/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/110515.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, May 15, 2011, Vol. 15, No. 133 Headlines 505 CLO III: Moody's Raises Rating on $15MM Class E Notes From Ba1 1888 FUND: Moody's Upgrades $47MM Class C Notes to 'Ba1(sf)' ABACUS 2005-3: S&P Lowers Ratings on 2 Classes to 'D' Amid Losses ABACUS 2006-NS2: S&P Lowers Ratings on Class N Notes to 'D' ABERDEEN LOAN: S&P Raises Rating on Class E Notes to 'B+' ABFC ASSET-BACKED: Moody's Confirms Ca Rating on One Tranche ABN AMRO: Moody's Cuts Ratings of 23 Tranches AERCO LTD: S&P Lowers Rating on Class A3 Notes to 'BB-' AMERICAN HOME: Moody's Takes Action on Six Second Lien RMBS ANSONIA CDO: S&P Cuts Ratings on 3 Classes to 'D' on Shortfalls ANTHRACITE 2005-HY2: S&P Affirms 'CCC-' Rating on Class F Notes ANTHRACITE CDO: Moody's Downgrades Ratings on Nine CRE CDO Classes ARES ENHANCED: Moody's Upgrades Ratings on CLO Notes ARMSTRONG LOAN: Moody's Upgrades Ratings of CLO Notes ATHERTON: Fitch Affirms Ratings on Series 2010A & B Bonds at 'BB' BANC OF AMERICA: Moody's Affirms C-Level Ratings on 6 Classes BANC OF AMERICA: Moody's Affirms Junk Rating on Cl. L Certs. BANC OF AMERICA: Moody's Cuts Ratings on 3 Classes of BACM 2004-3 BANC OF AMERICA: Moody's Cuts Rating on Class A-1 to 'C' BANC OF AMERICA: Moody's Puts Ratings on 6 Classes on Review BANC OF AMERICA: Moody's Ups Rating on Class P Certs. to 'Caa2' BANC OF AMERICA: S&P Withdraws 'CCC' Rating on Class N Certs. BAYVIEW FINANCIAL: Fitch Downgrades Ratings on 8 Classes BEAR STEARNS: Fitch Downgrades 10 Classes of BSCMSI 2005-PWR8 BEAR STEARNS: Fitch Takes Various Actions on Series 2003-Top10 BEAR STEARNS: Moody's Affirms 15 CMBS Classes of BSCMS 2002-PBW1 BEAR STEARNS: Moody's Cuts Rating on 2002 RMBS Class I-B-4 to 'C' BEAR STEARNS: Moody's Upholds Ratings on 25 Classes BEAR STEARNS: S&P Lowers Ratings on 2 Classes of Certs. to 'D' BEAR STEARNS: S&P Lowers Ratings on Class P CMBS to 'CCC' BMI CLO: S&P Gives 'BB' Rating on Class D Notes CALCULUS CMBS: Moody's Downgrades Resecuritization Trust Rating CAPITAL PROJECT: S&P Lowers Rating on 2000F-1 Revenue Bonds to 'C' CARLYLE HIGH YIELD: Moody's Upgrades Ratings of CLO Notes CARLYLE HIGH YIELD: Moody's Upgrades the Ratings of CLO Notes CASTLE 2003-1: Moody's Sees No Negative Impact on ABS Ratings CBA COMMERCIAL: Moody's Holds Ratings on 7 CMBS Classes CBA COMMERCIAL: Moody's Holds Ratings on 5 CMBS Classes CENTERLINE 2007: Moody's Affirms Ratings on 14 CRE CDO Classes CFCRE COMM'L: Moody's Gives Definitive Ratings to CFCRE 2011-C1 CHARLIE MAC: Moody's Acts on $56 Million of Prime Jumbo RMBS CHASE MORTGAGE: Moody's Downgrades Ratings on Three Tranches CHL MORTGAGE: Moody's Takes Action on Prime Jumbo RMBS CHL MORTGAGE: Moody's Upgrades Rating of Class A-4 Bond to 'Ba1' CITIGROUP COMM'L: Moody's Affirms 25 CMBS Classes of CGCMT 2005-C3 CITIGROUP COMMERCIAL: S&P Cuts Ratings on 7 Classes to 'D' COBALT CMBS: S&P Lowers Ratings on 5 Classes of Certs. to 'D' COBALTS SERIES: Moody's Cuts Sprint Capital Cert. Rating to Ba3 COLTS 2005-2: Fitch Affirms 4 Classes of Notes; Revises Outlooks COLTS 2007-1: Fitch Affirms 5 Classes; LS Ratings Revised CORPORATE BACKED: Moody's Cuts Sprint-Backed Certs. Rating to Ba3 CREDIT SUISSE: Moody's Affirms 12 and Downgrades Five CMBS Classes CREDIT SUISSE: Moody's Cuts Rating of RMBS 2002 Class B-4 to 'C' CREDIT SUISSE: S&P Lowers Rating on Class H Certs. to 'D' CREST 2004-1: Moody's Downgrades Ratings on 13 CRE CDO Classes CS FIRST: Moody's Affirms Ratings on 12 Classes of Certificates CS FIRST: Moody's Affirms Ratings on Three CMBS Classes CS FIRST: Moody's Holds Junk Ratings on Class I & J CSFB COMMERCIAL: Moody's Holds Ratings on 18 Classes of Certs. DAVIS HEALTH: Moody's Cuts Bond Rating to 'Ba1'; Outlook Negative DAVIS SQUARE: S&P Lowers Ratings on Six Tranches to 'CC' DELTA AIR: S&P Raises Rating on Class B Certs. to 'BB+' DFR MIDDLE MARKET: Moody's Upgrades Ratings on 4 Classes of Notes DSLA MORTGAGE: S&P Lowers Ratings on Two Classes of Notes to 'D' FIRST NATIONAL: Fitch Removes 6 Classes From Watch Negative FIRST UNION: Moody's Affirms Ratings on Four CMBS Classes FIRST UNION: Moody's Affirms Ratings on Six CMBS Classes FORGE ABS: S&P Lowers Ratings on Eight Classes of Notes to 'D' FRANKLIN CLO: Moody's Upgrades Ratings of CLO Notes G-STAR 2002-1: Moody's Affirms Ratings of Five CRE CDO Classes GLACIER FUNDING: Moody's Cuts Ratings on 2 Classes to 'Caa3' GMACM MORTGAGE: Moody's Takes Action on Prime Jumbo RMBS GREENWICH CAPITAL: Moody's Downgrades 5 Classes of GCCFC 2005-GG5 GREENWICH CAPITAL: Moody's Downgrades Ratings on Three CRE CDO GS MORTGAGE: Moody's Affirms Series 2005-ROCK Rating GS MORTGAGE: S&P Lowers Ratings on 3 Classes to 'D' on Shortfalls GS MORTGAGE: S&P Lowers Ratings on Two Classes of Certs. to 'D' GSC CAPITAL: Moody's Hikes Rating on $16.2MM Class F Notes to Caa1 GSC PARTNERS: Moody's Upgrades Ratings on CLO Notes GULF STREAM: Moody's Raises US$32.5MM Class D Notes to Ba1 (sf) HAMPTON ROADS: Moody's Affirms 'Ba2' Rating on Class I Bonds HARBOR SERIES: Moody's Downgrades Four 2006-1 CRE CDO Classes HARBOR SERIES: Moody's Downgrades Four 2006-2 CRE CDO Classes HELIOS SERIES I: S&P Lowers Rating on Class B Notes to 'CCC-' HERTZ CORP: Moody's Places Certificate Ratings on Review HERTZ CORP: Moody's Raises $32.5MM Class D Note Rating to Ba2(sf) HERTZ COMPANY: S&P Puts 'B-' Ratings on Class A & B Units on Watch HIGH GRADE: S&P Retains 'CCC-' Ratings on 2 Classes of Notes JP MORGAN: Moody's Attaches New Ratings on JPMCC 2003-C1 JP MORGAN: Moody's Affirms Ratings on 17 CMBS Classes JP MORGAN: Moody's Affirms 13 CMBS Classes of JPMCC 2002-CIBC4 JP MORGAN: Moody's Affirms 17 CMBS Classes JPMCC 2004-CIBC8 KEY COMMERCIAL: Moody's Affirms Ratings on 13 CMBS Classes KKR FINANCIAL: Moody's Upgrades Ratings on 5 Classes of Notes LANDMARK II CDO: Moody's Upgrades CLO Notes Rating to 'Ba1' LASALLE COMMERCIAL: Moody's Affirms Two CMBS Classes Rating at 'C' LASALLE COMMERCIAL: Moody's Affirms 4 CMBS Classes of 2007-MF5 LASALLE COMMERCIAL: Moody's Affirms 3 CMBS Classes of 2006-MF4 LASALLE COMMERCIAL: Moody's Affirms C Rating on 2 CMBS Classes LASALLE COMMERCIAL: Moody's Affirms Ratings on Four CMBS Classes LAWRENCE COUNTY: Moody's Upgrades LOC Rating From 'Ba3' LB-UBS 2003-C1: Fitch Cuts Ratings on 3 Classes LB-UBS COMMERCIAL: Moody's Affirms Ratings on 23 CMBS Classes LEGG MASON: S&P Affirms 'BB+' Ratings on Class A-2 & B Notes LNR CDO III: Moody's Downgrades 2 and Affirms 7 CRE CDO Classes MARICOPA COUNTY: Moody's Holds B3 Rating on Housing Revenue Bonds MARKET SQUARE: Moody's Upgrades Ratings of CLO Notes MARYLAND ECONOMIC: Moody's Affirms 'B3' Rating on Housing Bonds MASTR ASSET: Moody's Downgrades $5 Million of Prime Jumbo RMBS MASTR ASSET: Moody's Downgrades $1.5 Billion of Prime Jumbo RMBS MASTR ASSET: Moody's Junks Rating on Cl. 1-A-1 MERRILL LYNCH: DBRS Confirms 'C' Rating on Class F MERRILL LYNCH: Moody's Affirms Ratings on 22 CMBS Classes MERRILL LYNCH: Moody's Holds Ratings on 20 Classes of Certs. MESA TRUST: Moody's Withdraws Ratings of $1.2 Mil of Subprime RMBS METROPOLITAN WEST: Fitch Holds Junk Ratings on 3 Classes of Notes MILL REEF: S&P Cuts Ratings on 3 Classes to 'D' Following Loss ML-CFC: S&P Lowers Ratings on Two Classes of Certs. to 'D' MONTEBELLO: Moody's Cuts Participation Certificates Rating to Ba1 MORGAN STANLEY: Fitch Downgrades 10 Classes of MSCI 2005-HQ5 MORGAN STANLEY: Moody's Affirms 17 CMBS Classes of MSC 2004-TOP15 MORGAN STANLEY: Moody's Affirms 15 CMBS Classes of MSC 2003-IQ5 MORGAN STANLEY: Moody's Affirms Ratings on Six Classes of Certs. MORGAN STANLEY: Moody's Cuts Rating on Class G Certs. to 'Caa3' MORGAN STANLEY: S&P Lowers Two Classes of Certs. Ratings to 'D' MORGAN STANLEY: S&P Lowers Ratings on Three Classes to 'D' MORGAN STANLEY: S&P Lowers Rating on Class IA Notes to 'D' MORGAN STANLEY: S&P Lowers Rating on Class IIA Notes to 'D' MORGAN STANLEY: S&P Withdraws 'CCC-' Rating on Class IA Notes MRU STUDENT: S&P Lowers Class D Notes Rating to 'CCC-' NORTH STREET: S&P Lowers Class D Notes Rating From 'CCC-' to 'D' NORTH STREET: S&P Lowers Two Classes of Notes Ratings to 'D' NORTH TEXAS: Moody's Withdraws Ratings for Eight Notes OCEANVIEW CBO: S&P Lowers Rating on Class A-1B Notes to 'CC' ORCHID STRUCTURED: S&P Lowers Ratings on 2 Classes of Notes to 'D' PARK AT WELLS: Moody's Affirms Rating on Housing Revenue Bonds PINNACLE POINT: S&P Lowers Ratings on Three Classes to 'D' PNC MORTGAGE: Moody's Affirms 8 CMBS Classes of PNCMA 2000-C1 PNC MORTGAGE: Moody's Affirms 12 CMBS Classes of PNCMA 2000-C2 PPLUS TRUST: Moody's Downgrades Certificate Rating to Ba3 PREFERRED TERM: Moody's Downgrades TRUP CDO Notes RAMP SERIES: Moody's Downgrades $28-Mil. GMAC-RFC Subprime RMBS RAMP SERIES: S&P Lowers Rating on Class M-3 Notes to 'CC' RASC SERIES: Moody's Downgrades $66 Mil. of Subprime RMBS REGIONAL DIVERSIFIED: Moody's Downgrades TRUP CDO Notes Rating RENTAL CAR: Moody's Reviews Ratings on Asset Backed Securities RESI FINANCE: Moody's Takes Action on Synthetic Jumbo RMBS RESIDENTIAL REINSURANCE: S&P Rates Class 2011-2 Notes 'B-' SANTANDER DRIVE: DBRS Puts BB Provisional Rating on Class E Notes SANTANDER DRIVE: Moody's Assigns 'Ba2' Rating to Class E Notes SASCO 2008-C2: S&P Affirms Rating on Class A Notes at 'CC' SATURNS TRUST: S&P Puts 'B-' Ratings on Class A & B Units on Watch SCORE SPC: S&P Lowers Rating on Class K Notes to 'D' SEAWALL 2006: Moody's Affirms Ratings on Five CRE CDO Classes SEAWALL 2007-1: Moody's Affirms Ratings on 8 CRE CDO Classes SEAWALL SPC: Moody's Affirms Rating on One CRE CDO Class SEAWALL SPC: Moody's Affirms Series 2007-1 D2 Rating at 'C' SEQUOIA MORTGAGE: Moody's Downgrades $102-Mil. Of Prime Jumbo RMBS STARTS PLC: S&P Withdraws 'CCC-' Rating on Series 2007-24 Notes STEERS HIGH-GRADE: Moody's Downgrades Five Trust Units STEERS HIGH-GRADE: Moody's Downgrades Four Trust Units STRUCTURED ASSET: S&P Junks Ratings on Certificates STRUCTURED REPACKAGED: Moody's Cuts Certificate Rating to Ba3 TAXABLE WORLD: Moody's Affirms Ba1 CTL Rating of Revenue Bonds TCW ASSET: Fitch Holds Junk Ratings on 2 Classes of Notes TCW HIGH: Fitch Affirms Junk Rating on Class IV Notes TERIP NO. 1: S&P Withdraws 'CCC-' Ratings on Six Classes of Notes UNION SQUARE: Moody's Upgrades CLO Notes Ratings WACHOVIA BANK: Moody's Affirms 19 CMBS Classes of WBCMT 2004-C11 WACHOVIA BANK: Moody's Affirms 23 CMBS Classes of WBCMT 2007-C32 WACHOVIA BANK: Moody's Affirms 21 CMBS Classes Ratings WACHOVIA BANK: Moody's Affirms Junk Rating on Class K of Certs. WACHOVIA BANK: S&P Affirms Rating on Class L Certs. at 'BB' WACHOVIA BANK: S&P Lowers Ratings on 5 Classes of Certs. to 'D' WAMU COMMERCIAL: S&P Lowers Ratings on Two Classes of Certs to 'D' WOODWARD ACADEMY: S&P Withdraws 'BB+' Rating on Revenue Bonds ZAIS INVESTMENT: S&P Cuts Ratings on 4 Classes to 'D' * S&P Lowers Ratings on 12 Classes of US CMBS Deals to 'D' * S&P Lowers Ratings on 88 Classes From 39 Transactions to 'CC' * S&P Takes Rating Actions on 7,389 Classes of 2005-2007 RMBS ********* 505 CLO III: Moody's Raises Rating on $15MM Class E Notes From Ba1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of these notes issued by 505 CLO III Ltd.: * US$62,000,000 Class B Senior Secured Floating Rate Notes due August 2018, Upgraded to Aaa (sf); previously on September 3, 2010 Upgraded to Aa1 (sf) * US$48,000,000 Class C Senior Secured Floating Rate Notes due August 2018, Upgraded to Aaa (sf); previously on September 3, 2010 Upgraded to A2 (sf) * US$25,000,000 Class D Secured Deferrable Floating Rate Notes due August 2018, Upgraded to Aa1 (sf); previously on September 3, 2010 Upgraded to Baa2 (sf) * US$15,000,000 Class E Secured Deferrable Floating Rate Notes due August 2018, Upgraded to A1 (sf); previously on September 3, 2010 Upgraded to Ba1 (sf) Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from the delevering of the Class A-1 and Class A-2 Notes, which have been paid down by approximately 75% or $211 million since the last rating action in September 2010. As a result of the delevering, the overcollateralization ratios have increased since the last rating action in September 2010. As of the latest trustee report dated March 29, 2011 the Class A/B, and Class C overcollateralization ratios increased to 283.2% and 208.5% respectively, versus July 2010 levels of 167.5% and 147.0%, respectively. Moody's also notes that the credit profile of the underlying portfolio has been relatively stable since the last rating action. Based on the March 2011 trustee report, the weighted average rating factor is 3771 compared to 3631 in July 2010, and securities rated Caa1 and below make up approximately 28.2% of the underlying portfolio versus 24.5% in July 2010. The deal also experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to about $15 million from approximately $22 million in July 2010. While the transaction has benefited from delevering, Moody's notes that the rating action on the Class D and Class E Notes reflects the consideration of a low likelihood that the Class D and Class E Notes may defer interest in the future. The risk of deferral exists due to the high weighted average coupon of the rated notes as well as limited cash flow based on scheduled interest and principal proceeds. 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 $397 million, defaulted par of $16 million, a weighted average default probability of 31.15% (implying a WARF of 5663), a weighted average recovery rate upon default of 43.87%, and a diversity score of 24. 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. 505 CLO III Ltd., issued in August of 2008, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans of middle market issuers. The principal methodology used in the rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 2009. Other considerations incorporated in the rating were "Updated Approach to the Usage of Credit Estimates in Rated Transactions" published in October 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. 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 2.8 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 ("CEs"), Moody's applied additional default probability stresses by assuming an equivalent of Caa3 for CEs that were not updated within the last 15 months, 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. 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% (4530) Class A: 0 Class B: 0 Class C: 0 Class D: 0 Class E: +1 Moody's Adjusted WARF + 20% (6795) Class A: 0 Class B: 0 Class C: 0 Class D: -3 Class E: -3 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. 3. Exposure to credit estimates: The deal is exposed to a large number of securities whose default probabilities are assessed through credit estimates. In the event that Moody's is not provided the necessary information to update the credit estimates in a timely fashion, the transaction may be impacted by any default probability stresses Moody's may assume in lieu of updated credit estimates. Moody's also conducted stress tests to assess the collateral pool's concentration risk in obligors bearing a credit estimate that constitute more than 3% of the collateral pool. 1888 FUND: Moody's Upgrades $47MM Class C Notes to 'Ba1(sf)' ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of these notes issued by 1888 Fund Ltd.: -- US$290,000,000 Class A-1 Senior Secured Floating Rate Notes due 2015 (current balance of $103,201,603), Upgraded to Aaa (sf); previously on July 9, 2009 Downgraded to Aa1 (sf); -- US$75,000,000 Class A-2 Delayed Funding Senior Secured Floating Rate Notes due 2015 (current balance of $26,690,069), Upgraded to Aaa (sf); previously on July 9, 2009 Downgraded to Aa1 (sf); -- US$10,000,000 Class B Senior Secured Floating Rate Notes due 2015, Upgraded to Aa1 (sf); previously on July 9, 2009 Confirmed at A1 (sf); -- US$47,000,000 Class C Secured Floating Rate Notes due 2015, Upgraded to Ba1 (sf); previously on July 9, 2009 Downgraded to Ba2 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from the delevering of the Class A Notes since the last rating action in July 2009. The overcollateralization ratios of the rated notes have improved substantially as a result of delevering of the Class A Notes, which have been paid down by approximately 64% or $235 million since the last rating action in July 2009. As of the latest trustee report dated April 4, 2011, the Class A overcollateralization ratio is reported at 145.9% versus June 2009 level of 131.3%. Moody's also notes that the deal experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to $6.2 million from approximately $19.6 million in June 2009. Additionally, the Moody's adjusted WARF has remained relatively stable due to a decrease in the percentage of securities with ratings on "Review for Possible Downgrade" or with a "Negative Outlook." However, the deal is exposed to a high concentration of securities rated Caa1 or below. Based on the April 2011 trustee report, securities rated Caa1 and below or CCC+ and below make up approximately 28.8% of the underlying portfolio. 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 of $161.9 million, Restricted Investments of $47.3 million, defaulted par of $9 million, weighted average default probability of 26.8% (implying a WARF of 5000), a weighted average recovery rate upon default of 41.5%, and a diversity score of 33. 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. 1888 Fund Ltd. issued on December 20, 2002, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations"published in August 2009. Other methodology used in this rating was "Updated Approach to the Usage of Credit Estimates in Rated Transactions" published in October 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. 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. For securities whose default probabilities are assessed through credit estimates ("CEs"), 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. 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, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARF - 20% (4000) -- Class A-1: 0 -- Class A-2: 0 -- Class B: 0 -- Class C: +1 Moody's Adjusted WARF + 20% (6000) -- Class A-1: 0 -- Class A-2: 0 -- Class B: 0 -- 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 deals' 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. 4) 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. ABACUS 2005-3: S&P Lowers Ratings on 2 Classes to 'D' Amid Losses ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its 'CCC- (sf)' ratings on the class B and B series 2 notes issued by ABACUS 2005-3 Ltd., a synthetic collateralized debt obligation transaction backed by residential mortgage-backed securities (RMBS) to 'D (sf)'. The downgrades follow a number of write-downs in the transaction's underlying reference portfolio that caused the tranches to incur principal losses. ABACUS 2006-NS2: S&P Lowers Ratings on Class N Notes to 'D' ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class N notes issued by ABACUS 2006-NS2 Ltd., a collateralized debt obligation (CDO) transaction backed by commercial mortgage- backed securities (CMBS), to 'D (sf)' from 'CCC- (sf)'. The downgrade follows a number of write-downs in the transaction's underlying reference portfolio that caused the tranche to incur a principal loss. ABERDEEN LOAN: S&P Raises Rating on Class E Notes to 'B+' --------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A, B, C, D, and E notes from Aberdeen Loan Funding Ltd., a collateralized loan obligation (CLO) transaction managed by Highland Capital Management L.P. "At the same time, we removed our ratings on the class A, B, C, and D notes from CreditWatch, where we placed them with positive implications on March 1, 2011," S&P said. "The upgrades reflect a paydown to the class A and E notes, as well as improved performance we have observed in the deal's underlying asset portfolio since we lowered our ratings on all of the rated notes on Dec. 8, 2009, following the application of our September 2009 corporate collateralized debt obligation (CDO) criteria. As of the March 31, 2011 trustee report, the class A notes were paid down to $363.05 million from a $369.84 million balance as reported in the Oct. 21, 2009 trustee report, which we referenced in our December 2009 rating actions. In addition, due to interest diversion subordinate in the interest waterfall, the class E notes were paid down to $11.76 million from $16.09 million over the same period of time. As of the March 31, 2011 trustee report, the transaction had $3.87 million of defaulted assets and approximately $35.85 million in assets from obligors with ratings, either by Standard & Poor's or another rating agency, in the 'CCC' range. This was down from $19.75 million in defaults and from approximately $106.11 million in assets from obligors with ratings in the 'CCC' range noted in the Oct. 21, 2009 trustee report," S&P noted. Standard & Poor's has also observed an increase in the overcollateralization (O/C) available to support the rated notes. The trustee reported the following ratios in the March 31, 2011 monthly report: * The class A/B O/C ratio test was 121.59%, compared with a reported ratio of 115.56% in October 2009; * The class C O/C ratio test was 114.24%, compared with a reported ratio of 108.69% in October 2009; * The class D O/C ratio test was 109.21%, compared with a reported ratio of 103.83% in October 2009; and * The class E O/C ratio test and interest diversion test were 106.35%, compared with a reported ratio of 100.20% in October 2009. 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 it deems necessary. Rating and CreditWatch Actions Aberdeen Loan Funding Ltd. Rating Class To From A AA (sf) A+ (sf)/Watch Pos B A+ (sf) A- (sf)/Watch Pos C BBB+ (sf) BBB- (sf)/Watch Pos D BB+ (sf) B+ (sf)/Watch Pos E B+ (sf) CCC- (sf) ABFC ASSET-BACKED: Moody's Confirms Ca Rating on One Tranche ------------------------------------------------------------ Moody's Investors Service has confirmed the rating on one tranche from ABFC Asset-Backed Certificates, Series 2004-OPT1. The collateral backing this deal primarily consists of first-lien, fixed and adjustable-rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on Subprime pools securitized before 2005. The principal methodology used in these ratings is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. Other methodologies used include "Pre-2005 US RMBS Surveillance Methodology" published in January 2011, which accounts for the deteriorating performance and outlook. 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: ABFC Asset-Backed Certificates, Series 2004-OPT1 -- Cl.r B, Confirmed at Ca (sf); previously on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade ABN AMRO: Moody's Cuts Ratings of 23 Tranches --------------------------------------------- Moody's Investors Service has downgraded the ratings of 23 tranches and confirmed the rating of one tranche from five prime jumbo deals issued by ABN AMRO Mortgage Corporation. The collateral backing these deals consists primarily of first-lien, fixed rate prime jumbo residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of prime jumbo pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The principal methodology used in these ratings is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. Other methodologies used include "Pre-2005 US RMBS Surveillance Methodology" published in January 2011, which accounts for the deteriorating performance and outlook. To assess the rating implications of the updated loss levels on prime jumbo RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R) (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include fifty four different combinations comprising of six loss levels, three loss timing curves and three prepayment curves. For ratings implied Aa3 and above, an additional prepayment curve is run to assess resilience to a high prepayment scenario. The approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that varies from 3% to 5% on average. The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans with a base rate of new delinquency of 3.00%, the adjusted rate of new delinquency would be 3.03%. in addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.75 to 2.5 for current delinquencies ranging from less than 2.5% to greater than 10% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. 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: ABN AMRO Mortgage Corporation, Multi-Class Pass-Through Certificates, Series 2002-9 -- Cl. M, Confirmed at Aaa (sf); previously on Jul 27, 2005 Upgraded to Aaa (sf) -- Cl. B-1, Downgraded to Aa1 (sf); previously on Jul 27, 2005 Upgraded to Aaa (sf) -- Cl. B-2, Downgraded to Baa1 (sf); previously on Jul 17, 2006 Upgraded to Aa2 (sf) -- Cl. B-3, Downgraded to Ba1 (sf); previously on Jul 17, 2006 Upgraded to A2 (sf) Issuer: ABN AMRO Mortgage Corporation, Multi-Class Pass-Through Certificates, Series 2003-10 -- Cl. A-1, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Issuer: ABN AMRO Mortgage Corporation, Multi-Class Pass-Through Certificates, Series 2003-12 -- Cl. 1A, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3A1, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3A2, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: ABN AMRO Mortgage Corporation, Multi-Class Pass-Through Certificates, Series 2003-3 -- Cl. A-3, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-P, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Caa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: ABN AMRO Mortgage Corporation, Multi-Class Pass-Through Certificates, Series 2003-4 -- Cl. M, Downgraded to Aa3 (sf); previously on Jul 27, 2005 Upgraded to Aaa (sf) -- Cl. B-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to B1 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade AERCO LTD: S&P Lowers Rating on Class A3 Notes to 'BB-' ------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class A3 notes from AerCo Ltd. to 'BB- (sf)' from 'BB (sf)' and revised our outlook on this class to stable from negative. "We also affirmed our 'A- (sf)' rating on the class A4 notes. AerCo Ltd. is an asset-backed securities (ABS) transaction collateralized by the lease revenue and sales proceeds from the commercial aircraft," S&P stated. The ratings reflect S&P's opinion of: * The aircraft collateral's value and quality; * The payment structure and cash flow mechanics; * The subordination to the rated notes; * The transaction's legal structure; and * AerCap Aviation Solutions' demonstrated servicing ability. "The fleet in AerCo Ltd. is significantly concentrated in older aircraft that were designed in the 1980s, some of which, in our view, are likely to become economically obsolete earlier than originally expected. According to the March 2011, servicer report, the collateral consisted of 35 aircraft, 31 of which were manufactured between 1988 and 1993 11 B737-400, eight B737-300, five B737-500, four A320-200, and three other aircraft. Of the 35 aircraft, six were Airbus and 29 were Boeing aircraft. They were leased to 25 lessees operating in 19 countries. Approximately 94% of the aircraft were narrow-body planes, and the remaining 6% were wide-body planes. The total lease income in the March 2011 payment period was approximately $4.5 million," S&P noted. S&P continued, "In our analysis, we projected the cash flow by stressing each aircraft's future depreciated value and lease rates (both in normal markets and in stress scenarios); time off-lease for repossessed aircraft; the airline lessees' default frequency and default pattern; the remarketing, reconfiguration, and repossession costs; the maintenance expenses; and the interest rate risk." Standard & Poor's will continue to monitor whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Actions AerCo Ltd. Rating Class To From A3 BB- (sf) BB (sf)/Negative A4 A- (sf) A- (sf) AMERICAN HOME: Moody's Takes Action on Six Second Lien RMBS ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of seven tranches and confirmed the ratings of two tranches from six assorted deals issued between 2001 and 2007. The collateral backing these deals primarily consists of closed end second lien loans and HELOCs. Ratings Rationale The actions are a result of the continued performance deterioration in second lien pools and HELOCs in conjunction with home price and unemployment conditions that remain under duress. The actions reflect Moody's updated loss expectations on second lien pools and HELOCs. The principal methodology used in these ratings was "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. Other methodologies used include "Second Lien RMBS Loss Projection Methodology: April 2010" published in April 2010. 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 Class G tranche from the CSFB Home Equity Mortgage Trust 2005- HF1 transaction was withdrawn since the balance of this tranche is zero and can never increase due to an Amortization Event. The Class G no longer funds additional draws after cumulative losses exceeded a certain threshold, causing an "Amortization Event". The tranche is treated as paid off and is withdrawn according to "Moody's Guidelines for the Withdrawal of Ratings" dated December 5, 2008. 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. If expected losses on the collateral pool were to increase by 10%, model implied results indicate that the ratings would not change. 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: American Home Mortgage Assets Trust 2007-3 -- Cl. III-M-1, Downgraded to C (sf); previously on Mar 18, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. III-M-2, Downgraded to C (sf); previously on Mar 18, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. III-PO, Downgraded to C (sf); previously on Mar 18, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns Home Loan Owner Trust 2001-A -- Cl. B Ctf, Confirmed at Ca (sf); previously on Mar 18, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CWHEQ Home Equity Loan Trust, Series 2006-S6 -- Cl. A-1, Confirmed at Caa1 (sf); previously on Mar 18, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Home Equity Mortgage-Backed Pass-Through Certificates, Series 2004-3 -- Cl. B-2A, Downgraded to C (sf); previously on Mar 18, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. B-2F, Downgraded to C (sf); previously on Mar 18, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Lehman ABS Corporation Home Equity Loan Asset-Backed Notes, Series 2005-1 -- Cl. M-1, Downgraded to C (sf); previously on Mar 18, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors Trust Series 2004-SL1 -- Cl. S, Downgraded to Ba1 (sf); previously on Mar 18, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Home Equity Mortgage Trust 2005-HF1 -- Cl. G, Withdrawn (sf); previously on Mar 18, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade ANSONIA CDO: S&P Cuts Ratings on 3 Classes to 'D' on Shortfalls --------------------------------------------------------------- Standard & Poor's Ratings Services owered its ratings on five classes from Ansonia CDO 2007-1 Ltd., a commercial real estate collateralized debt obligation (CRE CDO) transaction. "At the same time, we affirmed our 'CCC- (sf)' ratings on 12 classes from the same transaction," S&P said. "The downgrades and affirmations reflect our analysis of the interest shortfalls affecting the transaction. We lowered the ratings on classes A-1 and A-2 to 'CCC- (sf)' due to the susceptibility to interest shortfalls or liquidation. Class B and all of the classes subordinate to it did not receive full interest according to the April 25, 2011, remittance report. The interest shortfalls to the nondeferrable classes B, C, and D certificates prompted our downgrade of those classes to 'D (sf)'. The interest shortfall to the nondeferrable classes also triggered an event of default under the indenture based on a notice from the trustee, U.S. Bank N.A., provided on April 26, 2011," S&P related. S&P continued, "Our understanding is that interest shortfalls resulted due to the allocation of interest proceeds to principal proceeds. According to the April remittance report, the trust allocated $255,854 of interest on defaulted assets to principal." According to the April remittance report, the collateral for Ansonia 2007-1 consists of credit default swaps (CDS) referencing 53 CMBS, CRE CDO, and re-REMIC classes ($450 million, 90%) from 51 distinct transactions issued between 2004 and 2007. The collateral also consists of seven CMBS and CRE CDO ($50 million, 10%) classes from seven distinct transactions issued between 2005 and 2006. Standard & Poor's analyzed Ansonia 2007-1 Ltd. according to its current criteria. "Our analysis is consistent with the lowered and affirmed ratings," S&P added. Ratings Lowered Ansonia 2007-1 Ltd. Collateralized debt obligations Rating Class To From A-1 CCC- (sf) B+ (sf) A-2 CCC- (sf) B- (sf) B D (sf) CCC (sf) C D (sf) CCC- (sf) D D (sf) CCC- (sf) Ratings Affirmed Ansonia 2007-1 Ltd. Collateralized debt obligations Class Rating E CCC- (sf) F CCC- (sf) G CCC- (sf) H CCC- (sf) J CCC- (sf) K CCC- (sf) L CCC- (sf) M CCC- (sf) N CCC- (sf) O CCC- (sf) P CCC- (sf) Q CCC- (sf) ANTHRACITE 2005-HY2: S&P Affirms 'CCC-' Rating on Class F Notes --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes from Anthracite 2005-HY2 Ltd., a commercial real estate collateralized debt obligation (CRE CDO) transaction. "At the same time, we affirmed one 'CCC- (sf)' rating from the transaction," S&P said. "The downgrades and affirmation reflect our analysis of the transaction following our downgrades of 19 commercial mortgage- backed securities (CMBS) certificates that serve as underlying collateral for Anthracite 2005-HY2 Ltd. The downgraded securities are from eight transactions and total $80.3 million (17.3% of the total asset balance)," S&P related. According to the March 22, 2011, trustee report, Anthracite 2005-HY2 Ltd. is collateralized by 62 CMBS certificates ($350.7 million, 90.2%) from 17 transactions issued between 1998 and 2005. The collateral also includes seven REIT securities ($37.9, 9.8%). Total assets for Anthracite 2005-HY2 Ltd. is $388.6 million, with a reported liability of $463.4 million. Anthracite 2005-HY2 Ltd. has exposure to these CMBS certificates that Standard & Poor's has downgraded: * Bank of America Commercial Mortgage Inc. series 2004-6 (classes H through O; $32.7 million, 7.1%); * Bank of America Commercial Mortgage Inc. series 2005-5 (classes L through O; $17.2 million, 3.7%); and * JPMorgan Chase Commercial Mortgage Securities Corp. series 2004-PNC 1 (classes J and K; $9.6 million, 2.1%). Standard & Poor's analyzed the transaction and its underlying collateral assets in accordance with its current criteria. "Our analysis is consistent with the lowered and affirmed ratings," S&P said. Ratings Lowered Anthracite 2005-HY2 Ltd. Rating Class To From A BBB (sf) A (sf) B BB+ (sf) BBB (sf) CFL B+ (sf) BB (sf) CFX B+ (sf) BB (sf) DFL CCC- (sf) B+ (sf) DFX CCC- (sf) B+ (sf) E CCC- (sf) B (sf) Rating Affirmed Anthracite 2005-HY2 Ltd. Class Rating F CCC- (sf) ANTHRACITE CDO: Moody's Downgrades Ratings on Nine CRE CDO Classes ------------------------------------------------------------------ Moody's has downgraded nine classes of Notes issued by Anthracite CDO III Ltd. due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor (WARF) and a decrease in weighted average recovery rate (WARR). The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. Moody's rating action is: -- Cl. A, Downgraded to A1 (sf); previously on May 19, 2010 Confirmed at Aa1 (sf) -- Cl. B-FL, Downgraded to Ba1 (sf); previously on May 19, 2010 Downgraded to A2 (sf) -- Cl. B-FX, Downgraded to Ba1 (sf); previously on May 19, 2010 Downgraded to A2 (sf) -- Cl. C-FL, Downgraded to B1 (sf); previously on May 19, 2010 Downgraded to Baa2 (sf) -- Cl. C-FX, Downgraded to B1 (sf); previously on May 19, 2010 Downgraded to Baa2 (sf) -- Cl. D-FL, Downgraded to Caa1 (sf); previously on May 19, 2010 Downgraded to Ba1 (sf) -- Cl. D-FX, Downgraded to Caa1 (sf); previously on May 19, 2010 Downgraded to Ba1 (sf) -- Cl. E-FL, Downgraded to Caa3 (sf); previously on May 19, 2010 Downgraded to B1 (sf) -- Cl. E-FX, Downgraded to Caa3 (sf); previously on May 19, 2010 Downgraded to B1 (sf) Ratings Rationale Anthracite CDO III Ltd. is a static CRE CDO transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (87.9% of the pool balance), real estate investment trust (REIT) debt (8.2%) and Credit Tenant Lease (CTL) Loans (3.9%). As of the April 20, 2011 Trustee report, the aggregate Note balance of the transaction has decreased to $366.5 million from $435.3 million at issuance, with the paydown directed to the Class A Notes. The majority of paydowns was due to amortization of the collateral, however some of the paydown was due to Interest Proceeds received on Defaulted Securities being reclassified as Principal Proceeds. Fifity-Nine assets with a par balance of $256.4 million (69.9% of the pool balance) were listed as Defaulted or Impaired Securities as of the April 20, 2011 Trustee report, due to interest shortfalls and credit rating downgrades or negative credit watch status. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life (WAL), WARR, and Moody's asset correlation (MAC). 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 has completed updated credit estimates for the non-Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 4,263 compared to 2,208 at last review. The distribution of current ratings and credit estimates is as follows: Aaa-Aa3 (8.4% compared to 10.5% at last review), A1-A3 (8.4% compared to 7.8% at last review), Baa1-Baa3 (13.7% compared to 27.2% at last review), Ba1-Ba3 (12.4% compared to 19.1% at last review), B1-B3 (14.6% compared to 18.0% at last review), and Caa1- C (42.4% compared to 17.4% at last review). WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Due to the speculative-grade collateral, Moody's modeled a fixed 17.8% WARR, compared to 21.1% 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 9.7% compared to 14.6% 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 2.2% to 0% or up to 7.2% would result in average rating movement on the rated tranches of 0 to 1 notches downward or 0 to 1 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. The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in November 2010. Other methodologies used include "U.S. CMBS: Moody's Approach to Rating Static CDOs Backed by Commercial Real Estate Securities" published in June 2004. 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. ARES ENHANCED: Moody's Upgrades Ratings on CLO Notes ---------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by Ares Enhanced Loan Investment Strategy II, Ltd. -- US$30,000,000 Class A-1 Senior Secured Floating Rate Variable Funding Notes Due 2020 (current outstanding balance of $28,617,950.31), Upgraded to Aa2 (sf); previously on July 10, 2009 Downgraded to Aa3 (sf); -- US$285,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2020 (current outstanding balance of $271,870,527.95), Upgraded to Aa2 (sf); previously on July 10, 2009 Downgraded to Aa3 (sf); -- US$25,500,000 Class B-1 Senior Secured Deferrable Interest Floating Rate Notes Due 2020, Upgraded to Baa2 (sf); previously on July 10, 2009 Confirmed at Ba1 (sf); -- US$10,000,000 Class B-2 Senior Secured Deferrable Interest Fixed Rate Notes Due 2020, Upgraded to Baa2 (sf); previously on July 10, 2009 Confirmed at Ba1 (sf); -- US$13,500,000 Class C-1 Senior Secured Deferrable Interest Floating Rate Notes Due 2020, Upgraded to Ba3 (sf); previously on July 10, 2009 Confirmed at B1 (sf). -- US$3,500,000 Class C-2 Senior Secured Deferrable Interest Fixed Rate Notes 2020, Upgraded to Ba3 (sf); previously on July 10, 2009 Confirmed at B1 (sf). 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 July 2009. The overcollateralization ratios of the rated notes have improved since the rating action in July 2009. As per the April 2011 trustee report, the Class A, Class B, and Class C overcollateralization ratios are reported at 130.7%, 116.9%, and 111.2%, respectively, versus June 2009 levels of 120.4%, 107.9%, and 102.8% respectively, and all related overcollateralization tests are currently in compliance. Additionally, the Class A Notes have amortized by approximately $7.1mm or 2.3% due to overcollateralization test failures 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. Based on the April 2011 trustee report, the weighted average rating factor is 2413 compared to 2804 in June 2009, and securities rated Caa1 and below make up approximately 3.6% of the underlying portfolio versus 12.8% in June 2009. The deal has also experienced a decrease in defaulted securities. The dollar amount of defaulted securities has decreased from $24 million in June 2009 to $0.6 million in April 2011. 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 $0.6 million, weighted average default probability of 25.0% (implying a WARF of 3465), a weighted average recovery rate upon default of 41.5%, and a diversity score of 53.0. 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. Ares Enhanced Loan Investment Strategy II, Ltd., issued on January 19, 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 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. 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. 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, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARF -20% (2772) -- Class A-1: +2 -- Class A-2: +2 -- Class B-1: +2 -- Class B-2: +2 -- Class C-1: +2 -- Class C-2: +2 Moody's Adjusted WARF +20% (4158) -- Class A-1: -2 -- Class A-2: -2 -- Class B-1: -1 -- Class B-2: -1 -- Class C-1: -2 -- Class C-2: -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) 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. 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. ARMSTRONG LOAN: Moody's Upgrades Ratings of CLO Notes ----------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by Armstrong Loan Funding, Ltd.: -- US$133,320,000 Class B Floating Rate Senior Secured Notes Due 2016 (current outstanding balance of $130,428,375), Upgraded to Aaa (sf); previously on August 23, 2010 Upgraded to Aa1 (sf); -- US$30,300,000 Class C Floating Rate Senior Secured Notes Due 2016 (current outstanding balance of $29,642,813), Upgraded to Aa1 (sf); previously on August 23, 2010 Upgraded to A1 (sf); -- US$36,360,000 Class D Floating Rate Senior Secured Deferrable Interest Notes Due 2016 (current outstanding balance of $35,571,375), Upgraded to A2 (sf); previously on August 23, 2010 Upgraded at Baa3 (sf); -- US$18,180,000 Class E Floating Rate Senior Secured Deferrable Interest Notes Due 2016 (current outstanding balance of $17,785,688), Upgraded to Baa3 (sf); previously on August 23, 2010 Upgraded at B1 (sf); -- US$18,180,000 Class F Floating Rate Senior Secured Deferrable Interest Notes Due 2016 (current outstanding balance of $17,785,688), Upgraded to B1 (sf); previously on August 23, 2010 Upgraded to Caa3 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from the delevering of the Class A Notes and improvement in the credit quality of the underlying portfolio since the last rating action in August 2010. The overcollateralization ratios of the rated notes have improved substantially as a result of delevering of the Class A Notes, which have been paid down by approximately 49% or $68 million since the last rating action in August 2010. A substantial proportion of this paydown is attributable to principal prepayments on the underlying loans. As of the latest trustee report dated February 28, 2011, the Class C, Class D, Class E and Class F overcollateralization ratios are reported at 149. 12%, 129. 15%, 121. 05%, and 113. 9%, respectively, versus July 2010 levels of 133. 37%, 120. 11%, 114. 43%, and 109. 25%, respectively. Additionally, the Class F Notes are no longer deferring interest and all previously deferred interest has been paid in full. Moody's also notes that the deal has benefited from improvement in the credit quality of the underlying portfolio since the last rating action. Based on the February 2011 trustee report, the weighted average rating factor is 3046 compared to 3309 in July 2010, and securities rated Caa1 and below or CCC+ and below make up approximately 10. 75% of the underlying portfolio versus 12. 28% in July 2010. The deal also experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to $15 million from approximately $31. 3 million in July 2010. While the transaction has benefited from delevering, Moody's noted that the number of investments in securities that mature after the maturity date of the notes has grown as a result of the deal's decision to participate in amend to extend activities. As of the February 2011 trustee report, securities that mature after the maturity date of the notes make up approximately 14% of the underlying portfolio versus 6. 8% in July 2010. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. 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 of $345. 2 million, defaulted par of $15 million, weighted average default probability of 25. 4% (implying a WARF of 3855), a weighted average recovery rate upon default of 44. 2%, and a diversity score of 38. 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. Armstrong Loan Funding, Ltd. issued on March 19, 2008, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in these ratings was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 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. 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. 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, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARF - 20% (3084) -- Class A: 0 -- Class B: 0 -- Class C: 0 -- Class D: +2 -- Class E: +2 -- Class F: +2 Moody's Adjusted WARF + 20% (4626) -- Class A: 0 -- Class B: 0 -- Class C: -1 -- Class D: -2 -- Class E: -1 -- Class F: -1 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 deals' 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. ATHERTON: Fitch Affirms Ratings on Series 2010A & B Bonds at 'BB' ----------------------------------------------------------------- Fitch Ratings has affirmed the 'BB' rating on Atherton Baptist Homes' (Atherton) series 2010A and B bonds issued by the city of Alhambra, CA. The Rating Outlook is Stable. Security: The bonds are secured by gross revenue pledge, mortgage, and debt service reserve fund. Rating Rationale: -- The 'BB' rating reflects Atherton's high debt burden, weak profitability, and average occupancy. -- Atherton has nearly finished the construction of its 50 independent living unit (ILU) expansion project (Courtyard project), which will be available for occupancy beginning in mid-June. -- ILU occupancy in the existing units has remained in the 80% range while deposits on the Courtyard project have hovered at around 32 (64%). Management has engaged marketing consultants and the number of deposits have increased to 38 as of April 2011. Key Rating Drivers: -- Successful fill up of ILU expansion. -- Achieving stabilized occupancy and improving cash flow to grow into its high debt burden. Credit Summary: Atherton is in the midst of a significant campus improvement plan with the opening of the Courtyard project in mid-June 2011. The Courtyard will add 50 ILUs to the existing campus. In addition, Atherton will also renovate and upgrade its existing common facilities. The total construction cost is $33.4 million and the project is within budget. Atherton issued $29.3 million of series 2010A bonds and $14.64 million of series 2010B bonds to fund the construction and related bond issuance costs. The debt is 100% fixed rate and the series 2010B bonds are expected to be paid down with the initial entrance fees generated from the Courtyard project ($14 million). The series 2010B bonds have a maturity date of Jan. 1, 2017 and management has an optional redemption schedule for the bonds beginning on Oct. 1, 2011 for $5 million. To date, Atherton has received $1.3 million in initial entrance fees (in escrow). Of concern is the level of deposits for the Courtyard project, which has hovered at around 32 (64%). Since the marketing targets under the bond documents were not met, management had a sales and marketing audit report completed by Seniority, Inc. in November 2010. A result of this study was to engage Greenbrier Marketing Services as a marketing consultant who will assist in training staff and reaching sales goals with an occupancy target of 80% within the first six months of the Courtyard project opening. Fitch will monitor the fill-up of the units and a delay could result in downward rating pressure. As of April 2011, there has been an improvement in sales activity with 38 (76%) depositors for the Courtyard project. Atherton has also faced a dip in ILU occupancy in its existing units due to the economic environment. Greenbrier is also assisting Atherton in improving the existing ILU occupancy, which was 84.7% for the first quarter 2011 (ended March 31, 2011) compared with 82.4% for fiscal 2010 and 2009. Atherton's financial profile is characteristic of a non-investment grade credit with a high debt burden and weak profitability. Maximum annual debt service (MADS) of $2.7 million comprised 19.2% of total revenue in fiscal 2010. MADS coverage was a weak 0.5 times (x) for fiscal 2010 (excluding capitalized interest); however, actual debt service coverage was 2.94x. Given the near completion of the units, Atherton will need to generate sufficient cash flow to service its high debt burden. Funds available for debt service was $1.4 million in fiscal 2010 compared to $1.5 million in 2009. Through the first three months ended March 31, 2011, funds available for debt service was solid at $816,000, driven by strong net entrance fee receipts, which generated good MADS coverage of 1.2x. Profitability has been weak with an excess margin of 1.2% in fiscal 2010 compared to negative 3.2% in 2009 and driven by average occupancy and modest rate increases of approximately 2%. However, Atherton receives consistent contributions, which totaled $514,000 in fiscal 2010 and $178,000 in fiscal 2009. Liquidity has been stable with $7.4 million of unrestricted cash and investments at fiscal year end 2010, which equated to 219 days cash on hand and 17.3% cash to debt, and improved at March 31, 2011 to 233.4 days and 19.2%, respectively. The Stable Outlook reflects Fitch's expectation that the fill-up of the Courtyard units will occur according to management's plan and reach stabilized occupancy by the end of 2012 (as per the original feasibility study projection). The inability to achieve stabilized occupancy over the next year could place pressure on the rating if cash flow generation is insufficient to service its debt burden. Atherton Baptist Homes is a Type C continuing care retirement community (CCRC) located in Alhambra, CA with 170 ILU, 38 ALU, and 99 SNF beds. With the opening of the Courtyard project, ILUs will increase to 220. Total revenue in fiscal 2010 was $13.5 million. Disclosure is excellent with monthly financials and occupancy statistics posted on EMMA. In addition, management hosts quarterly investor calls. BANC OF AMERICA: Moody's Affirms C-Level Ratings on 6 Classes ------------------------------------------------------------- Moody's Investors Service downgraded the ratings of three classes, confirmed three and affirmed six classes of Banc of America Commercial Mortgage Inc., Commercial Pass-Through Certificates, Series 2006-5: -- Cl. A-2, Affirmed at Aaa (sf); previously on Oct 17, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Oct 17, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-AB, Affirmed at Aaa (sf); previously on Oct 17, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Oct 17, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Oct 17, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. XP, Affirmed at Aaa (sf); previously on Oct 17, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. XC, Affirmed at Aaa (sf); previously on Oct 17, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-M, Affirmed at Aa3 (sf); previously on Jun 9, 2010 Downgraded to Aa3 (sf) -- Cl. A-J, Downgraded to Ba1 (sf); previously on Apr 22, 2011 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to B2 (sf); previously on Apr 22, 2011 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to Caa1 (sf); previously on Apr 22, 2011 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Confirmed at Caa2 (sf); previously on Apr 22, 2011 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Confirmed at Caa3 (sf); previously on Apr 22, 2011 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Confirmed at Ca (sf); previously on Apr 22, 2011 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. G, Affirmed at C (sf); previously on Jun 9, 2010 Downgraded to C (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) -- Cl. K, Affirmed at C (sf); previously on Jun 9, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Jun 9, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Jun 9, 2010 Downgraded to C (sf) Ratings Rationale The downgrades were caused by higher realized losses and expected losses from specially serviced and troubled loans. The affirmations and confirmations are due to key parameters, including Moody's LTV ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the confirmed and affirmed classes are sufficient to maintain their current ratings. On April 20, 2011 Moody's placed six classes on review for possible downgrade due to an increase in interest shortfalls and realized losses and anticipated losses from specially serviced and troubled loans. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 9.6% of the current balance as compared to 8.9% at last review. Moody's stressed scenario loss is 22.0% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodology used in this rating was " Moody's Approach to Rating Fusion U.S. CMBS Transactions", published April 2005. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 42 compared to 50 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated June 9, 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 April 11, 2011 distribution date, the transaction's aggregate certificate balance has decreased by approximately 6% to $2.11 billion from $2.24 billion at securitization. The Certificates are collateralized by 175 mortgage loans ranging in size from less than 1% to 7.2% of the pool, with the top ten loans representing 40% of the pool. The pool includes one loan, representing 7.2% of the pool, with a credit estimate. Forty loans, representing 25% of the pool, are on the master servicer's watchlist as compared to 26 loans, representing 12% of the pool, at last review. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council's (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Nine loans have been liquidated from the pool resulting in $44 million of realized losses (50% average severity). The pool had $11 million of realized losses at last review. Eighteen loans, representing 18% of the pool, are in special servicing. The largest specially serviced loan is the Trinity Hotel Portfolio Loan ($129 million -- 6.1% of the pool), which is secured by 13 hotels located in eight states. The loan transferred to special servicing in November 2009 due to imminent default. The portfolio was appraised for $113.12 million in January 2011. The special servicer anticipates that the borrower will transfer title to the trust via a deed-in-lieu of foreclosure. The servicer has recognized a $9 million appraisal reduction for this loan. The remaining 17 specially serviced loans are secured by a mix of commercial and multifamily properties. The servicer has recognized a $98 million aggregate appraisal reduction for 10 of the 18 specially serviced loans. The aggregate appraisal reduction was $37 million at last review. Moody's has estimated a $144 million loss (38% expected loss based on a 90% probability of default) for all of the specially serviced loans. Moody's has assumed a high default probability for 13 poorly performing loans representing 9% of the pool and has estimated an aggregate $26 million loss (14% expected loss based on a 50% probability default) from these troubled loans. Based on the most recent remittance statement, Classes P through E have experienced cumulative interest shortfalls totaling $5.9 million. At last review interest shortfalls totaled $2.4 million and affected Classes P through H. Moody's anticipates that the pool will continue to experience interest shortfalls due to the increased exposure to specially serviced and troubled loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs) and extraordinary trust expenses. Moody's was provided with full year 2009 and full or partial year 2010 operating results for 96% and 75% of the pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 105% compared to 119% at Moody's last 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%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCR are 1.27X and .99X, respectively, compared to 1.21X and 0.97X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loan with a credit estimate is the Southern Walgreens Portfolio Loan ($152.0 million - 7.2% of the pool), which represents three cross collateralized and cross defaulted loans secured by 42 Walgreen's stores located in sixteen states. The properties are 100% leased to the Walgreen Company (senior unsecured rating of A2, stable outlook). Performance has remained stable since last review. Moody's credit estimate and stressed DSCR are Baa3 and 0.74X, respectively, compared to Baa3 and 0.72X at last review. The three largest conduit loans represent 14% of the outstanding pool balance. The largest conduit loan is the Eastridge Mall Loan ($130 million -- 6.2% of the pool), which is secured by a 742,000 square foot (SF) mall in San Jose, California. The sponsor is a joint venture between General Growth Properties, Inc. (GGP) and Ivanhoe IV, Inc. The property had been included in GGP's bankruptcy filing but has been returned to the master servicer. The loan has been modified to extend the maturity date from September 20, 2011 to August 31, 2017. As of September 2010, the inline space was 87% leased compared to 89% in December 2009. Performance has been stable since last review and the loan has benefited from amortization. Moody's LTV and stressed DSCR are 98% and 0.99X, respectively, compared to 102% and .95X at last review. The second largest loan is the Shoreham Loan ($94 million - 4.5% of the pool), which is secured by a 548 unit, Class A multifamily building located in downtown Chicago, Illinois. Property occupancy has increased from 83% at last review to 91% as of December 2010. The increase in occupancy has led to an improvement in property performance. Moody's LTV and stressed DSCR are 132% and 0.63X, respectively, compared to 148% and 0.60X at last review. The third largest performing loan is the Pamida Portfolio Loan ($65 million -- 3.1% of the pool), which is secured by 65 retail stores located throughout 16 states and a head quarters/distribution center. The portfolio is 100% leased to Pamida Stores Operating Co., LLC under a 15 year master lease. Property performance continues to improve due to rent increases under the master lease. Moody's LTV and stressed DSCR are 80% and 1.34X, respectively, compared to 90% and 1.21X at last review. BANC OF AMERICA: Moody's Affirms Junk Rating on Cl. L Certs. ------------------------------------------------------------ Moody's Investors Service (Moody's) upgraded the ratings of two classes and affirmed 15 classes of Banc of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2004-5: -- Cl. A-3, Affirmed at Aaa (sf); previously on Nov 29, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Nov 29, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-AB, Affirmed at Aaa (sf); previously on Nov 29, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Nov 29, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-J, Affirmed at Aaa (sf); previously on Nov 29, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. X-P, Affirmed at Aaa (sf); previously on Nov 29, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. XC, Affirmed at Aaa (sf); previously on Nov 29, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. B, Upgraded to Aa1 (sf); previously on Nov 29, 2004 Definitive Rating Assigned Aa2 (sf) -- Cl. C, Upgraded to Aa2 (sf); previously on Nov 29, 2004 Definitive Rating Assigned Aa3 (sf) -- Cl. D, Affirmed at A2 (sf); previously on Nov 29, 2004 Definitive Rating Assigned A2 (sf) -- Cl. E, Affirmed at A3 (sf); previously on Nov 29, 2004 Definitive Rating Assigned A3 (sf) -- Cl. F, Affirmed at Baa1 (sf); previously on Nov 29, 2004 Definitive Rating Assigned Baa1 (sf) -- Cl. G, Affirmed at Baa2 (sf); previously on Nov 29, 2004 Definitive Rating Assigned Baa2 (sf) -- Cl. H, Affirmed at Baa3 (sf); previously on Nov 29, 2004 Definitive Rating Assigned Baa3 (sf) -- Cl. J, Affirmed at Ba3 (sf); previously on May 12, 2010 Downgraded to Ba3 (sf) -- Cl. K, Affirmed at B3 (sf); previously on May 12, 2010 Downgraded to B3 (sf) -- Cl. L, Affirmed at Caa2 (sf); previously on May 12, 2010 Downgraded to Caa2 (sf) Ratings Rationale The upgrades are due to overall stable pool performance, increased subordination levels due to amortization and paydowns and increased defeasance. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain the current ratings. Moody's rating action reflects a cumulative base expected loss of 4.2% of the current balance. At last review, Moody's cumulative base expected loss was 4.0% Moody's stressed scenario loss is 9.5% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodology used in this rating was "CMBS: Moody's Approach to Rating Fusion Transactions" published in April 2005. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated May 12, 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 April 11, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 41% to $809 million from $1.4 billion at securitization. The Certificates are collateralized by 81mortgage loans ranging in size from less than 1% to 17% of the pool, with the top ten loans representing 40% of the pool. Currently, there is one loan, representing 17% of the pool, with an investment grade credit estimate. Five loans, representing 14% of the pool, have defeased and are collateralized by U.S. Government securities. Defeasance at last review represented 8% of the pool. Twenty-four loans, representing 17% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Four loans have been liquidated from the pool since securitization, resulting in a $2.9 million loss (3% loss severity on average). Currently three loans, representing 9% of the pool, are in special servicing. The largest specially serviced loan is the Simon - Cheltenham Square Mall Loan ($53.8 million -- 6.6% of the pool), which is secured by a the borrower's interest in a 639,406 square foot (SF) anchored mall (423,440 SF of collateral) located in Philadelphia, Pennsylvania. The mall is shadow anchored by Home Depot. The collateral's largest tenants are Target (32% of the net rentable area (NRA); lease expiration in January 2030); Burlington Coat Factory (19% of the NRA; lease expiration in February 2012) and Shop Rite (17% of the NRA: lease expiration in March 2015). As of September 2010, the property was 96% leased, the same as at last review. The loan is current and was transferred to special servicing in August 2010 when the borrower requested a loan modification due to cash flow issues. Moody's does not currently project any loses on this loan. The remaining two specially serviced loans are secured by a retail and multifamily property. The master servicer has recognized a $3.0 million appraisal reduction for one of these loans. Moody's has estimated an aggregate $7.5 million loss (41% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for eight poorly performing loans representing 8% of the pool. Moody's has estimated a $10.4 million loss (16% expected loss based on a 50% probability default) from the troubled loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 99% and 93%, respectively, of the pool. Excluding troubled loans, Moody's weighted average LTV for the conduit component is 88% , compared to 87% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2%. Excluding troubled loans, Moody's actual and stressed DSCRs for the conduit component are 1.47X and 1.22X, respectively, compared to 1.44X and 1.19X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. 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 33, the same as at Moody's prior review. The loan with a credit estimate is the Bank of America Center Loan ($137.0 million -- 16.9% of the pool), which represents a 33% participation interest in a $417.0 million first mortgage loan. The loan is secured by three office buildings totaling 1.8 million SF located in downtown San Francisco, California. The largest tenants are Bank of America (35% of the NRA; lease expiration in September 2015) and Kirkland and Ellis (7% of the NRA; lease expiration in September 2016). The complex was 94% leased as of December 2010 compared to 90% at last review. Property performance has improved since last review due to higher occupancy, increased rent and lower expenses. The loan is full term interest-only and matures in September 2011. Vornado Realty is the sponsor. Moody's current credit estimate and stressed DSCR are Baa3 and 1.40X, respectively, compared to Baa3 and 1.31X at last review. The top three performing conduit loans represent 7% of the pool. The largest loan is the James River Towne Center Loan ($20.7 million -- 2.6% of the pool), is secured by a 155.337 SF retail property located in Springfield, Missouri. The property is shadow anchored by Wal-Mart and Kohl's. The property was 97% leased as of December 2010. Property performance has improved due to an increase in rent and a decrease in expenses. Moody's LTV and stressed DSCR are 78% and 1.24X, respectively, compared to 90% and 1.09X, at last review. The second largest loan is the Omega Corporate Center Loan ($19.8 million -- 2.4% of the pool), which is secured by a 284,723 SF office building located in Pittsburgh, Pennsylvania. The property was 84% leased as of February 2011. This loan is currently on the master servicer's watchlist due to low occupancy and low DSCR. Moody's considers this loan as a high risk for default. Moody's LTV and stressed DSCR 135% and 0.80X, respectively, compared to 108% and 1.00X at last review. The third largest loan is the L'Oreal Warehouse Loan ($19.5 million -- 2.4% of the pool), which is secured by a 649,250 SF industrial building located in Streetsboro, Ohio. The property is 100% to L'Oreal until October 2019. Property performance has been stable since securitization. Moody's LTV and stressed DSCR 78% and 1.25X, respectively, compared to 78% and 1.24X at last review. BANC OF AMERICA: Moody's Cuts Ratings on 3 Classes of BACM 2004-3 ----------------------------------------------------------------- Moody's Investors Service downgraded three and affirmed twenty- seven classes of Banc of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2004-3: -- Cl. A-4, Affirmed at Aaa (sf); previously on Jul 20, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-5, Affirmed at Aaa (sf); previously on Jul 20, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Jul 20, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. X, Affirmed at Aaa (sf); previously on Jul 20, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aa1 (sf); previously on Mar 9, 2007 Upgraded to Aa1 (sf) -- Cl. C, Affirmed at Aa2 (sf); previously on Mar 9, 2007 Upgraded to Aa2 (sf) -- Cl. D, Affirmed at A2 (sf); previously on Jun 9, 2010 Confirmed at A2 (sf) -- Cl. E, Affirmed at A3 (sf); previously on Jun 9, 2010 Confirmed at A3 (sf) -- Cl. F, Affirmed at Baa2 (sf); previously on Jun 9, 2010 Downgraded to Baa2 (sf) -- Cl. G, Downgraded to B1 (sf); previously on Jun 9, 2010 Downgraded to Ba1 (sf) -- Cl. H, Downgraded to B3 (sf); previously on Jun 9, 2010 Downgraded to B1 (sf) -- Cl. J, Downgraded to Caa1 (sf); previously on Jun 9, 2010 Downgraded to B3 (sf) -- Cl. K, Affirmed at Caa3 (sf); previously on Jun 9, 2010 Downgraded to Caa3 (sf) -- Cl. L, Affirmed at Ca (sf); previously on Jun 9, 2010 Downgraded to Ca (sf) -- Cl. M, Affirmed at C (sf); previously on Jun 9, 2010 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on Jun 9, 2010 Downgraded to C (sf) -- Cl. O, Affirmed at C (sf); previously on Jun 9, 2010 Downgraded to C (sf) -- Cl. SS-A, Affirmed at Baa3 (sf); previously on Jul 20, 2004 Assigned Baa3 (sf) -- Cl. SS-B, Affirmed at Ba1 (sf); previously on Jul 20, 2004 Assigned Ba1 (sf) -- Cl. SS-C, Affirmed at Ba2 (sf); previously on Jul 20, 2004 Assigned Ba2 (sf) -- Cl. SS-D, Affirmed at Ba3 (sf); previously on Jul 20, 2004 Assigned Ba3 (sf) -- Cl. UH-A, Affirmed at Aaa (sf); previously on Jun 9, 2010 Upgraded to Aaa (sf) -- Cl. UH-B, Affirmed at Aa1 (sf); previously on Jun 9, 2010 Upgraded to Aa1 (sf) -- Cl. UH-C, Affirmed at Aa2 (sf); previously on Jun 9, 2010 Upgraded to Aa2 (sf) -- Cl. UH-D, Affirmed at Aa3 (sf); previously on Jun 9, 2010 Upgraded to Aa3 (sf) -- Cl. UH-E, Affirmed at A1 (sf); previously on Jun 9, 2010 Upgraded to A1 (sf) -- Cl. UH-F, Affirmed at A2 (sf); previously on Jun 9, 2010 Upgraded to A2 (sf) -- Cl. UH-G, Affirmed at A3 (sf); previously on Jun 9, 2010 Upgraded to A3 (sf) -- Cl. UH-H, Affirmed at Baa1 (sf); previously on Jun 9, 2010 Upgraded to Baa1 (sf) -- Cl. UH-J, Affirmed at Baa2 (sf); previously on Jun 9, 2010 Upgraded to Baa2 (sf) Ratings Rationale The downgrades are due to interest shortfalls caused by specially serviced loans. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 5.7% of the current balance. At last full review, Moody's cumulative base expected loss was 5.3%. Moody's stressed scenario loss is 10.2% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodology used in these ratings was "CMBS: Moody's Approach to Rating Fusion Transactions" published in April 2005. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 28 compared to 38 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated June 9, 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 April 11, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 29% to $819.89 million from $1.16 billion at securitization. The Certificates are collateralized by 75 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans representing 46% of the pool. Seven loans, representing 6% of the pool, have defeased and are collateralized with U.S. Government securities, compared to 5.2% at last review. Two loans, representing 20.2% of the pool, have investment grade credit estimates. Twenty-three loans, representing 22% 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's (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Five loans have been liquidated from the pool since securitization, resulting in an aggregate $1.9 million loss (7% loss severity on average). Currently five loans, representing 9% of the pool, are in special servicing. The largest specially serviced loan is the St. Clair Estates Manufactured Home Community Loan ($25.2 million -- 3% of the pool), which is secured by a 628- pad unit manufactured housing community. The loan was transferred to special servicing in May 2009 for monetary default and is currently in foreclosure. The remaining three specially serviced loans are secured by a mix of office, multifamily, and mobile home properties. The master servicer has recognized an aggregate $39.2 million appraisal reduction for the specially serviced loans. Moody's has estimated an aggregate loss of $35.4 million (65% expected loss on average) for four of the specially serviced loans. Moody's has assumed a high default probability for three poorly performing loans representing 1% of the pool and has estimated a $1.7 million loss (15% expected loss based on a 50% probability default) from these troubled loans. Based on the most recent remittance statement, Classes H through P have experienced cumulative interest shortfalls totaling $2.8 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs), extraordinary trust expenses and non-advancing by the master servicer based on a determination of non-recoverability. The master servicer has made a determination of non-recoverability for the largest loan in special servicing and is no longing advancing for this loan. Moody's was provided with full year 2009 and partial year 2010 operating results for 96% and 82% of the performing pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 88% compared to 89% at last 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%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCR are 1.48X and 1.02X, respectively, compared to 1.44X and 1.16X at last full review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit estimate is the U-Haul Portfolio Loan ($95.3 million --12% of the pool), which is secured by 78 properties operated as U-Haul storage or rental centers. The portfolio is also encumbered by a $65.2 million B-note which is the collateral for non-pooled Classes UH-A, UH-B, UH-C, UH-D, UH- E, UH-F, UH-G, UH-H and UH-J. The properties total 4.0 million square feet (SF) and are located in 24 states with concentrations in Texas (21%), Florida (16%) and Arizona (10.4%). The portfolio was 100% leased as of December 2009. Moody's current credit estimate and stressed DSCR are Aaa and 2.84X, respectively, compared to Aaa and 2.77X at last full review. The second loan with a credit estimate is the 17 State Street Loan ($70.0 million -- 8.5% of the pool), which is secured by a 44- story, Class A, 532,000 SF office building located within the South Ferry/Financial District sub-market of New York City. The property is encumbered by a $33.9 million B-note which is the collateral for non-pooled Classes SS-A, SS-B, SS-C, SS-D and a non-rated class. The loan was transferred into special servicing in July 2010 due to the servicer's determination of imminent default and was sent back to the master servicer on April 1, 2011. Although property performance has improved since last review, Moody's analysis reflects a downward adjustment because the property's overall rental level is above market levels. Moody's current credit estimate and stressed DSCR are Baa2 and 1.48X, respectively, compared to Baa2 and 1.50X at last full review. The top three performing conduit loans represent 12% of the pool balance. The largest loan is the SUN Communities -- Scio Farm Loan ($38.5 million -- 5% of the pool), which is secured by a 913-pad manufactured housing community located in Ann Arbor, Michigan. As of December 2010, the portfolio was 94% leased compared to 97% at last full review. Moody's LTV and stressed DSCR are 92% and 1.00X, respectively, compared to 96% and 0.96X at last full review. The second largest loan is the SUN Communities Portfolio 9 Loan ($35.6 million -- 3.7% of the pool), which is secured by four manufactured housing communities totaling 1,235 pads located in Michigan (3) and Florida (1). As of September 2010, the portfolio was 94% leased compared o 97% at last full review. Moody's LTV and stressed DSCR are 90% and 1.08X, respectively, compared to 93% and 1.05X at last full review. The third largest loan is the SUN Communities Portfolio 8 Loan ($26.2 million -- 3.2% of the pool), which is secured by three manufactured housing communities totaling 1,174 pads located in Indiana (2) and Florida (1). As of December 2010, the portfolio was 73% leased, the same as last full review. Moody's LTV and stressed DSCR are 105% and 0.97X, respectively, compared to 93% and 0.98X at last review. BANC OF AMERICA: Moody's Cuts Rating on Class A-1 to 'C' -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of classes A- 1 and A-2 issued by Banc of America Funding 2006-R1 Trust. Ratings Rationale The actions are a result of the bonds not having sufficient credit enhancement to maintain the current ratings when compared to the revised loss expectations on the pools of mortgages backing the underlying certificates. The principal methodology used in these ratings is described in the "Surveillance Approach for Resecuritized transactions" section in "Moody's Approach to Rating US Resecuritized Residential Mortgage-Backed Securities" published in February 2011. Moody's ratings on the resecuritization notes are based on: (i) The updated expected loss on the pools of loans backing the underlying certificates and the updated ratings on the underlying certificates. (ii) The credit enhancement available to the underlying certificates, and (iii) The structure of the resecuritization transaction. Moody's first updated its loss assumptions on the underlying pools of mortgage loans backing the underlying certificates and then arrived at updated ratings and losses on the underlying certificates. Losses on the underlying certificates were then ascribed to the resecuritized bonds, according to the structure of the resecuritized transaction, to estimate the losses and hence ratings on the resecuritized certificates. The principal methodology used in determining the underlying ratings is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage- Backed Securities" published in December 2008. For other methodologies used for estimating losses on 2005-2008 vintage Alt-A/Option Arm, Subprime, and Prime Jumbo pools, please refer to the methodology publication " Alt-A RMBS Loss Projection Update: February 2010", " Subprime RMBS Loss Projection Update: February 2010", and "Prime Jumbo RMBS Loss Projection Update: January 2010", available on Moodys.com. 