, 2009 Downgraded to Baa1 (sf) Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-AR30 -- Cl. VI-M-2, Downgraded to Caa3 (sf); previously on Apr 15, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-AR5 -- Cl. III-M-2, Downgraded to Caa3 (sf); previously on Apr 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-4 -- Cl. I-A-3, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-4, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-5, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-6, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-7, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-8, Downgraded to A3 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-9, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-10, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-11, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-12, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-13, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-14, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-15, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-X, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-AR1 -- Cl. I-A-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-X, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-A-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. V-A-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. VI-M-1, Confirmed at Aa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. VI-M-2, Downgraded to Ca (sf); previously on Apr 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-1, Downgraded to Caa3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-3, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-2, Downgraded to C (sf); previously on Apr 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-AR2 -- Cl. I-A-1, Downgraded to Ba3 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Ba3 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to Ba3 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-A-1, Downgraded to Ba3 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. V-A-1, Downgraded to Ba3 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. VI-M-2, Downgraded to Ca (sf); previously on Apr 15, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. VI-M-3, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-1, Downgraded to Ca (sf); previously on Apr 15, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-2, Downgraded to C (sf); previously on Apr 15, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-3, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-AR3 -- Cl. I-A-1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-2, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IV-A-1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. V-A-1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-1, Downgraded to B3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-2, Downgraded to Ca (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-3, Downgraded to C (sf); previously on Apr 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-4, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. VI-M-2, Downgraded to Baa3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. VI-M-3, Downgraded to Ca (sf); previously on Apr 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-X, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. II-X, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. III-X, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-AR4 -- Cl. I-A-1, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-X, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-X, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-A-1, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. V-A-1, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. V-A-2, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. V-A-4, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. V-A-5, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. V-M-1, Downgraded to Caa3 (sf); previously on Apr 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-1, Downgraded to Ca (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-AR5 -- Cl. 1-A-1, Downgraded to B1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to B1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-X, Downgraded to B1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to B1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to B1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to B1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A-1, Downgraded to B1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-A-1, Downgraded to B1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-A-2, Downgraded to B1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-A-3, Downgraded to B1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-X, Downgraded to B1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 8-A-1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 9-A-1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 9-X, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 10-A-1, Downgraded to A3 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 10-A-2, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 11-A-1, Downgraded to Baa3 (sf); previously on Jun 28, 2004 Assigned Aaa (sf) -- Cl. 11-A-2, Downgraded to Baa3 (sf); previously on Jun 28, 2004 Assigned Aaa (sf) -- Cl. 11-M-1, Downgraded to Caa1 (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 11-M-2, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-1, Downgraded to Ca (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-2, Downgraded to C (sf); previously on Apr 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-3, Downgraded to C (sf); previously on Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-4, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-1, Downgraded to Caa2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-2, Downgraded to C (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-3, Downgraded to C (sf); previously on Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-AR6 -- Cl. 1-A-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-2, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-A-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 8-A-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-1, Downgraded to Caa2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-2, Downgraded to C (sf); previously on Apr 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-3, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. 9-M-1, Downgraded to Caa2 (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 9-M-2, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-AR7 -- Cl. 1-A-1, Downgraded to A1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to A1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to A1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to A1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to A1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-1, Downgraded to Caa3 (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-3, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-4, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CB-1X, Downgraded to Caa3 (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-M-1, Downgraded to Caa3 (sf); previously on Apr 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-M-2, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-AR8 -- Cl. 1-A-1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A-1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 7-A-1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-1, Downgraded to Caa2 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. C-B-3, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. CB-1X, Downgraded to Caa2 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 8-M-1, Downgraded to Caa3 (sf); previously on Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade DLJ COMMERCIAL: Moody's Affirms Ratings on 1999-CG2 Certs. ---------------------------------------------------------- Moody's Investors Service affirmed the ratings of two classes of DLJ Commercial Mortgage Corp., Commercial Mortgage Pass-Through Certificates, Series 1999-CG2: -- Cl. B-4, Affirmed at Ba2 (sf); previously on Jun 22, 1999 Definitive Rating Assigned Ba2 (sf) -- Cl. S, Affirmed at Aaa (sf); previously on Jun 22, 1999 Definitive Rating Assigned Aaa (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain the existing ratings. Moody's rating action reflects a cumulative base expected loss of 10.8% of the current balance. Moody's stressed scenario loss is 15.2% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 16, compared to 95 at Moody's prior full review. The decline in Herf has been partially offset by increased subordination due to loan payoffs and amortization. In cases where the Herf falls below 20, Moody's employs also the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated May 10, 2007. Deal Performance As of the March 10, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 94% to $89.7 million from $1.55 billion at securitization. The Certificates are collateralized by 37 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten non-defeased loans representing 63% of the pool. Two loans, representing 1% of the pool, have defeased and are secured by U.S. Government securities. Twelve loans, representing 31% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Thirty-eight loans have been liquidated from the pool since securitization, resulting in an aggregate $53.7 million loss (33% loss severity on average). Seven loans, representing 26% of the pool, are currently in special servicing. Moody's has estimated an aggregate $6.8 million loss (31% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for two poorly performing loans representing 7% of the pool and has estimated a $941,709 loss (15% expected loss based on a 30% probability default) from these troubled loans. Based on the most recent remittance statement, Classes B-6 through C have experienced cumulative interest shortfalls totaling $4.6 million. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions, extraordinary trust expenses and non-advancing by the master servicer based on a determination of non-recoverability. Moody's anticipates that the pool will continue to experience interest shortfalls due to the pool's high exposure to specially serviced loans and low aggregate bond balance. Moody's was provided with full year 2009 and partial year 2010 operating results for 99% and 84%, respectively, of the pool's non-defeased performing loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 71% compared to 79% at Moody's prior full review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.5%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.36X and 1.79X, respectively, compared to 1.39X and 1.48X at Moody's prior full review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 28% of the pool balance. The largest loan is the Pines of Westbury Loan ($10.8 million -- 12.0%), which is secured by a 940-unit multifamily property located in Houston, Texas. Property performance has declined due to the soft Houston multifamily market. The property was 72% leased as of January 2011. The loan is currently on the watchlist due to low DSCR. The loan passed its anticipated repayment date of December 2008 is amortizing on a 360-month schedule. Moody's LTV and stressed DSCR are 119% and 0.91X, respectively, compared to 124% and 0.87X at last full review. The second largest loan is the Hazelcrest Place Loan ($7.5 million -- 8.4%), which is secured by a 241-unit multifamily property located in suburban Detroit, Michigan. The property was 98% leased as of June 2010 and performance is stable. Moody's LTV and stressed DSCR are 65% and 1.53X, respectively, compared to 73% and 1.37X at last full review. The third largest loan is a portfolio of three supermarket anchored retail properties ($6.7 million -- 7.5% of the pool), totaling 151,658 square feet. Two properties are located in Massachusetts with the remaining property is in Rhode Island. Two of the three loans are on the watchlist; one due to low DSCR and the other for tax issues. Portfolio performance has deteriorated due to increased expenses but the loan is benefiting from amortization and has paid down 8% since Moody's last full review. Moody's LTV and stressed DSCR are 83% and 1.26X, respectively, compared to 86% and 1.22X at last full review. DLJ MORTGAGE: S&P Affirms 'B-' Rating on Class B-3OC Certs. ----------------------------------------------------------- Standard & Poor's Ratings Services affirmed its 'B- (sf)' rating on the class B-3OC commercial mortgage pass-through certificate from DLJ Mortgage Acceptance Corp.'s series 1997-CF2, a U.S. commercial mortgage-backed securities transaction. The affirmation reflects S&P's analysis of the transaction's remaining collateral, the deal structure, and the liquidity available to the trust. While the current credit enhancement level for class B-3OC has increased since S&P's last review, which occurred in March 2007, due to the deleveraging of the collateral and paydown of the pool, S&P's affirmation considers the overall performance of the five remaining assets in the transaction. S&P also considered the reduced liquidity and credit support available to the trust upon the eventual liquidation of the one specially serviced asset and the one asset S&P deemed credit-impaired. Transaction Summary As of the March 2011 trustee remittance report, the collateral had a principal balance of $37.7 million, which is 5.7% of the balance at issuance. The remaining collateral includes four loans and one real estate owned asset that is with the special servicer, down from 128 loans at issuance. Eleven loans in the transaction have experienced $32.4 million in principal losses. Details on the five remaining assets are: The West Ridge Market loan ($22.6 million; 59.8%), the largest exposure in the trust, is secured by a 257,046-sq.-ft. retail center, built in 1996, in Minnetonka, Minn. According to the Sept. 30, 2010 rent roll, the retail center had a reported occupancy of 97.8%, and is anchored by Dick's Sporting Goods (101,216 sq. ft.) and Bed Bath & Beyond Inc. (34,124 sq. ft.). The master servicer, KeyBank Real Estate Capital (KeyBank), reported a debt service coverage of 1.63x for the nine months ended Sept. 30, 2010. The Fox River Commons Shopping Center loan ($10.4 million; 27.6%), the second-largest exposure in the trust, is secured by a 222,175- sq.-ft. retail center, built in 1991, in Naperville, Ill. According to the Sept. 30, 2010, rent roll, the retail center had a reported occupancy of 93.2%, and is anchored by Bed Bath & Beyond Inc. (32,744 sq. ft.) and Office Depot Inc. (27,333 sq. ft.). KeyBank reported a DSC of 1.53x for the nine months ended Sept. 30, 2010. The Meadow Green Shopping Center ($3.7 million; 9.7%), the third- largest exposure in the trust, is with the special servicer, CWCapital Asset Management LLC. The 136,620-sq.-ft. retail shopping center in Eden, N.C., was transferred to the special servicer on Jan. 29, 2009, due to imminent default and became REO on April 26, 2010. KeyBank reported a DSC of 0.16x and an occupancy of 44.5% as of Dec. 31, 2009. CWCapital stated that it is pursuing leasing prospects while the property is listed for sale. An appraisal reduction amount of $2.0 million (based on an updated March 2010 appraisal value of $2.8 million) is in effect against the total exposure of $4.8 million. S&P expects a significant loss upon the eventual resolution of this asset. The Revco Drug Store loan ($629,102; 1.7%), the fourth-largest exposure in the trust, is secured by a 9,600-sq.-ft. retail building, built in 1997, in Tullahoma, Tenn. According to the June 30, 2010, rent roll, the retail property was 100% occupied by CVS Caremark Corp. under a lease that expires in 2017. KeyBank reported a DSC of 1.03x for the six months ended June 30, 2010. The Alta Vista Apartments loan ($434,344; 1.2%), the smallest exposure in the trust, is secured by a 252-unit multifamily apartment property in San Antonio, Texas. The loan is on the master servicer's watchlist due to delinquency. According to KeyBank, the borrower did not make the March 1, 2011 payment. KeyBank reported a low DSC of 0.07x for the six months ended June 30, 2010. The reported occupancy at the property was 73.3% according to the June 30, 2010 rent roll. S&P determined this loan to be credit-impaired due to its delinquent payment status and low DSC. Rating Affirmed DLJ Mortgage Acceptance Corp. Commercial mortgage pass-through certificates series 1997-CF2 Class Rating Credit enhancement (%) ----- ------ ---------------------- B-3OC B- (sf) 19.47 E*TRADE ABS: Fitch Downgrades Rating on Class A-1 to 'B' -------------------------------------------------------- Fitch Ratings has downgraded one class and affirmed three classes of notes issued by E*Trade ABS CDO III, Ltd./LLC, as a result of continued deterioration in the portfolio since Fitch's last rating action in March 2010. The rating actions are: -- $14,062,340 class A-1 notes downgraded to 'Bsf/LS5' from 'BB/LS5'; Outlook Negative; -- $37,750,000 class A-2 notes affirmed at 'Csf'; -- $37,900,000 class B notes affirmed at 'Csf'; -- $13,305,867 class C notes affirmed at 'Csf'. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model for projecting future default levels for the underlying portfolio. These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs', for the class A- 1 notes. Fitch also considered additional qualitative factors in its analysis, as described below, to conclude the rating actions for the notes. Since the last rating action in March 2010, the credit quality of the collateral has declined with approximately 46.4% of the portfolio downgraded a weighted average of 2.8 notches. Approximately 97.7% of the portfolio has a Fitch derived rating below investment grade and 78.5% has a rating in the 'CCC' rating category or lower, compared to 90.9% and 72.8% respectively, at last review. The credit deterioration in the underlying portfolio has increased the need for principal proceeds to cover shortfalls in interest collections. At the time of the previous review, principal proceeds were needed to cover a portion of class B accrued interest. Starting on the April 2010 distribution date, interest was insufficient to cover the total class A-2 accrued interest amount. On top of this gradual erosion of credit enhancement, there have also been writedowns in the portfolio. Principal amortization of the class A-1 notes has helped to offset some of deterioration, but a downgrade is still warranted to reflect the additional risk to the class. Fitch maintains a Negative Outlook on the class A-1 notes due to weakness in rising interest rate scenarios and the potential for negative migration in the underlying portfolio, with 6.6% and 4.3% of the portfolio having a Negative Outlook and being on Rating Watch Negative, respectively. Fitch does not maintain outlooks for tranches rated 'CCC' and below. The Loss Severity rating of 'LS5' for the class A-1 notes indicates the tranches' potential loss severity given default, as evidenced by the ratio of tranche size to the base-case loss expectation for the collateral, as explained in Fitch's 'Criteria for Structured Finance Loss Severity Ratings'. The LS rating should always be considered in conjunction with the notes' long- term credit rating. Fitch does not assign LS ratings to tranches rated 'CCC' and below. Breakeven levels for the class A-2, class B and class C notes were below SF PCM's 'CCC' default level, the lowest level of defaults projected by SF PCM. For these classes, Fitch compared the class's respective credit enhancement levels to expected losses from the distressed and defaulted assets in the portfolio (rated 'CCsf' or lower). This comparison indicates that default continues to appear inevitable for the three classes at or prior to maturity. The class A-2 and class B notes are rated to the timely receipt of interest and continue to receive their accrued interest each payment period. The class C notes are rated to the ultimate receipt of interest, and are not expected to receive any interest or principal distributions going forward. E*Trade III is a cash flow structured finance collateralized debt obligation that closed on Dec. 22, 2004. The static portfolio was originally selected by E*TRADE Global Asset Management, Inc and is now monitored by Vertical Capital LLC. The portfolio is comprised of 76% residential mortgage-backed securities, 20.7% SF CDOs, 2.3% commercial mortgage-backed securities and 1% commercial and consumer asset-backed securities from 2002 through 2004 vintage transactions. FAIRBANKS CAPITAL: Moody's Downgrades Ratings on 12 Tranches ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 12 tranches three Subprime deals issued by Faribanks and United Companies. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005). The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Certain securities are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Financial Guaranty Insurance Company are rated at their underlying rating without consideration of Financial Guaranty Insurance Company guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Fairbanks Capital Mortgage Loan Trust 1999-1 -- A, Downgraded to Aa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1, Downgraded to A2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-2, Downgraded to Baa2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- B, Downgraded to B1 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: UCFC Home Equity Loan Asset-Backed Certificates, Series 1998-C -- A-6, Downgraded to Caa3 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa3 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- A-7, Downgraded to Caa2 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa2 (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: UCFC Home Equity Loan Trust 1998-D -- MF-1, Downgraded to A1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- MF-2, Downgraded to Ca (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- BF-1, Downgraded to C (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- MV-1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- MV-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- BV-1, Downgraded to C (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade FAIRFIELD STREET: Moody's Cuts Ratings on 11 Classes of Notes ------------------------------------------------------------- Moody's has downgraded 11 classes of Notes issued by Fairfield Street Solar 2004-1 Ltd. Collateralized Debt Obligations due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor, and increase in Defaulted Securities since last review. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. Moody's rating action is: -- Cl. A, Downgraded to A1 (sf); previously on Apr 28, 2010 Downgraded to Aa2 (sf) -- Cl. A-2a, Downgraded to Aa3 (sf); previously on Apr 28, 2010 Confirmed at Aa2 (sf) -- Cl. A-2b, Downgraded to Baa1 (sf); previously on Apr 28, 2010 Downgraded to Aa3 (sf) -- Cl. B, Downgraded to Ba1 (sf); previously on Apr 28, 2010 Downgraded to A3 (sf) -- Cl. B-2, Downgraded to Ba1 (sf); previously on Apr 28, 2010 Downgraded to A3 (sf) -- Cl. C, Downgraded to B2 (sf); previously on Apr 28, 2010 Downgraded to Baa3 (sf) -- Cl. C-2, Downgraded to B2 (sf); previously on Apr 28, 2010 Downgraded to Baa3 (sf) -- Cl. D, Downgraded to Caa1 (sf); previously on Apr 28, 2010 Downgraded to Ba2 (sf) -- Cl. D-2, Downgraded to Caa1 (sf); previously on Apr 28, 2010 Downgraded to Ba2 (sf) -- Cl. E, Downgraded to Caa3 (sf); previously on Apr 28, 2010 Downgraded to B1 (sf) -- Cl. E-2, Downgraded to Caa3 (sf); previously on Apr 28, 2010 Downgraded to B1 (sf) Ratings Rationale Fairfield 2004-1 Ltd. is a static CRE CDO transaction backed by a portfolio commercial mortgage backed securities (67.6%), commercial real estate collateralized debt obligations (13.1%), REIT debt (10.2%), CMBS Rake Bonds (4.8%), and grantor trust loans (4.3%). As of the February 28, 2011 Trustee report, the aggregate Note balance of the transaction has decreased to $497.1 million from $515.0 million at issuance, with the paydown directed to the Class A-1 and Class A-2a Notes, as a result of amortization due to the end of the reinvestment end period in November 2009. There are 25 assets with par balance of $112.3 million (19.0% of the current pool balance) that are considered Defaulted Securities as of the February 28, 2011 Trustee report. Twenty-two of these assets (87.7% of the defaulted balance) are CMBS, two assets (7.1%) are CRE CDO, and one asset (5.2%) is a grantor trust loan. While there have been no realized losses to date, Moody's does expect significant losses to occur once they are realized. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life, weighted average recovery rate, and Moody's asset correlation. These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's have completed updated credit estimates for the non- Moody's rated assets. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 3,483 compared to 1,951 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (10.7% compared to 18.3% at last review), A1-A3 (10.4% compared to 8.0% at last review), Baa1-Baa3 (15.7% compared to 17.4% at last review), Ba1-Ba3 (20.4% compared to 31.4% at last review), B1-B3 (8.4% compared to 11.2% at last review), and Caa1-C (34.5% compared to 13.6% at last review). WAL acts to adjust the probability of default of the reference obligations in the pool for time. Moody's modeled to a WAL of 4.7 years compared to 6.3 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 25.1% compared to 32.4% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 6.9% compared to 17.3% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 25% to 15% or up to 35% would result in average rating movement on the rated tranches of 2 to 3 notches downward and 1 to 3 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. FALCON AUTO: Fitch Gives Ratings on Various Classes of Notes ------------------------------------------------------------ The substitution of collateral for cash for two loans in Falcon Auto Dealership, LLC Series 2001-1 & 2003-1 is unlikely to result in a withdrawal, downgrade, or suspension of ratings on two Falcon Auto Dealership trusts, according to Fitch Ratings. Fitch currently rates Falcon Auto Dealership, LLC: Series 2001-1 -- Class A-2 notes 'AA+sf'; Outlook Stable; -- Class B notes 'Asf'; Outlook Negative; -- Class C notes 'BBsf'; Outlook Negative; -- Class D notes 'CCCsf/RR5'; -- Class E and F notes 'Dsf/RR6'. Series 2003-1 -- Class A-1 notes 'BBsf'; Rating Watch Negative; -- Class A-2 notes 'BBsf'; Rating Watch Negative; -- Class B notes 'CCsf/RR6'; -- Class C, D, E, and F notes 'Csf/RR6'; FFCA SECURED: Moody's Upgrades Ratings on Various Classes of Notes ------------------------------------------------------------------ Moody's Investors Service has upgraded the Class C-1 and D-1 fixed rate and the Class C-2 and D-2 floating rate notes from FFCA Secured Franchise Loan Owner Trust 1999-1. The fixed and floating rate notes are backed by fixed and floating rate franchise loans, respectively, made to gas and convenience store operators. The complete rating action is: Issuer: Franchise Secured Franchise Loan Grantor Trust 1999-1 -- Class C-1, Upgraded to Baa1 (sf); previously on Nov 10, 2010 Baa3 (sf) Placed Under Review for Possible Upgrade -- Class C-2, Upgraded to Aaa (sf); previously on Nov 10, 2010 Baa3 (sf) Placed Under Review for Possible Upgrade -- Class D-1, Upgraded to Baa3 (sf); previously on Nov 10, 2010 Ba2 (sf) Placed Under Review for Possible Upgrade -- Class D-2, Upgraded to Baa2 (sf); previously on Nov 10, 2010 Ba2 (sf) Placed Under Review for Possible Upgrade The rating actions were prompted by the high levels of credit enhancement available to protect noteholders from collateral losses. As of the February 18th payment date, subordinated notes provide credit enhancement of 82% to the Class C-1 and Class C-2 notes, and 65% to the Class D-1 and D-2 notes. While the transaction is exposed to significant obligor concentrations risks in Go-Mart (50%) and United Dairy (17%), both of these obligors have remained current throughout the life of the deal. Moody's expect future cash flows from the pool to remain steady as formerly distressed obligors have been made current on payments through loan restructurings and modifications. As of the February 18th payment date, less than 1% of the collateral pool is in special servicing. The new ratings reflect the underlying concentration and default risks in the transaction as well as Moody's view on future performance of the collateral properties. The primary source of uncertainty for the transactions is the current macroeconomic environment and its impact on gas stations and convenience stores. The prolonged recovery may lead to future defaults as borrowers continue to suffer from cash flow constraints. In order to estimate losses on the collateral pool, Moody's calculates the expected loss given default of the obligors that have become nonperforming, and also estimates future losses on the performing portion of the pool, all as a percentage of the outstanding pool balance. In evaluating the nonperforming loans, key factors include collateral valuations and expected recovery rates, volatility around those recovery rates, historical obligor performance, time until recovery or liquidation on defaulted obligors, concessions due to restructuring which may negatively impact the overall cash flow of the trust and/or the collateral, and future industry expectations. In evaluating the performing portion of the pool, Moody's estimate default rates based on industry outlook and credit quality of underlying concepts and/or borrowers, with additional stress applied for highly concentrated pools, such as the FFCA pool related to this action. Moody's then apply a stressed loss severity that accounts for historical loss experience as well as possible future deterioration of the underlying collateral. Moody's total losses are then evaluated against the available credit enhancement provided by overcollateralization, subordination, and excess spread if available. Sufficiency of coverage is considered in light of remaining borrower concentrations and concepts, remaining bond maturities, and economic outlook. Moody's Investor Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. FIRST 2004-I: Moody's Upgrades Ratings on Various Classes --------------------------------------------------------- Moody's Investors Service announced that it has upgraded ratings of these notes issued by First 2004-I CLO Ltd.: -- US$13,000,000 Class A-2 Senior Secured Notes Due 2016, Upgraded to Aaa(sf); previously on July 31, 2009 Downgraded to A1 (sf); -- US$245,000,000 Class A-3 Senior Secured Notes Due 2016 (current outstanding balance of $168,192,830), Upgraded to Aaa (sf); previously on July 31, 2009 Downgraded to Aa2 (sf); -- US$40,000,000 Class B Senior Secured Interest Deferrable Notes due 2016, Upgraded to A3 (sf); previously on July 31, 2009 confirmed at Ba1 (sf); -- US$15,000,000 Class C Senior Secured Interest Deferrable Notes due 2016, Upgraded to Ba1 (sf); previously on July 31, 2009 Confirmed at B1 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from the delevering of the Class A-1 Notes and Class A-3 Notes, which have been paid down by approximately $40 million and $75 million, respectively, since the rating action in July 2009. As a result of the delevering, the overcollateralization ratios have increased since the rating action in July 2009. As of the latest trustee report dated February 15, 2011, the Class A, Class B and Class C overcollateralization ratios are reported at 137.3%, 118.2% and 113.1%, respectively, versus July 2009 levels of 120.2%, 108.5% and 104.7%, respectively. Moody's also notes that the deal has benefited from improvement in the credit quality of the underlying portfolio since the rating action in July 2009. Improvement in the credit quality is observed through an improvement in the average credit rating (as measured by the weighted average rating factor) and a decrease in the proportion of securities from issuers rated Caa1 and below. In particular, as of the latest trustee report dated February 15, 2011, the weighted average rating factor is currently 2533 compared to 2882 in the July 2009 report, and securities rated Caa1/CCC+ or lower make up approximately 9.6% of the underlying portfolio versus 17.9% in July 2009. Additionally, defaulted securities total about $2.7 million of the underlying portfolio compared to $42 million in July 2009. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $353 million, defaulted par of $2.7 million, a weighted average default probability of 20.88% (implying a WARF of 3341), a weighted average recovery rate upon default of 45%, and a diversity score of 50. These default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. First 2004-I CLO, Ltd., issued in July 27, 2004, is a collateralized loan obligation, backed primarily by a portfolio of senior secured loans. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. This is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF --20% (2673) -- Class A-1: 0 -- Class A-2: 0 -- Class A-3: 0 -- Class B: +2 -- Class C: +1 Moody's Adjusted WARF +20% (4009) -- Class A-1: 0 -- Class A-2: -1 -- Class A-3: -1 -- Class B: -2 -- Class C: -2 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) Delevering: The main source of uncertainty in this transaction is whether delevering from unscheduled principal proceeds will continue and at what pace. Delevering may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. FIRST UNION: Fitch Downgrades Ratings on Four 2001-C3 Certs. ------------------------------------------------------------ Fitch Ratings has downgraded four classes of First Union National Bank Commercial Mortgage Trust, 2001-C3, commercial mortgage pass- through certificates due to an increase in Fitch expected losses, most of which involves increased losses on the specially serviced loans. As of the March 2011 distribution date, the pool's aggregate principal balance has been paid down by 64.8% to $288.4 million from approximately $818.8 million at issuance. Of the remaining 57 loans, 10 (22.5%) have defeased, two (10.3%) have anticipated repayment dates in 2011, and 37 (63.1%) non-defeased loans mature in 2011. There are four specially serviced loans in the pool (5.7%) Fitch expects unrated class P to be fully depleted from losses associated with the specially serviced assets. Interest shortfalls currently affect classes O and P. The largest specially serviced asset (2%) is an office building located in Wheaton, IL. The loan transferred to special servicing in December 2010, and the special servicer is reviewing options to restructure the loan while continuing to pursue foreclosure. The second largest specially serviced asset (1.4%) is a multifamily property located in LaPorte, TX. The loan transferred to special servicing in March 2011 due to maturity default. The third largest specially serviced asset (1.3%) is an office building located in Addison, TX. The loan transferred to special servicing in August 2008, and foreclosure was completed in May 2009. The loan is real estate owned. Fitch downgrades these classes and assigns Loss Severity and Recovery Ratings: -- $6.1 million class L to 'BB/LS4' from 'BBB-/LS4'; Outlook to Stable from Negative; -- $4.1 million class M to 'B/LS5' from 'BB+/LS5'; Outlook Negative; -- $6.1 million class N to 'CCC/RR1' from 'BB/LS5'; -- $4.1 million class O to 'C/RR4' from 'B-/LS5'. Fitch also affirms these classes: -- $115.3 million class A-3 at 'AAA/LS1'; Outlook Stable; -- Interest-only class IO-II at 'AAA'; Outlook Stable; -- $33.8 million class B at 'AAA/LS3'; Outlook Stable; -- $12.3 million class C at 'AAA/LS3'; Outlook Stable; -- $23.5 million class D at 'AAA/LS3'; Outlook Stable; -- $11.3 million class E at 'AAA/LS3'; Outlook Stable; -- $12.3 million class F at 'AAA/LS3'; Outlook Stable; -- $12.3 million class G at 'AAA/LS3'; Outlook Stable; -- $12.3 million class H at 'AAA/LS3'; Outlook Stable; -- $18.4 million class J at 'A/LS3'; Outlook Stable from Negative; -- $14.3 million class K at 'BBB/LS3'; Outlook to Stable from Negative. Fitch does not rate the $2.2 million class P. Classes A-1 and A-2 have paid in full. Fitch withdraws the rating on the interest-only class IO-I. FIRST UNION-LEHMAN: Moody's Affirms Ratings on 10 1998-C2 Certs. ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of ten classes of First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 1998- C2: -- Cl. C, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. D, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. E, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. IO, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. F, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. G, Affirmed at Aa3 (sf); previously on Jul 17, 2008 Upgraded to Aa3 (sf) -- Cl. H, Affirmed at Baa1 (sf); previously on Jul 17, 2008 Upgraded to Baa1 (sf) -- Cl. J, Affirmed at B1 (sf); previously on Jul 17, 2003 Confirmed at B1 (sf) -- Cl. K, Affirmed at Caa2 (sf); previously on Jun 18, 2009 Downgraded to Caa2 (sf) -- Cl. L, Affirmed at Ca (sf); previously on Jun 18, 2009 Downgraded to Ca (sf) Ratings Rationale The affirmations are due to key rating parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index remaining within acceptable ranges. Moody's rating action reflects a cumulative base expected loss of 6.0% of the current balance. At last review, Moody's cumulative base expected loss was 5.3%. Moody's stressed scenario loss is 9.7% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions and the CMBS Large Loan Model v 8.0. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 12, compared to 21 at Moody's prior review. In cases where the Herf falls below 20, Moody's employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. For deals that include a pool of credit tenant loans, Moody's currently uses a Gaussian copula model, incorporated in its public CDO rating model CDOROMv2.8 to generate a portfolio loss distribution to derive credit enhancement levels for CTL component. Under Moody's CTL approach, the rating of a transaction's certificates is primarily based on the senior unsecured debt rating (or the corporate family rating) of the tenant, usually an investment grade rated company, leasing the real estate collateral supporting the bonds. This tenant's credit rating is the key factor in determining the probability of default on the underlying lease. The lease generally is "bondable", which means it is an absolute net lease, yielding fixed rent paid to the trust through a lock-box, sufficient under all circumstances to pay in full all interest and principal of the loan. The leased property should be owned by a bankruptcy-remote, special purpose borrower, which grants a first lien mortgage and assignment of rents to the securitization trust. The dark value of the collateral, which assumes the property is vacant or "dark", is then examined to determine a recovery rate upon a loan's default. Moody's also considers the overall structure and legal integrity of the transaction. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated June 18, 2009. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the March 18, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 83% to $588.39 million from $3.41 billion at securitization. The Certificates are collateralized by 163 mortgage loans ranging in size from 1% to 13% of the pool. The pool includes one loan with a credit estimate, representing 8% of the pool and a credit tenant lease component, representing 22% of the pool. Twenty-two loans representing 13% of the pool have defeased and are collateralized with U.S. Government securities. Twenty-three loans, representing 14% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Eighty-four loans have been liquidated from the pool, resulting in an aggregate $53.17 million realized loss (17% loss severity on average). At last review the pool had an aggregate $43.29 million realized loss. Currently there are 14 loans, representing 19% of the pool, in special servicing. The largest loan in special servicing is the Broadmoor Austin Loan ($77.8 million -- 13.2%), which is secured by an eight-building, 1.2 million square foot office complex located in Austin, Texas. The loan was transferred to special servicing in January 2011 due to imminent default. The property is 100% leased to International Business Machines Corporation (IBM; Moody's senior unsecured rating Aa3 - stable outlook). Approximately 70% of the net rentable area expires in March 2011 while the remaining 30% of the NRA expires in March 2016. IBM has indicated that it wants to renew the space expiring in 2011 but at a rate significantly lower than it is currently paying. The special servicer is currently negotiating lease terms with the borrower. The loan has an anticipated repayment date in April 2011 with a final maturity in 2023. Moody's is not recognizing a loss on this loan at this time. The remaining 13 loans are secured by a mix of property types. Moody's has estimated an aggregate $15.2 million loss (49% expected loss on average) for 12 of the specially serviced loans. The master servicer has recognized an aggregate $8.0 million appraisal reduction for seven of the specially serviced loans. Moody's has assumed a high default probability for one poorly performing loan representing 9% of the pool and has estimated a $8.9 million aggregate loss (16% expected loss based on a 50% probability default) from this troubled loan. Moody's was provided with full or partial year 2010 operating results for 91% of the pool, excluding the CTL and defeased loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 66% compared to 75% at last review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.1%. Moody's actual and stressed DSCRs are 1.48X and 2.33X, respectively, compared to 1.35X and 1.72X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loan with a credit estimate is the IBM Corporate Office Complex Loan ($44.3 million -- 7.5%), which is secured by a five- building, 1.1 million square foot office complex located in Somers, New York. The property is 100% leased to IBM under a triple net lease that is coterminous with the loan maturity in October 2013. The loan fully amortizes during the term and has amortized by approximately 15% since last review. Property performance has been stable. Moody's current credit estimate and stressed DSCR are Aa1 and 3.68X, respectively, compared to Aa2 and 2.56X at last review. The top three performing loans represent 12% of the pool balance. The largest loan is the First Union Plaza Loan ($54.4 million -- 9.2%), which is secured by a 612,000 square foot office building located in Atlanta, Georgia. The property was 77% leased as of September 2010 compared to 74% at last review. Major tenants include Sutherland, Asbill and Brennan, LP (41% of the NRA; lease expiration April 2015) and Heery International (13% of the NRA; lease expiration September 2017). The loan is on the servicer's watchlist due to high vacancy. Performance has declined since last review because of decreased rental revenues. The loan matures in May 2013. Moody's is concerned about the re-finance risk associated with this loan and has classified it as a troubled loan. Moody's LTV and stressed DSCR are 142% and 0.7X, respectively, compared to 97% and 1.03X at last review. The second largest loan is the Clearwater Crossing Shopping Center Loan ($9.5 million -- 1.6%), which is secured by a 124,700 square foot retail center located in Indianapolis, Indiana. The property was 86% leased as of September 2010 compared to 93% at last review. Major tenants include Babies 'R' Us, Barnes & Noble and Office Max. Performance has declined due to increased vacancy. Moody's LTV and stressed DSCR are 91% and 1.19X, respectively, compared to 88% and 1.25X at last review. The third largest loan is the Cineplex Odeon Movie Theater Loan ($8.6 million -- 1.5%), which is secured by a movie theater located in Hodgkins, Illinois. The property is 100% leased to Plitt Theaters, Inc. through February 2023. Moody's LTV and stressed DSCR are 92% and 1.14X, respectively, compared to 96% and 1.21X at last review. The CTL component includes 58 loans ($114.7 million -- 22.8%) secured by properties leased to 14 tenants under bondable leases. The largest exposures are Brinker International, Inc. (40% of the CTL component; Moody's LT senior unsecured rating Ba1 -- stable outlook), CVS Corp. (17%; Moody's LT senior unsecured rating Baa2 -- stable outlook) and Walgreen Co. (11%; Moody's LT senior unsecured rating A2 -- stable outlook). The bottom-dollar weighted average rating factor for the CTL pool is 1,357, essentially the same as at last review. WARF is a measure of the overall quality of a pool of diverse credits. The bottom-dollar WARF is a measure of the default probability within the pool. FMAC LOAN: Moody's Upgrades Ratings on Various Classes of Certs. ---------------------------------------------------------------- Moody's Investors Service has upgraded the Class A-3 and Class B certificates from FMAC Loan Receivables Trust 1998-C. The certificates are backed by franchise loans made to fast-food and casual dining restaurants. Credit enhancement for the certificates consists of subordination and overcollateralization of the certificates by the loans. The rating action was prompted by high levels of credit enhancement available to protect certificate holders from collateral losses. The complete rating action is: Issuer: FMAC Loan Receivables Trust 1998-C -- Class A-3, Upgraded to Ba1 (sf); previously on Nov 11, 2010 Caa1 (sf) Placed Under Review for Possible Upgrade -- Class B, Upgraded to B3 (sf); previously on Nov 11, 2010 C (sf) Placed Under Review for Possible Upgrade As of the March 15th payment date, the Class A-3 and Class B certificates benefit from credit enhancement of 81 % and 37% respectively as a percentage of the current pool balance. However, the transaction has 9 loans in special servicing which comprise 23% of the current pool balance and the largest borrower represents 25% percent of the current pool, creating some obligor concentration risk in the pool, and therefore the upgraded certificates are still non-investment grade. The new ratings reflect the underlying risks in the transaction as well as Moody's view on future performance of the collateral properties. The primary source of uncertainty for the transactions is the current macroeconomic environment and its impact on the restaurant and fast food industry. Moody's current outlook on the restaurant industry is stable but weak as many fast food restaurants remain under financial pressure. In order to estimate losses on the collateral pool, Moody's calculates the expected loss given default of the obligors that have become nonperforming, and also estimates future losses on the performing portion of the pool, all as a percentage of the outstanding pool balance. In evaluating the nonperforming loans, key factors include collateral valuations and expected recovery rates, volatility around those recovery rates, historical obligor performance, time until recovery or liquidation on defaulted obligors, concessions due to restructuring which may negatively impact the overall cash flow of the trust and/or the collateral, and future industry expectations. In evaluating the performing portion of the pool, Moody's estimate default rates based on industry outlook and credit quality of underlying concepts and/or borrowers, with additional stress applied for highly concentrated pools, such as the FMAC pool related to this action. Moody's then apply a stressed loss severity that accounts for historical loss experience as well as possible future deterioration of the underlying collateral. Moody's total losses are then evaluated against the available credit enhancement provided by overcollateralization, subordination, and excess spread if available. Sufficiency of coverage is considered in light of remaining borrower concentrations and concepts, remaining bond maturities, and economic outlook. Moody's Investor Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. FREMONT HOME: Moody's Downgrades Ratings on 71 Tranches ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 71 tranches from 14 Subprime deals issued by Fremont. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005). The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Certain securities, as noted below, are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Fremont Home Loan Trust 1999-3 -- Cl. A-1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-2, Downgraded to Ba1 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Fremont Home Loan Trust 2002-1 -- Cl. M-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Fremont Home Loan Trust 2002-2 -- Cl. M-1, Downgraded to B2 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2A, Downgraded to B2 (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2B, Downgraded to B2 (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: Fremont Home Loan Trust 2003-1 -- Ser. 2003-1 Cl. M-1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Ser. 2003-1 Cl. M-2, Downgraded to Caa2 (sf); previously on May 28, 2009 Downgraded to Ba1 (sf) Issuer: Fremont Home Loan Trust 2003-A -- Cl. M-1, Downgraded to Baa3 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B1 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: Fremont Home Loan Trust 2003-B -- Cl. M-1, Downgraded to Baa3 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2 (sf); previously on May 28, 2009 Downgraded to A3 (sf) -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Fremont Home Loan Trust 2004-1 -- Cl. M-1, Downgraded to A1 (sf); previously on Dec 27, 2007 Upgraded to Aaa (sf) -- Cl. M-2, Downgraded to B1 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Fremont Home Loan Trust 2004-2 -- Cl. M-1, Downgraded to Aa2 (sf); previously on Dec 27, 2007 Upgraded to Aaa (sf) -- Cl. M-2, Downgraded to Ba2 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-9, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Fremont Home Loan Trust 2004-3 -- Cl. M2, Downgraded to Caa1 (sf); previously on Mar 27, 2008 Downgraded to A2 (sf) -- Cl. M3, Downgraded to Ca (sf); previously on Mar 27, 2008 Downgraded to Baa1 (sf) Issuer: Fremont Home Loan Trust 2004-4 -- Cl. M-1, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Fremont Home Loan Trust 2004-A -- Cl. M-1, Downgraded to Ba3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Fremont Home Loan Trust 2004-B -- Cl. M-1, Downgraded to A2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba3 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B2 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to Ca (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-9, Downgraded to C (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Fremont Home Loan Trust 2004-C -- Cl. M-1, Downgraded to Ba3 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Fremont Home Loan Trust 2004-D -- Cl. M1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M2, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to Ca (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to Ca (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M6, Downgraded to Ca (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. M7, Downgraded to C (sf); previously on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade GMAC COMMERCIAL: S&P Downgrades Ratings on Six 2002-C2 Notes ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on six classes of commercial mortgage-backed securities from GMAC Commercial Mortgage Securities Inc.'s series 2002-C2. In addition, S&P affirmed its ratings on nine other classes from the same transaction. The ratings actions follow S&P's analysis of the transaction using its U.S. conduit/fusion CMBS criteria. The downgrades of the subordinate certificates reflect credit support erosion S&P believes will occur upon the resolution of the specially serviced asset in the transaction, as well as its analysis of the collateral in the pool, the deal structure, and the liquidity available to the trust. S&P's analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, S&P calculated an adjusted debt service coverage of 1.44x and a loan-to-value ratio of 82.3%. S&P further stressed the loans' cash flows under its 'AAA' scenario to yield a weighted average DSC of 1.15x and an LTV ratio of 103.5%. The implied defaults and loss severity under the 'AAA' scenario were 16.6% and 33.5%, respectively. The DSC and LTV calculations S&P noted above exclude one ($3.6 million; 0.7%) specially serviced asset and 33 defeased loans ($210.7 million; 39.9%). S&P separately estimated losses for the specially serviced asset, and included it in its 'AAA' scenario implied default and loss severity figures. S&P's rating actions are tempered by the volume of non-defeased, non-specially serviced loans that are scheduled to mature through July 2012 (56 loans, $299.2 million, 56.7% of the trust balance). While these loans have a weighted average DSC of 1.41x, S&P believes that some of these loans could face refinancing challenges given current market conditions. If these loans are not able to be refinanced at maturity, they could potentially be transferred to the special servicer, resulting in additional trust fund expenses. S&P affirmed its rating on the class X-1 interest only certificate based on its current criteria. Credit Considerations As of the March 2011 remittance report, one asset ($3.6 million, 0.7%) was with the special servicer, CWCapital Asset Management LLC. The Courtyard Apartments loan transferred to CWCapital on Feb. 5, 2010, due to imminent monetary default. The loan was foreclosed on Sept. 15, 2010, and the underlying property is currently real estate owned by the trust. The property is an 82- unit multifamily complex in Broomfield, Colo. As of Jan. 30, 2011, the property was 91.5% occupied. Reported DSC as of Dec. 31, 2009, was 0.71x. An appraisal reduction amount of $890,364 is currently in effect for this asset. S&P anticipate a moderate loss upon the eventual resolution of this asset. Transaction Summary As of the March 2011 trustee remittance report, the transaction had an aggregate trust balance of $527.8 million (91 loans), compared with $737.7 million (109 loans) at issuance. The master servicer, Berkadia Commercial Mortgage LLC, provided financial information for 97.7% of the nondefeased trust balance, all of which was full-year 2009, partial-year 2010, or full-year 2010 data. S&P calculated a weighted average DSC of 1.44x for the nondefeased loans in the pool based on the reported figures. S&P's adjusted DSC and LTV were 1.44x and 82.3%, respectively, and exclude the specially serviced asset and 33 defeased loans. S&P separately estimated losses for the specially serviced asset and included them in S&P's 'AAA' scenario implied default and loss severity figures. Twenty-two loans ($109.3 million, 20.7%) are on the master servicer's watchlist. Nine ($48.6 million, 9.2%) loans have a reported DSC below 1.1x, and seven ($43.0 million, 8.2%) of these loans have a reported DSC below 1.0x. To date, the pool has experienced principal losses totaling $11.3 million in connection with seven loans. Summary of Top 10 Real Estate Loans The top 10 loans secured by real estate have an aggregate outstanding balance of $136.6 million (25.9%). Using servicer- reported information, S&P calculated a weighted average DSC of 1.47x the top 10 loans. S&P's adjusted DSC and LTV figures for the top 10 loans were 1.44x and 76.0%, respectively. Three of the top 10 real estate loans are on the master servicer's watchlist, and are discussed below. The Northway Mall loan ($18.4 million, 3.5%) is the second-largest loan in the pool and is secured by a 209,066-sq.-ft. anchored retail center in Albany, N.Y. The loan appears on the master servicer's watchlist due to low DSC. Reported DSC as of Dec. 31, 2009 was 0.93x. However, this has increased to 1.09x as of the six months ended June 30, 2010. Per the master servicer, the borrower has recently leased all previously vacant space at the property, including an anchor tenant space, which S&P anticipate will have a positive effect on property's cash flow. As of Oct. 1, 2010, the property was 100% occupied. The Bernal Shopping Center loan ($13.6 million, 2.6%) is the third-largest loan in the pool and is secured by a 203,340 sq.-ft. anchored retail center in San Jose, Calif. The loan appears on the master servicer's watchlist due to a major tenant's lease expiration. The borrower has indicated that the tenant, Save Mart (65,062 sq.-ft., 31.8% of gross leasable area), is on a month-to- month lease and will remain so for the foreseeable future. As of Dec. 31, 2010, the reported DSC for the property was 1.96x with 99.1% occupancy. The Pierside Pavilion loan ($13.5 million, 2.6%) is the fourth- largest loan in the pool and is secured by a 78,784 sq.-ft. unanchored retail property in Huntington Beach, Calif. The loan appears on the master servicer's watchlist due to an occupancy decrease. Reported occupancy as of Dec. 31, 2009, was 63.6%. However, according to the master servicer, a new tenant signed a lease for a previously vacated 26,000 sq.-ft. space comprising 33.0% of the property's gross leasable area. Reported DSC as of Dec. 31, 2009, was 1.17x. Standard & Poor's stressed the loans in the pool according to its criteria and the resultant credit enhancement levels are consistent with its lowered and affirmed ratings. Ratings Lowered GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2002-C2 Rating ------ Class To From Credit enhancement (%) ----- -- ---- ---------------------- J BBB (sf) BBB+ (sf) 7.65 K BB+ (sf) BBB- (sf) 5.20 L BB- (sf) BB+ (sf) 4.15 M B (sf) BB- (sf) 3.11 N CCC+ (sf) B (sf) 1.36 O CCC (sf) B- (sf) 0.66 Ratings Affirmed GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2002-C2 Class Rating Credit enhancement (%) ----- ------ ---------------------- A-3 AAA (sf) 28.44 B AAA (sf) 23.02 C AAA (sf) 21.45 D AAA (sf) 17.08 E AA+ (sf) 15.69 F AA (sf) 13.94 G A+ (sf) 11.49 H A- (sf) 9.75 X-1 AAA (sf) N/A N/A -- not applicable. GS MORTGAGE: DBRS Assigns Provisional Rating of Class E at 'BB' --------------------------------------------------------------- DBRS has assigned provisional ratings to the following classes of GS Mortgage Securities Trust, Series 2011-GC3. The trends are Stable. -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at BBB (sf) -- Class E at BB (sf) -- Class F at B (sf) -- Class G at NR (sf) The collateral consists of 57 fixed-rate loans secured by 111 multifamily, mobile home parks and commercial properties. The portfolio has a balance of $1,400,625,368. The pool benefits from low leverage financing with a DBRS weighted- average Term DSCR and debt yield of 1.57x and 10.6%, respectively, based on the trust amount. The pool also benefits from strong amortization as 12.3 % of the pool amortizes down by maturity. DBRS shadow-rates two loans, representing 5.8% of the pool, investment grade. The investment-grade shadow-rated loans indicate the long-term stability of the underlying assets. GSMCS 2011-GC3: Moody's Assigns Ratings on 10 2011-GC3 Certs. ------------------------------------------------------------- Moody's Investors Service has assigned provisional to ratings ten class of CMBS securities, issued by GSMCS 2011-GC3, Commercial Mortgage Pass-Through Certificates, Series 2011-GC3. -- US$86M Cl. A-1 Certificate, Assigned (P)Aaa (sf) -- US$399M Cl. A-2 Certificate, Assigned (P)Aaa (sf) -- US$128M Cl. A-3 Certificate, Assigned (P)Aaa (sf) -- US$532.011M Cl. A-4 Certificate, Assigned (P)Aaa (sf) -- US$59.526M Cl. B Certificate, Assigned (P)Aa3 (sf) -- US$54.275M Cl. C Certificate, Assigned (P)A3 (sf) -- US$59.526M Cl. D Certificate, Assigned (P)Baa3 (sf) -- US$24.511M Cl. E Certificate, Assigned (P)Ba2 (sf) -- US$19.259M Cl. F Certificate, Assigned (P)B2 (sf) -- Cl. X Certificate, Assigned (P)Aaa (sf) Ratings Rationale The Certificates are collateralized by 57 fixed rate loans secured by 111 properties. The ratings are based on the collateral and the structure of the transaction. Moody's CMBS ratings methodology combines both commercial real estate and structured finance analysis. Based on commercial real estate analysis, Moody's determines the credit quality of each mortgage loan and calculates an expected loss on a loan specific basis. Under structured finance, the credit enhancement for each certificate typically depends on the expected frequency, severity, and timing of future losses. Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's LTV ratio. The Moody's Actual DSCR of 1.71X is higher than the 2007 conduit/fusion transaction average of 1.31X. The Moody's Stressed DSCR of 1.22X is higher than the 2007 conduit/fusion transaction average of 0.92X. Moody's Trust LTV ratio of 89.6% is lower than the 2007 conduit/fusion transaction average of 110.6%. Moody's Total LTV ratio (inclusive of subordinated debt) of 92.0% is also considered when analyzing various stress scenarios for the rated debt. Moody's also considers both loan level diversity and property level diversity when selecting a ratings approach. With respect to loan level diversity, the pool's loan level Herfindahl Index is 23. The score is within the band of Herfindahl scores found in most multi-borrower transactions issued since 2009. With respect to property level diversity, the pool's property level Herfindahl Index is 34. The transaction's property diversity profile is higher than the indices calculated in most multi-borrower transactions issued since 2009. Moody's also grades properties on a scale of 1 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 2.25, which is in the band of average grades found in previously rated conduit and fusion securitizations. The transaction benefits from four loans, representing approximately 6.0% of the pool balance in aggregate, assigned an investment grade credit estimate. Loans assigned investment grade credit estimates are not expected to contribute any loss to a transaction in low stress scenarios, but are expected to contribute minimal amounts of loss in high stress scenarios. Moody's analysis employs the excel-based CMBS Conduit Model v2.50 which derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level DSCR and LTV ratios. Major adjustments to determining proceeds include loan structure, property type, sponsorship and diversity. The V Score for this transaction is assessed as Low/Medium, the same as the V score assigned to the U.S. Conduit and CMBS sector. This reflects typical volatility with respect to the critical assumptions used in the rating process as well as an average disclosure of securitization collateral and ongoing performance. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling, and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If Moody's value of the collateral used in determining the initial rating were decreased by 5%, 14%, or 23%, the model-indicated rating for the currently rated Aaa classes would be Aa1, Aa2, A1, respectively. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time; rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. GULF STREAM-COMPASS: S&P Raises Ratings on Various Classes ---------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2, B, C, and D notes from Gulf Stream-Compass CLO 2005-1 Ltd., a collateralized loan obligation of leveraged loans transaction managed by Gulf Stream Asset Management LLC. At the same time, S&P removed its ratings on the class A-1, A-2, and B notes from CreditWatch with positive implications. The upgrades reflect the improved performance S&P has observed in the transaction since its last rating action in November 2009 and a reduction in the outstanding balance of the class A-1 and A-2 notes. According to the Feb. 8, 2011 trustee report, the transaction held approximately $3 million in defaulted assets, down from $25 million noted in the Oct. 5, 2009 trustee report. In addition, assets from obligors rated in the 'CCC' category were approximately 9% of the collateral pool in February 2011, compared with 11% in October 2009. The senior overcollateralization ratio improved to 124.3% in February 2011 from 114.6% as of October 2009. The class A-1 and A-2 notes have paid down $123.6 million and $12.4 million, respectively, since the transaction's reinvestment period ended in May 2010. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as S&P deems necessary. Rating And Creditwatch Actions Gulf Stream-Compass CLO 2005-1 Ltd. Class To From ----- -- ---- A-1 AAA (sf) AA+ (sf)/Watch Pos A-2 AAA (sf) AA+ (sf)/Watch Pos B AA+ (sf) A+ (sf)/Watch Pos C A+ (sf) BBB+ (sf) D BBB (sf) BB (sf) HALCYON 2005-2: Moody's Downgrades Ratings on Various Classes ------------------------------------------------------------- Moody's has downgraded all classes of Notes issued by Halcyon 2005-2, Ltd. Two of the key indicators of the expected loss within CRE CDO transactions, weighted average rating factor and weighted average recovery rate, are performing worse than at prior review. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. -- Cl. A, Downgraded to Ba3 (sf); previously on May 19, 2010 Downgraded to Baa3 (sf) -- Cl. B, Downgraded to Caa1 (sf); previously on May 19, 2010 Downgraded to Ba2 (sf) -- Cl. C, Downgraded to Caa3 (sf); previously on May 19, 2010 Downgraded to Ba3 (sf) Ratings Rationale Halcyon 2005-2, Ltd., is a static synthetic CRE CDO transaction backed by a reference portfolio of commercial mortgage backed securities collateral (100.0% of the pool). As of February 25, 2011, the aggregate rated Notes balance of the transaction is EUR64.2 million and $15.8 million, the same as at issuance. As of the last payment period, there is a nominal interest shortfall outstanding on the Class C Notes. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life, weighted average recovery rate, and Moody's asset correlation. These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's have completed updated credit estimates for the non- Moody's rated reference obligations. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 238 compared to 65 at last review. The distribution of current ratings and credit estimates is: Aaa-Aa3 (26.7% compared to 76.7% at last review), A1-A3 (46.7% compared to 20.0% at last review), Baa1-Baa3 (23.3% compared to 3.3% at last review) and B1-B3 (3.3% compared to 0.0% at last review). WAL acts to adjust the probability of default of the reference obligations in the pool for time. Moody's modeled to a WAL of 4.0 years compared to 4.5 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral reference obligations in the pool. Moody's modeled a fixed WARR of 46.3% compared to 54.7% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 48.1% compared to 59.0% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. In general, the rated Notes are particularly sensitive to rating changes within the collateral pool. Holding all other key parameters static, stressing all of the reference obligations by 1 notch downward, the resulting impact negatively affects the model results between 1 to 2 notch downward on average. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. HARBORVIEW MORTGAGE: Moody's Downgrades Ratings on 118 Tranches --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 118 tranches and confirmed the rating of one tranche from 13 Alt-A and Option-ARM deals issued by HarborView Mortgage Loan Trust. The collateral backing these deals primarily consists of first- lien, fixed and adjustable rate Alt-A and Option-ARM residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Alt-A and Option-ARM pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A and Option-ARM pools issued from prior to 2005. The principal methodology used in these ratings was "Pre-2005 US RMBS Surveillance Methodology" published in January 2011. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 10.10%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Certain securities, as noted below, are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. RMBS securities wrapped by Ambac Assurance Corporation are rated at their underlying rating without consideration of Ambac's guaranty. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: HarborView Mortgage Loan Trust 2003-2 -- Cl. 1-A, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to B1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2003-3 -- Cl. 1A-1, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-2, Confirmed at Aaa (sf); previously on Apr 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-3, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2004-1 -- Cl. 1-A, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to B1 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to Ca (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on Apr 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2004-10 -- Cl. 1-A-1, Downgraded to Ba1 (sf); previously on Apr 12, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2A, Downgraded to Baa2 (sf); previously on Apr 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2B, Downgraded to Ba1 (sf); previously on Apr 12, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Ba1 (sf); previously on Apr 12, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1B, Downgraded to Ba1 (sf); previously on Apr 12, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1A, Downgraded to Baa3 (sf); previously on Apr 12, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Ba1 (sf); previously on Apr 12, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-1, Downgraded to Baa2 (sf); previously on Apr 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to Ba1 (sf); previously on Apr 12, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-3, Downgraded to Ca (sf); previously on Apr 12, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on Apr 12, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 12, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2004-11 -- Cl. 1-A, Downgraded to Caa2 (sf); previously on Apr 12, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1A, Downgraded to Caa2 (sf); previously on Apr 12, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1B, Downgraded to Ca (sf); previously on Apr 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1B, Downgraded to Ca (sf); previously on Apr 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2B, Downgraded to Ca (sf); previously on Apr 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2A, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to Ca (sf); previously on Apr 12, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1A, Downgraded to Caa1 (sf); previously on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A2A, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A2B, Downgraded to Ca (sf); previously on Apr 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A3, Downgraded to Caa2 (sf); previously on Apr 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A4, Downgraded to Ca (sf); previously on Apr 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-1, Downgraded to Caa3 (sf); previously on Apr 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to Caa3 (sf); previously on Apr 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-3, Downgraded to Caa3 (sf); previously on Apr 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. X-B, Downgraded to C (sf); previously on Apr 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2004-2 -- Cl. 1A-1, Downgraded to Caa1 (sf); previously on Apr 12, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-1, Downgraded to Caa1 (sf); previously on Apr 12, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to Caa2 (sf); previously on Apr 12, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 12, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2004-3 -- Cl. 1-A, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2004-4 -- Cl. 1-A, Downgraded to A2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to A2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to A2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. X-1, Downgraded to A2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to A2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2004-5 -- Cl. 1-A, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2004-6 -- Cl. 1-A, Downgraded to Baa2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Baa2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-2A, Downgraded to Baa2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-2B, Downgraded to Baa2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to Baa2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Baa2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Caa3 (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2004-7 -- Cl. 1-A, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. X-1, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2004-8 -- Cl. 1-A, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A4A, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A4B, Downgraded to Ca (sf); previously on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 12, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: HarborView Mortgage Loan Trust 2004-9 -- Cl. 1-A, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A1A, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A1B, Downgraded to Ca (sf); previously on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A2, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A3, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 12, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade HIGHLAND LOAN: Moody's Downgrades Ratings on Various Notes ---------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of these notes issued by Highland Loan Funding V Ltd.: -- US$33,000,000 Class A-II-A Floating Rate Senior Notes due 2014, Downgraded to B1 (sf); previously on September 14, 2009 Downgraded to Baa3 (sf); -- US$10,000,000 Class A-II-B Fixed Rate Senior Notes due 2014, Downgraded to B1 (sf); previously on September 14, 2009 Downgraded to Baa3 (sf); -- US$24,500,000 Class B Floating Rate Senior Subordinate Notes due 2014 (current balance of $24,822,304), Downgraded to Ca (sf); previously on September 14, 2009 Downgraded to Caa1 (sf); -- US$25,000,000 Class C-1 Floating Rate Senior Subordinate Notes due 2014 (current balance of $24,033,395), Downgraded to C (sf); previously on September 14, 2009 Downgraded to Ca (sf); -- US$5,000,000 Class C-2 Fixed Rate Senior Subordinate Notes due 2014 (current balance of $5,226,972), Downgraded to C (sf); previously on September 14, 2009 Downgraded to Ca (sf); -- US$8,000,000 Class D Floating Rate Subordinate Notes due 2014 (current balance of $9,043,903), Downgraded to C (sf); previously on September 14, 2009 Downgraded to Ca (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes are a result of credit deterioration on the underlying portfolio since the last rating action in September 2009. Such credit deterioration is observed through an increase in the dollar amount of defaulted securities, an increase in the proportion of securities from issuers rated Caa1 and below, and failure of the Principal Coverage Tests. Based on the January 2011 trustee report, securities rated Caa1 and below make up approximately 7.1% of the underlying portfolio versus 4.1% in July 2009. The deal also experienced an increase in defaults. The dollar amount of defaulted securities has increased to $70.5 million, accounting for approximately 23.0% of the underlying portfolio, from approximately $64 million in July 2009, accounting for approximately 13.6% of the underlying portfolio in July 2009. Moody's also notes that the overcollateralization ratios of the rated notes have deteriorated. As of the January 2011 trustee report, the Class A, Class B, Class C, and Class D overcollateralization ratios are reported at 112.27%, 102.21%, 92.50%, and 89.80%, respectively, versus July 2009 levels of 117.13%, 109.96%, 102.87%, and 100.98%, respectively. Interest payments on the Class B, Class C, and Class D Notes are presently being deferred as a result of the failure of the Class A Principal Coverage Test. Additionally, Moody's noted that the portfolio includes a number of investments in securities that mature after the maturity date of the notes. As of the January 2011 trustee report, securities that mature after the maturity date of the notes make up approximately 28% of the underlying portfolio versus 4.5% in July 2009. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. Moody's also assessed the collateral pool's elevated concentration risk in debt obligations of companies in the banking, finance, real estate, and insurance industries, which Moody's views to be more strongly correlated in the current market environment. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $231.6 million, defaulted par of $70.5 million, a weighted average default probability of 29.3% (implying a WARF of 5010), a weighted average recovery rate upon default of 39.7%, and a diversity score of 29. These default and recovery properties of the collateral pool are incorporated in Moody's cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Highland Loan Funding V Ltd., issued in August of 2001, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. This is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARF - 20% (4008) -- Class A-I: +1 -- Class A-II-A: +2 -- Class A-II-B: +2 -- Class B: 0 -- Class C-1: 0 -- Class C-1: 0 -- Class D: 0 Moody's Adjusted WARF + 20% (6012) -- Class A-I: -2 -- Class A-II-A:-1 -- Class A-II-B: -1 -- Class B: 0 -- Class C-1: 0 -- Class C-1: 0 -- Class D: 0 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 2) Exposure to credit estimates: The deal is exposed to a large number of securities whose default probabilities are assessed through credit estimates. In the event that Moody's is not provided the necessary information to update the credit estimates in a timely fashion, the transaction may be impacted by any default probability stresses Moody's may assume in lieu of updated credit estimates. INDEPENDENCE I: Moody's Affirms Ratings on Two Classes of Notes --------------------------------------------------------------- Moody's has upgraded one and affirmed two classes of Notes issued by Independence I CDO, Ltd., due to the rapid pace of amortization of the senior class of Notes as a result of the senior overcollateralization tests combined with the maturity of an interest rate swap on the transaction providing for an increase in interest proceeds each payment period which are applied to amortize the Class A Notes. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation transactions. Moody's rating action is: -- Class A First Priority Senior Secured Floating Rate Notes, Upgraded to Ba1 (sf); previously on Apr 22, 2009 Downgraded to B1 (sf) -- Class B Second Priority Senior Secured Floating Rate Notes, Affirmed at Ca (sf); previously on Apr 22, 2009 Downgraded to Ca (sf) -- Class C Mezzanine Secured Floating Rate Notes, Affirmed at C (sf); previously on Feb 18, 2005 Downgraded to C (sf) Ratings Rationale Independence CDO I, Ltd., is a static CDO a potfolio of asset back securities (52.7% of the pool balance), commercial mortgage backed securities (33.7%), and collateralized debt obligations (13.6%). As of the February 28, 2011 Trustee report, the aggregate Note balance of the transaction has decreased to $124.3 million from $288.5 million at issuance, with paydown directed to the Class A Notes. The paydown results from the failure of the senior overcollateralization tests. There are seven assets with par balance of $15.5 million (13.3% of the current pool balance) that are considered Defaulted Securities as of the February 28, 2011 Trustee report. All of these assets are ABS securities. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life, weighted average recovery rate, and Moody's asset correlation. These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's have completed updated credit estimates for the non- Moody's rated assets. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF, excluding defaulted securities, of 3,342. The distribution of current ratings and credit estimates is: Aaa-Aa3 (16.2%), A1-A3 (9.8%), Baa1-Baa3 (16.4%), Ba1-Ba3 (12.7%), B1-B3 (12.8%), and Caa1-C (32.1%). WAL acts to adjust the probability of default of the assets in the pool for time. Moody's modeled to a WAL of 5.2 years. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a variable WARR with a mean of 27.5%. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 5.5%. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 27.5% to 17.5% or up to 37.5% does not result in any ratings movement on the rated tranches. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. IXIS REAL: Moody's Downgrades Ratings on Three Tranches ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 3 tranches from 1 Subprime deal issued by IXIS Real Estate Capital Trust. The collateral backing these deals primarily consists of first- lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005. The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: IXIS Real Estate Capital Trust 2004-HE4 -- Cl. M-1, Downgraded to Caa1 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade JP MORGAN: Moody's Affirms Ratings on 11 Series 2002-C3 Certs. -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 11 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2002-C3: -- Cl. X-1 Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-1, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. C, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. D, Affirmed at Baa2 (sf); previously on Jun 9, 2010 Downgraded to Baa2 (sf) -- Cl. E, Affirmed at Ba2 (sf); previously on Jun 9, 2010 Downgraded to Ba2 (sf) -- Cl. F, Affirmed at B3 (sf); previously on Jun 9, 2010 Downgraded to B3 (sf) -- Cl. G, Affirmed at Caa3 (sf); previously on Jun 9, 2010 Downgraded to Caa3 (sf) -- Cl. H, Affirmed at C (sf); previously on Jun 9, 2010 Downgraded to C (sf) -- Cl. J, Affirmed at C (sf); previously on Jun 9, 2010 Downgraded to C (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 5.0% of the current balance. At last review, Moody's cumulative base expected loss was 5.2%. Moody's stressed scenario loss is 8.7% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 31, essentially the same as at Moody's prior full review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated June 9, 2010. Please see the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the March 14, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 30% to $523.75 million from $745.33 million at securitization. The Certificates are collateralized by 74 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top ten loans representing 30% of the pool. Thirteen loans, representing 35% of the pool, have defeased and are collateralized with U.S. Government securities. Sixteen loans, representing 20% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Six loans have been liquidated from the pool since securitization, resulting in an aggregate $43.0 million loss (56% loss severity on average). Five loans, representing 7% of the pool, are currently in special servicing. The master servicer has recognized an aggregate $16.5 million appraisal reduction for the specially serviced loans. Moody's has estimated an aggregate $18.5 million loss (52% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for three poorly performing loans representing 2% of the pool and has estimated a $2.7 million aggregate loss (24% expected loss based on a 40% probability default) from these troubled loans. As of the most recent remittance statement date, the transaction has experienced unpaid accumulated interest shortfalls totaling $2.9 million affecting Classes G through NR. Interest shortfalls are caused by special servicing fees, appraisal reductions, extraordinary trust expenses and interest payment reductions due to loan modifications. Moody's expects interest shortfalls to increase due to the pool's high exposure to specially serviced loans. Moody's was provided with full or partial year 2010 operating results for 80% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 79%, essentially the same as at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.6%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.43X and 1.40X, respectively, compared to 1.45X and 1.32X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 13% of the pool balance. The largest loan is the Anderson Mall Loan ($26.6 million -- 5.1%), which is secured by a 393,236 square foot (SF) mall located in Anderson, South Carolina. As of September 2010 the property was 94% leased compared to 90% at last review. Anchor tenants include Belk, Dillard's, JC Penny and Sears. This loan is currently on the master servicer's watchlist due to decline in in-line vacancy and increased operating expenses. The loan matures in October 2012. Moody's LTV and stressed DSCR are 106% and 1.02X, respectively, essentially the same as at last review. The second largest loan is the Crossways Shopping Center Loan ($20.2 million -- 3.9% of the pool), which is secured by a 378,645 SF retail center located in Chesapeake, Virginia. As of April 2010 the property was 96% leased, essentially the same as at last review. Tenants include Value City Furniture (15% of the of the net rentable area; lease expiration April 2016), DSW Shoes (10% of the NRA; lease expiration July 2011) and Ross Dress for Less (8% of the NRA; lease expiration January 2013). The loan matures in September 2012. Performance is stable. Moody's LTV and stressed DSCR are 61% and 1.75X, respectively compared to 61% and 1.7X as at last review. The third largest loan is the 276 Fifth Avenue Loan ($19.7 million -- 3.6% of the pool), which is secured by 166,017 SF Class B office building located in the Penn Station submarket of New York City. As of February 2011 the property was 89% leased compared to 80% at last review. The loan matures in December 2012. Moody's LTV and stressed DSCR are 59% and 1.75X, respectively, compared to 65% and 1.57X at last review. JP MORGAN: S&P Assigns Ratings on 2011-C3 $1.49 Bil. Certs. ----------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-C3's $1.49 billion commercial mortgage pass-through certificates. The ratings reflect the credit support provided by the subordinate classes of certificates, the liquidity provided by the trustee, and the underlying loans' economics, geographic diversity, and property type diversity. In its analysis, S&P determined that, on a weighted average basis, the pool has a debt service coverage ratio of 1.31x based on a weighted average Standard & Poor's loan constant of 7.75%, a beginning loan-to-value ratio of 82.6%, and an ending LTV ratio of 72.3%. Following S&P's publication of the presale (see "Presale: J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-C3," published on Feb. 18, 2011), the issuer revised the deal's senior class of certificates. Accordingly, classes A-1, A-2, A-3, A-3FL, and A-4 have replaced classes A-1, A-2, A-2FL, and A-3. Ratings Assigned J.P. Morgan Chase Commercial Mortgage Trust 2011-C3 Class Rating Amount ($) ----- ------ ---------- A-1 AAA (sf) 81,337,000 A-2 AAA (sf) 318,728,000 A-3 AAA (sf) 228,561,000 A-3FL AAA (sf) 125,000,000 A-4 AAA (sf) 485,440,000 X-A(i) AAA (sf) 1,239,066,000(ii) X-B(i) NR 253,785,610(ii) B AA (sf) 41,054,000 C A+ (sf) 52,250,000 D A- (sf) 35,455,000 E BBB+ (sf) 41,053,000 F BBB (sf) 9,331,000 G BBB- (sf) 9,330,000 H BB+ (sf) 16,794,000 J BB (sf) 3,733,000 NR NR 44,785,610 (i)Interest-only class. (ii)Notional amount. NR--Not rated. JPMCC 2011-C3: Fitch Assigns Ratings on Various Certificates ------------------------------------------------------------ Fitch Ratings has assigned these ratings to JPMCC 2011-C3 commercial mortgage pass-through certificates with a Stable Rating Outlook: -- $81,337,000 class A-1 'AAAsf/LS1'; Outlook Stable; -- $318,728,000 class A-2 'AAAsf/LS1'; Outlook Stable; -- $228,561,000 class A-3 'AAAsf/LS1'; Outlook Stable; -- $125,000,000 class A-3FL 'AAAsf/LS1'#; Outlook Stable; -- $485,440,000 class A-4 'AAAsf/LS1'; Outlook Stable; -- $1,239,066,000 class X-A* 'AAAsf'; Outlook Stable; -- $41,054,000 class B 'AAsf/LS3'; Outlook Stable; -- $52,250,000 class C 'Asf/LS3'; Outlook Stable; -- $35,455,000 class D 'BBB+sf/LS3'; Outlook Stable; -- $41,053,000 class E 'BBB-sf/LS3'; Outlook Stable; -- $9,330,000 class G 'BBsf/LS4'; Outlook Stable; -- $16,794,000 class H 'Bsf/LS4'; Outlook Stable; -- $3,733,000 class J 'B-sf/LS5'; Outlook Stable. * Notional amount and interest only # Floating Rate Fitch does not rate the $253,785,610 interest only class X-B, the $9,331,000 Class F or the $44,785,610 class NR. Since publication of the presale, three loans have been impacted by the Borders Group bankruptcy. Borders Books has announced it will be closing numerous stores including one in Holyoke Mall (the largest loan in the pool) one at Clearwater Mall in the IAC Portfolio (fourth largest loan) and one at Medina Grande Shops (34th largest loan). The Borders space makes up approximately 1.6% of the total net rentable area at Holyoke Mall, 1.7% of the NRA in the IAC Portfolio and 15.3% of NRA at Medina Grande Shops. The decline in cash flow at the properties did not result in any adjustment to Fitch's enhancement levels. KINGSLAND III: S&P Raises Ratings on Various Classes of Notes ------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2, A-3, B, C-1, C-2, D-1, and D-2 notes from Kingsland III Ltd., a collateralized loan obligation transaction managed by Kingsland Capital Management LLC. At the same time, S&P removed the ratings on the class A-2 and A-3 notes from CreditWatch, where they were placed with positive implications on Jan. 3, 2011. S&P also affirmed its rating on the class A-1 notes. The upgrades reflect the improved performance S&P has observed in the transaction since S&P's last rating action on March 26, 2010. According to the Feb. 14, 2011 trustee report, the transaction held $3 million in defaulted assets, down from $15 million noted in the Feb. 14, 2010 trustee report. In addition, assets from obligors rated in the 'CCC' category were approximately $14 million in February 2011, compared with $23 million in February 2010. The class A overcollateralization ratio test improved to 126.02% in February 2011 from 122.57% in February 2010. In addition, the class C-1, C-2, D-1, and D-2 ratings were capped by the application of the largest obligor default supplemental test at the time of S&P's last rating action. As of February 2011, classes C-1 and C-2 had sufficient credit enhancement to withstand the combinations of underlying asset defaults specified by the largest obligor default supplemental test at the 'BB+ (sf)' rating level. Classes D-1 and D-2 had sufficient credit enhancement to withstand the combinations of underlying asset defaults specified by the largest obligor default supplemental test at the 'BB (sf)' rating level. The affirmation of the rating on the class A-1 notes reflects S&P's view that there is sufficient credit support available to the class at the current rating level. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as it deems necessary. Rating And Creditwatch Actions Kingsland III Ltd. Rating ------ Class To From ----- -- ---- A-2 AA+ (sf) AA- (sf)/Watch Pos A-3 AA- (sf) A+ (sf)/Watch Pos B BBB+ (sf) BB+ (sf) C-1 BB+ (sf) CCC+ (sf) C-2 BB+ (sf) CCC+ (sf) D-1 BB (sf) CCC- (sf) D-2 BB (sf) CCC- (sf) Rating Affirmed Kingsland III Ltd. Class Rating ----- ------ A-1 AAA (sf) LORAIN COUNTY: S&P Cuts Long-Term Rating on Housing Bonds to 'B' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its long-term rating on Lorain County Elderly Housing Corp., Ohio's (International Plaza and Harr Plaza projects) multifamily housing refunding revenue bonds series 1993A to 'B' from 'BBB'. The outlook is stable. The downgrade reflects S&P's opinion of the decline in debt service coverage ratio to 0.85x maximum annual debt service (MADS) for the fiscal year ended 2010; debt service reserve fund funded at seven months' MADS; and decline in incomes leading to a deterioration in the expenses ratio. The above weaknesses are partly offset by S&P's opinion of the increase in occupancy levels at the property to 98% and annual rental increases received by the project in 2010. "The stable outlook reflects S&P's opinion of coverage levels sufficient for the current rating of the property," said Standard & Poor's credit analyst Renee J. Berson. International Plaza is located in Lorain, Ohio. Harr Plaza is located in Elyria, Ohio. Both projects are similar in structure and construction. Each project contains 99-one bedroom units, and one two-bedroom unit. MARATHON CLO: Moody's Upgrades Ratings on Various Classes --------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Marathon CLO II Ltd.: -- US$273,000,000 CLASS A-1b Floating Rate Senior Secured Notes, Due 2019 (current outstanding balance of $257,687,836.2), Upgraded to Aa3 (sf); previously on June 18, 2009 Downgraded to A2 (sf); -- US$12,500,000 Class A-2 Floating Rate Senior Secured Notes, Due 2019, Upgraded to A2 (sf); previously on June 18, 2009 Downgraded to Baa2 (sf); -- US$22,000,000 Class B Floating Rate Senior Deferrable Interest Secured Notes, Due 2019, Upgraded to Baa2 (sf); previously on June 18, 2009 Confirmed at Ba3 (sf); -- US$22,500,000 Class C Floating Rate Senior Deferrable Interest Secured Notes, Due 2019, Upgraded to Ba3 (sf); previously on June 18, 2009 Confirmed at B3 (sf); -- US$10,200,000 Class D Floating Rate Subordinated Deferrable Interest Secured Notes, Due 2019, Upgraded to Caa2 (sf); previously on November 23, 2010 Ca (sf) Placed Under Review for Possible Upgrade Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily due to an increase in the transaction's overcollateralization ratios, and improvement in the credit quality of the underlying portfolio since the rating action in June 2009. The overcollateralization ratios of the rated notes have improved primarily due to decrease in the proportion of securities rated Caa1 and below, since the rating action in June 2009. As per the February 2011 trustee report, the Class A, Class B, Class C, and Class D overcollateralization ratios are reported at 124.3%, 116.0%, 108.6%, and 104.9% respectively, versus April 2009 levels of 112.3%, 105.0%, 98.4%, and 95.1% respectively, and all related overcollateralization tests are currently in compliance. In addition, the Class C Notes and the Class D Notes are no longer deferring interest, and the deferred interest had been repaid. Improvement in the credit quality is observed through an improvement in the average credit rating (as measured by the weighted average rating factor) and a decrease in the proportion of securities from issuers rated Caa1 and below. Based on the February 2011 trustee report, the weighted average rating factor is 2889 compared to 3641 in April 2009, and securities rated Caa1 and below make up approximately 13.6% of the underlying portfolio versus 21.2% in April 2009. The deal also experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to approximately $2.6 million from $14.8 million in April 2009. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $392 million, defaulted par of $2.6 million, weighted average default probability of 31.0% (implying a WARF of 4145), a weighted average recovery rate upon default of 42.9%, and a diversity score of 49. These default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends, and collateral manager latitude for trading the collateral are also factors. Marathon CLO II Ltd., issued on December 22, 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's website. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. In addition to the base case analysis, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. A summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARF -20% (3316) -- Class A-1b: +2 -- Class A-2: +1 -- Class B: +2 -- Class C: +1 -- Class D: +3 Moody's Adjusted WARF +20% (4974) -- Class A-1b: -1 -- Class A-2: -2 -- Class B: -1 -- Class C: -2 -- Class D: -2 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the managers' investment strategy and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deals' overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 2) Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming lower of reported and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon, and diversity score. However, as part of the base case, Moody's considered spread and coupon levels higher than the covenant levels due to the large difference between the reported and covenant levels. MARQUETTE US/EUROPEAN: Moody's Upgrades Ratings on Various Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Marquette US/European CLO, P.L.C.: -- US$103,905,000 Class A-1A Senior Secured Floating Rate Dollar Notes Due 2020, Upgraded to A1(sf); previously on August 21, 2009 Downgraded to A2(sf); -- US$11,545,000 Class A-1B Senior Secured Floating Rate Dollar Notes Due 2020, Upgraded to Baa2(sf); previously on August 21, 2009 Downgraded to Baa3(sf); -- EUR86,151,000 Class A-2 Senior Secured Floating Rate Euro Notes Due 2020, Upgraded to A3(sf); previously on August 21, 2009 Downgraded to Baa1(sf); -- US$2,550,000 Class B-1 Senior Secured Floating Rate Dollar Notes Due 2020, Upgraded to Baa3(sf); previously on August 21, 2009 Downgraded to Ba3(sf); -- EUR7,500,000 Class B-2 Senior Secured Floating Rate Euro Notes Due 2020, Upgraded to Baa3(sf); previously on August 21, 2009 Downgraded to Ba3(sf); -- US$10,000,000 Class C-1 Secured Floating Rate Dollar Notes Due 2020, Upgraded to Ba2(sf); previously on November 23, 2010 Caa2(sf) Placed Under Review for Possible Upgrade; -- EUR7,937,000 Class C-2 Secured Floating Rate Euro Notes Due 2020, Upgraded to Ba2(sf); previously on November 23, 2010 Caa2(sf) Placed Under Review for Possible Upgrade; -- US$9,500,000 Class D-1 Secured Floating Rate Dollar Notes Due 2020, Upgraded to B3(sf); previously on November 23, 2010 Ca(sf) Placed Under Review for Possible Upgrade; -- EUR7,540,000 Class D-2 Secured Floating Rate Euro Notes Due 2020, Upgraded to B3(sf); previously on November 23, 2010 Ca(sf) Placed Under Review for Possible Upgrade; -- US$3,000,000 Class E-1 Secured Floating Rate Dollar Notes Due 2020, Upgraded to Caa3(sf); previously on November 23, 2010 C(sf) Placed Under Review for Possible Upgrade; -- EUR2,381,000 Class E-2 Secured Floating Rate Euro Notes Due 2020, Upgraded to Caa3(sf); previously on November 23, 2010 C(sf) Placed Under Review for Possible Upgrade Ratings Rationale Marquette US/European CLO, P.L.C., issued in July 2006, is a multi-currency collateralized loan obligation backed primarily by a portfolio of senior secured loans denominated in U.S. dollars, Euros, and pounds sterling. All par amounts cited are in U.S. dollar equivalent. According to Moody's, the rating actions taken on the notes result primarily from improvement in the credit quality of the underlying portfolio and an increase in the transaction's overcollateralization ratios since the rating action in August 21, 2009. In Moody's view, these positive developments coincide with reinvestment of sale proceeds (including higher than previously anticipated recoveries realized on defaulted securities) into substitute assets with higher par amounts and/or higher ratings. Improvement in the credit quality is observed through an improvement in the average credit rating (as measured by the weighted average rating factor) and a decrease in the proportion of securities from issuers rated Caa1 and below. In particular, as of the latest trustee report dated February 11, 2011, the weighted average rating factor is 2514 compared to 2615 in the July 2009 report, and securities rated Caa1/CCC+ or lower make up approximately 6.98% of the underlying portfolio versus 11.09% in July 2009. Additionally, defaulted securities total about $1.25 million of the underlying portfolio compared to $18.17 million in July 2009. The overcollateralization ratios of the rated notes have also improved since the rating action in July 2009. The Class A/B, Class C, Class D and Class E overcollateralization ratios are reported at 126.50%, 116.62%, 108.56% and 106.24%, respectively, versus July 2009 levels of 118.40%, 109.27%, 101.81% and 99.66%, respectively, and all related overcollateralization tests are currently in compliance. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $309.8 million, defaulted par of $1.25 million, a weighted average default probability of 28.89% (implying a WARF of 3810), a weighted average recovery rate upon default of 47.25%, and a diversity score of 55. These default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's modeled the transaction using the double binomial approach within the Binomial Expansion Technique framework, as described in Sections 2.3.2.1, 2.3.2.2 and 2.3.3.7 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. For European obligors whose default probabilities are assessed through credit estimates, Moody's applied a 0.25 notch-equivalent assumed downgrade to account for lack of credit indicators such as ratings reviews and outlooks. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF --20% (3050) -- Class A-1A: +1 -- Class A-1B: +2 -- Class A-2: +2 -- Class B-1: +2 -- Class B-2: +2 -- Class C-1: +2 -- Class C-2: +2 -- Class D-1: +2 -- Class D-2: +3 -- Class E-1: +3 -- Class E-2: +3 Moody's Adjusted WARF +20% (4574) -- Class A-1A: -2 -- Class A-1B: -1 -- Class A-2: -2 -- Class B-1: -1 -- Class B-2: -1 -- Class C-1: -2 -- Class C-2: -2 -- Class D-1: -3 -- Class D-2: -2 -- Class E-1: 0 -- Class E-2: 0 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior, 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis. Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming lower of reported and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon, and diversity score. The deal has significant exposure to non-US$ denominated assets. Volatilities in foreign exchange rate will have a direct impact on interest and principal proceeds available to the transaction, which may affect the expected loss of rated tranches. MERRILL LYNCH: Fitch Downgrades Ratings on Seven 2003-KEY1 Certs. ----------------------------------------------------------------- Fitch Ratings has downgraded seven classes of Merrill Lynch Mortgage Trust's commercial mortgage pass-through certificates, series 2003-KEY1. The downgrades are due to further deterioration in performance relative to the previous full transaction review. A detailed list of rating actions follows at the end of this release. The downgrades follow increases in Fitch expected losses across the pool. Fitch modeled losses of 5.77% for the remaining pool; expected losses of the original pool are 4.83%, including losses realized to date. Approximately 10% of the pool is considered to be a Fitch Loan of Concern and includes the three specially serviced loans (6.7%). At Fitch's last review there were three loans (5.7%) in special servicing. Fitch expects classes K through P to be fully depleted by realized losses on the specially serviced loans and class J to be significantly impacted. As of February 2011 distribution date, the transaction, including the non rated rake bonds, has paid down 22.7% since issuance to $835.4 million from $1.1 billion. Seven loans are defeased (8.2%). The largest specially serviced loan and largest contributor to modeled losses is Anchor Bay (4.6%) which is the fourth largest loan in the transaction. The loan is secured by a manufactured housing community in Fair Haven, MI, which is approximately 40 miles northeast of Detroit. Occupancy has declined to 43.7% as of year end 2010 and the special servicer is pursuing foreclosure. The second largest specially serviced loan (1.1%) is the Coast Savings Building, an office property located in Los Angeles, CA. The loan has past its maturity date; however, the borrower is negotiating a sale of the property. Fitch has downgraded these ratings, amending Loss Severity ratings, and Recovery Ratings where applicable: -- $10.6 million class H to 'CCsf/RR1' from 'B-sf/LS5'; -- $5.3 million class J to 'Csf/RR5' from 'B-sf/LS5'; -- $5.3 million class K to 'Csf/RR6' from 'CCCsf/RR5'; -- $4 million class L to 'Csf/RR6'from 'CCCsf/RR6'; -- $6.6 million class M to 'Csf/RR6'from CCsf/RR6'; -- $2.6 million class N to 'Csf/RR6' from 'CCsf/RR6'; -- $1.3 million class P to 'Csf/RR6' from 'CCsf/RR6'. In addition, Fitch has affirmed and assigned LS ratings and Rating Outlooks to these classes: -- $132.1 million class A-1A at 'AAAsf/LS1'; -- $50.6 million class A-3 at 'AAAsf/LS1'; -- $482.9 million class A-4 at 'AAAsf/LS1'; -- $34.3 million class B at 'AAsf/LS4'; -- $15.8 million class C at 'Asf/LS5; Outlook Stable'; -- $25.1 million class D at 'BBB-sf/LS5; Outlook Stable'; -- $10.6 million class E at 'BBsf/LS5; Outlook Negative'; -- $11.9 million class F at 'Bsf/LS5'; Outlook Negative; -- $7.9 million class G at'B-sf/LS5; Outlook Negative. Fitch does not rate the $9.1 million class Q, $2.6 million class WW-1, $4.1 million class WW-2, $12.7 million class W-3, and interest-only class WW-X. Classes A-1 and A-2 have paid in full. Fitch has also withdrawn the rating on the IO class XC. Class XP has paid in full. MERRILL LYNCH: Moody's Downgrades Ratings on 80 Tranches -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 80 tranches and confirmed the ratings of 2 tranches from 15 Subprime deals issued by Merrill Lynch. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005. The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Merrill Lynch Mortgage Investors, Inc. 2004-WMC1 -- Cl. S, Downgraded to Aa2 (sf); previously on Apr 23, 2004 Assigned Aaa (sf) -- Cl. M-2, Downgraded to B3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors Trust Series 2003-OPT1 -- Cl. A-1, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. S, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors Trust, Series 2002-HE1 -- Cl. A-1, Downgraded to B1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors Trust, Series 2003-HE1 -- Cl. A-1, Downgraded to A1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2B, Downgraded to A1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. S, Downgraded to A1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors Trust, Series 2004-FM1 -- 2004-FM1-M2, Downgraded to A1 (sf); previously on Dec 27, 2007 Upgraded to Aa2 (sf) -- 2004-FM1-M3, Downgraded to B1 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- 2004-FM1-B1, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- 2004-FM1-B2, Downgraded to C (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- 2004-FM1-B3, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors, Inc. 2002-NC1 -- Cl. M-1, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors, Inc. 2003-BC4 -- Cl. M-1, Downgraded to Ba3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors, Inc. 2003-WMC1 -- Cl. M-2, Downgraded to B3 (sf); previously on Jan 18, 2008 Downgraded to Baa1 (sf) -- Cl. B-1, Downgraded to Ca (sf); previously on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. S, Downgraded to B3 (sf); previously on Mar 25, 2003 Assigned Aaa (sf) Issuer: Merrill Lynch Mortgage Investors, Inc. 2003-WMC2 -- Cl. M-2, Downgraded to B2 (sf); previously on Apr 21, 2003 Assigned A2 (sf) -- Cl. B-1, Downgraded to Ca (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors, Inc. 2003-WMC3 -- Cl. S, Downgraded to Caa1 (sf); previously on Sep 26, 2003 Assigned Aaa (sf) -- Cl. M-3, Downgraded to Caa1 (sf); previously on Sep 26, 2003 Assigned A2 (sf) -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 21, 2010 Downgraded to Caa2 (sf) and Remained On Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors, Inc. 2004-WMC2 -- Cl. S, Downgraded to Aa1 (sf); previously on May 6, 2004 Assigned Aaa (sf) -- Cl. M-2, Downgraded to Caa2 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors, Inc. 2004-WMC3 -- Cl. S, Downgraded to Caa1 (sf); previously on May 17, 2004 Assigned Aaa (sf) -- Cl. M-2, Downgraded to Caa1 (sf); previously on Nov 14, 2007 Upgraded to A1 (sf) -- Cl. M-3, Downgraded to C (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 21, 2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors, Inc. 2004-WMC4 -- Cl. S, Downgraded to B2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa2 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors, Inc. 2004-WMC5 -- Cl. M-2, Downgraded to Baa2 (sf); previously on Nov 14, 2007 Upgraded to Aa1 (sf) -- Cl. M-3, Downgraded to Ba3 (sf); previously on Nov 14, 2007 Upgraded to Aa2 (sf) -- Cl. M-4, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors, Inc. Series 2002-AFC1 -- Cl. MF-2, Downgraded to Ba3 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. MV-2, Confirmed at A2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. BV-1, Downgraded to C (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. BF-1, Confirmed at Caa2 (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade MERRILL LYNCH: Moody's Upgrades Ratings on Five Certificates ------------------------------------------------------------ Moody's Investors Service upgraded the ratings of five classes and affirmed seven classes of Merrill Lynch Financial Assets Inc. Commercial Mortgage Pass-Through Certificates, Series 2002-Canada 8: -- Cl. A-2, Affirmed at Aaa (sf); previously on Nov 22, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on Nov 22, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. X-2, Affirmed at Aaa (sf); previously on Nov 22, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on Dec 20, 2007 Upgraded to Aaa (sf) -- Cl. C, Upgraded to Aaa (sf); previously on Oct 1, 2009 Upgraded to Aa1 (sf) -- Cl. D, Upgraded to Aa3 (sf); previously on Oct 1, 2009 Upgraded to A2 (sf) -- Cl. E, Upgraded to A3 (sf); previously on Oct 1, 2009 Upgraded to Baa1 (sf) -- Cl. F, Upgraded to Baa2 (sf); previously on Oct 1, 2009 Upgraded to Baa3 (sf) -- Cl. G, Upgraded to Ba1 (sf); previously on Nov 22, 2002 Definitive Rating Assigned Ba2 (sf) -- Cl. H, Affirmed at Ba3 (sf); previously on Nov 22, 2002 Definitive Rating Assigned Ba3 (sf) -- Cl. J, Affirmed at B2 (sf); previously on Nov 22, 2002 Definitive Rating Assigned B2 (sf) -- Cl. K, Affirmed at B3 (sf); previously on Nov 22, 2002 Definitive Rating Assigned B3 (sf) Ratings Rationale The upgrades are due to an increase in subordination from payoffs and amortization, an increase in defeasance and overall improvement in the credit quality of underlying portfolio. The pool has paid down 45% since securitization and 5% since last review. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 1.5% of the current balance. At last full review, Moody's cumulative base expected loss was 1.8%. Moody's stressed scenario loss is 4.6% of the current balance. Depending on the timing of loan payoffs, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 21 compared to 23 at Moody's prior full review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated October 1, 2009. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past 6 months. Deal Performance As of the March 14, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 45% to $255.86 million from $468.33 million at securitization. The Certificates are collateralized by 51 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans representing 48% of the pool. Seven loans, representing 15% of the pool, have defeased and are collateralized with U.S. Government securities, compared to 10% at last review. Four loans, representing 9% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. The pool has not experienced any losses since securitization and currently there are no delinquent or specially serviced loans. Moody's was provided with full year 2009 operating results 75% of the performing pool. Moody's weighted average LTV is 63% compared to 72% at last full review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.6%. Moody's actual DSCR is 1.49X compared to 1.35X at last full review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. The top three performing conduit loans represent 21% of the pool balance. The largest loan is the Crosswinds Apartments Loan ($22.5 million -- 8.8% of the pool), which is secured by a 347- unit, 26-story apartment building located in Ottawa, Ontario. The property was 97% leased as of October 2009 compared to 99% at last full review. The loan has paid down 12% since securitization and 3% since last full review. Moody's LTV and stressed DSCR are 67% and 1.37X, respectively, compared to 85% and 1.08X at last full review. The second largest loan is the Galeries des Sources Loan ($18.3 million -- 7.1% of the pool), which is secured by a 330,500 square foot community shopping center located in Dollard-Des- Ormeaux, Quebec, a suburb of Montreal. As of the December 2009 rent roll, the property was 99% leased. The loan has paid down 17% since securitization and 4% since last full review. Moody's LTV and stressed DSCR are 65% and 1.70X, respectively, compared to 80% and 1.38X at last full review. The third largest loan is the Shaughnessy Station Loan ($13.5 million -- 5.3% of the pool), which is secured by a 121,000 square foot anchored retail/office strip center located in Port Coquitlam, a suburb of Vancouver. The property was 96% leased as of December 2009 compared to 92% at last full review. The loan has paid down 17% since securitization and 4% since last full review. Moody's LTV and stressed DSCR are 69% and 1.57X, respectively, compared to 76% and 1.42X at last review. METROPOLITAN ASSET: Moody's Downgrades Ratings on Six Tranches -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 6 tranches and confirmed the ratings of 2 tranches from 5 Subprime deals issued by Metropolitan Asset Funding. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005. The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Metropolitan Asset Funding, Inc. II Series, 1998-A -- X, Downgraded to Aa2 (sf); previously on Apr 28, 1998 Assigned Aaa (sf) -- B-2, Confirmed at Caa3 (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Metropolitan Asset Funding, Inc. II, Mortgage Pass-Through Certificates, Series 1998-B -- B-1, Confirmed at Caa1 (sf); previously on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Metropolitan Asset Funding, Inc. II, Series 1999-A -- X, Downgraded to Caa2 (sf); previously on Mar 18, 1999 Assigned Aaa (sf) -- B-1, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Metropolitan Asset Funding, Inc. II, Series 1999-B -- B-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Metropolitan Mortgage Funding, Inc., Series 2000-B -- Cl. B-1, Downgraded to C (sf); previously on Jul 1, 2009 Downgraded to Ca (sf) -- Cl. M-2, Downgraded to B3 (sf); previously on Oct 1, 2003 Downgraded to Baa3 (sf) MORGAN STANLEY: Moody's Upgrades Ratings on Two 1999-RM1 Certs. --------------------------------------------------------------- Moody's Investors Service upgraded the ratings of two classes and affirmed three classes of Morgan Stanley Mortgage Capital I Inc., Commercial Mortgage Pass-Through Certificates, Series 1999-RM1: -- Cl. X, Affirmed at Aaa (sf); previously on May 10, 1999 Definitive Rating Assigned Aaa (sf) -- Cl. H, Affirmed at Aaa (sf); previously on Jul 9, 2009 Upgraded to Aaa (sf) -- Cl. L, Upgraded to Baa2 (sf); previously on Jul 9, 2009 Upgraded to Ba2 (sf) -- Cl. M, Upgraded to B1 (sf); previously on May 10, 1999 Definitive Rating Assigned B3 (sf) -- Cl. N, Affirmed at Caa3 (sf); previously on Jul 9, 2009 Downgraded to Caa3 (sf) Ratings Rationale The upgrades are due to overall improved pool performance and increased credit subordination levels due to loan payoffs and amortization. The pool has amortized 29% since last review. The affirmations are due to key rating parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 8.1% of the current balance. At last review, Moody's cumulative base expected loss was 12.9%. Moody's stressed scenario loss is 10.6% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 15 compared to 18 at Moody's prior review. In cases where the Herf falls below 20, Moody's employs also the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated July 9, 2009. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the March 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 94% to $51.5 million from $859.3 million at securitization. The Certificates are collateralized by 24 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 61% of the pool. Two loans, representing 17% of the pool, have defeased and are collateralized with U.S. Government securities. At last review, defeasance represented 6% of the pool. Nine loans, representing 20% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Ten loans have been liquidated from the pool, resulting in an aggregate $11.5 million realized loss (20% loss severity on average). At Moody's last review the pool had realized an aggregate loss of $9.9 million. Currently there is one loan in special servicing. The Comfort Suites Loan ($4.0 million -- 7.7%) is secured by a 120-key limited service hotel located in Lexington, North Carolina. The property has had a poor performance for the past six years. The loan was transferred to special servicer in December 2009 due to monetary default and has become real estate owned. The most recent appraisal (January 2010) valued the property at $1.9 million. Moody's estimates a loss of $2.6 million for this specially serviced loan (65% expected loss). Moody's has assumed a high default probability for two poorly performing loans representing 5% of the pool and has estimated an aggregate $1.0 million loss (33% expected loss based on a 65% probability default) from these troubled loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 91% and 70% of the pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 63% compared to 88% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 17% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.7%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.30X and 1.87X, respectively, compared to 1.16X and 1.51X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing loans represent 25% of the pool balance. The largest loan is the Green Ridge Heights Apartments Loan ($5.5 million -- 10.7%), which is secured by a 309-unit apartment complex located in Cleveland, Ohio. The property was 92% leased as of September 2010 compared to 97% at last review. Performance has been stable. Moody's LTV and stressed DSCR are 81% and 1.27X, respectively, compared to 86% and 1.19X at last review. The second largest loan is the Arbors of Wooster Apartments Loan ($3.9 million -- 7.6%), which is secured by a 118-unit apartment complex located in Wooster, Ohio. The property was 88% leased as of September 2010 compared to 91% at last review. Performance has been stable. Moody's LTV and stressed DSCR are 85% and 1.14X, respectively, compared to 83% and 1.17X at last review. The third largest loan is the Minaret Village Retail and Office Center Loan ($3.7 million -- 7.2% of the pool), which is secured by a 70,000 square feet retail/office center located in Mammoth Lakes, California. The center was 100% leased as of December 2009, compared to 99% at securitization. Performance has been stable. Moody's LTV and stressed DSCR are 46% and 2.46X, respectively, compared to 47% and 2.43X at last review. N-45 FIRST: Fitch Affirms Ratings on Six Classes of Notes --------------------------------------------------------- Fitch Ratings affirms the Rating Outlooks and Loss Severity ratings to N-45 First CMBS Issuer Corporation, series 2003-1: -- $125.1 million class A-2 at 'AAAsf/LS1'; Outlook Stable; -- $8.4 million lass B at 'AAAsf/LS3'; Outlook Stable; -- $16.8 million class C at 'AAAsf/LS2'; Outlook Stable; -- $19.6 million class D at 'Asf/LS2'; Outlook Stable; -- $14 million class E at 'BBB-sf/LS2'; Outlook Stable; -- $9.1 million class F at 'B+sf/LS3'; Outlook Stable. Fitch does not rate the $13.3 million class G. Affirmations are due to the pool's stable performance and low future expected losses following Fitch's prospective review of potential stresses to the transaction. Fitch expected losses are 1.9% of the outstanding balance. As of the March 2011 distribution date, the pool's certificate balance has paid down 63% to $206.3 million from $559.7 million at issuance. The pool is concentrated, as 18 of the original 63 loans remain. There are no specially serviced loans as of the March 2011 remittance report. One loan (0.2% of the pool) has a debt service coverage ratio below 1.0 times. The loan is collateralized by a retail center in Terrebone, QC. As of year end 2009, occupancy had fallen to 50% and the reported DSCR was 0.67x. Fitch withdraws the interest-only, IO class. NEW CENTURY: Moody's Downgrades Ratings on 97 Tranches ------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 97 tranches from 16 Subprime deals issued by New Century Home Equity Loan Trust. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005. The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: New Century Asset-Backed Floating Rate Certificates, Series 1998-NC6 -- A, Downgraded to A3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- M-1, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade Issuer: New Century Home Equity Loan Trust, Series 2003-2 -- Cl. M-1, Downgraded to A2 (sf); previously on Jul 12, 2006 Upgraded to Aa1 (sf) -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: New Century Home Equity Loan Trust, Series 2003-3 -- Cl. A-2, Downgraded to Aa3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Aa3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- CL. M-1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- CL. M-2, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- CL. M-3, Downgraded to C (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- CL. M-4, Downgraded to C (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- CL. M-5, Downgraded to C (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- CL. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: New Century Home Equity Loan Trust, Series 2003-4 -- Cl. M-1, Downgraded to A2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B2 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: New Century Home Equity Loan Trust, Series 2003-5 -- Cl. A-I-4, Downgraded to A1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-5, Downgraded to A1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6, Downgraded to A1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-6A, Downgraded to A1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to A1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. A-I-7, Downgraded to A1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-II, Downgraded to A2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: New Century Home Equity Loan Trust, Series 2003-6 -- Cl. M-1, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: New Century Home Equity Loan Trust, Series 2003-A -- Cl. M-1, Downgraded to A2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba1 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B2 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: New Century Home Equity Loan Trust, Series 2003-B -- Cl. M-1, Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: New Century Home Equity Loan Trust, Series 2004-1 -- Cl. M-1, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: New Century Home Equity Loan Trust, Series 2004-2 -- Cl. M-1, Downgraded to A3 (sf); previously on Sep 21, 2007 Upgraded to Aaa (sf) -- Cl. M-2, Downgraded to Ba3 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa1 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Caa2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-9, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: New Century Home Equity Loan Trust, Series 2004-3 -- Cl. M-1, Downgraded to A2 (sf); previously on Oct 26, 2004 Assigned Aa1 (sf) -- Cl. M-2, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to C (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-9, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: New Century Home Equity Loan Trust, Series 2004-4 -- Cl. M-1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: New Century Home Equity Loan Trust, Series 2004-A -- Cl. A-I-6, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-7, Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-8, Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-I-9, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-II-6, Downgraded to B2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. A-II-7, Downgraded to B3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. A-II-8, Downgraded to B3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. A-II-9, Downgraded to B2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to B2 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. M-I-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Underlying Rating: Downgraded to Caa3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) -- Cl. M-I-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-II, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-I, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-II, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-III, Downgraded to B1 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-III, Downgraded to C (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade NYLIM FLATIRON: S&P Raises Ratings on Various Classes of Notes -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2, A-3, B, and C notes from NYLIM Flatiron CLO 2005-1 Ltd., a collateralized loan obligation transaction, managed by New York Life Investment Management LLC. At the same time, S&P removed the ratings from CreditWatch, where S&P placed them with positive implications on Jan. 19, 2011. S&P also affirmed its 'BB- (sf)' rating on the class D notes. The upgrades reflect the improved performance S&P has observed in the deal's underlying asset portfolio, as well as a roughly $80.12 million paydown on the class A-1, A-2, and A-3 note balances. As of the Feb. 28, 2011 trustee report, the transaction did not have any defaulted assets, compared with the $19.31 million noted in the Nov. 30, 2009 trustee report, which S&P referenced for its December 2009 rating actions. Additionally, the class A-1, A-2, and A-3 note balances were paid down from $300.00 million to $219.88 million over the same time period. The transaction has also benefited from an increase in overcollateralization available to support the rated notes. The trustee reported these O/C ratios in the Feb. 28, 2011 monthly report: * The class B O/C ratio was 130.46%, compared with a reported ratio of 122.54% in November 2009; * The class C O/C ratio was 117.31%, compared with a reported ratio of 113.11% in November 2009; and * The class D O/C ratio was 105.82%, compared with a reported ratio of 104.46% in November 2009. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as S&P deems necessary. Rating And Creditwatch Actions NYLIM Flatiron CLO 2005-1 Ltd. Rating ------ Class To From ----- -- ---- A-1 AAA (sf) AA+ (sf)/Watch Pos A-2 AAA (sf) AA+ (sf)/Watch Pos A-3 AAA (sf) AA+ (sf)/Watch Pos B AA+ (sf) AA (sf)/Watch Pos C A+ (sf) A- (sf)/Watch Pos Rating Affirmed NYLIM Flatiron CLO 2005-1 Ltd. Class Rating ----- ------ D BB- (sf) Transaction Information ----------------------- Issuer: NYLIM Flatiron CLO 2005-1 Ltd. Collateral manager: New York Life Investment Management LLC Underwriter: Goldman, Sachs & Co. Trustee: Bank of New York Mellon (The) Transaction type: Cash flow CLO OPTION ONE: Moody's Downgrades Ratings on 92 Tranches ----------------------------------------------------- Moody's Investors Service has downgraded the ratings of 92 tranches and confirmed the ratings of three tranches from 16 Subprime deals issued by Option One Mortgage Loan Trust. The collateral backing these deals primarily consists of first-lien, fixed and adjustable-rate Subprime residential mortgages. In addition, Moody's has withdrawn the ratings of three tranches from two Subprime deals from the same issuer. Moody's Investors Service has withdrawn the credit rating pursuant to published credit rating methodologies that allow for the withdrawal of the credit rating if the size of the pool outstanding at the time of the withdrawal has fallen below a specified level. Moody's current RMBS surveillance methodologies apply to pools with at least 40 loans or a pool factor of greater than 5%. As a result, Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005 ). The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Certain securities are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Option One Mortgage Loan Trust 2001-4 -- Cl. A, Withdrawn (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Withdrawn (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Option One Mortgage Loan Trust 2002-1 -- Cl. A, Downgraded to B1 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Option One Mortgage Loan Trust 2002-2 -- Cl. A, Downgraded to B1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa1 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa1 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Option One Mortgage Loan Trust 2002-3 -- Cl. A-1, Downgraded to B3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Option One Mortgage Loan Trust 2002-4 -- Cl. M-1, Downgraded to Ba2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Issuer: Option One Mortgage Loan Trust 2002-5 -- Cl. M-1, Downgraded to B3 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Option One Mortgage Loan Trust 2002-6 -- Cl. A-1, Downgraded to Ba3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: Option One Mortgage Loan Trust 2003-1 -- Cl. A-1, Downgraded to B1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to B1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ca (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Option One Mortgage Loan Trust 2003-2 -- Cl. A-1, Downgraded to Baa3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: Option One Mortgage Loan Trust 2003-3 -- Cl. A-1, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1A, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Confirmed at Ca (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Option One Mortgage Loan Trust 2003-4 -- Cl. A-1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5A, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5F, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Option One Mortgage Loan Trust 2003-5 -- Cl. A-1, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Option One Mortgage Loan Trust 2003-6 -- Cl. A-1, Downgraded to A2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to A1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to A2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Option One Mortgage Loan Trust 2004-1 -- Cl. M-1, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Option One Mortgage Loan Trust 2004-2 -- Cl. M-1, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Option One Mortgage Loan Trust 2004-3 -- Cl. A-1, Confirmed at Aaa (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Confirmed at Aaa (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to A2 (sf); previously on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa2 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-9, Downgraded to C (sf); previously on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Option One Woodbridge Loan Trust 2002-1 -- Cl. M-1, Downgraded to Baa1 (sf); previously on May 6, 2002 Assigned Aa2 (sf) -- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Option One/CTS ARM Trust 1996-1 -- A-2, Withdrawn (sf); previously on Jun 26, 2009 Confirmed at A2 (sf) -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) OWNIT MORTGAGE: Moody's Downgrades Ratings on Five Tranches ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 5 tranches from 1 Subprime deal issued by Ownit Mortgage Loan Trust. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005. The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Ownit Mortgage Loan Trust 2004-1 -- Cl. M-2, Downgraded to B3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Ca (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade PACIFIC SHORES: Fitch Affirms Ratings on Four Classes of Notes -------------------------------------------------------------- Fitch Ratings has affirmed the ratings on four classes and revised the Outlook on one class of notes issued by Pacific Shores CDO, Ltd./Inc. The rating actions are: -- $117,640,305 class A notes affirmed at 'BBsf/LS3''; Outlook revised to Stable from Negative; -- $96,000,000 class B-1 notes affirmed at 'CCsf'; -- $16,000,000 class B-2 notes affirmed at 'CCsf'; -- $25,014,905 class C notes affirmed at 'Csf'. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model for projecting future default levels for the underlying portfolio. These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs', for the class A notes. Fitch also considered additional qualitative factors into its analysis to conclude the rating affirmation for the notes. Since the last rating action in March 2010, the credit quality of the collateral has remained relatively stable with approximately 15.6% of the portfolio downgraded a weighted average of 3.7 notches and 9.2% upgraded a weighted average of 3.1 notches. Approximately 66.4% of the portfolio has a Fitch derived rating below investment grade and 36.4% has a rating in the 'CCC' rating category or lower, compared to 63.3% and 35% respectively, at last review. While the magnitude of downgrades in the portfolio is greater than upgrades, amortization of the class A notes sufficiently offsets the moderate deterioration in the portfolio. Since the previous review, the class A notes have received approximately $31.3 million of principal repayment from excess spread and principal collections due to the failing class A/B overcollateralization test. Fitch has revised the Outlook on the class A notes to Stable reflecting its view that the performance of the underlying portfolio will remain relatively stable over the next one to two years. Fitch does not maintain outlooks for tranches rated 'CCC' and below. The Loss Severity rating of 'LS3' for the class A notes indicates the tranche's potential loss severity given default, as evidenced by the ratio of tranche size to the base-case loss expectation for the collateral, as explained in Fitch's 'Criteria for Structured Finance Loss Severity Ratings'. The LS rating should always be considered in conjunction with the notes' long-term credit rating. Fitch does not assign LS ratings to tranches rated 'CCC' and below. Breakeven levels for the class B-1 and B-2 (together, class B) and class C notes indicated ratings below SF PCM's 'CCC' default level, the lowest level of defaults projected by SF PCM. For these classes, Fitch compared the class's respective credit enhancement levels to expected losses from the distressed and defaulted assets in the portfolio (rated 'CCsf' or lower). This comparison indicates that default continues to appear probable for the class B notes and inevitable for the class C notes at or prior to maturity. The class B notes are rated to the timely receipt of interest and continue to receive their accrued interest each payment period. The class C notes are rated to the ultimate receipt of interest, and are not expected to receive any interest or principal distributions going forward. Pacific Shores is a cash flow structured finance collateralized debt obligation that closed on June 27, 2002, and is managed by Pacific Investment Management Co. The portfolio is comprised of 63.4% residential mortgage-backed securities, 16.3% commercial and consumer asset-backed securities, 11.6% corporate debt, 7.7% commercial mortgage-backed securities and 1% SF CDOs from primarily 1995 through 2004 vintage transactions. PARK PLACE: Moody's Downgrades Ratings on 42 Tranches ----------------------------------------------------- Moody's Investors Service has downgraded the ratings of 42 tranches and confirmed the rating of 1 tranche from 7 Subprime deals issued by Park Place Securities, Inc. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. The principal methodology used in these ratings was "Pre-2005 US RMBS Surveillance Methodology" published in January 2011. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies of 11% for pools originated and securitized before 2005. The baseline rate is generally higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if the current delinquency level in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-MCW1 -- Cl. M-1, Downgraded to A1 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ba3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa1 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-MHQ1 -- Cl. M-2, Downgraded to B1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-WCW1 -- Cl. M-2, Downgraded to A1 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa2 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-WCW2 -- Cl. M-2, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa1 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-8, Downgraded to C (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-WHQ1 -- Cl. M-1, Downgraded to A1 (sf); previously on Oct 12, 2004 Assigned Aa1 (sf) -- Cl. M-2, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-WHQ2 -- Cl. M-2, Downgraded to Ba1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-WWF1 -- Cl. M-2, Confirmed at Aa2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-7, Downgraded to C (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade PEOPLE'S CHOICE: Moody's Downgrades Ratings on 11 Tranches ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 11 tranches from 2 Subprime deals issued by People's Choice Home Loan Securities Trust. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: People's Choice Home Loan Securities Trust 2004-1 -- Cl. M1, Downgraded to Baa3 (sf); previously on Jun 15, 2004 Assigned Aa2 (sf) -- Cl. M2, Downgraded to B3 (sf); previously on Apr 16, 2008 Downgraded to A2 (sf) -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: People's Choice Home Loan Securities Trust 2004-2 -- Cl. M1, Downgraded to Baa2 (sf); previously on Oct 25, 2004 Assigned Aa2 (sf) -- Cl. M2, Downgraded to B3 (sf); previously on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M4, Downgraded to C (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M5, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M6, Downgraded to C (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade PHOENIX CLO: Moody's Upgrades Ratings on Various Classes of Notes ----------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by Phoenix CLO III, Ltd.: -- US$336,000,000 Class A-1 Senior Notes Notes (Current Balance of $320,905,338), Upgraded to Aaa (sf); previously on Jun 11, 2009 Downgraded to Aa3 (sf) -- US$37,000,000 Class A-2 Senior Notes Notes, Upgraded to Aa3 (sf); previously on Jun 11, 2009 Downgraded to A2 (sf) -- US$33,000,000 Class B Senior Notes Notes, Upgraded to A3 (sf); previously on Jun 11, 2009 Downgraded to Baa2 (sf) -- US$24,000,000 Class C Deferrable Mezzanine Notes Notes, Upgraded to Baa3 (sf); previously on Jun 11, 2009 Downgraded to Ba2 (sf) -- US$19,000,000 Class D Deferrable Mezzanine Notes Notes, Upgraded to B1 (sf); previously on Jun 11, 2009 Downgraded to Caa1 (sf) -- US$13,000,000 Class E Deferrable Junior Notes Notes, Upgraded to Caa1 (sf); previously on Nov 23, 2010 C (sf) Placed Under Review for Possible Upgrade -- US$3,000,000 Class F Combination Notes Notes (Current Rated Balance of $2,390,707), Upgraded to A3 (sf); previously on Jun 11, 2009 Downgraded to Ba2 (sf) Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from improvement in the credit quality of the underlying portfolio and an increase in the transaction's overcollateralization ratios since the rating action in June 2009. Improvement in the credit quality is observed through an improvement in the average credit rating (as measured by the weighted average rating factor) and a decrease in the proportion of securities from issuers rated Caa1 and below. In particular, as of the latest trustee report dated February 7, 2011, the weighted average rating factor is currently 2459 compared to 2740 in the June 2009 report, and securities rated Caa1/CCC+ or lower make up approximately 5.75% of the underlying portfolio versus 12.57% in June 2009. Additionally, defaulted securities total about $9.4 million of the underlying portfolio compared to $27.0 million in June 2009. The overcollateralization ratios of the rated notes have also improved since the rating action in June 2009. The Class AB, Class C and Class D overcollateralization ratios are reported at 117.9%, 111.1% and 106.2%, respectively, versus June 2009 levels of 111.3%, 105.1% and 100.5%, respectively, and all related overcollateralization tests are currently in compliance. Moody's also notes that the Class D and Class E Notes are no longer deferring interest and that all previously deferred interest has been paid in full. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $456.4 million, defaulted par of $11.9 million, a weighted average default probability of 29.07% (implying a WARF of 3730), a weighted average recovery rate upon default of 42.88%, and a diversity score of 65. These default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Phoenix CLO III, Ltd., previously known as Avenue CLO VI, Ltd., and issued in May 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. In addition to the base case analysis, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. This is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF --20% (2984) -- Class A-1: 0 -- Class A-2: +2 -- Class B: +3 -- Class C: +2 -- Class D: +2 -- Class E: +3 -- Class F: +1 Moody's Adjusted WARF +20% (4476) -- Class A-1: -2 -- Class A-2: -2 -- Class B: -2 -- Class C: -2 -- Class D: -2 -- Class E: -3 -- Class F: 0 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 2) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis. 3) Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming lower of reported and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon, and diversity score. PHOENIX INDUSTRIAL: S&P Downgrades Rating on Bonds to 'BB+' ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating to 'BB+' from 'BBB-' on the Phoenix Industrial Development Authority, Ariz.'s education revenue bonds (Career Success Charter Schools Project), series 2009. The rating outlook is stable. "The rating action reflects S&P's view of the charter school's weak coverage of maximum annual debt service in fiscal 2010, leading to a bond covenant violation," said Standard & Poor's credit analyst Kenneth Gacka. Enrollment was 829 in fiscal 2007 but dropped to 752 in fiscal 2008 due to the loss of a lease at one of the schools. Since fiscal 2008, enrollment rose consistently to 775 in fiscal 2009 and 866 in fiscal 2010. The current enrollment in fiscal 2011 has grown to 1,098, which is what S&P considers good growth from the prior year, but is substantially less than management's budgeted estimate of 1,585. The lower-than-expected enrollment was partly due to the school's Jefferson Campus opening six weeks late, according to management. In order to increase enrollment, school officials are focusing on enhancing marketing, offering summer school programs, and growing enrollment in the cosmetology program. Fiscal 2010 was a challenging year financially as the school had the costs associated with its new buildings but not the enrollment that it expected. The school posted a $496,000 operating loss in fiscal 2010, which excluded a $175,000 write-off of prior bond issuance costs. Based on these results, Standard & Poor's calculates lease-adjusted maximum annual debt service coverage to be 0.4x, which S&P considers very thin. Coverage cited in the audit is 0.9x, which is still thin, in S&P's opinion, and below the school's covenanted ratio. Liquidity was also impacted in fiscal 2010, declining to about $277,000, or what S&P considers a limited 17 days' cash on hand. Unrestricted net assets were negative $654,000 in fiscal 2010 compared to negative $114,000 in fiscal 2009. The school's fiscal 2011 budget assumed much higher enrollment than was actually realized, so S&P expects actual revenues and expenditures to be substantially different at year- end. S&P understand that the school adjusted staffing levels in response to the lower-than-anticipated enrollment. Unaudited year-to-date results through Jan. 31, 2011 (seven months ended), show improved overall results for the school, with an operating surplus of $300,000 and lease-adjusted MADS coverage equal to 1.4x, according to S&P's calculations. S&P is concerned that revenues are likely somewhat overstated for this period, however, as the year-to-date revenues are based on estimated enrollment of 1,183 submitted to the state prior to the start of the school year, rather than the school's actual enrollment. It is typical in the state for payments to be made initially based on estimated enrollment figures and then subsequently adjusted at different points in the year based on actual enrollment. S&P understands that these adjustments have not yet been initiated by the state. As such, S&P believes that results, while better, are likely less than the improvement indicated in the year-to-date financials. POPULAR ABS: Moody's Corrects Press Release on Note Ratings ----------------------------------------------------------- Moody's Investors Service has corrected a March 18 press release on the 17 tranches from 2 Subprime deals issued by Popular ABS. According to Moody's, the March 18 release provided an incorrect link to the list of updated estimated pool losses and sensitivity analysis. The revised release is: Moody's Investors Service has downgraded the ratings of 17 tranches from 2 Subprime deals issued by Popular ABS. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Popular ABS Mortgage Pass-Through Trust 2004-4 -- Cl. AV-1, Downgraded to Aa3 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to B3 (sf); previously on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Popular ABS Mortgage Pass-Through Trust 2004-5 -- Cl. AF-4, Downgraded to Aa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-5, Downgraded to Aa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AF-6, Downgraded to Aa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AV-1A, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AV-1B, Downgraded to Baa2 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AV-2, Downgraded to Baa1 (sf); previously on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to B3 (sf); previously on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-4, Downgraded to C (sf); previously on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade REAL ESTATE: Moody's Affirms Low-B Ratings on 6 Classes of Certs. ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 18 classes of Real Estate Asset Liquidity Trust, Commercial Mortgage Pass- Through Certificates, Series 2006-1: -- Cl. A-1, Affirmed at Aaa (sf); previously on Apr 12, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on Apr 12, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. XP-1, Affirmed at Aaa (sf); previously on Apr 12, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. XC-1, Affirmed at Aaa (sf); previously on Apr 12, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. XP-2, Affirmed at Aaa (sf); previously on Apr 12, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. XC-2, Affirmed at Aaa (sf); previously on Apr 12, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aa2 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Aa2 (sf) -- Cl. C, Affirmed at A2 (sf); previously on Apr 12, 2006 Definitive Rating Assigned A2 (sf) -- Cl. D-1, Affirmed at Baa2 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Baa2 (sf) -- Cl. D-2, Affirmed at Baa2 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Baa2 (sf) -- Cl. E-1, Affirmed at Baa3 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Baa3 (sf) -- Cl. E-2, Affirmed at Baa3 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Baa3 (sf) -- Cl. F, Affirmed at Ba1 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Ba1 (sf) -- Cl. G, Affirmed at Ba2 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Ba2 (sf) -- Cl. H, Affirmed at Ba3 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Ba3 (sf) -- Cl. J, Affirmed at B1 (sf); previously on Apr 12, 2006 Definitive Rating Assigned B1 (sf) -- Cl. K, Affirmed at B2 (sf); previously on Apr 12, 2006 Definitive Rating Assigned B2 (sf) -- Cl. L, Affirmed at B3 (sf); previously on Apr 12, 2006 Definitive Rating Assigned B3 (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 1.3% of the current balance. At last review, Moody's cumulative base expected loss was 0.8%. Moody's stressed scenario loss is 5.0% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2011; Moody's expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 15 compared to 21 at Moody's prior full review. In cases where the Herf falls below 20, Moody's employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated April 8, 2010. Please see the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the March 14, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 34% to $263.0 million from $396.2 million at securitization. The Certificates are collateralized by 55 mortgage loans ranging in size from less than 1% to 17% of the pool, with the top ten loans representing 64% of the pool. The pool contains two loans with investment-grade credit estimates that represent 20% of the pool. At Moody's prior review, there were four loans with credit estimates. The Lawson Height --ASC-SAS Loan recently paid off and the Inn Vest Portfolio no longer has a credit estimate due to increased leverage. Two loans, representing 5% of the pool, have defeased and are collateralized with Canadian Government securities. To date, the pool has not experienced any losses and there are no loans in special servicing. Currently, there are ten loans, representing 16% of the pool, on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Moody's was provided with full year 2009 for 82% of the non- defeased loans in the pool. Moody's weighted average LTV is 76% compared to 73% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 14% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Moody's actual and stressed DSCRs are 1.51X and 1.49X, respectively, compared to 1.54X and 1.50X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with an investment-grade credit estimate is the Crombie Portfolio ($44.6 million -- 17.0% of the pool), which is secured by seven cross-collateralized and cross-defaulted loans secured by seven retail and mixed use properties located in New Brunswick, Nova Scotia, and Newfoundland. As of December 2009, the portfolio was 89% leased compared to 88% at last review. Performance remains stable. Moody's current credit estimate and stressed DSCR are Baa2 and 1.41X, essentially the same as at Moody's prior review. The second largest loan with a credit estimate is the Royal Centre Loan ($9.4 million -- 3.6% of the pool), which is secured by a 163,844 square foot office building with ground floor retail located in Vaughan, Ontario. The largest tenant is the Royal Bank of Canada, which leases 25% of the NRA through May 2020. As of March 2011, the property was 92% leased compared to 95% at last review. The loan has amortized 4% since last review. Moody's current credit estimate and stressed DSCR are Aaa and 2.31X, respectively, compared to Aaa and 2.12X at last review. The loan that previously had a credit estimate is the InnVest Loan ($14.7 million -- 5.6% of the pool), which is secured by two hotels located in London and Scarborough, Ontario. The Delta Armoires London hotel is a 245-key full service hotel in downtown London proximate to the convention center and hockey rink. The Holiday Inn Scarborough is a 140-key limited service hotel approximately 15 miles north of Pearson International Airport. For the 12-month period ending December 2009, the portfolio's occupancy and revenue per available room were 57% and $64.55, respectively, compared to 66% and $77.51, at year-end 2008. The portfolio's performance has continued to decline and the loan is on the watchlist. Moody's LTV and stressed DSCR are 85% and 1.4X, respectively, compared to 64% and 2.15X at last review. The top three performing conduit loans represent 27% of the pool balance. The largest loan is The Landing Loan ($28.6 million -- 10.9% of the pool), which is secured by a 183,058 square foot office building located in the historic Gastown district of downtown Vancouver, British Columbia. The largest tenant is Intrawest, which leases 20% of the net rentable area through December 2012. As of January 2010, the property was 92% leased, essentially the same as at Moody's prior review. The loan has amortized 3% since last review. Moody's LTV and stressed DSCR are 88% and 1.11X, respectively, compared to 86% and 1.13X at last review. The second largest loan is the Dominion Square Loan ($27.99 million -- 10.0% of the pool), which represents a pari passu interest in a $54.9 million first mortgage loan. The loan is secured by a 374,402 square foot mixed-use building on St. Catherine Street in downtown Montreal. As of March 2010, the property was 96% leased, the same as at last review and 72% at securitization. The largest tenants are The Montreal Gazette (21% of the NRA; lease expiration in December 2018), Travaux Publique du Canada (20% of the NRA; lease expiration in March 2018) and Societe Immobiliere du Quebec (9% of the NRA; lease expiration in January 2011). Approximately 32% of the NRA is leased to local and provincial government agencies. While the property's occupancy has improved since securitization, rental rates have declined since last review. Based on the March 2010 rent roll, total income is 15% lower than at last review. Moody's LTV and stressed DSCR are 109% and 0.89X, respectively, compared 91% and 1.07X at last review. The third largest loan is the Sandman Portfolio Loan ($15.8 million -- 5.8% of the pool), which is secured by four full service hotels located in British Columbia (3) and Alberta (1). All four hotels are operated and managed by Sandman Hotels. Performance remain stable. As of December 2009, the portfolio's occupancy and RevPAR were 53% and $53.03, respectively, compared to 59% and $56.20 in 2008. The loan has amortized 4% since last review. Moody's LTV and stressed DSCR are 45% and 2.9X, respectively, compared to 46% and 2.78X at last review. REAL ESTATE: Moody's Affirms Ratings on 18 Classes of Certs. ------------------------------------------------------------ Moody's Investors Service affirmed the ratings of 18 classes of Real Estate Asset Liquidity Trust Commercial Mortgage Pass-Through Certificates, Series 2006-2: -- Cl. A-1, Affirmed at Aaa (sf); previously on Oct 13, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on Oct 13, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. XP-1, Affirmed at Aaa (sf); previously on Oct 13, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. XC-1, Affirmed at Aaa (sf); previously on Oct 13, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. XP-2, Affirmed at Aaa (sf); previously on Oct 13, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. XC-2, Affirmed at Aaa (sf); previously on Oct 13, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aa2 (sf); previously on Oct 13, 2006 Definitive Rating Assigned Aa2 (sf) -- Cl. C, Affirmed at A2 (sf); previously on Oct 13, 2006 Definitive Rating Assigned A2 (sf) -- Cl. D-1, Affirmed at Baa2 (sf); previously on Oct 13, 2006 Definitive Rating Assigned Baa2 (sf) -- Cl. D-2, Affirmed at Baa2 (sf); previously on Oct 13, 2006 Definitive Rating Assigned Baa2 (sf) -- Cl. E-1, Affirmed at Baa3 (sf); previously on Oct 13, 2006 Definitive Rating Assigned Baa3 (sf) -- Cl. E-2, Affirmed at Baa3 (sf); previously on Oct 13, 2006 Definitive Rating Assigned Baa3 (sf) -- Cl. F, Affirmed at Ba1 (sf); previously on Oct 13, 2006 Definitive Rating Assigned Ba1 (sf) -- Cl. G, Affirmed at Ba2 (sf); previously on Oct 13, 2006 Definitive Rating Assigned Ba2 (sf) -- Cl. H, Affirmed at Ba3 (sf); previously on Oct 13, 2006 Definitive Rating Assigned Ba3 (sf) -- Cl. J, Affirmed at B1 (sf); previously on Oct 13, 2006 Definitive Rating Assigned B1 (sf) -- Cl. K, Affirmed at B2 (sf); previously on Oct 13, 2006 Definitive Rating Assigned B2 (sf) -- Cl. L, Affirmed at B3 (sf); previously on Oct 13, 2006 Definitive Rating Assigned B3 (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 1.6% of the current balance. At last review, Moody's cumulative base expected loss was 1.0%. Moody's stressed scenario loss is 5% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 17 compared to 19 at last review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated March 4th, 2010. Deal Performance As of the February 14, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 13% to $360 million from $412 million at securitization. The Certificates are collateralized by 56 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans representing 60% of the pool. Three loans, representing 2% of the pool, have defeased and are secured by Canadian Government securities. The pool contains five loans with investment grade credit estimates, representing 30% of the pool. Thirteen loans, representing 13% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. One loan has been liquidated from the pool since securitization, resulting in an aggregate realized loss of $30,000 (1% loss severity). One loan, representing less then 1% of the pool, is currently in special servicing, the same at last review. Moody's has estimated an aggregate $170,000 loss (50% expected loss on average) for the specially serviced loan. Moody's has assumed a high default probability for three poorly performing loans representing 4% of the pool and has estimated a $2 million aggregate loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 operating results for 68% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 78% compared to 83% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.41X and 1.32X, respectively, compared to 1.35X and 1.22X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. There are five loans with credit estimates that make up 30% of the pool. The largest loan with a credit estimate is the Crombie Pool A Loan ($33.4 million -- 9.3% of the pool), which is secured by five retail centers located throughout the provinces of Nova Scotia, Newfoundland and New Brunswick. The portfolio totals 579,000 square feet with County Fair Mall, 260,000 SF, as the largest property. As of December 2009, the portfolio was 84% leased, compared to 90% at last review and 95% at securitization. The portfolio's largest tenants are Sobey's (25% of the net rentable area; lease expirations vary); Zellers (18% of the NRA; lease expiration in March 2020) and Sears Canada (5% of the NRA; lease expiration in October 2029). The decline in net operating income from securitization has been partially offset by principal amortization. The loan is structured with a 25-year amortization schedule and has amortized 10% since securitization. The loan sponsor is Crombie Development which is a subsidiary of the Empire Company and owns Sobeys. Moody's current credit estimate and stressed DSCR are Baa3 and 1.34X, respectively, compared to Baa3 and 1.29X at last review. The second loan with a credit estimate is the Trinity Crossing Orleans Loan ($29.7 million -- 8.3% of the pool), which is secured by a 191,000 SF shopping center located in the Ottawa suburb of Orleans, Ontario. The center is shadow-anchored by Loblaws Supermarket, which is not part of the collateral. As of February 2010, the property was 100% leased, essentially the same as last review and at securitization. The largest tenant's are Winners (24% of the NRA; lease expiration in May 2016); Value Village (15% of the NRA; lease expiration in March 2019) and Michael's (11% of the NRA; lease expiration in August 2016). The loan was previously on the watchlist due to the bankruptcy of Linen 'N Things which occupied 15% of the NRA at securitization. The space formerly occupied by Linen 'N Things has been leased to Value Village at the same rental rate previously paid by Linen 'N Things. Property's performance has been stable and the loan benefits from principal amortization. The loan has amortized 7% since securitization. The loan is full recourse to RioCan REIT, the sponsor. Moody's current credit estimate and stressed DSCR are Baa3 and 1.07X, respectively, compared to Baa3 and 0.99X at last review. The third loan with a credit estimate is the Sandman Vancouver Hotel Loan ($22.5 million -- 6.3% of the pool), which is secured by a 302-room full service hotel located in downtown Vancouver, British Columbia. For the 12-month period ending December 2009, revenue per available room and occupancy were $56 and 53% respectively, compared with $68 and 64% at last review, and $67 and 65% at securitization. Performance has declined due to lower occupancy levels for 2009. The loan is structured on a 20-year amortization schedule and has amortized 15% since securitization. The loan is full recourse to Northland Properties, the sponsor. Moody's current credit estimate and stressed DSCR are Baa3 and 1.50X, respectively, compared to Baa2 and 1.72X at last review. The fourth loan with a credit estimate is the Merivale Market Shopping Center Loan ($13.9 million -- 3.9% of the pool), which is secured by a 79,000 SF grocery-anchored shopping center located in the Ottawa suburb of Nepean, Ontario. As of February 2010, the property was 100% leased, similar at last review, compared to 95% at securitization. The largest tenants are Food Basics (44% of the NRA; lease expiration in May 2026) and Shopper's Drug Mart (22% of the NRA; lease expiration in October 2016). Performance has been stable. The loan has amortized 7% since securitization. The loan is full recourse to RioCan REIT, the sponsor. Moody's current credit estimate and stressed DSCR are Baa3 and .99X, respectively, compared to Baa3 and 1.00X at last review. The fifth loan with a credit estimate is the Abbey Plaza Loan ($8.3 million -- 2.3% of the pool), which is secured by a 95,000 SF grocery-anchored shopping center located in Oakville, Ontario. As of April 2010, the property was 100% leased, essentially the same as at last review and securitization. The largest tenant is Sobey's (47% of the NRA; lease expiration in September 2015). Performance has been stable. The loan is structured on a 20-year amortization schedule and has amortized 14% since securitization. The loan is full recourse to RioCan REIT, the sponsor. Moody's current credit estimate and stressed DSCR are Aa1 and 1.94X, respectively, compared to Aa1 and 1.78X at last review. The three largest conduit loans represent 23% of the outstanding pool balance. The largest conduit loan is the Distillery District Loan ($30.6 million -- 8.5% of the pool), which is secured by a 328,434 SF mixed-use property that is an historic landmark located in downtown Toronto, Ontario. As of December 2009, the property was 96% leased compared to 98% at securitization. Performance has been stable. The largest tenant is Toronto Artscape (15% of the NRA; lease expiration in August 2022). The loan is structured with a 25-year amortization schedule and has amortized 10% since securitization. The loan is full recourse to Dundee REIT, the sponsor. Moody's current LTV and stressed DSCR are 67% and 1.45X, respectively, compared to 74% and 1.32X at last review. The second largest conduit loan is the Dominion Square Loan ($27.4 million -- 7.6% of the pool), which represents a pari passu interest in a $54.8 million first mortgage loan. The loan is secured by a 12-story, 374,402 SF mixed-use building located on St. Catherine Street in downtown Montreal, Quebec. As March 2010, the property was 96% leased compared to 72% at securitization. The largest tenants are The Montreal Gazette (21% of the NRA; lease expiration in December 2018); Travaux Publique du Canada (20% of the NRA; lease expiration in March 2018) and Societe Immobiliere du Quebec (9% of the NRA; lease expiration in January 2011). Approximately 32% of the NRA is leased to local and provincial government agencies. While the property's occupancy levels have improved since securitization, rental revenue has decreased by 15% due to lower rental rates for new and renewing tenants. Moody's LTV and stressed DSCR are 109% and 0.89X, respectively, compared to 91% and 1.07X at last review. The third largest conduit loan is the Crombie Pool B Loan ($25 million -- 6.9% of the pool), which is secured by a three anchored retail centres and one mixed-use property located in Novia Scotia and New Brunswick. The portfolio totals 800,000 square feet, with properties ranging in size from 71,000 SF to 386,000 SF with the largest property being Aberdeen Shopping Centre. As December 2009, the property was 82% leased compared to 90% at securitization. The sponsor is Crombie Developments, which is a subsidiary of the Empire Company, owner's of Sobey. Loan maturities range from April 2014 to April 2018. Performance has declined due to drop in revenues and increased operating expenses. Moody's LTV and stressed DSCR are 89% and 1.17X, respectively, compared to 80% and 1.28X at securitization. RITE AID: Moody's Affirms Ratings on 1999-1 Certificates -------------------------------------------------------- Moody's Investors Service affirmed the ratings of Rite Aid Pass- Through Trust Certificates, Series 1999-1: -- Class A-1, Affirmed at B3; previously on Nov 29, 2000 Downgraded to B3 -- Class A-2, Affirmed at B3; previously on Nov 29, 2000 Downgraded to B3 Ratings Rationale The ratings of the Certificates are affirmed at B3 based on the value of the collateral supporting the Certificates and the current rating of Rite Aid (senior unsecured debt rating Caa3/Ca, stable outlook). This action is the result of Moody's on-going surveillance of commercial mortgage backed securities. In rating this transaction, Moody's used its credit-tenant lease financing rating methodology. Under Moody's CTL approach, the rating of a transaction's certificates is primarily based on the senior unsecured debt rating (or the corporate family rating) of the tenant, usually an investment grade rated company, leasing the real estate collateral supporting the bonds. This tenant's credit rating is the key factor in determining the probability of default on the underlying lease. The lease generally is "bondable", which means it is an absolute net lease, yielding fixed rent paid to the trust through a lock-box, sufficient under all circumstances to pay in full all interest and principal of the loan. The leased property should be owned by a bankruptcy-remote, special purpose borrower, which grants a first lien mortgage and assignment of rents to the securitization trust. The dark value of the collateral, which assumes the property is vacant or "dark", is then examined; the dark value must be sufficient, assuming a bankruptcy of the tenant and rejection of the lease, to support the expected loss consistent with the certificates' rating. Moody's may make adjustments reflecting the possibility of lease affirmations by the tenant and for the landlord's claim for lease rejection damages in bankruptcy. Moody's also may give credit for some amortization of the debt, depending upon the rating of the credit tenant. In addition, Moody's considers the overall structure and legal integrity of the transaction. The certificates' rating may change as the senior unsecured debt rating (or the corporate family rating) of the tenant changes. There were no models used in the review of this transaction. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's prior full review is summarized in a press release dated May 12, 2010. Deal Performance The Certificates are supported by a portfolio of 53 drug stores located in 14 states and the District of Columbia. Each property is subject to a fully bondable, triple net lease guaranteed by Rite Aid. Residual insurance covers 51 of the 53 properties and is provided by Hartford Fire Insurance Company (senior unsecured debt rating of A2, stable outlook). The two properties not covered by the residual insurance secure loans that fully amortize by the lease expiration. Rite Aid is headquartered in Camp Hill, Pennsylvania. Rite Aid provides pharmacy services as well as over-the-counter medication and household items. As of February 27, 2010, the company operated 4,780 retail drugstores located in 31 states and the District of Columbia. SCHOONER TRUST: Moody's Affirms Ratings on 13 2004-CF2 Certs. ------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 13 classes of Schooner Trust, Commercial Mortgage Pass-Through Certificates, Series 2004-CF2: -- A-1, Affirmed at Aaa (sf); previously on Sep 28, 2004 Definitive Rating Assigned Aaa (sf) -- A-2, Affirmed at Aaa (sf); previously on Sep 28, 2004 Definitive Rating Assigned Aaa (sf) -- X, Affirmed at Aaa (sf); previously on Sep 28, 2004 Definitive Rating Assigned Aaa (sf) -- B, Affirmed at Aa2 (sf); previously on Sep 28, 2004 Definitive Rating Assigned Aa2 (sf) -- C, Affirmed at A2 (sf); previously on Sep 28, 2004 Definitive Rating Assigned A2 (sf) -- D, Affirmed at Baa2 (sf); previously on Sep 28, 2004 Definitive Rating Assigned Baa2 (sf) -- E, Affirmed at Baa3 (sf); previously on Sep 28, 2004 Definitive Rating Assigned Baa3 (sf) -- F, Affirmed at Ba1 (sf); previously on Sep 28, 2004 Definitive Rating Assigned Ba1 (sf) -- G, Affirmed at Ba2 (sf); previously on Sep 28, 2004 Definitive Rating Assigned Ba2 (sf) -- H, Affirmed at Ba3 (sf); previously on Sep 28, 2004 Definitive Rating Assigned Ba3 (sf) -- J, Affirmed at B1 (sf); previously on Sep 28, 2004 Definitive Rating Assigned B1 (sf) -- K, Affirmed at B2 (sf); previously on Sep 28, 2004 Definitive Rating Assigned B2 (sf) -- L, Affirmed at B3 (sf); previously on Sep 28, 2004 Definitive Rating Assigned B3 (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 1.3% of the current balance. At last review, Moody's cumulative base expected loss was 1.5%. Moody's stressed scenario loss is 5.8% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 16 compared to 18 at Moody's prior full review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated April 8, 2010. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the March 14, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 22% to $283.8 million from $363.3 million at securitization. The Certificates are collateralized by 52 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans representing 58% of the pool. The pool contains two loans with investment grade credit estimates that represent 13% of the pool. Six loans, representing 8% of the pool, have defeased and are collateralized with Canadian Government securities. Three loans, representing 8% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. The pool has not realized any losses since securitization. There are no loans currently in special servicing. Moody's was provided with full year 2009 operating results for 85% of the pool. Moody's weighted average LTV is 71% compared to 77% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2%. Moody's actual and stressed DSCRs are 1.46X and 1.46X, respectively, compared to 1.42X and 1.36X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit estimate is the Daimler Chrysler Building Loan ($26.2 million -- 9.2% of the pool), which is secured by a 197,000 square foot Class A office and retail building located in Windsor, Ontario. The property was 88% leased as of April 2010 compared to 100% as of March 2009 and 100% at securitization. The largest tenant is Chrysler Canada which leases approximately 67% of the property's net rentable area through August 2022. Although occupancy has decreased, performance remains stable and the loan benefits from amortization. Moody's current credit estimate and stressed DSCR are Baa3 and 1.14X, respectively, compared to Baa3 and 1.11X at last review. The second loan with credit estimate rating is the Confederation Mall Loan ($10.5 million -- 3.7% of the pool), which is secured by a 327,000 SF retail center located in Saskatoon, Saskatchewan. The property was 94% leased as of November 2010 compared to 90% as of December 2009. Wal-Mart vacated its space (148,647 SF -- 45% of the NRA) prior to its January 2011 lease expiration. Canadian Tire has leased most of the space vacated by Wal-Mart (129,600 SF -- 40% of the NRA) as of March 2011 through March 2026. Moody's does not anticipate the co-tenancy clauses pertaining to Wal-Mart to have a material impact on the property's performance. The loan is structured with a 25-year amortization schedule and has amortized 6% since the last review. The loan is 100% recourse to the borrower. Moody's current credit estimate and stressed DSCR are Baa3 and 1.56X, respectively, compared to Baa3 and 1.46X at last review. The top three performing conduit loans represent 27% of the pool balance. The largest loan is the PD Kanco Multifamily Portfolio ($36.4 million -- 12.8% of the pool), which is secured by seven multifamily properties totaling 736 units located in Ontario. The portfolio was 97% leased as of December 2009 compared to 94% as of December 2008. Moody's LTV and stressed DSCR are 89% and 1.01X, respectively, essentially the same as at last review. The second largest loan is the Westmount Square Loan ($26 million -- 9.2% of the pool), which is secured by a 330,000 SF Class A office and retail complex located in Montreal, Quebec. The complex is approximately 75% office space and 25% retail space. The property was 95% leased as of February 2010 compared to 93% at securitization. The loan is structured with a 25-year amortization schedule and is 100% recourse to the borrower. Performance has improved since securitization due to increasing base rents. Moody's LTV and stressed DSCR are 68% and 1.54X, respectively, compared to 80% and 1.32X at last review. The third largest loan is the Stillwater Creek Retirement Community Loan ($15.3 million -- 5.4% of the pool), which is secured by a 204-unit facility offering independent living, assisted living and retirement care services located in Nepean, Ontario. The property was 87% leased as of March 2010 compared to 95% as of March 2009 and 98% at securitization. Despite the decline in occupancy, performance remains stable. Moody's LTV and stressed DSCR are 60% and 1.88X, respectively, compared to 63% and 1.79X at last review. SKY LAKES: Fitch Takes Rating Actions on Various Classes of Notes ----------------------------------------------------------------- Fitch Ratings takes this rating action on Sky Lakes Medical Center, Oregon as part of its continuous surveillance effort: -- Approximately $39.3 million Klamath Falls Intercommunity Hospital Authority (Oregon) revenue and refunding bonds (Merle West Medical Center Project), series 2006, upgraded to 'BBB-' from 'BB'; -- Approximately $12.8 million Klamath Falls Intercommunity Hospital Authority (Oregon) revenue and refunding bonds (Merle West Medical Center Project), series 2002, upgraded to 'BBB-' from 'BB'. The Rating Outlook is Stable. Rating Rationale: -- The rating upgrade to 'BBB-' from 'BB' reflects the sharp improvement in Sky Lakes' financial profile since fiscal year end 2009 which has produced operating, debt and liquidity metrics that are now in line with the low end of Fitch's 'BBB' category medians. -- Sky Lakes posted operating EBITDA margins of 14.3% and 9.2% in fiscal 2010 and 2009, respectively, which exceed the 2010 'BBB' category median of 8.7% and reflect management's tight cost control and revenue cycle initiatives. -- Sky Lakes unrestricted cash and investments position at Dec. 31, 2010 is double the level at fiscal year end 2008. As a result, days cash on hand, cushion and cash to debt ratios all exceed the respective 'BBB' category medians. Key Rating Drivers: -- Fitch expects operating profitability to be tempered by the effects of the recession on utilization and a deterioration in payor mix. -- With Medcaid payors accounting for 15.1% of gross revenues in 2010, the Oregon State legislature's proposed 19% reduction in Medicaid rates could materially depress operating performance. Security: Debt payments are secured by a pledge of the gross revenues of Sky Lakes, a mortgage, and a debt service reserve fund. Credit Summary: The rating upgrade to 'BBB-' from 'BB' is supported by Sky Lakes' sharp improvement in financial profile, which exhibits profitability and liquidity metrics consistent with the 'BBB' rating category. Over the last two fiscal years, Sky Lakes has implemented a performance improvement plan focused on tight expense control, improved productivity, reduced capital spending, and strong revenue cycle management. With strong growth in net patient revenues and better expense control measures, Sky Lakes posted operating and operating EBITDA margins of 7.4% and 14.3% in fiscal 2010, respectively, which exceed the respective Fitch 'BBB' category medians of 1.9% and 8.7%. Further, Sky Lakes' balance sheet has been strengthened by strong cash flow generation and improved revenue collection which has produced liquidity measures that are consistent with the current rating. As of Sept. 30, 2010, Sky Lakes had $41.4 million in unrestricted cash and investments, equating to 115.1 DCOH, 9.0 times cushion ratio, and a 79.2% cash-to-debt which are consistent with Fitch's 'BBB' category medians. Fitch also notes that Sky Lakes investment portfolio is anchored by a revised investment policy that has capped equity exposure to no more than 45%, unlike prior years when Sky Lakes' unrestricted investments were solely in equities. Fitch believes that the revised policy will lessen Sky Lakes' balance sheet volatility providing more stability to its currently adequate liquidity position. Sky Lakes' debt profile includes $52.1 million in revenue bonds outstanding, all of which are in fixed rate mode. Maximum annual debt service requirement totals $4.6 million and coverage by EBITDA in fiscal year 2010 was a very strong 5.6x. Credit concerns reflect a challenging operating environment as evidenced by flat patient utilization and potential reductions in Medicaid reimbursement rates. Management reports that a weak economy has led to a shift in payor mix to Medicaid and away from commercial payors. In addition, utilization trends have been flat. While Sky Lakes has been successful in enhancing productivity through tight labor expense control, profitability is likely to decline from 2010 performance absent gradual improvement in the local economy and patient volume growth. In addition, the Oregon legislature has proposed a 19% reduction in Medicaid reimbursement rates. While this remains preliminary, Sky Lakes operations are likely to be challenged by some measure of reimbursement reduction, which should further suppress profitability. Management believes that its FY 2011 results remain ahead of budget (3.5% operating margin), and it will address any rate reductions in its 2012 budget through further labor expense reductions and productivity enhancements. The Stable Rating Outlook reflects Fitch's expectation that management will continue to post good operating results, maintain sound liquidity measures, meet its budget targets, and be able to adapt to a challenging operating/payor mix environment. Sky Lakes Medical Center (formerly Merle West Medical Center) is located in Klamath Falls, Oregon, and operates a 100 staffed-bed general acute-care community hospital and several clinics. In fiscal 2010, Sky Lakes generated approximately $168.2 million in total operating revenues. Sky Lakes covenants to provide annual and quarterly disclosure through the Municipal Rule Making Board's EMMA system. SLATE CDO: Moody's Downgrades Ratings on Two Classes of Notes ------------------------------------------------------------- Moody's Investors Service announced that it has downgraded two and affirmed five classes of Slate CDO 2007-1, Ltd. The classes affected by the action is a result of an Event of Default and the subsequent direction of the Trustee to liquidate the pool of reference obligations and cash collateral as a post-event-of- default remedy. Moody's has been notified by the Trustee that a final distribution of liquidation proceeds has taken place; with the exception of retention of a small amount of reserve funds. The ratings on the transaction will be subsequently withdrawn. Moody's rating action is: -- Class A1SA, Downgraded to C (sf); previously on Jun 21, 2010 Downgraded to Ca (sf) -- Class A1SB, Downgraded to C (sf); previously on Jun 21, 2010 Downgraded to Ca (sf) -- Class A1J, Affirmed at C (sf); previously on Jun 21, 2010 Downgraded to C (sf) -- Class A2, Affirmed at C (sf); previously on Jun 21, 2010 Downgraded to C (sf) -- Class A3, Affirmed at C (sf); previously on Oct 1, 2009 Downgraded to C (sf) -- Class B1, Affirmed at C (sf); previously on Oct 1, 2009 Downgraded to C (sf) -- Class B2, Affirmed at C (sf); previously on Oct 1, 2009 Downgraded to C (sf) Ratings Rationale The rating action taken reflects the changes in severity of loss associated with certain tranches and reflect the final liquidation distribution. Moody's Investors Service will withdraw the credit ratings pursuant to published credit rating methodologies that allow for the withdrawal of the credit rating if an obligation is no longer outstanding. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. STRUCTURED ASSET: Moody's Downgrades Ratings on 131 Tranches ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 131 tranches and confirmed the ratings of eight tranches from 20 Alt-A deals issued by Structured Asset Securities Corp. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate Alt-A residential mortgages. Moody's is also reinstating the rating on Class 3-A2 from Structured Asset Securities Corp Trust 2003-35. The rating on this tranche was previously withdrawn due to an administrative error. Ratings Rationale The actions are a result of deteriorating performance of Alt-A pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Alt-A pools issued prior to 2005. The principal methodology used in these ratings was the "Pre-2005 US RMBS Surveillance Methodology" published in January 2011. Moody's final rating actions are based on current ratings, level of credit enhancement, collateral performance and updated pool- level loss expectations relative to current level of credit enhancement. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. The above mentioned "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 10.1%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Structured Asset Securities Corp Trust 2003-32 -- Cl. 1-A1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-AP, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AX, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. PAX, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2003-33H -- Cl. 1A1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1A-IO, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1A-PO, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A1, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A-IO, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1B1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1B2, Downgraded to Ca (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2B1, Downgraded to Ca (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2B2, Downgraded to Ca (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to C (sf); previously on Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2003-34A -- Cl. 1-A, Downgraded to Baa1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A3, Downgraded to A2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A4, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A5, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A6, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A4, Downgraded to A1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A5, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A, Downgraded to A3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2003-35 -- Cl. 1-A1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to A3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to A3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to A3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A4, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to A3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A2, Reinstated to A3 (sf) -- Cl. 3-A3, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AX, Downgraded to A3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. PAX, Downgraded to A3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-AP, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2003-37A -- Cl. 1-A, Confirmed at Baa2 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A6, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A7, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-A, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 8-A1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 8-A2, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B1-I, Downgraded to C (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2003-38 -- Cl. 1-A1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A2, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A3, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A4, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-AP, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AX, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. PAX, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2003-40A -- Cl. 1-A, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-10 -- Cl. 1-A1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-12H -- Cl. 1A, Downgraded to Ba3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1A-IO, Downgraded to Ba3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1A-PO, Downgraded to Ba3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to B3 (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1B1, Downgraded to Ca (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1B2, Downgraded to C (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2B2, Downgraded to C (sf); previously on Apr 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2B1, Downgraded to Ca (sf); previously on Apr 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to C (sf); previously on Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-13 -- Cl. 1-A1, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A2, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A3, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-15 -- Cl. 1-A1, Downgraded to B2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to B2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-AP, Downgraded to B2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-AP, Downgraded to B2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-PAX, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-AX, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A2, Downgraded to B2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A3, Downgraded to B2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A4, Downgraded to B2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A5, Downgraded to B2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A6, Downgraded to B2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A1, Downgraded to B2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A7, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A8, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. AX, Downgraded to B2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. PAX, Downgraded to B2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-18H -- Cl. A4, Confirmed at Aa1 (sf); previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A5, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-IO1, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-IO2, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-22 -- Cl. A2, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-2AC -- Cl. A1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-3 -- Cl. 1-A1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. AP, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. AX, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-PAX, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-5H -- Cl. A3, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A4, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-IO1, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-IO2, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Ba2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Caa3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to C (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to C (sf); previously on Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-7 -- Cl. 1-A1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A1, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AP, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. AX, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. PAX, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corporation Mortgage Pass- Through Certificates, Series 2001-16H -- Cl. B1, Downgraded to Aa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. BX-1, Downgraded to Aa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. BX-2, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to Ca (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corporation Mortgage Pass- Through Certificates, Series 2002-3 -- Cl. CAX, Confirmed at Aaa (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corporation Mortgage Pass- Through Certificates, Series 2002-4H -- Cl. 1-A, Confirmed at Aaa (sf); previously on Mar 18, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-AP, Confirmed at Aaa (sf); previously on Mar 18, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-AX, Confirmed at Aaa (sf); previously on Mar 18, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Confirmed at Aaa (sf); previously on Mar 18, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to Baa1 (sf); previously on Mar 18, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to Ca (sf); previously on Mar 18, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade STRUCTURED ASSET: Moody's Lifts Ratings on 2003-1 Units to 'Ba1' ---------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the rating of these units issued by Structured Asset Trust Unit Repackaging CBT Series 2003-1: -- CBT Series 2003-1 Units Trust of US$24,000,000 Units, Upgraded to Ba1; previously on January 9, 2009 Downgraded to Ba2 Ratings Rationale The transaction is a structured note whose rating is based on the ratings of the pool of Underlying Securities and the legal structure of the transaction. The rating action is a result of the improvement of the average credit quality of the Underlying Securities which are comprised of 24 corporate bonds. The Underlying Securities include debts of General Motors Acceptance Corp, upgraded on February 7, 2011 from a B3 to B1, and Limited Brands, upgraded on March 7, 2011 from Ba3 to Ba2. Currently 87.5% of the portfolio's securities have investment grade ratings, and the lowest security rating is B1. The current expected loss of the portfolio is consistent with the expected loss implied by a Ba1 rating. TERWIN MORTGAGE: S&P Corrects Rating on Class A-1B From 'CCC' ------------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on class A-1B to 'AAA (sf)' from 'CCC (sf)' from Terwin Mortgage Trust 2007-2ALT. In addition, S&P affirmed its 'AAA (sf)' rating on class A-1A and removed it from CreditWatch negative. On Oct. 27, 2008, as part of a larger review of U.S. residential mortgage-backed securities backed by Alternative-A collateral, S&P incorrectly lowered its rating on class A-1B to 'CCC (sf)' from 'BBB (sf)' and removed it from CreditWatch negative. The corrected rating reflects S&P's view of the allocation of losses based on the relevant transaction documents. S&P placed its rating on class A-1A on CreditWatch with negative implications on Jan. 18, 2011, due to potential counterparty risk associated with this transaction. Based on S&P's analysis of the transaction cash flows incorporating S&P's projected stress scenarios, S&P believes that the transaction can meet scheduled payments of interest and principal without relying on payments from the hedge. The affirmation of the rating on class A-1A and its removal from CreditWatch negative also reflects S&P's belief that there is sufficient credit enhancement to cover its projected losses under S&P's stress scenarios associated with this rating level. The collateral backing this transaction consists of closed-end, fixed and adjustable-rate, first-lien, Alt-A mortgage loans secured by mortgages or deeds of trust on one- to four-family residential properties. Rating Corrected Terwin Mortgage Trust 2007-2ALT Series 2007-2ALT Rating ------ Class CUSIP Current Oct. 27, 2008 Pre-Oct. 27, 2008 ----- ----- ------- ------------- ----------------- A-1B 88157JAL8 AAA (sf) CCC (sf) BBB (sf)/Watch Neg Rating Action Terwin Mortgage Trust 2007-2ALT Series 2007-2ALT Rating ------ Class CUSIP To From ----- ----- -- ---- A-1A 88157JAA2 AAA (sf) AAA (sf)/Watch Neg TIERS CORPORATE: S&P Withdraws 'D' Ratings on $42 Mil. Bonds ------------------------------------------------------------ Standard & Poor's Ratings Services withdrew its 'D' ratings on TIERS Corporate Bond-Backed Certs Trust LUMB 1997-12's $42 million amortizing (interest-only) and ZFT (principal) certificates. S&P's ratings on the two certificate classes from the transaction are dependent on S&P's rating on the underlying security, Lumbermens Mutual Casualty Co.'s 8.45% surplus notes due Dec. 1, 2097 (not rated). The rating actions follow the rating withdrawal on the underlying security. TOPIARY CAPITAL: S&P Puts 'BB+' Rating on CreditWatch Negative -------------------------------------------------------------- Standard & Poor's Ratings Services said it placed its 'BB+ (sf)' rating on Topiary Capital Ltd.'s series 2008-1 notes on CreditWatch with negative implications. The CreditWatch placement follows the issuer's submission of an activation notice to Risk Management Solutions related to the March 11, 2011, earthquake in Japan. If RMS determines that the earthquake is an activation event, then the noteholders will be at risk for losses of principal and interest for subsequent covered events that occur from March 11 through July 31. When S&P assigned a rating on the notes in 2008, S&P indicated that, upon the occurrence of the initial activation event, S&P could lower its rating on the notes to 'CCC (sf)', depending on when the activation event occurred. Slightly more than four months remain until the notes are no longer at risk for a covered event, so S&P does not expect to lower the rating to 'CCC (sf)'. As S&P receive updated information, S&P will take the appropriate rating action. If the March 11 quake is not an activation event, S&P will remove the rating from CreditWatch negative, and the notes will remain rated 'BB+ (sf)'. Ratings List CreditWatch Action Topiary Capital Ltd. To From -- ---- Series 2008-1 notes BB+ (sf)/Watch Neg BB+ (sf) UNITED ARTISTS: Moody's Upgrades Rating on 1995-A Certs. to 'B3' ---------------------------------------------------------------- Moody's Investors Service upgraded the rating of United Artists Theatre Circuit, Inc. 1995-A Pass Through Trust 9.3% Pass Through Certificates, Series 1995-A: -- 1995-A, Upgraded to B3; previously on Apr 11, 2000 Downgraded to Caa3 Ratings Rationale The rating of the Certificates is upgraded due to a significant decline in the dark loan to value value of the underlying collateral due to principal amortization as well as the credit quality of the credit tenant. As of the January 2011 distribution date, the Certificate balance has paid down by approximately 74% to $31 million from $117 million. The underlying collateral was originally leased to United Artists Theatre, which declared bankruptcy in September 2000. The Anschutz Corporation purchased controlling interests in Regal Cinemas, United Artists and Edwards Theatres out of bankruptcy. The three companies were consolidated into Regal Entertainment Group, which went public in May 2002. The current senior unsecured rating of Regal Entertainment Group is B3, stable outlook. This action is the result of Moody's on-going surveillance of commercial mortgage backed securities. In rating this transaction, Moody's used its credit-tenant lease financing rating methodology. Under Moody's CTL approach, the rating of a transaction's certificates is primarily based on the senior unsecured debt rating (or the corporate family rating) of the tenant, usually an investment grade rated company, leasing the real estate collateral supporting the bonds. This tenant's credit rating is the key factor in determining the probability of default on the underlying lease. The lease generally is "bondable", which means it is an absolute net lease, yielding fixed rent paid to the trust through a lock-box, sufficient under all circumstances to pay in full all interest and principal of the loan. The leased property should be owned by a bankruptcy-remote, special purpose borrower, which grants a first lien mortgage and assignment of rents to the securitization trust. The dark value of the collateral, which assumes the property is vacant or "dark", is then examined; the dark value must be sufficient, assuming a bankruptcy of the tenant and rejection of the lease, to support the expected loss consistent with the certificates' rating. Moody's may make adjustments reflecting the possibility of lease affirmations by the tenant and for the landlord's claim for lease rejection damages in bankruptcy. Moody's also may give credit for some amortization of the debt, depending upon the rating of the credit tenant. In addition, Moody's considers the overall structure and legal integrity of the transaction. The certificates' rating may change as the senior unsecured debt rating (or the corporate family rating) of the tenant changes. There were no models used in the review of this transaction. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's prior full review is summarized in a press release dated April 11, 2000. Deal Performance As of the January 2011 distribution date the Certificate balance has paid down by approximately 74% to $31 million from $117 million. The transaction is supported by a portfolio of movie theatres that are subject to fully bondable, triple net leases to Regal. The lease payments are sufficient to pay all principal and interest for the Certificates. However, the Certificates are not obligations of, nor guaranteed by Regal Entertainment Group. Regal is headquartered in Knoxville, Tennessee. Regal operates the largest and most geographically diverse theatre circuit in the United States, consisting of 6,683 screens in 537 theatres in 37 states and the District of Columbia as of February 24, 2011, with over 244 million annual attendees for the fiscal year ended December 31, 2009. WACHOVIA BANK: Fitch Downgrades Ratings on 2006-C28 Certificates ---------------------------------------------------------------- Fitch Ratings downgrades and removes from Rating Watch Negative 15 classes of Wachovia Bank Commercial Mortgage Trust, series 2006- C28 commercial mortgage pass-through certificates, primarily due to an increase in specially serviced loans. The downgrades reflect an increase in Fitch modeled losses across the pool, which includes assumed losses on loans in special servicing and on performing loans with declines in performance indicative of a higher probability of default. Fitch modeled losses of 10.8% (10.8% cumulative transaction losses which includes losses realized to date). Fitch expects losses on specially serviced loans to deplete classes G through P and a portion of class F. As of February 2011, there are cumulative interest shortfalls in the amount of $11.2 million currently affecting classes H through Q. As of the February 2011 distribution date, the pool's aggregate principal balance has been paid down by 2.03% to $3.5 billion from $3.6 billion at issuance. There are no defeased loans in this transaction. Fitch has identified 68 loans (32.7%) as Fitch Loans of Concern, which includes 27 specially serviced loans (18.3%). The largest contributor to modeled losses is the Four Seasons Resort and Club - Dallas loan (4.97%) which is collateralized by a full-service hotel property located in Irving, TX. The loan transferred to special servicing in October 2009 due to monetary default and is more than 90 days delinquent. Property performance has deteriorated as NOI declined 16% from YE2009 to YE2010. There has also been a decrease in DSCR to 0.46 times at YE2010 from 0.55x at YE2009. The property is currently REO and the strategy for resolution is to hold the asset until property renovations are complete and market conditions improve. The second largest contributor to modeled losses is the Montclair Plaza loan (5.39%) which is collateralized by a 1.4 million square foot regional mall located in Montclair, CA, approximately 30 miles east of Los Angeles anchored by Macy's, JC Penney and Sears. The property transferred to special servicing in June 2010 due to monetary default. The latest servicer-reported occupancy was 80% as of December 2009, and the corresponding DSCR was 0.99x. The mall faces increased competition with a nearby outlet mall and lifestyle center and completed renovations in 2008 to better position itself against the competing centers. Negotiations on the resolution of this loan are ongoing with a deed-in-lieu as a potential outcome. The third largest contributor to modeled losses is the Westin Falls Church loan (1.82%) which is collateralized by a full- service hotel property in Falls Church, VA, approximately 12 miles west of Washington DC. Occupancy for the property is at 64% as of June 2010 which is in-line with performance at YE2009. The DSCR is 1.14x as of June 2010 where DSCR at YE2009 was 1.16x. The loan is current, and the servicer continues to monitor the performance of the loan. In total, there are currently 27 loans (18.3%) in special servicing which consists of 13 loans (9.08%) in foreclosure, four loans (0.8%) that are 90 days delinquent, and 10 loans (8.43%) that are REO. At Fitch's last review there were eight loans (3.7%) in special servicing consisting of one loan (1.07%) that was 90 days delinquent, three loans (1.55%) in foreclosure and four loans (1.86%) that are REO. Fitch downgrades and assigns Recovery Ratings, Loss Severity ratings and Outlooks to these classes as indicated: -- $278.6 million class A-J to 'BBsf/LS4' from 'BBBsf/LS3'; Outlook Stable; -- $22.5 million class B to 'BBsf/LS5' from 'BBBsf/LS5'; Outlook Stable; -- $58.4 million class C to 'B-sf/LS5' from 'BBsf/LS5'; Outlook Stable; -- $31.5 million class D to 'CCCsf/RR1' from 'BBsf/LS5'; -- $49.4 million class E to 'CCCsf/RR6' from 'BBsf/LS5'; -- $40.4 million class F to 'CCsf/RR6' from 'Bsf/LS5'; -- $40.4 million class G to 'CCsf/RR6' from 'B-sf/LS5'; -- $40.4 million class H to 'CCsf/RR6' from 'B-sf/LS5'; -- $44.9 million class J to 'CCsf/RR6' from 'B-sf/LS5'; -- $18 million class K to 'Csf/RR6' from 'B-sf/LS5'; -- $9 million class L to 'Csf/RR6' from 'B-sf/LS5'; -- $13.5 million class M to 'Csf/RR6' from 'B-sf/LS5'; -- $4.5 million class N to 'Csf/RR6' from 'B-sf/LS5'; -- $9 million class O to 'Csf/RR6' from 'CCCsf/RR1'; -- $9 million class P to 'Csf/RR6' from 'CCsf/RR4'. Prior to the downgrades the above classes were on Rating Watch Negative. Fitch affirms and assigns LS ratings and Outlooks to these classes as indicated: -- $417.2 million class A-2 at 'AAAsf/LS1'; Outlook Stable; -- $168.4 million class A-PB at 'AAAsf/LS1'; Outlook Stable; -- $215 million class A-3 at 'AAAsf/LS1'; Outlook Stable; -- $802.2 million class A-4 at 'AAAsf/LS1'; Outlook Stable; -- $591 million class A-1A at 'AAAsf/LS1'; Outlook Stable; -- $250 million class A-4FL at 'AAAsf/LS1'; Outlook Stable; -- $359.5 million class A-M at 'AAAsf/LS1'; Outlook Stable. Prior to the affirmation class A-M was on Rating Watch Negative. Class A-1 has been paid in full. Fitch withdraws the ratings of the interest only class IO. WHITEHORSE I: Moody's Upgrades Ratings on Various Classes --------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of these notes issued by WhiteHorse I Ltd.: -- Class A-1LB Floating Rate Notes Due September 2016, Upgraded to Aaa (sf); previously on Aug 27, 2009 Downgraded to Aa3 (sf); -- Class A-2L Floating Rate Notes Due September 2016, Upgraded to A1 (sf); previously on Aug 27, 2009 Downgraded to Baa1 (sf); -- Class A-3L Floating Rate Notes Due September 2016, Upgraded to Baa3 (sf); previously on Aug 27, 2009 Downgraded to Ba1 (sf); -- Class B-1L Floating Rate Notes Due September 2016, Upgraded to Ba3 (sf); previously on Aug 27, 2009 Downgraded to B1 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from the delevering of the Class A-1LA Notes, which have been paid down by approximately 70% or $84.2 million since the rating action in August 2009. As a result of the delevering, the overcollateralization ratios of the rated notes have improved. The Senior Class A, Class A, and Class B-1L overcollateralization ratios are reported at 126.24%, 113.39%, and 107.90%, respectively, versus August 2009 levels of 115.56%, 108.92%, and 104.71%, respectively. Moody's also notes that the credit profile of the underlying portfolio has improved moderately since the last rating action. Based on the February 2011 trustee report, the weighted average rating factor is 2516 compared to 2562 in August 2009, and securities rated Caa1 and below make up approximately 3.7% of the underlying portfolio versus approximately 8.9% in August 2009. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par balance, including principal proceeds, of $109 million, defaulted par of $6.8 million, a weighted average default probability of 23.2% (implying a WARF of 3665), a weighted average recovery rate upon default of 45.0%, and a diversity score of 46. These default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends, and collateral manager latitude for trading the collateral are also factors. WhiteHorse I Ltd., issued in July 2004, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. In addition to the base case analysis described above, Moody's also performed a number of sensitivity analyses to test the impact on all rated notes of various default probabilities. This is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF - 20% (2932) -- Class A-1LA: 0 -- Class A-1LB: 0 -- Class A-2L: +3 -- Class A-3L: +2 -- Class B-1L: +2 Moody's Adjusted WARF + 20% (4398) -- Class A-1LA: 0 -- Class A-1LB: 0 -- Class A-2L: -1 -- Class A-3L: -2 -- Class B-1L: -2 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance.CDO notes' performance may also be impacted by 1) the managers' investment strategies and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1. Delevering: The main source of uncertainty in this transaction is whether delevering from unscheduled principal proceeds will continue and at what pace. Delevering may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2. Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus selling defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3. Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes an asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. YONKERS INDUSTRIAL: Moody's Confirms 'Ba1' Rating to Housing Bonds ------------------------------------------------------------------ Moody's has confirmed the Ba1 rating on Yonkers Industrial Development Agency, NY Multifamily Housing Revenue Bonds (Herriot Street Housing, L.P. Project), Series 2004 which removes it from Watchlist following a review of cash flow and parity sufficiency for the life of the bonds, and assuming a 0% reinvestment rate. This action affects $13.6 million in debt. The bonds are secured by a mortgage that is guaranteed by a Fannie Mae Stand-by Credit Enhancement Instrument and were structured without a Guaranteed Investment Contract that assures a fixed rate of return on invested cash. This subjects the transaction to interest rate risk on retained revenues. As a result, revenue from the monthly mortgage receipts, interest earned on those receipts from money market funds or other short-term Investments, and monthly mortgage payments need to be sufficient to support debt service on the bonds. Additionally, at all times the ratio of the value of the assets held by the trustee, consisting of the amortized value of the credit enhanced mortgage and funds pledged to bondholders, to the bonds outstanding and accrued interest to any redemption date, should exceed 100%. Based on information Moody's have received, Moody's believes that estimated future cash flow breaks and declines in the parity ratio are primarily due to the failure to redeem bonds as directed under the indenture. Also contributing to the projected shortfalls are the very low investments earnings over the past few years. What Could Change the Rating -- Up A contribution of funds by the borrower to correct the likelihood of a future debt service shortfall. What Could Change the Rating -- Down A further deterioration in asset to liability ratio * Fitch Downgrades Ratings on 18 Bonds From 10 RMBS Transactions ---------------------------------------------------------------- Fitch Ratings has downgraded 18 bonds in 10 U.S. commercial mortgage-backed securities transactions to 'D', as the bonds have incurred a principal write-down. In addition, Fitch has assigned class N of BAMC 2005-1 a Recovery Rating of 'RR1'. The bonds were all previously rated 'B-', 'CCC', 'CC', or 'C', which indicates that Fitch expected a default. The action is limited to just the bonds with write-downs. The remaining bonds in these transactions have not been analyzed as part of this review. Fitch downgrades bonds to 'D' as part of the ongoing surveillance process and will continue to monitor these transactions for additional defaults. * S&P Downgrades Ratings on 133 Classes From 44 RMBS Transactions ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 133 classes from 44 U.S. residential mortgage-backed securities transactions backed by prime jumbo mortgage loans issued in 1998- 2003. In addition, S&P affirmed its ratings on 386 classes from 43 of the downgraded transactions and 11 other transactions. S&P also withdrew its ratings on six interest-only classes and six other classes from seven transactions. The downgrades reflect S&P's opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings, given S&P's current projected losses due to increased delinquencies. The rating affirmations reflect S&P's belief that the amount of credit enhancement available for these classes is sufficient to cover losses associated with these rating levels. S&P withdrew its ratings on six interest-only classes based on its current criteria, which can be found in "Global Methodology For Rating Interest-Only Securities," published on April 15, 2010. S&P also withdrew its ratings on an additional six classes because they have received their full amount of scheduled principal and currently have a zero balance. To assess the creditworthiness of each class, S&P review the respective transaction's ability to withstand additional credit deterioration and the impact that projected losses will have on each class. In order to maintain a 'B' rating on a class, S&P assess whether the class can withstand the additional base-case loss assumptions S&P use in its analysis. To maintain an 'AAA' rating, S&P assess whether the class can withstand approximately 235% of its additional base-case loss assumptions, subject to individual caps and qualitative factors applied to specific transactions. To maintain a rating in categories between 'B' (the base case) and 'AAA', S&P assess whether the class can withstand losses exceeding the additional base-case assumption at a percentage specific to each rating category, up to 235% for a 'AAA' rating. For example, S&P would assess whether one class could withstand approximately 130% of its base-case loss assumptions to maintain a 'BB' rating, while S&P would assess whether a different class could withstand approximately 155% of its base-case loss assumptions to maintain a 'BBB' rating. Subordination provides credit support for the affected transactions. The underlying collateral for these deals consists of fixed- and adjustable-rate U.S. prime jumbo mortgage loans secured by first liens on one- to four-family residential properties. Rating Actions ABN AMRO Mortgage Corp. Series 2003-1 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 00077B7L1 BBB+ (sf) AA (sf) B-2 00077B7M9 CCC (sf) BBB+ (sf) Banc of America Funding 2003-1 Trust Series 2003-1 Rating ------ Class CUSIP To From ----- ----- -- ---- B-4 05946XCC5 BBB- (sf) AA (sf) B-5 05946XCD3 CCC (sf) BB+ (sf) Banc of America Mortgage 2003-D Trust Series 2003-D Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 05948XCA7 AA- (sf) AA+ (sf) B-2 05948XCB5 BB- (sf) AA- (sf) B-3 05948XCC3 CCC (sf) A- (sf) B-4 05948XCD1 CC (sf) B (sf) Banc of America Mortgage 2003-E Trust Series 2003-E Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 05948XEF4 AA- (sf) AA+ (sf) B-2 05948XEG2 BB- (sf) A+ (sf) B-3 05948XEH0 CCC (sf) BBB+ (sf) B-4 05948XEL1 CC (sf) B+ (sf) Bear Stearns ARM Trust 2002-1 Series 2002-1 Rating ------ Class CUSIP To From ----- ----- -- ---- III-A 07384MJK9 AA (sf) AAA (sf) B-1 07384MJM5 BB+ (sf) AA (sf) B-2 07384MJN3 B- (sf) B+ (sf) Bear Stearns ARM Trust 2003-4 Series 2003-4 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 07384MVW9 A (sf) AA+ (sf) B-2 07384MVX7 B- (sf) AA- (sf) B-3 07384MVY5 CC (sf) B (sf) Chase Mortgage Finance Trust Series 2003-S1 Rating ------ Class CUSIP To From ----- ----- -- ---- M 16162T2N5 AA+ (sf) AAA (sf) B-1 16162T2P0 BBB- (sf) AA (sf) B-2 16162T2Q8 CCC (sf) BBB+ (sf) Chase Mortgage Finance Trust Series 2003-S4 Rating ------ Class CUSIP To From ----- ----- -- ---- IA-9 16162T4M5 NR AAA (sf) B-1 16162T5A0 BBB (sf) A (sf) B-2 16162T5B8 CCC (sf) BBB (sf) B-3 16162T5D4 CC (sf) BB (sf) B-4 16162T5E2 CC (sf) CCC (sf) CHL Mortgage Pass-Through Trust 2002-19 Series 2002-19 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 12669DBX5 BB+ (sf) AA- (sf) CHL Mortgage Pass-Through Trust 2002-26 Series 2002-26 Rating ------ Class CUSIP To From ----- ----- -- ---- M 12669DGC6 BBB (sf) AAA (sf) B-1 12669DGD4 B (sf) AAA (sf) B-2 12669DGE2 CC (sf) A- (sf) CHL Mortgage Pass-Through Trust 2002-27 Series 2002-27 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 12669DGU6 BB (sf) AA (sf) CHL Mortgage Pass-Through Trust 2003-14 Series 2003-14 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 12669EER3 AA+ (sf) AAA (sf) A-3 12669EET9 A+ (sf) AAA (sf) A-4 12669EEU6 A+ (sf) AAA (sf) A-5 12669EEV4 A+ (sf) AAA (sf) A-6 12669EEW2 A+ (sf) AAA (sf) A-8 12669EEY8 NR AAA (sf) A-9 12669EEZ5 NR AAA (sf) A-12 12669EFC5 A+ (sf) AAA (sf) A-13 12669EFD3 A+ (sf) AAA (sf) A-14 12669EFE1 A+ (sf) AAA (sf) A-15 12669EFF8 A+ (sf) AAA (sf) A-16 12669EFG6 AA- (sf) AAA (sf) A-17 12669EFH4 A+ (sf) AAA (sf) A-18 12669EFJ0 A+ (sf) AAA (sf) A-22 12669EFN1 A+ (sf) AAA (sf) A-23 12669EFP6 NR AAA (sf) A-24 12669EFQ4 NR AAA (sf) PO 12669EFS0 A+ (sf) AAA (sf) CHL Mortgage Pass-Through Trust 2003-15 Series 2003-15 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12669EEG7 AA (sf) AAA (sf) 1-A-2 12669EEH5 AA (sf) AAA (sf) 2-A-1 12669EEJ1 AA (sf) AAA (sf) 2-A-2 12669EEK8 AA (sf) AAA (sf) PO 12669EEL6 AA (sf) AAA (sf) M 12669EEN2 B (sf) AA (sf) B-1 12669EEP7 CCC (sf) A (sf) B-2 12669EEQ5 CC (sf) BBB (sf) B-3 12669EED4 CC (sf) CCC (sf) CHL Mortgage Pass-Through Trust 2003-21 Series 2003-21 Rating ------ Class CUSIP To From ----- ----- -- ---- A-1 12669ECD6 AA (sf) AAA (sf) A-3 12669ECW4 AA- (sf) AAA (sf) M 12669ECY0 B (sf) BB (sf) CHL Mortgage Pass-Through Trust 2003-27 Series 2003-27 Rating ------ Class CUSIP To From ----- ----- -- ---- M 12669EHP4 CCC (sf) BB+ (sf) B-1 12669EHQ2 CC (sf) CCC (sf) CHL Mortgage Pass-Through Trust 2003-HYB2 Series 2003-HYB2 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-1 12669D2Y3 AA+ (sf) AAA (sf) 1-X 12669D3A4 AA+ (sf) AAA (sf) M 12669D3C0 BB- (sf) AA+ (sf) B-1 12669D3D8 CC (sf) BB- (sf) CHL Mortgage Pass-Through Trust 2003-J1 Series 2003-J1 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 12669DZT8 BBB (sf) AA (sf) B-3 12669DF52 B- (sf) AA- (sf) B-4 12669DF60 CC (sf) BB- (sf) CHL Mortgage Pass-Through Trust 2003-J5 Series 2003-J5 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A-9 12669EJU1 NR AAA (sf) M 12669EKE5 A (sf) AA+ (sf) B-1 12669EKF2 BB- (sf) AA (sf) B-2 12669EKG0 CCC (sf) B+ (sf) B-3 12669EPN0 CC (sf) CCC (sf) Credit Suisse First Boston Mortgage Securities Corp. Series 2002-30 Rating ------ Class CUSIP To From ----- ----- -- ---- D-B-2 22541NUB3 BB- (sf) BBB (sf) II-X 22541NTX7 NR AAA (sf) Fannie Mae Remic Trust 1998 W6 Series 1998-W6 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 31359UVL6 AA (sf) AAA (sf) B-2 31359UVM4 B+ (sf) A+ (sf) Fannie Mae REMIC Trust 1998-W7 Series 1998-W7 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 31359UZX6 AA+ (sf) AAA (sf) B-2 31359UZY4 BB (sf) AA+ (sf) First Horizon Mtg Pass-Through Trust 2000-H Series 2000-H Rating ------ Class CUSIP To From ----- ----- -- ---- V-B-2 32051DCY6 AA+ (sf) AAA (sf) D-B-3 32051DCL4 BB- (sf) A (sf) GSR Mortgage Loan Trust 2003-3F Series 2003-3F Rating ------ Class CUSIP To From ----- ----- -- ---- B-4 36228FQB5 A+ (sf) AA+ (sf) B-5 36228FQC3 CCC (sf) BBB- (sf) HarborView Mortgage Loan Trust 2003-1 Series 2003-1 Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 41161PBQ5 BBB (sf) AA- (sf) B-3 41161PBR3 CC (sf) BB+ (sf) B-4 41161PBS1 CC (sf) B- (sf) Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B Series 2003-B Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 589929K72 A- (sf) AA- (sf) B-3 589929L30 B+ (sf) A- (sf) B-4 589929L48 CCC (sf) BBB (sf) B-5 589929L55 CC (sf) BB (sf) Morgan Stanley Dean Witter Capital I Inc. Trust 2003-HYB1 Series 2003-HYB1 Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 61746WC32 BBB- (sf) AA+ (sf) B-2 61746WC40 B- (sf) A+ (sf) B-3 61746WC57 CC (sf) BB+ (sf) B-4 61746WC81 CC (sf) B- (sf) B-5 61746WC99 CC (sf) CCC (sf) RFMSI Series 2003-S2 Trust Series 2003-S2 Rating ------ Class CUSIP To From ----- ----- -- ---- M-3 76111JR55 BB (sf) A (sf) B-1 76111JR63 CCC (sf) BBB- (sf) RFMSI Series 2003-S3 Trust Series 2003-S3 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 76111JN59 BBB (sf) AA+ (sf) M-2 76111JN67 CCC (sf) BB+ (sf) M-3 76111JN75 CC (sf) CCC (sf) RFMSI Series 2003-S6 Trust Series 2003-S6 Rating ------ Class CUSIP To From ----- ----- -- ---- M-1 76111JY99 BB (sf) AA+ (sf) M-2 76111JZ23 B- (sf) A+ (sf) M-3 76111JZ31 CC (sf) BBB+ (sf) B-1 76111JZ49 CC (sf) BB- (sf) B-2 76111JZ56 CC (sf) CCC (sf) Structured Asset Securities Corp. Series 2002-6 Rating ------ Class CUSIP To From ----- ----- -- ---- B1 86358RA23 AA (sf) AAA (sf) B2 86358RA31 B (sf) AA+ (sf) B3 86358RA49 CCC (sf) BB- (sf) Structured Asset Securities Corp. Series 2002-17 Rating ------ Class CUSIP To From ----- ----- -- ---- B3 86358R7C5 BB (sf) BB+ (sf) Structured Asset Securities Corp. Series 2002-21A Rating ------ Class CUSIP To From ----- ----- -- ---- B1-I 86359ACA9 B- (sf) BB- (sf) B2-I 86359ACG6 B- (sf) BB- (sf) 2-A2 86359ABT9 NR AAA (sf) B2-II 86359ACD3 BB- (sf) BB+ (sf) Structured Asset Securities Corp. Series 2002-27A Rating ------ Class CUSIP To From ----- ----- -- ---- B1 86359AGS6 CC (sf) BBB- (sf) Structured Asset Securities Corp. Series 2003-1 Rating ------ Class CUSIP To From ----- ----- -- ---- 1-A7 86359ALK7 NR AAA (sf) B2 86359ALT8 BB+ (sf) A+ (sf) B3 86359ALU5 CC (sf) CCC (sf) Structured Asset Securities Corp. Series 2003-2A Rating ------ Class CUSIP To From ----- ----- -- ---- B2-I 86359AKU6 CC (sf) BB- (sf) B2-II 86359AKX0 B (sf) BB+ (sf) B3 86359AKY8 CC (sf) CCC (sf) WaMu Mortgage Pass-Through Certificates Series 2002-AR18 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- B-2 929227ZF6 BB (sf) AA- (sf) B-3 929227ZG4 CCC (sf) BBB- (sf) WaMu Mortgage Pass-Through Certificates Series 2002-AR19 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 929227ZX7 BBB (sf) A+ (sf) B-2 929227ZY5 CCC (sf) B (sf) WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- B-1 929227QC3 AA (sf) AA+ (sf) B-2 929227QD1 BB+ (sf) A (sf) B-3 929227QE9 CCC (sf) B (sf) WaMu Mortgage Pass-Through Certificates Series 2003-AR5 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- B2 929227S31 BB+ (sf) A+ (sf) B3 929227S49 CCC (sf) BB (sf) B4 929227S56 CC (sf) B- (sf) WaMu Mortgage Pass-Through Certificates Series 2003-S1 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- B-5 929227K62 CC (sf) CCC (sf) WaMu Mortgage Pass-Through Certificates, Series 2003-S2 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- B-4 929227N36 BBB- (sf) BBB (sf) B-5 929227N44 B (sf) BB (sf) WaMu Mortgage Securities Corp. Series 2001-AR3 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- I-A 929227EL6 A+ (sf) AAA (sf) II-A 929227EM4 A+ (sf) AAA (sf) Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS4 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- IIA-3 939336YA5 NR AAA (sf) IIA-4 939336YB3 NR AAA (sf) IIA-5 939336YC1 NR AAA (sf) C-B-3 939336YT4 A (sf) AA (sf) C-B-4 939336UB7 BB (sf) A (sf) C-B-5 939336UC5 CCC (sf) BB- (sf) Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS5 Trust Rating ------ Class CUSIP To From ----- ----- -- ---- C-B-4 939336UU5 BBB- (sf) BBB (sf) C-B-5 939336UV3 B (sf) BB (sf) NR--not rated. Ratings Affirmed ABN AMRO Mortgage Corp. Series 2003-1 Class CUSIP Rating ----- ----- ------ A-1 00077B7D9 AAA (sf) A-3 00077B7F4 AAA (sf) A-4 00077B7G2 AAA (sf) A-P 00077B7H0 AAA (sf) A-X 00077B7J6 AAA (sf) M 00077B7K3 AAA (sf) Banc of America Funding 2003-1 Trust Series 2003-1 Class CUSIP Rating ----- ----- ------ A-1 05946XBV4 AAA (sf) A-WIO 05946XBX0 AAA (sf) A-PO 05946XBY8 AAA (sf) B-1 05946XBZ5 AAA (sf) B-2 05946XCA9 AAA (sf) B-3 05946XCB7 AAA (sf) Banc of America Mortgage 2003-D Trust Series 2003-D Class CUSIP Rating ----- ----- ------ 1-A-1 05948XBN0 AAA (sf) 1-A-2 05948XBP5 AAA (sf) 2-A-1 05948XBS9 AAA (sf) 2-A-2 05948XBT7 AAA (sf) 2-A-3 05948XBU4 AAA (sf) 2-A-4 05948XBV2 AAA (sf) 2-A-5 05948XBW0 AAA (sf) 2-A-6 05948XBX8 AAA (sf) 3-A-1 05948XBY6 AAA (sf) AP 05948XBZ3 AAA (sf) WIO 05948XCH2 AAA (sf) B-5 05948XCE9 CC (sf) Banc of America Mortgage 2003-E Trust Series 2003-E Class CUSIP Rating ----- ----- ------ 1-A-1 05948XDW8 AAA (sf) 1-A-2 05948XDX6 AAA (sf) 1-A-3 05948XDY4 AAA (sf) 2-A-1 05948XEB3 AAA (sf) 2-A-2 05948XEC1 AAA (sf) 3-A-1 05948XED9 AAA (sf) 4-A-1 05948XEE7 AAA (sf) A-P 05948XEP2 AAA (sf) B-5 05948XEM9 CC (sf) Bear Stearns ARM Trust 2002-1 Series 2002-1 Class CUSIP Rating ----- ----- ------ I-A 07384MHZ8 AAA (sf) II-A 07384MJA1 AAA (sf) B-3 07384MJP8 CC (sf) Bear Stearns ARM Trust 2003-4 Series 2003-4 Class CUSIP Rating ----- ----- ------ I-A-1 07384MVM1 AAA (sf) I-X-A-1 07384MVN9 AAA (sf) II-A-1 07384MVP4 AAA (sf) II-X-A-1 07384MVQ2 AAA (sf) III-A-1 07384MVR0 AAA (sf) III-X-A-1 07384MVS8 AAA (sf) B-4 07384MVZ2 CC (sf) Chase Mortgage Finance Trust Series 2003-S1 Class CUSIP Rating ----- ----- ------ IA-1 16162T2F2 AAA (sf) IA-P 16162T2G0 AAA (sf) IA-X 16162T2H8 AAA (sf) IIA-1 16162T2J4 AAA (sf) IIA-P 16162T2K1 AAA (sf) IIA-X 16162T2L9 AAA (sf) Chase Mortgage Finance Trust Series 2003-S3 Class CUSIP Rating ----- ----- ------ A-1 16162T2U9 AAA (sf) A-4 16162T2X3 AAA (sf) A-X 16162T3F1 AAA (sf) A-P 16162T3G9 AAA (sf) M 16162T3J3 AAA (sf) B-1 16162T3K0 AA (sf) B-2 16162T3L8 A (sf) Chase Mortgage Finance Trust Series 2003-S4 Class CUSIP Rating ----- ----- ------ IA-1 16162T4D5 AAA (sf) IA-5 16162T4H6 AAA (sf) IA-10 16162T4N3 AAA (sf) IA-P 16162T4S2 AAA (sf) IA-X 16162T5C6 AAA (sf) IIA-1 16162T4T0 AAA (sf) IIA-3 16162T4V5 AAA (sf) IIA-P 16162T4W3 AAA (sf) IIA-X 16162T4X1 AAA (sf) M 16162T4Z6 AA (sf) CHL Mortgage Pass-Through Trust 2002-19 Series 2002-19 Class CUSIP Rating ----- ----- ------ 1-A-1 12669DBA5 AAA (sf) 1-A-13 12669DBN7 AAA (sf) 2-A-3 12669DBR8 AAA (sf) 2-A-4 12669DBS6 AAA (sf) PO 12669DBT4 AAA (sf) M 12669DBV9 AAA (sf) B-1 12669DBW7 AAA (sf) CHL Mortgage Pass-Through Trust 2002-25 Series 2002-25 Class CUSIP Rating ----- ----- ------ 1-A-14 12669DHT8 AAA (sf) 1-A-15 12669DHU5 AAA (sf) 1-X 12669DHV3 AAA (sf) 2-A-1 12669DHX9 AAA (sf) 2-X 12669DHW1 AAA (sf) PO 12669DHY7 AAA (sf) M 12669DJA7 AAA (sf) B-1 12669DJB5 AAA (sf) B-2 12669DJC3 AA+ (sf) CHL Mortgage Pass-Through Trust 2002-26 Series 2002-26 Class CUSIP Rating ----- ----- ------ A-1 12669DFV5 AAA (sf) A-2 12669DFW3 AAA (sf) A-3 12669DFX1 AAA (sf) A-4 12669DFY9 AAA (sf) A-5 12669DFZ6 AAA (sf) PO 12669DGA0 AAA (sf) CHL Mortgage Pass-Through Trust 2002-27 Series 2002-27 Class CUSIP Rating ----- ----- ------ A-1 12669DGF9 AAA (sf) A-6 12669DGL6 AAA (sf) A-8 12669DGN2 AAA (sf) A-9 12669DGP7 AAA (sf) PO 12669DGQ5 AAA (sf) M 12669DGS1 AAA (sf) B-1 12669DGT9 AAA (sf) CHL Mortgage Pass-Through Trust 2002-J5 Series 2002-J5 Class CUSIP Rating ----- ----- ------ 1-A-13 12669DWJ3 AAA (sf) 1-A-15 12669DWL8 AAA (sf) 1-A-16 12669DWM6 AAA (sf) 1-A-17 12669DWN4 AAA (sf) 1-X 12669DWP9 AAA (sf) 2-A-1 12669DWQ7 AAA (sf) 2-X 12669DWR5 AAA (sf) 3-A-1 12669DWS3 AAA (sf) PO 12669DWT1 AAA (sf) M 12669DWV6 AAA (sf) B-1 12669DWW4 A+ (sf) B-2 12669DWX2 B+ (sf) B-3 12669DXF0 CCC (sf) B-4 12669DXG8 CC (sf) CHL Mortgage Pass-Through Trust 2003-14 Series 2003-14 Class CUSIP Rating ----- ----- ------ A-10 12669EFA9 AAA (sf) A-11 12669EFB7 AAA (sf) CHL Mortgage Pass-Through Trust 2003-15 Series 2003-15 Class CUSIP Rating ----- ----- ------ B-4 12669EEE2 CC (sf) CHL Mortgage Pass-Through Trust 2003-21 Series 2003-21 Class CUSIP Rating ----- ----- ------ A-2 12669ECV6 AAA (sf) B-1 12669ECZ7 CC (sf) B-2 12669EDA1 CC (sf) CHL Mortgage Pass-Through Trust 2003-27 Series 2003-27 Class CUSIP Rating ----- ----- ------ A-1 12669EHN9 AAA (sf) CHL Mortgage Pass-Through Trust 2003-HYB2 Series 2003-HYB2 Class CUSIP Rating ----- ----- ------ 2-A-1 12669D2Z0 AAA (sf) B-2 12669D3E6 CC (sf) CHL Mortgage Pass-Through Trust 2003-J1 Series 2003-J1 Class CUSIP Rating ----- ----- ------ 1-A-12 12669DZJ0 AAA (sf) 1-A-13 12669DZK7 AAA (sf) 1-X 12669DZL5 AAA (sf) 2-A-1 12669DZM3 AAA (sf) 2-X 12669DZN1 AAA (sf) PO 12669DZP6 AAA (sf) M 12669DZR2 AAA (sf) B-1 12669DZS0 AA+ (sf) CHL Mortgage Pass-Through Trust 2003-J5 Series 2003-J5 Class CUSIP Rating ----- ----- ------ 1-A-2 12669EJM9 AAA (sf) 1-A-6 12669EJR8 AAA (sf) 1-A-7 12669EJS6 AAA (sf) 1-A-10 12669EJV9 AAA (sf) 1-A-11 12669EJW7 AAA (sf) 1-A-12 12669EJX5 AAA (sf) 1-X 12669EJZ0 AAA (sf) 2-A-1 12669EKA3 AAA (sf) 2-X 12669EKB1 AAA (sf) PO 12669EKC9 AAA (sf) B-4 12669EPP5 CC (sf) Credit Suisse First Boston Mortgage Securities Corp. Series 2002-30 Class CUSIP Rating ----- ----- ------ I-A-1 22541NTQ2 AAA (sf) I-P 22541NTY5 AAA (sf) I-X 22541NTW9 AAA (sf) II-P 22541NTZ2 AAA (sf) D-B-1 22541NUA5 AAA (sf) Fannie Mae Remic Trust 1998 W6 Series 1998-W6 Class CUSIP Rating ----- ----- ------ M 31359UVK8 AAA (sf) Fannie Mae REMIC Trust 1998-W4 Series 1998-W4 Class CUSIP Rating ----- ----- ------ M 31359UQG3 AAA (sf) B-1 31359UQH1 AAA (sf) B-2 31359UQJ7 AA+ (sf) Fannie Mae REMIC Trust 1998-W7 Series 1998-W7 Class CUSIP Rating ----- ----- ------ M 31359UZW8 AAA (sf) First Horizon Mtg Pass-Through Trust 2000-H Series 2000-H Class CUSIP Rating ----- ----- ------ I-B-1 32051DCJ9 AAA (sf) II-B-1 32051DCN0 AAA (sf) III-B-1 32051DCR1 AAA (sf) IV-B-1 32051DCU4 AAA (sf) V-B-1 32051DCX8 AAA (sf) I-B-2 32051DCK6 AAA (sf) II-B-2 32051DCP5 AAA (sf) III-B-2 32051DCS9 AAA (sf) IV-B-2 32051DCV2 AAA (sf) GSR Mortgage Loan Trust 2003-3F Series 2003-3F Class CUSIP Rating ----- ----- ------ IA-1 36228FNZ5 AAA (sf) IA-2 36228FPA8 AAA (sf) IA-4 36228FPC4 AAA (sf) IA-6 36228FPE0 AAA (sf) IIA-1 36228FPF7 AAA (sf) IIA-2 36228FPG5 AAA (sf) IIIA-1 36228FPK6 AAA (sf) IIIA-2 36228FPL4 AAA (sf) IIIA-3 36228FPM2 AAA (sf) IIIA-6 36228FPQ3 AAA (sf) IVA-1 36228FPR1 AAA (sf) IVA-2 36228FPS9 AAA (sf) IVA-3 36228FPT7 AAA (sf) A-P 36228FPU4 AAA (sf) A-X1 36228FPV2 AAA (sf) A-X2 36228FPW0 AAA (sf) B-1 36228FPX8 AAA (sf) B-2 36228FPY6 AAA (sf) B-3 36228FPZ3 AAA (sf) HarborView Mortgage Loan Trust 2003-1 Series 2003-1 Class CUSIP Rating ----- ----- ------ A 41161PBM4 AAA (sf) B-1 41161PBP7 AA+ (sf) MASTR Asset Securitization Trust 2002-8 Series 2002-8 Class CUSIP Rating ----- ----- ------ 1-A-1 55265KNJ4 AAA (sf) 1-A-2 55265KNK1 AAA (sf) 1-A-3 55265KNL9 AAA (sf) 1-A-4 55265KNM7 AAA (sf) 1-A-5 55265KNN5 AAA (sf) 1-A-11 55265KNU9 AAA (sf) 1-PO 55265KNV7 AAA (sf) 1-A-X 55265KNW5 AAA (sf) 2-A-5 55265KPB9 AAA (sf) 2-A-6 55265KPC7 AAA (sf) 2-PO 55265KPD5 AAA (sf) 2-A-X 55265KPE3 AAA (sf) B-1 55265KPG8 AAA (sf) B-2 55265KPH6 AAA (sf) B-3 55265KPJ2 AA+ (sf) Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B Class CUSIP Rating ----- ----- ------ A-1 589929K56 AAA (sf) A-2 589929L71 AAA (sf) X-A-1 589929K80 AAA (sf) X-A-2 589929L89 AAA (sf) X-B 589929K98 AA+ (sf) B-1 589929K64 AA+ (sf) Morgan Stanley Dean Witter Capital I Inc. Trust 2003-HYB1 Series 2003-HYB1 Class CUSIP Rating ----- ----- ------ A-1 61746WB74 AAA (sf) A-2 61746WB82 AAA (sf) A-3 61746WB90 AAA (sf) A-4 61746WC24 AAA (sf) RFMSI Series 2003-S2 Trust Series 2003-S2 Class CUSIP Rating ----- ----- ------ A-5 76111JP73 AAA (sf) A-6 76111JP81 AAA (sf) A-9 76111JQ31 AAA (sf) A-11 76111JQ56 AAA (sf) A-12 76111JQ64 AAA (sf) A-P 76111JQ72 AAA (sf) A-V 76111JQ80 AAA (sf) M-1 76111JR30 AA+ (sf) M-2 76111JR48 AA (sf) B-2 76111JR71 CC (sf) RFMSI Series 2003-S3 Trust Series 2003-S3 Class CUSIP Rating ----- ----- ------ A-3 76111JM68 AAA (sf) A-4 76111JM76 AAA (sf) A-P 76111JN26 AAA (sf) A-V 76111JN34 AAA (sf) RFMSI Series 2003-S6 Trust Series 2003-S6 Class CUSIP Rating ----- ----- ------ A-1 76111JX33 AAA (sf) A-2 76111JX41 AAA (sf) A-3 76111JX58 AAA (sf) A-4 76111JX66 AAA (sf) A-8 76111JY24 AAA (sf) A-9 76111JY32 AAA (sf) A-10 76111JY40 AAA (sf) A-P 76111JY57 AAA (sf) A-V 76111JY65 AAA (sf) Structured Asset Securities Corp. Series 2002-3 Class CUSIP Rating ----- ----- ------ 2-A2 86358RWE3 AAA (sf) 2-AP 86358RWF0 AAA (sf) CAX 86358RWN3 AAA (sf) A4 86358RWQ6 AAA (sf) PAX 86358RXT9 AAA (sf) AP 86358RWS2 AAA (sf) AX 86358RWT0 AAA (sf) B1 86358RWU7 AA (sf) B2 86358RWV5 A (sf) B3 86358RWW3 CCC (sf) Structured Asset Securities Corp. Series 2002-6 Class CUSIP Rating ----- ----- ------ 1-A5 86358RZK6 AAA (sf) 2-A2 86358RZM2 AAA (sf) AP 86358RZY6 AAA (sf) AX 86358RZZ3 AAA (sf) PAX 86358RZX8 AAA (sf) IAX 86358RZW0 AAA (sf) Structured Asset Securities Corp. Series 2002-17 Class CUSIP Rating ----- ----- ------ 1-A7 86358R6N2 AAA (sf) 1-AP 86358R6P7 AAA (sf) 1-AX 86358R6Q5 AAA (sf) 1-PAX 86358R6R3 AAA (sf) 2-A1 86358R6S1 AAA (sf) 2-A2 86358R6T9 AAA (sf) 2-A3 86358R6U6 AAA (sf) 2-AX 86358R6Z5 AAA (sf) B1 86358R7A9 AAA (sf) B2 86358R7B7 AA (sf) Structured Asset Securities Corp. Series 2002-21A Class CUSIP Rating ----- ----- ------ 1-A1 86359ABP7 AAA (sf) 1-A3 86359ABR3 AAA (sf) 2-A1 86359ABS1 AAA (sf) 4-A1 86359ABW2 AAA (sf) B1-II 86359ACC5 BBB- (sf) B3 86359ACE1 CC (sf) Structured Asset Securities Corp. Series 2002-27A Class CUSIP Rating ----- ----- ------ 1-A 86359AGG2 AAA (sf) 2-A1 86359AGJ6 AAA (sf) 3-A1 86359AGL1 AAA (sf) 4-A1 86359AGN7 AAA (sf) 5-A1 86359AGQ0 AAA (sf) Structured Asset Securities Corp. Series 2003-1 Class CUSIP Rating ----- ----- ------ 1-A3 86359ALF8 AAA (sf) 1-AX 86359ALL5 AAA (sf) 2-A1 86359ALM3 AAA (sf) 3-A1 86359ALN1 AAA (sf) 4-A1 86359ALP6 AAA (sf) AP 86359ALQ4 AAA (sf) AX 86359ALR2 AAA (sf) B1 86359ALS0 AA+ (sf) B4 86359ALW1 CC (sf) Structured Asset Securities Corp. Series 2003-2A Class CUSIP Rating ----- ----- ------ 1-A1 86359AKJ1 AAA (sf) 3-A1 86359AKN2 AAA (sf) 4-A1 86359AKQ5 AAA (sf) B1-I 86359AKS1 A+ (sf) B1-II 86359AKW2 BB+ (sf) B4 86359ALA9 CC (sf) B5 86359ALB7 CC (sf) Structured Asset Securities Corp. Series 2003-10 Class CUSIP Rating ----- ----- ------ A 86359AQS5 AAA (sf) AP 86359AQT3 AAA (sf) AX 86359AQU0 AAA (sf) B1 86359AQV8 AA (sf) B2 86359AQW6 A (sf) B3 86359AQX4 BB- (sf) B4 86359AQZ9 CCC (sf) B5 86359ARA3 CC (sf) Structured Asset Securities Corp. Series 2003-9A Class CUSIP Rating ----- ----- ------ 1-A1 86359ARC9 AAA (sf) 2-A1 86359ARE5 AAA (sf) 2-A2 86359ARF2 AAA (sf) 2-A3 86359ARG0 AAA (sf) B2-I 86359ARL9 CCC (sf) B1-II 86359ARN5 CCC (sf) B2-II 86359ARP0 CCC (sf) B3 86359ARQ8 CC (sf) B4 86359ARS4 CC (sf) B1-I 86359ARJ4 CCC (sf) Structured Asset Securities Corp. Series 2003-17A Class CUSIP Rating ----- ----- ------ 1-A1 86359AXD0 AAA (sf) 2-A1 86359AXF5 AAA (sf) 2-A2 86359AXG3 AAA (sf) 2-A3 86359AXH1 AAA (sf) 3-A1 86359AXL2 AAA (sf) 3-A2 86359AXM0 AAA (sf) 3-A3 86359AXN8 AAA (sf) 4-A 86359AXQ1 AAA (sf) 4-AX 86359AXR9 AAA (sf) 4-PAX 86359AXS7 AAA (sf) B1-I 86359AXT5 CCC (sf) B2-I 86359AXV0 CC (sf) B1-II 86359AXX6 CCC (sf) B2-II 86359AXY4 CC (sf) WaMu Mortgage Pass-Through Certificates Series 2002-AR18 Trust Class CUSIP Rating ----- ----- ------ A-1 929227ZC3 AAA (sf) B-1 929227ZE9 AAA (sf) WaMu Mortgage Pass-Through Certificates Series 2002-AR19 Trust Class CUSIP Rating ----- ----- ------ A-6 929227ZS8 AAA (sf) A-7 929227ZT6 AAA (sf) A-8 929227ZU3 AAA (sf) B-3 929227ZZ2 CC (sf) WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust Class CUSIP Rating ----- ----- ------ A 929227QB5 AAA (sf) WaMu Mortgage Pass-Through Certificates Series 2003-AR5 Trust Class CUSIP Rating ----- ----- ------ A6 929227R57 AAA (sf) A7 929227R65 AAA (sf) B1 929227S23 AA+ (sf) B5 929227S64 CC (sf) WaMu Mortgage Pass-Through Certificates Series 2003-S1 Trust Class CUSIP Rating ----- ----- ------ A-4 929227H74 AAA (sf) A-5 929227H82 AAA (sf) A-6 929227H90 AAA (sf) X 929227J72 AAA (sf) P 929227J80 AAA (sf) B-1 929227J98 AA+ (sf) B-2 929227K21 AA- (sf) B-3 929227K39 A- (sf) B-4 929227K54 BBB- (sf) WaMu Mortgage Pass-Through Certificates Series 2002-S7 Trust Class CUSIP Rating ----- ----- ------ I-A-4 929227YE0 AAA (sf) II-A-1 929227YF7 AAA (sf) III-A-1 929227YG5 AAA (sf) IV-A-4 929227YL4 AAA (sf) II-P 929227YT7 AAA (sf) IV-P 929227YU4 AAA (sf) WaMu Mortgage Pass-Through Certificates Series 2003-S2 Trust Class CUSIP Rating ----- ----- ------ A-1 929227N69 AAA (sf) A-3 929227N85 AAA (sf) A-4 929227N93 AAA (sf) A-5 929227P26 AAA (sf) A-11 929227P83 AAA (sf) X 929227Q25 AAA (sf) P 929227Q33 AAA (sf) B-1 929227Q41 AA+ (sf) B-2 929227Q58 AA (sf) B-3 929227Q66 A+ (sf) Washington Mutual MSC Mortgage Pass-Through Certificates Series 2002-MS7 Trust Class CUSIP Rating ----- ----- ------ I-A-4 939336FP3 AAA (sf) I-A-10 939336FV0 AAA (sf) I-A-11 939336FW8 AAA (sf) I-A-15 939336GA5 AAA (sf) II-A-1 939336GB3 AAA (sf) II-A-2 939336GC1 AAA (sf) II-A-3 939336GD9 AAA (sf) II-A-4 939336GE7 AAA (sf) I-X 939336GF4 AAA (sf) II-X 939336GG2 AAA (sf) I-P 939336GH0 AAA (sf) II-P 939336GJ6 AAA (sf) C-B-1 939336GK3 AAA (sf) C-B-2 939336GL1 AAA (sf) C-B-3 939336GM9 AAA (sf) Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS4 Trust Class CUSIP Rating ----- ----- ------ IA-1 939336XW8 AAA (sf) IA-2 939336XX6 AAA (sf) IIA-6 939336YD9 AAA (sf) IIIA-1 939336YJ6 AAA (sf) IIIA-2 939336YK3 AAA (sf) IIIA-3 939336YL1 AAA (sf) II-X 939336YM9 AAA (sf) III-X 939336YN7 AAA (sf) I-P 939336YP2 AAA (sf) A-P 939336YQ0 AAA (sf) C-B-1 939336YR8 AAA (sf) C-B-2 939336YS6 AA+ (sf) Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS5 Trust Class CUSIP Rating ----- ----- ------ I-A-1 939336UE1 AAA (sf) I-A-2 939336UF8 AAA (sf) I-A-3 939336UG6 AAA (sf) I-A-4 939336UH4 AAA (sf) I-A-5 939336UJ0 AAA (sf) I-A-6 939336UK7 AAA (sf) II-A 939336UL5 AAA (sf) III-A 939336UM3 AAA (sf) C-X 939336UN1 AAA (sf) C-P 939336UP6 AAA (sf) C-B-1 939336UQ4 AA+ (sf) C-B-2 939336UR2 AA (sf) C-B-3 939336US0 A (sf) * S&P Downgrades Ratings on 450 Certs. From 286 RMBS Transactions ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D (sf)' on 450 classes of mortgage pass-through certificates from 286 U.S. residential mortgage-backed securities transactions issued between 2002 and 2008. In addition, S&P placed its rating on class 2-B-1 from Terwin Mortgage Trust 2004-18SL on CreditWatch with negative implications. Approximately 72.44% of the defaulted classes were from transactions backed by Alternative-A or subprime mortgage loan collateral. The 450 defaulted classes consisted of these: * 259 classes from Alt-A transactions (57.56% of all defaults); * 67 from subprime transactions (14.89%); * 91 from prime jumbo transactions (20.22%); * 10 from risk-transfer transactions; * Nine from reperforming transactions; * Six from resecuritized real estate mortgage investment conduit (re-REMIC) transactions; * Four from outside-the-guidelines transactions; Three from closed-end second-lien transactions; and One from a document-deficient transaction. The downgrades to 'D (sf)' reflect S&P's assessment of principal write-downs on the affected classes during recent remittance periods. The CreditWatch placement is on a class that is within a loan group that includes a class that defaulted from a 'B-' rating or higher. All of the ratings were speculative-grade before the downgrades, and S&P lowered approximately 99.78% of the ratings from the 'CCC (sf)' or 'CC (sf)' rating categories. S&P expects to resolve the CreditWatch placements after S&P complete its review of the underlying credit enhancement. Standard & Poor's will continue to monitor its ratings on securities that experience principal write-downs, and S&P will adjust the ratings as S&P considers appropriate in accordance with its criteria. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers" public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. A list of Meetings, Conferences and Seminars appears in each Wednesday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com/ On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. For copies of court documents filed in the District of Delaware, please contact Vito at Parcels, Inc., at 302-658-9911. For bankruptcy documents filed in cases pending outside the District of Delaware, contact Ken Troubh at Nationwide Research & Consulting at 207/791-2852. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors' Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland, USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Howard C. Tolentino, Joseph Medel C. Martirez, Denise Marie Varquez, Philline Reluya, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2011. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $775 for 6 months delivered via e- mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Christopher Beard at 240/629-3300. *** End of Transmission ***