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 a third party due diligence report on the underlying assets or financial instruments in this transaction and the due diligence report had a neutral impact on the ratings. Complete rating actions are: Issuer: Banc of America Funding 2006-R1 Trust -- Cl. A-1, Downgraded to C (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade Financial Guarantor: CIFG Assurance North America, Inc. (Insured Rating Withdrawn on Nov 12, 2009) -- Underlying Rating: Downgraded to C (sf); previously on Jun 22, 2009 Downgraded to Ca (sf) -- Cl. A-2, Downgraded to C (sf); previously on Jan 29, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: CIFG Assurance North America, Inc. (Insured Rating Withdrawn on Nov 12, 2009) -- Underlying Rating: Downgraded to C (sf); previously on Jun 22, 2009 Downgraded to Caa2 (sf) BANC OF AMERICA: Moody's Puts Ratings on 6 Classes on Review ------------------------------------------------------------ Moody's Investors Service (Moody's) placed six classes of Banc of America Commercial Mortgage Inc., Commercial Pass-Through Certificates, Series 2006-5 on review for possible downgrade as: -- Cl. A-J, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2010 Downgraded to Baa3 (sf) -- Cl. B, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2010 Downgraded to Ba3 (sf) -- Cl. C, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2010 Downgraded to B2 (sf) -- Cl. D, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2010 Downgraded to Caa2 (sf) -- Cl. E, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2010 Downgraded to Caa3 (sf) -- Cl. F, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2010 Downgraded to Ca (sf) The classes were placed on review due to an increase in interest shortfalls and realized losses and anticipated losses from specially serviced and troubled loans. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated June 9, 2010. Deal performance: As of the April 11, 2011 distribution date, the transaction's aggregate certificate balance has decreased by approximately 6% to $2.11 billion from $2.24 billion at securitization. The Certificates are collateralized by 176 mortgage loans ranging in size from less than 1% to 7.2% of the pool, with the top ten loans representing 41% of the pool. The pool includes one loan, representing 7.2% of the pool, with a credit estimate. Forty loans, representing 25% of the pool, are on the master servicer's watchlist. At last review loans representing 12% of the pool was on the watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Nine loans have been liquidated from the pool resulting in $44 million of realized losses (50% average severity). The pool had $11 million of realized losses at last review. Eighteen loans, representing 18% of the pool, are in special servicing. There were 17 loans, representing 15% of the pool, in special servicing at last review. The servicer has recognized $98 million of appraisal reductions as compared to $37 million at last review. Based on the most recent remittance statement, Classes E through P have experienced cumulative interest shortfalls totaling $5.9 million. Interest shortfalls totaled $2.4 million and were contained to Classes H though P at last review. Moody's anticipates that the pool will continue to experience interest shortfalls due to the increased exposure to specially serviced loan and troubled loans since last review. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs) and extraordinary trust expenses. Moody's review will focus on the interest shortfalls, potential losses from specially serviced and troubled loans and the performance of the overall pool. The principal methodology used in rating and monitoring this transaction is "US CMBS: Moody's Approach to Rating Fusion Transactions" published April 19, 2005, which is available on www.moodys.com. BANC OF AMERICA: Moody's Ups Rating on Class P Certs. to 'Caa2' --------------------------------------------------------------- Moody's Investors Service (Moody's) upgraded the ratings of two classes and affirmed one class of Banc of America Structured Securities Trust Commercial Mortgage Pass-Through Certificates, Series 2002-X1: -- Cl. XC, Affirmed at Aaa (sf); previously on Jul 29, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. O, Upgraded to B1 (sf); previously on May 26, 2010 Downgraded to Caa1 (sf) -- Cl. P, Upgraded to Caa2 (sf); previously on May 26, 2010 Downgraded to C (sf) Ratings Rationale The upgrades are due to the significant increase in subordination due to loan payoffs and lower expected losses than at last review. The pool has paid down by 76% since Moody's last review. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 26% of the current balance. At last review, Moody's cumulative base expected loss was 22%. The current cumulative base expected loss represents a higher percentage of the pool than at last review due to significant pay downs since last review, even though the dollar amount of expected loss is less. At last review Moody's cumulative expected loss was $20.8 million compared to $6.0 million at this review. Moody's stressed scenario loss is 33% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodologies used in this rating were: "Moody's Approach to Rating Conduit Transactions", published on September 15, 2000 and "CMBS: Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 6 compared to 15 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated May 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 April 11, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 92% to $22.4 million from $287.8 million at securitization. The Certificates are collateralized by 16 mortgage loans ranging in size from less than 1% to 23% of the pool, with the top ten loans representing 92% of the pool. One loan, representing 2% of the pool, has defeased and is secured by U.S. Government bonds. The pool faces significant refinance risk as 69% of the pool has matured or matures within the next six months. Two loans, representing 2% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty-one loans have been liquidated from the pool, resulting in a realized loss of $10 million (27% loss severity). Eight loans, representing 75% of the pool, are currently in special servicing. Moody's has estimated an aggregate $4.8 million loss (44% expected loss on average) for the specially serviced loans. Moody's was provided with full year 2009 operating results for 100% of the performing loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 93% compared to 70% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 10% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.5%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.12X and 1.45X, respectively, compared to 1.31X and 1.77X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest performing loan is the Pennsylvania Place Apartments Loan ($2.8 million -- 13% of the pool), which is secured by a 152 unit apartment building located in Fort Worth, Texas. The property is currently 92% leased compared to 96% at last review. The property's rent and vacancy rates are in line with the Fort Worth market, and the performance remains stable. Moody's LTV and stressed DSCR are 70% and 1.48X, respectively, compared to 74% and 1.39X at last review. The top three specially serviced loans represent 63% of the pool balance. The largest loan is the Steeple Chase Apartments Loan ($5.2 million -- 24% of the pool) which is secured by a 98 unit multifamily property located in Toledo, Ohio. The property is currently 91% leased. Forbearance terms have been agreed upon, as the borrower was unable to pay off the balance at maturity. Moody's is not assuming a loss on this loan. Moody's LTV and stressed DSCR are 128% and 0.78X, respectively, compared to 138% and 0.72X at last review. The second largest specially serviced loan is the Village Park at Colleyville Shopping Center Loan ($4.6 million -- 20%), which is secured by a 45,000 square foot retail center located in Colleyville, Texas, which is about six miles west of the Dallas/Fort Worth Airport. The property is currently 49% leased, essentially the same as last review. The property is real estate owned (REO). The third largest specially serviced loan is the Comfort Inn-Palm Springs, CA Loan ($4.0 million -- 18%), which is secured by a limited service hotel located in Palm Springs, California. The hotel's performance was stable until 900 rooms were added to the Palm Springs market in 2007 and 2008. The borrower filed for chapter 11 bankruptcy in January of 2010 and foreclosure has been initiated. BANC OF AMERICA: S&P Withdraws 'CCC' Rating on Class N Certs. ------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on 54 classes from 36 commercial mortgage-backed securities (CMBS), and commercial real estate collateralized debt obligation (CRE CDO) transactions. "We withdrew our ratings on 46 classes from 30 CMBS and CRE CDO transactions following the repayment of each class' principal balance, as noted in each transaction's April 2011 remittance report. We withdrew our ratings on six interest-only (IO) classes from six transactions following the reduction of each class' notional balance as noted in each transaction's April 2011 remittance report," S&P stated. S&P continued, "We also withdrew our ratings on two additional IO classes following the repayment of all principal and interest paying classes rated 'AA- (sf)' or higher from the respective CMBS transaction, according to our criteria for rating IO securities." Ratings Withdrawn Following Repayment or Reduction of Notional Balance Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2002-2 Rating Class To From A-2 NR AAA (sf) Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2004-2 Rating Class To From XP NR AAA (sf) Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2006-2 Rating Class To From A-1 NR AAA (sf) Banc of America Structured Securities Trust Commercial mortgage pass-through certificates series 2002-X1 Rating Class To From L NR B- (sf) M NR CCC+ (sf) N NR CCC (sf) Bear Stearns Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2000-WF1 Rating Class To From E NR AAA (sf) Bear Stearns Commercial Mortgage Securities Trust Commercial mortgage pass through certificates series 2003-TOP10 Rating Class To From X-2 NR AAA (sf) Citigroup Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2007-FL3 Rating Class To From VSM-1 NR B- (sf) VSM-2 NR CCC+ (sf) COMM 2004- LNB3 Commercial mortgage pass through certificates Rating Class To From A-2 NR AAA (sf) COMM 2004- LNB4 Commercial mortgage pass-through certificates Rating Class To From A-3 NR AAA (sf) First Union National Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2001-C2 Rating Class To From H NR AA- (sf) GE Commercial Mortgage Corporation Commercial mortgage pass-through certificates series 2004-C3 Rating Class To From SHP-1 NR AAA (sf) SHP-2 NR AAA (sf) SHP-3 NR AAA (sf) SHP-4 NR AAA (sf) GMAC Commercial Mortgage Securities Inc. Mortgage pass-through certificates series 2004-C1 Rating Class To From A-2 NR AAA (sf) X-2 NR AAA (sf) Guggenheim Structured Real Estate Funding 2005-1 Ltd. Rating Class To From C NR BBB (sf) D NR BBB- (sf) E NR BBB- (sf) JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2001-C1 Rating Class To From NC-1 NR A+ (sf) NC-2 NR A (sf) JPMorgan Chase Commercial Mortgage Securities Corp. Mortgage pass-through certificates series 2001-CIBC1 Rating Class To From C NR AAA (sf) JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2004-CIBC8 Rating Class To From X-2 NR AAA (sf) JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005CIBC11 Rating Class To From A-2 NR AAA (sf) JPMorgan Chase Commercial Mortgage Securities Trust Commercial mortgage pass-through certificates series 2006-LDP9 Rating Class To From A-1 NR AAA (sf) LB-UBS Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2001-C7 Rating Class To From A-3 NR AAA (sf) A-4 NR AAA (sf) Merrill Lynch Mortgage Investors Inc. Mtg pass-thru certs ser 1997-C2 Rating Class To From E NR AA (sf) Morgan Stanley Capital I Trust Commercial mortgage pass-through certificates series 2004-HQ4 Rating Class To From A-5 NR AAA (sf) Morgan Stanley Capital I Trust Commercial mortgage pass-through certificates series 2006-TOP23 Rating Class To From A-1 NR AAA (sf) Morgan Stanley Dean Witter Capital I Trust Commercial mortgage pass-through certificates series 2001-TOP1 Rating Class To From B NR AA+ (sf) Morgan Stanley Dean Witter Capital I Trust Commercial mortgage pass-through certificates series 2003-TOP9 Rating Class To From A-1 NR AAA (sf) Multi Security Asset Trust LP Commercial mortgage-backed securities pass-through certificates series 2005-RR4 Rating Class To From A-2 NR AA- (sf) Prudential Securities Secured Financing Corp. Comm mtg pass-thru certs ser 1998-C1 Rating Class To From D NR AAA (sf) Salomon Brothers Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2001-C1 Rating Class To From B NR AAA (sf) Solar Trust Commercial mortgage pass-through certificates series 2001-1 Rating Class To From B NR AAA (sf) C NR AA+ (sf) STRIPs CDO Ltd. STRIPs CDO notes 2002-2 Rating Class To From N NR BB- (sf) TrizecHahn Office Properties Trust Commercial mortgage pass-through certificates series 2001-TZH Rating Class To From A-4 NR AAA (sf) B-4 NR AAA (sf) C-4 NR AAA (sf) D-4 NR AA+ (sf) E-4 NR A (sf) Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates 2002-C1 Rating Class To From A-3 NR AAA (sf) Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates 2003-C4 Rating Class To From X-P NR AAA (sf) Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2004-C11 Rating Class To From X-P NR AAA (sf) Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2004-C14 Rating Class To From A-2 NR AAA (sf) Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2005-C19 Rating Class To From A-3 NR AAA (sf) Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2005-C20 Rating Class To From A-4 NR AAA (sf) Ratings Withdrawn Following Application of Criteria for IO Securities First Union National Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2001-C2 Rating Class To From I/O NR AAA (sf) Morgan Stanley Dean Witter Capital I Trust Commercial mortgage pass-through certificates series 2001-TOP1 Rating Class To From X-1 NR AAA (sf) NR -- Not rated. BAYVIEW FINANCIAL: Fitch Downgrades Ratings on 8 Classes -------------------------------------------------------- Fitch Ratings has affirmed 4 and downgraded 8 classes within 4 Bayview Financial Asset Trust (BFAT) transactions, which are U.S. RMBS Resecuritization Trusts (Re-REMICs). All four Bayview RE-REMIC transactions are secured by underlying classes of asset-backed securities. Each of the underlying securities represents senior interest in an underlying pool of loans consisting of fixed- and adjustable-rate residential mortgage loans; small balance commercial, multi-family and mixed- use loans; and installment contracts for the purchase of real property. The transactions also include senior interest in underlying pools that consist of FHA insured mortgage loans, and U.S. Small Business Administration (SBA) disaster assistance loans (SBA Assistance Loans). The SBA Assistance Loans are secured by second liens on commercial property or by various types of non- real estate collateral, or are unsecured. Fitch's rating actions are: Bayview Financial Trading Group, L.P. 2003-SSR1 -- Class A (07324QDR4) affirmed at 'AAAsf'; Outlook Stable; -- Class M (07324QDS2) affirmed at 'AAsf'; Outlook Stable. Bayview Financial, L.P. 2004-SSR1 -- Class A1 (07324QEX0) downgraded to 'BBsf' from 'AAAsf'; Outlook Negative; -- Class A2A (07324QEY8) downgraded to 'BBsf' from 'AAAsf'; Outlook Negative; -- Class A2B (07324QEZ5) downgraded to 'BBsf' from 'AAAsf; Outlook Negative; -- Class M (07324QFA9) downgraded to 'BBsf' from 'AAsf'; Outlook Negative. Bayview Financial, L.P. 2007-SSR1 -- Class A (07325QAA3) downgraded to 'BBsf' from 'AAAsf'; Outlook Negative; -- Class M1 (07325QAB1) downgraded to 'Bsf' from 'Asf'; Outlook Negative; -- Class M2 (07325QAC9) affirmed at 'Bsf'; Outlook Negative; -- Class M3 (07325QAD7) affirmed at 'CCCsf'; Recovery Rating revised to 'RR5' from 'RR2'; -- Class M4 (07325QAE5) downgraded to 'CCsf/RR5' from 'CCCsf/RR2'. Bayview Financial Asset Trust 2007-SSR2 -- Class A (07326CAC9) downgraded to 'CCsf/RR4' from 'CCCsf/RR2'. The downgrades are a result of increased loss assumptions and revisions to Fitch's interest rate and servicer advance assumptions in rating-stressed scenarios. Mortgage pool loss assumptions were increased for a number of the underlying mortgage pools as a result of increased loss-severity on liquidated loans. Fitch's interest rate stresses are described in Fitch's March 21, 2011 criteria, 'Criteria for Interest Rate Stresses in Structured Finance Transactions'. While the rated classes in all four Re-REMIC transactions benefit from excess spread, overcollateralization and a reserve fund, the transactions also contain two characteristics which increase their sensitivity to the revised stress assumptions. First, principal is paid pro-rata across senior and subordinate classes. This feature results in a reduction of the subordination for senior classes over time and can increase their vulnerability to higher losses later in a transaction's life. Second, the transactions all have varying degrees of basis risk as a result of fixed-rate coupons on the underlying bonds collateralizing floating-rate coupons in the Re-REMIC. Bayview Financial Asset Trust 2003-SSR1 has generally performed within expectations to date, with the underlying mortgage pools experiencing relatively low delinquency rates and limited losses to date. Despite more stressful assumptions and the pro-rata principal pay structure of the Re-REMIC, the ratings of the A and M classes were affirmed due to the credit protection provided by the overcollateralization and reserve fund. The performance of the mortgage pools underlying Bayview Financial Asset Trust 2004-SSR1 has been worse than expected and resulted in increased loss assumptions. Additionally, due to the revised interest rate assumptions and basis risk within the transaction, all classes are projected to incur unrecovered interest shortfalls in all stressed scenarios. As a result of the projected interest shortfalls, the ratings were capped at 'BBsf' based on Fitch's 'Criteria for Rating Caps in Global Structured Finance Transactions' (June 23, 2010) and remain on Outlook Negative. Bayview Financial Asset Trust 2007-SSR1 exibits significant sensitivity to interest rate assumptions since 80% of the underlying classes are fixed rate, while the Re-REMIC classes are floating rate. As a result of more stressful interest rate stresses and decreased servicer advancing, there is less projected excess spread to cover losses and pay interest in the future. The projected reduction in excess spread to cover losses along with the pro-rata pay structure resulted in downgrades for the class A and class M1. In addition, the class A experienced unrecovered projected interest shortfalls in the 'BBBsf' stress scenario, which resulted in a rating cap of 'BBsf'. The Class A in Bayview Financial Asset Trust 2007-SSR2 was downgraded to 'CCsf' based on the increased likelihood of default and the poor collateral performance to date. The recovery rating was revised to 'RR4' from 'RR2' as a result of the reduction in projected cash flow expected to be recovered in the 'Bsf' stress scenario. To review ratings on the Re-REMIC transactions, Fitch first determined each collateral pool's projected base-case and rating stressed default and loss severity assumptions for the underlying transactions. Due to the atypical characteristics of the underlying mortgage pool, Fitch did not use its proprietary loan- level residential mortgage model when projecting mortgage pool losses. Given the similarities in the collateral's default behavior with subprime mortgage loans of similar vintages, Fitch used a performance-adjusted subprime vintage average default assumption for performing loans and assumed 100% probability of default for all delinquent loans. Loss severities for the underlying mortgage loans are generally materially higher than typical subprime loans. Fitch assumed 100% severity for all second lien and unsecured pools and 90% severity for all first lien pools. In addition, Fitch assumed the servicers would not advance delinquent payments on second lien loans or on first lien loans that are in foreclosure or REO. Finally, adjustments were made to account for small pool risk in the underlying transactions based on Fitch's small pool policy, 'Considering Small Loan Count Tail Risk in U.S. RMBS' (Nov. 16, 2010). After determining each underlying mortgage pools' projected base- case and stressed scenario loss assumptions, Fitch performs cash flow analysis to ascertain the amount of bond recovery and loss that the Re-REMIC classes take in the 'AAA-B' rating stresses. Fitch's cash flow assumptions are described in the April 28, 2010 report, 'U.S. RMBS Surveillance Criteria'. Fitch's Cash flow Criteria is described in the report 'U.S RMBS Cash Flow Analysis Criteria' published on June 28, 2010. Following a review of the cash flow results, Fitch affirmed or downgraded the ratings of the Re-REMIC classes based on each bond's credit risk and likelihood of receiving full payment of interest. In addition to the long-term credit rating on each rated class, Fitch has also revised the Recovery Ratings on the three bonds which are expected to incur impairment. These actions were reviewed by a committee of Fitch analysts. BEAR STEARNS: Fitch Downgrades 10 Classes of BSCMSI 2005-PWR8 ------------------------------------------------------------- Fitch Ratings has downgraded 10 classes of Bear Stearns Commercial Mortgage Securities Trust commercial mortgage pass-through certificates series 2005-PWR8 due to further performance deterioration. The downgrades reflect an increase in Fitch expected losses across the pool. Fitch modeled losses of 6.7% of the remaining pool; expected losses on the original pool balance total 7.4%, including losses already incurred to date. Fitch has designated 41 loans (22.5%) as Fitch Loans of Concern, which includes six specially serviced loans (3.8%). At Fitch's last review, there were seven specially serviced loans (4.5%). Currently, Fitch expects classes K through M may be fully depleted from eventual losses associated with the specially serviced loans. As of the April 2011 distribution date, the pool's aggregate principal balance has paid down by 11.8% to $1.56 billion from $1.77 billion at issuance. Seven loans (7.7%) have defeased since issuance. Interest shortfalls are currently affecting classes H through Q. The largest contributor to expected losses is the Marriott Troy loan (2.3% of the pool), which is secured by a 350-key full- service hotel in Troy, MI. In 2010, servicer-reported NOI was down by 67% compared with the issuer's underwriting. Despite the insufficiency of property cash flow to cover debt service, the loan remains current and a full cash trap is in place. The second largest contributor to expected losses is the specially-serviced Union Centre Pavilion loan (1%), which is secured by an approximately 146,000-sf anchored retail center built in 2001, located in a northern suburb of Cincinnati, OH. The loan transferred to special servicing in February 2009 for imminent default, and foreclosure was filed in May 2010. Based on a 2010 appraisal, Fitch expects significant losses. Upon the asset becoming real estate owned (REO), the special servicer has indicated that a new appraisal will be ordered. The third largest contributor to expected losses is the Malibu Creek Plaza loan (1.4%), which is secured by an approximately 51,000-sf unanchored retail center in Malibu, CA, built in 1966 and located off of the Pacific Coast Highway. The center's largest tenants include Guido's Restaurant, Banana Republic, and Wells Fargo. An April 2011 rent roll indicates that the center is 75% leased, down from 100% at issuance. In addition, servicer-reported NOI was 55% lower than the issuer's original underwriting, based on annualizing NOI for the nine months ended Sept. 30, 2010. However, the loan remains current. Fitch downgrades these classes and revises the Loss Severity (LS) ratings, Recovery Ratings (RRs), and Outlooks: -- $37.5 million class B to 'BBB-sf/LS5' from 'BBBsf/LS5'; Outlook to Stable from Negative; -- $17.7 million class C to 'BBsf/LS5' from 'BBB-sf/LS5'; Outlook Negative; -- $26.5 million class D to 'Bsf/LS5' from 'BBsf/LS5'; Outlook Negative; -- $17.7 million class E to 'CCCsf/RR1' from 'BBsf/LS5'; -- $19.9 million class F to 'CCCsf/RR1' from 'Bsf/LS5'; -- $15.4 million class G to 'CCCsf/RR1' from 'B-sf/LS5'; -- $17.7 million class H to 'CCsf/RR1' from 'B-sf/LS5'; -- $8.8 million class J to 'CCsf/RR5' from 'B-sf/LS5'; -- $4.4 million class K to 'Csf/RR6' from 'B-sf/LS5'; -- $6.6 million class L to 'Csf/RR6' from 'B-sf/LS5'. Fitch also affirms these classes and revises the Rating Outlooks: -- $45.3 million class A-3 at 'AAAsf/LS1'; Outlook Stable; -- $113.7 million class A-AB at 'AAAsf/LS1'; Outlook Stable; -- $1,020.4 million class A-4 at 'AAAsf/LS1'; Outlook Stable; -- $50 million class A-4FL at 'AAAsf/LS1'; Outlook Stable; -- $150 million class A-J at 'Asf/LS3'; Outlook to Stable from Negative. The class M, N, and P certificates are affirmed at 'Dsf/RR6'. Classes A-1 and A-2 have paid in full. Fitch does not rate class Q. Fitch withdraws the ratings on the interest-only classes X-1 and X-2. BEAR STEARNS: Fitch Takes Various Actions on Series 2003-Top10 -------------------------------------------------------------- Fitch Ratings has upgraded two classes and downgraded four classes of Bear Stearns Commercial Mortgage Securities Trust commercial mortgage pass-through certificates, series 2003-Top10. The downgrades reflect Fitch expected losses which are expected to significantly reduce the balance of the unrated class O. The upgrades reflect increased credit enhancement to senior classes as a result of paydown and defeasance along with minimal Fitch expected losses. In addition, Fitch applied additional cap rate stresses which still allowed for upgrades. Fitch modeled losses of 2.29% of the remaining pool. Fitch has designated 12 loans (6.6%) as Fitch Loans of Concern, which includes 3 specially serviced loans (1.6%). As of the April 2011 distribution date, the pool's aggregate principal balance has been paid down by approximately 22% to $949.6 million from $1.2 billion at issuance. Twenty-seven loans, representing 17.27% of the transaction are defeased. Interest shortfalls are affecting the unrated class O. The largest contributor to loss (.66% of pool balance) is a hotel located in San Antonio, Texas. The loan remains current despite declining performance. The servicer reported year-end (YE) 2010 debt service coverage ratio (DSCR) was .40 times (x) and year-end occupancy of 40%. While performance has improved according to most recent trailing performance data, the property still does not generate sufficient income to service the debt. The next largest contributor to losses (.27%) is an office property located in Citrus Heights, CA. The loan transferred to the special servicer on March 15, 2011 due to imminent default and the borrower's request to restructure the debt. The loan is now 60 days delinquent. The most recent servicer reported occupancy is 68% as of September 2010 and .70x DSCR as of December 2009. The special servicer is reviewing the borrowers request for a debt restructure. Fitch downgrades these classes and revises the Outlooks, Loss Severity (LS) ratings, and assigns Recovery Ratings (RRs): -- $6.1 million class K to 'B/LS5' from 'BB-/LS5'; Outlook Negative; -- $4.5 million class L to 'B-/LS5' from 'B+/LS5'; Outlook Negative; -- $3 million class M to 'CCC/RR1' from 'B/LS5'; -- $3 million class N to 'CC/RR1' from 'B-/LS5'. Fitch upgrades these classes and revises LS ratings: -- $34.8 million class B to 'AAA/LS3' from 'AA+/LS1'; Outlook Stable; -- $37.9 million class C to 'AA/LS3' from 'A/LS1'; Outlook Stable; Fitch affirms and revises Outlooks on these classes: -- $12.1 million class D at 'A-/LS4'; Outlook Positive; -- $15.2 million class E at 'BBB+/LS4'; Outlook positive; -- $41.4 million class A-1 at 'AAA/LS1'; Outlook Stable; -- $749.2 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $9.1 million class F at 'BBB/LS5'; Outlook Stable; -- $7.6 million class G at 'BBB-/LS5'; Outlook Stable; -- $10.6 million class H at 'BB+/LS4'; Outlook Stable; -- $4.5 million class J at 'BB/LS5'; Outlook Stable. Fitch does not rate the $12.1 million class O. Fitch withdraws the rating on the interest-only classes X-1 and X-2. BEAR STEARNS: Moody's Affirms 15 CMBS Classes of BSCMS 2002-PBW1 ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 15 classes of Bear Stearns Commercial Mortgage Securities Trust Commercial Mortgage Pass-Through Certificates, Series 2002-PBW1: -- Cl.r A-1, Affirmed at Aaa (sf); previously on Oct 3, 2002 Definitive Rating Assigned Aaa (sf) -- Cl.r A-2, Affirmed at Aaa (sf); previously on Oct 3, 2002 Definitive Rating Assigned Aaa (sf) -- Cl.r X-1, Affirmed at Aaa (sf); previously on Oct 3, 2002 Definitive Rating Assigned Aaa (sf) -- Cl.r B, Affirmed at Aaa (sf); previously on Apr 6, 2006 Upgraded to Aaa (sf) -- Cl.r C, Affirmed at Aaa (sf); previously on Sep 20, 2007 Upgraded to Aaa (sf) -- Cl.r D, Affirmed at Aaa (sf); previously on Sep 20, 2007 Upgraded to Aaa (sf) -- Cl.r E, Affirmed at Aaa (sf); previously on Sep 25, 2008 Upgraded to Aaa (sf) -- Cl.r F, Affirmed at Aa2 (sf); previously on Sep 25, 2008 Upgraded to Aa2 (sf) -- Cl.r G, Affirmed at Ba1 (sf); previously on Sep 22, 2010 Downgraded to Ba1 (sf) -- Cl.r H, Affirmed at B2 (sf); previously on Sep 22, 2010 Downgraded to B2 (sf) -- Cl.r J, Affirmed at Caa3 (sf); previously on Sep 22, 2010 Downgraded to Caa3 (sf) -- Cl.r K, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded to C (sf) -- Cl.r L, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded to C (sf) -- Cl.r M, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded to C (sf) -- Cl.r N, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded to C (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 6.4% of the current balance. At last review, Moody's cumulative base expected loss was 6.7%. Moody's stressed scenario loss is 9.0% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodology used in this rating was "CMBS: Moody's Approach to Rating U.S. CMBS Fusion Transactions", published in April, 2005. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 22, 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 April 11, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 41% to $547.6 million from $921.2 million at securitization. The Certificates are collateralized by 101 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top ten loans representing 26% of the pool. The pool contains one loan with an investment grade credit estimate that represents 4% of the pool. Twenty loans, representing 33% of the pool, have defeased and are collateralized with U.S. Government securities. Thirty-one loans, representing 26% 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's (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. One loan has been liquidated from the pool, resulting in an aggregate realized loss of $11 million (90% loss severity). Six loans, representing 7% of the pool, are currently in special servicing. The master servicer has recognized an aggregate $23.5 million appraisal reduction for six of the specially serviced loans. Moody's has estimated an aggregate $25.5 million loss (69% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for seven poorly performing loans representing 4% of the pool and has estimated a $4.7 million aggregate loss (20% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 and partial/full year 2010 operating results for 100% and 91% of the pool's non-defeased loans, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 74% compared to 72% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.6%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.53X and 1.58X, respectively, compared to 1.73X and 1.56X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. 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 the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 38 compared to 42 at Moody's prior review. The loan with a credit estimate is the RREEF Textron Portfolio Loan ($20.4 million -- 3.7% of the pool), which is secured by four properties, including industrial, multifamily, retail and office buildings, located in the District of Columbia, Florida, Texas and Washington. Moody's underlying rating and stressed DSCR are Aaa and 3.90X, respectively, compared to Aaa and 3.17X at last review. The top three performing conduit loans represent 10% of the pool balance. The largest loan is the Mountain Square Shopping Center Loan ($21.7 million -- 4% of the pool), which is secured by a 273,189 square foot (SF) office building located in Upland, California. The property was 80% leased as of December 2010 compared to 83% as of December 2009. Moody's LTV and stressed DSCR are 83% and 1.24X, respectively, compared to 78% and 1.32X at last review. The second largest loan is the CNL Retail Portfolio Loan ($18.7 million -- 3.4% of the pool), which is secured by five freestanding single-tenant retail properties located in Florida (4) and Virginia. The portfolio was 100% leased as of December 2010, the same at securitization. Borders, which occupies one of the properties (30,000 SF -- 14% of the portfolio's net rentable area), announced it would vacate prior to its November 2015 lease expiration due to bankruptcy. Moody's LTV and stressed DSCR are 61% and 1.73X, respectively, compared to 55% and 1.91X at last review. The third largest loan is the North Decatur Shopping Center Loan ($12.1 million -- 2.2% of the pool), which is secured by a 136,000 SF retail center located in Atlanta, Georgia. The property was 87% leased as of December 2010 compared to 94% as of December 2009. Performance has declined to the decline in occupancy. Moody's LTV and stressed DSCR are 112% and 0.91X, respectively, compared to 92% and 1.12X at last review. BEAR STEARNS: Moody's Cuts Rating on 2002 RMBS Class I-B-4 to 'C' ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 120 tranches and confirmed the rating of one tranche from 11 prime jumbo deals issued by Bear Stearns ARM Trust. The collateral backing these deals consists primarily of first-lien, adjustable rate prime jumbo residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of prime jumbo pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. Moody's previous rating actions considered a loss allocation limitation defined in the prospectus supplement which provides protection to the senior certificates backed by stronger performing groups. However, as per the pooling and servicing agreement (PSA), the language does not indicate a loss allocation limitation in these deals. Moody's has confirmed with the Trustee that it is employing this interpretation. As such, all senior certificates will be allocated losses from the related collateral group without regard to any limits, and Moody's has adjusted the ratings accordingly. The principal methodology used in these ratings is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. Other methodologies used include "Pre-2005 US RMBS Surveillance Methodology" published in January 2011, which accounts for the deteriorating performance and outlook. To assess the rating implications of the updated loss levels on prime jumbo RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R) (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include fifty four different combinations comprising of six loss levels, three loss timing curves and three prepayment curves. For ratings implied Aa3 and above, an additional prepayment curve is run to assess resilience to a high prepayment scenario. The approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that varies from 3% to 5% on average. The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans with a base rate of new delinquency of 3.00%, the adjusted rate of new delinquency would be 3.03%. in addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.75 to 2.5 for current delinquencies ranging from less than 2.5% to greater than 10% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Bear Stearns ARM Trust 2002-11 Cl. I-M-1, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. I-B-1, Downgraded to B1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. I-B-2, Downgraded to Caa2 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade Cl. I-B-3, Downgraded to Ca (sf); previously on Apr 15, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. I-B-4, Downgraded to C (sf); previously on Apr 15, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2002-12 Cl. I-A-1, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. I-A-7, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. I-B-1, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. I-B-2, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. I-B-3, Downgraded to B3 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2003-1 Cl. I-A-1, Downgraded to Aa1 (sf); previously on Mar 10, 2003 Assigned Aaa (sf) Cl. II-A-1, Downgraded to Aa1 (sf); previously on Mar 10, 2003 Assigned Aaa (sf) Cl. III-A-1, Downgraded to Aa1 (sf); previously on Mar 10, 2003 Assigned Aaa (sf) Cl. IV-A-1, Downgraded to Aa1 (sf); previously on Mar 10, 2003 Assigned Aaa (sf) Cl. V-A-1, Downgraded to Aa1 (sf); previously on Mar 10, 2003 Assigned Aaa (sf) Cl. VI-A-1, Downgraded to Aa1 (sf); previously on Mar 10, 2003 Assigned Aaa (sf) Cl. VII-A-1, Downgraded to Aa1 (sf); previously on Mar 10, 2003 Assigned Aaa (sf) Cl. VIII-A-1, Downgraded to Aa1 (sf); previously on Mar 10, 2003 Assigned Aaa (sf) Cl. M, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. B-1, Downgraded to Ba3 (sf); previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. B-2, Downgraded to Caa2 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade Cl. B-3, Downgraded to C (sf); previously on Apr 15, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2003-3 Cl. II-A-1, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. II-A-2, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. II-A-3, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. II-A-4, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. III-A-1, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. III-A-2, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. III-A-3, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. IV-A-1, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. B-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. B-2, Downgraded to B1 (sf); previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. B-3, Downgraded to Caa3 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2003-4 Cl. I-A-1, Downgraded to A3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. II-A-1, Downgraded to A3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. III-A-1, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. III-X-A-1, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. B-1, Downgraded to Ba3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. B-2, Downgraded to Caa2 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. B-3, Downgraded to C (sf); previously on Apr 15, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2003-5 Cl. I-A-1, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. I-A-2, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. I-A-3, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. II-A-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. I-B-1, Downgraded to B1 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade Cl. I-B-2, Downgraded to Caa3 (sf); previously on Apr 15, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. I-B-3, Downgraded to C (sf); previously on Apr 15, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2003-6 Cl. I-A-1, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. I-A-2, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. I-A-3, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. II-A-1, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. I-B-1, Downgraded to B3 (sf); previously on Apr 15, 2010 A3 (sf) Placed Under Review for Possible Downgrade Cl. I-B-2, Downgraded to Caa3 (sf); previously on Apr 15, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Cl. I-B-3, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2003-7 Cl. I-A, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. II-A, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. III-A, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. IV-AM, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. IV-A, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. V-A, Downgraded to A3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. VI-A, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. VII-A, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. VIII-A, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. IX-A, Downgraded to A3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. B-1, Downgraded to Ba3 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. B-2, Downgraded to Caa3 (sf); previously on Apr 15, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. B-3, Downgraded to C (sf); previously on Apr 15, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2003-8 Cl. I-A-1, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. I-A-2, Downgraded to Ba1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. II-A-1, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. II-A-2, Downgraded to Ba1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. III-A, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. IV-A-1, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. IV-A-2, Downgraded to Ba1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. V-A, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. B-1, Downgraded to Caa2 (sf); previously on Apr 15, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. B-2, Downgraded to Ca (sf); previously on Apr 15, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Cl. B-3, Downgraded to C (sf); previously on Apr 15, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Cl. B-4, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2003-9 Cl. I-A-1, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. I-A-2, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. I-A-3, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. II-A-1, Downgraded to A2 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. II-A-2, Downgraded to A2 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. II-A-3, Downgraded to A2 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. III-A-1, Downgraded to A2 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. III-A-2, Downgraded to A2 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. III-A-3, Downgraded to A2 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. IV-A-1, Downgraded to A2 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. IV-X-1, Downgraded to A2 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. B-1, Downgraded to Ba3 (sf); previously on Apr 15, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. B-2, Downgraded to Ca (sf); previously on Apr 15, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. B-3, Downgraded to C (sf); previously on Apr 15, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2004-1 Cl. I-1-A-1, Downgraded to B1 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade Cl. I-1-A-2, Downgraded to B1 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade Cl. I-1-A-3, Downgraded to B1 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade Cl. I-2-A-1, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. I-2-A-2, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. I-2-A-3, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. I-2-A-4A, Downgraded to Ba1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. I-2-A-4M, Downgraded to B1 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. I-2-A-5, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. I-3-A-1, Downgraded to Ba3 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade Cl. I-3-A-2, Downgraded to Ba3 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade Cl. I-3-A-3, Downgraded to Ba3 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade Cl. I-4-A-1, Downgraded to Ba3 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade Cl. I-4-A-2, Downgraded to Ba3 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade Cl. I-5-A-1, Downgraded to B1 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade Cl. I-5-A-2, Downgraded to B1 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade Cl. I-5-A-3, Downgraded to B1 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade Cl. I-6-A-1, Downgraded to Ba3 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade Cl. I-7-A-1, Downgraded to Ba1 (sf); previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. I-B-1, Downgraded to Ca (sf); previously on Apr 15, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. I-B-2, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade Cl. I-B-3, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade Cl. II-1-A-1, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. II-2-A-1, Downgraded to Baa3 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade Cl. II-3-A-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade Cl. II-B-1, Downgraded to B3 (sf); previously on Apr 15, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. II-B-2, Downgraded to Ca (sf); previously on Apr 15, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. II-B-3, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF244697 A list of updated estimated pool losses and sensitivity analysis is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243269 BEAR STEARNS: Moody's Upholds Ratings on 25 Classes --------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of 25 classes of Bear Stearns Commercial Mortgage Securities Inc, Commercial Mortgage Pass-Through Certificates, Series 2007-PWR15: -- Cl. A-2, Affirmed at Aaa (sf); previously on Apr 9, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Apr 9, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-AB, Affirmed at Aaa (sf); previously on Apr 9, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Apr 9, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-4FL, Affirmed at Aaa (sf); previously on Apr 9, 2007 Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Apr 9, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on Apr 9, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. X-2, Affirmed at Aaa (sf); previously on Apr 9, 2007 Assigned Aaa (sf) -- Cl. A-M, Affirmed at A1 (sf); previously on Feb 11, 2010 Downgraded to A1 (sf) -- Cl. A-MFL, Affirmed at A1 (sf); previously on Feb 11, 2010 Downgraded to A1 (sf) -- Cl. A-J, Affirmed at Ba2 (sf); previously on Feb 11, 2010 Downgraded to Ba2 (sf) -- Cl. A-JFL, Affirmed at Ba2 (sf); previously on Feb 11, 2010 Downgraded to Ba2 (sf) -- Cl. B, Affirmed at B3 (sf); previously on Feb 11, 2010 Downgraded to B3 (sf) -- Cl. C, Affirmed at Caa2 (sf); previously on Feb 11, 2010 Downgraded to Caa2 (sf) -- Cl. D, Affirmed at Ca (sf); previously on Feb 11, 2010 Downgraded to Ca (sf) -- Cl. E, Affirmed at C (sf); previously on Feb 11, 2010 Downgraded to C (sf) -- Cl. F, Affirmed at C (sf); previously on Feb 11, 2010 Downgraded to C (sf) -- Cl. G, Affirmed at C (sf); previously on Feb 11, 2010 Downgraded to C (sf) -- Cl. H, Affirmed at C (sf); previously on Feb 11, 2010 Downgraded to C (sf) -- Cl. J, Affirmed at C (sf); previously on Feb 11, 2010 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on Feb 11, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Feb 11, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Feb 11, 2010 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on Feb 11, 2010 Downgraded to C (sf) -- Cl. O, Affirmed at C (sf); previously on Feb 11, 2010 Downgraded to C (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 9.9% of the current balance. At last review, Moody's cumulative base expected loss was 11.4%. Moody's stressed scenario loss is 26.0% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodologies used in this rating were: "CMBS: Moody's Approach to Rating Fusion Transactions" published in April 2005. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 31 compared to 33 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated February 11, 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 April 11, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 7% to $2.62 billion from $2.81 billion at securitization. The Certificates are collateralized by 195 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans representing 41% of the pool. Two loans, representing 8% of the pool, have investment grade credit estimates. The pool does not contain any defeased loans. Thirty-nine loans, representing 17% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Six loans have been liquidated from the pool, resulting in a realized loss of $19.0 million (12% loss severity). Currently fifteen loans, representing 17% of the pool, are in special servicing. The largest specially serviced loan is the World Market Center II Loan ($345.0 million -- 13.2% of the pool), which is secured by a 1.4 million square foot (SF) furniture showroom and design center located in Las Vegas, Nevada. The loan was transferred to special servicing in September 2009 due to imminent default. In recent months, the borrower formed a venture to acquire a competing furniture showroom space in High Point, North Carolina and to restructure debt secured by the World Market Center, including the subject loan. Moody's analysis incorporated a lower expected loss for the loan than last review but accounted for the significant amount of uncertainty surrounding the resolution of the loan. The remaining fourteen specially serviced properties are secured by a mix of property types. Moody's estimates an aggregate $145.6 million loss for the specially serviced loans (34% expected loss on average). Moody's has assumed a high default probability for four poorly performing loans representing 1% of the pool and has estimated an aggregate $8.5 million loss (24% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 operating results for 85% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 114%, the same as last review. Moody's net cash flow reflects a weighted average haircut of 7% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.27X and 0.91X, respectively, compared to 1.21X and 0.90X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit estimate is the AMB-SGP, L.P. Portfolio Loan ($149.1 million -- 5.7% of the pool), which is secured by 20 industrial properties totaling 6.5 million SF located in California (42% of the portfolio by balance), Georgia (17%), Illinois (16%), New Jersey (16%), New York (8%) and Texas (1%). The loan represents an 80% pari-passu interest in a $186.4 million A-note. The property is also encumbered by a non-pooled $105 million interest only B-note. The slight deterioration in performance due to a decline in occupancy to 85% in June 2010 from 91% in the same period a year earlier was offset by the amortization of the loan. Moody's underlying rating and stressed DSCR are Baa1 and 1.52X, respectively, compared to Baa1 and 1.50X at last review. The second loan with a credit estimate is the Commerce Crossings Nine Loan ($14.5 million -- 0.6% of the pool), which is secured by a 500,000 SF industrial building located in Louisville, Kentucky that is fully leased to Solectron USA, a subsidiary of Flextronics International Ltd , until June 2016. Moody's underlying rating and stressed DSCR are Baa2 and 1.38X, respectively, compared to Baa3 and 1.36X at last review. The top three conduit loans represent 10% of the pool. The largest conduit loan is the 1325 G Street Loan ($100.0 million -- 3.8% of the pool), which is secured by a 306,563 SF office property located in Washington, D.C. The loan is interest only for the full term. The property's tenant base consists of several government entities including the Neighborhood Reinvestment Corp (17% of the net rentable area (NRA); lease expiration May 13, 2013, and the FBI (14% of the NRA; lease expiration unknown). As of June 2010, the property was 94% leased, which was in-line with last review. Performance improved since last review due to rent steps and stable tenancy. Moody's LTV and stressed DSCR are 105% and 0.88X, respectively, compared to 110% and 0.84X at last review. The second largest conduit loan is the Cherry Hill Town Center Loan ($88.0 million -- 3.4% of the pool), which is secured by a 511,306 SF retail center located in Cherry Hill, New Jersey -- a suburb of Philadelphia. Major tenants include Home Depot (30% of the NRA; lease expiration January 31, 2031), Wegmans Food Markets (25% of the NRA; lease expiration February 28,2031) and Bed Bath & Beyond (17% of the NRA; lease expiration January 31, 2032). The property was 99% leased in June 2010, which is in-line with last review and securitization. Only 2% of tenant leases expire in the next 24 months. Performance has been stable. Moody's LTV and stressed DSCR are 104% and 0.86X, respectively, compared to 108% and 0.83X at last review. The third largest conduit loan is the Renaissance Orlando at Sea World Loan ($83.3 million -- 3.2% of the pool), which is secured by a 778 room full-service hotel located in Orlando, Florida. The property underwent a $27 million ($34,700 per key) renovation in 2007. After a significant decline from the prior year in 2009, RevPAR and occupancy stabilized in 2010 at $83.37 and 64%, respectively. Moody's analysis reflects an outlook for the hotel sector that has improved since last review. Moody's LTV and stressed DSCR are 94% and 1.24X, respectively, compared to 119% and 0.98X at last review. BEAR STEARNS: S&P Lowers Ratings on 2 Classes of Certs. to 'D' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D (sf)' from 'CCC- (sf)' on the class G and H certificates from Bear Stearns Commercial Mortgage Securities Trust 2007-PWR15, a U.S. Commercial Mortgage Backed Securities (CMBS) transaction. The lowered ratings on these classes reflect accumulated interest shortfalls resulting from appraisal subordinate entitlement reduction (ASER) amounts related to 13 ($416.4 million, 15.9% of the pooled trust balance) of the 15 assets ($441.0 million, 16.8%) that are currently with the special servicer, C-III Asset Management LLC (C-III), as well as special servicing fees. "The downgrades also reflect our expectation that these classes will experience credit support erosion and that the class H certificates will experience principal losses due to the modification of the World Market Center II loan," S&P noted. As of the April 11, 2011, trustee remittance report, appraisal reduction amounts (ARAs) totaling $125.9 million were in effect for 14 loans. The total reported ASER amount was $345,328 and the reported cumulative ASER amount was $4.49 million. The total reported ASER amount of $651,953 was partially offset by a negative ASER amount of $306,625 related to one liquidated loan. Standard & Poor's considered the total ASER amounts of $651,953, which are based on Member of the Appraisal Institute (MAI) appraisals, as well as current special servicing fees, in determining its rating actions. "According to the April 2011 report, interest shortfalls totaling $413,291 affected all of the classes subordinate to and including class G. Classes G and H have had accumulated interest shortfalls outstanding for the past eight months, and we expect these shortfalls to remain outstanding for the foreseeable future," S&P stated. The majority of the recurring interest shortfalls are due to the World Market Center II loan ($345.0 million, 13.2%). According to the April 2011 remittance report, the reported ASER amount was $469,391 and the reported cumulative ASER amount was $3.2 million. An ARA totaling $86.25 million is in effect for the World Market Center II loan. The World Market Center II loan is the largest loan in the trust and the largest loan with the special servicer. The loan is secured by a 1.4 million-sq.-ft. special-purpose property in northeast Las Vegas, Nev. The loan, which is 90-plus- days delinquent, was transferred to the special servicer in September 2009 due to imminent default. According to C-III, the loan will be assumed by a new borrower and modified. The assumption of the loan will be achieved via a transfer of equity interests in the borrower, in which Bain Capital LLC, and Oaktree Capital Management L.P. will own the majority share (47% each) of the borrower. The modification includes a significant write-down of the loan totaling approximately $72 million, which consists of $65.0 million in principal plus $6.9 million representing cash required to bring the loan current. According to the special servicer, the borrower will pay all past due interest payments through April 29, 2011, and pay additional impounds on replacement reserves to bring the loan current. The loan will subsequently be split into a $73 million A note and $200 million B note. According to the special servicer, C-III will need to pledge a portion in the World Market Center Phase 3 asset as additional collateral. BEAR STEARNS: S&P Lowers Ratings on Class P CMBS to 'CCC' --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes of commercial mortgage-backed securities (CMBS) from Bear Stearns Commercial Mortgage Securities Trust 2004-PWR6. "In addition, we affirmed our ratings on 13 other classes from the same transaction," S&P said. "Our rating actions follow our analysis of the credit characteristics of all of the remaining loans in the transaction using our conduit/fusion criteria, the deal structure, and the liquidity available to the trust. We tempered our rating actions because the trust has only experienced a 12.1% deleveraging of its pool balance to date (current loan count is 90, compared with 95 at issuance), and one of the five loans liquidated at an 88.0% loss severity. We also considered the reported volume of loans on the master servicers' combined watchlist (23 loans, $132.6 million, 14.1%)," S&P related. "Our downgrades reflect credit support erosion that we anticipate will occur following the resolution of the two specially serviced loans ($6.8 million, 0.7%). The rating affirmations reflect subordination and liquidity support levels that we consider to be consistent with our outstanding ratings on these classes. We affirmed our ratings on the class X-1 and X-2 interest-only (IO) certificates based on our current criteria," according to S&P. Using servicer-provided financial information, Standard & Poor's calculated an adjusted debt service coverage (DSC) of 1.55x and an adjusted loan-to-value (LTV) ratio of 84.3% for the pool. "We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 1.19x and an LTV ratio of 107.9%. The implied defaults and loss severity under the 'AAA' scenario were 30.5% and 30.3%. The DSC and LTV calculations exclude four defeased loans ($83.8 million, 8.9%) and the transaction's two specially serviced loans ($6.8 million, 0.7%). We separately estimated losses for the two specially serviced loans and included the estimates in our 'AAA' scenario implied default and loss figures," S&P stated. Specially Serviced Loans As of the April 11, 2011, trustee remittance report, two loans ($6.8 million, 0.7%) in the pool were with the special servicer, C-III Asset Management LLC (C-III). The Marketplace West Phase I loan ($3.6 million, 0.4%), the larger of these two loans, is secured by a 31,481-sq.-ft. retail property in Otsego, Minn. The loan was transferred to the special servicer on April 19, 2010, due to payment default and is now in foreclosure. Reported DSC was 0.71x as of December 2009. There is a $1.2 million appraisal reduction amount (ARA) in effect against the loan. Standard & Poor's anticipates a significant loss upon the eventual disposition of this loan. The Hunter Technology Park loan ($3.2 million, 0.3%), the remaining specially serviced loan, is secured by a 40,158-sq.-ft. industrial property in Riverside, Calif. The loan was transferred to C-III on June 11, 2009, due to imminent default, and is 90- plus-days delinquent. Current financial information was not available. C-III stated that it is pursuing foreclosure and receivership. There is a $452,911 ARA in effect against the asset. Standard & Poor's anticipates a moderate loss upon the eventual disposition of this asset. Transaction Summary As of the April 11, 2011, trustee remittance report, the aggregate pooled trust balance was $938.0 million, 87.9% of the balance at issuance. Ninety loans remain in the pool, down from 95 at issuance. The master servicers, Prudential Asset Resources Inc. and Wells Fargo Bank N.A., provided financial information for 99.2% of the nondefeased loans in the pool, 78.7% of which was interim- or full-year 2010 data, with the balance reflecting interim- or full-year 2009 data. "We calculated a weighted average DSC of 1.59x for the pool based on the reported figures, which excluded four defeased loans ($83.8 million, 8.9%). Twenty-three loans ($132.6 million, 14.1%) are on the master servicers' combined watchlist, including one of the top 10 nondefeased loans. Fourteen loans ($97.1 million, 10.4%) have reported DSCs below 1.10x, and 10 of these loans ($85.0 million, 9.1%) have reported DSCs of less than 1.00x," S&P stated. Summary of Top 10 Real Estate Loans The top 10 loans secured by real estate have an aggregate outstanding pooled balance of $429.9 million (45.8%). "Using servicer-reported numbers, we calculated a weighted average DSC of 1.66x for the top 10 nondefeased loans. Our adjusted DSC and LTV figures were 1.58x and 85.5%," S&P stated. The Eton Collection loan ($51.5 million, 5.5%) is the third- largest nondefeased loan in the pool and the largest loan on the master servicers' combined watchlist. The loan is secured by a 286,643-sq.-ft. retail property in Woodmere, Ohio. The loan appears on the master servicers' combined watchlist due to a low reported DSC. As of September 2010, reported DSC and occupancy were 0.99x and 93.3%. Standard & Poor's stressed the loans in the pool according to its criteria, and the analysis is consistent with its lowered and affirmed ratings. Ratings Lowered Bear Stearns Commercial Mortgage Securities Trust 2004-PWR6 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) H BB+ (sf) BBB-(sf) 3.49 J BB (sf) BB+ (sf) 3.21 K BB- (sf) BB (sf) 2.78 L B+ (sf) BB- (sf) 2.21 M B (sf) B+ (sf) 1.64 N CCC+ (sf) B (sf) 1.22 P CCC (sf) B- (sf) 1.07 Ratings Affirmed Bear Stearns Commercial Mortgage Securities Trust 2004-PWR6 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-3 AAA (sf) 22.55 A-4 AAA (sf) 22.55 A-5 AAA (sf) 22.55 A-6 AAA (sf) 22.55 A-J AAA (sf) 15.15 B AA (sf) 11.60 C AA- (sf) 10.46 D A (sf) 8.75 E A- (sf) 7.62 F BBB+ (sf) 6.05 G BBB (sf) 5.06 X-1 AAA (sf) N/A X-2 AAA (sf) N/A N/A -- Not applicable. BMI CLO: S&P Gives 'BB' Rating on Class D Notes ----------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to BMI CLO I/BMI CLO I Corp.'s $366.0 million floating- rate notes. The transaction is a cash flow collateralized loan obligation securitization of a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of May 10, 2011. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P'S assessment of: * The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. * The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. * The transaction's legal structure, which is expected to be bankruptcy remote. * The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. * The investment manager's experienced management team. * S&P's projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.30%-12.35%. * The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. Preliminary Ratings Assigned BMI CLO I/BMI CLO I Corp. Class Rating Amount (mil. $) A-1 AAA (sf) 259 A-2 AA (sf) 27 B (deferrable) A (sf) 35 C (deferrable) BBB (sf) 22 D (deferrable) BB (sf) 23 Subordinated notes NR 41.7 NR -- Not rated. CALCULUS CMBS: Moody's Downgrades Resecuritization Trust Rating --------------------------------------------------------------- Moody's has downgraded one class of Notes issued by CALCULUS CMBS Resecuritization Trust 2007, dated 3/27/2007 due to deterioration in the credit quality of the underlying portfolio of reference obligations as evidenced by an increase in the weighted average rating factor and a decrease in the weighted average recovery rate since last review. The rating action is the result of Moody's on- going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. Moody's rating action is: -- Cl.r Series 2007-1 Trust Units, Downgraded to Caa3 (sf); previously on May 13, 2010 Downgraded to B2 (sf) Ratings Rationale CALCULUS CMBS Resecuritization Trust 2007, dated 3/27/2007 is a synthetic CRE CDO transaction backed by a portfolio of credit default swaps referencing $1.250 billion par amount of commercial mortgage backed securities (CMBS) debt (100.0% of the pool balance). Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). 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 has 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 521 compared to 89 at last review. The distribution of current ratings and credit estimates is as follows: Aaa-Aa3 (20.9% compared to 56.7% at last review), A1-A3 (28.4% compared to 37.3% at last review), Baa1-Baa3 (38.8% compared to 4.5% at last review), Ba1-Ba3 (6.0% compared to 1.5% at last review), B1-B3 (3.0% compared to 0.0% at last review), and Caa1-C (0.0% 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 4.7 years compared to 6.7 years at last review. WARR is the par-weighted average of the mean recovery values for the reference obligations in the pool. Moody's modeled a variable WARR with a mean of 40.8% compared to 51.6% 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 23.6% compared to 51.4% 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 non-Moody's rated reference obligations' credit estimates by one notch downward (29.9% of the pool balance), there is no impact on the model results. 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. The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in November 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. CAPITAL PROJECT: S&P Lowers Rating on 2000F-1 Revenue Bonds to 'C' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its underlying rating (SPUR) on Capital Project Finance Authority (CaPFA), Fla.'s senior 2000F-1 revenue bonds to 'C' from 'B+' and removed the rating from CreditWatch where it had been placed with negative implications on June 7, 2010. Standard & Poor's lowered the rating due to the depletion of CaPFA's senior debt service reserve fund, continued draws on its escrow fund, and the expectation that the authority will fully deplete the escrow fund in the near term. The outlook on the 'C' rating is negative reflecting Standard & Poor's belief that CaPFA will not have adequate resources to cover its next debt service payment independently (Oct. 1, 2011). The long-term rating on the bonds reflects Standard & Poor's view of the support provided by bond insurance from National Public Finance Guarantee Corp. (National; BBB/Developing). In addition to the exhausted senior debt service reserve fund and expected depletion of the escrow fund, Standard & Poor's based its rating on CaPFA's continued low combined occupancy of the housing facilities, with insufficient occupancy to achieve break-even financial results; limited ability to boost occupancy given the continued suspension of the University of Central Florida's referral agreement with Pegasus Landing (renamed Knights Circle in February 2011); and large remediation costs related to water and mold damage. Supporting the rating is Standard & Poor's view of CaPFA's plan to remediate the mold damage and return the facilities to adequate occupancy levels with the support of National through protective advance payments. "The negative outlook reflects our expectation that CaPFA will have insufficient reserve funds and insufficient operating revenues due to the limited occupancy to independently meet its debt service obligations in fiscal 2012," said Standard & Poor's credit analyst Nick Waugh. "We expect that management will rely on the support of National to meet its debt service obligations," said Mr. Waugh. Standard & Poor's understands that management expects National to cover debt service payment shortfalls pursuant to the bond insurance contract. CARLYLE HIGH YIELD: Moody's Upgrades Ratings of CLO Notes --------------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by Carlyle High Yield Partners IX, Ltd.: -- US$167,500,000 Class A-1 Floating Rate Notes Due August 1, 2021, Upgraded to Aa1 (sf); previously on August 31, 2009 Downgraded to A1 (sf); -- US$165,000,000 Class A-2 Floating Rate Notes Due August 1, 2021, Upgraded to Aaa (sf); previously on August 31, 2009 Downgraded to Aa1 (sf); -- US$41,250,000 Class A-3 Floating Rate Notes Due August 1, 2021, Upgraded to Aa2 (sf); previously on August 31, 2009 Downgraded to A2 (sf); -- US$26,250,000 Class B Floating Rate Notes Due August 1, 2021, Upgraded to A1 (sf); previously on August 31, 2009 Downgraded to Baa2 (sf); -- US$26,250,000 Class C Floating Rate Deferrable Notes Due August 1, 2021, Upgraded to Baa1 (sf); previously on August 31, 2009 Downgraded to Ba3 (sf); -- US$32,500,000 Class D Floating Rate Deferrable Notes Due August 1, 2021, Upgraded to Ba1 (sf); previously on August 31, 2009 Downgraded to Caa2 (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 ratio since the rating action in August 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/CCC+ and below. In particular, as of the latest trustee report dated April 4, 2011, the weighted average rating factor is currently 2617 compared to 3155 in the August 2009 report, and securities rated Caa1/CCC+ or lower make up approximately 8.1% of the underlying portfolio versus 24.2% in August 2009. Additionally, defaulted securities total about $6.7 million of the underlying portfolio compared to $29.8 million in August 2009. The overcollateralization ratio of the rated notes has also improved since the rating action in August 2009. The Senior overcollateralization ratio is reported at 125.07% versus the August 2009 level of 113.81%. Additionally, the deal has benefitted from the diversion of excess interest to the principal collection account as a result of cumulative losses exceeding a $7.25 million threshold. The diverted amount, called the loss replenishment amount, is calculated by comparing cumulative losses on trading activity and defaults with cumulative gains and prior amounts diverted in excess of the threshold. 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 $498 million, defaulted par of $7 million, a weighted average default probability of 27.68% (implying a WARF of 3304), a weighted average recovery rate upon default of 42.86%, and a diversity score of 60. 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. Carlyle High Yield Partners IX, Ltd., issued in September 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 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. 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, 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% (2643) -- Class A-1: +1 -- Class A-2: 0 -- Class A-3: +1 -- Class B: +3 -- Class C: +2 -- Class D: +2 Moody's Adjusted WARF + 20% (3965) -- Class A-1: -2 -- Class A-2: 0 -- Class A-3: -2 -- Class B: -2 -- 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 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. However, as part of the base case, Moody's considered spread and diversity levels higher than the covenant levels due to the large difference between the reported and covenant levels. CARLYLE HIGH YIELD: Moody's Upgrades the Ratings of CLO Notes ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Carlyle High Yield Partners VI, Ltd.: -- US$294,000,000 Class A-1 Senior Secured Floating Rate Notes Due 2016 (current outstanding balance of $244,420,503), Upgraded to Aaa (sf); previously on October 6, 2009 Downgraded to A1 (sf); -- US$30,000,000 Class A-3 Revolving Senior Secured Floating Rate Notes Due 2016 current outstanding balance of $24,940,868), Upgraded to Aaa (sf); previously on October 6, 2009 Downgraded to A1 (sf); -- US$17,000,000 Class B Senior Secured Deferrable Floating Rate Notes Due 2016, Upgraded to Aa1 (sf); previously on October 6, 2009 Downgraded to Baa3 (sf); -- US$30,000,000 Class C Secured Floating Rate Notes Due 2016, Upgraded to Baa1 (sf); previously on October 6, 2009 Downgraded to B2 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from an increase in the transaction's overcollateralization ratio and improvement in the credit quality of the underlying portfolio since the rating action in October 2009. The Class A-1 and A-3 Notes have been paid down by approximately 17% or $55 million since the rating action in October 2009. As a result of the delevering, the overcollateralization ratio has increased. As of the latest trustee report dated March 26, 2011, the Class A overcollateralization ratio is reported at 130.0% versus August 2009 level of 118.4%. Moody's also notes that the deal has benefited from improvement in the credit quality of the underlying portfolio since the rating action in October 2009. Based on the March 2011 trustee report, the weighted average rating factor is 2606 compared to 2888 in August 2009, and securities rated Caa1 and below make up approximately 9.9% of the underlying portfolio versus 16.2% in August 2009. The deal also experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to about $3.4 million from approximately $16.2 million 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 and principal proceeds balance of $315 million, APEX Revolver Limit of $38.3 million, Adjusted APEX Revolver Balance of $3.1 million, defaulted par of $3.4 million, a weighted average default probability of 21.75% (implying a WARF of 3280), a weighted average recovery rate upon default of 42.6%, 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. Carlyle High Yield Partners VI, Ltd., issued in July 2004, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 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. 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. 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% (2624) -- Class A-1: 0 -- Class A-3: 0 -- Class B: +1 -- Class C: +3 Moody's Adjusted WARF + 20% (3936) -- Class A-1: 0 -- Class A-3: 0 -- 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, 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. CASTLE 2003-1: Moody's Sees No Negative Impact on ABS Ratings ------------------------------------------------------------- Moody's Investors Service (Moody's) stated that its ratings on the notes issued by Castle 2003-1 are not being downgraded or withdrawn as a result of the leasing a B737-300 to Belavia Belarrusain Airlines (Belavia). No repossession insurance is being obtained in connection with this placement. The referenced ratings are Castle 2003-1, Class A-1 and Class A-2 rated Aa2 (sf), Class B-1 and Class B-2 rated A2 (sf), and Classes D-1 rated Ba2 (sf). The servicer, International Lease Finance Corporation (ILFC) is leasing a 21-year old B737-300 to Belavia without obtaining repossession Insurance. The trust indenture requires the issuer to maintain repossession insurance if the aircraft is placed in certain countries, of which Belarus is one. Moody's recently downgraded the sovereign rating of Belarus from B1 to B2 and the outlook is negative. The downgrade was due to external financing constrains and potential political turmoil. Belarvia Airline is the only major airline in the country. The airline is an important source of hard currency for the country. Currently, ILFC is the only lessor and supplies the entire fleet to Belavia. ILFC has concluded that purchasing repossession insurance is cost prohibitive and inconsistent with its commercial practices. ILFC also does not carry repossession insurance for the other aircraft currently leased to Belavia. Finally, the B737-200 is only 1.3% of the portfolio, so the LTV would increase in less than 1% for all of the outstanding classes if there is a total loss to this aircraft. Moody's concluded that the proposed lease of this aircraft without repossession insurance would not have an adverse effect on the credit quality of the rated securities. However, Moody's is not expressing an opinion as to whether the lease could have other, non credit-related effects that investors may or may not view positively. The principal methodology used in assessing the ratings was " Moody's Approach To Pooled Aircraft-Backed Securitization", published in March 1999. CBA COMMERCIAL: Moody's Holds Ratings on 7 CMBS Classes ------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of seven classes of CBA Commercial Assets, Small Balance Commercial Mortgage Pass-Through Certificates Series 2004-1: -- Cl. A-1, Affirmed at Aa3 (sf); previously on Jan 28, 2010 Downgraded to Aa3 (sf) -- Cl. A-2, Affirmed at Aa3 (sf); previously on Jan 28, 2010 Downgraded to Aa3 (sf) -- Cl. A-3, Affirmed at Aa3 (sf); previously on Jan 28, 2010 Downgraded to Aa3 (sf) -- Cl. IO, Affirmed at Aa3 (sf); previously on Jan 28, 2010 Downgraded to Aa3 (sf) -- Cl. M-1, Affirmed at B3 (sf); previously on Sep 16, 2010 Downgraded to B3 (sf) -- Cl. M-2, Affirmed at Caa3 (sf); previously on Sep 16, 2010 Downgraded to Caa3 (sf) -- Cl. M-3, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. This transaction is classified as a small balance CMBS transaction. Small balance transactions, which represent less than 1% of the Moody's rated conduit/fusion universe, have generally experienced higher defaults and losses than traditional conduit and fusion transaction Moody's rating action reflects a cumulative base expected loss of 15.1% of the current balance. At last review, Moody's cumulative base expected loss was 12.0%. Moody's stressed scenario loss is 27.9% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodology used in this rating was "CMBS: Moody's Approach to Rating U.S. Conduit Transactions" published in September 2000. Other methodology used in this rating was "CMBS: Moody's Approach to Small Loan Transactions" published in December 2004. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 86 compared to 89 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 16, 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 April 25, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 62% to $38.31 million from $102.02 million at securitization. The Certificates are collateralized by 116 mortgage loans ranging in size from less than 1% to 4% of the pool, with the top ten loans representing 21% of the pool. There are no loans on the master servicer's watchlist. Twenty-eight loans have been liquidated from the pool since securitization, resulting in an aggregate $6.2 million loss (64% loss severity on average). Twenty-three loans, representing 17% of the pool, are currently in special servicing. The master servicer has recognized an aggregate $1.84 appraisal reduction for 15 of the specially serviced loans. Moody's has estimated an aggregate $4.7 million loss (64% expected loss on average) for the specially serviced loans. CBA COMMERCIAL: Moody's Holds Ratings on 5 CMBS Classes ------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of five classes of CBA Commercial Assets, Small Balance Commercial Mortgage Pass-Through Certificates Series 2005-1: -- Cl. A, Affirmed at Caa1 (sf); previously on Sep 16, 2010 Downgraded to Caa1 (sf) -- Cl. X-2, Affirmed at Caa1 (sf); previously on Sep 16, 2010 Downgraded to Caa1 (sf) -- Cl. M-1, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) -- Cl. M-2, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) -- Cl. M-3, Affirmed at C (sf); previously on Feb 11, 2010 Downgraded to C (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. This transaction is classified as a small balance CMBS transaction. Small balance transactions, which represent less than 1% of the Moody's rated conduit/fusion universe, have generally experienced higher defaults and losses than traditional conduit and fusion transaction Moody's rating action reflects a cumulative base expected loss of 12.7% of the current balance. At last review, Moody's cumulative base expected loss was 12.8%. Moody's stressed scenario loss is 27.9% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodology used in this rating was "CMBS: Moody's Approach to Rating U.S. Conduit Transactions" published in September 2000. The other methodology used in this rating was "CMBS: Moody's Approach to Small Loan Transactions" published in December 2004. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 123 compared to 137 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 16, 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 April 25, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 63% to $79.98 million from $214.90 million at securitization. The Certificates are collateralized by 228 mortgage loans ranging in size from less than 1% to 3% of the pool, with the top ten loans representing 20% of the pool. There are no loans on the master servicer's watchlist. Eighty-four loans have been liquidated from the pool since securitization, resulting in an aggregate $21.7 million loss (68% loss severity on average). Thirty-three loans, representing 16% of the pool, are currently in special servicing. Moody's has estimated an aggregate $8.6 million loss (68% expected loss on average) for the specially serviced loans. CENTERLINE 2007: Moody's Affirms Ratings on 14 CRE CDO Classes -------------------------------------------------------------- Moody's has affirmed fourteen classes of Notes issued by Centerline 2007-SRR5, Ltd. The key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC) are all performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. Moody's prior full review is summarized in a press release dated May 19, 2010. Moody's rating action is: -- Class A-1, Affirmed at Ca (sf); previously on May 19, 2010 Downgraded to Ca (sf) -- Class A-2, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) -- Class B, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) -- Class C, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) -- Class D, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) -- Class E, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) -- Class F, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) -- Class G, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) -- Class H, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) -- Class J, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) -- Class K, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) -- Class L, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) -- Class M, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) -- Class N, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) 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. The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in November 2010. CFCRE COMM'L: Moody's Gives Definitive Ratings to CFCRE 2011-C1 --------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 12 classes of CMBS securities, issued by CFCRE Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates Series 2011- C1. -- Cl. A-1, Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Definitive Rating Assigned Aaa (sf) -- Cl. X-A, Definitive Rating Assigned Aaa (sf) -- Cl. X-B, Definitive Rating Assigned Aaa (sf) -- Cl. B, Definitive Rating Assigned Aa2 (sf) -- Cl. C, Definitive Rating Assigned A2 (sf) -- Cl. D, Definitive Rating Assigned Baa1 (sf) -- Cl. E, Definitive Rating Assigned Baa3 (sf) -- Cl. F, Definitive Rating Assigned Ba2 (sf) -- Cl. G, Definitive Rating Assigned B2 (sf) Ratings Rationale The Certificates are collateralized by 38 fixed rate loans secured by 67 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 1.42X is higher than the 2007 conduit/fusion transaction average of 1.31X. The Moody's Stressed DSCR of 1.06X is higher than the 2007 conduit/fusion transaction average of 0.92X. Moody's Trust LTV ratio of 93.4 % is lower than the 2007 conduit/fusion transaction average of 110.6%. Moody's Total LTV ratio (inclusive of subordinated debt) of 94.4% 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 score is 20. With respect to property level diversity, the pool's property level Herfindahl score is 35. The transaction's property diversity profile is within the band of Herfindahl scores found in previously rated conduit and fusion securitizations. Three loans representing 27.1% of the pool balance consist of office property portfolios leased through the General Services Administration (GSA) to the United States federal government, rated Aaa (senior unsecured), on behalf of 11 different agencies. The three GSA portfolios are geographically diverse as the properties are located in 11 different states. Fifteen of the 17 properties were constructed from 2007-2009 and all were built to suit for their specific agency. The GSA leases expire, on average, seven years beyond their respective loan maturity dates, while lease termination options (for nine properties) occur, on average, three years beyond their respective loan maturity dates. However, according to the GSA's Annual Lease Turnover Analysis (2001-2010), the GSA has historically elected to terminate less than 1.4% of GSA-leased square footage prior to lease expiration. Due to the strong credit quality of the GSA and their respective lease expiration schedules, the expected loss associated with these loans is minimal. The transaction contains the largest concentration of multifamily properties within a multi-borrower deal rated by Moody's since 2009 (excluding Freddie Mac transactions). Loans representing 23.8% of the pool balance are secured by multifamily properties (22.0%) or manufactured housing communities (1.8%). Moody's considers multifamily properties to exhibit low performance volatility relative to other commercial real estate sectors. Multifamily properties also historically exhibit the lowest severity given default. The principal methodology used in this rating was "CMBS: Moody's Approach to Rating Fusion Transactions" rating methodology published in April 2005. 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 Medium, which is above the Low/Medium V score assigned to the U.S. Conduit and CMBS sector. This is the first CMBS securitization from the issuer, so limited historical data and performance variability statistics are available. Disclosure of securitization collateral and ongoing performance are in line with the overall CMBS sector. 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. CHARLIE MAC: Moody's Acts on $56 Million of Prime Jumbo RMBS ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of four tranches and confirmed the ratings of two tranches issued by Charlie Mac Trust 2004-2. The collateral backing this deal consists primarily of first-lien, fixed prime jumbo residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of prime jumbo pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The principal methodology used in these ratings is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. Other methodologies used include "Pre-2005 US RMBS Surveillance Methodology" published in January 2011, which accounts for the deteriorating performance and outlook. To assess the rating implications of the updated loss levels on prime jumbo RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R) (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include fifty four different combinations comprising of six loss levels, three loss timing curves and three prepayment curves. For ratings implied Aa3 and above, an additional prepayment curve is run to assess resilience to a high prepayment scenario. The approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that varies from 3% to 5% on average. The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans with a base rate of new delinquency of 3.00%, the adjusted rate of new delinquency would be 3.03%. in addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.75 to 2.5 for current delinquencies ranging from less than 2.5% to greater than 10% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. 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 as follows: Issuer: Charlie Mac Trust 2004-2 -- Cl. A-1, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Confirmed at Aa1 (sf); previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to A2 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ba1 (sf); previously on Apr 15, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to B3 (sf); previously on Apr 15, 2010 B1 (sf) Placed Under Review for Possible Downgrade CHASE MORTGAGE: Moody's Downgrades Ratings on Three Tranches ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of three tranches from the Chase Mortgage Finance Trust Series 2007-A1 transaction. The collateral backing this deal consists primarily of first-lien, adjustable rate prime jumbo residential mortgages. The Cl. 11-A-1 from this jumbo transaction is exchangeable for the set of classes 11-A-6, 11-A-7 and 11-A-8. These bonds reflect the current rating on the Cl. 11-A-1, which is Caa2 (sf) as announced by Moody's in a press release on Chase Mortgage Finance Trust Series 2007-A1 dated 26th May, 2010. However, these three tranches were inadvertently omitted from the rating action announced in the May 2010 press release. This has been corrected, and the ratings on these bonds have been updated accordingly. Ratings Rationale The actions are a result of the rapidly deteriorating performance of jumbo pools in conjunction with macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on prime jumbo pools issued from 2005 to 2008. The principal methodology used in these ratings is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. For details regarding Moody's approach to estimating losses on prime jumbo pools originated in 2005, 2006, 2007 and 2008, refer to the methodology publication "Prime Jumbo RMBS Loss Projection Update: January 2010" available on Moodys.com To assess the rating implications of the updated loss levels on prime jumbo RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R) (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. The approach "Jumbo RMBS Loss Projection Update: January 2010" is adjusted to estimate losses on pools left with a small number of loans. 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 (3.5%, 6.5% and 7.5% for the 2005, 2006 and 2007 vintage respectively). This baseline rate is higher than the average rate of new delinquencies for the vintage 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. 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 and hence the stress applied. 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 2005 vintage, the adjusted rate of new delinquency would be 3.535%. 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 0.2 to 1.8 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. 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: Chase Mortgage Finance Trust Series 2007-A1 -- Cl. 11-A6, Downgraded to Caa2 (sf); previously on Dec 17, 2009 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 11-A7, Downgraded to Caa2 (sf); previously on Dec 17, 2009 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 11-A8, Downgraded to Caa2 (sf); previously on Dec 17, 2009 B3 (sf) Placed Under Review for Possible Downgrade CHL MORTGAGE: Moody's Takes Action on Prime Jumbo RMBS ------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 200 tranches and confirmed the ratings of 31 tranches from 29 prime jumbo deals issued by CHL Mortgage Pass-Through Trust. The collateral backing these deals consists primarily of first-lien, fixed and adjustable rate prime jumbo residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of prime jumbo pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The rating methodology has been updated to account for the deteriorating performance and outlook. The principal methodology used in these ratings is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. Other methodologies used include "Pre-2005 US RMBS Surveillance Methodology" published in January 2011. To assess the rating implications of the updated loss levels on prime jumbo RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R) (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include fifty four different combinations comprising of six loss levels, three loss timing curves and three prepayment curves. For ratings implied Aa3 and above, an additional prepayment curve is run to assess resilience to a high prepayment scenario. The 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 varies from 3% to 5% on average. The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans with a base rate of new delinquency of 3. 00%, the adjusted rate of new delinquency would be 3. 03%. in addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0. 75 to 2. 5 for current delinquencies ranging from less than 2. 5% to greater than 10% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Certain securities, as noted below, are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i. e. , absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are as follows: Issuer: CHL Mortgage Pass-Through Trust 2002-21 -- Cl. A-1, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2002-39 -- Cl. A-18, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-36, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-37, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-PO, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-1 -- Cl. 1-A-1, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Underlying Rating: Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. 1-A-5, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-10 -- Cl. A-2, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-11, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-12, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-13, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to Aa1 (sf); previously on Apr 16, 2003 Assigned Aaa (sf) -- Cl. PO, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. X, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-11 -- Cl. A-1, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-16, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-18, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-20, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-22, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-31, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-32, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-33, Downgraded to Aa1 (sf); previously on Apr 21, 2003 Assigned Aaa (sf) -- Cl. PO, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. X, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-21 -- Cl. A-1, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Ba3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to Caa2 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on Apr 15, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 15, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-24 -- Cl. A-2, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to A3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to A3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-PO, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-27 -- Cl. A-1, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to Caa3 (sf); previously on Apr 15, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 15, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-29 -- Cl. A-1, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-3 -- Cl. A-1, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-34 -- Cl. A-5, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-15, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-16, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-17, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-20, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-21, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-37 -- Cl. 1-A-1, Downgraded to Ba2 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba1 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to B2 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to Caa3 (sf); previously on Apr 15, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 15, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-41 -- Cl. A-1, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-42 -- Cl. 1-A-1, Downgraded to B1 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Ba2 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to Ca (sf); previously on Apr 15, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 15, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-43 -- Cl. A-1, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to B2 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Caa3 (sf); previously on Apr 15, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf); previously on Apr 15, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-44 -- Cl. A-1, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Underlying Rating: Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. A-5, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-7, Confirmed at Aa1 (sf); previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Ba1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-46 -- Cl. 1-A-1, Downgraded to A3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to A3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-2, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 7-A-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to B2 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Caa3 (sf); previously on Apr 15, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf); previously on Apr 15, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 15, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-54 -- Cl. A-1, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to B1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Caa3 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 15, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 15, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on Apr 15, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-56 -- Cl. 1-A-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-7A, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-7B, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-7C, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-2, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 5-X, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 7-A-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 8-A-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 9-A-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to B3 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on Apr 15, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 15, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-57 -- Cl. A-7, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-58 -- Cl. I-A, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to B2 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Caa3 (sf); previously on Apr 15, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf); previously on Apr 15, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 15, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-60 -- Cl. 1-A-1, Downgraded to Ba3 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba3 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to Ca (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 15, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 15, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-7 -- Cl. A-2, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-HYB1 -- Cl. 1-A-1, Downgraded to Ba3 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ba3 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to Caa3 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ca (sf); previously on Apr 15, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Ca (sf); previously on Apr 15, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-HYB2 -- Cl. 1-A-1, Downgraded to Ba1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-X, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M, Downgraded to Caa3 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 15, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 15, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-HYB3 -- Cl.1-A-1, Downgraded to Ba1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl.1-X, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl.2-A-1, Downgraded to Ba1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl.3-A-1, Downgraded to Ba1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl.4-A-1, Downgraded to Ba1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl.5-A-1, Downgraded to Ba1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl.6-A-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl.7-A-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl.8-A-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl.M, Downgraded to Caa2 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl.B-1, Downgraded to Ca (sf); previously on Apr 15, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl.B-2, Downgraded to C (sf); previously on Apr 15, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-J5 -- Cl.1-A-6, Downgraded to Aa3 (sf); previously on Jun 23, 2003 Assigned Aaa (sf) -- Cl.1-A-7, Downgraded to Aa3 (sf); previously on Jun 23, 2003 Assigned Aaa (sf) -- Cl.1-A-10, Downgraded to Aa3 (sf); previously on Jun 23, 2003 Assigned Aaa (sf) -- Cl.1-A-11, Downgraded to Aa2 (sf); previously on Jun 23, 2003 Assigned Aaa (sf) -- Cl.1-A-12, Downgraded to Aa3 (sf); previously on Jun 23, 2003 Assigned Aaa (sf) -- Cl.2-A-1, Downgraded to Aa3 (sf); previously on Jun 23, 2003 Assigned Aaa (sf) -- Cl.2-X, Downgraded to Aa2 (sf); previously on Jun 23, 2003 Assigned Aaa (sf) -- Cl.PO, Downgraded to Aa3 (sf); previously on Jun 23, 2003 Assigned Aaa (sf) Issuer: CHL Mortgage Pass-Through Trust, Series 2002-J5 -- Cl.1-A-13, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl.1-A-15, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl.1-A-16, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl.1-X, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl.2-A-1, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl.2-X, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl.3-A-1, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl.PO, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CWBMS, Inc. Series 2003-4 -- Cl.1-A-7, Downgraded to Aa2 (sf); previously on Mar 17, 2003 Assigned Aaa (sf) -- Cl.1-A-13, Downgraded to Aa2 (sf); previously on Mar 17, 2003 Assigned Aaa (sf) -- Cl.1-A-14, Downgraded to Aa2 (sf); previously on Mar 17, 2003 Assigned Aaa (sf) -- Cl.1-A-15, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl.2-A-1, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl.PO, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade CHL MORTGAGE: Moody's Upgrades Rating of Class A-4 Bond to 'Ba1' ---------------------------------------------------------------- Moody's Investors Service has upgraded the rating of the Class A-4 bond issued by CHL Mortgage Pass-Through Trust 2004-4 to account for the guarantee on the bond by Radian Asset Assurance Inc. The collateral backing this deal consists primarily of first-lien, fixed rate prime jumbo residential mortgages. Ratings Rationale The action reflects the unconditional and irrevocable guarantee of Radian Asset Assurance Inc. on Class A-4. The previous rating action on the bond on April 19, 2011 did not take into account this guarantee. Consistent with Moody's approach of rating securities insured by a financial guarantor at the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty), the rating on Class A-4 has been adjusted to Ba1(sf) to reflect the current rating of Radian Asset Assurance Inc. The principal methodology used in determining the underlying rating is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage- Backed Securities" published in December 2008. Other methodologies used include "Pre-2005 US RMBS Surveillance Methodology" published in January 2011, which accounts for the deteriorating performance and outlook. 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: CHL Mortgage Pass-Through Trust 2004-4 -- Cl.r A-4, Upgraded to Ba1 (sf); previously on Apr 19, 2011 Downgraded to Ba3 (sf) Financial Guarantor: Radian Asset Assurance Inc. (Downgraded to Ba1, Outlook Stable on Mar 12, 2009) Underlying Rating: Assigned Ba3 (sf) CITIGROUP COMM'L: Moody's Affirms 25 CMBS Classes of CGCMT 2005-C3 ------------------------------------------------------------------ Moody's Investors Service affirmed the ratings of 25 classes of Citigroup Commercial Mortgage Trust 2005-C3, Commercial Mortgage Pass-Through Certificates, Series 2005-C3: -- Cl. A-2, Affirmed at Aaa (sf); previously on Jul 15, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Jul 15, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-SB, Affirmed at Aaa (sf); previously on Jul 15, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Jul 15, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Jul 15, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-MFL, Affirmed at Aaa (sf); previously on Sep 22, 2010 Confirmed at Aaa (sf) -- Cl. A-M, Affirmed at Aaa (sf); previously on Sep 22, 2010 Confirmed at Aaa (sf) -- Cl. XC, Affirmed at Aaa (sf); previously on Jul 15, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. XP, Affirmed at Aaa (sf); previously on Jul 15, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-J, Affirmed at A2 (sf); previously on Sep 22, 2010 Downgraded to A2 (sf) -- Cl. B, Affirmed at Baa1 (sf); previously on Sep 22, 2010 Downgraded to Baa1 (sf) -- Cl. C, Affirmed at Baa3 (sf); previously on Sep 22, 2010 Downgraded to Baa3 (sf) -- Cl. D, Affirmed at B1 (sf); previously on Sep 22, 2010 Downgraded to B1 (sf) -- Cl. E, Affirmed at B3 (sf); previously on Sep 22, 2010 Downgraded to B3 (sf) -- Cl. F, Affirmed at Caa3 (sf); previously on Sep 22, 2010 Downgraded to Caa3 (sf) -- Cl. G, Affirmed at Ca (sf); previously on Sep 22, 2010 Downgraded to Ca (sf) -- Cl. H, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded to C (sf) -- Cl. J, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) -- Cl. CP-1, Affirmed at Baa1 (sf); previously on Jul 15, 2005 Definitive Rating Assigned Baa1 (sf) -- Cl. CP-2, Affirmed at Baa2 (sf); previously on Jul 15, 2005 Definitive Rating Assigned Baa2 (sf) -- Cl. CP-3, Affirmed at Baa3 (sf); previously on Jul 15, 2005 Definitive Rating Assigned Baa3 (sf) The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain the existing rating. Moody's rating action reflects a cumulative base expected loss of 6.9% of the current balance. At last full review, Moody's cumulative base expected loss was 8.5%. Moody's stressed scenario loss is 14.7% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodology used in this rating was: "Moody's Approach to Rating Fusion Transactions" published in April 2005. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 47, compared to 52 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 22, 2010. Deal Performance As of the April 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 18% to $1.19 billion from $1.45 billion at securitization. The Certificates are collateralized by 113 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans representing 37% of the pool. The pool includes one loan with an investment grade credit estimate, representing 9% of the pool. Five loans, representing 3% of the pool, have defeased and are collateralized with U.S. Government securities. Twenty-eight loans, representing 23% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Four loans have been liquidated from the pool, resulting in a $26.9 million loss (68% loss severity on average). Currently six loans, representing 12% of the pool, are in special servicing. The largest specially serviced loan is the Novo Nordisk Headquarters Loan ($53.0 million -- 4.5% of the pool), which is secured by a mortgage on two, three-story Class A suburban office buildings totaling 225,651 square feet (SF) located in Princeton, New Jersey. The loan transferred to special servicing in January 2010 for imminent maturity default and the loan matured in March 2010. The borrower submitted a modification proposal and the loan is dual tracking modification/foreclosure. The remaining five specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $42.1 million appraisal reduction for the specially serviced loans. Moody's has estimated an aggregate loss of $45.0 million (34% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for nine poorly performing loans representing 9% of the pool and has estimated a $16.7 million loss (15% expected loss based on a 30% probability default) from these troubled loans. Moody's was provided with full year 2009 and full or partial year 2010 operating results for 95% and 72%, respectively, of the non- defeased performing pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 97%, the same as 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 9.0%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.28X and 1.05X, respectively, compared to 1.29X and 1.03X at last full review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loan with a credit estimate is the Carolina Place Loan ($101.3 million -- 8.6%), which is the pooled component of a $148.9 million first mortgage loan secured by the borrower's interest in a 1.1 million SF regional mall located in suburban Charlotte, North Carolina. The mall is anchored by Belk, Dillard's, Macy's, J.C. Penney and Sears. The overall property was 99% leased as of September 2010, the same as at last review. The trust also includes the $14.0 million non-pooled loan component which secures the non-pooled Classes CP-1, CP-2 and CP-3. Moody's underlying rating and stressed DSCR for the pooled loan component are A3 and 1.65X, respectively, compared to A3 and 1.62X at last review. The underlying ratings for Classes CP-1, CP-2 and CP-3 are Baa1, Baa2, and Baa3, respectively, the same as at last review. The top three performing loans represent 9% of the pool balance. The largest performing loan is the Abilene Mall Loan ($35.7 million -- 3.0% of the pool), which is secured by the borrower's interest in a 680,000 SF single-story regional mall located in Abilene, Texas. The mall is anchored by Dillard's, J. C. Penney, and Sears. J.C. Penney is only anchor included in the collateral. The overall property was 91% leased as of November 2010, compared to 90% at last review. Moody's LTV and stressed DSCR are 104% and 0.97X, respectively, compared to 105% and 0.95X at last review. The second largest performing loan is the Penn Mar Shopping Center Loan ($35.4 million -- 3.0% of the pool), which is secured by a 382,000 SF retail center located in Forestville (Prince George's County), Maryland. The center was 92% leased as of December 2010 compared to 94% at last review. Moody's LTV and stressed DSCR are 85% and 1.11X, respectively, compared to 88% and 1.07X at last review. The third largest performing loan is the 250 West Pratt Loan ($34.7 million -- 3.0% of the pool), which is secured by a 24- story 355K SF office property located in downtown Baltimore, Maryland. Property performance has remained stable. The property was 77% leased as of December 2010 compared to 78% at last review. Moody's LTV and stressed DSCR are 122% and 0.82X, respectively, the same as at last review. CITIGROUP COMMERCIAL: S&P Cuts Ratings on 7 Classes to 'D' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 22 classes of commercial mortgage pass-through certificates from Citigroup Commercial Mortgage Trust 2007-C6, a U.S. commercial mortgage-backed securities (CMBS) transaction and removed class A-4FL from CreditWatch with negative implications. "In addition, we affirmed our 'AAA (sf)' ratings on six other classes from the same transaction, including the rating on an interest-only (IO) class," S&P said. "Our rating actions follow our analysis of the transaction primarily using our U.S. conduit/fusion CMBS criteria. The downgrades of class A-4FL and 21 other certificate classes in this transaction reflect credit support erosion that we anticipate will occur upon the resolution of 25 ($352.0 million, 7.5%) of the 27 specially serviced assets ($365.7 million, 7.8%). We placed the rating on the class A-4FL certificate on CreditWatch with negative implications on Jan. 18, 2011, to assess the impact of the change in our counterparty criteria on the outstanding rating on this class. We removed the rating on class A-4FL from CreditWatch negative, as the rating is now at the issuer credit rating assigned to the interest rate swap counterparty in the transaction, Citibank N.A. (A+/Negative/A-1). We also considered the monthly interest shortfalls that are affecting the trust. We lowered our ratings to 'D (sf)' on the class K, L, M, N, O, P, and Q certificates because we expect interest shortfalls to continue, and because we believe the accumulated interest shortfalls will remain outstanding for the foreseeable future," S&P related. "We affirmed our rating on the class X IO certificate based on our current criteria," S&P said. "Our analysis included a review of the credit characteristics of all of the remaining assets in the pool. Using servicer-provided financial information, we calculated an adjusted debt service coverage (DSC) of 1.35x and a loan-to-value (LTV) ratio of 121.6%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 0.77x and an LTV ratio of 164.5%. The implied defaults and loss severity under the 'AAA' scenario were 91.7% and 46.3%, respectively. The DSC and LTV calculations noted above exclude one defeased loan totaling $1.4 million and 25 ($352.0 million, 7.5%) of the 27 specially serviced assets ($365.7 million, 7.8%). We separately estimated losses for the 25 specially serviced assets and included them in our 'AAA' scenario implied default and loss severity figures," according to S&P. As of the April 12, 2011, trustee remittance report, the trust experienced monthly interest shortfalls totaling $822,838 primarily related to appraisal subordinate entitlement reduction (ASER) amounts of $834,465, interest not advanced of $31,625, and special servicing fees of $76,006. The total interest shortfalls were offset this period by other interest proceeds from the specially serviced Nob Hill Apartments loan of $118,127 and ASER recovery of $21,014. The interest shortfalls affected all classes subordinate to and including class K. Classes K through Q experienced cumulative interest shortfalls between two and 13 months. "We expect these classes to experience recurring interest shortfalls in the near term. Consequently, we downgraded these classes to 'D (sf)'," S&P stated. Credit Considerations As of the April 12, 2011, trustee remittance report, 27 assets ($365.7 million, 7.8%) in the pool were with the special servicer, CWCapital Asset Management LLC (CWCapital). The reported payment status of the specially serviced assets as of the April 2011 trustee remittance report: 10 are real estate owned (REO) ($226.2 million, 4.8%), three are in foreclosure ($22.5 million, 0.5%), 11 are 90-plus-days delinquent ($99.9 million, 2.1%), one is 60 days delinquent ($3.4 million, 0.1%), one is in its grace period ($4.2 million, 0.1%), and one is current ($9.5 million, 0.2%). Appraisal reduction amounts (ARAs) totaling $199.8 million are in effect against 26 of the specially serviced assets. Details of the three largest specially serviced assets, one of which is a top 10 exposure, are: The Moreno Valley Mall asset ($85.2 million, 1.8%), 472,844 sq. ft. of a 1.08 million-sq.-ft. regional mall in Moreno Valley, Calif., is the seventh-largest real estate exposure in the trust and the largest asset with the special servicer. The asset was transferred to the special servicer, on Aug. 16, 2010, due to imminent monetary default and became REO in Feb. 2011. CWCapital indicated that it plans to stabilize the property's occupancy (currently at 78.0%) before marketing it for sale. The reported DSC as of year-end 2010 was 1.17x. An ARA of $45.0 million is in effect against the asset. "We expect a significant loss upon the eventual resolution of this asset," S&P stated. The Southeast Apartment Portfolio asset ($37.0 million, 0.8%), consisting of seven multifamily apartment complexes totaling 1,032 units in South Carolina and Georgia, was transferred to the special servicer on Aug. 27, 2009, due to imminent monetary default and became REO on Feb. 1, 2011. CWCapital indicated that the properties are currently being marketed for sale. The overall reported occupancy at the properties was 73.0%. An ARA of $27.6 million is in effect against the asset. "We expect a significant loss upon the eventual resolution of this asset," S&P noted. The Blue Oaks Marketplace asset ($28.5 million, 0.6%), an 83,394- sq.-ft. retail property in Rocklin, Calif., was transferred to the special servicer on January 26, 2009, due to imminent monetary default and became REO on Feb. 17, 2010. CWCapital stated that the property is being listed for sale. The current reported DSC and occupancy were 0.30x and 88.0%. An ARA of $21.3 million is in effect against the asset. "We expect a significant loss upon the eventual resolution of this asset," S&P said. The 24 remaining specially serviced assets have individual balances that represent less than 0.5% of the pooled trust balance. ARAs totaling $105.9 million are in effect against 23 of these assets. "We estimated losses for 22 of these assets, arriving at a weighted-average loss severity of 52.2%," S&P said. Transaction Summary As of the April 12, 2011, trustee remittance report, the collateral pool balance was $4.68 billion, which is 98.5% of the balance at issuance. The pool includes 305 loans and 10 REO assets, down from 318 loans at issuance. The master servicers, Wells Fargo Bank N.A. (Wells Fargo), Midland Loan Services (Midland), and Berkadia Commercial Mortgage LLC (Berkadia), provided financial information for 95.1% of the loans in the pool, 57.7% of which was partial- or full-year 2010 data, and the remainder was partial- or full-year 2009 data. "We calculated a weighted average DSC of 1.36x for the loans in the pool based on the servicer-reported figures. Our adjusted DSC and LTV ratio were 1.35x and 121.6%, respectively. Our adjusted DSC and LTV figures excluded 25 of the 27 specially serviced assets ($352.0 million, 7.5%). We separately estimated losses for the 25 specially serviced assets and included them in our 'AAA' scenario implied default and loss severity figures. The transaction has experienced $12.0 million in principal losses to date. Sixty-two loans ($752.1 million, 16.1%) in the pool are on the combined master servicers' watchlist. Forty-six loans ($561.0 million, 12.0%) have a reported DSC of less than 1.00x and 20 loans ($205.7 million, 4.4%) have a reported DSC below 1.10x," according to S&P. Summary of Top 10 Real Estate Exposures The top 10 exposures have an aggregate outstanding balance of $1.36 billion (29.1%). Using servicer-reported numbers, we calculated a weighted average DSC of 1.30x for the top 10 exposures. One of the top 10 exposures is with the special servicer and one is on the master servicer's watchlist. "Our adjusted DSC and LTV ratio for the top 10 exposures are 1.23x and 129.8%," S&P said. The Hyde Park Apartment Portfolio loan ($123.2 million, 2.6%), the fourth-largest real estate exposure in the pool, is secured by 43 multifamily apartment complexes totaling 951 units in Chicago, Ill. The loan appears on the combined master servicers' watchlist due to a low reported DSC of 0.60x for year-end 2010. According to the master servicer for this loan, Wells Fargo, the residential properties have been undergoing renovation, which the borrower expects to be completed by the end of the first quarter of 2012. The overall occupancy was 83.3%, according to the Dec. 31, 2010, rent rolls. Standard & Poor's stressed the collateral in the pool according to its current criteria. The resultant credit enhancement levels are consistent with its lowered and affirmed ratings. Rating Lowered and Removed From CreditWatch Negative Citigroup Commercial Mortgage Trust 2007-C6 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-4FL A+ (sf) AA (sf)/Watch Neg 30.21 Ratings Lowered Citigroup Commercial Mortgage Trust 2007-C6 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-4 A+ (sf) AA (sf) 30.21 A-1A A+ (sf) AA (sf) 30.21 A-M BBB+ (sf) A (sf) 20.05 A-MFL BBB+ (sf) A (sf) 20.05 A-J BB- (sf) BBB- (sf) 11.55 A-JFL BB- (sf) BBB- (sf) 11.55 B B+ (sf) BB+ (sf) 11.04 C B (sf) BB (sf) 9.52 D B- (sf) BB (sf) 8.76 E B- (sf) BB- (sf) 8.12 F B- (sf) BB- (sf) 7.36 G CCC+ (sf) B+ (sf) 6.34 H CCC- (sf) B (sf) 5.20 J CCC- (sf) B (sf) 3.81 K D (sf) B- (sf) 2.66 L D (sf) B- (sf) 2.41 M D (sf) CCC+ (sf) 2.16 N D (sf) CCC+ (sf) 1.77 O D (sf) CCC (sf) 1.52 P D (sf) CCC (sf) 1.39 Q D (sf) CCC- (sf) 1.27 Ratings Affirmed Citigroup Commercial Mortgage Trust 2007-C6 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-1 AAA (sf) 30.21 A-2 AAA (sf) 30.21 A-3 AAA (sf) 30.21 A-3B AAA (sf) 30.21 A-SB AAA (sf) 30.21 X AAA (sf) N/A N/A -- Not applicable. COBALT CMBS: S&P Lowers Ratings on 5 Classes of Certs. to 'D' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 10 classes of commercial mortgage pass-through certificates from COBALT CMBS Commercial Mortgage Trust 2006-C1, a U.S. commercial mortgage-backed securities (CMBS) transaction. "Concurrently, we affirmed our ratings on six other classes from the same transaction, including an interest-only (IO) certificate," S&P said. "Our rating actions follow our analysis of the transaction primarily using our U.S. conduit/fusion CMBS criteria. Our downgrades reflect credit support erosion that we anticipate will occur upon the resolution of 16 ($397.9 million, 17.5%) of the 20 specially serviced assets ($461.9 million, 20.3%). We also considered the monthly interest shortfalls that are affecting the trust. We lowered our ratings to 'D (sf)' on the class E, F, G, H, and J certificates because we expect interest shortfalls to continue, and we believe the accumulated interest shortfalls will remain outstanding for the foreseeable future," S&P stated. "We affirmed our rating on the class IO interest-only certificate based on our current criteria," noted S&P. "Our analysis included a review of the credit characteristics of all of the remaining assets in the pool. Using servicer-provided financial information, we calculated an adjusted debt service coverage (DSC) of 1.28x and a loan-to-value (LTV) ratio of 105.9%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 0.83x and an LTV ratio of 132.8%. The implied defaults and loss severity under the 'AAA' scenario were 77.0% and 41.8%, respectively. The DSC and LTV calculations noted above exclude 16 ($397.9 million, 17.5%) of the 20 specially serviced assets ($461.9 million, 20.3%). We separately estimated losses for these specially serviced assets and included them in our 'AAA' scenario implied default and loss severity figures," S&P continued. As of the April 15, 2011, trustee remittance report, the trust experienced monthly interest shortfalls totaling $456,844 primarily related to rate modifications of $22,703, appraisal subordinate entitlement reduction (ASER) amounts of $287,703, special servicing fees of $86,962, and interest paid on outstanding advances of $58,382. The interest shortfalls affected all classes subordinate to and including class F. Classes E through J experienced cumulative interest shortfalls between four and 14 months. "We expect these classes to experience recurring interest shortfalls in the near term. Consequently, we downgraded these classes to 'D (sf)'," S&P noted. Credit Considerations Twenty assets ($461.9 million, 20.3%) in the pool were with the special servicer, CWCapital Asset Management LLC (CWCapital). This figure includes two loans ($30.6 million, 1.3%) that were transferred to CWCapital subsequent to the April 15, 2011 trustee remittance report. The reported payment status of the specially serviced assets as of the April 2011 trustee remittance report is: four are real estate owned (REO) ($151.9 million, 6.7%), three are in foreclosure ($43.7 million, 1.9%), four are 90-plus-days delinquent ($86.2 million, 3.8%), four are in their grace period ($62.2 million, 2.7%), four are 30-plus- days delinquent ($97.7 million, 4.3%), and one is current ($20.2 million, 0.9%). Appraisal reduction amounts (ARAs) totaling $134.0 million are in effect against nine assets ($233.7 million, 10.3%). Details of the three largest specially serviced assets, two of which are top 10 exposures. The Continental Towers asset ($115.0 million, 5.1%), consisting of three office buildings totaling 932,854 sq. ft. in Rolling Meadows, Ill., is the second-largest exposure in the pool and is the largest asset with the special servicer. The asset was transferred to CWCapital on Jan. 19, 2010, due to imminent monetary default and became REO on June 14, 2010. CWCapital stated that it plans to stabilize the property's occupancy before marketing it for sale. The reported occupancy was 58.0% as of January 2011, and an ARA of $78.4 million, based on the January 2011 appraisal value of $39.0 million is in effect against this asset. S&P expects a significant loss upon the eventual resolution of this asset. The DHL Perimeter Center Building loan ($44.0 million, 1.9%), the 10th-largest exposure in the pool, is secured by a 223,537- sq.-ft. suburban office building in Scottsdale, Ariz. The loan was transferred to the special servicer on March 16, 2011, due to imminent monetary default. The loan's payment status is currently 30-plus-days delinquent. CWCapital indicated that it is currently negotiating a loan modification with the borrower, while also pursuing foreclosure. The special servicer also indicated that it ordered an updated appraisal. Following the vacancy of the property's sole tenant in 2011, the reported occupancy is currently 24.0%. "We expect a moderate loss upon the eventual resolution of this loan," S&P said. The Carefree Pebble loan ($34.4 million, 1.5%), is secured by a 416-unit independent living facility in Las Vegas, Nev. The loan was transferred to the special servicer on Jan. 13, 2010, due to imminent monetary default. CWCapital stated that it is pursuing foreclosure. CWCapital reported a 0.83x DSC for year-end 2010 and 91.0% occupancy as of April 2011. An updated January 2011 appraisal valued the property at below the trust balance. "We expect a moderate loss upon the eventual resolution of this loan," according to S&P. The 17 remaining specially serviced assets have individual balances that represent less than 1.5% of the pooled trust balance. ARAs totaling $55.6 million are in effect against eight of these assets. "We estimated losses for 13 of these assets, arriving at a weighted-average loss severity of 41.8%," S&P added. Transaction Summary As of the April 15, 2011, trustee remittance report, the collateral pool balance was $2.28 billion, which is 90.0% of the balance at issuance. The pool includes 149 loans and four REO assets, down from 166 loans at issuance. The master servicer, Wells Fargo Bank N.A. (Wells Fargo), provided financial information for 94.8% of the loans in the pool, 66.6% of which was partial- or full-year 2010 data, and the remainder was partial- or full-year 2009 data. "We calculated a weighted average DSC of 1.33x for the loans in the pool based on the servicer-reported figures. Our adjusted DSC and LTV ratio were 1.28x and 105.9%, respectively. Our adjusted DSC and LTV figures excluded 16 of the 20 specially serviced assets ($397.9 million, 17.5%). We separately estimated losses for the specially serviced assets and included them in our 'AAA' scenario implied default and loss severity figures. The transaction has experienced $48.6 million in principal losses to date. Forty-two loans ($406.2 million, 17.8%) in the pool are on the master servicer's watchlist. Twenty-six loans ($442.2 million, 19.4%) have a reported DSC of less than 1.00x and 10 loans ($79.4 million, 3.5%) have a reported DSC below 1.10x," S&P stated. Summary of Top 10 Real Estate Exposures "The top 10 exposures have an aggregate outstanding balance of $839.2 million (36.8%). Using servicer-reported numbers, we calculated a weighted average DSC of 1.40x for the top 10 exposures. Two of the top 10 exposures are with the special servicer (discussed above). Our adjusted DSC and LTV ratio for the top 10 exposures are 1.18x and 109.4%," S&P said. The Ala Moana Portfolio loan, the largest exposure in the pool, is secured by two retail properties totaling 1.62 million sq. ft. and two office properties totaling 369,280 sq. ft. in Honolulu, Hawaii. The loan has a whole-loan balance of $1.32 billion, which consists of a $1.05 billion senior A note and a $265.9 million subordinate B note ($22.2 million of which is included in the trust). The A note is further divided into six pari passu pieces, $175.3 million of which makes up 7.7% of the pooled trust balance. The class AMP-E1 and AMP-E2 raked certificates (not rated) included in the transaction derive 100% of their cash flow from the $22.2 million nonpooled B note. Wells Fargo reported an aggregate DSC of 1.31x for the nine months ended Sept. 30, 2010, and overall occupancy was 95.5% according to the Dec. 31, 2010, rent rolls. Standard & Poor's stressed the collateral in the pool according to its current criteria. The resultant credit enhancement levels are consistent with its lowered and affirmed ratings. Ratings Lowered COBALT CMBS Commercial Mortgage Trust 2006-C1 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-M BBB (sf) BBB+ (sf) 20.09 A-J B (sf) BB (sf) 10.92 B CCC+ (sf) BB- (sf) 8.70 C CCC- (sf) B+ (sf) 7.45 D CCC- (sf) B (sf) 5.92 E D (sf) B- (sf) 4.95 F D (sf) CCC+ (sf) 3.70 G D (sf) CCC (sf) 2.59 H D (sf) CCC- (sf) 1.06 J D (sf) CCC- (sf) 0.78 Ratings Affirmed COBALT CMBS Commercial Mortgage Trust 2006-C1 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-2 AAA (sf) 31.20 A-AB AAA (sf) 31.20 A-3 AAA (sf) 31.20 A-4 AA- (sf) 31.20 A-1A AA- (sf) 31.20 IO AAA (sf) N/A N/A -- Not applicable. COBALTS SERIES: Moody's Cuts Sprint Capital Cert. Rating to Ba3 --------------------------------------------------------------- Moody's Investors Service has downgraded these certificates issued by COBALTS Trust for Sprint Capital Notes: -- 1,000,000 8.125% COBALTS Trust Series Sprint Capital Certificates, Series 2002-1; Downgraded to B1; Previously on December 3, 2010 Ba3 Placed Under Review for Possible Downgrade Ratings Rationale The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of $29,686,000 6.875% Notes due 2028 issued by Sprint Capital Corporation which were downgraded by Moody's on April 21, 2011. The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in April 2010. Regulatory Disclosures Information sources used to prepare the credit rating are the following: parties involved in the ratings, and public information. Moody's Investors Service considers the quality of information available on the issuer or obligation satisfactory for the purposes of maintaining a credit rating. Moody's adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process. The date on which some Credit Ratings were first released goes back to a time before Moody's Investors Service's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's Investors Service provides a date that it believes is the most reliable and accurate based on the information that is available to it. COLTS 2005-2: Fitch Affirms 4 Classes of Notes; Revises Outlooks ---------------------------------------------------------------- Fitch Ratings has affirmed four classes of notes issued by CoLTS 2005-2, Ltd./Corp. (CoLTS 2005-2): -- $56,787,468 class A floating rate notes at 'AAAsf/LS3'; Outlook Stable; -- $16,000,000 class B floating rate deferrable interest notes at 'AAsf/LS5'; Outlook Stable; -- $34,000,000 class C floating rate deferrable interest notes at 'BBBsf/LS4'; Outlook to Stable from Negative; -- $20,000,000 class D floating rate deferrable interest notes at 'Bsf/LS5'; Outlook to Stable from Negative. The affirmations and revised outlooks are the result of increased credit enhancement to the rated notes offsetting negative credit migration and increasing concentration risks. Approximately 79% of the original class A note balance has paid down, due to the amortization of the portfolio and the overcollateralization (OC) test failures that occurred in 2010. The transaction had exited its reinvestment period in March 2009, and principal proceeds had been used to pay down the balances of the notes sequentially. The OC test failures also diverted excess spread to the principal payments of the rated notes, shutting off proceeds to the preference shares. Since the last review in March 2010, CoLTS 2005-2 has continued to experience negative credit migration, as the trustee reported weighted average rating factor (WARF) increased to 38 ('B-/CCC+') from 32 ('B/B-'), relative to a trigger of 34 ('B/B-'), according to the trustee report dated March 21, 2011. Assets considered at 'CCC+' or lower increased to 38.3% from 30.3%. However, 15.8% have been considered at 'CCC' due to the lack of ratings information. Assets considered as defaulted decreased to 0.5% from 4.5% of the aggregate outstanding loan balance. The OC test continues to pass at 118.59%, relative to a trigger of 112.65%. The rated notes also carry LS ratings. The LS ratings indicate each 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. The long-term rating of the class A notes addresses the likelihood that investors will receive full and timely payments of interest, as per the transaction's governing documents, as well as the stated balance of principal by the legal final maturity date. The long-term ratings of the class B, C, and D notes address the likelihood that investors will receive ultimate and compensating interest payments, as per the transaction's governing documents, as well as the stated balance of principal by the legal final maturity date CoLTS 2005-2 is a cash flow collateralized loan obligation that closed Jan. 10, 2006 and is managed by Ivy Hill Asset Management, L.P. (Ivy Hill), an affiliate of Ares Capital Corporation. Ivy Hill became manager through a sub-servicing agreement executed with Structured Asset Investors, LLC, a wholly owned subsidiary of Wachovia Bank, N.A. on June 15, 2009. The portfolio is comprised of 66.0% traditional middle market loans, 22.7% large middle market loans, and 3.7% broadly syndicated loans to 44 performing borrowers. In addition, the portfolio is composed of 99.4% first lien and 0.6% second lien loans. COLTS 2007-1: Fitch Affirms 5 Classes; LS Ratings Revised --------------------------------------------------------- Fitch Ratings has affirmed five classes of notes issued by CoLTS 2007-1, Ltd./LLC. (CoLTS 2007-1) and revised Loss Severity ratings and Outlooks: -- $159,773,141 class A floating-rate notes at 'AAAsf/LS2', Outlook Stable; -- $22,250,000 class B floating-rate notes at 'AAsf', Outlook Stable, LS revised to 'LS4' from 'LS5'; -- $40,000,000 class C floating-rate deferrable interest notes at 'Asf', Outlook Stable, LS revised to 'LS3' from 'LS4'; -- $21,215,000 class D floating-rate deferrable interest notes at 'BBBsf', Outlook to Stable from Negative; LS revised to 'LS4' from 'LS5'; -- $22,250,000 class E floating-rate deferrable interest notes at 'B'; Outlook to Stable from Negative; LS revised to 'LS4' from 'LS5'. The affirmations and the revised Outlooks are the result of relatively stable performance of the underlying collateral and the increases in credit enhancement to the rated notes. Approximately 39% of the original class A notes balance have paid down from the failures of the class E overcollateralization (OC) in 2009 to 2010, and the interest diversion test, which last failed in December 2010, diverted excess spread to the reinvestment of additional collateral. The cures of both tests resulted in the increases in credit enhancement. According to the trustee report dated March 21, 2011, the performance of the underlying portfolio of CoLTS 2007-1 also stabilized since the last review in March 2010. Credit deterioration has remained relatively flat, as assets considered 'CCC+' or below in the performing (non-defaulted) portfolio increased to 18.9% from 18.5%. Fitch-considered defaults have also decreased to 0.5% from 2.9% of the aggregate outstanding loan balance of the portfolio. The trustee-reported Fitch weighted average rating factor (WARF) also showed some improvement as it decreased to 28.9 ('B/B-') from 29.8 ('B/B-'), but it continues to fail against a trigger of 28.0 ('B/B-'). The transaction is currently in its reinvestment period, which is due to end next year in March 2012. The LS ratings on certain rated notes were also revised. The LS ratings indicate each 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. The ratings on the class A and B notes address the likelihood that investors will receive full and timely payments of interest as well as the stated balance of principal by the legal final maturity date, as per the transaction's governing documents. The ratings on the classes C, D, and E notes address the likelihood that investors will receive ultimate and compensating interest payments as well as the stated balance of principal by the legal final maturity date, as per the transaction's governing documents. CoLTS 2007-1 is a revolving cash flow collateralized loan obligation (CLO) that closed Feb. 27, 2007 and is managed by Ivy Hill Asset Management, L.P. (Ivy Hill), an affiliate of Ares Capital Corporation. Ivy Hill became manager through a sub- servicing agreement executed with Structured Asset Investors, LLC, on June 15, 2009. The portfolio is currently comprised of 96.7% first lien and 3.3% of second lien loans. CORPORATE BACKED: Moody's Cuts Sprint-Backed Certs. Rating to Ba3 ----------------------------------------------------------------- Moody's Investors Service has downgraded these certificates issued by Corporate Backed Trust Certificates, Sprint Capital Note-Backed Series 2003-17: -- US$25,000,000 Principal Amount of 7.00% Class A-1 Certificates due 2028; Downgraded to B1; Previously on December 3, 2010 Ba3 Placed Under Review for Possible Downgrade Ratings Rationale The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of $25,455,000 6.875% Notes due 2028 issued by Sprint Capital Corporation which were downgraded by Moody's on April 21, 2011. The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in April 2010. CREDIT SUISSE: Moody's Affirms 12 and Downgrades Five CMBS Classes ------------------------------------------------------------------ Moody's Investors Service affirmed 12 classes and downgraded five classes of Credit Suisse First Boston Mortgage Securities Corp. Commercial Mortgage Pass-Through Certificates, Series 2007-TFL2. Moody's rating action is: -- Cl. A-1, Affirmed at A2 (sf); previously on Sep 16, 2010 Confirmed at A2 (sf) -- Cl. A-2, Downgraded to B1 (sf); previously on Sep 16, 2010 Downgraded to Ba1 (sf) -- Cl. B, Downgraded to B3 (sf); previously on Apr 1, 2010 Downgraded to B1 (sf) -- Cl. C, Downgraded to Caa1 (sf); previously on Apr 1, 2010 Downgraded to B2 (sf) -- Cl. D, Downgraded to Caa3 (sf); previously on Sep 16, 2010 Downgraded to Caa1 (sf) -- Cl. A-3, Downgraded to B2 (sf); previously on Apr 1, 2010 Downgraded to Ba2 (sf) -- Cl. A-X-1, Affirmed at A2 (sf); previously on Sep 16, 2010 Confirmed at A2 (sf) -- Cl. A-X-2, Affirmed at A2 (sf); previously on Sep 16, 2010 Confirmed at A2 (sf) -- Cl. E, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) -- Cl. F, Affirmed at C (sf); previously on Apr 1, 2010 Downgraded to C (sf) -- Cl. G, Affirmed at C (sf); previously on Apr 1, 2010 Downgraded to C (sf) -- Cl. BSL-A, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) -- Cl. BSL-B, Affirmed at C (sf); previously on Dec 3, 2009 Downgraded to C (sf) -- Cl. BSL-C, Affirmed at C (sf); previously on Mar 4, 2009 Downgraded to C (sf) -- Cl. BSL-D, Affirmed at C (sf); previously on Mar 4, 2009 Downgraded to C (sf) -- Cl. BSL-E, Affirmed at C (sf); previously on Mar 4, 2009 Downgraded to C (sf) -- Cl. BSL-F, Affirmed at C (sf); previously on Mar 4, 2009 Downgraded to C (sf) Ratings Rationale The downgrades were due to the outstanding interest shortfalls that were not recovered in the liquidation of the Resorts Atlantic City loan and the anticipated outstanding interest shortfalls that are not expected to be recovered from the Biscayne Landing loan. The affirmations were due to key parameters, including Moody's loan to value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR), remaining within acceptable ranges. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. 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. The principal methodology used in this rating was "CMBS: Moody's Approach to Rating Large Loan/Single Borrower Transactions" rating methodology published in July 2000. Moody's review incorporated the use of the excel-based CMBS Large Loan Model v 8.0 which is used for both large loan and single borrower transactions. 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. The model also incorporates a supplementary tool to allow for the testing of the credit support at various rating levels. The scenario or "blow-up" analysis tests the credit support for a rating assuming that all loans in the pool default with an average loss severity that is commensurate with the rating level being tested. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 16, 2010. 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. As of the April 15, 2011 distribution date, the transaction's certificate balance decreased by approximately 32% to $1.03 billion from $1.52 billion at securitization due to the payoff of the Capital Source Portfolio Loan and the loss incurred on the Resorts Atlantic City Loan as well as principal payments associated with three loans (Planet Hollywood Loan, Whitehall Seattle Portfolio Loan and Biscayne Landing Loan). The Certificates are collateralized by seven floating-rate loans ranging in size from 5% to 45% of the pooled trust mortgage balance. The largest three loans account for 83% of the pooled balance. The pool composition includes casino properties (45% of the pooled balance), office (37%), hotel (10%) and land (8%). Classes A-2 through L have experienced significant interest shortfalls totaling $6.6 million as of April 2011 distribution date. Moody's expects the interests shortfalls associated the Resorts Atlantic City loan and the Bicayne Landing loan to remain permanent. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs) and extraordinary trust expenses. The pool has experienced $176.7 million in losses since securitization due to the Resorts Atlantic City loan which liquidated at a 101% loss severity. There is currently one loan in special servicing, the Biscayne Landing Loan ($77.2 million - 8% of the pooled trust balance and six rake classes). The loan is secured by a 188-acre site located in North Miami, Florida and was intended to fund pre-development of the parcel to accommodate a mixed-use project. In March of 2008, the loan was moved to special servicing. A 2010 appraisal was received that valued the property at $15.5 million which is 3% of the original appraised value at securitization and significantly below the trust debt balance. In March 2010, outstanding reserves were used to repay servicer advances, fees and interest shortfall recovery associated with the loan and the remaining $29 million was used to pay down the pooled principal balance. The loan collateral is being marketed for sale and terms are being negotiated with a potential buyer. Additional to the pooled balance, there are junior trust loans secured by the asset including rake classes BSL-A, BSL-B, BSL-C, BSL-D, BSL-E and BSL-F. Moody's current credit estimate for the pooled balance is C, the same as last review. The remaining five loans include the Planet Hollywood loan ($439 million, 45% of the pooled balance); the Whitehall Seattle Portfolio loan ($292.5 million, 30%); the 100 West Putnam loan($67 million, 7%), the Ritz-Carlton Half Moon Bay loan($51.5 million, 5%) and the Westin DFW loan ($50 million, 5%). Moody's weighed average pooled loan to value (LTV) ratio is over 100% similar to last review in April 2010, compared to 63.4% at securitization. Moody's pooled stressed debt service coverage (DSCR) is 0.87X similar to last review, compared to 1.31X at securitization. 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. Large loan transactions have a Herf of less than 20. The pool has a Herf of 3, compared to 4 last review. 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. CREDIT SUISSE: Moody's Cuts Rating of RMBS 2002 Class B-4 to 'C' ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 78 tranches and confirmed the ratings of six tranches from nine prime jumbo deals issued by Credit Suisse. The collateral backing the jumbo deals consists primarily of first-lien, fixed and adjustable rate prime jumbo residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of prime jumbo pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The principal methodology used in these ratings is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. Other methodologies used include "Pre-2005 US RMBS Surveillance Methodology" published in January 2011, which accounts for the deteriorating performance and outlook. To assess the rating implications of the updated loss levels on prime jumbo RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R) (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include fifty four different combinations comprising of six loss levels, three loss timing curves and three prepayment curves. For ratings implied Aa3 and above, an additional prepayment curve is run to assess resilience to a high prepayment scenario. The approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that varies from 3% to 5% on average. The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool, and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans with a base rate of new delinquency of 3.00%, the adjusted rate of new delinquency would be 3.03%. in addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.75 to 2.5 for current delinquencies ranging from less than 2.5% to greater than 10% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Moody's has withdrawn the ratings of 14 tranches from the CSFB Mortgage-Backed Pass-Through Certificates, Series 2002-AR33 transaction. The tranches were backed by a pool of mortgage loans with a pool factor less than 5% and containing fewer than 40 loans. 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 a monitoring of the transaction (such as a credit enhancement floor or pool insurance). 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. Please refer to Moody's Investors Service Withdrawal Policy, which can be found on our website, www.moodys.com. Moody's is also reinstating the rating on Class I-P issued by CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-23. The rating on this tranche was previously withdrawn due to an internal administrative error. 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 as follows: Issuer: Credit Suisse First Boston Mortgage Securities Corp. Pass- Through Certificates, 2002-P1 Cl. A, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Underlying Rating: Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account -- Unrated) Cl. B-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. B-2, Downgraded to B2 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. B-3, Downgraded to Ca (sf); previously on Apr 15, 2010 A3 (sf) Placed Under Review for Possible Downgrade Cl. B-4, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade Cl. B-5, Downgraded to C (sf); previously on Aug 25, 2008 Downgraded to Ca (sf) Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2002-AR31 Cl. I-A-1, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. II-A-1, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. II-X, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. III-A-1, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. III-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. IV-A-2, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. IV-A-3, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. V-A-1, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. VI-A-1, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. C-B-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. C-B-2, Downgraded to B1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. C-B-3, Downgraded to Caa3 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade Cl. C-B-4, Downgraded to Ca (sf); previously on Apr 15, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. C-B-5, Downgraded to C (sf); previously on Apr 15, 2010 B1 (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2002-AR33 Cl. I-A-1, Withdrawn (sf); previously on Apr 15, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. II-A-1, Withdrawn (sf); previously on Apr 15, 2010 A3 (sf) Placed Under Review for Possible Downgrade Cl. II-X, Withdrawn (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. III-A-1, Withdrawn (sf); previously on Apr 15, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. III-A-2, Withdrawn (sf); previously on Apr 15, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. III-A-3, Withdrawn (sf); previously on Apr 15, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. III-A-4, Withdrawn (sf); previously on Apr 15, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. III-X, Withdrawn (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. IV-A-1, Withdrawn (sf); previously on Apr 15, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. C-B-1, Withdrawn (sf); previously on Apr 15, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Cl. C-B-2, Withdrawn (sf); previously on Apr 15, 2010 B2 (sf) Placed Under Review for Possible Downgrade Cl. C-B-3, Withdrawn (sf); previously on Apr 15, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Cl. C-B-4, Withdrawn (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade Cl. C-B-5, Withdrawn (sf); previously on Jul 9, 2009 Downgraded to C (sf) Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-10 Cl. I-A-2, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. I-A-3, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. I-A-4, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. I-X, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. I-P, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. II-A-1, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. II-X, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. A-P, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. C-B-1, Downgraded to Ba1 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. C-B-2, Downgraded to Caa2 (sf); previously on Apr 15, 2010 A3 (sf) Placed Under Review for Possible Downgrade Cl. C-B-3, Downgraded to C (sf); previously on Apr 15, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-19 Cl. I-A-1, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. I-A-2, Confirmed at Aa1 (sf); previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. I-A-4, Downgraded to A1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. I-A-14, Downgraded to A1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. I-A-15, Confirmed at Aa1 (sf); previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. I-A-19, Downgraded to A1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. I-A-23, Downgraded to A2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. I-X, Confirmed at Aa2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. I-P, Downgraded to A1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. II-A-1, Downgraded to A1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. II-X, Downgraded to A1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. II-P, Downgraded to A1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. C-B-2, Downgraded to B2 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade Cl. C-B-3, Downgraded to Ca (sf); previously on Apr 15, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. C-B-4, Downgraded to C (sf); previously on Apr 15, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-AR12 Cl. I-A-1, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. I-A-2, Downgraded to B1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. II-A-1, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. II-A-2, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. II-A-3, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. III-A-1, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. III-X-A-1, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. C-B-1, Downgraded to Caa3 (sf); previously on Apr 15, 2010 A3 (sf) Placed Under Review for Possible Downgrade Cl. C-B-2, Downgraded to C (sf); previously on Apr 15, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. C-B-3, Downgraded to C (sf); previously on Apr 15, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-AR15 Cl. I-A-1, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. II-A-1, Downgraded to A3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. II-A-2, Downgraded to Baa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. II-X, Downgraded to A3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. III-A-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. C-B-1, Downgraded to B2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. C-B-2, Downgraded to Caa3 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. C-B-3, Downgraded to Ca (sf); previously on Apr 15, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-AR22 Cl. I-A-1, Downgraded to Ba3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. II-A-4, Downgraded to B1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. II-A-5, Downgraded to B1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. III-A-1, Downgraded to B1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Cl. C-B-1, Downgraded to Ca (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. C-B-2, Downgraded to C (sf); previously on Apr 15, 2010 A3 (sf) Placed Under Review for Possible Downgrade Cl. C-B-3, Downgraded to C (sf); previously on Apr 15, 2010 B1 (sf) Placed Under Review for Possible Downgrade Cl. C-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-AR24 Cl. I-A-1, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. II-A-4, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. III-A-1, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. IV-A-1, Downgraded to A3 (sf); previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. V-A-1, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. C-B-1, Downgraded to B3 (sf); previously on Apr 15, 2010 A3 (sf) Placed Under Review for Possible Downgrade Cl. C-B-2, Downgraded to Ca (sf); previously on Apr 15, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. C-B-3, Downgraded to C (sf); previously on Apr 15, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Cl. C-B-4, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade Cl. C-B-5, 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 2003-23 Cl. I-P, Reinstated to A1 (sf) A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF245312 A list of updated estimated pool losses and sensitivity analysis is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243269 CREDIT SUISSE: S&P Lowers Rating on Class H Certs. to 'D' --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on four classes of commercial mortgage pass-through certificates from Credit Suisse Commercial Mortgage Trust Series 2006-C5, a U.S. commercial mortgage-backed securities (CMBS) transaction. "Concurrently, we affirmed our ratings on 11 other classes from the same transaction," S&P related. "Our rating actions follow our analysis of the transaction using our U.S. conduit and fusion criteria. Our analysis included a review of the credit characteristics of all of the remaining assets in the pool, the transaction structure, and the liquidity available to the trust," S&P stated. The downgrades reflect anticipated credit support erosion upon the eventual resolution of 28 ($281.7 million, 8.5%) of the 30 ($486.8 million, 14.8%) specially serviced loans in the pool. "We downgraded class H to 'D (sf)' due to outstanding accumulated interest shortfalls that we expect to remain outstanding for the foreseeable future. Using servicer-provided financial information, we calculated an adjusted debt service coverage (DSC) of 1.29x and a loan-to-value (LTV) ratio of 116.1%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 0.87x and an LTV ratio of 156.8%. The implied defaults and loss severity under the 'AAA' scenario were 83.2% and 36.7%. The DSC and LTV calculations noted above exclude one defeased loan ($115.0 million, 3.5%), 28 specially serviced loans ($281.7 million, 8.5%), and one loan that we considered to be credit-impaired ($1.4 million), which was subsequently transferred to the special servicer. We separately estimated losses for the 28 specially serviced and credit-impaired loans and included them in our 'AAA' scenario implied default and loss severity figures," S&P noted. "Our rating affirmations on the principal and interest certificate classes reflect subordination and liquidity support levels that are consistent with the outstanding ratings. We affirmed our ratings on the class A-X and A-SP interest-only (IO) certificates based on our current criteria," S&P stated. Credit Considerations As of the April 15, 2011, trustee remittance report, 30 loans ($486.8 million, 14.8%) in the pool were with the special servicer, LNR Partners LLC (LNR). The payment status of the specially serviced assets as reported in the April 2011 trustee remittance report is as follows: six are REO ($46.6 million, 1.4%), three are in foreclosure ($87.5 million, 2.7%), 13 are 90-plus-days delinquent ($105.0 million, 3.2%), one is 60 days delinquent ($1.6 million, 0.1%), one is 30 days delinquent ($2.1 million, 0.1%), and six are current ($244.0 million, 7.4%). Nineteen of the 30 specially serviced assets ($205.7 million, 6.2%) have appraisal reduction amounts (ARAs) in effect totaling $93.9 million. "In addition, one loan ($1.4 million), the Town Manor Apartments loan, which we deem credit-impaired, was subsequently transferred to the special servicer due to payment default. The loan is 60-plus-days delinquent. We discuss details of the two largest specially serviced assets," S&P said. The Babcock & Brown FX 4 loan ($193.0 million, 5.9%) is the largest real estate exposure in the pool and largest asset with the special servicer. The loan is secured by 20 multifamily properties totaling 4,958 units located in Texas, South Carolina, and Georgia. The loan was transferred to the special servicer in July 2009 and has been current since Oct. 11, 2010. As of Dec. 31, 2010, the reported DSC and occupancy were 1.08x and 91.3%. According to LNR, the borrower has indicated that it is drafting an A/B loan restructure/modification proposal. The West Covina Village & Wells Fargo Bank Tower loan ($77.5 million, 2.4%) is the eighth-largest real estate exposure in the pool and second-largest assets with the special servicer. The loan comprises two cross-collateralized and cross-defaulted loans, secured by a 215,189-sq.-ft. office building (Wells Fargo Bank Tower) built in 1987 in West Covina, California and a 229,324-sq.-ft. retail center (The West Covina Village) built in 1982 in West Covina, Calif. The loan was transferred to the special servicer on June 25, 2009, and is currently in foreclosure. The master servicer reported no recent financial information. An updated appraisal received in April 2011 valued the property below the trust balance. "We expect a moderate loss upon the eventual resolution of this loan," S&P stated. The remaining 29 specially serviced assets-including one loan that was transferred subsequent to the April 2011 trustee remittance report ($217.5 million, 6.6%)-have individual balances representing less than 0.8% of the pool balance. "We estimated losses for 27 of these assets at a weighted-average loss severity of 48.5%," S&P added. Transaction Summary As of the April 15, 2011, trustee remittance report, the collateral pool balance was $3.3 billion, which is 96.2% of the balance at issuance. The pool includes 279 loans and six REO assets, down from 304 loans at issuance. The master servicer, KeyBank Real Estate Capital (KeyBank), provided financial information for 96.2% of the nondefeased loans in the pool; 7.7% was full-year 2009 data, 5.0% was partial-year 2010 data, and 83.5% was full-year 2010 data. "We calculated a weighted average DSC of 1.30x for the loans in the pool based on the servicer-reported figures. Our adjusted DSC and LTV figures were 1.29x and 116.1%. These figures excluded one defeased loan ($115.0 million, 3.5%), 28 ($281.7 million, 8.5%) of the 30 specially serviced assets, and one loan that we considered to be credit-impaired ($1.4 million), which was subsequently transferred to the special servicer. We separately estimated losses for these specially serviced and credit-impaired assets and included them in our 'AAA' scenario implied default and loss severity figures. The transaction has experienced $41.0 million in principal losses to date on 20 loans at a weighted average loss severity of 51.7%, according to the April 2011 trustee remittance report. Ninety-one loans ($877.5 million, 26.6%) in the pool are on the master servicers' watchlist. Ninety-four loans ($1.06 billion, 32.1%) have reported DSCs below 1.10x, 72 of which ($733.8 million, 22.2%) have reported DSCs of less than 1.00x," S&P noted. Summary of Top 10 Real Estate Exposures The top 10 real estate exposures have an aggregate outstanding balance of $1.23 billion (37.4%). "Using servicer-reported numbers, we calculated a weighted average DSC of 1.43x for the top 10 real estate exposures. Our adjusted DSC and LTV ratio for the top 10 real estate exposures are 1.32x and 115.6%, respectively. The largest- and eighth-largest real estate exposures are with the special servicer. Two of the top 10 real estate exposures ($332.0 million, 10.1%) are on the master servicer's watchlist," S&P stated. The Queens Multifamily Portfolio loan ($192.0 million, 5.8%), the second-largest exposure in the pool, is secured by 31 multifamily properties built between 1927 and 1962, totaling 2,099 residential units and a mix of retail, commercial, and professional units, totaling approximately 1.9 million sq. ft. in nine submarkets within Queens, N.Y. The loan appears on the master servicer's watchlist due to a low reported DSC. KeyBank reported a DSC of 0.96x, and occupancy of 96.1% as of year-end 2010. The 280 Park Avenue loan, the fifth-largest exposure in the pool, has a trust balance of $140.0 million (4.2%) and a whole-loan balance of $440.0 million. The loan is secured by a class A office property located between East 48th Street and East 49th Street in New York that consists of two towers totaling approximately 1.2 million sq. ft. The loan appears on the master servicer's watchlist because the largest tenant (27.7% net rentable are {NRA}) vacated its space upon its Feb. 28, 2011, lease expiration. KeyBank reported a DSC of 1.71x and occupancy of 97.4% as of year- end 2009. Standard & Poor's stressed the collateral in the pool according to its current criteria. The resultant credit enhancement levels are consistent with its lowered and affirmed ratings. Ratings Lowered Credit Suisse Commercial Mortgage Trust Series 2006-C5 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) E B- (sf) B (sf) 6.29 F CCC+ (sf) B- (sf) 5.25 G CCC- (sf) CCC+ (sf) 3.95 H D (sf) CCC- (sf) 2.91 Ratings Affirmed Credit Suisse Commercial Mortgage Trust Series 2006-C5 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-2 AAA (sf) 29.94 A-AB AAA (sf) 29.94 A-3 A+ (sf) 29.94 A-1-A A+ (sf) 29.94 A-M BBB (sf) 19.54 A-J BB- (sf) 10.84 B BB- (sf) 10.45 C B+ (sf) 8.63 D B (sf) 7.46 A-X AAA (sf) N/A A-SP AAA (sf) N/A N/A -- Not applicable. CREST 2004-1: Moody's Downgrades Ratings on 13 CRE CDO Classes -------------------------------------------------------------- Moody's has downgraded thirteen classes of Notes issued by Crest 2004-1, Ltd., due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor (WARF), decrease in the weighted average recovery rate (WARR) and increase in Defaulted Securities. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. -- Cl. A, Downgraded to Baa3 (sf); previously on Jun 4, 2010 Downgraded to A2 (sf) -- Cl. B-1, Downgraded to B3 (sf); previously on Jun 4, 2010 Downgraded to Ba1 (sf) -- Cl. B-2, Downgraded to B3 (sf); previously on Jun 4, 2010 Downgraded to Ba1 (sf) -- Cl. C-1, Downgraded to Caa1 (sf); previously on Jun 4, 2010 Downgraded to Ba3 (sf) -- Cl. C-2, Downgraded to Caa1 (sf); previously on Jun 4, 2010 Downgraded to Ba3 (sf) -- Cl. D, Downgraded to Caa2 (sf); previously on Jun 4, 2010 Downgraded to B1 (sf) -- Cl. E-1, Downgraded to Caa3 (sf); previously on Jun 4, 2010 Downgraded to B3 (sf) -- Cl. E-2, Downgraded to Caa3 (sf); previously on Jun 4, 2010 Downgraded to B3 (sf) -- Cl. F, Downgraded to Caa3 (sf); previously on Jun 4, 2010 Downgraded to Caa1 (sf) -- Cl. G-1, Downgraded to Caa3 (sf); previously on Jun 4, 2010 Downgraded to Caa2 (sf) -- Cl. G-2, Downgraded to Caa3 (sf); previously on Jun 4, 2010 Downgraded to Caa2 (sf) -- Cl. H-1, Downgraded to Caa3 (sf); previously on Jun 4, 2010 Downgraded to Caa2 (sf) -- Cl. H-2, Downgraded to Caa3 (sf); previously on Jun 4, 2010 Downgraded to Caa2 (sf) Ratings Rationale Crest 2004-1, Ltd. is a static cash CRE CDO transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (93.2% of the pool balance), rake bond (3.5%), real estate investment trust (REIT) debt (2.1%) and CRE CDO (1.2%). As of the April 28, 2011 Trustee report, the aggregate Note balance of the transaction has decreased to $373.3 million from $428.5 million at issuance, with the paydown directed to the Class A Notes, as a result of amortization of the underlying collateral and failure of the overcollateralization tests. There are 46 assets with a par balance of $136.2 million (36.4% of the current pool balance) that are considered Defaulted Securities as of the April 28, 2011 Trustee report. While there have been limited realized losses on the underlying collateral 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 (WAL), WARR, and Moody's asset correlation (MAC). 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 has completed updated credit estimates for the non-Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 6,031 compared to 2,763 at last review. The distribution of current ratings and credit estimates is as follows: Aaa-Aa3 (3.5% compared to 3.4% at last review), A1-A3 (1.0% compared to 0.0% at last review), Baa1-Baa3 (6.3% compared to 9.7% at last review), Ba1-Ba3 (11.6% compared to 40.9% at last review), B1-B3 (17.4% compared to 26.4% at last review), and Caa1- C (60.2% compared to 19.6% at last review). WAL acts to adjust the probability of default of the collateral in the pool for time. Moody's modeled to a WAL of 3.5 years compared to 3.9 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 6.7% compared to 12.4% 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 17.2% compared to 23.2% 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 6.7% to 1.7% or up to 11.7% would result in average rating movement on the rated tranches of 0 to 1 notches downward and 0 to 1 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. The principal methodologies used in these ratings were "Moody's Approach to Rating SF CDOs" published in November 2010. Other methodologies used in these ratings were "CMBS: Moody's Approach to Rating Static CDOs Backed by Commercial Real Estate Securities" published in June 2004. 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. CS FIRST: Moody's Affirms Ratings on 12 Classes of Certificates --------------------------------------------------------------- Moody's Investors Service (Moody's) upgraded the rating of one class, affirmed 12 classes and downgraded two classes of Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2001-CKN5: -- Cl. A-4, 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-Y, 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 Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. E, Upgraded to Aaa (sf); previously on Mar 9, 2011 Confirmed at Aa1 (sf) -- Cl. F, Affirmed at Aa3 (sf); previously on Aug 28, 2007 Upgraded to Aa3 (sf) -- Cl. G, Affirmed at A3 (sf); previously on Aug 28, 2007 Upgraded to A3 (sf) -- Cl. H, Affirmed at Baa2 (sf); previously on Aug 28, 2007 Upgraded to Baa2 (sf) -- Cl. J, Downgraded to B2 (sf); previously on Aug 4, 2010 Downgraded to Ba3 (sf) -- Cl. K, Downgraded to Caa3 (sf); previously on Aug 4, 2010 Downgraded to Caa1 (sf) -- Cl. L, Affirmed at Ca (sf); previously on Aug 4, 2010 Downgraded to Ca (sf) -- Cl. N, Affirmed at C (sf); previously on Aug 4, 2010 Downgraded to C (sf) -- Cl. O, Affirmed at C (sf); previously on Aug 4, 2010 Downgraded to C (sf) Ratings Rationale The upgrade is due to overall stable pool performance and a significant increase in subordination levels. The pool has paid down 36% since Moody's last review. The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans and interest shortfalls. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of $45.8 million or 9.9% of the current balance. At last review, Moody's cumulative base expected loss was $47.1 million or 6.6% of the outstanding balance at last review. The actual dollar figure of expected losses decreased since last review but since the overall pool balance declined due to pay downs and amortization, the overall base expected loss on a percentage basis increased. Moody's stressed scenario loss is 14.6% 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. The principal methodology used in this rating was "CMBS: Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. The other methodology used in this rating due to the lower Herf score was "CMBS: Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 18 compared to 22 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated August 4, 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 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 ratings. Deal Performance As of the April 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 57% to $460.1 million from $1.1 billion at securitization. The Certificates are collateralized by 104 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans representing 44% of the pool. Sixteen loans, representing 29% of the pool, have defeased and are collateralized by U.S. Government securities. The pool faces significant near-term refinancing risk as 91 loans, representing 99% of the pool, mature within the next twelve months. The average calculated debt yield for these 91 loans exceeds 10% which improves the probability of refinancing upon maturity; however for those loans that fall below a 10% debt yield, the probability of refinancing upon maturity declines precipitously. Forty-five 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 (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Fifteen loans have been liquidated from the pool since securitization, resulting in an $18.5 million loss (average 16% loss severity). The pool had experienced an aggregate $13.5 million loss at last review from ten loans with an average loss severity of 17%. Six loans, representing 23% of the pool, are currently in special servicing. The largest specially serviced loan is the Macomb Mall Loan ($42.2 million -- 9.2% of the pool), which is secured by a 509,070 square foot (SF) regional shopping mall located in Roseville, Michigan. The loan was transferred to special servicing in September 2009 due to imminent monetary default but is now current. The property's net operating income (NOI) has declined 50% since securitization and the most recent appraisal as of October 2010 estimated the property's market value at $17.3 million. The property is currently 83% leased compared to 64% at last review. The loan matures in July 2011. The second largest specially serviced loan is the One Sugar Creek Place Loan ($41.1 million -- 8.9% of the pool), which is secured by a 10-story suburban office complex located in Sugar Land, Texas. The loan was transferred to special servicing April 2010 due to imminent monetary default. Unocal vacated its leased premises in March 2010 and the building is presently 17% leased. The most recent appraisal as of May 2010 estimated the property's market value at $20.5 million. The property is now real estate owned (REO). The remaining four specially serviced loans represent a mix of property types. Moody's estimates an aggregate $39.8 million loss for all specially serviced loans (38% expected loss severity on average). As of the most recent remittance statement date, the transaction has experienced unpaid accumulated interest shortfalls totaling $1.97 million affecting Classes K 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 anticipates that the pool will interest shortfalls will continue to accrue due to the pool's high exposure to specially serviced loans. Moody's has assumed a high default probability for nine poorly performing loans representing 3% of the pool and has estimated a $1.0 million loss (8% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 operating results for 64% of the pool's non-defeased loans and partial year 2010 results for 20% of the pool's non-defeased loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 85% versus 82% at last full review. Moody's net cash flow reflects a weighted average haircut of 10.1% 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 1.26X and 1.33X, respectively, compared to 1.32X and 1.40X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 14% of the pool balance. The largest loan is the Bayshore Mall Loan ($29.8 million -- 6.5% of the pool) which is secured by a 430,000 SF retail center located in Eureka, California. Sears and Kohl's (excluded from collateral) anchor the center. The property was 81% leased as of year-end 2010 compared to 87% as of March 2010. Performance has declined due to lower occupancy and higher expenses. The loan is on the servicer's watchlist due to low DSCR. This loan was included in GGP's 2009 bankruptcy filing and as part of that settlement, the loan's maturity date was extended until September 2016. The loan has amortized 2% since last review. Moody's LTV and stressed DSCR are 111% and 0.98X, respectively compared to 112% and 0.96X at last full review. The second largest loan is the 850-888 Washington Street Office Buildings Loan ($17.6 million -- 3.8% of the pool) which is secured by a 133,000 SF office property located inside Route 128 in Dedham, Massachusetts. The property was 99% leased as of September 2010 compared to 86% at last review. The largest tenant is Salvy Enterprises which leases 83% of net rentable area (NRA) through 2021. Strong occupancy has yielded stable financial performance since last review. Moody's LTV and stressed DSCR are 98% and 1.1X, respectively, compared to 99% and 1.09X at last full review. The third largest loan is the Capital Centre Loan ($15.2 million - - 3.3% of the pool), which is secured by a 136,000 SF office property located in the central business district of Sacramento, California. As of September 2010, the property was 94% leased compared to 100% at last review. The largest tenants are the Department of Corporations (36% of NRA), Board of Prison Terms (26% of NRA) and Department of Health Services (25% of NRA) with all three leases expiring in 2018. Financial performance has declined since last review due to lower occupancy. The recent Board of Prison Terms recent 8-year lease renewal through 2018 bolsters both leasing and financial performance. Moody's rates the State of California at A1, stable outlook. This loan matures August 2011 and it exhibits a strong debt yield, thereby reducing refinancing risk. Moody's LTV and stressed DSCR are 60% and 1.8X, respectively, compared to 61% and 1.8X at last review. CS FIRST: Moody's Affirms Ratings on Three CMBS Classes ------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of three classes of Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 1999-C1: -- Cl A-X., Affirmed at Aaa (sf); previously on Nov 10, 1999 Definitive Rating Assigned Aaa (sf) -- Cl F., Affirmed at A1 (sf); previously on Sep 25, 2008 Upgraded to A1 (sf) -- Cl L., Affirmed at C (sf); previously on May 4, 2006 Downgraded to C (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 48.0% of the current balance. At last review, Moody's cumulative base expected loss was 39.2%. Moody's stressed scenario loss is 53.6% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodologies used in this rating were: "CMBS: Moody's Approach to Rating Fusion Transactions" published on April 19, 2005, "CMBS: Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 2000, and "CMBS: Moody's Approach to Rating Credit Tenant Lease (CTL) Backed Transactions" published on October 2, 1998. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 3 compared to 4 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. In rating this transaction, Moody's used its credit-tenant lease (CTL) financing rating methodology (CTL approach). 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. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 16, 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 April 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 92% to $91.9 million from $1.17 billion at securitization. The Certificates are collateralized by 8 mortgage loans ranging in size from 1% to 47% of the pool. The pool includes a credit tenant lease (CTL) component which comprises 32% of the pool. The pool does not contain any defeased loans or loans with underlying ratings. Three loans, representing 41% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Thirty loans have been liquidated from the pool, resulting in an aggregate realized loss of $49.0 million (28% loss severity). Currently one loan, representing 47% of the pool, is in special servicing. The sole specially serviced loan is the Tallahassee Mall Loan ($42.9 million -- 46.7% of the pool), which is secured by a leasehold interest in a 973,973 square foot mall located in Tallahassee, Florida. The loan was transferred to special servicing in September 2008 due to imminent default when the mall lost two anchor tenants, Dillard's and Goody's. Foreclosure was completed in January 2011 and the property is currently Real Estate Owned (REO). The property is subject to a ground lease and the Lender filed suit for damages with the Ground Lessor when the Ground Lessor was unable to provide the Lender with a clean Ground Lease Estopel Certificate (GLEC). The lender cannot sell the property without a clean GLEC. The property was recently appraised for $4.5 million but given the ongoing litigation expenses with the Ground Lessor, Moody's has estimated an aggregate $42.9 million loss (100% expected loss) for this specially serviced loan. Based on the most recent remittance statement, Classes G through O have experienced cumulative interest shortfalls totaling $11.4 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the pool's exposure to the loan secured by the leasehold interest of Tallahassee Mall. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs), extraordinary trust expenses and non-advancing by the master servicer based on a determination of non-recoverability. The master servicer has made a determination of non-recoverability for the largest loan in special servicing and is no longing advancing for this loan. Moody's was provided with full year 2009 operating results for 88% of the pool (excluding specially serviced loans). Excluding specially serviced and troubled loans, Moody's weighted average LTV is 80% compared to 85% 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 9.7%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.25X and 2.00X, respectively, compared to 1.11X and 1.45X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 19% of the pool balance. The largest loan is the IBM Corporate Center Loan ($8.1 million -- 8.8% of the pool), which is secured by a 129,293 square foot office property located in Parsippany, NJ. The loan has passed its September 2009 anticipated repayment date (ARD) and is current. As of December 2010, the property was 89% leased, essentially the same as at the last review. The largest tenant, EchoStar Satellite Corp (51% of the NRA), has a lease that expires in December 2011. Moody's valuation is based on a stressed net cash flow due to concerns with the property's near-term lease rollover exposure. Moody's LTV and stressed DSCR are 94% and 1.15X, respectively, compared to 96% and 1.13X at last review. The second largest loan is the Park Glen West Business Center Loan ($4.7 million -- 5.1% of the pool), which is secured by a 127,336 square foot industrial property located in St. Louis Park, Minnesota. As of February 2011, the property was 81% leased, essentially the same as the prior review. Three tenants, totaling 20,000 square feet (28% of the NRA) have leases that expire by year-end 2011. Moody's valuation is based on a stressed net cash flow due to concerns with the property's near-term lease rollover exposure. Moody's LTV and stressed DSCR are 85% and 1.33X, respectively, compared to 84% and 1.36X at last review. The third largest loan is the Pinewood Square Shopping Center Loan ($4.4 million -- 4.8% of the pool), which is secured by a Wal-Mart anchored retail center located in Goldsboro, North Carolina. The loan has passed its August 2009 ARD and is current. As of December 2010, the property was 94% leased, essentially the same as the prior review. Moody's LTV and stressed DSCR are 74% and 1.38X, respectively, compared to 76% and 1.34X at last review. The CTL component ($29.4 million -- 31.9%) consists of two cross- collateralized loans secured by a bondable lease to Accor SA. The collateral consists of 11 Motel 6 hotels totaling 1,224 rooms and located in five states. On July 2, 2010, Moody's withdrew Accor SA's Prime-3 commercial paper rating due to business reasons. For the purpose of rating this component of the subject transaction, Moody's developed an internal view of the credit quality of the company. CS FIRST: Moody's Holds Junk Ratings on Class I & J --------------------------------------------------- Moody's Investors Service (Moody's) upgraded the ratings of one class and affirmed three classes of Credit Suisse First Boston Mortgage Securities Corp., Series 1997-C1: -- Cl. A-X, Affirmed at Aaa (sf); previously on Apr 20, 1999 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. H, Upgraded to Baa1 (sf); previously on Sep 16, 2010 Upgraded to Baa3 (sf) -- Cl. I, Affirmed at Caa3 (sf); previously on Feb 15, 2005 Downgraded to Caa3 (sf) -- Cl. J, Affirmed at C (sf); previously on Feb 15, 2005 Downgraded to C (sf) Ratings Rationale The upgrade is due to increased subordination due to loan amortization and payoffs. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 2.4% of the current balance. At last full review, Moody's cumulative base expected loss was 2.0%. Moody's stressed scenario loss is 6.0% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodologies used in this rating were "Moody's Approach to Rating Conduit Transaction", published on September 15, 2000 and "CMBS: Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 2000 and "CMBS: Moody's Approach to Rating Credit Tenant Lease (CTL) Backed Transactions" published in October 1998. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 four, the same as 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. 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 16, 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 21, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 93% to $91.8 million from $1.36 billion at securitization. The Certificates are collateralized by 12 mortgage loans ranging in size from 1% to 36% of the pool. Four loans, representing 52% of the pool, have defeased and are collateralized with U.S. Government securities. Six loans, representing 45% of the pool, are CTL loans. The conduit component consists of two loans, representing 3% of the pool balance. Two loans, representing 3% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Sixteen loans have been liquidated from the pool, resulting in a $19.5 million loss (20% loss severity on average). No loans are currently in special servicing. The largest conduit loan is the Glastonbury Country Club Loan ($1.7 million -- 1.8% of the pool), which is secured by an 18-hole golf course located in an upscale neighborhood near Hartford, Connecticut. The loan is on the master servicer's watchlist due to low DSCR caused by decrease in revenues. However, property performance has recently improved with a third quarter 2010 DSCR of 0.89X compared to 0.70X at the year-end 2009. The loan fully amortizes over the loan term and has amortized by approximately 47% since securitization and 7% since last review. Moody's LTV and stressed DSCR are 57% and 1.85X, respectively, compared to 89% and 1.20X at last review. The second largest conduit loan is the Genus Inc. Building Loan ($1.3 million -- 1.4%), which is secured by a 74,400 square foot R&D facility located in Newburyport, Massachusetts. The property is 100% leased to Varian Inc. through November 2015. The loan is on the master servicer's watchlist due to outstanding servicer advances for taxes. The loan fully amortizes over the loan term and has amortized by approximately 81% since securitization and 23% since last review. Moody's LTV and stressed DSCR are 19% and >4.00X, respectively, compared to 26% and >4.00X at last review. The CTL component includes six loans secured by properties leased under bondable leases. The CTL exposures are Bank of America Corporation ($16.4 million -- 17.9%; Moody's senior unsecured rating A2 - negative outlook), RadioShack Corporation ($11.3 million -- 12.3%; Moody's senior unsecured rating Ba2 -- stable outlook), Bon-Ton Stores Inc. ($8.5 million -- 9.2%; Moody's senior unsecured rating Caa1 -- stable outlook), and Kohl's Corporation ($5.4 million -- 5.9%; Moody's senior unsecured rating Baa1 -- stable outlook). Credits representing approximately 100% of the CTL exposure are publicly rated by Moody's. Moody's has downgraded the rating of one credit since the prior review of this transaction in September 2010. The bottom-dollar weighted average rating factor (WARF) for the CTL component has declined to 1,420 compared to 1,331 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. CSFB COMMERCIAL: Moody's Holds Ratings on 18 Classes of Certs. -------------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of 18 classes of Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2002-CKS4: -- 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. A-X, 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 Aa2 (sf); previously on Sep 22, 2010 Downgraded to Aa2 (sf) -- Cl. E, Affirmed at A2 (sf); previously on Sep 22, 2010 Downgraded to A2 (sf) -- Cl. F, Affirmed at Baa3 (sf); previously on Sep 22, 2010 Downgraded to Baa3 (sf) -- Cl. G, Affirmed at B1 (sf); previously on Sep 22, 2010 Downgraded to B1 (sf) -- Cl. H, Affirmed at Caa3 (sf); previously on Sep 22, 2010 Downgraded to Caa3 (sf) -- Cl. J, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Aug 12, 2010 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on Aug 12, 2010 Downgraded to C (sf) -- Cl. O, Affirmed at C (sf); previously on Aug 12, 2010 Downgraded to C (sf) -- Cl. P, Affirmed at C (sf); previously on Aug 12, 2010 Downgraded to C (sf) -- Cl. APM, Affirmed at A1 (sf); previously on Jun 26, 2008 Upgraded to A1 (sf) The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 7.5% of the current balance, the same as at last review. Moody's stressed scenario loss is 11.1% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodology used in this rating was: "Moody's Approach to Rating Fusion Transactions" published in April 2005. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 41, essentially the same as 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 22, 2010. Deal Performance As of the March 17, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 24% to $939.8 million from $1.23 billion at securitization. The Certificates are collateralized by 129 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans representing 38% of the pool. The pool includes two loans with investment grade credit estimates, representing 17% of the pool. Twenty-nine loans, representing 21% of the pool, have defeased and are collateralized with U.S. Government securities. Twenty loans, representing 11% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Thirteen loans have been liquidated from the pool, resulting in a $25.3 million loss (31% loss severity on average). Currently 16 loans, representing 14% of the pool, are in special servicing. The largest specially serviced loan is the McDonald Investment Center Loan ($25.9 million -- 2.8% of the pool), which is secured by an office building located in Cleveland, Ohio. The loan was transferred to special servicing in October 2009 due to imminent default and is currently real estate owned (REO). The remaining 15 specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $54.7 million appraisal reduction for the specially serviced loans. Moody's has estimated an aggregate loss of $58.3 million (44% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for five poorly performing loans representing 1% of the pool and has estimated a $1.6 million loss (20% expected loss based on a 40% probability default) from these troubled loans. Moody's was provided with full year 2009 and partial year 2010 operating results for 100% of the performing non-defeased pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 84% compared to 82% 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 9.4%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.28X and 1.28X, respectively, compared to 1.32X and 1.31X at last full review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9. 25% stressed rate applied to the loan balance. The largest loan with a credit estimate is the Crystal Mall Loan ($92.1 million -- 9.8% of the pool), which is secured by the borrower's interest in a 801,600 square foot (SF) regional mall located in Waterford, Connecticut. The center is anchored by Sears, Macy's and J.C. Penney. The in-line space was 79% leased as of December 2010 compared to 75% at last review. Moody's underlying rating and stressed DSCR are Baa3 and 1.34 X, respectively, compared to Baa3 and 1.31X at last review. The second loan with a credit estimate is the Arbor Place Mall Loan ($62.3 million -- 6.7%), which is the senior pooled component of a $66.4 million mortgage loan. The $4.1 million B-Note is included in the trust and is the security for the non-pooled Class APM. The loan is secured by the borrower's interest in a 1.0 million SF regional mall located in Douglasville, Georgia, approximately 22 miles west of Atlanta. The mall is anchored by Dillard's, Belk, Macy's, and J.C. Penney. As of December 2010, the inline space was nearly 100% leased, essentially the same as at last review. The loan amortizes on a 25-year schedule and has amortized by approximately 23% since securitization. Moody's underlying rating and stressed DSCR of the senior component are Aa3 and 1.94X, respectively, compared to Aa3 and 1.98X at last review. The credit estimate of the B-Note is A1. The top three performing loans represent 10% of the pool balance. The largest performing loan is the SummitWoods Crossing Loan ($43.2 million -- 4.6%), which is secured by the borrower's interest in a 719,600 square foot retail center located in Lee's Summit, Missouri. The property was 100% leased as of September 2010, the same as last review. Major tenants include Target, Lowe's Home Centers and Kohl's. Although performance has been stable since last review, Moody's evaluation reflects a stressed net cash flow due to concerns about upcoming lease expirations. Leases for approximately 16% of the net rentable area (NRA) expires throughout 2011. Moody's LTV and stressed DSCR are 96% and 1.04X, respectively, compared to 103% and 0.98X at last review. The second largest performing loan is the Old Hickory Mall Loan ($29.3 million -- 3.1%), which is secured by the borrower's interest in a 555,000 square foot regional mall located in Jackson, Tennessee. The anchor tenants are Macy's, Sears, Belk and J.C. Penney. The in-line shops were 96% leased as of September 2010, compared to 99% at last review. The property's performance has declined slightly due to the drop in occupancy. The loan is structured with a 25-year amortization schedule and has amortized 18% since securitization. Moody's LTV and stressed DSCR are 74% and 1.34X, respectively, compared to 72% and 1.40X at last review. The third largest performing loan is the Creeks at Virginia Center Loan ($24.7 million -- 2.6%), which is secured by a community power center located in Glen Allen, Virginia. The property was 87% leased as of October 2010, essentially the same as at last review. The property's performance has declined due to the drop in occupancy. Additionally, Moody's evaluation reflects a stressed net cash flow due to concerns about upcoming lease expirations. The Moody's LTV and stressed DSCR are 110% and 0.93X, respectively, compared to 97% and 1.06X at last review. DAVIS HEALTH: Moody's Cuts Bond Rating to 'Ba1'; Outlook Negative ----------------------------------------------------------------- Moody's Investors Service downgrades Davis Health System's (WV) bond rating to Ba1 from Baa3, affecting approximately $15.7 million of outstanding Series 1998 and 1999 fixed rate revenue bonds issued by Randolph County Commission, WV. The rating outlook remains negative. Summary Rating Rationale The rating downgrade reflects a sizable operating loss in FY 2010 due to large volume declines contributing to second year of revenue contraction, weaker debt service coverage measures, and continued low liquidity position. The negative rating outlook reflects the uncertainty of whether the hospital will be able to sustain recent improved operating performance due a trend of admissions declines, weak service area demographics, increased competitive pressures, and also be able to absorb the expected increase in debt for construction of a new medical office building project to begin later this year. Strengths * Medicare designated sole community provider and only acute care hospital located in the city of Elkins in Randolph County, WV with leading 66% market share according to management; market position is protected by State certificate of need law * Through the first quarter FY 2011, operating performance shows improvement from the operating loss incurred in FY 2010 reflecting volume growth and expense management initiatives including a 10% reduction in workforce in FY 2010 (2.2% operating margin and 7.6% operating cash flow margin through first quarter of FY 2011) * All fixed rate debt and no interest rate swaps outstanding; DHS is expecting to issue, an estimated $10 million bank loan, by the end of FY 2011, for the construction of a new medical office building * Froze defined benefit pension plan in FY 2006; as of December 31, 2010 the plan was 88% funded; DHS contributed $827,000 to the plan in FY 2010 and expects to contribute a similar level in FY 2011 * Workforce is non-unionized Challenges * History of variable operating performance; a sizable operating loss and material decline in operating cash flow in FY 2010 (-2.0% operating margin and 4.1% operating cash flow margin), contributing to weaker debt coverage measures (Moody's adjusted maximum annual debt service declined to 1.47 and debt-to-cash flow increased to an unfavorably higher 4.28 times in FY 2010) * Two consecutive years of operating revenue declines; revenues contracted by nearly 2.0% in FY 2010 from 0.5% decline in FY 2009; according to management, the primary factor for the downturn in FY 2010 was low utilization levels beginning in late FY 2009 through the first half of FY 2010 due to winter weather conditions in the region (combined inpatient admissions and observation stays declined by 9% and outpatient surgeries were down 5.4% in FY 2010) * Expected to debt finance and fund a portion with operating cash a projected $13 million capital project that includes the construction of a new medical office building which will consolidate physician practices and outpatient services and create a new entrance for outpatient services to improve patient and work flow; hospital is expected to issue $10 million of and fund about $3 million of upfront capital with operating cash reserves; construction is scheduled to begin in the summer of FY 2011 * Maintenance of low liquidity position with slight decline in unrestricted liquidity at fiscal yearend (FYE December 31, 2010) to $15.5 million, equating to continued low 54 days cash on hand and cash-to-debt coverage of 77%; factoring in a $5 million capital lease entered into in March 2011 for upgrades to information technology system and anticipated $10 million bank loan expected to be issued later this year, proforma cash-to-debt declines to a very weak 44% * Increased competitive threat with the recent opening in October 2010 of the new 292-bed United Health Center (UHC) replacement hospital in the city of Bridgeport (UHC is part of A2-rated West Virginia United Health System, the largest health care system and academic medical center in the state); the replacement facility is about 25 miles northwest of Davis Health System's Broaddus Hospital and about 50 miles northwest of its main hospital, Davis Memorial Hospital * High dependence on government payors (Medicare (47%) and Medicaid (15.9%) combined represent 63% of gross revenues in FY 2010) and steadily increasing self pay population (7.6% self pay) * Small provider (revenue base of $108 million, 4,300 admissions, and 5,400 outpatient surgeries in FY 2010) with dependence on a small medical staff (68 physician active medical staff) leaves the hospital vulnerable to physician departures and retirement * Weak service area characterized by flat to declining population growth, higher unemployment rate (12% in Randolph County based February 2011 of US Census Bureau of Labor Statistics) and lower income levels compared to state and national averages Detailed Credit Discussion Legal Security: Joint and several pledge of Davis Memorial Hospital (DMH) and Broaddus Hospital (BH), which represent 80% and 14% of Davis Health System total revenues and 82% and 12% of total assets, respectively. The below analysis is based on consolidated system financial statements Debt Structure: The current debt structure is 100% fixed rate debt with no swaps outstanding. Interest Rate Derivatives: None Recent Results/Developments DHS posted a sizable operating loss in FY 2010 (based on audited results) of $2.2 million (-2.0% margin) from an operating margin of $785,000 (0.7% margin) in FY 2009 and operating loss of $1.5 million (1.3% margin) in FY 2008. Total operating cash flow decreased by a material 45% in FY 2010 to a low $4.4 million (4.1% margin) from $8.0 million (7.3% margin) in FY 2009 and $5.8 million (5.2% margin) in FY 2008. According to management, the primary factor for the downturn in performance was largely due to low utilization levels at both the hospital and physician clinics beginning in late FY 2009 through the first half of FY 2010 due to winter weather conditions in the region. Management responded to the large losses incurred through the first half of FY 2010 by implementing the second workforce reduction in the past two years (60 FTEs were reduced through attrition by the end of FY 2009) and offering early retirement packages. By the end of FY 2010, a10% workforce reduction (approximately 60 FTEs; reduced total FTEs to 540 from 600 in early FY 2010) was instituted across all clinical and non-clinical departments. Through the first quarter of FY 2011, operating performance shows improvement with a operating margin of $632,000 (2.2% margin) and operating cash flow of $2.2 million (7.6% margin) from an operating loss of $1.4 million (-5.2% margin) and operating cash flow of $278,000 (1.1% margin) through the first quarter of FY 2010. As a result of the large volume declines, total operating revenues contracted for the second consecutive year by 1.89% in FY 2010 from a decline of 0.5% in FY 2009. Combined inpatient admissions and observations continued the downward trend with a material 9% decline in FY 2010 compared to 2.3% in FY 2009. Outpatient surgeries decreased by 5.4%, emergency visits were down by 2.9%, outpatient visits were down 8.7% and newborn admissions were down 14% in FY 2010. The variability in volume growth over the years is due to several factors including DHS' reliance on a small active medical staff (68 physicians), which leaves the system vulnerable to operating disruptions if any top admitting physicians retire and/or leave the service area. In FY 2010, DHS replaced two general surgeons (one left the area and one retired) and is still recruiting for a new OB physician after one OB physician left the area. The volume and operating trends are also reflective of the overall weak demographics and rural service area the DHS is located in, characterized by flat to declining population trends, higher unemployment levels (12% unemployment rate in Randolph County based on February 2011 US Bureau of Labor Statistics) and below average income levels compared to state and national averages and a high Medicare and Medicaid population (combined represent 63% of gross revenues in FY 2010) and a steadily growing self pay population (7.6% in FY 2010). DHS' total unrestricted liquidity balance remains very low relative to its total debt load of approximately $20 million outstanding (total debt to operating revenues measured 18.5% in FY 2010) which continues to remain a credit concern. As of audited December 31, 2010, DHS' unrestricted liquidity (excluding health employee benefits, malpractice funds, and debt service reserve funds) declined slightly to $15.5 million, equating to a modest 54 days cash on hand and 77% cash-to-debt from $16.5 million of unrestricted liquidity at FYE 2009 (58 days cash on hand and 72% cash-to-debt coverage). DHS' total unrestricted cash and investment asset allocation is 75% fixed income and cash and 25% equities and all of its investments are able to be liquidated within 30 days. DHS currently has all fixed rate debt and no interest rate swaps outstanding. Management is expecting to issue an estimated $10 million bank loan to fund a $13 million new construction medical office building project. The project is expected to consolidate all physician practices and outpatient services to one building. The new building will be connected to the main hospital and will have a new entrance for outpatient services. Total capital spending is budgeted to be about $4.5 million in FY 2011. DHS spent $2.8 million in FY 2010 from $4.5 million spent in FY 2009. Additionally, as of March 31, 2011, DHS entered into a $5 million five-year capital lease with McKesson to upgrade to a new information technology system. Due to the decline in the operating cash flow generation, debt coverage measures weakened; Moody's' adjusted maximum annual debt service coverage (MADS) measured a modest 1.47 times and debt-to- cash flow increased to a high (unfavorable) 4.28 times from 1.99 and 2.76 times, respectively, in FY 2009. Based on FY 2010 results and factoring in the $5 million capital lease and expected $10 million of new debt, proforma debt measures weaken further to 1.17 MADs coverage and 7.47 times adjusted debt-to-cash flow. Proforma cash-to-debt declines to a very weak 44%. DHS operates a 90-bed Davis Memorial Hospital (located in Elkins, WV) and Broaddus Hospital (hospital located in Philippi, WV) and maintains as a sole community provider and only acute care hospital in Randolph County (approximately 28,200 population) a leading 66% market share (according to management) in Randolph County and 46% market share in a five-county primary service area including Randolph, Upshur, Tucker, Pocahantas, and Barbour counties. The nearest local competitor is located approximately 29 miles away but poses no significant competitive threat and larger tertiary providers are located in Morgantown, approximately 70 miles north of Davis Memorial Hospital. However, Moody's notes that competitive pressures may increase with the recent opening in October 2010 of West Virginia United Health System's (A2-rated) new 292-bed replacement facility in Bridgeport, WV, located about 25 miles from Broaddus Hospital and 50 miles away from Davis Memorial Hospital. Outlook The negative rating outlook reflects a sizable operating loss in FY 2010, sizable large volume declines contributing to the second year of revenue declines, weaker debt service coverage measures, and continued low liquidity position. There is also uncertainty of whether the hospital will be able to sustain the recent improvement in operating performance due to a trend of admissions declines, weak service area demographics, increased competitive pressures, and also be able to absorb the expected increase in debt for construction of a new medical office building project to begin later this year. What Could Make The Rating Go -- Up Growth and stability in inpatient and outpatient volume trends; continued improvement in operating performance and ability to sustain improved levels for multiple years; improvement in liquidity and debt coverage measures What Could Make The Rating Go -- Down Further decline in volumes; no improvement or decline in operating performance; weakening of liquidity balance, weaker liquidity and debt coverage levels; significant debt issuance; loss in market share Key Indicators Based on financial statements for Davis Health System, Inc., Subsidiary and Affiliates -- First number reflects audit year ended December 31, 2009 -- Second number reflects audit year ended December 31, 2010 -- Investment returns smoothed at 6% unless otherwise noted * Inpatient admissions: 5,044, 4,382 * Total operating revenues: $110.6 million; $108.6 million * Moody's-adjusted net revenue available for debt service: $9.6 million; $5.9 million * Total debt outstanding: $23.0 million; $20.1 million * Maximum annual debt service (MADS): $4.85 million; $4.00 million * MADS Coverage with reported investment income: 1.82 times; 1.38 times * Moody's-adjusted MADS Coverage with normalized investment income: 1.99 times; 1.47 times * Debt-to-cash flow: 2.76 times; 4.28 times * Days cash on hand: 58 days; 54 days * Cash-to-debt: 72%; 77% * Operating margin: 0.7%; -2.0% * Operating cash flow margin: 7.3%; 4.1% Rated Debt (outstanding as of December 31, 2010) -- Series 1998 Fixed Rate Hospital Revenue Bonds ($9.5 million outstanding; insured by Assured Guaranty; Ba1 underlying -- Series 1999 Fixed Rate Hospital Revenue Bonds ($6.2 million outstanding); rated Ba1 The last rating action with respect to Davis Health System was on March 12, 2010, when a municipal finance scale Baa3 rating affirmed and outlook remained negative. That rating was subsequently recalibrated to Baa3 on May 7, 2010. Principal Methodology Used The principal methodology used in this rating was Not-for-Profit Hospitals and Health Systems published in January 2008. DAVIS SQUARE: S&P Lowers Ratings on Six Tranches to 'CC' -------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 10 tranches from three U.S. cash flow collateralized debt obligation (CDO) transactions. The original issuance amount of the downgraded notes was $1.217 billion. "At the same time, we affirmed our ratings on two tranches and withdrew our rating on one tranche from an additional transaction," S&P stated. The affected transactions include Davis Square Funding II Ltd. and Maxim High Grade CDO II Ltd., both of which are investment-grade structured finance (SF) CDOs of asset-backed securities (ABS) transactions that were collateralized at origination primarily by 'AAA' through 'A' rated tranches of U.S. residential mortgage- backed securities (RMBS) and other SF securities. The other affected transactions, IXIS ABS CDO 1 Ltd. and Oceanview CBO I Ltd., are mezzanine SF CDOs of ABS that were collateralized in large part by mezzanine tranches of U.S. RMBS and other SF securities. "Our rating actions on the tranches issued by Davis Square Funding II Ltd. follows the deterioration in the credit quality of the underlying collateral. According to the March trustee report, 22.25% of the transaction's collateral was in the 'CCC' range or below, up from 8.82% since our last rating action in May 2009," S&P stated. The rating actions on the class A-1B, A-2, and composite securities issued by Oceanview CBO I Ltd. reflect increased deterioration in the credit quality of the underlying collateral and the nonpayment of interest to the class A-2 notes. "We based the affirmation of the class A-1A notes on a financial guarantee insurance policy issued by MBIA Insurance Corp.," S&P noted The downgrade of the class A-2L notes from IXIS ABS CDO 1 Ltd. reflects the nonpayment of interest to the notes on the April 12, 2011, payment date. The affirmation of the 'CCC- (sf)' rating on the class X notes reflects the availability of credit support at the class' current rating level. "We withdrew our 'AAA (sf)' rating on the principal protected notes issued by Maxim High Grade CDO II Ltd. following the complete paydown of the notes on their most recent payment date," S&P added. Ratings Lowered Davis Square Funding II Ltd. Rating Class To From A-1LT-a CC (sf) CCC+ (sf)/Watch Neg A-1LT-b CC (sf) CCC+ (sf)/Watch Neg A-1LT-c CC (sf) CCC+ (sf)/Watch Neg A-1LT-d CC (sf) CCC+ (sf)/Watch Neg A-1LT-e CC (sf) CCC+ (sf)/Watch Neg A-1LT-f CC (sf) CCC+ (sf)/Watch Neg IXIS ABS CDO 1 Ltd. Rating Class To From A-2L D (sf) CC (sf) Oceanview CBO I Ltd. Rating Class To From A-1B CC (sf) CCC- (sf) Comb Sec CC (sf) CCC- (sf) A-2 D (sf) CC (sf) Ratings Affirmed Oceanview CBO I Ltd. Rating Class To From A-1A B (sf) B (sf) IXIS ABS CDO 1 LTD. Rating Class To From X CCC- (sf) CCC- (sf) Rating Withdrawn Maxim High Grade CDO II Ltd Rating Class To From Notes NR AAA (sf) Other Outstanding Ratings IXIS ABS CDO 1 LTD. Class Rating A-1LB CC (sf) A-3L CC (sf) B-1L CC (sf) B-2L CC (sf) Maxim High Grade CDO II Ltd. Class Rating A-1 D (sf) A-2 D (sf) A-3 D (sf) A-4 D (sf) B D (sf) C D (sf) D CC (sf) E CC (sf) Oceanview CBO I Ltd. Class Rating B-F CC (sf) B-V CC (sf) C CC (sf) NR -- Not rated. DELTA AIR: S&P Raises Rating on Class B Certs. to 'BB+' ------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on Atlanta- based Delta Air Lines Inc.'s 2001-1 class A1 pass-through certificates to 'A- (sf)' from 'BBB- (sf)', and raised its rating on the class B certificates to 'BB+ (sf)' from 'B+ (sf)'. These certificates were originally issued by Northwest Airlines Inc., which has since merged into Delta. "We based our upgrade on the pass-through certificates on the materially improved asset protection following the repayment of the 2001-1 class A2 certificates, which were secured by the same collateral, on April 1, 2011. The 2001-1 pass-through certificates were originally issued by Northwest, which was acquired in 2007 by--and since merged into--Delta. Northwest continued to pay debt service on these certificates in its 2005-2007 Chapter 11 bankruptcy reorganization. The certificates are secured by nine A319-100, three B757-300, and two B747-400 aircraft--all delivered in 2002. With the repayment of the class A2 certificates, we believe that the loan-to-value (LTV) of the remaining class A1 certificates is in the 25%-35% range (depending on whether a base value or current market value estimate is used), and of the class B certificates as 35%-45%. These are unusually conservative for pass-through certificates of this type (usually referred to as enhanced equipment trust certificates or "EETCs"). Most EETCs with a bullet maturity of certificates due before other certificates are repaid provided that some of the aircraft are no longer available as collateral (because the debt securing those particular planes is repaid early). However, in the 2001-1 EETCs, all of the planes remain available as collateral, so the LTV drops significantly with the repayment of the class A2 certificates," according to S&P. When Delta acquired Northwest, the combined aircraft fleet had a much increased variety of aircraft models. That gives Delta options as to which aircraft it would choose to keep if it were to enter bankruptcy a second time. "We believe that the airline would likely keep the Northwest A319-100s, since it has only a small fleet of comparable B737-700s, insufficient to fly all the routes suitable for a plane of that size. Delta has no other models of aircraft similar to the Northwest B757-300s and we believe it would likely keep those planes. However, the resale market for this model is limited (only six airlines use it worldwide), so Delta may try to bargain down the amount of debt securing those planes. The Northwest B747-400s -- while there are currently no directly comparable planes in Delta's premerger fleet -- would be at risk of being turned back to creditors because Northwest had ordered B787s as a potential replacement and Delta operates B777 aircraft (Both are smaller than the B747-400, but are more fuel efficient and better suited to the international routes that Delta flies)," S&P related. S&P continued, "Also, we believe that the relatively long tenor of the remaining 2001-1 certificates (the A1 certificates mature in 2022 and the B certificates in 2017) means that at least the B757- 300s and B747-400s will be relatively technologically obsolete toward the end of the life of the certificates (and even the A319- 100s may come under some value pressure as Airbus delivers similar planes with its "new engine option" in the latter part of the decade). One factor that could motivate Delta to keep all or most of these planes in bankruptcy, however, is that all but one B747-400 are owned (rather than leased), so that Delta would have considerable equity in the planes, given the relatively low amounts of debt securing them." "Our ratings on Delta reflect its highly leveraged financial profile, with significant intermediate-term debt maturities, and the risks associated with participation in the price-competitive, cyclical, and capital-intensive airline industry. The ratings also incorporate the reduced debt load and operating costs Delta achieved while in Chapter 11 in 2005-2007, and its enhanced competitive position and synergistic opportunities associated with its 2008 merger with Northwest Airlines Corp. (parent of Northwest Airlines Inc.). We characterize Delta's business risk profile as weak and its financial risk profile as highly leveraged," S&P noted. The outlook is stable. "We don't expect to revise our ratings on Delta over the next year. However, if continued strong earnings, coupled with debt reduction, generate adjusted funds flow to debt in the high-teen percentage area, we could raise our ratings. On the other hand, if adverse industry conditions (for example, a serious fuel price spike) cause financial results to deteriorate so that funds flow to debt falls into the mid-single-digit percentage area, or if unrestricted liquidity falls below $3.5 billion on a sustained basis, we could lower ratings," S&P stated. Ratings List Delta Air Lines Inc. Corporate credit rating B/Stable/-- Upgraded To From Delta Air Lines Inc. Northwest Airlines 2001-1A1 pass-thru cert A- (sf) BBB- (sf) Northwest Airlines 2001-1B pass-thru cert BB+ (sf) B+ (sf) DFR MIDDLE MARKET: Moody's Upgrades Ratings on 4 Classes of Notes ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by DFR Middle Market CLO Ltd.: -- US$41,000,000 Class A-1B Floating Rate Notes Due 2019 Notes, Upgraded to Aaa (sf); previously on Jul 20, 2009 Downgraded to Aa1 (sf); -- US$38,000,000 Class B Deferrable Mezzanine Floating Rate Notes Due 2019 Notes, Upgraded to Aa2 (sf); previously on Jul 20, 2009 Downgraded to A2 (sf); -- US$28,000,000 Class C Deferrable Mezzanine Floating Rate Notes Due 2019 Notes, Upgraded to Baa1 (sf); previously on Jul 20, 2009 Confirmed at Baa3 (sf); -- US$19,000,000 Class D Deferrable Mezzanine Floating Rate Notes Due 2019 Notes, Upgraded to Ba2 (sf); previously on Jul 20, 2009 Confirmed at Ba3 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from the delevering of the Class A-1A Notes, which have been paid down by approximately 67% or $83.0 million 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 from April 2011, the Class B, Class C and Class D overcollateralization ratios are reported at 155.9%, 132.3% and 120.0%, respectively, versus June 2009 levels of 143.9%, 126.5% and 116.9%, respectively. In addition, Moody's notes that the latest trustee-reported overcollateralization ratios do not reflect a $47 million principal payment to the Class A-1A Notes on the most recent payment date. Despite improvements in the overcollateralization ratios, however, Moody's notes that the credit profile of the underlying portfolio has deteriorated since the last rating action. Based on the April 2011 trustee report, the weighted average rating factor is 3304 compared to 2916 in June 2009, and securities rated Caa1 and below make up approximately 21.9% of the underlying portfolio versus 7.1% in June 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 $212.0 million, defaulted par of $9 million, a weighted average default probability of 34.7% (implying a WARF of 5425), a weighted average recovery rate upon default of 28.0%, and a diversity score of 35. 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. DFR Middle Market CLO Ltd., issued in July 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 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. 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. For securities whose default probabilities are assessed through credit estimates ("CEs"), Moody's applied additional default probability stresses by assuming an equivalent of Caa3 for CEs that were not updated within the last 15 months, which currently account for approximately 7.8% of the collateral balance. 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, as described in "Updated Approach to the Usage of Credit Estimates in Rated Transactions" published in October 2009. 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. 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 Adj. WARF -20% (4340) -- Class A1A: 0 -- Class A1B: 0 -- Class B: +2 -- Class C: +3 -- Class D: +2 Moody's Adj. WARF +20% (6510) -- Class A1A: 0 -- Class A1B: 0 -- Class B: -2 -- 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 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 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) 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. DSLA MORTGAGE: S&P Lowers Ratings on Two Classes of Notes to 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on eight classes of mortgage pass-through certificates from seven U.S. residential mortgage-backed securities (RMBS) transactions to 'D (sf)'. "At the same time, we placed our ratings on 17 classes from six of the affected transactions on CreditWatch negative. We placed our ratings on three additional classes on CreditWatch negative on Jan. 18, 2011, to reflect our revised counterparty criteria. These ratings remain on CreditWatch with negative implications. All of the CreditWatch actions, as well as the three Jan. 18 CreditWatch placements noted, affected classes that are part of a loan group containing a class that defaulted from a 'B-' rating or higher. These RMBS transactions were issued between 2004 and 2007," S&P stated. S&P explained, "The eight downgrades reflect our assessment of principal write-downs on the affected classes during recent remittance periods. The ratings on the lowered classes were previously either 'BBB+ (sf)', 'B+ (sf)', 'B (sf)', or 'B- (sf)'." The defaulted classes are backed by subprime, Alternative-A (Alt- A), closed-end second-lien, and reperforming mortgage loan collateral. A combination of subordination, excess spread, and overcollateralization provide credit enhancement. S&P expects to resolve the CreditWatch placements after it completes its review of the underlying credit enhancement. Standard & Poor's will continue to monitor its ratings on securities that experience principal write-downs, and it will adjust its ratings as it considers appropriate in accordance with its criteria. Rating Actions and CreditWatch Placements DSLA Mortgage Loan Trust 2007-AR1 Series 2007-AR1 Rating Class CUSIP To From 1A-1A 23333YAA3 AA (sf)/Watch Neg AA (sf) 1A-1B 23333YAB1 D (sf) B (sf) 2A-1A 23333YAC9 AA (sf)/Watch Neg AA (sf) 2A-1C 23333YAE5 D (sf) B (sf) Fannie Mae REMIC Trust 2004-W3 Series 2004-W3 Rating Class CUSIP To From M 31393U7L1 AA (sf)/Watch Neg AA (sf) B-1 31393XWM5 A (sf)/Watch Neg A (sf) B-2 31393XD79 BBB (sf)/Watch Neg BBB (sf) B-3 31393XD87 D (sf) B (sf) Home Equity Asset Trust 2007-3 Series 2007-3 Rating Class CUSIP To From 1-A-1 43710TAA5 A (sf)/Watch Neg A (sf) M-1 43710TAF4 D (sf) B- (sf) 2-A-4 43710TAE7 A (sf)/Watch Neg A (sf) Home Equity Mortgage Trust 2005HF-1 Series 2005-HF1 Rating Class CUSIP To From A-1 2254W0LE3 AAA (sf)/Watch Neg AAA (sf) A-2B 2254W0MB8 AAA (sf)/Watch Neg AAA (sf) A-3B 2254W0MC6 AAA (sf)/Watch Neg AAA (sf) G 2254W0LW3 AAA (sf)/Watch Neg AAA (sf) M-1 2254W0LH6 AA+ (sf)/Watch Neg AA+ (sf) M-2 2254W0LJ2 D (sf) B+ (sf) MASTR Second Lien Trust 2005-1 Series 2005-1 Rating Class CUSIP To From M-1 57644DAB9 D (sf) B- (sf) Structured Asset Securities Corp. Mortgage Loan Trust 2005-S7 Series 2005-S7 Rating Class CUSIP To From A2 863576DT8 AAA (sf)/Watch Neg AAA (sf) M1 863576DU5 AA (sf)/Watch Neg AA (sf) M2 863576DV3 D (sf) B- (sf) Terwin Mortgage Trust 2005-9HGS Series 2005-9HGS Rating Class CUSIP To From A-1 881561WQ3 AAA (sf)/Watch Neg AAA (sf) A-X 881561WR1 AAA (sf)/Watch Neg AAA (sf) M-1 881561WS9 AA (sf)/Watch Neg AA (sf) M-2 881561WT7 D (sf) BBB+ (sf) Ratings Remaining on CreditWatch Negative Home Equity Asset Trust 2007-3 Series 2007-3 Class CUSIP Rating 2-A-1 43710TAB3 AAA (sf)/Watch Neg 2-A-2 43710TAC1 AAA (sf)/Watch Neg 2-A-3 43710TAD9 AA (sf)/Watch Neg FIRST NATIONAL: Fitch Removes 6 Classes From Watch Negative ----------------------------------------------------------- Fitch Ratings has reviewed First National Master Note Trust and has removed from Rating Watch Negative, affirmed and assigned Stable Outlooks to these classes: Series 2009-1 -- Class A at 'AAAsf/LS1'; Outlook Stable; -- Class C at 'BBBsf/LS4'; Outlook Stable; -- Class D at 'BBsf/LS4'; Outlook Stable. Series 2009-3 -- Class A at 'AAAsf/LS1'; Outlook Stable; -- Class C at 'BBBsf/LS4'; Outlook Stable; -- Class D at 'BBsf/LS4'; Outlook Stable. The action follows Fitch's announcement on May 10, 2011 that it affirmed the long- and short-term Issuer Default Ratings (IDRs) of First National Bank of Omaha at 'BB+' and 'B', respectively after removing the ratings from Rating Watch Negative and assigning a Stable Outlook. FIRST UNION: Moody's Affirms Ratings on Four CMBS Classes --------------------------------------------------------- Moody's Investors Service upgraded the rating of three classes and affirmed the ratings of four classes of First Union National Bank- Chase Manhattan Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 1999-C2: -- Cl IO., Affirmed at Aaa (sf); previously on May 24, 1999 Definitive Rating Assigned Aaa (sf) -- Cl G., Affirmed at Aaa (sf); previously on Sep 16, 2010 Upgraded to Aaa (sf) -- Cl H., Upgraded to Aaa (sf); previously on Sep 16, 2010 Upgraded to A1 (sf) -- Cl J., Upgraded to A3 (sf); previously on Sep 16, 2010 Upgraded to Baa3 (sf) -- Cl K., Upgraded to B1 (sf); previously on Sep 22, 2004 Downgraded to B3 (sf) -- Cl L., Affirmed at Caa1 (sf); previously on Sep 22, 2004 Downgraded to Caa1 (sf) -- Cl M., Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) Ratings Rationale The upgrades are due to overall improved pool financial performance and increased credit support due to amortization. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 6.5% of the current balance. At last review, Moody's cumulative base expected loss was 8.6%. Moody's stressed scenario loss is 12.5% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodologies used in these ratings were: "CMBS: Moody's Approach to Rating Fusion Transactions" published in April 2005, "CMBS: Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 2000, and "CMBS: Moody's Approach to Rating Credit Tenant Lease (CTL) Backed Transactions" published in October 1998. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 5 compared to 13 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8. 0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's currently uses a Gaussian copula model to evaluate pools of credit tenant loans (CTLs) within CMBS transactions. Moody's public CDO rating model CDOROMv2.8-5 is used to generate a portfolio loss distribution to assess the ratings. 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 16, 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 April 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 93% to $83.2 million from $1.18 billion at securitization. The Certificates are collateralized by 40 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten non-defeased loans representing 45% of the pool. Thirteen loans, representing 31% of the pool, have defeased and are secured by U.S. Government securities. Defeasance at last review represented 29% of the pool. Seven loans, representing 16% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Sixteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $19.04 million (27% loss severity). Currently three loans, representing 12% of the pool, are in special servicing. The largest specially serviced loan is the Belmont Crossing Loan ($4.9 million -- 5.8% of the pool), which is secured by a 192-unit multifamily property located in Smyrna, Georgia. The loan transferred into special servicing in February 2009 due to imminent maturity default. The borrower agreed to a deed-in-lieu in December 2010 after exhausting all efforts to refinance the loan. The property is currently Real Estate Owned (REO) and has been listed for sale for $4.0 million. A recent appraisal valued the property at $3.25 million. The second largest specially serviced loan is the Somerpoint (Woodvalley) Loan ($3.5 million -- 4.2% of the pool), which is secured by a 143-unit multifamily property located in Marietta, Georgia. The loan transferred into special servicing in February 2009 due to imminent maturity default. The loan has the same sponsor as the Belmont Crossing Loan. The property is currently REO and has been listed for sale for $4.2 million. A recent appraisal valued the property at $3.75 million. The remaining specially serviced property is secured by an anchored retail center located in Medford, Oregon. Moody's estimates an aggregate $3.5 million loss for the specially serviced loans (42% expected loss on average). Moody's was provided with full year 2009 operating results for 100% of the pool (excluding defeased, specially serviced and CTL loans). Excluding specially serviced and troubled loans, Moody's weighted average LTV is 70% compared to 84% 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 10. 1%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.30X and 1.78X, respectively, compared to 0.99X and 1.56X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9. 25% stressed rate applied to the loan balance. The top three performing conduit loans represent 28% of the pool balance. The largest loan is a hotel portfolio ($9.1 million -- 10.9% of the pool), which consists of four cross-collateralized and cross-defaulted fully amortizing loans secured by four limited stay hotels with a total of 652 rooms. Three hotels are located in Virginia and one in Shreveport, Louisiana. Property performance has improved since last review as the Days Inn in Shreveport finished hotel renovations and is fully now fully operational. Additionally, RevPAR and occupancy at all properties improved in 2010 compared to 2009. All four hotels are currently on the watchlist due to low DSCR. The loan is fully amortizing and has paid down 3% since last review and 37% since securitization. Moody's LTV and stressed DSCR are 83% and 1.70X, respectively, compared to 117% and 1.21X at last review. The second largest loan is the Academy Plaza Loan ($9.1 million -- 10.9% of the pool), which is secured by a 156,022 square foot grocery-anchored retail center located in Philadelphia, Pennsylvania. Property performance is in-line with last review and the property is currently 81% leased, essentially the same as at last review. The loan has amortized 1% since last review and 17% since securitization. Moody's LTV and stressed DSCR are 72% and 1.43X, respectively, compared to 72% and 1.44X at last review. The third largest loan is the Whitehall Estates Loan ($5.4 million -- 6.5% of the pool), which is secured by a 252-unit multifamily property located in Charlotte, North Carolina. Property performance is in-line with last review and the property is currently 98% leased, essentially the same as at last review. The loan is fully amortizing and has paid down 4% since last review and 45% since securitization. Moody's LTV and stressed DSCR are 52% and 1.99X, respectively, compared to 60% and 1.72X at last review. The CTL component includes 15 loans secured by properties leased under bondable leases. Moody's provides ratings for 93% of the CTL component and has updated its internal credit estimate for the remainder of the CTL credits. The largest exposures include Rite Aid Corp. (39% of the CTL component, Moody's Long Term Corporate Family Rating Caa2 -- stable outlook), Walgreen Co. (29%; Moody's senior unsecured rating A2 -- stable outlook), and CVS/Caremark (26%; Moody's senior unsecured rating Baa2 -- stable outlook). FIRST UNION: Moody's Affirms Ratings on Six CMBS Classes -------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of six classes of First Union Commercial Mortgage Securities, Inc., Commercial Mortgage Pass-Through Certificates, Series 1999-C1 as: -- Cl. IO-1, Affirmed at Aaa (sf); previously on Dec 22, 1998 Assigned Aaa (sf) -- Cl C., Affirmed at Aaa (sf); previously on Oct 27, 2005 Upgraded to Aaa (sf) -- Cl D., Affirmed at Aaa (sf); previously on Jan 24, 2007 Upgraded to Aaa (sf) -- Cl E., Affirmed at Aaa (sf); previously on Sep 25, 2008 Upgraded to Aaa (sf) -- Cl F., Affirmed at Baa1 (sf); previously on Dec 19, 2008 Upgraded to Baa1 (sf) -- Cl G., Affirmed at Caa3 (sf); previously on Sep 22, 2010 Downgraded to Caa3 (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 10.0% of the current balance. At last review, Moody's cumulative base expected loss was 7.9%. Moody's stressed scenario loss is 14.4% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions at http://v3. moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodologies used in this rating were: "CMBS: Moody's Approach to Rating Fusion Transactions" published on April 19, 2005, "CMBS: Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 2000, and "CMBS: Moody's Approach to Rating Credit Tenant Lease (CTL) Backed Transactions" published on October 2, 1998. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 8 compared to 8 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's currently uses a Gaussian copula model to evaluate pools of credit tenant loans (CTLs) within CMBS transactions. Moody's public CDO rating model CDOROMv2.8-5 is used to generate a portfolio loss distribution to assess the ratings. 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 22, 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 April 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 81% to $217.4 million from $1.16 billion at securitization. The Certificates are collateralized by 71 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten non-defeased loans representing 36% of the pool. Fourteen loans, representing 24% of the pool, have defeased and are secured by U.S. Government securities. Defeasance at last review represented 23% of the pool. The pool also includes a credit tenant lease (CTL) component which comprises 22% of the pool. Fourteen loans, representing 21% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Thirty-three loans have been liquidated from the pool, resulting in an aggregate realized loss of $17.35 million (15% loss severity). Currently four loans, representing 11% of the pool, are in special servicing. The largest specially serviced loan is the Prince George Metro Center Loan ($20.0 million -- 9.2% of the pool), which is secured by a 375,000 square foot office building located in Hyattsville, Maryland. The property was 59% leased as of August 2010 and the borrower has been making partial debt service payments while trying to work out a loan modification with the special servicer. If no modification can be agreed upon, foreclosure will be the likely outcome. The remaining three specially serviced loans are secured by multifamily properties. Moody's has estimated an aggregate $12.9 million loss (56% expected loss on average) for the specially serviced loans. Moody's was provided with full year 2009 operating results for 93% of the pool (excluding defeased, specially serviced, and CTL loans). Excluding specially serviced and troubled loans, Moody's weighted average LTV is 74% compared to 69% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.8%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.29X and 1.63X, respectively, compared to 1.36X and 1.64X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 16% of the pool balance. The largest loan is The Clarinbridge Loan ($17.5 million -- 8.0%), which is secured by a 306-unit multifamily property located approximately 26 miles northwest of Atlanta in Kennesaw, Georgia. The property was 97% leased as of December 2010 compared to 92% at the last review. Per the most recent rent roll, renewal rental rates at the property have increased by $370/unit. Moody's LTV and stressed DSCR are 70% and 1.34X, respectively, compared to 81% and 1.16X at the prior review. The second largest loan is the New Brighton Manor Loan ($11.4 million -- 5. 3%), which is secured by a 300-bed skilled nursing home located in Staten Island, New York. At the beginning of 2011, the borrower indicated that the property was not generating sufficient income to pay operating expenses and debt service and hired a bankruptcy lawyer to file bankruptcy. The borrower decided to not pursue bankruptcy and has continued making debt service payments. As of August 2010, the property was 95% leased with an actual DSCR of 0.93X. The loan fully amortizes over its term and has amortized 42% since securitization. Moody's LTV and stressed DSCR are 123% and 1.23X, respectively, compared to 124% and 1.18X at last review. The third largest loan is the Kelton Towers Loan ($6.8 million -- 3.1%), which is secured by a 105-unit multifamily property located in Westwood, California. The property was 91% leased as of September 2010 compared to 89% at the last review. In order to maintain its occupancy levels, the borrower lowered rents to compete with existing product in the area. Moody's LTV and stressed DSCR are 46% and 2.07X, respectively, compared to 37% and 2.59X at last review. The CTL component includes 24 loans secured by properties leased under bondable leases. Moody's provides public ratings for 79% of the CTL component and an internal view on the remainder of the CTL loans. The largest exposures include Rite Aid Corp. (38% of the CTL component, Moody's Long Term Corporate Family Rating Caa2 -- stable outlook), Walgreen Co. (16%; Moody's senior unsecured rating A2 -- stable outlook), and CVS/Caremark (12%; Moody's senior unsecured rating Baa2 -- stable outlook). FORGE ABS: S&P Lowers Ratings on Eight Classes of Notes to 'D' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on all eight classes of notes from Forge ABS High Grade CDO I Ltd., a high-grade cash flow collateralized debt obligation. The lowered ratings follow the nonpayment of outstanding principal balances to all of the noteholders on the transaction's final payment date of April 20, 2011, as reflected by the note valuation report. The transaction experienced an event of default (EOD) on Jan. 30, 2008. Subsequently, the controlling beneficiary and the class A noteholders voted to liquidate the transaction's collateral on Oct. 10, 2008. Based on an April 11, 2011, trustee notice, the liquidation process was complete and the available proceeds were not adequate to make full payments to the noteholders on the final payment date of April 20, 2011. Ratings Lowered Forge ABS High Grade CDO I Ltd. Rating Class To From A1 D (sf) CC (sf) A2 D (sf) CC (sf) A3 D (sf) CC (sf) A4 D (sf) CC (sf) B D (sf) CC (sf) C D (sf) CC (sf) D D (sf) CC (sf) E D (sf) CC (sf) FRANKLIN CLO: Moody's Upgrades Ratings of CLO Notes --------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by Franklin CLO IV, Ltd. -- US$25,000,000 Class B Floating Rate Senior Secured Notes due 2015, Upgraded to Aaa (sf); previously on August 26, 2010 Upgraded to Aa1 (sf); -- US$18,500,000 Class C Floating Rate Deferrable Interest Senior Secured Notes due 2015, Upgraded to Aa1 (sf); previously on August 26, 2010 Upgraded to Baa1 (sf); -- US$15,250,000 Class D Floating Rate Deferrable Interest Senior Secured Notes due 2015, Upgraded to Baa3 (sf); previously on August 26, 2010 Upgraded to B2 (sf); -- US$8,000,000 Class E Floating Rate Deferrable Interest Senior Secured Notes due 2015 (current outstanding balance of $6,105,112. 03), Upgraded to Caa1 (sf); previously on August 26, 2010 Upgraded to Caa3 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from the amortization of the Class A Notes and improvement in the credit quality of the underlying portfolio since the rating action in August 2010. The overcollateralization ratios of the rated notes have improved as a result of amortization of the Class A Notes, which have been paid down by approximately $52 million or 48% since the rating action in August 2010. As per the March 2011 trustee report, the Class A/B, Class C, Class D, and Class E overcollateralization ratios are reported at 154. 1%, 125. 5%, 108. 9%, and 103. 4% respectively, versus July 2010 levels of 132. 9%, 116. 7%, 106. 0%, and 102. 3% respectively, and all related overcollateralization tests are currently in compliance. Improvement in the credit quality is observed through an improvement in the average credit rating (as measured by the weighted average rating factor). Based on the March 2011 trustee report, the weighted average rating factor is 2204 compared to 2418 in July 2010. The dollar amount of defaulted securities and securities rated Caal or below remained constant at $2. 0mm and $3. 8mm respectively, since the rating action in August 2010. 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 $126 million, defaulted par of $2. 0 million, weighted average default probability of 14. 5% (implying a WARF of 2665), a weighted average recovery rate upon default of 45%, and a diversity score of 25. 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. Franklin CLO IV, Ltd. , issued on August 28, 2003, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 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. 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. 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, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARF -20% (2132) -- Class A: 0 -- Class B: 0 -- Class C: +1 -- Class D: +2 -- Class E: +3 Moody's Adjusted WARF +20% (3198) -- Class A: 0 -- Class B: 0 -- Class C: -2 -- Class D: -2 -- Class E: -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) 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 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. 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. G-STAR 2002-1: Moody's Affirms Ratings of Five CRE CDO Classes -------------------------------------------------------------- Moody's has affirmed five classes of Notes issued by G-Star 2002- 1, Ltd. due as the transaction's key parameters are performing within the current rating levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. Moody's rating action is: -- Cl. A-1, Affirmed at Aaa (sf); previously on Jun 29, 2010 Upgraded to Aaa (sf) -- Cl. A-2, Affirmed at A2 (sf); previously on Jun 29, 2010 Upgraded to A2 (sf) -- Cl. BFL, Affirmed at Ba3 (sf); previously on Jun 29, 2010 Upgraded to Ba3 (sf) -- Cl. BFX, Affirmed at Ba3 (sf); previously on Jun 29, 2010 Upgraded to Ba3 (sf) -- Cl. C, Affirmed at Caa3 (sf); previously on Jun 29, 2010 Upgraded to Caa3 (sf) Ratings Rationale G-Star 2002-1 Ltd. is a static CRE CDO transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (84.9% of the total balance), real estate investment trust debt (REIT) (15.1%) and franchise loans (1.2). As of the April 26, 2011 Trustee report, the aggregate Note balance of the transaction has decreased to $104.9 million from $312.0 million at issuance, with the paydown now directed to the Class A-1MM Notes; a result of failing the Class B Overcollateralization test. There are three assets with par balance of $21.4 million (16.5% of the current pool balance) that are considered Defaulted Securities as of the April 26, 2011 Trustee report. All three assets are CMBS (100% of the defaulted balance). Defaulted Securities that are not CMBS are defined as assets which are 3 or more days in default of their debt service payment, are bankrupt, insolvent or are in receivership, have been written down, or have been downgraded to defaulted. In addition, there are six Impaired Securities with a par balance of $21.3 million (16.4% of the pool balance). All six assets are CMBS (100% of the impaired balance). Impaired securities are those with a balance of 60 day plus delinquent loans plus realized losses exceeding 25% of the original balance of subordinate classes. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). 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 has 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 1,343 compared to 1,226 at last review. The distribution of current ratings and credit estimates is as follows: Aaa-Aa3 (18.7% compared to 11.5% at last review), A1-A3 (4.3% compared to 11.8% at last review), Baa1-Baa3 (19.8% compared to 36.1% at last review), Ba1-Ba3 (36.1% compared to 28.3% at last review), B1-B3 (10.4% compared to 0.0% at last review), and Caa1-C (10.8% compared to 12.3% 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 2.8 years compared to 2.5 years at last review. The longer WAL reflects the current distribution of collateral lives within the collateral pool. 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 27.6% compared to 28.1% 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 30.7% compared to 37.7% 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 27.6% to 17.6% or up to 37.6% would result in average rating movement on the rated tranches of 0 to 2 notches downward and 0 to 1 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. The principal methodologies used in these ratings was "Moody's Approach to Rating SF CDOs" published in November 2010. Other methodologies used include "CMBS: Moody's Approach to Rating Static CDOs Backed by Commercial Real Estate Securities" published in June 2004. GLACIER FUNDING: Moody's Cuts Ratings on 2 Classes to 'Caa3' ------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the ratings of two classes of notes issued by Glacier Funding CDO II, Ltd. The notes affected by the rating action are as follows: * US$100,000 Class A-1 First Priority Voting Senior Secured Floating Rate Notes due 2042 (current balance of $27,101), Downgraded to Caa3 (sf); previously on May 26, 2010 Downgraded to Caa1 (sf) * US$324,900,000 Class A-1 First Priority Non-Voting Senior Secured Floating Rate Notes due 2042 (current balance of $88,050,130), Downgraded to Caa3 (sf); previously on May 26, 2010 Downgraded to Caa1 (sf) Ratings Rationale Glacier Funding CDO II, Ltd. is a collateralized debt obligation issuance backed by a portfolio of primarily Residential Mortgage- Backed Securities (RMBS) and Commercial Mortgage-Backed Securities (CMBS) originated in 2004. According to Moody's, the rating downgrade actions are the result of deterioration in the credit quality of the underlying portfolio. Such credit deterioration is observed through numerous factors, including an increase in the weighted average rating factor (WARF) and a decrease in the coverage ratio. The WARF, as reported by the trustee, has increased from 1289 in May 2010 to 4156 in May 2011. During the same time, the Class A/B coverage ratio decreased from 62.67% to 50.39%. The deterioration in both metrics was primarily due to Moody's recent downgrade actions on a large portion of its underlying RMBS assets in March 2011. The principal methodology used in the rating was "Moody's Approach to Rating SF CDOs" published in November 2010. Moody's applied the Monte Carlo simulation framework within CDOROMv2.6 to model the loss distribution for SF CDOs. Within this framework, defaults are generated so that they occur with the frequency indicated by the adjusted default probability pool (the default probability associated with the current rating multiplied by the Resecuritization Stress) for each credit in the reference. Specifically, correlated defaults are simulated using a normal (or "Gaussian") copula model that applies the asset correlation framework. Recovery rates for defaulted credits are generated by applying within the simulation the distributional assumptions, including correlation between recovery values. Together, the simulated defaults and recoveries across each of the Monte Carlo scenarios define the loss distribution for the reference pool. Once the loss distribution for the collateral has been calculated, each collateral loss scenario derived through the CDOROM loss distribution is associated with the interest and principal received by the rated liability classes via the CDOEdge cash-flow model. The cash flow model takes into account the following: collateral cash flows, the transaction covenants, the priority of payments (waterfall) for interest and principal proceeds received from portfolio assets, reinvestment assumptions, the timing of defaults, interest-rate scenarios and foreign exchange risk (if present). The Expected Loss (EL) for each tranche is the weighted average of losses to each tranche across all the scenarios, where the weight is the likelihood of the scenario occurring. Moody's defines the loss as the shortfall in the present value of cash flows to the tranche relative to the present value of the promised cash flows. The present values are calculated using the promised tranche coupon rate as the discount rate. For floating rate tranches, the discount rate is based on the promised spread over Libor and the assumed Libor scenario. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's rating action factors in a number of sensitivity analyses and stress scenarios, discussed below. Moody's conducted sensitivity analysis regarding the credit quality of this particular asset. Results are shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss, assuming that all other factors are held equal: Moody's defaults Caa3 rated assets: Class A-1V: 0 Class A-1NV: 0 Class A-2: 0 Class B: 0 Class C:0 Class D:0 Moody's notched up Caa rated asset by two notches: Class A-1V: 0 Class A-1NV: 0 Class A-2: 0 Class B: 0 Class C:0 Class D:0 GMACM MORTGAGE: Moody's Takes Action on Prime Jumbo RMBS -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 79 tranches and confirmed the ratings of 27 tranches from 10 prime jumbo deals issued by GMACM Mortgage Loan Trust. The collateral backing these deals consists primarily of first-lien, fixed and adjustable rate prime jumbo residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of prime jumbo pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The principal methodology used in these ratings is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. Other methodologies used include "Pre-2005 US RMBS Surveillance Methodology" published in January 2011, which accounts for the deteriorating performance and outlook. To assess the rating implications of the updated loss levels on prime jumbo RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R) (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include fifty four different combinations comprising of six loss levels, three loss timing curves and three prepayment curves. For ratings implied Aa3 and above, an additional prepayment curve is run to assess resilience to a high prepayment scenario. The approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that varies from 3% to 5% on average. The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans with a base rate of new delinquency of 3. 00%, the adjusted rate of new delinquency would be 3. 03%. in addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0. 75 to 2. 5 for current delinquencies ranging from less than 2. 5% to greater than 10% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Certain tranches in transactions serviced by GMAC Mortgage, LLC's (GMACM), were placed on review for possible downgrade in 2010 due to two concerns regarding the servicer's practices. Firstly, GMACM used shared custodial bank accounts for multiple RMBS transactions and secondly, GMACM had to suspend foreclosures in 25 states due to irregularities in its foreclosure processes. As GMACM is a subsidiary of C rated Residential Capital, LLC (RFC), in case of a default, losses could have been absorbed by the trusts. Since the tranches were placed on review, GMACM has eliminated the use of a common bank account across RMBS deals and set up individual accounts for each transaction. Also, GMACM has reviewed and revamped its foreclosure process, and has lifted its suspension of foreclosure sales and evictions on a case by case basis. The ratings actions are based on recent pool performance and the available credit enhancement. Moody's is not keeping these bond under further review due to the two issues highlighted above as they have been resolved. However, the state attorneys general are engaged in ongoing discussions with several servicers regarding loan modifications and foreclosure procedures. The ultimate settlement of those discussions may entail fines, loan forgiveness, cash payments to borrowers or other features that could reduce future cash flows to RMBS investors. Moody's will continue to monitor the outcome and assess future credit implications on the ratings as the situation evolves. 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: GMACM Mortgage Loan Trust 2003-AR1 -- Cl. A-4, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba1 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa1 (sf); previously on Apr 15, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 15, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: GMACM Mortgage Loan Trust 2003-AR2 -- Cl. A-I-1, Downgraded to Baa1 (sf); previously on Sep 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-II-4, Downgraded to Baa1 (sf); previously on Sep 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- CL. A-III-5, Downgraded to A2 (sf); previously on Sep 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-IV-1, Downgraded to A2 (sf); previously on Sep 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba3 (sf); previously on Sep 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to Caa2 (sf); previously on Sep 27, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Sep 27, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Sep 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Jul 7, 2009 Downgraded to Ca (sf) Issuer: GMACM Mortgage Loan Trust 2003-J9 -- Cl. A-4, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-11, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-12, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-13, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-15, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IO, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: GMACM Mortgage Loan Trust 2004-AR2 -- Cl. 1-A, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A, Downgraded to Ba1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A, Downgraded to Ba3 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-I, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-II, Downgraded to Ba2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ca (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. M-2, Downgraded to C (sf); previously on Apr 15, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-3, Downgraded to C (sf); previously on Apr 15, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 15, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: GMACM Mortgage Loan Trust 2004-J1 -- Cl. A-3, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. A-5, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. A-6, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. A-7, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. A-8, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. A-9, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. A-10, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. A-11, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. A-12, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. A-13, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. A-20, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-21, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IO, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: GMACM Mortgage Loan Trust 2004-J2 -- Cl. A-1, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Confirmed at Aa3 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Confirmed at Aa3 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Confirmed at A1 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Confirmed at A1 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to A2 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Baa2 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on Jun 25, 2009) -- Cl. A-9, Downgraded to A3 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to Baa3 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to Baa2 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to Baa2 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. IO, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: GMACM Mortgage Loan Trust 2004-J3 -- Cl. A-1, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IO, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: GMACM Mortgage Loan Trust 2004-J4 -- Cl. A-2, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-8, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IO, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: GMACM Mortgage Loan Trust 2004-J5 -- Cl. A-1, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to A3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. IO, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: GMACM Mortgage Loan Trust 2004-J6 -- Cl. 1-A-1, Downgraded to A1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-4, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-7, Downgraded to A2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. PO, Downgraded to A1 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. IO, Confirmed at Aa2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade GREENWICH CAPITAL: Moody's Downgrades 5 Classes of GCCFC 2005-GG5 ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings of five classes, confirmed three classes and affirmed 15 classes of Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust, Series 2005-GG5: -- Cl. A-2, Affirmed at Aaa (sf); previously on Jan 17, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Jan 17, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-4-1, Affirmed at Aaa (sf); previously on Jan 17, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-4-2, Affirmed at Aaa (sf); previously on Jan 17, 2006 Assigned Aaa (sf) -- Cl. A-AB, Affirmed at Aaa (sf); previously on Jan 17, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-5, Affirmed at Aaa (sf); previously on Jan 17, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. XC, Affirmed at Aaa (sf); previously on Jan 17, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. XP, Affirmed at Aaa (sf); previously on Jan 17, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-M, Confirmed at Aa2 (sf); previously on Apr 25, 2011 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-J, Confirmed at A3 (sf); previously on Apr 25, 2011 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Downgraded to B1 (sf); previously on Apr 25, 2011 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. C, Downgraded to B3 (sf); previously on Apr 25, 2011 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. D, Downgraded to Caa1 (sf); previously on Apr 25, 2011 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. E, Downgraded to Caa2 (sf); previously on Apr 25, 2011 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. F, Downgraded to Ca (sf); previously on Apr 25, 2011 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. G, Confirmed at Ca (sf); previously on Apr 25, 2011 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. H, Affirmed at C (sf); previously on Jun 23, 2010 Downgraded to C (sf) -- Cl. J, Affirmed at C (sf); previously on Jun 23, 2010 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on Jun 23, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Jun 23, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Jun 23, 2010 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on Jun 23, 2010 Downgraded to C (sf) -- Cl. O, Affirmed at C (sf); previously on Jun 23, 2010 Downgraded to C (sf) Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans. The confirmations and affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. On April 25, 2011 Moody's placed eight classes on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 8.2% of the current balance. At last review, Moody's cumulative base expected loss was 7.9%. Moody's stressed scenario loss is 20.0% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodology used in this rating was "CMBS: Moody's Approach to Rating Fusion Transactions" published in April 2005. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated June 23, 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 April 12, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 9% to $3.9 billion from $4.3 billion at securitization. The Certificates are collateralized by 160 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans representing 44% of the pool. The pool contains two loans with investment grade credit estimates that represent 3% of the pool. Three loans, representing less than 1% of the pool, have defeased and are collateralized with U.S. Government securities. Thirty-five 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's (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $24.2 million (58% loss severity overall). Thirty-four loans, representing 29% of the pool, are currently in special servicing. The master servicer has recognized an aggregate $346.1 million appraisal reduction for 25 of the specially serviced loans. Moody's has estimated an aggregate $354.8 million loss (36% expected loss on average) for the specially serviced loans. Based on the most recent remittance statement, Classes E through M have experienced cumulative interest shortfalls totaling $2.9 million. The previous month's remittance statement reflected interest shortfalls reaching Class B. However, interest shortfalls for Classes B through D were repaid in full as of the April 12, 2011 distribution date due to the recovery of previous appraisal subordination entitlement reductions (ASERs). Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, ASERs, extraordinary trust expenses and non- advancing by the master servicer based on a determination of non- recoverability. Moody's has assumed a high default probability for eight poorly performing loans representing 2% of the pool and has estimated a $11.9 million aggregate loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 and full or partial year 2010 operating results for 92% and 46% of the pool's non-defeased loans, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 100% compared to 107% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.47X and 1.01X, respectively, compared to 1.35X and 0.94X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. 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 compared to 34 at Moody's prior review. The largest loan with an underlying rating is the San Francisco Centre Loan ($60.0 million - 1.5%), which represents a 50% pari passu interest in a $120.0 million first mortgage loan. The loan is secured by the borrower's leasehold interest in a 498,100 square foot retail center located in the Union Square retail area of San Francisco, California. The tenancy consists of a mix of established and trend-setting boutiques, traditional high-end mall retailers and a flagship Nordstrom and Bloomingdales, which are not part of the collateral. The center was 98% leased as of June 2010, essentially the same as at last review and securitization. Performance has been stable. The loan sponsors are the Westfield Group and Forest City. Moody's current credit estimate and stressed DSCR are Baa2 and 1.22X, respectively, compared to Baa2 and 1.24X at last review. The second largest loan with an underlying rating is the Imperial Valley Loan ($54.5 million - 1.4%), which is secured by the borrower's interest in an 765,000 square foot regional mall located in El Centro, California. The center is anchored by Sears, Dillard's, JC Penney and Macy's. As of March 2010, the center was 98% leased, essentially the same as at last review. Performance has been stable. Moody's current credit estimate and stressed DSCR are Baa3 and 1.31X, respectively, compared to Baa3 and 1.30X at last review. The top three conduit loans represent 19% of the pool. The largest conduit loan is the 731 Lexington Avenue Loan ($320.0 million - 7.7%), which is secured by a 148,000 square foot multi-level retail condominium located on Lexington Avenue between East 58th and East 59th Street in New York City. The property is 100% leased, the same as last review. Major tenants include Home Depot, which occupies 53% of the premises through January 2025, H&M and the Container Store. The office component serves as the headquarters for Bloomberg LP. Performance has been stable. Moody's LTV and stressed DSCR are 96% and 0.87X, respectively, compared to 99% and 0.85X at last review. The second largest conduit loan is the Lynnhaven Mall Loan ($228.3 million -- 5.8%), which is secured by the borrower's interest in a 1.3 million square foot regional mall located in Virginia Beach, Virginia. The mall is anchored by JC Penney, Macy's and Dillards. The loan sponsor is General Growth Properties. Performance has declined due to an increase in administrative expenses. Moody's LTV and stressed DSCR are 106% and 0.81X, respectively, compared to 98% and 0.89X at last review. The third largest conduit loan is the Maryland Multifamily Portfolio Loan ($200.0 million - 4.8%), which represents a 59% pari passu interest in a $340.0 million first mortgage loan. The loan is secured by nine multifamily properties located mostly in suburban Baltimore, Maryland. The portfolio was 94% leased as of September 2010 compared to 93% at last review. Performance has been stable. Moody's LTV and stressed DSCR are 118% and 0.80X, respectively, compared to 119% and 0.80X at last review. GREENWICH CAPITAL: Moody's Downgrades Ratings on Three CRE CDO -------------------------------------------------------------- Moody's has affirmed one and downgraded three classes of Certificates issued by Greenwich Capital Commercial Mortgage Trust 2007-RR2 (GCCFC 2007-RR2) due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor (WARF), and decrease in weighted average recovery rate (WARR). The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. -- Cl. A-1FL, Downgraded to Caa3 (sf); previously on Apr 28, 2010 Downgraded to Caa2 (sf) -- Cl. A-1FX, Downgraded to Caa3 (sf); previously on Apr 28, 2010 Downgraded to Caa2 (sf) -- Cl. A-2, Affirmed at C (sf); previously on Apr 28, 2010 Downgraded to C (sf) -- Cl. X, Downgraded to Caa3 (sf); previously on Apr 28, 2010 Downgraded to Caa2 (sf) Ratings Rationale GCCFC 2007-RR2 is a static CRE CDO transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (100% of the current pool balance). As of the March 22, 2011 Trustee report, the aggregate Certificate balance of the transaction has decreased to $528.0 million from $528. 7 million at issuance, due to minimal realized losses to Class S. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life (WAL), WARR, and Moody's asset correlation (MAC). 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 completed updated credit estimates for the non- Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 8,989 compared to 5,609 at last review. The distribution of current ratings and credit estimates is as follows: Baa1-Baa3 (0.0% compared to 2. 8% at last review), Ba1- Ba3 (0.0% compared to 17.3% at last review), B1-B3 (6.5% compared to 32. 8% at last review), and Caa1-C (93. 5% compared to 47.1% at last review). WAL acts to adjust the probability of default of the collateral in the pool for time. Moody's modeled to a WAL of 6.1 years compared to 7.0 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 0.3% compared to 3.9% 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 0.0% compared to 100% at last review. The low MAC is due to higher default probability collateral concentrated within a small number of collateral names. 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 up from 0.3% to 10.3% does not affect the model results. 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. The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in November 2010. Other methodology used in these ratings was "CMBS: Moody's Approach to Rating Static CDOs Backed by Commercial Real Estate Securities" published in June 2004. 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. GS MORTGAGE: Moody's Affirms Series 2005-ROCK Rating ---------------------------------------------------- Moody's Investors Service affirmed the ratings of ten pooled classes of GS Mortgage Securities Corporation II, Trust Pass- Through Certificates Series 2005-ROCK: -- Cl. A, Affirmed at Aaa (sf); previously on Jun 1, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-FL, Affirmed at Aaa (sf); previously on Jun 1, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aa1 (sf); previously on Jun 1, 2005 Definitive Rating Assigned Aa1 (sf) -- Cl. C-1, Affirmed at A1 (sf); previously on Mar 4, 2009 Downgraded to A1 (sf) -- Cl. E, Affirmed at A3 (sf); previously on Mar 4, 2009 Downgraded to A3 (sf) -- Cl. F, Affirmed at Baa1 (sf); previously on Mar 4, 2009 Downgraded to Baa1 (sf) -- Cl. G, Affirmed at Baa2 (sf); previously on Mar 4, 2009 Downgraded to Baa2 (sf) -- Cl. H, Affirmed at Baa3 (sf); previously on Mar 4, 2009 Downgraded to Baa3 (sf) -- Cl. J, Affirmed at Ba1 (sf); previously on Mar 4, 2009 Downgraded to Ba1 (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on Jun 1, 2005 Definitive Rating Assigned Aaa (sf) Ratings Rationale The affirmations are due to the stable performance of the real estate collateral and key parameters, including Moody's loan to value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR) remaining within acceptable ranges. 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 previous 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. The principal methodology used in this rating was "Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated June 17, 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 The $1,685.0 million Rockefeller Center loan is secured by a $1,210.0 million first lien mortgage on the borrower's fee and leasehold interests in the property; the additional $475.0 million in debt is secured by a pledge of 100% of the equity interest in the borrower held by RCPI Mezz, LLC. The sponsor of the loan is Tishman Speyer Crown Equities. The fixed-rate interest-only loan has a 20-year term maturing in May 2025. Rockefeller Center is a 12-building office, retail and entertainment complex, located in midtown Manhattan, New York City. The landmark development consists of 6.7 million square feet of net rentable area (NRA) with approximately 5.0 million square feet of office space, approximately one-million square feet of retail and storage space, Radio City Music Hall with a seating capacity of 6,000, and Christie's Auction House. As of December 2010, the office space was 93% leased and the retail and storage space was 95% leased. Including Radio City Music Hall, Rockefeller Center was 94% leased, the same as at securitization. The ten largest office tenants lease approximately 35% of total NRA and contribute approximately 38% of total rent. The largest office tenant is Deloitte, LLP, with approximately 430,000 square feet. Deloitte, LLP, signed an 18-year lease in January 2011 at 30 Rockefeller Plaza for approximately 430,000 square feet. Rent commenced on 25% of the space in January with rent to commence on the balance of the space in 2015. During February 2011 lease renewals and expansions were signed with Lazard Freres & Co. LLC and the law firm Baker & Hostetler, LLP. Lazard Freres, the second largest office tenant, signed a 23-year lease for an additional 60,000 square feet at 30 Rockefeller Plaza bringing its total square footage at Rockefeller Center to 430,000 square feet. Baker & Hostetler, LLP, signed a 15-year renewal and expansion for a total leased area of 117,633 square feet. Significant retail tenants include Banana Republic (47,725 square feet, lease expiration in 2016), Facconable USA (21,600 square feet, lease expiration in 2018) and Kenneth Cole (17,362 square feet, lease expiration in 2015). The lease on the 548,250 square foot Radio City Music Hall expires in 2023. Moody's loan to value ratio is 78%, the same as last review. Moody's stressed debt service coverage ratio is 1.18X, the same as last review. GS MORTGAGE: S&P Lowers Ratings on 3 Classes to 'D' on Shortfalls ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on six classes of commercial mortgage pass-through securities from GS Mortgage Securities Trust 2007-GG10, a U.S. commercial mortgage-backed securities (CMBS) transaction. The lowered ratings reflect recurring and potential interest shortfalls, as well as reduced liquidity available to the more senior classes to absorb any future interest shortfalls. "We lowered our ratings on classes F, G, and H to 'D (sf)' because of current interest shortfalls, which we expect to continue. The downgrades also reflect the accumulated interest shortfalls that we expect to remain outstanding for the foreseeable future. Accumulated interest shortfalls on classes F, G, and H were outstanding for one, two, and 13 months," S&P related. The lowered ratings on classes C, D, and E reflect their susceptibility to experience future interest shortfalls resulting from the high volume of specially serviced assets (37 loans, $2.56 billion, 34.6% of the trust) and reduced liquidity support available to these certificates. The recurring interest shortfalls for the respective certificates are primarily due to one or more of these factors: * Appraisal subordinate entitlement reduction (ASER) amounts in effect for the specially serviced loans; * The lack of servicer advancing for loans where the servicer has made nonrecoverable advance declarations; * Special servicing fees; and * Interest rate reductions or deferrals resulting from loan modifications. Standard & Poor's analysis primarily considered the ASER amounts based on appraisal reduction amounts (ARAs) calculated using recent Member of the Appraisal Institute (MAI) appraisals. "We also considered servicer nonrecoverable advance declarations, interest shortfalls due to loan modifications, and special servicing fees that are likely, in our view, to cause recurring interest shortfalls," S&P stated. According to the April 12, 2011, trustee remittance report, the current interest shortfalls resulted from ASER amounts related to 23 ($935.7 million, 12.6% of the pooled trust balance) of the 37 assets ($2.56 billion, 34.6%) that are currently with the special servicer, CWCapital Asset Management LLC. Special servicing fees, interest not advanced, and shortfalls due to a rate modification also contributed to the interest shortfalls. "Our analysis considered the possible increase in ASER amounts resulting from both potential ARA determinations for recently transferred loans and likely reimbursements for previous advances made by the master servicer, Wells Fargo Bank. We also considered losses the trust is likely to incur due to the near-term resolution of the 550 South Hope Street Loan ($165.0 million, 2.2%) and the liquidation of the Holiday Inn Portfolio asset ($48.4 million, 0.7%), as indicated by the special servicer. We expect that these losses to the trust will significantly lower the liquidity available to the more senior certificate classes. These factors are reflected in our rating actions," S&P continued. As of the April 12, 2011, trustee remittance report, ARAs totaling $589.2 million were in effect for 28 specially serviced assets. The total reported ASER amount was $1.86 million and the reported cumulative ASER amount was $30.04 million. Standard & Poor's considered 23 ASER amounts, which were based on MAI appraisals, as well as current special servicing fees ($441,663), interest not advanced ($640,863), shortfall due to a rate modification ($93,132), workout fees ($2,864), interest on advances ($9,876), reimbursement of advances to the servicer ($114,162), and other expenses ($72,531) in determining its rating actions. The reported monthly interest shortfalls totaled $3.12 million and have affected all of the classes subordinate to and including class F. Ratings Lowered GS Mortgage Securities Trust 2007-GG10 Commercial mortgage pass-through certificates Credit Reported Rating enhancement interest shortfalls ($) Class To From (%) Current Accumulated C CCC+ (sf) B+ (sf) 10.47 0 0 D CCC (sf) B (sf) 9.71 0 0 E CCC-(sf) B (sf) 8.94 0 0 F D (sf) B (sf) 7.93 231,582 231,582 G D (sf) CCC+ (sf) 6.91 378,249 690,417 H D (sf) CCC- (sf) 5.52 520,090 3,173,983 GS MORTGAGE: S&P Lowers Ratings on Two Classes of Certs. to 'D' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 10 classes of commercial mortgage-backed securities from GS Mortgage Securities Corp. II's commercial mortgage pass-through certificates series 2005-GG4, two of which it lowered to 'D (sf)'. "In addition we affirmed our ratings on eight classes from the same transaction," S&P stated. "The rating actions follow our analysis of the transaction using our U.S. conduit and fusion criteria. Our analysis included a review of the credit characteristics of all of the loans in the pool, the transaction structure, and the liquidity available to the trust. In addition, current and potential interest shortfalls, primarily due to appraisal subordinate entitlement reductions (ASERs) and special servicing fees, prompted us to lower our ratings on class F and G to 'D (sf)'. We expect these interest shortfalls to continue for the foreseeable future. The downgrades of the mezzanine and subordinate certificates reflect credit support erosion we anticipate will occur upon the resolution of 24 ($665.6 million, 19.1%) of the transactions specially serviced assets," S&P stated. S&P continued, "Our analysis included a review of the credit characteristics of all of the assets in the pool. Using servicer- provided financial information, we calculated an adjusted debt service coverage (DSC) of 1.44x and a loan-to-value (LTV) ratio of 101.7%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 0.96x and an LTV ratio of 136.0%. The implied defaults and loss severity under the 'AAA' scenario were 75.2% and 35.6%, respectively. All of the DSC and LTV calculations we noted above exclude seven ($241.8 million, 6.9%) defeased assets and 24 ($665.6 million, 19.1%) of the transaction's 26 ($757.9 million, 21.7%) specially serviced assets. We separately estimated losses for the excluded specially serviced assets and included them in the 'AAA' scenario implied default and loss figures." As of the April 12, 2011, remittance report, the trust experienced monthly interest shortfalls totaling $971,472. The shortfalls were primarily related to ASER amounts totaling $677,856 associated with 16 of the specially serviced assets, as well as special servicing fees of $251,309, nonrecoverable charges of $83,622, interest on advances of $819, and other shortfall charges of $2,685. Classes F and G have experienced shortfalls for one and six months, respectively. "We anticipate that these shortfalls will continue for the foreseeable future. Consequently, we lowered the ratings on these classes to 'D (sf)'," S&P related. The affirmations of the ratings on the principal and interest certificates reflect subordination levels and liquidity that is consistent with the outstanding ratings. "We affirmed our ratings on the class X-P and X-C interest-only (IO) certificates based on our current criteria," S&P noted. Credit Considerations As of the April 12, 2011, remittance report, 26 ($757.9 million, 21.7%) assets in the pool were with the special servicer, LNR Partners, Inc. The payment status of the specially serviced assets is as follows: two ($24.5 million, 0.70%) are real estate owned (REO), nine ($208.6 million, 6.0%) are in foreclosure, six ($237.8 million, 6.8%) are 90-plus days delinquent, three ($61.7 million, 1.8%) are 30 days delinquent, and six ($225.4 million, 6.5%) are within their grace periods. Appraisal reduction amounts (ARAs) totaling $174.7 million were in effect for 19 specially serviced assets. The four largest specially serviced loans are: The Century Centre Office loan ($94.7 million, 2.7%) is the largest loan with the special servicer and the fourth-largest loan in the pool. It is secured by two 13-story office buildings totaling 447,692-sq.-ft. in Irvine, Calif. The loan was transferred to the special servicer in August 2010 due to nonmonetary default. The special servicer and the borrower are engaged in discussions to reinstate the loan. The most recent reported DSC and occupancy were 0.91x and 87.5%, as of Dec. 31, 2009. The Astor Crowne Plaza loan ($78.0 million, 2.2%), the sixth- largest in the pool, is secured by a 707-room full-service hotel in New Orleans. The loan was transferred to the special servicer in May 2009 due to monetary default. According to the special servicer, the trust will take title to the property once an operational review is complete. "We expect a significant loss upon the resolution of this asset," S&P noted. The Kings' Shops loan ($72.0 million, 2.1%), the ninth-largest in the pool, is secured by a 73,522-sq.-ft. anchored retail center in Waikoloa, Hawaii. The asset was transferred to the special servicer in January 2010 due to maturity default. "The special servicer is currently engaged in modification discussions with the borrower. If the loan is not modified, we expect a significant loss upon the resolution of this asset. The most recent reported DSC was 1.08x as of Dec. 31, 2009," according to S&P. The 801 North Brand loan ($70.5 million, 2.0% of the pool), the 10th-largest loan in the pool, is secured by a 279,667-sq.-ft. office complex in Glendale, Calif. The loan was transferred to the special servicer in March 2011 due to imminent default from cash flow problems. According to the special servicer, the DSC and occupancy for the six months ended June 30, 2010, were 1.11x and 82.0%. The 22 remaining specially serviced assets have individual balances that represent less than 2% of the total pool balance. "Our expected losses from specially serviced assets ranged from 10.0% to 81.5%. Weighted by loan balance, the average loss severity was 28.0%," S&P said. Transaction Summary As of the April 12, 2011, trustee remittance report, the collateral pool had a trust balance of $3.49 billion, down from $4.00 billion at issuance. The pool currently includes 171 loans and two REO assets. The master servicer, Berkadia Commercial Mortgage LLC, provided information for 92.0% of the nondefeased loans in the pool, all of which was for full-year 2009, partial- year 2010, or full-year 2010 data. "We calculated a weighted average DSC of 1.45x for the pool based on the reported figures. Our adjusted DSC and LTV ratio were 1.44x and 101.7%, respectively, which exclude 24 ($665.6 million, 19.1%) specially serviced assets and seven ($241.8 million, 6.9%) defeased loans. We separately estimated losses for the 24 specially serviced assets," S&P related. The trust has experienced principal losses of $7.0 million relating to eight assets. Thirty-three ($457.2 million, 13.1%) loans, including the seventh-largest loan in the pool, are on the master servicer's watchlist. Thirty ($484.7 million, 13.9%) loans in the pool have a reported DSC of less than 1.10x, of which 23 ($348.9 million, 10.0%) have a reported DSC below 1.00x. Summary of Top 10 Loans The top 10 loans secured by real estate have an aggregate outstanding trust balance of $1.11 billion (31.9%). "Using servicer-reported numbers, we calculated a weighted average DSC of 1.51x for the top 10 real estate loans. Our adjusted DSC and LTV ratio for the top 10 loans were 1.42x and 115.7%, respectively," S&P said. The One HSBC Center loan ($77.0 million, 2.2%) is the seventh- largest loan in the pool and is secured by an 851,915-sq-ft class A office building in Buffalo, N.Y. According to the master servicer, the loan appears on the watchlist because the property's two largest tenants, HSBC (77% of gross leasable area) and Phillips Lytle (10% of gross leasable area), are considering relocating when their lease expires in 2013. The reported DSC and occupancy for the nine months ended Sept. 30, 2010, were 1.13x and 98%. Standard & Poor's stressed the assets in the pool according to its criteria, and the analysis is consistent with its lowered and affirmed ratings. Ratings Lowered GS Mortgage Securities Corporation II Commercial Mortgage Pass-Through Certificates Series 2005-GG4 Rating Class To From Credit enhancement (%) A-4 AA- (sf) AA (sf) 22.73 A-4B AA- (sf) AA (sf) 22.73 A-1A AA- (sf) AA (sf) 22.73 A-J BBB-(sf) BBB+ (sf) 14.13 B BB (sf) BBB (sf) 12.27 C BB- (sf) BBB- (sf) 11.27 D B (sf) BB+ (sf) 9.12 E B- (sf) BB (sf) 7.97 F D (sf) B- (sf) 6.39 G D (sf) CCC- (sf) 5.10 Ratings Affirmed GS Mortgage Securities Corporation II Commercial Mortgage Pass-Through Certificates Series 2005-GG4 Class Rating Credit enhancement (%) A-DP AAA (sf) 22.73 A-2 AAA (sf) 22.73 A-3 AAA (sf) 22.73 A-ABA AAA (sf) 32.39 A-ABB AAA (sf) 22.73 A-4A AAA (sf) 32.39 X-P AAA (sf) N/A X-C AAA (sf) N/A N/A: Not Applicable GSC CAPITAL: Moody's Hikes Rating on $16.2MM Class F Notes to Caa1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of these notes issued by GSC Capital Corp. Loan Funding 2005-1: -- US$25,500,000 Class B Floating Rate Notes Due 2020, Upgraded to Aa1 (sf); previously on August 7, 2009 Downgraded to Aa2 (sf); -- US$16,500,000 Class C Floating Rate Notes Due 2020, Upgraded to Aa3 (sf); previously on August 7, 2009 Downgraded to A1 (sf); -- US$12,000,000 Class D Deferrable Floating Rate Notes Due 2020, Upgraded to Baa1 (sf); previously on August 7, 2009 Confirmed at Ba1 (sf); -- US$21,300,000 Class E Deferrable Floating Rate Notes Due 2020, Upgraded to Ba2 (sf); previously on August 7, 2009 Confirmed at B1 (sf); -- US$16,200,000 Class F Deferrable Floating Rate Notes Due 2020 (current outstanding balance of $14,367,642), Upgraded to Caa1 (sf); previously on August 7, 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 transaction's overcollateralization ratios since the rating action in August 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 March 22, 2011, the weighted average rating factor is currently 3094 compared to 3568 in the August 2009 report, and securities rated Caa1 or lower make up approximately 18.96% of the underlying portfolio versus 31.96% in August 2009. In addition, there are currently $13.8 million of defaulted securities based on the March 2011 trustee report, compared to $28 million in August 2009. The overcollateralization ratios of the rated notes have also improved since the rating action in August 2009. The Class A/B/C, Class D, Class E and Class F overcollateralization ratios are reported at 128.88%, 120.75%, 108.60% and 101.70%, respectively, versus August 2009 levels of 113.92%, 108.04%, 98.90% and 92.79%, respectively. In particular, the Class F overcollateralization ratio has increased in part due to the diversion of excess interest to delever the Class F notes in the event of a Class F overcollateralization test failure. Since the rating action in August 2009, $2.4 million of interest proceeds have reduced the outstanding balance of the Class F Notes. Moody's also notes that the Class E and Class F 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 $231.7 million, defaulted par of $13.8 million, a weighted average default probability of 31.69% (implying a WARF of 4326), a weighted average recovery rate upon default of 43.43%, and a diversity score of 52. 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. GSC Capital Corp. Loan Funding 2005-1, issued in January 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's Web site. 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. For securities whose default probabilities are assessed through credit estimates ("CEs"), Moody's applied additional default probability stresses by assuming an equivalent of Caa3 for CEs that were not updated within the last 15 months, which currently account for approximately .3% of the collateral balance. 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. 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, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (3461) -- Class A-1: 0 -- Class A-2: 0 -- Class B: +1 -- Class C: +2 -- Class D: +3 -- Class E: +2 -- Class F: +3 Moody's Adjusted WARF + 20% (5191) -- Class A-1: 0 -- Class A-2: 0 -- Class B: -2 -- Class C: -2 -- Class D: -1 -- Class E: -1 -- Class F: -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 behaviour 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 Moody's assumed defaulted assets: Market value fluctuations in defaulted assets reported by the trustee 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. 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. 4) Management continuity: GSC Group, Inc. has recently filed a motion with the bankruptcy court to sell its investment management contracts. Until a new manager is appointed GSC will continue to manage the transaction under Chapter 11 protection. There is some uncertainty as to whether a new manager will be found to take over this transaction and how well a transition to a new manager is going to be handled. GSC PARTNERS: Moody's Upgrades Ratings on CLO Notes --------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by GSC Partners CDO Fund VI, Limited: -- US$37,000,000 Class B Deferrable Floating Rate Notes Due 2017, Upgraded to A3 (sf); previously on July 6, 2009 Confirmed at Ba1 (sf); -- US$4,300,000 Class C-l Deferrable Fixed Rate Notes Due 2017, Upgraded to Baa3 (sf); previously on July 6, 2009 Confirmed at B3 (sf); -- US$8,700,000 Class C-2 Deferrable Floating Rate Notes Due 2017, Upgraded to Baa3 (sf); previously on July 6, 2009 Confirmed at B3 (sf); -- US$21,000,000 Class D Deferrable Floating Rate Notes Due 2017 (current outstanding balance of $20,933,923.93), Upgraded to B1 (sf); previously on July 6, 2009 Confirmed at 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 transaction's overcollateralization ratios 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 April 13, 2011, the weighted average rating factor is currently 2990 compared to 3251 in the May 2009 report and is now currently in compliance, and securities rated Caa1/CCC+ or lower make up approximately 16.3% of the underlying portfolio versus 25.0% in May 2009. Additionally, defaulted securities total about $20.1 million of the underlying portfolio compared to $46.1 million in May 2009. The overcollateralization ratios of the rated notes have also improved since the rating action in July 2009. The Class A, Class B, Class C and Class D overcollateralization ratios are reported at 139.93%, 120.62%, 115.05% and 107.07%, respectively, versus May 2009 levels of 124.73%, 110.15%, 105.76% and 99.33%, respectively, and all related overcollateralization tests are currently in compliance. Moody's also notes that the Class C-1, Class C-2 and Class D 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 $326.2 million, defaulted par of $20.1 million, a weighted average default probability of 24.55% (implying a WARF of 4018), a weighted average recovery rate upon default of 45%, 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. GSC Partners CDO Fund VI, Limited, issued in October 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 2009. Other methodologies used in this rating were "Updated Approach to the Usage of Credit Estimates in Rated Transactions" published in October 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. 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. 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, 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. 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% (3214) -- Class A-1: 0 -- Class A-2: 0 -- Class B: 2 -- Class C-1: 2 -- Class C-2: 2 -- Class D: 2 Moody's Adjusted WARF + 20% (4822) -- Class A-1: 0 -- Class A-2: -1 -- Class B: -1 -- Class C-1: -1 -- Class C-2: -1 -- Class D: -3 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 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. 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. 4. 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. 5. 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. GULF STREAM: Moody's Raises US$32.5MM Class D Notes to Ba1 (sf) --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by Gulf Stream - Compass CLO 2005-1, Ltd.: -- US$347,500,000 Class A-1 Floating Rate Notes due 2017 (current outstanding balance of $223,902,391.11), Upgraded to Aaa (sf); previously on August 4, 2009 Downgraded to Aa1 (sf); -- US$35,000,000 Class A-2 Variable Funding Floating Rate Notes due 2017 (current outstanding balance of $22,551,319.97), Upgraded to Aaa (sf); previously on August 4, 2009 Downgraded to Aa1 (sf); -- US$25,000,000 Class B Floating Rate Notes due 2017, Upgraded to Aa1(sf); previously on August 4, 2009 Downgraded to A3 (sf); -- US$27,500,000 Class C Floating Rate Deferrable Notes due 2017, Upgraded to A1 (sf); previously on August 4, 2009, Confirmed at Ba1 (sf); -- US$32,500,000 Class D Floating Rate Deferrable Notes due 2017, Upgraded to Ba1 (sf); previously on August 4, 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 Notes, which have been paid down by approximately 35.6% or $136 million since the rating action in August 2009. As a result of the delevering, the overcollateralization ratios have increased since the rating action in August 2009. As of the latest trustee report dated April 4, 2011, the Senior overcollateralization ratio is reported at 130.0%, versus July 2009 levels of 113.9%. Moody's also notes that the deal has benefited from improvement in the credit quality of the underlying portfolio since the rating action in August 2009. Based on the April 2011 trustee report, the weighted average rating factor is 2678 compared to 2772 in July 2009, and securities rated Caa1 and below make up approximately 12% of the underlying portfolio versus 19.7% in July 2009. The deal also experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to about $3.2 million from approximately $28.8 million in July 2009. Additionally, the deal has benefitted from the diversion of excess interest to the principal collection account as a result of cumulative losses exceeding a $1.25 million threshold. The diverted amount, called the loss replenishment amount, is calculated by comparing cumulative losses on trading activity and defaults with cumulative gains and prior amounts diverted in excess of the threshold. 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 $356 million, defaulted par of $6.1 million, a weighted average default probability of 22.6% (implying a WARF of 3408), a weighted average recovery rate upon default of 43.3%, and a diversity score of 67. 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. Gulf Stream - Compass CLO 2005-1, Ltd., issued on May 11, 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 2009. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's website. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. 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. 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% (2726) -- Class A-1: 0 -- Class A-2: 0 -- Class B: 0 -- Class C: +3 -- Class D: +2 Moody's Adjusted WARF + 20% (4090) -- Class A-1: 0 -- Class A-2: 0 -- 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, 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. 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. 4) 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. HAMPTON ROADS: Moody's Affirms 'Ba2' Rating on Class I Bonds ------------------------------------------------------------ Moody's Investors Service has affirmed the ratings assigned to approximately $276 million of outstanding Hampton Roads PPV, LLC Military Housing Taxable Revenue Bonds, 2007 Series A. The rating action applies to the Ba2 on Class I bonds in the approximate amount of $209.5 million and B1 on Class II and Class III bonds in the amounts of $37.7 million and $8.8 million, respectively. Moody's has revised the outlook on the Ba2 assigned to Class I to positive from stable and affirmed the stable outlook on Class II and Class III bond ratings. Rating Rationale: The rating affirmation and outlook change on Class I reflect successful completion of construction and absorption of units as demonstrated by average monthly occupancy rate of 95% since September 2010. The high occupancy rate has resulted in increased rental revenue and improved debt service coverage which together with the subordination provided by Class II and Class III put upward pressure on Class I rating. Additional months of sustained performance, however, are needed to establish a trend of strength before a rating upgrade. Moody's will continue to monitor the project's performance over the next 18-24 months and take appropriate action as needed. Strengths: * Project construction: All major construction was completed on September 2010 and the project is going through the closing process. * Project occupancy: Occupancy rate averaged 95% since September, demonstrating strong demand for the project. This is further supported by favorable ratio of available sailors to units, 16:1 according to management, and a waiting list of 1,400 applicants as of February 2011. * Project management: The project is managed by American Campus Communities, Inc. (ACC) which has an extensive expertise in management of student housing facilities which posses many similarities to the project. * Real-estate fundamentals: The real estate fundamentals for the housing properties remain sound, despite the downturn in many real estate markets across the country. Superior amenities of the project units should increase their attractiveness to personnel considering market alternatives. * Base essentiality: Strong base essentiality together with strong Navy's interest in the success of the project provide additional support for the rating action. Challenges: * Transition to permanent phase: There are still risks associated with the transition of the project from construction to permanent phase that could result in large variances from budget. * Revenue stream: Revenue is expected to remain volatile throughout the life of the bonds, impacted by deployment. Management control of project expenses is key to its the success. * Debt service reserve fund: The debt service reserve fund for each class of debt is funded through a surety bond provided by Ambac (rating withdrawn) Moody's considers the debt service reserve fund to be an important component of credit support for the bonds and therefore a key factor in the rating. In the event of rental income shortfall and insufficient moneys in operating reserve accounts, bondholders would rely on the credit strength of Ambac for debt service payment. * Flow of funds: The bond indenture allows for monthly release of excess funds with no cash trap provisions and no minimum account balance provisions for the benefit of bondholders which in Moody's view is a credit weakness. Recent Develompments: The project performance since completion of major construction and delivery of end state units in September 2010 has been strong. Monthly occupancy in some instances has been above assumed pro- forma rate of 95%, resulting in a significant increase in rental income and strengthening of debt service coverage. The high occupancy offsets the small decline of 0.81% in the monthly housing allowance, known as Basic Allowance for Housing (the "BAH") for 2011. Occupancy dropped slightly to 93% and 94% for the months of March and April, respectively, due to a significant deployment that impacted about 600 tenants. This is mitigated by a 16:1 ratio of available sailors to units and a waiting list of 1,400 as of February 2011. Management expects to turn these units over the next four to six weeks and resume previous levels of occupancy. Excluding certain non-operating expenses and asset management fees that are paid after debt service, debt service coverage ratios for 2010 are 1.43x, 1.1x, and 1.05x for Class I, Class II and Class III, respectively. These ratios include approximately $1.86 million final draw of capitalized interest. Maximum annual debt service ("MADS") coverage which commences in two years stands 0.97x. Based on 2011 budget which assumes 5% vacancy rate, overall coverage is projected to reach 1.15x which if achieved and maintained will be a credit positive. MADS coverage based on 2011 budget is 1.05x, which in Moody's view is satisfactory at B1 rating level given that no value is awarded to the debt service reserve fund. Additionally, because of greater frequency of deployment than other military housing projects, above pro-forma occupancy rates may be difficult to sustain over a long period of time. Assuming current expense levels for the rest of the year, break-even vacancy rate based on 2011 budget is 12%, which gives management some financial flexibility. Moody's will continue to monitor the project's performance over the next 18-24 months, particularly management of project expenses during high levels of deployments and take appropriate action as needed. Outlook The Class I positive outlook reflects the project's smooth transition to permanent phase as demonstrated by high monthly occupancy rates that resulted in significant increase in rental income and strengthened debt service coverage. Continued strength over the next 18-24 months will pressure the rating upward. What would Change the Rating Up -- Established trend of strong project performance -- Cash funding of debt service reserve fund, replacement of the surety provider and maintenance of strong debt service coverage. What Could Change the Rating Down -- Significant decline in the BAH or a weakness in occupancy levels that result in a decline in debt service coverage ratio. -- Downsizing or closure of the Navy bases in the Norfolk area. -- Downgrade of the AIG, the Excess Collateral Funding Agreement provider, which is available pursuant to the terms of the Agreement to provide $6.5 million in liquidity, to below investment grade. The principal methodology used in this rating was Global Housing Projects published in July 2010. HARBOR SERIES: Moody's Downgrades Four 2006-1 CRE CDO Classes ------------------------------------------------------------- Moody's has downgraded four classes of Notes issued by Harbor Series 2006-1 LLC due to the deterioration in the credit quality of the underlying portfolio of reference obligations as evidenced by an increase in the weighted average rating factor (WARF), and decrease in weighted average recovery rate (WARR). The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. Moody's rating action is: -- Cl.r A, Downgraded to Caa1 (sf); previously on May 12, 2010 Downgraded to Baa3 (sf) -- Cl.r B, Downgraded to Caa3 (sf); previously on May 12, 2010 Downgraded to B1 (sf) -- Cl.r C, Downgraded to Caa3 (sf); previously on May 12, 2010 Downgraded to B2 (sf) -- Cl.r D, Downgraded to Caa3 (sf); previously on May 12, 2010 Downgraded to B2 (sf) Ratings Rationale Harbor Series 2006-1 LLC. is a static synthetic CRE CDO transaction backed by credit default swaps on a portfolio of commercial mortgage backed securities (CMBS) (100% of the balance). Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life (WAL), WARR, and Moody's asset correlation (MAC). 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 has 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 416 compared to 57 at last review. The distribution of current ratings and credit estimates is as follows: Aaa-Aa3 (50.6% compared to 78.7% at last review), A1-A3 (23.4% compared to 15.1% at last review), Baa1-Baa3 (17.8% compared to 6.3% at last review), Ba1-Ba3 (1.9% compared to 0.0% at last review), B1-B3 (3.8% compared to 0.0% at last review), and Caa1-C (2.5% 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 4.4 years compared to 4.6 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 variable WARR with a mean of 53.7% compared to 61% 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 16.6% compared to 47.0% at last review. The lower MAC is due to greater variability in the higher default probability collateral concentrated within a small number of collateral names. 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. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, stressing the current ratings and credit estimates of the reference obligations by one notch downward negatively affects the model results by approximately 0.0 to 0.7 notches downward. 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. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in November 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. HARBOR SERIES: Moody's Downgrades Four 2006-2 CRE CDO Classes ------------------------------------------------------------- Moody's has downgraded four classes of Notes issued by Harbor Series 2006-2 LLC due to the deterioration in the credit quality of the underlying portfolio of reference obligations as evidenced by an increase in the weighted average rating factor (WARF), and decrease in weighted average recovery rate (WARR). The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. Moody's rating action is: -- Cl.r A, Downgraded to Caa1 (sf); previously on May 12, 2010 Downgraded to Ba1 (sf) -- Cl.r B, Downgraded to Caa2 (sf); previously on May 12, 2010 Downgraded to B1 (sf) -- Cl.r C, Downgraded to Caa3 (sf); previously on May 12, 2010 Downgraded to B2 (sf) -- Cl.r D, Downgraded to Caa3 (sf); previously on May 12, 2010 Downgraded to B3 (sf) Ratings Rationale Harbor Series 2006-2 LLC. is a static synthetic CRE CDO transaction backed by credit default swaps on a portfolio of commercial mortgage backed securities (CMBS) (100% of the balance). Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life (WAL), WARR, and Moody's asset correlation (MAC). 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 has 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 346 compared to 88 at last review. The distribution of current ratings and credit estimates is as follows: Aaa-Aa3 (28.1% compared to 56.7% at last review), A1-A3 (29.2% compared to 36.4% at last review), Baa1-Baa3 (37.7% compared to 6.9% at last review), Ba1-Ba3 (3.7% compared to 0.0% at last review), and Caa1-C (1.3% 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 4.8 years compared to 5.6 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 variable WARR with a mean of 47.0% compared to 54.5% 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 36.1% compared to 55.0% at last review. The lower MAC is due to greater variability in the higher default probability collateral concentrated within a small number of collateral names. 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. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, stressing all of the current ratings and credit estimates of the reference obligations by one notch downward negatively affects the model results by approximately 0.0 to 1.5 notches downward. 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. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in November 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. HELIOS SERIES I: S&P Lowers Rating on Class B Notes to 'CCC-' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class A and B notes issued by Helios Series I Multi Asset CBO Ltd., a multi-asset cash flow collateralized debt obligation. "At the same time, we lowered our rating on the class T-1 notes issued by HSNR Trust Certificates Series 2005-A, a retranching of the class A notes issued by Helios Series I Multi Asset CBO Ltd.," S&P stated. "On March 1, 2011, we placed our ratings on the class A and B notes from Helios Series I Multi Asset CBO Ltd. on CreditWatch with negative implications due to deterioration in the credit quality of the collateral portfolio. The lowered ratings on the class A and B notes to 'BB- (sf)' and 'CCC- (sf)' from 'BB+ (sf)' and 'CCC+ (sf)' respectively, reflect the current credit enhancement available to support the notes. The class A/B overcollateralization ratio for the class A and B notes has dropped to 95.20% from 98.06% since we downgraded the A and B notes on May 26, 2010," S&P noted. The lowered rating of the class T-1 note from HSNR Trust Certificates Series 2005-A reflects the same factors that have negatively affected the credit enhancement available to support the class A note from Helios Series I Multi Assets CBO Ltd. Standard & Poor's will continue to monitor the performance of the transaction to ensure that the ratings reflect the credit enhancement available to support the notes. Rating Lowered Helios Series I Multi Asset CBO Ltd. Rating Class To From A BB- (sf) BB+ (sf)/Watch Neg B CCC- (sf) CCC+ (sf)/Watch Neg HSNR Trust Certificates Series 2005-A Rating Class To From T-1 A- (sf) AAA (sf) HERTZ CORP: Moody's Places Certificate Ratings on Review -------------------------------------------------------- Moody's Investors Service has placed on review for downgrade the ratings of these certificates issued by The Hertz Corporation Debenture Backed Series 2003-15: -- US$25,000,000 of 7.00% Class A Callable Units due June 1, 2012; B3, Placed on Review for Downgrade; Previously on December 9, 2010 Confirmed at B3 -- US$25,000,000 Notional Amount of Interest-Only 0.581% Class B Callable Units Due June 1, 2012; B3, Placed on Review for Downgrade; Previously on December 9, 2010 Confirmed at B3 The transaction is a structured note whose ratings are based on the ratings of the Underlying Securities and the legal structure of the transaction. Today's rating actions are a result of the change of the rating of 7.625% debentures due June 1, 2012, issued by The Hertz Corporation, which were placed on review for downgrade by Moody's on May 9, 2011. The principal methodology used in this rating was Moody's Approach to Rating Repackaged Securities published in April 2010. HERTZ CORP: Moody's Raises $32.5MM Class D Note Rating to Ba2(sf) ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by ING Investment Management CLO II, Ltd.; -- $76,250,000 Class A-2 Floating Rate Notes Due 2020; Upgraded to Aa1(sf); previously on August 5, 2009 Downgraded to Aa2(sf); -- $25,000,000 Class B Floating Rate Notes Due 2020; Upgraded to A1(sf); previously on August 5, 2009 Downgraded to A2(sf); -- $27,500,000 Class C Floating Rate Deferrable Notes Due 2020, Upgraded to Baa2( sf); previously on March 17, 2009 Downgraded to Ba1(sf); -- $32,500,000 Class D Floating Rate Deferrable Notes Due 2020, Upgraded to Ba2(sf), previously on March 17, 2009 Downgraded to B1(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 August 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 April 4, 2011, the weighted average rating factor is currently 2454 (without credit from the Recovery Rate Modifier) compared to 2814 in the June 3, 2009 report. Additionally, defaulted securities total about $1.7 million of the underlying portfolio compared to $24.7 million in June 2009. The percentage of securities rated Caa and below also declined to 8% from 21%. The overcollateralization ratios of the rated notes have also improved since the rating action. The Senior Overcollateralization Test is reported at 121.40%, versus 114.97% in June 2009. The test is currently in compliance. Additionally, the deal has benefitted from the diversion of excess interest to the principal collection account as a result of cumulative losses exceeding a $1.25 million threshold. The diverted amount, called the loss replenishment amount, is calculated by comparing cumulative losses on trading activity and defaults with cumulative gains and prior amounts diverted in excess of the threshold. 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 $491 million and defaulted par of $3 million, a weighted average default probability of 25% (implying a WARF of 3445), a weighted average recovery rate upon default of 44% and a diversity score of 79. 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. ING Investment Management CLO II, Ltd., issued in August 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in these ratings was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 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. 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. 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% (2756) -- Class A-1-R: 0 -- Class A-1-A: 0 -- Class A-2: +1 -- Class B: +3 -- Class C: +3 -- Class D: +2 Moody's Adjusted WARF +20% (4134) -- Class A-1-R: 0 -- Class A-1-A: 0 -- Class A-2: -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 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) Other collateral quality metrics: The deal is allowed to reinvest until August 2011 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 spread and diversity score. HERTZ COMPANY: S&P Puts 'B-' Ratings on Class A & B Units on Watch ------------------------------------------------------------------ Standard & Poor's Ratings Services placed its 'B-' ratings on Structured Asset Trust Unit Repackagings (SATURNS) The Hertz Corp. Debenture-Backed Series 2003-15's $25 million class A and B units on CreditWatch with negative implications. "Our ratings on the class A and B units are dependent on our rating on the underlying security, Hertz Corp.'s 7.625% senior unsecured notes due June 1, 2012 ('B-/Watch Neg')," S&P stated. "The rating actions follow our May 9, 2011, placement of our 'B-' rating on the underlying security on CreditWatch with negative implications. We may take subsequent rating actions on the class A and B units due to changes in our ratings assigned to the underlying security," S&P added. HIGH GRADE: S&P Retains 'CCC-' Ratings on 2 Classes of Notes ------------------------------------------------------------ Standard & Poor's Ratings Services raised its rating on one tranche from one corporate-backed synthetic collateralize debt obligation (CDO) transaction and removed it from CreditWatch with positive implications. "At the same time, we lowered our ratings on two tranches from one synthetic CDO transaction backed by commercial mortgage backed securities (CMBS), and two tranches from one synthetic CDO transaction backed by residential mortgage- backed securities (RMBS) and removed them from CreditWatch negative. In addition, we affirmed our ratings on eight tranches from two corporate-backed synthetic CDOs and three tranches from one synthetic CDO backed by RMBS," S&P stated. The upgrade is from a synthetic CDO that experienced a combination of upward rating migration in its underlying reference portfolio, seasoning of the underlying reference names, and an increase in the synthetic rated overcollateralization (SROC) ratio above 100% at higher rating levels as of the April review and at our projection of the SROC ratios in 90 days assuming no credit migration. The downgrades were from synthetic CDOs that had experienced negative rating migration in their underlying reference portfolios. "The affirmations reflect our opinion of the availability of sufficient credit support at the current rating levels," S&P noted. Rating Actions High Grade Structured Credit 2004-1 Ltd. Rating Class To From C BB+ (sf) BB+ (sf) D CCC- (sf) CCC- (sf) E CCC- (sf) CCC- (sf) Omega Capital Investments PLC EUR274 mil, JPY20 mil, US$160 mil Palladium CDO I secured floating-rate notes Series 19 Rating Class To From A-1E CCC+ (sf) CCC+ (sf) A-1U CCC+ (sf) CCC+ (sf) B-1E CCC- (sf) CCC- (sf) B-1U CCC- (sf) CCC- (sf) C-1E CCC- (sf) CCC- (sf) S-1E BB- (sf) BB- (sf) Pegasus 2006-1 Ltd. Rating Class To From A1 A+ (sf) AAA (sf)/Watch Neg A2 BBB+ (sf) AAA (sf)/Watch Neg Repacs Trust Series: Bayshore I Rating Class To From A BB- (sf) BB- (sf) B B+ (sf) B+ (sf) REPACS Trust Series: Warwick Rating Class To From A Debt Uts BBB (sf) BBB- (sf)/Watch Pos STACK Ltd. Rating Class To From A2-EUR CC (sf) B- (sf)/Watch Neg A2-USD CC (sf) B- (sf)/Watch Neg JP MORGAN: Moody's Attaches New Ratings on JPMCC 2003-C1 -------------------------------------------------------- Moody's Investors Service upgraded the ratings of three non-pooled or rake classes, affirmed eleven classes and downgraded one class of J.P. Morgan Chase Commercial Mortgage Securities Corp, Commercial Mortgage Pass-Through Certificates, Series 2003-C1 as follows: -- Cl.r A-1, Affirmed at Aaa (sf); previously on Mar 28, 2003 Definitive Rating Assigned Aaa (sf) -- Cl.r A-2, Affirmed at Aaa (sf); previously on Mar 28, 2003 Definitive Rating Assigned Aaa (sf) -- Cl.r X-1, Affirmed at Aaa (sf); previously on Mar 28, 2003 Definitive Rating Assigned Aaa (sf) -- Cl.r B, Affirmed at Aaa (sf); previously on Sep 2, 2010 Confirmed at Aaa (sf) -- Cl.r C, Affirmed at Aa1 (sf); previously on Sep 2, 2010 Downgraded to Aa1 (sf) -- Cl.r D, Affirmed at A1 (sf); previously on Sep 2, 2010 Downgraded to A1 (sf) -- Cl.r E, Affirmed at Baa1 (sf); previously on Sep 2, 2010 Downgraded to Baa1 (sf) -- Cl.r F, Downgraded to B1 (sf); previously on Sep 2, 2010 Downgraded to Ba1 (sf) -- Cl.r G, Affirmed at Caa1 (sf); previously on Sep 2, 2010 Downgraded to Caa1 (sf) -- Cl.r H, Affirmed at Ca (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) -- Cl.r J, Affirmed at C (sf); previously on Sep 2, 2010 Downgraded to C (sf) -- Cl.r K, Affirmed at C (sf); previously on Sep 2, 2010 Downgraded to C (sf) -- Cl.r CM-1, Upgraded to A2 (sf); previously on Jul 31, 2008 Upgraded to A3 (sf) -- Cl.r CM-2, Upgraded to A3 (sf); previously on Jul 31, 2008 Upgraded to Baa1 (sf) -- Cl.r CM-3, Upgraded to Baa1 (sf); previously on Jul 31, 2008 Upgraded to Baa2 (sf) Ratings Rationale The upgrades are for three non-pooled, or rake classes, associated with the Concord Mills Mall Loan. The mall's performance has improved since last review due to an increase in property cash flow and loan amortization. The upgrades are due to Concord Mills' improved performance. The downgrade is due to interest shortfalls, which have more than doubled to $2.8 million since Moody's last review in September 2010. The affirmations are due to key parameters, including Moody's LTV ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 4.4% of the current balance. The pool has experienced an additional $6.5 million of realized losses since last review. Moody's cumulative base expected loss plus the additional realized losses since last review represents 5.3% of the current balance. Moody's base expected loss at last review was 5.4%. Moody's stressed scenario loss is 6.6% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodology used in this rating was " Moody's Approach to Rating Fusion U.S. CMBS Transactions", published in April 2005. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 27 compared to 30 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 2, 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 April 12, 2011 distribution date, the transaction's aggregate certificate balance has decreased by approximately 24% to $828 million from $1.09 billion at securitization. The Certificates are collateralized by 89 mortgage loans ranging in size from less than 1% to 17% of the pool, with the top ten loans representing 45% of the pool. The pool includes two loans, representing 21.5% of the pool, with a credit estimate. Twenty- five loans, representing 24% of the pool, have defeased and are secured by U.S. Government securities. Fourteen loans, representing 11% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council's (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Four loans have been liquidated from the pool resulting in $44 million of realized losses (80% average severity). As of Q4 2010, this deal has underperformed the 2003 vintage CMBS deals that Moody's rates. 2003 vintage CMBS deals have experienced a 0.7% cumulative realized loss on average according to Moody's US CMBS Loss Severities, Q4 2010 Update. The aggregate $44 million realized loss represents approximately 4% of the original deal balance. Approximately 77% of this deal's aggregate realized loss is attributed to the liquidation of the Crossroads Mall Loan. This loan was the deal's second largest loan at securitization and resulted in a $33 million loss when it was disposed of in June 2010. Four loans, representing 5% of the pool, are in special servicing. The largest specially serviced loan is the 200-220 West Germantown Pike Loan ($14 million -- 1.8% of the pool), which is secured by two office buildings totaling 115,000 square feet (SF) located in Plymouth Meeting, Pennsylvania. Loan performance deteriorated after a tenant occupying 40% of the net rentable area (NRA) vacated upon its October 2010 lease expiration. The loan is currently real estate owned (REO). The servicer has recognized a $7.6 million appraisal reduction for this loan. The remaining three specially serviced loans are secured by a mix of retail and office properties. The servicer has recognized a $23 million aggregate appraisal reduction for three of the four specially serviced loans. Moody's has estimated a $23 million loss (61% expected loss based on a 96% probability of default) for all of the specially serviced loans. Loans representing approximately 71% of the pool mature within the next 24 months. Moody's expects most of these loans will be able to refinance at or prior to loan maturity. However, Moody's has assumed a high default probability for five poorly performing loans representing 6% of the pool and has estimated an aggregate $7 million loss (15% expected loss based on a 50% probability default) from these troubled loans. Based on the most recent remittance statement, Classes F through NR have experienced cumulative interest shortfalls totaling $2.8 million. Interest shortfalls totaled $1.3 million and were contained to Classes H through NR at last review. Moody's anticipates that the pool will continue to experience interest shortfalls due to the exposure to specially serviced and troubled loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs) and extraordinary trust expenses. Interest shortfalls recently increased compared to last review because the servicer has begun to recoup previous advances on a specially serviced loan that it deemed non-recoverable. Moody's was provided with full year 2009 and full or partial year 2010 operating results for 96% and 95% of the pool, respectively. Excluding specially serviced, troubled and defeased loans and loans with credit estimates, Moody's weighted average LTV is 76% compared to 83% at Moody's last 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 9.5%. Excluding specially serviced, troubled and defeased loans and loans with credit estimates, Moody's actual and stressed DSCR are 1.56X and 1.48X, respectively, compared to 1.46X and 1.38X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit estimate is the Concord Mills Loan ($141 million -- 17.4% of the pool), which is secured by a 1.25 million SF regional mall located in Concord, North Carolina. In addition to the pooled debt, there is a $18.5 million non-pooled, or rake component, which supports Classes CM1, CM2 and CM3. The mall is a top shopping, entertainment and tourist destination in North Carolina with over 17 million visitors annually. In-line occupancy has improved from 87% at last review to 89% as of February 2011, while total mall occupancy has remained stable at 94%. 2010 in-line sales increased 10% from 2009 to $377 PSF. Simon Property Group is the sponsor for the loan. Moody's credit estimate and stressed DSCR are A1 and 1.83X, respectively, as compared to A2 and 1.75X at last review. The second loan with a credit estimate is the Bishops Gate Loan ($33 million -- 4.1% of the pool), which is secured by two office buildings totaling 484,000 SF located in Mt. Laurel, New Jersey. The collateral is 100% leased to PHH Mortgage, a subsidiary of PHH Corporation (Moody's senior unsecured rating Ba2; stable outlook), through December 2022. The loan has an anticipated repayment date (ARD) of January 2013 and has amortized 13% since securitization. Moody's credit estimate and stressed DSCR are A3 and 2.04X, respectively, compared to A3 and 2.05X at last review. The three largest conduit loans represent 11% of the outstanding pool balance. The largest loan is the Crossways/Newington Portfolio ($39 million - 4.8% of the pool), which consists of two cross-collateralized loans secured by two industrial/office flex buildings totaling 812,000 SF. Both properties are located in Virginia. As of December 2010, the two properties were 87% leased, compared to 83% at last review. The loan has amortized 11% since securitization. Moody's LTV and stressed DSCR are 62% and 1.66X, respectively, compared to 79% and 1.29X at last review. The second largest loan is the Somerset Shoppes Loan ($27 million - 3.3% of the pool), which is secured by a 187,000 SF community shopping center located in Boca Raton, Florida. Major tenants include T.J. Maxx, Michaels and Loehmann's. The center was 93% leased as of April 2011, the same as at last review. The loan matures in October 2012 and almost 40% of the leases expire in 2011-12. Moody's value reflects the property's significant upcoming lease rollover. Moody's LTV and stressed DSCR are 105% and 1.01X, respectively, compared to 106% and .99X at last review. The third largest loan is the Prince Georges Metro Center IV Loan ($24 million -- 3.0% of the pool), which is secured by a 178,450 SF class A office building located in near Washington, DC in Hyattsville, Maryland. The property was constructed in 2002 as a build-to-suit office for the US Department of Health and Human Services (HHS) which occupies 100% of the building under a 10-year lease expiring in December 2012. The loan has amortized 11% since securitization and matures in March 2013. Moody's believes this loan will be difficult to refinance if HHS does not renew or a replacement tenant is not found prior to loan maturity. Moody's analysis utilized a lit/dark analysis to account for this single tenant exposure. Moody's LTV and stressed DSCR are 108% and 1.01X, respectively, compared to 115% and .99X at last review. JP MORGAN: Moody's Affirms Ratings on 17 CMBS Classes ----------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of 17 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2004- C1: -- Cl. A-2, Affirmed at Aaa (sf); previously on Apr 2, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Apr 2, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Apr 2, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on Apr 2, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on Oct 29, 2008 Upgraded to Aaa(sf) -- Cl. C, Affirmed at Aaa (sf); previously on Oct 29, 2008 Upgraded to Aaa (sf) -- Cl. D, Affirmed at A1 (sf); previously on Oct 29, 2008 Upgraded to A1 (sf) -- Cl. E, Affirmed at A3 (sf); previously on Apr 2, 2004 Definitive Rating Assigned A3 (sf) -- Cl. F, Affirmed at Baa1 (sf); previously on Apr 2, 2004 Definitive Rating Assigned Baa1 (sf) -- Cl. G, Affirmed at Baa2 (sf); previously on Apr 2, 2004 Definitive Rating Assigned Baa2 (sf) -- Cl. H, Affirmed at Baa3 (sf); previously on Apr 2, 2004 Definitive Rating Assigned Baa3 (sf) -- Cl. J, Affirmed at Ba3 (sf); previously on Jul 21, 2010 Downgraded to Ba3 (sf) -- Cl. K, Affirmed at B1 (sf); previously on Jul 21, 2010 Downgraded to B1 (sf) -- Cl. L, Affirmed at B3 (sf); previously on Jul 21, 2010 Downgraded to B3 (sf) -- Cl. M, Affirmed at Caa2 (sf); previously on Jul 21, 2010 Downgraded to Caa2 (sf) -- Cl. N, Affirmed at Ca (sf); previously on Jul 21, 2010 Downgraded to Ca (sf) -- Cl. P, Affirmed at C (sf); previously on Jul 21, 2010 Downgraded to C (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 3.5% of the current balance. At last review, Moody's cumulative base expected loss was 3.0%. Moody's stressed scenario loss is 9.4% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodology used in this rating was: "Moody's Approach to Rating Fusion Transactions", published on April 19, 2005. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 22 compared to 22 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated July 21, 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 April 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 37% to $657.4 million from $1.04 billion at securitization. The Certificates are collateralized by 103 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans representing 39% of the pool. Twelve loans, representing 16% of the pool, have defeased and are collateralized by U.S. Government securities. Twenty-six loans, representing 17% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. One loan has been liquidated from the pool, resulting in a realized loss of $4.6 million (80% loss severity). Currently four loans, representing 4% of the pool, are in special servicing. The largest specially serviced loan is the 610 Broadway Loan ($11.4 million -- 1.7% of the pool), which is secured by a 152,454 square foot office complex built in 1909 and renovated in 2002 and located in the Jewelry District of downtown Los Angeles, California. The loan was transferred to special servicing in January 2010 due to monetary default and the borrower subsequently filed for bankruptcy in May 2010. The borrower filed its bankruptcy plan in November 2010 and the special servicer is currently reviewing the plan. The plan includes a modification to the loan agreement. Terms of the modification include an extension of the maturity date, interest only payments for a portion of the extension, and the ability to pay off the loan any time prior to the new maturity date. The remaining three specially serviced properties are secured by a mix of property types. Moody's estimates an aggregate $5.1 million loss for the specially serviced loans (61% expected loss on average). Moody's has assumed a high default probability for four poorly performing loans representing 2% of the pool and has estimated an aggregate $3.7 million loss (24% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 operating results for 98% of the pool. Excluding specially serviced loans with estimated losses and troubled loans, Moody's weighted average LTV is 82%, the same as at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding specially serviced loans with estimated losses and troubled loans, Moody's actual and stressed DSCRs are 1.40X and 1.31X, respectively, compared to 1.37X and 1.28X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 27% of the pool. The largest conduit loan is the Hometown America Portfolios IV & V Loan ($87.8 million -- 13.4% of the pool), which is secured by 14 manufactured home communities totaling 3,742 units and located in eight states. The portfolio was 95% leased as of September 2010 compared to 89% at the prior review. The loan has amortized 2% since last review and 9% since securitization. Moody's 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 One Fordham Plaza Loan ($45.7 million -- 7.0% of the pool), which is secured by a 414,002 square foot office building located in Bronx, New York. The property was 85% leased as of September 2010 compared to 92% at last review. The largest tenant is Montefiore Hospital, which leases approximately 125,000 square feet of the net rentable area (NRA) under various leases expiring in 2012 and 2013. Included is a proprietary lease (109,000 square feet), where upon expiration of the initial term in 2012, Montefiore can extend through September 2036 at $1.00 per annum plus expense reimbursements. Other tenants include the New York City Housing Authority (18% of the NRA; lease expiration March 2030) and the New York State Division of Human Rights (13% of the NRA; currently on a month-to- month lease -- working with borrower on a long term lease). Property performance has declined due to both a decrease in rental income as well as increased expenses. The loan has amortized 4% since last review and 29% since securitization. Moody's LTV and stressed DSCR are 90% and 1.20X, respectively, compared to 83% and 1.31X at last review. The third largest conduit loan is the White Oak Crossing Shopping Center Loan ($40.4 million -- 6.1% of the pool), which is secured by a 517,000 square foot shopping center located approximately seven miles southeast of Raleigh, North Carolina. The center is anchored by BJ's Wholesale Club (22% of the NRA; lease expiration August 2023), Kohl's (17% of the NRA; lease expiration January 2024), and Dick's Sporting Goods (9% of the NRA; lease expiration January 2019). The center is shadow anchored by Target. The center was 95% leased as of December 2010 compared to 94% at the last review. The loan has benefitted from 2% of amortization since last review and 15% since securitization. Moody's LTV and stressed DSCR are 73% and 1.38X, respectively, compared to 82% and 1.22X at last review. JP MORGAN: Moody's Affirms 13 CMBS Classes of JPMCC 2002-CIBC4 -------------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of 13 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp, Commercial Mortgage Pass-Through Certificates, Series 2002-CIBC4: -- Cl. A-2, Affirmed at Aaa (sf); previously on Apr 29, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Apr 29, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on Apr 29, 2002 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on Sep 27, 2005 Upgraded to Aaa (sf) -- Cl. C, Affirmed at Aa2 (sf); previously on Oct 28, 2010 Downgraded to Aa2 (sf) -- Cl. D, Affirmed at A2 (sf); previously on Oct 28, 2010 Downgraded to A2 (sf) -- Cl. E, Affirmed at Ba2 (sf); previously on Oct 28, 2010 Downgraded to Ba2 (sf) -- Cl. F, Affirmed at Caa3 (sf); previously on Oct 28, 2010 Downgraded to Caa3 (sf) -- Cl. G, Affirmed at Ca (sf); previously on Oct 28, 2010 Downgraded to Ca (sf) -- Cl. H, Affirmed at C (sf); previously on Oct 28, 2010 Downgraded to C (sf) -- Cl. J, Affirmed at C (sf); previously on Oct 28, 2010 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded to C (sf) The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 9.5% of the current balance compared to 9.1% at last review. The cumulative base expected dollar loss is $56 million, which is similar to the $55 million cumulative base expected dollar loss at last review. Moody's stressed scenario loss is 12.6% 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. The principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 22 compared to 21 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated October 28, 2010. Please see the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history. Deal Performance As of the April 12, 2011 distribution date, the transaction's aggregate certificate balance has decreased by approximately 27% to $587 million from $799 million at securitization. The Certificates are collateralized by 106 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 30% of the pool. Twenty-seven loans, representing 32% of the pool, have defeased and are secured by U.S. Government securities. Nineteen loans, representing 17% 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's (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Seven loans have been liquidated from the pool resulting in approximately $20 million of realized losses (42% average severity). Five loans, representing 16% of the pool, are in special servicing. The largest specially serviced loan is the Highland Mall Loan ($62 million -- 10.6% of the pool), which is secured by the first enclosed regional mall built in Austin, Texas. The mall's in-line space was only 31% leased as of March 2011, while 77% of the entire mall's 1.12 million square feet (SF) was leased. The loan is currently real estate owned (REO) and re- leasing efforts are underway. The servicer has recognized a $15.9 million appraisal reduction for this loan, but is awaiting receipt of an updated appraisal. The remaining four specially serviced loans are secured by a mix of retail, industrial and multifamily properties. The servicer has recognized a $22 million aggregate appraisal reduction for three of the five specially serviced loans. Moody's has estimated a $48 million loss (53% expected loss based on a 91% probability of default) for all of the specially serviced loans. All of the loans in the pool matured or have an anticipated repayment date (ARD) within the next 24 months. Moody's expects most of these loans will be able to refinance at or prior to loan maturity. However, Moody's has assumed a high default probability for five poorly performing loans representing 3% of the pool and has estimated an aggregate $2 million loss (13% expected loss based on a 50% probability default) from these troubled loans. Based on the most recent remittance statement, Classes H through NR have experienced cumulative interest shortfalls totaling $2.4 million. Moody's anticipates that the pool will continue to experience interest shortfalls due to the exposure to specially serviced and troubled loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs) and extraordinary trust expenses. Moody's was provided with full year 2009 and full or partial year 2010 operating results for 96% and 86% of the pool's non-defeased loans, respectively. Excluding specially serviced, troubled and defeased loans, Moody's weighted average LTV is 76% compared to 77% at Moody's last 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 9.7%. Excluding specially serviced, troubled and defeased loans, Moody's actual and stressed DSCR are 1.32X and 1.48X, respectively, compared to 1.34 and 1.50X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's stressed DSCR is higher than the actual DSCR for this deal because most loans are near maturity, so the current debt constant is greater than Moody's 9.25% stressed rate. The three largest conduit loans represent 8.3% of the outstanding pool balance. The largest loan is the Sugarland Crossing Loan ($22 million -- 3.7% of the pool), which is secured by a 257,000 SF community shopping center located in the Washington D.C. suburb of Sterling, Virginia. The collateral was 95% leased as of December 2010, which is the same as at last review. Loan performance has been stable since last review. Moody's LTV and stressed DSCR are 78% and 1.32X, respectively, the same as at last review. The second largest loan is the Brookridge Village Apartments Loan ($13 million -- 2.3% of the pool), which is secured by a 330 unit garden style apartment complex located in Louisville, Kentucky. The property was 99% leased as of December 2010, the same as at last review. Performance has improved since last review due to an increase in base rent. Moody's LTV and stressed DSCR are 79% and 1.23X, respectively, compared to 91% and 1.13X at last review. The third largest loan is the Springdale Plaza loan ($13 million - - 2.3% of the pool), which is secured by a 188,000 SF strip center located in Springdale, Ohio. No updated financial information has been provided since last review. Although the loan is current, it is on the watchlist. The property was 70% leased as of April 2010 with leases representing 22% of the premises expiring in 2011. The servicer has reported that this loan is in the process of being defeased, which will increase the pool's defeased portion to 34%. JP MORGAN: Moody's Affirms 17 CMBS Classes JPMCC 2004-CIBC8 ----------------------------------------------------------- Moody's Investors Service affirmed the ratings of 17 classes of J.P. Morgan Commercial Mortgage Finance Corp., Series 2004-CIBC8: -- Cl. A-3, Affirmed at Aaa (sf); previously on Apr 12, 2004 Definitive Rating Assigned Aaa (sf) -- Cl.r A-1A, Affirmed at Aaa (sf); previously on Apr 12, 2004 Definitive Rating Assigned Aaa (sf) -- Cl.r A-4, Affirmed at Aaa (sf); previously on Apr 12, 2004 Definitive Rating Assigned Aaa (sf) -- Cl.r X-1, Affirmed at Aaa (sf); previously on Apr 12, 2004 Definitive Rating Assigned Aaa (sf) -- Cl.r B, Affirmed at Aa2 (sf); previously on Apr 12, 2004 Definitive Rating Assigned Aa2 (sf) -- Cl.r C, Affirmed at Aa3 (sf); previously on Apr 12, 2004 Definitive Rating Assigned Aa3 (sf) -- Cl.r D, Affirmed at A3 (sf); previously on Sep 29, 2010 Downgraded to A3 (sf) -- Cl.r E, Affirmed at Baa2 (sf); previously on Sep 29, 2010 Downgraded to Baa2 (sf) -- Cl.r F, Affirmed at Ba1 (sf); previously on Sep 29, 2010 Downgraded to Ba1 (sf) -- Cl.r G, Affirmed at B1 (sf); previously on Sep 29, 2010 Downgraded to B1 (sf) -- Cl.r H, Affirmed at Caa3 (sf); previously on Sep 29, 2010 Downgraded to Caa3 (sf) -- Cl.r J, Affirmed at Ca (sf); previously on Sep 29, 2010 Downgraded to Ca (sf) -- Cl.r K, Affirmed at C (sf); previously on Sep 29, 2010 Downgraded to C (sf) -- Cl.r L, Affirmed at C (sf); previously on Sep 29, 2010 Downgraded to C (sf) -- Cl.r M, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) -- Cl.r N, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) -- Cl.r P, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 4.8% of the current balance. At last review, Moody's cumulative base expected loss was 4.3%. Moody's stressed scenario loss is 8.9% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodology used in this rating was "CMBS: Moody's Approach to Rating U.S. CMBS Fusion Transactions", published in April 2005. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 29, 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 April 12, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 36% to $804.1 million from $1.3 billion at securitization. The Certificates are collateralized by 85 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans representing 47% of the pool. The pool contains one loan with an investment grade credit estimate that represents 4% of the pool. Six loans, representing 4% of the pool, have defeased and are collateralized with U.S. Government securities. Nineteen loans, representing 27% 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's (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Three loans have been liquidated from the pool, resulting in an aggregate realized loss of $14 million (52% loss severity overall). Seven loans, representing 4% of the pool, are currently in special servicing. The master servicer has recognized an aggregate $12.8 million appraisal reduction for four of the specially serviced loans. Moody's has estimated an aggregate $11 million loss (47% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 10 poorly performing loans representing 7% of the pool and has estimated a $11.7 million aggregate loss (20% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 and partial/full year 2010 operating results for 95% and 84% of the pool's non-defeased loans, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 88% compared to 85% 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 9.0%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.35X and 1.19X, respectively, compared to 1.57X and 1.21X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. 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 23 compared to 23 at Moody's prior review. The loan with a credit estimate is the Northpark Mall loan ($35.7 million -- 4.4% of the pool) which is secured by an 809,166 square foot (SF) enclosed regional mall located Joplin, Missouri. Overall occupancy as of December 2010 was 97%, which is consistent with occupancy at the prior review and at securitization. JC Penney, Sears, Shopko and Macy's are the anchor tenants. Moody's credit estimate and stressed DSCR are Aa2 and 2.0X, respectively, the same at last review. The top three performing conduit loans represent 25% of the pool balance. The largest loan is the Harbor Plaza loan ($78 million -- 9.7% of the pool), which is secured by a 740,000 SF Class A office complex located in Stamford, Connecticut. The property was 71% leased as of January 2011 compared to 68% as of December 2009. Performance has been stable since last review, despite the challenging leasing conditions in the Stamford office market. Moody's analysis reflects a stressed cash flow due to Moody's concerns about potential volatility due to near-term lease expirations. The loan is on the master servicer's watchlist. Moody's LTV and stressed DSCR are 117% and 0.83X, respectively, compared to 106% and 0.92X at last review. The second largest loan is the Hometown America Portfolio IV Loan ($73 million -- 9.1% of the pool), which is secured by six manufactured home communities located in Florida, Michigan, Colorado and North Dakota. The portfolio contains 2,727 pads with individual properties ranging from 201 to 1,000 pads. The portfolio's occupancy as of December 2010 was 75% compared to 80% as of December 2009. Moody's LTV and stressed DSCR are 92% and 1.06X, respectively, compared to 87% and 1.12X at last review. The third largest loan is the Santee Trolley Square Loan ($49.9 million -- 6.2% of the pool), which is secured by a 311,430 SF retail power center located in Santee, California. Occupancy as of December 2010 was 98%, the same as of December 2009. Although not part of the collateral, a 127,000 SF Target is an anchor tenant. Property performance has been stable. Moody's LTV and stressed DSCR are 93% and 1.01X, respectively, compared to 95% and 0.99X at last review. KEY COMMERCIAL: Moody's Affirms Ratings on 13 CMBS Classes ---------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of 13 classes of Key Commercial Mortgage Securities Trust 2007-SL1, Commercial Mortgage Pass-Through Certificates, Series 2007-SL1: -- Cl. A-1, Affirmed at A3 (sf); previously on Mar 18, 2010 Downgraded to A3(sf) -- Cl. A-2, Affirmed at A3 (sf); previously on Mar 18, 2010 Downgraded to A3(sf) -- Cl. A-1A, Affirmed at A3 (sf); previously on Mar 18, 2010 Downgraded to A3(sf) -- Cl. X, Affirmed at A3 (sf); previously on Mar 18, 2010 Downgraded to A3(sf) -- Cl. B, Affirmed at Baa3 (sf); previously on Mar 18, 2010 Downgraded to Baa3(sf) -- Cl. C, Affirmed at B2 (sf); previously on Mar 18, 2010 Downgraded to B2(sf) -- Cl. D, AFfirmed at Caa2 (sf); previously on Sep 16, 2010 Downgraded to Caa2(sf) -- Cl. E, Affirmed at Caa3 (sf); previously on Sep 16, 2010 Downgraded to Caa3(sf) -- Cl. F, Affirmed at Ca (sf); previously on Sep 16, 2010 Downgraded to Ca(sf) -- Cl. G, Affirmed at C(sf); previously on Sep 16, 2010 Downgraded to C(sf) -- Cl. H, Affirmed at C(sf); previously on Mar 18, 2010 Downgraded to C(sf) -- Cl. J, Affirmed at C(sf); previously on Mar 18, 2010 Downgraded to C(sf) -- Cl. K, Affirmed at C(sf); previously on Mar 18, 2010 Downgraded to C(sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. This transaction is classified as a small balance CMBS transaction. Small balance transactions, which represent approximately 1% of the Moody's rated conduit/fusion universe, have generally experienced higher defaults and losses than traditional conduit and fusion transactions. Moody's rating action reflects a cumulative base expected loss of 4.4% of the current balance. At last review, Moody's cumulative base expected loss was 5.2%. Moody's stressed scenario loss is 17.0% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodology used in this rating was "CMBS: Moody's Approach to Small Loan Transactions" rating methodology published in December 2004. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 86 compared to 88 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 16, 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 April 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 14% to $203.22 million from $237.49 million at securitization. The Certificates are collateralized by 141 mortgage loans ranging in size from less than 1% to 4% of the pool, with the top ten loans representing 24% of the pool. Fifty-five loans, representing 41% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Three loans have been liquidated from the pool since securitization, resulting in an aggregate $2.7 million loss (70% loss severity on average). Six loans, representing 3% of the pool, are currently in special servicing. The master servicer has recognized an aggregate $752,950 appraisal reduction for three of the specially serviced loans. Moody's has estimated an aggregate $4.2 million loss (70% expected loss on average) for the specially serviced loans. KKR FINANCIAL: Moody's Upgrades Ratings on 5 Classes of Notes ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by KKR Financial CLO 2006-1, Ltd.: -- US$334,000,000 Class A-1 Senior Secured Floating Rate Notes Due 2018 (current outstanding balance of $309,779,791.68), Upgraded to Aa1 (sf); previously on February 13, 2009 Downgraded to Aa2 (sf); -- US$69,000,000 Class A-2b Senior Secured Floating Rate Notes Due 2018, Upgraded to Aa2 (sf); previously on February 13, 2009 Downgraded to A1 (sf); -- US$43,000,000 Class B Senior Secured Floating Rate Notes Due 2018, Upgraded to A1 (sf); previously on February 13, 2009 Downgraded to Baa1 (sf); -- US$87,000,000 Class C Deferrable Mezzanine Secured Floating Rate Notes Due 2018 (current outstanding balance of $74,500,000), Upgraded to Baa1 (sf); previously on August 18, 2009 Upgraded to Ba1 (sf). -- US$48,000,000 Class E Deferrable Mezzanine Secured Floating Rate Notes Due 2018 (current outstanding balance of $30,000,000), Upgraded to Baa3 (sf); previously on August 18, 2009 Upgraded to Ba3 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from improvement in the transaction's overcollateralization ratios since the rating action in August 2009. The Class AB, Class D and Class E overcollateralization ratios are reported at 160.14%, 142.68% and136.67%, respectively, versus August 2009 levels of 144.85%, 128.87% and 123.18%, respectively. Moody's also notes that the credit profile of the underlying portfolio has been relatively stable since the last rating action. Based on the March 2011 trustee report, the weighted average rating factor is 3,533 compared to 3,449 in July 2009, and securities rated Caa1/CCC+ or lower make up approximately 23% of the underlying portfolio versus 29% in July 2009. Additionally, defaulted securities total about $15 million of the underlying portfolio compared to $70 million 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 and principal proceeds balance of $1.0 billion, defaulted par of $23 million, a weighted average default probability of 36.28% (implying a WARF of 4909), a weighted average recovery rate upon default of 38.68%, and a diversity score of 30. 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. KKR Financial CLO 2006-1, Ltd., issued in September 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 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. 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. 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% (3927) -- Class A-1: +1 -- Class A-2a: 0 -- Class A-2b: +2 -- Class B: +2 -- Class C: +2 -- Class E: +2 Moody's Adjusted WARF + 20% (5891) -- Class A-1: -2 -- Class A-2a: 0 -- Class A-2b: -2 -- Class B: -2 -- Class C: -2 -- Class E: -1 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. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior, and 2) divergence in legal interpretation of CLO 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. 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 life, weighted average rating factor, weighted average spread, weighted average coupon, and diversity score. However, as part of the base case, Moody's considered spread levels higher than the covenant levels due to the large difference between the reported and covenant levels. 3. The deal has a pay-fixed receive-floating interest rate swap that is currently out of the money. If fixed rate assets prepay or default, there would be a more substantial mismatch between the swap notional and the amount of fixed assets. In such cases, payments to hedge counterparties may consume a large portion or all of the interest proceeds, leaving the transaction, even with respect to the senior notes, with poor interest coverage. Payment timing mismatches between assets and liabilities may cause additional concerns. If the deal does not receive sufficient projected principal proceeds on the payment date to supplement the interest proceeds shortfall, a heightened risk of interest payment default could occur. Similarly, if principal proceeds are used to pay interest, there may ultimately be a risk of payment default on the principal of the notes. LANDMARK II CDO: Moody's Upgrades CLO Notes Rating to 'Ba1' ----------------------------------------------------------- Moody's Investors Service has upgraded the rating of these notes issued by Landmark II CDO Ltd.: -- $12,000,000 Class B Second Priority Floating Rate Notes Due 2012 (current balance of $8,216,912), Upgraded to Ba1 (sf); previously on Feb 24, 2010 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 Notes and Class B Notes. The Class A Notes have been paid in full, and the Class B Notes have been paid down by approximately 32% or $3.78 million since the rating action in February 2010. As a result of the delevering, the overcollateralization ratio of the Class B Notes has increased since the rating action in February 2010. As of the latest trustee report dated March 31, 2011, the Class B overcollateralization ratio is reported at 220.2% versus the December 2009 level of 144.1%. The rating action also reflects that interest payments to the Class B Notes have resumed. On June 4, 2009, the trustee filed a statutory interpleader action with the United States District Court for the Southern District of New York, asking the court to order the holders of all notes and preference shares to interplead on the issue of the existence and continuation of an Event of Default and related demand for acceleration described in certain previous notices. Beginning on the June 1, 2009 payment date, the trustee started depositing, among other amounts, interest payments owed to the Class B Notes in a separate escrow account pending the resolution of the interpleader action by the court. As a result when Moody's downgraded the Class B Notes in February 2010, Moody's viewed the missed payments of interest as a default, and analyzed the nonpayment of interest on Class B Notes according to the guidelines set forth in the publication "Moody's Approach to Rating Structured Finance Securities in Default," dated November 11, 2009. On the March 1, 2011 payment date the Class A Notes were paid in full, and consequently all previously unpaid interest held in escrow was released to the Class B noteholders. The upgrade of the Class B Notes' rating considers both the resumption of interest payments and partial amortization of the Class B Notes since Moody's last rating action. Notwithstanding these positive factors and resolution of certain issues by the court, uncertainty surrounding potential prejudgment payments could potentially affect future Class B Notes' interest payments, which is also considered in the rating action. 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 $22.5 million, defaulted par of $7.4 million, a weighted average default probability of 23.9% (implying a WARF of 5648), a weighted average recovery rate upon default of 38.27%, and a diversity score of 16. 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. Landmark II CDO Ltd., issued on September 18, 2002, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. 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 2.8 was used to simulate a default distribution that was then applied as an input in the cash flow model. 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% (4518) -- Class B: 0 -- Class C: 0 -- Class D: 0 Moody's Adjusted WARF + 20% (6778) -- Class B: 0 -- Class C: 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. 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. 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. LASALLE COMMERCIAL: Moody's Affirms Two CMBS Classes Rating at 'C' ------------------------------------------------------------------ Moody's Investors Service affirmed the ratings of two classes of LaSalle Commercial Mortgage Securities Inc., Series 2006-MF3: -- Cl.r A, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to C (sf) -- Cl.r X, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to C (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. This transaction is classified as a small balance CMBS transaction. Small balance transactions, which represent less than 1% of the Moody's rated conduit/fusion universe, have generally experienced higher defaults and losses than traditional conduit and fusion transactions. Moody's rating action reflects a cumulative base expected loss of 15.6% of the current balance. At last review, Moody's cumulative base expected loss was 17.9%. Moody's stressed scenario loss is 22.6% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodology used in this rating was "CMBS: Moody's Approach to Small Loan Transactions" rating methodology published in December 2004. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 166 compared to 206 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 9, 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 April 20, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 43% to $280.7 million from $493.4 million at securitization. The Certificates are collateralized by 282 mortgage loans ranging in size from less than 1% to 1.5% of the pool, with the top ten loans representing 12% of the pool. Eighty-three loans, representing 27% 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's (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Eighty-one loans have been liquidated from the pool since securitization, resulting in an aggregate $61.0 million loss (68% loss severity on average). Realized losses have resulted in 100% principal loss to Classes B through N. At Moody's prior review, the aggregate realized losses represented $53.7 million. Fifty- seven loans, representing 20% of the pool, are currently in special servicing. The master servicer has recognized an aggregate $10.2 million appraisal reduction for 32 of the specially serviced loans. Moody's has estimated an aggregate $28.6 million loss (68% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability on 34 loans representing, 12% of the pool. These loans are on the watch list due to poor performance. Moody's has estimated a $4.9 million aggregate loss (20% expected loss based on a 50% default probability) from these loans. Moody's rating action recognizes potential uncertainty around the timing and magnitude of losses from these troubled loans. The pool has also experienced significant interest shortfalls. Based on the most recent remittance statement, Classes B through N have experienced cumulative interest shortfalls totaling $1.04 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs) and extraordinary trust expenses. LASALLE COMMERCIAL: Moody's Affirms 4 CMBS Classes of 2007-MF5 -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of four classes of LaSalle Commercial Mortgage Securities Inc., Series 2007-MF5: -- Cl.r A, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) -- Cl.r B, Affirmed at C (sf); previously on Jan 28, 2010 Downgraded to C (sf) -- Cl.r C, Affirmed at C (sf); previously on Jan 28, 2010 Downgraded to C (sf) -- Cl.r X, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. This transaction is classified as a small balance CMBS transaction. Small balance transactions, which represent less than 1% of the Moody's rated conduit/fusion universe, have generally experienced higher defaults and losses than traditional conduit and fusion transactions. Moody's rating action reflects a cumulative base expected loss of 12.9% of the current balance. At last review, Moody's cumulative base expected loss was 15.1%. Moody's stressed scenario loss is 19.9% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodology used in this rating was "CMBS: Moody's Approach to Small Loan Transactions" rating methodology published in December 2004. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 180 compared to 224 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 16, 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 April 20, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 26% to $363.4 million from $488.3 million at securitization. The Certificates are collateralized by 304 mortgage loans ranging in size from less than 1% to 1.4% of the pool, with the top ten loans representing 12% of the pool. Eight-three loans, representing 26% 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's (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Forty-eight loans have been liquidated from the pool since securitization, resulting in an aggregate $42.3 million loss (69% loss severity on average). Realized losses have resulted in 100% principal loss to Classes D through N and an 29% principal loss to Class C. At Moody's prior review, aggregate realized losses represented $14.5 million. Forty-two loans, representing 15% of the pool, are currently in special servicing. The master servicer has recognized an aggregate $22.9 million appraisal reduction for 32 of the specially serviced loans. Moody's has estimated an aggregate $22.1 million loss (69% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability on 27 loans, representing 7% of the pool. These loans are on the watch list due to poor performance. Moody's has estimated a $5.2 million aggregate loss (20% expected loss based on a 50% default probability) from these loans. Moody's rating action recognizes potential uncertainty around the timing and magnitude of losses from these troubled loans. The pool has also experienced significant interest shortfalls. Based on the most recent remittance statement, Classes B through N have experienced cumulative interest shortfalls totaling $3.69 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs) and extraordinary trust expenses. LASALLE COMMERCIAL: Moody's Affirms 3 CMBS Classes of 2006-MF4 -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of three classes of LaSalle Commercial Mortgage Securities Inc., Series 2006-MF4: -- Cl.r A, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to C (sf) -- Cl.r B, Affirmed at C (sf); previously on Jan 28, 2010 Downgraded to C (sf) -- Cl.r X, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to C (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. This transaction is classified as a small balance CMBS transaction. Small balance transactions, which represent less than 1% of the Moody's rated conduit/fusion universe, have generally experienced higher defaults and losses than traditional conduit and fusion transactions. Moody's rating action reflects a cumulative base expected loss of 10.3% of the current balance. At last review, Moody's cumulative base expected loss was 13%. Moody's stressed scenario loss is 17.6% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodology used in this rating was "CMBS: Moody's Approach to Small Loan Transactions" rating methodology published in December 2004. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 171 compared to 217 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 9, 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 April 20, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 32% to $305.7 million from $450.9 million at securitization. The Certificates are collateralized by 265 mortgage loans ranging in size from less than 1% to 1.6% of the pool, with the top ten loans representing 12% of the pool. Seventy-eight loans, representing 27% 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's (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Fifty-nine loans have been liquidated from the pool since securitization, resulting in an aggregate $51.0 million loss (61% loss severity on average). Realized losses have resulted in 100% principal loss to Classes C through N and an 25% principal loss to Class B. At Moody's prior review, aggregate realized losses represented $17.7 million. Thirty-seven loans, representing 14% of the pool, are currently in special servicing. The master servicer has recognized an aggregate $19.9 million appraisal reduction for 28 of the specially serviced loans. Moody's has estimated an aggregate $15.9 million loss (61% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability on 25 loans representing, 11% of the pool. These loans are on the watch list due to poor performance. Moody's has estimated a $6.6 million aggregate loss (20% expected loss based on a 50% default probability) from these loans. Moody's rating action recognizes potential uncertainty around the timing and magnitude of losses from these troubled loans. The pool has also experienced significant interest shortfalls. Based on the most recent remittance statement, Classes B through N have experienced cumulative interest shortfalls totaling $2.6 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs) and extraordinary trust expenses. LASALLE COMMERCIAL: Moody's Affirms C Rating on 2 CMBS Classes -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of two classes of LaSalle Commercial Mortgage Securities Inc., Series 2006-MF2: -- Cl.r A, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to C (sf) -- Cl.r X, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to C (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. This transaction is classified as a small balance CMBS transaction. Small balance transactions, which represent less than 1% of the Moody's rated conduit/fusion universe, have generally experienced higher defaults and losses than traditional conduit and fusion transactions. Moody's rating action reflects a cumulative base expected loss of 10% of the current balance. At last review, Moody's cumulative base expected loss was 15.9%. Moody's stressed scenario loss is 17.7% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodology used in this rating was "CMBS: Moody's Approach to Small Loan Transactions" rating methodology published in December 2004. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 118 compared to 227 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 9, 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 April 20, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 45% to $273.1 million from $495.5 million at securitization. The Certificates are collateralized by 312 mortgage loans ranging in size from less than 1% to 1.5% of the pool, with the top ten loans representing 11% of the pool. Eighty-seven loans, representing 25% 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's (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Seventy-three loans have been liquidated from the pool since securitization, resulting in an aggregate $62.0 million loss (66% loss severity on average). Realized losses have resulted in 100% principal loss to Classes B through N. At Moody's prior review, the pool had experienced an aggregate $47.5 million loss. Seventy- three loans, representing 25% of the pool, are currently in special servicing. The master servicer has recognized an aggregate $7.47 million appraisal reduction for 22 of the specially serviced loans. Moody's has estimated an aggregate $12.8 million loss (66% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability on 33 loans representing, 9% of the pool. These loans are on the watch list due to poor performance. Moody's has estimated a $4.9 million aggregate loss (20% expected loss based on a 50% default probability) from these loans. The pool has also experienced significant interest shortfalls. Based on the most recent remittance statement, Classes B through N have experienced cumulative interest shortfalls totaling $3.4 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs) and extraordinary trust expenses. LASALLE COMMERCIAL: Moody's Affirms Ratings on Four CMBS Classes ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of four classes of LaSalle Commercial Mortgage Securities Inc., Series 2005-MF1: -- Cl. A, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) -- Cl. B, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) -- Cl. C, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) -- Cl. X, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. This transaction is classified as a small balance CMBS transaction. Small balance transactions, which represent approximately 1% of the Moody's rated conduit/fusion universe, have generally experienced higher defaults and losses than traditional conduit and fusion transactions. Moody's rating action reflects a cumulative base expected loss of 13.8% of the current balance. At last review, Moody's cumulative base expected loss was 14.5%. Moody's stressed scenario loss is 29.5% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodology used in this rating was "CMBS: Moody's Approach to Small Loan Transactions" rating methodology published in December 2004. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 162 compared to 173 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 16, 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 21, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 44% to $217.96 million from $387.35 million at securitization. The Certificates are collateralized by 228 mortgage loans ranging in size from less than 1% to 2% of the pool, with the top ten loans representing 12% of the pool. Sixty-nine loans, representing 30% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Thirty-eight loans have been liquidated from the pool since securitization, resulting in an aggregate $30. 8 million loss (70% loss severity on average). Realized losses have resulted in 100% principal loss to Classes D through N and an 11% principal loss to Class C. Thirty-one loans, representing 14% of the pool, are currently in special servicing. The master servicer has recognized an aggregate $13.9 million appraisal reduction for ten of the specially serviced loans. Moody's has estimated an aggregate $22.0 million loss (70% expected loss on average) for the specially serviced loans. The pool has also experienced significant interest shortfalls. Based on the most recent remittance statement, Classes C through N have experienced cumulative interest shortfalls totaling $2.4 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs) and extraordinary trust expenses. LAWRENCE COUNTY: Moody's Upgrades LOC Rating From 'Ba3' ------------------------------------------------------- Moody's Investors Service upgrades to A2/VMIG 1 from Ba3/SG the rating of the Lawrence County Industrial Development Authority Variable Rate Revenue Bonds (Villa Maria Project), Series 2003 in conjunction with the substitution of the current letter of credit securing the Bonds provided by Allied Irish Banks p.l.c. with a new letter of credit to be provided for the Bonds by PNC Bank, National Association. Summary Ratings Rationale Upon the substitution of the letter of credit, currently scheduled for April 28, 2011, the rating will be based upon: (i) the direct- pay letter of credit provided by the Bank, (ii) the structure and legal protections of the transaction, which ensure timely payment of debt service and purchase price to bondholders; and (iii) Moody's evaluation of the credit quality of the Bank issuing the letter of credit. PNC Bank, N.A. is currently rated A2 for long-term other senior obligations (OSO) and Prime-1 for short-term OSO. Detailed Credit Discussion Interest Rate Modes And Payment The Bonds will continue to bear interest in the weekly rate mode and interest will continue to be paid quarterly on the first (1st) Thursday of each January, April, July, and October. The Trust Indenture permits conversion of the Bonds, in whole, to bear interest at a long-term or fixed interest rate mode and are subject to mandatory tender at a price of par plus accrued interest upon conversion. Moody's rating on the Bonds applies only to Bonds bearing interest in the weekly interest rate mode. Additional Bonds The issuance of additional Bonds is not permitted in the Trust Indenture. Flow of Funds The trustee is instructed to draw under the letter of credit by 10:00 a.m. on the business day preceding the interest or principal payment date in order to receive sufficient funds for payments of principal and accrued interest thereon when due. The trustee is also instructed to draw under the letter of credit by 11:00 a.m. for purchase price on each purchase date to the extent remarketing proceeds received are insufficient. Bonds which are purchased by the Bank due to a failed remarketing will not be released by the trustee unless the trustee has received confirmation that the letter of credit has been reinstated in the amount of the purchase price drawn for such bonds. (All times refer to local time in effect in Cleveland, Ohio). Letter of Credit The letter of credit is sized for full principal plus one hundred and eight (108) days of interest at the maximum rate applicable to the Bonds (8%) and will provide coverage for Bonds while they bear interest in the weekly interest rate mode only. The letter of credit shall be governed and construed in accordance with the Uniform Customs and Practice for Documentary Credits, UCP Publication No. 600 (2007 revision). Draws on The Letter Of Credit Conforming draws for principal or interest presented to the Bank at or prior to 11:00 a.m. on a business day will be honored by the Bank by 1:00 p.m. on the next business day, or such later date as specified by the trustee. Conforming draws for purchase price presented to the Bank at or prior to 11:00 a.m. on a business day will be honored by the Bank by 2:00 p.m. on the same business day, or such later date as specified by the trustee. (All times refer to local time in effect in Pittsburgh, Pennsylvania). Reinstatement Of Interest Draws Draws made under the letter of credit for interest shall be automatically reinstated upon each such drawing. Reimbursement Agreement Defaults Pursuant to the Trust Indenture, the Bank may, at its option, deliver written notice to the trustee stating that an event of default under the reimbursement agreement has occurred and direct the trustee to accelerate or cause a mandatory tender of the Bonds. If directed to accelerate the Bonds, the trustee shall declare the principal of all Bonds outstanding, together with interest accrued thereon, to be due and payable immediately, and upon such declaration, the principal and accrued interest on all the Bonds shall become and be immediately due and payable. The trustee shall, on or before 10:00 a.m. (Cleveland, Ohio time) on the business day prior to date on which principal and interest shall be due and payable pursuant to such declaration of acceleration, draw on the letter of credit for payment of the entire amount due. Interest will cease to accrue upon the payment date. If directed to cause a mandatory tender, the trustee shall cause such mandatory tender as directed by the Bank. In connection with a reimbursement agreement default, the letter of credit only expires upon the honoring of an acceleration drawing. Expiration / Termination Of The Letter Of Credit The letter of credit will terminate upon the earliest to occur of: (i) April 28, 2016 (stated expiration date); (ii) the date the Bank receives a certificate from trustee to the effect that there are no Bonds outstanding other than Bonds secured by an alternate Letter of Credit; (iii) the date on which the final drawing available under the LOC is honored by the Bank; or, (iv) on the date of the honoring by the Bank of the draw on the Letter of Credit made by the Trustee following trustee's receipt of notice from the Bank of an event of default under the reimbursement agreement directing the trustee to accelerate the Bonds. Substitution Substitution of the letter of credit is permitted. The Bonds are subject to mandatory tender on the proposed effective date of a substitute letter of credit. The trustee is instructed to draw on the existing letter of credit and shall not surrender such letter of credit for cancellation until all draws have been honored. Optional Tenders Bondholders may, at their option, tender their Bonds during the weekly interest rate mode, on any business day by providing written notice to the tender agent by 12:00 pm at least seven (7) days prior to the purchase date. Mandatory Purchases The Bonds are subject to mandatory tender on the these dates: (i) at end of any long-term rate period of one (1) year or longer; (ii) on each interest rate conversion date or proposed interest rate conversion date;; (iii) on earlier of (a) the interest payment date preceding the expiration or termination of the letter of credit, or (b) two (2) business days immediately preceding the expiration or termination of the letter of credit; (iv) on proposed effective date of alternate letter of credit; and, (v) as directed by the Bank upon notice to the trustee of event of default under the reimbursement agreement directing a mandatory tender. Mandatory Redemption The Bonds are subject to a mandatory redemption upon a determination of taxability, on a date not later than twenty (20) days following receipt by trustee of notice of a determination of taxability. Furthermore, when the Bonds bear interest at the fixed rate mode, the Bonds are subject to mandatory sinking fund redemptions. What Could Change The Rating Up Long-Term: The long-term rating on the Bonds could be raised if the long-term other senior obligation (OSO) rating on the Bank was upgraded. Short-Term: Not applicable. What Could Change The Rating Down Long-Term: The long-term rating on the Bonds could be lowered if the long-term OSO rating on the Bank was downgraded. Short-Term: The short-term rating on the Bonds could be lowered if the short-term OSO rating on the Bank was downgraded. Key Contacts Trustee: The Huntington National Bank Remarketing Agent: PNC Capital Markets LLC The last rating action on the Bonds took place on April 18, 2011, when the long-term rating was downgraded to Ba3 from Baa3 (on watch for downgrade) and the short-term rating was downgraded to SG from VMIG 3 (on watch for downgrade). Principal Methodology Used The principal methodology used in this rating was Moody's Methodology for Rating U.S. Public Finance Transactions Based on the Credit Substitution Approach (August 2009). LB-UBS 2003-C1: Fitch Cuts Ratings on 3 Classes ----------------------------------------------- Fitch Ratings has downgraded three classes and affirmed 15 classes of LBUBS commercial mortgage pass-through certificates, series 2003-C1. The downgrades reflect an increase in Fitch expected losses across the pool. Fitch has assigned a Positive Rating Outlook to classes H through K reflecting the potential for future upgrades. Additionally, Fitch applied a deterministic test to the third largest loan in the pool. This test assumes the loan defaults with a 50% loss severity; given this additional stress, current credit enhancement levels were sufficient to affirm the ratings. Fitch modeled losses of 2.95% of the remaining pool. Fitch has designated 13 loans (9.2%) as Fitch Loans of Concern, which includes one specially serviced loan (0.6%). As of the April 2011 distribution date, the deal has paid down approximately 35.8% to $880.8 million from $1.37 billion at issuance. There are 88 of the original 114 loans remaining in the transaction, 16 of which have defeased (29.3% of the current transaction balance). The largest contributor to loss (1.6% of the outstanding pool balance) is secured by a 138,646 square foot (sf) office property located in Columbia, MD. The loan's debt service coverage ratio (DSCR) dropped to 0.65 times (x) as of December 2010, due to a recent increase in expenses as well as declining occupancy. The property reported occupancy of 65%, as of December 2010, which was down from 69% at year-end 2009. Fitch expects the loan, which has a stressed Fitch Loan to Value (LTV) of 166% will not refinance at maturity, as it does not pass Fitch's maturity stress. The next largest contributor to losses (0.6%) is a specially serviced loan, which is secured by an industrial property in West Springfield, MA. The loan has an outstanding balance of approximately $5.5 million. Per the servicer's Watchlist comments, the special servicer will pursue a note sale. Fitch has downgraded and assigned Recovery Ratings to these ratings: -- $10.3 million class P to 'CCC/RR1' from 'B+/LS5; -- $5.1 million class Q to 'CC/RR1' from 'B/LS5'; -- $5.1 million class S to 'C/RR1' from 'B-/LS5'. In addition, Fitch has affirmed, revised Rating Outlooks and LS ratings: -- $50.8 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $537.5 million class A-4 at 'AAA/LS1'; Outlook Stable; -- $65.7 million class A-1b at 'AAA/LS1'; Outlook Stable; -- $25.7 million class B at 'AAA/LS1'; Outlook Stable; -- $25.7 million class C at 'AAA/LS1'; Outlook Stable; -- $20.6 million class D at 'AAA/LS1'; Outlook Stable; -- $18.9 million class E at 'AAA/LS1'; Outlook Stable; -- $17.1 million class F at 'AAA/LS1'; Outlook Stable; -- $18.9 million class G at 'AAA/LS1'; Outlook Stable; -- $18.9 million class H at 'AA/LS1'; Outlook Positive; -- $12 million class J at 'A/LS3'; Outlook Positive; -- $10.3 million class K at'A-/LS3'; Outlook Positive; -- $18.9 million class L at 'BBB/LS5'; Outlook Stable; -- $6.9 million class M at 'BBB-/LS4'; Outlook Stable; -- $6.9 million class N at 'BB/LS5'; Outlook Stable. Classes A-1 and A-2 as well as the interest only class X-CP have paid in full. Fitch does not rate the $5.6 million class T. Fitch withdraws the rating on the interest-only class X-CL. LB-UBS COMMERCIAL: Moody's Affirms Ratings on 23 CMBS Classes ------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 23 classes of LB-UBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2004-C7: -- Cl. A-3, Affirmed at Aaa (sf); previously on Nov 9, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Nov 9, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-5, Affirmed at Aaa (sf); previously on Nov 9, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-6, Affirmed at Aaa (sf); previously on Nov 9, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. X-CL, Affirmed at Aaa (sf); previously on Nov 9, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. X-CP, Affirmed at Aaa (sf); previously on Nov 9, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. X-OL, Affirmed at Aaa (sf); previously on Nov 9, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Nov 9, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aa1 (sf); previously on Jul 14, 2010 Confirmed at Aa1 (sf) -- Cl. C, Affirmed at Aa2 (sf); previously on Jul 14, 2010 Confirmed at Aa2 (sf) -- Cl. D, Affirmed at A1 (sf); previously on Jul 14, 2010 Downgraded to A1 (sf) -- Cl. E, Affirmed at A3 (sf); previously on Jul 14, 2010 Downgraded to A3 (sf) -- Cl. F, Affirmed at Baa2 (sf); previously on Jul 14, 2010 Downgraded to Baa2 (sf) -- Cl. G, Affirmed at Ba1 (sf); previously on Jul 14, 2010 Downgraded to Ba1 (sf) -- Cl. H, Affirmed at Ba2 (sf); previously on Jul 14, 2010 Downgraded to Ba2 (sf) -- Cl. J, Affirmed at B2 (sf); previously on Jul 14, 2010 Downgraded to B2 (sf) -- Cl. K, Affirmed at Caa2 (sf); previously on Jul 14, 2010 Downgraded to Caa2 (sf) -- Cl. L, Affirmed at Caa3 (sf); previously on Jul 14, 2010 Downgraded to Caa3 (sf) -- Cl. M, Affirmed at Ca (sf); previously on Jul 14, 2010 Downgraded to Ca (sf) -- Cl. N, Affirmed at C (sf); previously on Jul 14, 2010 Downgraded to C (sf) -- Cl. P, Affirmed at C (sf); previously on Jul 14, 2010 Downgraded to C (sf) -- Cl. Q, Affirmed at C (sf); previously on Jul 14, 2010 Downgraded to C (sf) -- Cl. S, Affirmed at C (sf); previously on Jul 14, 2010 Downgraded to C (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 3.9% of the current balance. At last review, Moody's cumulative base expected loss was 4.2%. Moody's stressed scenario loss is 10.6% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodologies used were Moody's Approach to Rating Fusion Transactions" published in April 2005 and CMBS "Moody's Approach to Rating Large Loan/Single Borrower Transactions", published in September 2000. 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 review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 10 compared to 7 at Moody's prior full review. The increase in Herf is due to the improved performance of several loans that had been removed from the conduit pool at last review for very high leverage. 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated July 14, 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 April 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 33% to $943.4 million from $1.42 billion at securitization. The Certificates are collateralized by 79 mortgage loans ranging in size from less than 1% to 18% of the pool, with the top ten loans representing 49% of the pool. The pool contains five loans with investment-grade credit estimates that represent 12% of the pool. At last review, there was a sixth loan with an credit estimate. However, due to a decline in performance and increased leverage, this loan is now analyzed as part of the conduit pool. Four loans, representing 21% of the pool, have defeased and are collateralized with U.S. Government securities. Currently, there are 17 loans, representing 20% 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 (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. To date, four loans have been liquidated from the pool, resulting in a $6.2 million aggregate loss (46% loss severity on average). Currently, there are seven loans in special servicing, representing 5% of the pool. The largest loan in special servicing is the North Dekalb Mall Loan ($26.5 million -- 3.9% of the pool), which is secured by a 628,700 square foot (SF) regional mall located in Decatur, Georgia. The mall is anchored by Macy's, Ross Dress for Less and AMC Theatres. As of June 2010, the property was 88% leased compared to 94% at last review. The loan was transferred to special servicing in September 2010 due to imminent monetary default when the Borrower requested a loan modification. The loan is current. The remaining six specially serviced loans are secured by a mix of property types. Moody's estimates a total loss of $13.2 million (a 35% loss severity on average) for five of the seven specially serviced loans. Moody's has assumed a high default probability for four loans representing 1% of the pool. Moody's has estimated a $2.4 million aggregate loss (20% expected loss based on a 50% default probability) from these loans. Moody's was provided with full year 2009 and partial year 2010 financials for 74% and 72% of the pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 99% compared to 96% 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 9.0%. Excluding specialy serviced and troubled loans, Moody's actual and stressed DSCRs are 1.30X and 1.02X, respectively, compared to 1.36X and 1.05X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit estimate is the Montgomery Mall Loan ($85.5 million -- 9.1% of the pool), which is secured by a 1.1 million SF regional mall located in North Wales, Pennsylvania, approximately 20 miles northwest of Philadelphia. The collateral space is 559,000 SF. The mall is anchored by Macys, Sears and Dick's Sporting Goods. Comparable in-line sales for 2010 were $324 per square foot compared to $317 per SF at last review. Boscov's, a non-collateral anchor tenant at securitization, vacated its space in 2008 prior to its lease expiration in 2027 when it filed for bankruptcy. As of December 2010, the total property was 80% leased compared to 77% at last review; the collateral space was 85% leased compared to 82% at last review. Performance remains stable. The loan has amortized 2% since last review. Moody's current underlying rating and stressed DSCR are A3 and 1.39X, respectively, compared to A3 and 1.34X at last review. The remaining four loans with credit estimates comprise 3% of the pool. The Kimco Portfolio - Enchanted Forest Loan ($11.0 million -- 1.2% of the pool) is secured by a grocery-anchored retail center located in Ellicott City, Maryland. The performance remains stable. Moody's credit estimate and stressed DSCR are Aa1 and 2. 35X, the same as at last review. The Kimco Portfolio -- Wilkens Beltway Plaza Loan ($8.2 million -- 0.9% of the pool) is secured by a grocery-anchored retail center located in Baltimore, Maryland. Performance has declined due to a drop in occupancy. The property is 82% leased compared to 92% at last review. Furthermore, leases for an additional 20% of the NRA expire in 2011. Moody's credit estimate and stressed DSCR are Aa2 and 2.15X, respectively, compared to Aa1 and 2.30X at last review. The Kimco Portfolio - Perry Hall Super Fresh Loan ($5.5 million -- 0.6% of the pool) is secured by a grocery-anchored retail center located in Perry Hall, Maryland. Performance remains stable. The loan has a credit estimate of Aa2 and stressed DSCR of 2.14X, the same as at last review. The Palmetto Place Apartments Loan ($4.9 million -- 0.5% of the pool), is secured by a garden style apartment complex located in Miami, Florida. Performance remains stable. The credit estimate is Aaa and stressed DSCR greater than 4.00X, the same as at last review. The loan that previously had a credit estimate is the World Apparel Center Loan ($69.3 million -- 7.3% of the pool), which represents a 33% participation interest in a $210.1 million first mortgage loan. The whole loan is secured by a 1.1 million SF Class A office building located in the Times Square submarket of New York City. The building's largest tenants include Jones Apparel Group (50% of the net rentable area (NRA); lease expiration April 2012), Jacque Moret (7% of the NRA; lease expiration in June 2020) and Alfred Dunner & Co. (4% of the NRA; lease expiration January 2017). As of December 2010, the property was 93% leased compared 75% at last review. Despite the increase in occupancy, total income has declined for the fourth consecutive year. The loan is currently on the master servicer's watchlist for DSCR. The full year 2010 net operating income (NOI) is 34% lower than in 2007 due to lower rents and re-imbursements and higher operating expenses. There is significant rollover risk related to the Jones Apparel lease, which expires in 2012. Moody's LTV and stressed DSCR are 99% and 0.96X, respectively, compared to 70% and 1.36X at last review. The three largest conduit loans represent 22% of the pool. The largest conduit loan is the 600 Third Avenue Loan ($168.0 million -- 17. 8% of the pool),which is secured by a 541,000 SF Class A office building located in the Grand Central/UN office submarket of New York City. Major tenants L-3 Communications Corporation (15% of the NRA; lease expiration December 2018) and Sumitomo Corporation of America (10% of the NRA; lease expiration August 2014). As of January 2011, the property was 81% leased compared to 91% at last review. The rise in vacancy is due to Tru TV (Court TV) vacating 120,000 SF when its lease expired in December 2010. The Borrower was able re-lease some the vacant space when Aaronson Rappaport, Feinstein and Deutsch LLP, a defense litigation firm, signed a new lease for 44,000 SF starting in January 2011. Despite the high vacancy, Moody's anticipates that the property will stabilize. Borrower is proactively marketing and improving the property. Secondly, the building's in-place rents of $45. 20 per square foot are below the sub-market asking rents of $53 per square foot reported by CB Richard Ellis. For the short term, it is anticipated that the cash flow will decline due to lower recoveries and higher one-time charges related to the tenant improvements and leasing commissions. Moody's LTV and stressed DSCR are 109% and 0.85X, respectively, compared to 106% and 0.85X at last review. The second largest conduit loan is Guam Multifamily Loan ($20.9 million -- 2.2% of the pool), which is secured by 12 multifamily properties and one retail center located in Yoga, Guam. The loan was placed on the master servicer's watchlist in April 2010 due to a decline in financial performance and concerns about deferred maintenance. The portfolio has a combined occupancy of 87%. Moody's LTV and stressed DSCR are 105% and 0.92X, respectively, compared to 109% and 0.89X at last review. The third largest conduit loan is the Richard's of Greenwich Loan ($20.8 million -- 2.2% of the pool), which is secured by a 27,000 SF retail property located in Greenwich, Connecticut. The property is 100% leased to Ed Mitchell, Inc., a men's apparel company, through 2024. Performance remains stable. Moody's LTV and stressed DSCR are 105% and 0.90X, the same as at last review. LEGG MASON: S&P Affirms 'BB+' Ratings on Class A-2 & B Notes ------------------------------------------------------------ Standard & Poor's Ratings Services affirmed its ratings on six classes from Legg Mason Real Estate CDO II Corp. (Legg Mason II), a commercial real estate collateralized debt obligation (CRE CDO) transaction. "We determined that certain subordinate notes were cancelled before they were repaid through the transaction's payment waterfall. The affirmations primarily reflect our assessment of risks and credit stability considerations regarding the note cancellations. The affirmations also reflect our analysis of the transaction and its underlying collateral," S&P stated. According to the April 25, 2011, trustee report, as well as a notice from the trustee, Wells Fargo Bank N.A., $5.0 million of the class C notes' aggregate outstanding balance was cancelled without payment. To assess the risks and credit stability considerations regarding certain subordinate note cancellations, S&P applied these stresses deemed appropriate: * S&P generated a cash flow analysis using two scenarios. The first scenario utilized the current balances of the notes, including any note cancellations, when modeling the interest or principal diversion mechanisms. The second scenario recognized only the balance of the senior notes in the calculation of any interest or principal diversion mechanisms. * "Using the two scenarios, we then applied the lower of the rating levels as the starting point for our rating analysis for each class of notes," S&P noted. * "Finally, we reviewed the level of cushion relative to our credit stability criteria and made further adjustments to the ratings that we believed were appropriate," S&P related. "In addition to our assessment of the subordinate note cancellations, we also analyzed the transaction and its underlying collateral," S&P noted. According to the April 25, 2011, trustee report, Legg Mason II's current asset pool includes: * Thirty-two whole loans and senior participation loans ($413.1 million, 74.8%); * Five commercial mortgage-backed securities (CMBS) tranches ($62.8 million, 11.4%); * Five CRE CDO tranches ($27.3 million, 4.9%); * Two subordinate interest loans ($25.2 million, 4.6%); and * Cash ($24.1 million, 4.4%). Standard & Poor's reviewed and updated credit estimates for all of the nondefaulted loan assets in the transaction. "We based the analyses primarily on our adjusted net cash flows, which we derived from the most recent financial data primarily provided by the collateral manager, Legg Mason Real Estate Capital II," S&P noted. The transaction includes 11 defaulted loan assets ($99.5 million, 18.0%). Standard & Poor's estimated asset-specific recovery rates for these assets ranging from 41.9% through 88.1%, with the exception of one asset. S&P expects the Oakland Road asset ($810,000, 0.1%) to experience a full recovery. "We based the recovery rates primarily on information from the collateral manager, special servicer, and third-party data providers," S&P noted. Notable defaulted or credit risk assets include: * The Bella Vista senior interest loan ($14.6 million, 2.6%); * The Felcor Portfolio senior interest loan ($13.1 million, 2.4%); * The Quail Creek Apartments senior interest loan ($11.6 million, 2.1%); * The Inwood Portfolio senior interest loan ($11.0 million, 2.0%); and * The Big Block Portfolio senior interest loan ($9.0 million, 1.6%). Standard & Poor's analyzed the transaction and its underlying collateral according to our current criteria. "Our analysis is consistent with the affirmed ratings," S&P added. Ratings Affirmed Legg Mason Real Estate CDO II Corp. Collateralized debt obligation Class Rating A1-R BBB+ (sf) A1-T BBB+ (sf) A-2 BB+ (sf) B BB+ (sf) C B+ (sf) D B+ (sf) LNR CDO III: Moody's Downgrades 2 and Affirms 7 CRE CDO Classes --------------------------------------------------------------- Moody's has downgraded two and affirmed seven classes of Notes issued by LNR CDO III Ltd. 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 Impaired Collateral since last review. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. -- Cl.r A, Downgraded to B3 (sf); previously on May 19, 2010 Downgraded to Ba3 (sf) -- Cl.r B, Downgraded to Caa3 (sf); previously on May 19, 2010 Downgraded to Caa2 (sf) -- Cl.r C, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) -- Cl.r D-FL, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) -- Cl.r E-FX, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) -- Cl.r E-FL, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) -- Cl.r F-FX, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) -- Cl.r F-FL, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) -- Cl.r G-FL, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) Ratings Rationale LNR CDO III Ltd. Collateralized Debt Obligations, Series 2005-1 is a static CRE CDO transaction backed by a portfolio commercial mortgage backed securities (CMBS) (98.8% of the pool balance) and Mezzanine loan debt (1.2%). As of the April 21, 2011 Trustee report, the aggregate Note balance of the transaction, including Preferred Shares, has decreased to $919.6 million from $1.1 billion at issuance, with the paydown directed to the Senior Notes (Class A to Class G-FL Notes). The paydown was mainly due to principal repayment of underlying B-notes and Mezzanine loans collateral. There are one hundred and fifty-one assets with par balance of $622.6 million (80.9% of the current collateral pool balance) that are listed as Impaired Collateral Interests as of the April 21, 2011 Trustee report, due to interest shortfalls, realized losses, and credit rating downgrades/negative credit watch, compared to one hundred and thirty-six assets with 64.7% of the pool balance at last review. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). 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 has completed updated credit estimates for the non-Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 7,390 compared to 5,834 at last review. The distribution of current ratings and credit estimates is as follows: Aaa-Aa3 (1.8% compared to 0.0% at last review), A1-A3 (1.6% compared to 0.0% at last review), Baa1-Baa3 (2.5% compared to 1.2% at last review), Ba1-Ba3 (10.2% compared to 24.6% at last review), B1-B3 (10.5% compared to 18.1% at last review), and Caa1- Ca/C (73.4% compared to 56.1% 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 4.5 years compared to 5.1 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Due to the speculative-grade collateral, Moody's modeled a fixed 6.8% WARR, compared to 5.6% 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 100.0%, compared to 19.0% 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. 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 6.8% to 1.8% or up to 11.8% would result in average rating movement on the rated tranches of 0 to 2 notches downward or 0 to 1 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. The principal methodologies used in these ratings were "Moody's Approach to Rating SF CDOs" published in November 2010 and "U.S. CMBS: Moody's Approach to Rating Static CDOs Backed by Commercial Real Estate Securities" published in June 2004. 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. MARICOPA COUNTY: Moody's Holds B3 Rating on Housing Revenue Bonds ----------------------------------------------------------------- Moody's Investors Service has affirmed the B3 rating on approximately $10.2 million Maricopa County (AZ) Industrial Development Authority, Multifamily Housing Revenue Bonds (Sun King Apartments Project), Series 2000 A and B. The Series 2000 B have been retired in June 2001 and no longer outstanding. Further, initial issuance included the subordinate Series 2000 C which is not rated by Moody's. Approximately $3.6 million of Series 2000 C remains outstanding. The outlook on the rating remains negative. The bonds are secured by revenues derived from operations of the Sun King and Casa Castillo projects located in Scottsdale and Phoenix, Arizona, respectively, and containing 375 units. The bonds are also secured by other funds pledged under the indenture. Rating Rationale The rating affirmation is based on weak financial performance as demonstrated by stagnant revenue stream and high concession that resulted in below 1x debt service coverage when excluding owner support. Occupancy improved but it's highly unlikely that management will be able to raise rents any time in the near future to keep up with expenses. Property condition remains satisfactory but major maintenance and repairs are deferred due to lack of excess operating revenues. Management/Owner continue to make advances to support the project which is a credit positive; however, the owner is not obligated to maintain this support. Strengths: * Owner/management support and oversight * Improved occupancy rate due to high level of concessions * Fully funded debt service reserve funds and renewal and replacement fund * Satisfactory condition of the property, though, major maintenance and repairs are deferred due to lack of excess operating revenue Challenges: * Expenses outpace revenue leading to lower debt service coverage * Soft local real-estate market and strong competition from nearby properties Recent Developments: Based on unaudited financial statements, debt service coverage on the senior series 2000 A for twelve rolling months ending March 31, 2011 is 0.92x, compared to 0.83 based on audited 2010 statements. Occupancy has improved slightly in recent months reaching 95% in February but given the soft local real-estate market, raising rents to keep up with expenses and improve coverage in the near term remains a challenge. Moody's expects debt service to continue to be paid as the trustee makes deposits to the debt service fund before payment for property expenses. Both senior and subordinate bonds debt service reserve funds remain fully funded and repair and renewal fund balance is $134,850 as of March 31, 2011. The owner continues to support operating shortfalls but that support is not a legal/contractual obligation and may be pulled at anytime. Outlook The outlook on the bonds remains Negative due to continued weakness of the Phoenix / Scottsdale housing markets and stagnant revenue stream amidst increasing project expenses and concessions. What Could Change the Rating -- Up Significant increase in occupancy and rents charged that translates into an increase in net operating income and debt service coverage ratio. What Could Change the Rating -- Down Tapping of debt service reserve fund Further decline in debt service coverage Discontinuance of owner financial support The principal methodology used in this rating was Global Housing Projects published in July 2010. MARKET SQUARE: Moody's Upgrades Ratings of CLO Notes ---------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by Market Square CLO Ltd.: -- US$232,500,000 Class A Senior Secured Floating Rate Notes Due 2017 (current balance of $189,199,566), Upgraded to Aa1 (sf); previously on July 9, 2009 Downgraded to Aa2 (sf); -- US$27,000,000 Class B Second Priority Deferrable Floating Rate Notes Due 2017, Upgraded to Baa2 (sf); previously on July 9, 2009 Confirmed at Ba1 (sf); -- US$8,250,000 Class C Third Priority Deferrable Floating Rate Notes Due 2017, Upgraded to Ba3 (sf); previously on July 9, 2009 Confirmed at B1 (sf); -- US$8,250,000 Class D Fourth Priority Deferrable Floating Rate Notes Due 2017, Upgraded to Caa2 (sf); previously on July 9, 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 transaction's overcollateralization ratios 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 April 2011, the weighted average rating factor is currently 2420 compared to 2667 in the June 2009 report, and securities rated Caa1 or lower make up approximately 7.21% of the underlying portfolio versus 13.88% in June 2009. Additionally, defaulted securities total about $6.0 million of the underlying portfolio compared to $24.6 million in June 2009. Since the rating action in July 2009, the Class A Notes have been paid down by about $43 million from an original balance of $232.5 million, largely due to overcollateralization tests' failures. As a result, the overcollateralization ratios of the rated notes have improved. The Class A, Class B, Class C, and Class D overcollateralization ratios are reported at 127.59%, 111.76%, 107.68%, and 103.84%, respectively, versus June 2009 levels of 116.80%, 104.55%, 101.30%, and 98.13%, respectively, and all related overcollateralization tests are currently in compliance. Moody's also notes that the Class C and Class D 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 balance, including principal proceeds, of $239 million, defaulted par of $6.4 million, a weighted average default probability of 20.0% (implying a WARF of 3117), a weighted average recovery rate upon default of 42.9%, and a diversity score of 72. 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. Market Square CLO Ltd., issued in April 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 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. 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. 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% (2493) -- Class A: 0 -- Class B: +3 -- Class C: +2 -- Class D: +2 Moody's Adjusted WARF + 20% (3740) -- Class A: -1 -- Class B: -2 -- 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 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. MARYLAND ECONOMIC: Moody's Affirms 'B3' Rating on Housing Bonds --------------------------------------------------------------- Moody's Investors Service has affirmed B3 rating on the Maryland Economic Development Corporation's Senior Student Housing Revenue Bonds (University of Maryland, Baltimore Project), Series 2003A. The rating outlook has been affirmed at negative. Approximately $31.8 million of the original $34.40 million remains outstanding. Rating Rational The rating affirmation at the B3 rating level reflects continued weak operating performance of the project, and the expected low debt service coverage in FY2011, as well as deficiencies in the debt service reserve fund and the reserve for replacement account. Credit Strengths: -- Improved occupancy to 90% for the Fall 2010 and 92% for the Spring 2011 semesters, an increase from 84% occupancy in the Fall 2009 and Spring 2010 semesters. -- The willingness and involvement by the University to provide various resources in an effort to increase occupancy at the project. -- Strong oversight by MEDCO, as both issuer for the bonds and owner of the project. Credit Challenges: -- Heavy competition from off-campus housing facilities may negatively impact the demand for the project. -- The debt service reserve fund and repair and replacement fund continue to be under-funded. -- Absence of a long-term financial or legal commitment from the University, the University System of Maryland, or the State of Maryland. Detailed Credit Discussion Occupancy for Fall 2010 and Spring 2011 semesters was reported to be approximately 90% and 92%, respectively. Management decreased rental rates by approximately 4.5% for the 2010-11 academic year in order to bolster the occupancy rate at the project. The project had to tap the debt service reserve fund in order to make its debt service payment on October 1, 2010. Both the Debt Service Reserve Fund and the Repair and Replacement Reserve Fund remain under- funded. While MEDCO, the University and Capstone have taken positive steps to improve the demand for the project, Moody's believes that the economics of the project continue to remain weak, as demonstrated by the continued low current occupancy rate and below 1.0x unaudited annualized debt service coverage for fiscal year 2011. Outlook The rating outlook remains negative, reflecting Moody's expectation that the rating could face downward pressure if the occupancy and net operating income do not improve in the near to medium term. What could change the rating -- Up -- A substantial increase in debt service coverage and improved occupancy. -- Replenished reserves. What could change the rating -- Down -- Decline in occupancy at the project. -- Continued depletion of debt service reserves. The principal methodology used in this rating was Global Housing Projects published in July 2010. MASTR ASSET: Moody's Downgrades $5 Million of Prime Jumbo RMBS -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of three tranches from MASTR Asset Securitization Trust 2002. The collateral backing these deals consists primarily of first-lien, fixed rate prime jumbo residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of prime jumbo pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The principal methodology used in these ratings is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. Other methodologies used include "Pre-2005 US RMBS Surveillance Methodology" published in January 2011, which accounts for the deteriorating performance and outlook. To assess the rating implications of the updated loss levels on prime jumbo RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R) (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include fifty four different combinations comprising of six loss levels, three loss timing curves and three prepayment curves. For ratings implied Aa3 and above, an additional prepayment curve is run to assess resilience to a high prepayment scenario. The approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that varies from 3% to 5% on average. The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans with a base rate of new delinquency of 3.00%, the adjusted rate of new delinquency would be 3.03%. In addition, if current delinquency levels in a small pool are low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.75 to 2.5 for current delinquencies ranging from less than 2.5% to greater than 10% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: MASTR Asset Securitization Trust 2002-7 -- Cl. B-2, Downgraded to Aa2 (sf); previously on Jul 27, 2005 Upgraded to Aaa (sf) -- Cl. B-3, Downgraded to Baa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to Ba3 (sf); previously on Apr 15, 2010 A1 (sf) Placed Under Review for Possible Downgrade MASTR ASSET: Moody's Downgrades $1.5 Billion of Prime Jumbo RMBS ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 80 tranches and confirmed the ratings of 10 tranches from four prime jumbo deals issued by MASTR Adjustable Rate Mortgages Trust and MASTR Asset Securitization Trust. The collateral backing these deals consists primarily of first-lien, fixed and adjustable rate prime jumbo residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of prime jumbo pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The principal methodology used in these ratings is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. Other methodologies used include "Pre-2005 US RMBS Surveillance Methodology" published in January 2011, which accounts for the deteriorating performance and outlook. To assess the rating implications of the updated loss levels on prime jumbo RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R) (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include fifty four different combinations comprising of six loss levels, three loss timing curves and three prepayment curves. For ratings implied Aa3 and above, an additional prepayment curve is run to assess resilience to a high prepayment scenario. The approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that varies from 3% to 5% on average. The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans with a base rate of new delinquency of 3.00%, the adjusted rate of new delinquency would be 3.03%. in addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.75 to 2.5 for current delinquencies ranging from less than 2.5% to greater than 10% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. 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: MASTR Adjustable Rate Mortgages Trust 2004-13 -- Cl. 1-A-1, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to A3 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to A3 (sf); previously on Apr 15, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to A2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1A, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1B, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1C, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-6, Confirmed at Aa2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-7, Downgraded to A2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-7A, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-7B, Downgraded to A2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-8, Downgraded to Baa1 (sf); previously on Apr 15, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-X, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to A2 (sf); previously on Apr 15, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Issuer: MASTR Asset Securitization Trust 2003-10 -- Cl. 1-A-1, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to A3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-4, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-5, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-6, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-7, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 6-A-1, Downgraded to A2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 30-A-X, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 15-A-X, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 30-PO, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 15-PO, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to Ca (sf); previously on Apr 15, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on Apr 15, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: MASTR Asset Securitization Trust 2003-4 -- Cl. 1-A-1, Downgraded to A1 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. 2-A-1, Downgraded to Aa3 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. 2-A-3, Downgraded to Aa3 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. 2-A-4, Downgraded to Aa2 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. 2-A-5, Downgraded to A1 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. 2-A-6, Downgraded to Aa3 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. 2-A-7, Downgraded to Aa3 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. 3-A-1, Downgraded to Aa3 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. 3-A-2, Downgraded to Aa3 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. 4-A-1, Downgraded to A1 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. 4-A-3, Downgraded to A2 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. 5-A-1, Downgraded to A1 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. 6-A-3, Downgraded to Aa1 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. 6-A-9, Downgraded to Aa1 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. 6-A-10, Downgraded to Aa1 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. 6-A-11, Downgraded to Aa1 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. 6-A-16, Downgraded to Aa1 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. 6-A-17, Downgraded to Aa1 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. 6-B-3, Downgraded to Caa1 (sf); previously on Apr 15, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. 7-A-2, Downgraded to A2 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. 8-A-1, Downgraded to Aa3 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. 8-A-3, Downgraded to Aa3 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. 8-A-4, Downgraded to Aa3 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. C-A-1, Downgraded to Aa2 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. C-A-2, Downgraded to Aa2 (sf); previously on May 16, 2003 Assigned Aaa (sf) -- Cl. PO, Downgraded to A1 (sf); previously on May 16, 2003 Assigned Aaa (sf) Issuer: MASTR Asset Securitization Trust 2004-1 -- Cl. 1-A-9, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-11, Downgraded to Aa2 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-2, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-3, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-4, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-5, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-6, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-7, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-8, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-2, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-4, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-8, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-13, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-15, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-16, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-17, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-18, Downgraded to Aa1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-19, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-20, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 30-A-X, Confirmed at Aaa (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 30-PO, Downgraded to A1 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 15-PO, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 15-A-X, Downgraded to Aa3 (sf); previously on Apr 15, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to B2 (sf); previously on Apr 15, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to Caa3 (sf); previously on Apr 15, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade MASTR ASSET: Moody's Junks Rating on Cl. 1-A-1 ---------------------------------------------- Moody's Investors Service has downgraded the rating of Cl. 1-A-1 from the MASTR Asset Securitization Trust 2006-2. The collateral backing this deal consists primarily of first-lien, fixed rate prime jumbo residential mortgages. The set of classes 1-A-2, 1-A-3, 1-A-4, 1-A-5, 1-A-6, 1-A-7, 1-A- 8, 1-A-9, 1-A-10, 1-A-11, 1-A-12 and 1-A-31 from this jumbo transaction are exchangeable for the Cl. 1-A-1 tranche. As a result, the final rating on the Cl. 1-A-1 tranche took into consideration the current ratings on this set of tranches, announced by Moody's in an April 29, 2010 press release. However, the Cl. 1-A-1 tranche was inadvertently omitted from the rating action in the April 2010 press release. This has been corrected, and the rating on Cl. 1-A-1 has been updated accordingly to Caa1. Ratings Rationale The actions are a result of the rapidly deteriorating performance of jumbo pools in conjunction with macroeconomic conditions that remain under duress. The actions reflect Moody's updated loss expectations on prime jumbo pools issued from 2005 to 2008. he principal methodology used in these ratings is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. For details regarding Moody's approach to estimating losses on prime jumbo pools originated in 2005, 2006, 2007 and 2008, please refer to the methodology publication "Prime Jumbo RMBS Loss Projection Update: January 2010" available on Moodys.com. To assess the rating implications of the updated loss levels on prime jumbo RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R) (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings. The approach "Jumbo RMBS Loss Projection Update: January 2010" is adjusted to estimate losses on pools left with a small number of loans. 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 (3.5%, 6.5% and 7.5% for the 2005, 2006 and 2007 vintage respectively). This baseline rate is higher than the average rate of new delinquencies for the vintage 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. 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 and hence the stress applied. 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 2005 vintage, the adjusted rate of new delinquency would be 3.535%. 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 0.2 to 1.8 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. 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 action is: Issuer: MASTR Asset Securitization Trust 2006-2 -- Cl. 1-A-1, Downgraded to Caa1 (sf); previously on Dec 17, 2009 B3 (sf) Placed Under Review for Possible Downgrade MERRILL LYNCH: DBRS Confirms 'C' Rating on Class F -------------------------------------------------- DBRS has confirmed the ratings on these nine classes of Merrill Lynch Financial Assets Inc., Series 2001-Canada 5: -- Class A2 at AAA -- Class B at AAA -- Class X at AAA -- Class C at AA (low) -- Class D at BBB -- Class F at C -- Class G at D -- Class H at D -- Class J at D In addition, DBRS has downgraded the rating on this class: -- Class E to B from BBB (low) The rating action is a result of concern surrounding the sole specially serviced loan in the pool, Skeena Mall (Prospectus ID#8, 13.4% of the current pool balance). The loan is secured by a 151,000 sf shopping centre in Terrace, British Columbia, an area facing a soft market and decreasing population following the closure of a major regional employer in 2001. The loan transferred to the special servicer following payment default in March 2007. According to the special servicer, the borrower has engaged a broker to market the property. The property's value has declined significantly from issuance, having just experienced a third appraisal reduction in twelve months. According to the April 2011 remittance report, the asset is currently valued at $3 million, which is less than half of the loan's current outstanding balance and less than an August 2010 appraised value of $4.4 million. The appraised value at issuance was $11 million. This value decline combined with uncertainty regarding the current occupancy and the asset's remote location speaks to the difficulty surrounding the loan's workout and has contributed to the DBRS rating action. DBRS will continue to monitor this loan closely. Lansdowne Place (Prospectus ID#7, 14.2% of the current pool balance) is currently on the servicer's watchlist due to the departure of two major tenants. Although the vacant spaces represent significant net rentable area, the spaces are being marketed and the borrower has kept current on monthly payments. The loan is cross-collateralized and cross-defaulted with two other loans in the pool, Nashwaaksis Plaza (Prospectus ID#33, 4.24% of the current pool balance) and Spring Park Plaza (Prospectus ID#53, 2.29% of the current pool balance), whose weighted-average DSCR for YE2009 is 2.59x, according to servicer reports. The remaining loans in the pool have continued to exhibit stable performance overall. One fully defeased loan remains in the transaction, representing 3.4% of the current pool balance, and is scheduled to mature in May 2011. The largest loan in the pool, York Mills Gardens (Prospectus ID#1, 36.2% of the current pool balance), is scheduled to mature in December 2012. The loan is performing with a reported YE2009 DSCR of 1.40x. The loan has amortized on a 25-year schedule and based on the YE2009 net cash flow, the debt yield is healthy and in excess of 16%. All loans scheduled to mature after May 2011 have an average YE2009 debt yield of 29.3%. MERRILL LYNCH: Moody's Affirms Ratings on 22 CMBS Classes --------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of 22 classes of Merrill Lynch Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2005-CKI1: -- Cl. A-3, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-SB, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-4FL, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-5, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-6, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. X, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. AM, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. AJ, Affirmed at A2 (sf); previously on Jun 30, 2010 Downgraded to A2 (sf) -- Cl. B, Affirmed at Baa1 (sf); previously on Jun 30, 2010 Downgraded to Baa1 (sf) -- Cl. C, Affirmed at Baa2 (sf); previously on Jun 30, 2010 Downgraded to Baa2 (sf) -- Cl. D, Affirmed at Ba2 (sf); previously on Jun 30, 2010 Downgraded to Ba2 (sf) -- Cl. E, Affirmed at B3 (sf); previously on Jun 30, 2010 Downgraded to B3 (sf) -- Cl. F, Affirmed at Caa1 (sf); previously on Jun 30, 2010 Downgraded to Caa1 (sf) -- Cl. G, Affirmed at Ca (sf); previously on Jun 30, 2010 Downgraded to Ca (sf) -- Cl. H, Affirmed at C (sf); previously on Jun 30, 2010 Downgraded to C (sf) -- Cl. J, Affirmed at C (sf); previously on Jun 30, 2010 Downgraded to C (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. M, 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. P, Affirmed at C (sf); previously on Jun 30, 2010 Downgraded to C (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 6.3% of the current balance. At last review, Moody's cumulative base expected loss was 8. 0%. Moody's stressed scenario loss is 15.9% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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 (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 37 compared to 36 at last 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated June 30, 2010. Moody's Investors Service received and took into account one or more third party due diligence report(s) on the underlying assets or financial instruments in this transaction and the due diligence report(s) had a neutral impact on the ratings. Deal Performance As of the April 12, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 14% to $2.6 billion from $3.1 billion at securitization. The Certificates are collateralized by 160 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten non-defeased loans representing 37% of the pool. Three loans, representing 3% of the pool, have defeased and are secured by U.S. Government securities. The pool includes three loans, representing 7% of the pool, with investment grade credit estimates. The pool faces near-term refinancing risk as two large portfolio loans plus four smaller balance loans, in aggregate representing 9% of the pool, mature within the next 12 months. Thirty-eight 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 (CREFC; formerly the Commercial Mortgage Securities Association) 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. Five loans have been liquidated from the pool, resulting in an aggregate realized loss of $22.8 million (20% loss severity). At last review, realized losses totaled $7.5 million. Fourteen loans, representing 10% of the pool, are currently in special servicing. The specially serviced loans are secured by a mix of multifamily, retail, office, and self storage property types. The largest specially serviced loan is the Louisiana Boardwalk Loan ($123.4 million -- 4.7% of the pool), which is secured by a 544,175 square foot (SF) lifestyle center located in Bossier City, Louisiana. The loan was transferred to special servicing in October 2010 and attempts to modify the loan terms with the borrowers have failed. The trust initiated foreclosure proceedings February 15, 2011. The 13 remaining specially serviced loans are secured by a mix of property types. The master servicer has recognized $96 million in appraisal reductions for 13 of the specially serviced loans. Moody's has estimated an aggregate $101.7 million loss (39% expected loss on average) for all of the specially serviced loans. As of the most recent remittance statement date, the transaction has experienced unpaid accumulated interest shortfalls totaling $4.1 million affecting Classes H through Q. Interest shortfalls are caused by special servicing fees, appraisal reductions, extraordinary trust expenses and interest payment reductions due to loan modifications. Moody's has assumed a high default probability for 12 poorly performing loans representing 6% of the pool and has estimated a $22.7 million 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 97% of the pool and partial year 2010 results for 84% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 101% versus 103% at last full review. Moody's net cash flow reflects a weighted average haircut of 11.7% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.3%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.41X and 1.03X, respectively, compared to 1.60X and 1.03X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit estimate is the Glendale Galleria Loan ($140.2 million -- 5.3% of the pool), which is secured by the borrower's interest in a 1.3 million SF enclosed regional shopping mall (the collateral consists of 661,000 SF of retail, office and storage space) located in Glendale, California. The loan represents a 55% pari-passu interest in a $255 million amortizing loan. There is also an $82.2 million B Note and $27.8 million of Mezzanine debt held outside the trust. As of December 2010, the property was 98% leased with in-line mall tenant occupancy at 86%, similar to last review. Financial performance has declined since last review due to lower revenue achievement and higher operating expenses. The loan sponsors include GGP and NYSTRS. Moody's credit estimate and stressed DSCR are Baa2 and 1.26X, respectively compared to Baa1 and 1.3X at last review. The second largest loan with a credit estimate is the Blue Cross Building Loan ($28.2 million -- 1.1% of the pool), which is secured by two adjacent office buildings totaling 517,244 SF located in Richardson, Texas. The loan amortizes on a 25-year schedule. Moody's credit estimate and stressed DSCR are Baa1 and 1.39X, respectively compared to Baa1 and 1.37X at last review. The third largest loan with a credit estimate is the Plaza Loan ($20.0 million -- 0.8% of the pool), which is secured by a 171- unit co-op apartment building located in Ft. Lee, New Jersey. Revenue generation has declined since last review due to higher operating expenses. Moody's credit estimate and stressed DSCR are Aaa and 2.0X, respectively compared to Aaa and 2.06X at last review. The top three performing conduit loans represent 19% of the pool balance. The largest conduit loan is the Galileo NXL Retail Portfolio and Westminster City Center Loan ($255 million -- 9.7% of the pool) which is secured by the fee and leasehold interests in a portfolio of 19 anchored community shopping centers totaling 3.5 million SF. The properties are cross-collateralized and cross-defaulted and located across 14 states including Colorado (18% of the allocated balance), Florida (16%) and California (11%). This loan is interest-only for its entire term and matures September 2012. Performance has declined slightly since last review due to higher operating expenses and recent leasing activity reflecting tenant concessions and leases signed at current market rents. However, Moody's had stressed the cash flow at last review due to concerns about lease rollover and current performance is better than anticipated. As of September 2010, the Galileo NXL Retail Portfolio was 87% leased versus 83% at last review while Westminster City Center was 83% leased versus 77% at last review. Moody's LTV and stressed DSCR are 104% and 0.91X, respectively compared to 115% and 0.92X at last full review. The second largest loan is the Ashford Hotel Portfolio Loan ($158.4 million -- 6.0% of the pool), which is secured by a portfolio of 10 cross-collateralized and cross-defaulted hotel properties totaling 1,703 guestrooms located across seven states including Florida (42% of the allocated balance), California (14%) and Minnesota (12%). Financial performance is down slightly compared to last review, mirroring the 55% average portfolio occupancy compared to 56% at last review. However, Moody's had stressed the cash flow at last review due to concerns about lease rollover and current performance is better than anticipated. Moody's LTV and stressed DSCR are 121% and 0.99X, respectively, compared to 127% and 0.95X at last full review. The third largest loan is the Galileo NXL Portfolio 2 Loan ($99.0 million -- 3.8% of the pool), which is secured by the fee and leasehold interest in a portfolio of 13 retail properties totaling 1.6 million SF. The properties are cross-collateralized and cross-defaulted and located across nine states including Texas (36% of the allocated balance), Virginia (18%) and West Virginia (8%). The loan is interest-only for its entire term. Occupancy was 84% as of September 20210, unchanged since last review. Moody's LTV and stressed DSCR is 104% and 0.94X, respectively, compared to 100% and 0. 97X at last review. MERRILL LYNCH: Moody's Holds Ratings on 20 Classes of Certs. ------------------------------------------------------------ Moody's Investors Service (Moody's) affirmed the ratings of 20 classes of Merrill Lynch Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2005-LC1: -- Cl. A-2, Affirmed at Aaa (sf); previously on Jan 12, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Jan 12, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-3FL, Affirmed at Aaa (sf); previously on Jan 12, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-4FC, Affirmed at Aaa (sf); previously on Jan 12, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Jan 12, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Jan 12, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A-SB, Affirmed at Aaa (sf); previously on Jan 12, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. X, Affirmed at Aaa (sf); previously on Jan 12, 2006 Assigned Aaa (sf) -- Cl. AM, Affirmed at Aaa (sf); previously on Jan 12, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. AJ, Affirmed at Aa2 (sf); previously on May 5, 2010 Downgraded to Aa2 (sf) -- Cl. B, Affirmed at A1 (sf); previously on May 5, 2010 Downgraded to A1 (sf) -- Cl. C, Affirmed at A2 (sf); previously on May 5, 2010 Downgraded to A2 (sf) -- Cl. D, Affirmed at Baa1 (sf); previously on May 5, 2010 Downgraded to Baa1 (sf) -- Cl. E, Affirmed at Baa2 (sf); previously on May 5, 2010 Downgraded to Baa2 (sf) -- Cl. F, Affirmed at Ba1 (sf); previously on May 5, 2010 Downgraded to Ba1 (sf) -- Cl. G, Affirmed at Ba3 (sf); previously on May 5, 2010 Downgraded to Ba3 (sf) -- Cl. H, Affirmed at Caa1 (sf); previously on May 5, 2010 Downgraded to Caa1 (sf) -- Cl. J, Affirmed at Caa2 (sf); previously on May 5, 2010 Downgraded to Caa2 (sf) -- Cl. K, Affirmed at Caa3 (sf); previously on May 5, 2010 Downgraded to Caa3 (sf) -- Cl. L, Affirmed at Ca (sf); previously on May 5, 2010 Downgraded to Ca (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's LTV ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 4.6% of the current balance, which is the same as at last review. Moody's stressed scenario loss is 15.6% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodology used in this rating was " Moody's Approach to Rating Fusion U.S. CMBS Transactions", published April 2005. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 40 compared to 43 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated May 5, 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 April 12, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 11% to $1.38 billion from $1.55 billion at securitization. The Certificates are collateralized by 133 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans representing 40% of the pool. The pool contains one loan, representing 8.3% of the pool, with a credit estimate. Thirty-three loans, representing 20% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Five loans have been liquidated from the pool, resulting in a $7 million loss (51% average loss severity). Nine loans, representing 8% of the pool, are currently in special servicing. The largest specially serviced loan is the Four Forest/Lakeside Loan ($58 million -- 4% of the pool). The loan is secured by two office properties located in Dallas, Texas. The collateral was 81% leased as of August 2010. The loan's maturity date was extended from November 2010 to June 3, 2011. The collateral was reappraised for $73.1 million on February 10, 2011. Moody's does not estimate a loss for this loan. The remaining eight specially serviced loans are secured by a mix of retail, office and industrial properties. Moody's has estimated a $24 million loss (44% expected loss based on an 93% probability of default) for the eight remaining specially serviced loans. The servicer has recognized a $23 million aggregate appraisal reduction for seven of the remaining eight specially serviced loans. Moody's has assumed a high default probability for six poorly performing loans representing 3% of the pool and has estimated an aggregate $6 million loss (15% expected loss based on a 50% probability default) from these troubled loans. Based on the most recent remittance statement, Classes L through Q have experienced cumulative interest shortfalls totaling $2.9 million. Moody's anticipates that the pool will continue to experience interest shortfalls due to the increased exposure to specially serviced loans since last review. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs) and extraordinary trust expenses. Moody's was provided with full year 2009 and partial year 2010 operating results for 92% and 91% of the pool's loans, respectively. Excluding specially serviced loans, troubled loans and loans with credit estimates, Moody's weighted average LTV is 101%, which is the same as at last 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 9.1%. Excluding specially serviced loans, troubled loans and loans with credit estimates, Moody's actual and stressed DSCRs are 1.32X and 1.02X, respectively, compared to 1.41X and 1.03X at last review. Part of the decline in actual DSCR can be attributed to loan repayment converting from interest only to principal and interest repayment. Currently 97.5% of the pool's loans are amortizing. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loan with a credit estimate is the Glendale Galleria Loan ($115 million -- 8.3% of the pool). The collateral consists of the borrower's interest in a 1.3 million square foot (SF) enclosed regional shopping mall located in Glendale, California. More specifically, the collateral includes 661,000 SF of retail, office and storage space. The loan represents a 45% pari-passu interest in a $255 million amortizing loan. There is also an $82.2 million B Note and $27.8 million of mezzanine debt held outside the trust. As of December 2010, the property was 98% leased with in-line mall tenant occupancy @ 86%, similar to last review. Financial performance has declined slightly since last review due to lower revenue achievement and higher operating expenses. The loan sponsors include GGP and NYSTRES. Moody's credit estimate, loan to value (LTV) and stressed DSCR are Baa2, 67% and 1.26X, respectively compared to Baa1, 65% and 1.26X at last review. The top three conduit loans represent 16% of the pool. The largest conduit loan is the Colonial Mall Bel Air Loan ($118 million -- 8.6% of the pool), which is secured by the borrower's interest in a 1.3 million SF regional mall located in Mobile, Alabama. The property has maintained a high and stable occupancy as the entire mall is 97% leased, which is the same as at last review. Inline sales have experienced a 3.7% year over year increase through July 2010. Moody's current LTV and stressed DSCR are 103% and 0.95x, respectively, compared to 106% and 0.92x at last review. The second largest conduit loan is the MOB Portfolio Loan ($57 million -- 4.2% of the pool), which is secured by seven medical office buildings and one surgical center. Six of the properties are located in Dallas, Texas and two are located in Oklahoma City, Oklahoma. The portfolio totals 338,000 SF and was 76% leased as of September 2010 compared to 79% at 2009 year end. Moody's LTV and stressed DSCR are 119% and 0.90x, respectively, compared to 111% and .94x at last review. The third largest conduit loan is the Colonial Mall Greenville ($43 million -- 3.1% of the pool), which is secured by the borrower's interest in a 450,000 SF Class B regional mall located in Greenville, North Carolina. Total mall occupancy is 83% compared to 96% at securitization. The decline in occupancy is mainly attributed to Steve & Barry's vacating its 54,000 SF space during its 2008 bankruptcy. The space remains vacant. Moody's LTV and stressed DSCR are 138% and .73X, respectively, compared to 125% and 0.80X at last review. MESA TRUST: Moody's Withdraws Ratings of $1.2 Mil of Subprime RMBS ------------------------------------------------------------------ Moody's Investors Service has withdrawn the ratings of two tranches issued by MESA Trust 2001-2. The collateral backing this deal primarily consists of first-lien, fixed and adjustable-rate Subprime residential mortgages. Ratings Rationale 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). Complete rating actions are: Issuer: MESA Trust 2001-2 -- Cl. M, Withdrawn (sf); previously on Nov 18, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B, Withdrawn (sf); previously on Jul 28, 2009 Downgraded to C (sf) METROPOLITAN WEST: Fitch Holds Junk Ratings on 3 Classes of Notes ----------------------------------------------------------------- Fitch Ratings has upgraded one and affirmed three classes of notes issued by MWAM CBO 2001-1, Ltd. (MWAM 2001-1). The rating actions are: -- $38,523,956 class A notes upgraded to 'Asf/LS3' from 'BBBsf/LS3'; Outlook Stable; -- $21,875,000 class B notes affirmed at 'CCCsf'; -- $17,641,519 class C-1 notes affirmed at 'Csf'; -- $13,249,668 class C-2 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 (SF PCM) 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 and class B notes. Fitch also considered additional qualitative factors into its analysis to conclude the rating actions for the rated notes. Since Fitch's last rating action in May 2010, approximately 12.4% upgraded a weighted average of 2.1 notches and 5.5% of the portfolio has been downgraded a weighted average of 1.2 notches. Approximately 42.3% of the current portfolio has a Fitch derived rating below investment grade and 17.8% has a rating in the 'CCC' rating category or lower, compared to 46.3% and 22% respectively, at last review. The upgrade to the class A notes reflects the significant amortization and overall credit quality improvements of the underlying portfolio. The notes have amortized $21.6 million since Fitch's last review, leaving 19.5% of the initial class balance outstanding and increasing credit enhancement levels across the capital structure. The principal payments to the class A notes have been from both principal collections and excess spread that is being diverted due to the class C overcollateralization ratio failing its covenant. On the most recent distribution date, approximately $1.4 million of excess spread was diverted to redeem class A principal. Due to the type of assets in the underlying portfolio, Fitch expects interest collections and excess spread to remain robust as class A continues to amortize. Fitch maintains a Stable Outlook for the class A notes reflecting its view that the performance of the underlying portfolio will remain relatively stable over the next one to two years. Fitch does not assign Rating Outlooks to classes rated 'CCC' or below. The Loss Severity (LS) 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' or below. The class B notes have also benefited from the amortization of the class A notes and the improved credit quality of the underlying portfolio. However, the positive effects are diluted due to their junior position; the class B notes will not receive any principal repayment until the class A notes have been paid in full, and there is potential for concentration risk as the portfolio continues to amortize. As a result, Fitch has affirmed the rating of the class B notes. Breakeven levels for the class C-1 and C-2 (together, class C) indicated ratings below SF PCM's 'CCC' default level, the lowest level of defaults projected by SF PCM. The class C notes are currently receiving interest distributions, but the class remains undercollateralized and full payment of principal is not expected at maturity. MWAM 2001-1 is a SF CDO that closed on Jan. 24, 2001, and is managed by Metropolitan West Asset Management. The portfolio is comprised of corporate bonds (42.3%), residential mortgage-backed securities (32%), commercial asset-backed securities (10.6%), commercial mortgage-backed securities (9.5%), real estate investment trusts (3%), and SF CDOs (2.7%), from 1992 through 2004 vintage transactions. MILL REEF: S&P Cuts Ratings on 3 Classes to 'D' Following Loss -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class A-3L, B-1L, and B-1E notes from Mill Reef SCDO 2005-1 Ltd. to 'D (sf)' from 'CC (sf)'. Mill Reef SCDO 2005-1 Ltd. is a hybrid collateralized debt obligation (CDO) transaction. The rating actions follow credit events in the transaction's underlying portfolio that caused the class A-3L, B-1L, and B-1E notes to incur full writedowns of their note balances. Rating Actions Mill Reef SCDO 2005-1 Ltd. Rating Class To From A-3L D (sf) CC (sf) B-1L D (sf) CC (sf) B-1E D (sf) CC (sf) Outstanding Actions Mill Reef SCDO 2005-1 Ltd. Class Rating A-1L D (sf) A-2L D (sf) ML-CFC: S&P Lowers Ratings on Two Classes of Certs. to 'D' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 16 classes of commercial mortgage-backed securities (CMBS) from ML- CFC Commercial Mortgage Trust 2006-4, a U.S. commercial mortgage- backed securities (CMBS) transaction, and removed the rating on class A-2FL from CreditWatch with negative implications. "The downgrade of class A-2FL to 'A+ (sf)' reflects our current counterparty criteria. We downgraded classes H and J to 'D (sf)' due to interest shortfalls that have affected these classes and that we expect to continue for the foreseeable future. In addition, we affirmed our 'AAA (sf)' ratings on four other classes from the same transaction," S&P noted. S&P continued, "Our rating actions follow our analysis of the transaction primarily using our U.S. conduit/fusion criteria. Our analysis included a review of the credit characteristics of all of the loans in the pool, the transaction structure, and the liquidity available to the trust. In addition, current and potential interest shortfalls primarily due to appraisal subordinate entitlement reductions (ASERs) and special servicing fees, prompted us to lower our ratings on the class H and J certificates to 'D (sf)'. The downgrades also reflect credit support erosion we anticipate will occur upon the resolution of twenty-eight assets ($461.2 million; 10.5%) of the 33 assets ($518.4 million; 11.8%) with the special servicer." "Our analysis included a review of the credit characteristics of all of the loans in the pool. Using servicer-provided financial information, we calculated an adjusted debt service coverage (DSC) of 1.21x and a loan-to-value (LTV) ratio of 128.7%. We further stressed the assets' cash flows under our 'AAA' scenario to yield a weighted average DSC of 0.71x and an LTV ratio of 159.6%. The implied defaults and loss severity under the 'AAA' scenario were 93.0% and 43.6%, respectively. The DSC and LTV calculations we noted above exclude 28 ($478.4 million; 10.9%) of the transaction's 33 assets ($518.4 million; 11.8%) with the special servicer. We separately estimated losses for the specially serviced assets, which we included in our 'AAA' scenario-implied default and loss severity figures," S&P related. "The downgrades also reflect our analysis of interest shortfalls that have affected the trust. As of the April 12, 2011, remittance report, the trust had experienced monthly interest shortfalls totaling $1,201,697, primarily related to ASERs related to 26 loans with the special servicer that are generating monthly shortfalls of $978,612, as well as special servicing fees. The monthly interest shortfalls affected class G and all of the classes subordinate to it. We expect shortfalls to continue for the foreseeable future, and as a result, we lowered our ratings on classes H and J to 'D (sf)'," S&P said. The affirmed ratings on the principal and interest certificate classes reflect subordination levels and liquidity that are consistent with the outstanding ratings. "We affirmed our 'AAA (sf)' ratings on the class XC and class XP interest-only (IO) certificates based on our current criteria," S&P said. Credit Considerations As of the April 12, 2011, remittance report, 33 assets ($518.4 million; 11.8%) in the pool were with the special servicer, LNR Partners LLC (LNR). The payment status of these assets is as follows: nine are real estate owned (REO; $102.4 million; 2.3%), seven are in foreclosure ($134.8 million; 3.1%), four are the subject of bankruptcy proceedings ($117.4 million; 2.7%), eight ($110.5 million; 2.5%) are more than 90 days delinquent, two are 30 days delinquent ($20.1 million; 0.5%), one is less than 30 days delinquent ($6.8 million; 0.2%), and two are within their respective grace periods ($26.5 million; 0.6%). Twenty-eight loans ($461.2 million; 10.5%) have appraisal reduction amounts (ARAs) in effect totaling $190.0 million. Two of the top 10 loans in the pool are with the special servicer. The Konover Hotel Portfolio loan ($64.4 million, 1.5%) is the eighth-largest asset in the pool and has a total exposure of $67.9 million. It is secured by portfolio of 15 limited service hotels consisting of 10 Holiday Inns, two Hampton Inns, one Carlton Inn, one Super 8, and one Country Inn & Suites located in Indiana (seven properties), Michigan (six properties), and Kansas (two properties). The hotels were built between 1994 and 2005. The loan was transferred to LNR on Oct. 29, 2009, due to imminent default, and the special servicer is preparing to file foreclosure. A $16.1 million ARA is in effect against this asset. Standard & Poor's expects a moderate loss upon the resolution of this asset. The Sahara Pavilion North loan ($56.3 million, 1.3%) is the 10th-largest loan in the pool and has a total exposure of $58.3 million. The loan is secured by a 333,679-sq.-ft. anchored retail center in Las Vegas, Nev., that was built in 1989. The loan was transferred to LNR on March 2, 2010, due to imminent default. A $28.6 million ARA is in effect against this loan, which is currently in foreclosure. Standard & Poor's expects a significant loss upon the resolution of this asset. The remaining 31 assets with the special servicer ($397.7 million; 9.1%) individually represent 1% or less of the total pool balance. We estimated losses for 26 of these assets ($357.7 million; 8.1%), for which, our expected losses ranged from 7.5% to 82.0%. The weighted average loss severity was 42.8%. Three loans ($235.4 million; 5.2%) were previously with the special servicer but have since been returned to the master servicer. According to the transaction documents, the special servicer is entitled to a workout fee equal to 1.0% of all future principal and interest payments on these loans (including the balloon maturity payments), provided that they continue to perform and remain with the master servicer. Transaction Summary As of the April 12, 2011, remittance report, the transaction had an aggregate trust balance of $4.39 billion (258 loans and nine REO assets), compared with $4.52 billion (279 loans) at issuance. Wells Fargo Bank N.A. and Midland Loan Services Inc., the master servicers, provided financial information for 91.9% of the pool balance, all of which was full-year 2009, full year 2010, or interim 2010 information. There are no defeased loans. "We calculated a weighted average DSC of 1.27x for the loans in the pool based on the reported figures. Our adjusted DSC and LTV were 1.21x and 128.7%, which exclude 28 assets with the special servicer ($478.4 million; 10.9%). The trust has experienced 10 principal losses totaling $28.0 million to date. Seventy-six loans ($1.18 billion; 27.0%) are on the master servicers' watchlists ($518.4 million; 11.8%). Nineteen loans ($235.0 million, 5.4%) have a reported DSC between 1.0x and 1.1x, and 52 loans ($727.0 million, 16.7%) have a reported DSC of less than 1.0x," S&P noted. Summary of Top 10 Loans The top 10 loans secured by real estate have an aggregate outstanding trust balance of $1.57 billion (35.7%). "Using servicer-reported information, we calculated a weighted average DSC of 1.19x. Our adjusted DSC and LTV figures for the top 10 loans were 1.00x and 157.7%. The adjusted figures exclude the eighth-largest loan in the pool ($64.4 million; 1.5%), and the 10th-largest loan in the pool ($56.3 million; 1.3%), for which we separately estimated losses. Three of the top 10 real estate loan are on the master servicer's watchlist," S&P noted. The First Colony Mall loan ($183.0 million; 4.2%), the fourth- largest loan in the pool, is secured by 417,241 sq. ft. of in-line and outparcel portion of a 1.1 million-sq.-ft. mall in Sugarland, Texas, that was built in 1996 and renovated in 2006. The loan is on the watchlist due to low DSC. For year-end 2009, the reported DSC and occupancy were 1.13x and 95%. The Pinnacle Hills Promenade loan ($140.0 million, 3.2%), the fifth-largest loan in the pool, is secured by 327,710 sq. ft. of in-line and out-parcel portion of a 630,250-sq.-ft. lifestyle center in Rogers, Ark., that was built in 2006. The loan appears on the watchlist due to a low reported DSC as of Dec. 31, 2009. The reported DSC was 0.96x. Occupancy was 95.6% at that time. The Central Park Shopping Center loan ($125.0 million, 2.9%), the sixth-largest loan in the pool, is secured by a super regional power center consisting of 669,922 sq. ft. of anchor and in-line space in Fredericksburg, Va. The property was built in 1992 and renovated in 2004. The loan appears on the watchlist due to a low reported DSC. For year-end 2009, the reported DSC and occupancy were 0.85x and 81.5%. Standard & Poor's stressed the loans in the pool according to its U.S. conduit/fusion criteria. The resultant credit enhancement levels are consistent with S&P's lowered and affirmed ratings. Ratings Lowered ML-CFC Commercial Mortgage Trust 2006-4 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-3 A+ (sf) AA- (sf) 30.28 A-1A A+ (sf) AA- (sf) 30.28 A-SB A+ (sf) AA- (sf) 30.28 AM BBB- (sf) A- (sf) 19.97 AJ B+ (sf) BBB (sf) 11.34 AJ-FX B+ (sf) BBB (sf) 11.34 AJ-FL B+ (sf) BBB (sf) 11.34 B B+ (sf) BBB- (sf) 11.09 C B (sf) BB (sf) 9.28 D B- (sf) BB (sf) 8.51 E B- (sf) BB- (sf) 6.96 F CCC (sf) B+ (sf) 6.06 G CCC- (sf) B+ (sf) 4.90 H D (sf) B (sf) 3.87 J D (sf) CCC- (sf) 2.45 Rating Lowered and Removed From CreditWatch Negative ML-CFC Commercial Mortgage Trust 2006-4 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-2FL A+ (sf) AAA/Watch Neg (sf) 30.28 Ratings Affirmed ML-CFC Commercial Mortgage Trust 2006-4 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-2 AAA (sf) 30.28 A-2FX AAA (sf) 30.28 XC AAA (sf) N/A XP AAA (sf) N/A N/A -- Not applicable. MONTEBELLO: Moody's Cuts Participation Certificates Rating to Ba1 ----------------------------------------------------------------- Moody's Investors Service has downgraded to Baa2 from A3 Montebello's Issuer Rating and downgraded to Ba1 from Baa2 the rating on the city's 2000 Certificates of Participation (Refunding and Capital Improvement Project) of which $14.5 million remains outstanding. These COPs are secured by lease payments from the city for use of the city's police building, city hall, and approximately 7.6 acres of land underlying these facilities. The outlook for these ratings is negative. Ratings Rationale The rating downgrades primarily reflect the complete depletion of the city's unrestricted reserves, as well as the depletion of reserves that the city could borrow from its various governmental funds for General Fund expenditures. The downgrades also reflect the potential difficulty the city will have in relying on external borrowing for near-term cash flow needs. Also underlying the downgrade is the still structurally unbalanced General Fund budget, recognizing that the city did make significant progress in restoring balance in the current fiscal year. The negative outlook reflects the remaining challenge the city faces in structurally balancing its budget, restoring its liquidity, and repaying a significant loan from its Redevelopment Agency. The rating continues to reflect the city's location at the heart of the Los Angeles area economy, and the economy's underlying long term strength, notwithstanding the recent severe recession. The city's favorable debt position with a modest direct debt burden and manageable lease burden are also reflected in the rating. The two notch rating distinction between the Baa2 Issuer Rating and the Ba1 on the COPs represents Moody's standard notching differential for fixed asset leases relative to a California city's Issuer Rating. Broadly speaking, the two notches reflect the risk of abatement and the narrower, General Fund security pledge for abatement leases compared to the very strong, voter- approved unlimited property tax pledge implied by the Issuer Rating (the equivalent of a G.O. bond rating, in the absence of such debt for a municipality). Key Credit Strengths Relatively stable tax base. Below average direct debt burden. Key Credit Challenges Complete depletion of General Fund reserves and available reserves in other governmental funds. Need to rely on external sources for short term liquidity needs. Large obligation to the Redevelopment Agency for accumulated deficit. Structural imbalance in the General Fund. The City's Financial Position Faces a Multitude of Difficulties There are three key interrelated financial challenges that the city currently faces. These include: first, repayment to the redevelopment agency of approximately $16.8 million, an obligation which was amassed as a result of cash flow borrowing and funding of the city's accumulated General Fund deficit; second, required cash flow borrowing for next fall; and third, balancing the General Fund budget, which is essential prior to addressing the first two challenges. Following the 2010 General Fund operating deficit of nearly $7 million, which is a major component of the obligation to the Redevelopment Agency, the city appears to have made significant progress in balancing its 2011 budget. The current estimate for 2011 is that ongoing revenues will fall only $1.2 million short of ongoing expenditures of approximately $43 million. While this is a notable improvement over 2010, in the absence of any reserves, even a shortfall of $1.2 million will add to the city's overall deficit and compound the difficulty of addressing the city's obligation to the Redevelopment Agency by increasing the obligation and potentially limiting access to external sources of funding. Recently, the city council failed to take action to further reduce expenditures which could possibly have closed the remaining gap. It is highly likely that the city will need to bring its General Fund into long-term balance in order to tackle the obligation to the Redevelopment Agency and to fund the city's short-term liquidity needs. Although the obligation to the Redevelopment Agency is sizable, the city may be able to offset a large part of it by eliminating an obligation of the Redevelopment Agency to the city. The leases securing the 2000 COPS are currently being paid by the Redevelopment Agency pursuant to two reimbursement agreements that date back to the early 1990's. By agreeing to forgive part of the reimbursement agreements with a prepayment agreement, the city may be able to decrease its obligation to the agency by $11 million. However, this would add a substantial burden to the city's already strained General Fund, if the General Fund had to fund the lease payments. Therefore, any potential agreement would call for continued payment of leases by the Redevelopment Agency for the near term, until the city's General Fund has sufficiently recovered to assume this additional burden. Even under this scenario, the city would need to rely on external sources to address the remainder of the obligation to the Redevelopment Agency. In 2010, the city's financial position deteriorated to unprecedented levels. The city council did not adopt the final budget until April 2010, largely due to the political turmoil. Three council members were defeated in November, 2008 and the remaining two were subject to a recall election in February 2010, one of whom was actually recalled. Despite the city's tightening financial position, no major expenditure cuts were made until February of this year. The city continued to actually increase expenditures while the revenues were declining throughout much of the 2010 fiscal year. Audited results for 2010 indicate that General Fund expenditures of $47 million exceeded receipts by $6.9 million. With no reserves in its General Fund, the city was able to fund this deficit by borrowing from its various other governmental funds. However, it subsequently became apparent that these transfers were not appropriate and the city had to replenish these funds; this increased the size of its obligation to the Redevelopment Agency. The City's Direct Debt Burden is Relatively Low The city's 0.5% direct net debt burden is only half of the nationwide median for cities, although significantly higher than the statewide median of 0.2%. In addition to the COPs mentioned above, the city's General Fund is ultimately responsible for $9.5 million in lease supported certificates of participation issued for the city's municipal golf course. Of this amount, $6.15 million was issued in 2001 as Variable Rate COPs that are secured by an abatable lease of the city, enhanced by an irrevocable letter of credit from Union Bank Of California. Also pledged for repayment of the golf course COPs are vehicle license fees which provide ample coverage of lease payments. The City's Location in Central Los Angeles County Affords It Relative Economic Strength and Stability The city assessed valuation (AV) has fared relatively well during the current severe downturn in the California housing market. Between 2003 and 2008, the city's AV grew at an average annual rate of just 7.7%. In 2009, AV grew by 7.1%, followed by a small decrease of 0.3% in 2010 and another decrease of 0.7% in 2011. This relative resilience is largely due to the older and more established nature of the residential portion of the tax base. The national economic recession and housing market downturn have significantly weakened the Los Angeles area's near term economic prospects, as they have for most regions nationally. Moody's believes this weakness, however, is likely to be cyclical rather than permanent, reflecting in large part the area's still vital economic core, its entertainment and tourism industries, and its position as a hub for international trade. While the region's employment diversity has not protected it from rapidly expanding unemployment -- most recently 13.6% in March 2011 -- Moody's believes its employment diversity should still help it emerge from the recession. What could move the rating -- Up Structural balance in the General Fund. Repayment of the obligation to the Redevelopment Agency. Significant improvement in the city's socioeconomic profile. What could move the rating -- Down Further deterioration of the city's financial position. Inability to balance the General Fund budget. Inability to repay the obligation to the Redevelopment Agency. Inability to fund cash flow needs of 2012. Significant amount of additional debt. Outlook The outlook on the city's ratings is negative, which reflects the difficulty of the city's fiscal challenges and uncertainty of the city's ability to fully address its financial difficulties. While significant progress has been made toward structurally balancing the city's General Fund budget, ongoing expenditures continue to outpace ongoing revenues. There is still uncertainty with regard to the city's willingness to take the necessary actions needed to bring the General Fund budget into structural balance, which is essential to addressing the city's liquidity problems. Key Statistics Fiscal 2010, GAAP basis: Net cash as % of revenue: 0.3% Total fund balance as % of revenue: -16.6%% Available reserves as % of revenue: 0% Net direct debt as % of FY 2010AV: 0.5% 2000 Census: Median Family Income: $41,257 (77.8% of the state average) Per Capita Income: $15,125 (66.6% of the state average) Individuals below poverty level: 17.0% The principal methodology used in the rating was General Obligation Bonds Issued by U.S. Local Governments published in October 2009. MORGAN STANLEY: Fitch Downgrades 10 Classes of MSCI 2005-HQ5 ------------------------------------------------------------ Fitch Ratings has downgraded 10 classes of Morgan Stanley Capital I Trust's commercial mortgage pass-through certificates, series 2005-HQ5. 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 3.8% of the current pool. As of the April 2011 distribution date, the pool's aggregate principal balance has decreased 21.5% to $1.2 billion from $1.52 billion at issuance. As of April 2011, there are cumulative interest shortfalls in the amount of $1.1 million, affecting classes M through Q. In total, there are six loans (4.4% of the pool) in special servicing, two of which are real-estate owned (REO). At Fitch's last review, there were four loans (2.3%) in special servicing. The largest contributors of expected losses are all in special servicing: Rainbow Design Center (0.9% of the pool), Borders Books - Pasadena (0.8%) and The Shoppes at Lake Bryan (0.6%). Rainbow Design Center is a 64,488 square foot (sf) neighborhood retail center located in Las Vegas, NV. The real estate owned (REO) asset transferred to special servicing in January 2009 for imminent default. Borders Books - Pasadena transferred to special servicing in March 2011. The asset is 40,000 sf single tenant retail property located in Pasadena, CA and the store is scheduled to close after Borders filed for bankruptcy 2011. Fitch expects a loss if the borrower cannot re-tenant and stabilize the property in the near term. The Shoppes at Lake Bryan is a 33,125 sf unanchored retail strip center located in Lake Buena Vista, FL. The loan was transferred to special servicing for monetary default in April 2009 and the asset is REO. Fitch has downgraded, revised Outlooks and Loss Severity (LS) ratings, and assigned Recovery Ratings (RR) to these classes: -- $15.2 million class F to 'BBBsf/LS5' from 'A-sf/LS5'; Outlook Stable; -- $15.2 million class G to 'BBsf/LS5' from 'BBBsf/LS5'; Outlook Stable; -- $13.3 million class H to 'Bsf/LS5' from 'BBB-sf/LS5'; Outlook to Negative from Stable; -- $20.9 million class J to 'CCCsf/RR1' from 'BBsf/LS5'; -- $5.7 million class K to 'CCCsf/RR1' from 'Bsf/LS5'; -- $5.7 million class L to 'CCCsf/RR1' from 'Bsf/LS5'; -- $5.7 million class M to 'CCsf/RR6' from 'B-sf/LS5'. -- $3.8 million class N to 'Csf/RR6' from 'B-sf/LS5'; -- $1.9 million class O to 'Csf/RR6' from 'B-sf/LS5'; -- $3.8 million class P to 'Csf/RR6' from 'CCCsf/RR1'. Fitch also affirms these classes: -- $149.1 million class A-3 at 'AAAsf/LS1'; Outlook Stable; -- $49.1 million class A-AB at 'AAAsf/LS1'; Outlook Stable; -- $711.3 million class A-4 at 'AAAsf/LS1'; Outlook Stable; -- $112.4 million class A-J at 'AAAsf/LS3'; Outlook Stable; -- $30.5 million class B at 'AAsf/LS4'; Outlook Stable; -- $19 million class C at 'AA-sf/LS5'; Outlook Stable; -- $15.2 million class D at 'A+sf/LS5'; Outlook Stable; -- $17.1 million class E at 'Asf/LS5'; Outlook Stable. Fitch does not rate the $1.6 million class Q. Classes A-1 and A-2 are paid in full. Fitch withdraws the ratings on the interest-only classes X-1 and X-2. MORGAN STANLEY: Moody's Affirms 17 CMBS Classes of MSC 2004-TOP15 ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 17 classes of Morgan Stanley Capital I Inc., Commercial Mortgage Pass-Through Certificates, Series 2004-TOP15: -- Cl. A-2, Affirmed at Aaa (sf); previously on Aug 4, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Aug 4, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Aug 4, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on Aug 4, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. X-2, Affirmed at Aaa (sf); previously on Aug 4, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aa2 (sf); previously on Jun 9, 2010 Confirmed at Aa2 (sf) -- Cl. C, Affirmed at A3 (sf); previously on Jun 9, 2010 Downgraded to A3 (sf) -- Cl. D, Affirmed at Baa1 (sf); previously on Jun 9, 2010 Downgraded to Baa1 (sf) -- Cl. E, Affirmed at Baa3 (sf); previously on Jun 9, 2010 Downgraded to Baa3 (sf) -- Cl. F, Affirmed at Ba1 (sf); previously on Jun 9, 2010 Downgraded to Ba1 (sf) -- Cl. G, Affirmed at Ba3 (sf); previously on Jun 9, 2010 Downgraded to Ba3 (sf) -- Cl. H, Affirmed at B2 (sf); previously on Jun 9, 2010 Downgraded to B2 (sf) -- Cl. J, Affirmed at B3 (sf); previously on Jun 9, 2010 Downgraded to B3 (sf) -- Cl. K, Affirmed at Caa2 (sf); previously on Jun 9, 2010 Downgraded to Caa2 (sf) -- Cl. L, Affirmed at Caa3 (sf); previously on Jun 9, 2010 Downgraded to Caa3 (sf) -- Cl. M, Affirmed at C (sf); previously on Jun 9, 2010 Downgraded to C (sf) -- Cl. N, 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 (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 2.2% of the current balance. At last full review, Moody's cumulative base expected loss was 2.7%. Moody's stressed scenario loss is 4.9% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodology used in this rating was "CMBS: Moody's Approach to Rating Fusion Transactions" published in April 2005. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 52 compared to 58 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated June 9, 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 April 13, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 23% to $689.57 million from $889.75 million at securitization. The Certificates are collateralized by 104 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans representing 46% of the pool. Four loans, representing 4.9% of the pool, have defeased and are collateralized with U.S. Government securities, compared to 4.6% at last review. Three loans, representing 28.7% of the pool, have investment grade credit estimates. Twenty-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's (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Two loans have been liquidated from the pool since securitization, resulting in an aggregate $1.4 million loss (11% loss severity on average). Currently four loans, representing 2% of the pool, are in special servicing. The largest specially serviced loan is the Aiken Exchange Loan ($7.4 million -- 1.1% of the pool), which is secured by a 101,000 square foot retail center located in Aiken, South Carolina. The loan was transferred to special servicing in March 2010 for imminent default and is currently in the process of foreclosure. The remaining three specially serviced loans are secured by a mix of multifamily, retail and industrial properties. The master servicer has recognized an aggregate $2.8 million appraisal reduction for the specially serviced loans. Moody's has estimated an aggregate loss of $5.8 million (37% expected loss on average) for three of the specially serviced loans. Moody's has assumed a high default probability for two poorly performing loans representing 2% of the pool and has estimated a $1.7 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 93% and 79% of the performing pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 75% compared to 76% at last full 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%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCR are 1.72X and 1.53X, respectively, compared to 1.71X and 1.47X at last full review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a stressed 9.25% rate applied to the outstanding loan balance. The largest loan with a credit estimate is the Grace Building Loan ($111.0 million -- 16.1% of the pool), which is secured by a 1.5 million square foot Class A office building located in New York City. The loan represents a 33.3% pari-passu interest in a $333.2 million loan. There is also a subordinate B Note of $28.5 million held outside the trust. The loan sponsor is Brookfield Properties and Swig Investment Company. The property was 90% leased as of June 2010. Performance is in line with the previous review. Moody's current credit estimate and stressed DSCR are Baa2 and 1.34X, respectively, compared to Baa2 and 1.32X at last full review. The second loan with a credit estimate is the GIC Office Portfolio Loan ($63.2 million -- 9.2% of the pool), which is secured by 12 office buildings located in seven states and totaling 6.4 million square feet. The loan represents a 9.3% pari-passu interest in a $680.6 million loan. There is also a subordinate B Note of $121.5 million held outside the trust. The portfolio was 71% leased as of March 2010 compared to 87% at last review. Moody's current credit estimate and stressed DSCR are Baa3 and 1.43X, respectively, compared to Baa3 and 1.42X at last full review. The third loan with a credit estimate is the Inland Midwest Portfolio Loan ($23.7 million -- 3.4% of the pool), which is secured by three retail properties located in Illinois and Indiana and totaling 287,000 square feet. The portfolio was 95% leased as of December 2010, essentially the same as at last review. One of the properties is a single tenant retail property leased to CarMax through January 2021. The other two properties are multi-tenant retail properties. Moody's current credit estimate and stressed DSCR are Baa3 and 1.41X, respectively, compared to Baa3 and 1.45X at last full review. The top three performing conduit loans represent 9% of the pool balance. The largest loan is the Village at Newtown Loan ($25.3 million -- 3.7% of the pool), which is secured by a 177,000 square foot retail center located in Newtown Township, Pennsylvania. The property was 92% leased as of June 2010 compared to 90% at last full review. Property performance has been relatively stable. Moody's LTV and stressed DSCR are 82% and 1.15X, respectively, compared to 81% and 1.27X at last full review. The second largest loan is the Pavilions Apartments Loan ($19.0 million -- 2.8% of the pool), which is secured by a 240 unit garden apartment complex located in Albuquerque, New Mexico. The complex was 92% leased as of December 2010 compared to 90% at last review. Property performance remains stable. Moody's LTV and stressed DSCR are 95% and 0.96X, respectively, compared to 92% and 1.00X at last full review. The third largest loan is the Port Sacramento Industrial Loan ($17.8 million -- 2.6% of the pool), which is secured by a 610,000 square foot industrial complex located in West Sacramento, California. The complex is 100% leased to C&S Logistics through June 2017. Moody's LTV and stressed DSCR are 82% and 1.32X, respectively, compared to 83% and 1.30X at last review. MORGAN STANLEY: Moody's Affirms 15 CMBS Classes of MSC 2003-IQ5 --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 15 classes of Morgan Stanley Capital I, Inc. Commercial Mortgage Pass-Through Certificates, Series 2003-IQ5: -- Cl.r A-4, Affirmed at Aaa (sf); previously on Oct 15, 2003 Definitive Rating Assigned Aaa (sf) -- Cl.r X-1, Affirmed at Aaa (sf); previously on Oct 15, 2003 Definitive Rating Assigned Aaa (sf) -- Cl.r X-2, Affirmed at Aaa (sf); previously on Oct 15, 2003 Definitive Rating Assigned Aaa (sf) -- Cl.r B, Affirmed at Aaa (sf); previously on Mar 19, 2007 Upgraded to Aaa (sf) -- Cl.r C, Affirmed at Aa3 (sf); previously on Jun 9, 2010 Upgraded to Aa3 (sf) -- Cl.r D, Affirmed at A2 (sf); previously on Mar 19, 2007 Upgraded to A2 (sf) -- Cl.r E, Affirmed at Baa1 (sf); previously on Oct 15, 2003 Definitive Rating Assigned Baa1 (sf) -- Cl.r F, Affirmed at Baa2 (sf); previously on Oct 15, 2003 Definitive Rating Assigned Baa2 (sf) -- Cl.r G, Affirmed at Baa3 (sf); previously on Oct 15, 2003 Definitive Rating Assigned Baa3 (sf) -- Cl.r H, Affirmed at Ba1 (sf); previously on Oct 15, 2003 Definitive Rating Assigned Ba1 (sf) -- Cl.r J, Affirmed at Ba2 (sf); previously on Oct 15, 2003 Definitive Rating Assigned Ba2 (sf) -- Cl.r K, Affirmed at Ba3 (sf); previously on Oct 15, 2003 Definitive Rating Assigned Ba3 (sf) -- Cl.r L, Affirmed at B1 (sf); previously on Oct 15, 2003 Definitive Rating Assigned B1 (sf) -- Cl.r M, Affirmed at B2 (sf); previously on Oct 15, 2003 Definitive Rating Assigned B2 (sf) -- Cl.r N, Affirmed at Caa1 (sf); previously on Jun 9, 2010 Downgraded to Caa1 (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain the existing rating. Moody's rating action reflects a cumulative base expected loss of 1.7% of the current balance, the same as at last review. Moody's stressed scenario loss is 5.0% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodologies used in this rating were "CMBS: Moody's Approach to Rating U.S. CMBS Fusion Transactions" published in April 2005 and "Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade 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 14 compared to 21 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel based Large Loan Model v 8.0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated June 9, 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 April 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 45% to $425.5 million from $778.8 million at securitization. The Certificates are collateralized by 61 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten non- defeased loans representing 58% of the pool. The pool includes one loan with an investment grade credit estimate, representing 6% of the pool. At Moody's last review the Two Commerce Square Loan ($53.7 million -- 12.6% of the pool), also had an investment grade credit estimate. Due to a decline in performance, the property no longer supports the credit estimate and the loan is analyzed as part of the conduit pool. Five loans, representing 12% of the pool, have defeased and are collateralized with U.S. Government securities, the same as at last review. Twenty-three loans, representing 22% 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's (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. There have been no losses to the pool and there are no loans currently in special servicing. Moody's was provided with full year 2009 operating results for 100% of the conduit pool and partial year 2010 financials for 64% of the conduit pool. Moody's weighted average conduit LTV is 74% compared to 75% at last review. Moody's net cash flow reflects a weighted average haircut of 9.3% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's conduit actual and stressed DSCRs are 1.52X and 1.51X, respectively, compared to 1.53X and 1.51X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loan with a credit estimate is the Three Times Square Loan ($25.5 million -- 6.0% of the pool), which represents a 21% pari passu interest in a $122.2 million loan. The property is also encumbered by a subordinate B note of $94.8 million held outside the trust. The loan is secured by an 884,000 square foot Class A office building located in midtown Manhattan. As of March 2010, the property was 99% leased; the same as at last review. The largest tenants are Reuters Group (79% of the net rentable area (NRA); lease expiration September 2021) and Bank of Montreal (12% of the NRA; lease expiration November 2021). The loan is fully amortizing and has amortized 4% since last review. The loan matures on November 15, 2021. Moody's current credit estimate and stressed DSCR are Aaa and 3.08X, respectively, compared to Aaa and 3.08X at Moody's last review. The top three conduit loans represent 28% of the pool. The largest conduit loan is the Two Commerce Square Loan ($53.7 million -- 12.6% of the pool), which represents a 50% pari passu interest in a $107.4 million loan. The property is also encumbered by a subordinate B-note of $77.0 million held outside the trust. The loan is secured by a 40-story, 953,000 square foot Class A office building located in downtown Philadelphia, Pennsylvania. Property performance has declined due to rental concessions provided to newly leased tenants and decreased expense reimbursements. Moody's analysis is based on a stabilized net cash flow. As of February 2011, the property was 84% leased compared to 85% at last review. The largest tenants are Price Waterhouse Coopers LLP (23% of the NRA; lease expiration April 2015) and Reliance Standard Life insurance (13% of the NRA; lease expiration December 2015). The loan matures on May 15, 2013. Moody's LTV and stressed DSCR are 79% and 1.23X, respectively, compared to 76% and 1.28X at last review. The second largest conduit loan is the Plaza America Office Towers III & IV Loan ($37.9 million -- 8.9% of the pool), which represents a 50% pari passu interest in a $75.8 million loan. The loan is secured by two Class A office buildings located in Reston, Virginia and totaling 473,000 square feet. The largest tenants are Unisys Corporation (59% of the NRA; lease expiration August 2018) and NCI Information Systems (16% of the NRA; lease expiration June 2013). The property was 91% leased as of September 2010 compared to 93% at last review. The loan matures on August 15, 2013. Moody's LTV and stressed DSCR are 74% and 1.39X respectively, compared to 81% and 1.27X at last review. The third largest conduit loan is the Quail Springs Marketplace Loan ($25.6 million -- 6.0% of the pool), which is secured by a 295,700 square foot retail center located in Oklahoma City, Oklahoma. The largest tenants are Ultimate Electronics (11% of the NRA; lease expiration August 2016), Office Depot (11% of the NRA; lease expiration August 2013) and Ross Dress for Less (10% of the NRA; lease expiration January 2014). The property was 98% leased as of December 2010 compared to 100% at last review. The loan matures on May 15, 2013. Moody's LTV and stressed DSCR are 76% and 1.35X, respectively, compared to 74% and 1.37X at last review. MORGAN STANLEY: Moody's Affirms Ratings on Six Classes of Certs. ---------------------------------------------------------------- Moody's Investors Service (Moody's) upgraded the ratings of two classes and affirmed six classes of Morgan Stanley Dean Witter Capital I Trust Commercial Mortgage Pass-Through Certificates, Series 2000-Life2: -- Cl. X, Affirmed at Aaa (sf); previously on Oct 31, 2000 Assigned Aaa (sf) -- Cl. E, Upgraded to Aaa (sf); previously on Sep 25, 2008 Upgraded to A3 (sf) -- Cl. F, Upgraded to Aa3 (sf); previously on Sep 25, 2008 Upgraded to Baa2 (sf) -- Cl. J, Affirmed at Caa2 (sf); previously on Jun 17, 2010 Downgraded to Caa2 (sf) -- Cl. K, Affirmed at Ca (sf); previously on Jun 17, 2010 Downgraded to Ca (sf) -- Cl. L, Affirmed at C (sf); previously on Jun 17, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Jun 17, 2010 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on Jun 17, 2010 Downgraded to C (sf) Ratings Rationale The upgrades are due to the significant increase in subordination due to loan payoffs and amortization and overall stable pool performance. The pool has paid down by 74% since Moody's last review. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 19% of the current balance. At last review, Moody's cumulative base expected loss was 11%. Moody's stressed scenario loss is 24% of the current balance. The current cumulative base expected loss represents a higher percentage of the pool than at last review due to significant paydowns since last review, even though the dollar amount of expected loss is less. At last review Moody's cumulative expected loss was $27.2 million compared to $11.8 million at this review. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodologies used in this rating were "CMBS: "Moody's Approach to Rating Conduit Transactions," published in September 2000, and "CMBS: Moody's Approach to Rating Large Loan/Single Borrower Transactions," published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 7 compared to 19 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8. 0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated June 17, 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 April 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 92% to $63 million from $765.3 million at securitization. The Certificates are collateralized by 13 mortgage loans ranging in size from less than 3% to 32% of the pool, with the top ten loans representing 91% of the pool. The pool faces significant refinance risk as loans representing 73% of the pool has matured or matures within the next 12 months. There are no loans on the master servicer's watchlist. Eleven loans have been liquidated from the pool, resulting in a realized loss of $8.3 million (17% loss severity). Ten loans, representing 56% of the pool, are currently in special servicing. Moody's has estimated an aggregate $11 million loss (45% expected loss on average) for the specially serviced loans. Moody's was provided with full year 2009 operating results for 100% of the pool. Excluding specially serviced loans, Moody's weighted average LTV is 57% compared to 66% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 15% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.7%. Excluding specially serviced loans, Moody's actual and stressed DSCRs are 1.96X and 2.20X, respectively, compared to 1.48X and 1.64X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top two performing conduit loans represent 38% of the pool balance. The largest loan is the 825 Seventh Avenue loan ($20.4 million -- 32% of the pool) which is secured by 164,000 square foot office building located in Midtown Manhattan. The building is 100% leased to two tenants, Young and Rubicam Inc (81% of Net Rentable Area (NRA), lease expiration in 2015) and International Merchandising Corporation (19% of NRA, lease expiration in 2013). Property performance has improved significantly since last review, mostly due to the renewal of Young and Rubicam's lease at a higher base rent than their previous lease. Moody's LTV and stressed DSCR are 34% and 3.00X, respectively, compared to 77% and 1.33X at last review. The second largest loan is the Room & Board Store Loan ($3.6 million -- 6% of the pool), which is secured by a 20,000 square foot single tenant retail building located in Denver Colorado. The store is leased to Room and Board through 2017. Performance has been stable since securitization. Moody's LTV and stressed DSCR are 65% and 1.75X, respectively, compared to 66% and 1.73X at last review. The top three specially serviced loans represent 26% of the pool. The largest loan is the BRHEBA, Inc Loan ($8.2 million -- 13%) which is secured by a single tenant industrial property in Jersey City, New Jersey. The building's sole tenant is a fragrance company. The property is currently in the foreclosure process. The second largest specially serviced loan is the 500 North Woodward Avenue Loan ($4.3 million -- 7%) which is secured by a 50,000 square foot suburban office property located in Bloomfield Hills Michigan, located about 20 miles north west of Detroit. A two year extension was approved and closed on July 30, 2010. This loan is currently performing in accordance with the modification. Moody's is not expecting a loss from this loan. Moody's LTV and stressed DSCR are 94% and 1.15X, respectively, compared to 193% and 0.56X at last review The third largest specially serviced loan is The Eisner Building Loan ($4.0 million -- 6%), which is secured by a three story, 35,000 square foot office and retail property located in Red Bank, New Jersey. The property is 90% leased compared with 95% at last review. A recent appraisal has been secured that had a value in excess of the loan balance, and the trustee has consented to one year forbearance. Moody's is not expecting a loss from this loan. Moody's LTV and stressed DSCR are 80% and 1.34X, respectively, compared to 84% and 1.29X at last review. MORGAN STANLEY: Moody's Cuts Rating on Class G Certs. to 'Caa3' --------------------------------------------------------------- Moody's Investors Service (Moody's) downgraded the ratings of two classes and affirmed ten classes of Morgan Stanley Dean Witter Capital I Trust Commercial Mortgage Pass-Through Certificates, Series 2001-TOP3: -- Cl. A-4, Affirmed at Aaa (sf); previously on Jul 30, 2001 Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on Jul 30, 2001 Assigned Aaa (sf) -- Cl. B, Affirmed at Aaa (sf); previously on Jul 9, 2007 Upgraded to Aaa (sf) -- Cl. C, Affirmed at A1 (sf); previously on May 5, 2010 Downgraded to A1 (sf) -- Cl. D, Affirmed at A3 (sf); previously on May 5, 2010 Downgraded to A3 (sf) -- Cl. E, Affirmed at Ba1 (sf); previously on May 5, 2010 Downgraded to Ba1 (sf) -- Cl. F, Downgraded to B3 (sf); previously on May 5, 2010 Downgraded to B1 (sf) -- Cl. G, Downgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Caa2 (sf) -- Cl. H, Affirmed at Ca (sf); previously on May 5, 2010 Downgraded to Ca (sf) -- Cl. J, Affirmed at C (sf); previously on May 5, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on May 5, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Mar 25, 2010 Downgraded to C (sf) Ratings Rationale The downgrades are due to higher expected losses resulting from anticipated losses from troubled loans. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 9.7% of the current balance. At last review, Moody's cumulative base expected loss was 5.3%. Moody's stressed scenario loss is 13% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodologies used in this rating were: "Moody's Approach to Rating Fusion Transactions", published on April 19, 2005 and "CMBS: Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 19 compared to 41 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated May 5, 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 April 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 67% to $341 million from $1.0 billion at securitization. The Certificates are collateralized by 66 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans representing 47% of the pool. The pool includes one loan with an investment-grade credit estimate, representing 9% of the pool. Eight loans, representing 9% of the pool, have defeased and are collateralized with U.S. Government securities. The pool faces significant near- term refinance risk as 61% of the pool has matured or will mature within the next 12 months. Twenty-eight loans, representing 40% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Eight loans have been liquidated from the pool, resulting in a realized loss of $12 million (34% loss severity). Nine loans, representing 18% of the pool, are currently in special servicing. Moody's has estimated an aggregate $31 million loss (52% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for one poorly performing loan representing 1% of the pool and has estimated an aggregate $500,000 loss (15% expected loss based on a 50% probability default) for this troubled loan. Moody's was provided with full year 2009 operating results for 97% of the performing loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 67% compared to 70% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 16% 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 1.53X and 1.83X, respectively, compared to 1.51X and 1.55X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loan with a credit estimate is the Federal Plaza Loan ($31.7 million -- 9% of the pool), which is secured by a 240,000 square foot anchored retail center located in Rockville, Maryland. The center is anchored by TJ Max (13% of the net rentable area (NRA), lease expiration in 2022). Leases for 25% of the NRA expire within the next 12 months. The loan is on the watch list due to its upcoming maturity in June of 2011. Although performance has been stable over the life of the loan, Moody's analysis reflects a stressed cash flow due to Moody's concerns about potential income volatility due to near term lease expirations. Moody's current credit estimate and stressed DSCR are A3 and 1.65X, respectively, compared to A3 and 1.7X at last review. The top three performing conduit loans represent 22% of the pool balance. The largest loan is the 140 Kendrick Street Loan ($49.7 million -- 15% of the pool) which is secured by three Class A suburban office buildings that are located ten miles west of Boston's financial district. The buildings total 381,000 square feet and are 100% leased to Parametric Technology Corporation as its corporate headquarters through November 2012. The loan matures in July 2013. Property performance has been stable since securitization. Moody's valuation reflects a dark/ lit analysis and reflects similar market fundamentals to last review. Moody's LTV and stressed DSCR are 78% and 1.35X, respectively, compared to 85% and 1.24X at last review. The second largest loan is the South Placer Business Park Loan ($14.2 million -- 4% of the pool), which is secured by 200,000 square foot industrial building located in Roseville California, which is part of the Sacramento MSA. The property is 86% leased compared with 88% at last review and 100% at securitization. The loan is on the watch list due it's upcoming maturity on May 1, 2011. Performance has remained steady since last review, however down significantly since securitization. Moody's LTV and stressed DSCR are 70% and 1.52X, respectively, compared to 69% and 1.57X at last review. The third largest loan is the Omnicom Building Loan ($11 million - - 3% of the pool), which is secured by 100,000 square foot office building located in Marina Del Ray California. The building is 100% leased to Omnicom Group, Inc (senior unsecured shelf rating (P)Baa1, stable outlook,) through June 2015. Overall performance of the loan has improved since last review. Moody's LTV and stressed DSCR are 58% and 1.83X, respectively, compared to 68% and 1.56X at last review. MORGAN STANLEY: S&P Lowers Two Classes of Certs. Ratings to 'D' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes of commercial mortgage-backed securities (CMBS) from Morgan Stanley Capital I Trust 2005-HQ7. The downgrades of the class O and P certificates to 'D (sf)' follow principal losses sustained by the classes, which were reported in the April 14, 2011, trustee remittance report. The principal losses were related to four specially serviced assets that were liquidated in March or April 2011. The class O certificate experienced reported losses amounting to 50.0% ($2.4 million) of its $4.9 million original balance. The class P certificate experienced reported losses amounting to 100% of its $4.9 million original balance. The class Q certificates, which Standard & Poor's previously lowered to 'D (sf)', lost 100% of its $3.5 million opening balance. "The downgrades to the class J, K, L, M, and N certificates reflect our analysis of the potential interest shortfalls that are likely to affect the transaction, as well as reduced liquidity available to the trust. We lowered our ratings on the class M and N certificates due to potential interest shortfalls that are likely to affect the classes based on appraisal subordinate entitlement reduction (ASER) amounts in effect for two of the 13 remaining specially serviced assets. The downgrades of the class J, K, and L certificates reflect a reduction of available interest to the trust and the potential for these classes to experience shortfalls in the future. As of the April 2011 trustee remittance report, 13 assets ($59.1 million, 3.4% of the pool) are currently with the special servicer, C-III Asset Management LLC (C-III)," S&P related. According to the April 2011 trustee remittance report, the losses relate to four assets that were with the special servicer. Details are: * The Padden Market Center asset is an 81,582-sq.-ft. retail property in Vancouver, Wa. According to the trustee remittance report, the asset had a total exposure of $14.3 million prior to resolution. The loan was transferred to C- III in April 2010 due to payment default. The trust incurred a $3.1 million realized loss when the asset liquidated on April 6, 2011. Based on the April 2011 trustee remittance report, the loss severity for this loan was 23.0% of its balance. * The Pennsylvania Retail Portfolio asset consisted of two single-tenant retail properties totaling 59,000 sq. ft. in Pittsburgh, Pa. According to the trustee remittance report, the asset had a total exposure of $8.3 million prior to resolution. The loan was transferred to C-III in October 2010 due to payment default. The trust incurred a $4.8 million realized loss when the asset was liquidated on March 30, 2011. Based on the April 2011 trustee remittance report, the loss severity for this loan was 59.1% of its balance. * The Shashabaw Plaza asset is a 14,372-sq.-ft. retail property in Oakland, Mich. According to the trustee remittance report, the asset had a total exposure of $2.5 million prior to resolution. The loan was transferred to C- III in November 2010 due to payment default. The trust incurred a $1.1 million realized loss when the asset liquidated on April 1, 2011. Based on the April 2011 trustee remittance report, the loss severity for this loan was 44.1% of its balance. * The Olive Road Mini Storage is a 57,465-sq.-ft. self storage property in Pensacola, Fla. According to the trustee remittance report, the asset had a total exposure of $2.9 million prior to resolution. The loan was transferred to C- III in March 2009 due to payment default. The trust incurred a $1.8 million realized loss when the asset was liquidated on March 16, 2011. Based on the April 2011 trustee remittance report, the loss severity for this loan was 78.3% of its balance. According to the April 2011 trustee remittance report, the collateral pool for the transaction consisted of 255 loans with an aggregate trust balance of $1.72 billion, down from 278 loans totaling $1.96 billion at issuance. To date, the trust has experienced losses on 17 assets totaling $46.6 million. Based on the April 2011 trustee remittance report, the weighted average loss severity for these assets was approximately 56.4%. Ratings Lowered Morgan Stanley Capital I Trust 2005-HQ7 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) J B- (sf) B+ (sf) 2.56 K CCC+ (sf) B (sf) 1.42 L CCC (sf) B (sf) 0.99 M CCC- (sf) B- (sf) 0.43 N CCC- (sf) B- (sf) 0.14 O D (sf) CCC+ (sf) 0.00 P D (sf) CCC (sf) 0.00 MORGAN STANLEY: S&P Lowers Ratings on Three Classes to 'D' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on three classes of notes from Morgan Stanley ACES SPC's series 2006-3, a synthetic collateralized debt obligation (CDO) transaction. The lowered ratings follow credit events in the underlying portfolio that have caused the tranches to incur a principal loss. Ratings Lowered Morgan Stanley ACES SPC Series 2006-3 Rating Class To From IC D (sf) CCC- (sf) IIA D (sf) CCC- (sf) IIF D (sf) CCC- (sf) MORGAN STANLEY: S&P Lowers Rating on Class IA Notes to 'D' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class IA notes from Morgan Stanley ACES SPC's series 2006-7, a synthetic collateralized debt obligation (CDO) transaction. The lowered rating follows credit events in the transaction's underlying portfolio that have caused the tranche to incur a full principal loss. Rating Lowered Morgan Stanley ACES SPC Series 2006-7 Rating Class To From IA D (sf) CCC- (sf) MORGAN STANLEY: S&P Lowers Rating on Class IIA Notes to 'D' ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class IIA notes from Morgan Stanley ACES SPC series 2007-13, a synthetic collateralized debt obligation (CDO) transaction. "At the same time, we affirmed our 'CCC- (sf)' ratings on the class IIB and IIIB notes," S&P related. "We lowered the rating on the class IIA notes following credit events in the underlying portfolio that have caused the tranche to incur a principal loss. The affirmations reflect our view that the tranches have adequate credit support at their current rating levels," S&P noted. Rating Lowered Morgan Stanley ACES SPC Series 2007-13 Rating Class To From IIA D (sf) CCC- (sf) Ratings Affirmed Morgan Stanley ACES SPC Series 2007-13 Class Rating IIB CCC- (sf) IIIB CCC- (sf) Other Rating Outstanding Morgan Stanley ACES SPC Series 2007-13 Class Rating IV D (sf) MORGAN STANLEY: S&P Withdraws 'CCC-' Rating on Class IA Notes ------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its rating on the class IA notes from Morgan Stanley ACES SPC's series 2006-5, a synthetic collateralized debt obligation (CDO) transaction. The withdrawn rating follows the full redemption and subsequent termination of the notes. Rating Withdrawn Morgan Stanley ACES SPC Series 2006-5 Rating Class To From IA NR CCC- (sf) MRU STUDENT: S&P Lowers Class D Notes Rating to 'CCC-' ------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on the class A-1A, A-1B, B, C, and D notes issued by MRU Student Loan Trust 2008-A, an asset-backed securities (ABS) transaction backed by private student loans. "Concurrently, we removed these ratings from CreditWatch with negative implications, where we placed them on Aug. 5, 2009. We did not rate the class E capitalized interest notes," S&P noted. "The downgrades reflect our view of the collateral's poor performance to date, its current characteristics, and our expectation that cumulative defaults and net losses will likely continue to increase. The trust's cash inflows are already strained due to the low levels of loans in active repayment, and there is a high cost of funds owed on the notes," S&P continued. Key Transaction Participants American Education Services, a division of the Pennsylvania Higher Education Assistance Agency, is the servicer of the private student loans. MRU Holdings Inc. (MRU) was the transaction's original sponsor and administrator. MRU filed for Chapter 7 bankruptcy on Feb. 6, 2009. The transactions documents allowed but did not require MRU as the administrator to perform or hire others to perform predefault special servicing aimed at riskier loans. "In its role as administrator, we believe MRU was actively involved in determining which loans were at greater risk for default and the implementation of what MRU deemed an appropriate servicing strategy for those particular loans. MRU also oversaw the transfer of late-stage delinquent loans to a collection agency for more rigorous collection activities. MRU's Chapter 7 bankruptcy filing constituted an event of default under the administration agreement and triggered the replacement of MRU by the backup administrator, The Bank of New York Trust Co. (BNY)," according to S&P. Contrary to what typically occurs with regard to other ABS asset classes, most student loans enter repayment several years after the loans are originated because most borrowers don't make payments while they are still in school. "We have observed that efforts aimed at educating the borrower and the co-borrower about the terms surrounding their loan prior to a student entering the repayment period after graduation typically minimize delinquencies and defaults. We believe this trust may not benefit from an improving economic environment to the same degree as other trusts if it does not have servicing efforts focused on educating and contacting the borrowers and co-borrowers early in the repayment cycle, as well as other special servicing aimed at certain borrowers who are deemed by certain transaction participants as more likely to default ("predefault special servicing")," S&P noted. Collateral and Credit Risk For the 2008-A transaction, MRU marketed, arranged, and acquired student loans through various subsidiary companies. MRU marketed the loans directly to consumers and did not involve the schools' financial aid office in the loan origination process. The funds were typically disbursed directly to the borrowers. MRU offered the loans to students enrolled in schools eligible under Title IV, Part B of the Higher Education Act of 1965 and schools that were approved by MRU's credit department. MRU primarily extended the loans in the 2008-A trust to students who were attending undergraduate and graduate programs. Generally, the underwriting process used credit scores, income, and debt burden tests, similar to factors measured when applying for other forms of consumer credit. Additionally, MRU used other criteria such as a student's self-reported grade point average (GPA) and self-reported major to determine which obligors it would extend credit to and determine the risk-based pricing of the loan. MRU typically required a cosigner if a student did not meet the minimum requirements. At issuance, the pool characteristics were: * 74.2% of the loans were cosigned. * The weighted average FICO score for the entire pool was 711. * 31.7% of the loans were made to borrowers or coborrowers with FICO scores of less than 670. * 22.0% of the loans were made to borrowers or coborrowers with FICO scores that were greater than 760. * None of the loans were originated through the school channel. * 85% of the loans were in in-school/grace status. * The weighted average of the months remaining in in-school status was approximately 24 months. S&P has typically observed that loans with comparable loan and obligor characteristics may perform: * Cosigned loans are more likely to perform better than non- cosigned loans. * Obligors with higher FICO scores are likely to perform better than obligors with lower FICO scores. * Obligors with demonstrated payment behaviors are less likely to exhibit early payment default post securitization than obligors whose loans have not entered repayment. * Loans that are originated through a school channel are less likely to experience fraud than loans that are directly originated to consumers. * Loans that receive predefault special servicing aimed at educating the borrower and co-borrower of their repayment obligations are more likely to perform better than loans that do not receive predefault special servicing. Pool Performance "As part of our analytical review and in accordance with our student loan criteria, we compare a transaction's remaining credit enhancement with our projection of remaining net losses by reviewing a trust's collateral performance and the current pool collateral characteristics, including but not limited to, gross cumulative defaults and levels of forbearance and deferments. Based on our analysis, we believe the current remaining credit enhancement for series 2008-A is commensurate with the lowered ratings," S&P stated. S&P added, "We also believe the borrowers and co-borrowers of the pool of student loans backing this transaction will likely face continued high unemployment rates that could affect their ability to find employment and make timely payments on their loans. Default Expectations and Net Loss Projections "Based on our view of the current and projected performance of this trust, we currently project lifetime cumulative defaults will be 30%-33% of the original pool balance including interest to be capitalized, which is an increase from our expectation of 12%-14% at issuance. Depending on the rating scenario, we assume future stressed recovery rates of approximately 20%-30% of the dollar amount of cumulative defaults, which results in our expectation for remaining cumulative net losses of 17%-22% of the current principal balance, including accrued interest to be capitalized," S&P noted. Projections (%) Projected lifetime cumulative defaults(1) 30-33 Recovery assumption 20-30 Projected remaining cumulative net loss(2) 17-22 (1) As a percent of the initial collateral balance including accrued interest to be capitalized. (2) As a percent of current collateral balance including accrued interest to be capitalized. Payment Structure All of the notes except the class A-1A notes were offered as floating-rate notes at a spread over three-month LIBOR. The class A-1A notes are supported by an interest rate floor agreement. According to the transactions documents, if, under the interest rate floor agreement, the three-month LIBOR rate is below a certain floor rate, the counterparty will pay the difference to the issuing entity. Merrill Lynch & Co. Inc. (A/Negative/A-1), the swap guarantor, guarantees the payment obligations of the counterparty, Merrill Lynch Capital Services, under the interest rate floor agreement. Standard & Poor's currently rates the swap guarantor higher than the revised ratings of the notes. A downgrade of the swap guarantor's rating below the ratings on the notes may prompt Standard & Poor's to further review the ratings assigned to the notes. Note Interest Rates Class Interest rate A-1A 7.4% A-1B Three-month LIBOR plus 3.0% B Three-month LIBOR plus 5.5% C Three-month LIBOR plus 7.0% D Three-month LIBOR plus 10.0% The 2008-A trust uses a senior-subordinate structure whereby the class A-1A, A-1B, B, and C notes each benefit from the subordination provided by its lower-rated classes. The initial overcollateralization was 14.25% and is required under the transaction documents to build to a target of 21.50% of the current asset balance with a floor of 12.00% of the initial asset balance. The trust also benefits from a fully funded non-amortizing 0.25% reserve account and a cash capitalization account. The cash capitalization account steps down periodically, as set out in the transaction documents. In accordance with the transaction documents, if the transaction doesn't use all of the funds in the cash capitalization account, the remaining funds will be released through the transaction waterfall in October 2011. The trust makes quarterly payments on the notes primarily from collections on a pool of private student loans. The principal payments are made sequentially, but switch to pro rata after the step-down date in October 2015 as long as cumulative gross defaults do not exceed certain specified limits. The principal payment priority switches back to sequential whenever the cumulative gross defaults exceed such limits. Each class of notes has a required credit enhancement target. When class A reaches its overcollateralization target, the class B notes can begin to receive principal; when classes A and B reach their respective targets, the class C notes can begin to receive principal; and when classes A, B, and C reach their respective targets, the class D notes can begin to receive principal. Once these credit enhancement targets are reached, principal payments will be made from the remaining available funds in reverse order to the class D, C, B, and A notes. Under certain scenarios as set out in the transaction documents, the trust will make certain principal payments to senior classes before making any interest payments due to the next lower rated class. Additionally, the trust has the ability to borrow against upcoming period's collections to pay a current period's interest payments ("next period borrowings"). Principal payable to the notes will generally be equal to the excess of the note balance over the total assets plus the amount sufficient to first reach and then maintain the required overcollateralization. The excess spread, if any, will be used to reach overcollateralization targets for each class. The unrated class E notes are paid from cash available after all required payments are made to the class A, B, C, and D notes. Accordingly, payments to the class E notes have no effect on the rated notes' credit enhancement. Any periodic interest payments not made to the class E notes are capitalized into the class E note principal balance. Break-even Cash Flow Modeling Assumptions "We ran break-even cash flows under various interest rate scenarios and rating stress assumptions. These cash flow runs provided break-even percentages that represent the projected maximum amount of remaining cumulative net losses a transaction can absorb (as a percent of the pool balance as of the cash flow cutoff date) before failing to pay full and timely interest and ultimate principal," S&P stated. These are some of the major assumptions S&P modeled as the loans enter repayment: * "We made broad assumptions to derive representative loan- level information from the information presented in the prospectus and trustee reports for purposes of our cash flow modeling," S&P stated. * Recovery rates were of 20%-30%, depending on the rating scenario. * Prepayment speeds started at approximately two CPR (constant prepayment rate, an annualized prepayment speed stated as a percentage of the current loan balance) and ramping up 1% per year to a maximum rate of four to seven CPR, depending on the rating scenario. "We held the applicable maximum rate constant for the remaining life of the deal," S&P noted. * "We also assumed that the next period borrowings would be in an amount sufficient to pay all items in items one through nine in the priority of the payment waterfall. We may review the transaction for further rating actions if the trust doesn't draw and allocate the next period borrowings in accordance with our assumptions," S&P stated. Break-even Cash Flow Modeling Results and Rating Actions "Based on our cash flow runs, which consider the collateral pool balance as of the Dec. 31, 2010, cutoff date, we projected the percentage of remaining cumulative net losses the class A through class D notes are able to absorb before experiencing a payment default. Based on the break-evens according to the cash flow runs and the remaining expected net losses of 17% to 22% (based on the current pool balance including interest to be capitalized), we lowered our ratings on the class A through class D notes to reflect our view of the current loss-coverage levels," S&P noted. Remaining Cumulative Net Losses And Rating Actions Class Original Approximate Lowered rating rating remaining based on current cumulative net loss coverage losses (%)* levels A AAA 31.5 BBB B AA 23.25 BB C A 13.50 B- D BBB 2.25 CCC- *based on the current pool balance including interest to be capitalized Standard & Poor's will continue to monitor the performance of the student loan receivables backing this transaction relative to its revised cumulative default expectations and its assessment of the credit enhancement available to each class. Ratings Lowered and Removed From CreditWatch Negative MRU Student Loan Trust 2008-A Rating Class To From A-1A BBB (sf) AAA (sf)/Watch Neg A-1B BBB (sf) AAA (sf)/Watch Neg B BB (sf) AA (sf)/Watch Neg C B- (sf) A (sf)/Watch Neg D CCC- (sf) BBB (sf)/Watch Neg NORTH STREET: S&P Lowers Class D Notes Rating From 'CCC-' to 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class D notes and affirmed its rating on the class B notes from North Street Reference-Linked Notes 2005-8 Ltd., a synthetic collateralized debt obligation (CDO) transaction. "At the same time, we withdrew our rating on the class A notes from that transaction," S&P stated. S&P continued, "We lowered the rating on the class D notes as a result of credit events in the underlying portfolio that have caused the tranche to incur a principal loss. Our affirmation on the rating on the class B notes reflects our view that the tranche has adequate credit support at the current rating level. We withdrew our rating on the class A notes following an optional swap reduction on the notes that has reduced the outstanding notional balance to zero." Rating Lowered North Street Reference-Linked Notes 2005-8 Ltd. Rating Class To From D D (sf) CCC- (sf) Rating Affirmed North Street Reference-Linked Notes 2005-8 Ltd. Class Rating B CCC- (sf) Rating Withdrawn North Street Reference-Linked Notes 2005-8 Ltd. Rating Class To From A NR CCC- (sf) NR -- Not rated. NORTH STREET: S&P Lowers Two Classes of Notes Ratings to 'D' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on the class C and C series 2 notes issued by Abacus 2005-3 Ltd., a synthetic collateralized debt obligation transaction backed by residential mortgage-backed securities, to 'D (sf)' from 'CCC- (sf)'. The downgrades follow a number of write-downs in the transaction's underlying reference portfolio that caused the tranches to incur principal losses. Ratings Lowered Abacus 2005-3 Ltd. Rating Class To From C D (sf) CCC- (sf) C series 2 D (sf) CCC- (sf) NORTH TEXAS: Moody's Withdraws Ratings for Eight Notes ------------------------------------------------------ Moody's is correcting the rating history of five variable rate demand obligation (VRDO) bank bonds issued by the North Texas Higher Education Authority, Inc. (1991-1 Indenture) and three VRDO bank bonds issued by the North Texas Higher Education Authority, Inc. (1991-2 Indenture). A full list of the affected bonds and the corrected rating history is below. When the ratings on these bank bonds were initially assigned, they were based on financial guaranty insurance policies provided by Ambac Assurance Corporation. If a structured finance security is wrapped by a financial guarantor, Moody's rating will be 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 corrections are being made to reflect the underlying intrinsic credit quality of the notes. In addition, because these securities were fully repaid on 2/24/2011, the ratings have been withdrawn as of that date. The methodology that was used in rating these transactions is "Methodology Update on Basis Risk in FFELP Student Loan-Backed Securitization," which was published in November 2008. Other methodologies and factors that may have been considered in the process of rating this issue can also be found in the Rating Methodologies sub-directory on Moody's Web site. The correct rating history for the North Texas Higher Education Authority, Inc. (1991-1 Indenture) 1991C Due 4/20-2 (Bank Bond), 2006A (Bank Bond), 2006B (Bank Bond) and 2006C (Bank Bond) is: -- 12/22/2008 Rating Assigned: Aa3 On Watch Direction Uncertain -- 1/30/2009 Rating Downgraded to Baa1 from Aa3 -- 3/3/2009 Rating Baa1 On Watch for Possible Downgrade -- 4/13/2009 Rating Downgraded to Ba3 from Baa1 -- 7/29/2009 Rating Downgraded to B3 from Ba3 -- 2/24/11 Rating B3 Withdrawn The correct rating history for the North Texas Higher Education Authority, Inc. (1991-1 Indenture) Ser. 1996A (Bank Bond) is: -- 12/22/2008 Rating Assigned Baa1 -- 3/3/2009 Rating Baa1 On Watch for Possible Downgrade -- 4/13/2009 Rating Baa1 On Watch Continued Direction Uncertain -- 7/29/2009 Rating Downgraded to B3 from Ba3 -- 2/24/11 Rating B3 Withdrawn The correct rating history for the North Texas Higher Education Authority, Inc. (1991-2 Indenture) 1991F Due 4/20 (Bank Bond) and 2006D (Bank Bond) is: -- 12/22/2008 Rating Assigned: Aa3 On Watch Direction Uncertain -- 1/30/2009 Rating Downgraded to Baa1 from Aa3 -- 3/3/2009 Rating Baa1 On Watch for Possible Downgrade -- 4/13/2009 Rating Downgraded to Ba3 from Baa1 -- 7/29/2009 Rating Downgraded to Caa1 from Ba3 -- 2/24/11 Rating Caa1 Withdrawn The correct rating history for the North Texas Higher Education Authority, Inc. (1991-2 Indenture) Ser. 1996C (Bank Bond) is: -- 12/29/2008 Rating Assigned Baa1 -- 3/3/2009 Rating Baa1 On Watch for Possible Downgrade -- 4/13/2009 Rating Baa1 On Watch Continued Direction Uncertain -- 7/29/2009 Rating Downgraded to Caa1 from Ba3 -- 2/24/11 Rating Caa1 Withdrawn OCEANVIEW CBO: S&P Lowers Rating on Class A-1B Notes to 'CC' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating on Insured Custody Receipts Related To Oceanview CBO I Ltd.'s class A-1B notes to 'CC (sf)' from 'CCC- (sf)'. "Our rating on the class A-1B custodial receipts is dependent on the higher of our ratings on (i) the underlying security, Oceanview CBO I, Ltd.'s class A-1B floating-rate notes due June 10, 2032 ('CC (sf)'); and (ii) the insurance provider, Syncora Guarantee Inc. ('NR')," S&P related. "The rating action follows our May 5, 2011, lowering of our rating on the underlying security to 'CC (sf)' from 'CCC- (sf)'. We may take subsequent rating actions on the custodial receipts due to changes in our ratings assigned to the underlying securities," S&P added. ORCHID STRUCTURED: S&P Lowers Ratings on 2 Classes of Notes to 'D' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings to 'D (sf)' from 'CC (sf)' on the class A-2 and A-3 notes from Orchid Structured Finance CDO II Ltd. "At the same time, we affirmed our 'CCC- (sf)' and 'CC (sf)' ratings on the class A-1 notes and the class B notes," S&P noted. The downgrades stem from defaults on the interest payments due on the transaction's nondeferrable classes. "Our rating affirmations reflect both the credit support available to the notes and the ability for the notes to defer on its interest payments," S&P stated. Ratings Lowered Orchid Structured Finance CDO II Ltd. Rating Class To From A-2 D (sf) CC (sf) A-3 D (sf) CC (sf) Ratings Affirmed Orchid Structured Finance CDO II Ltd. Class Rating A-1 CCC- (sf) B CC (sf) PARK AT WELLS: Moody's Affirms Rating on Housing Revenue Bonds -------------------------------------------------------------- Moody's Investors Service has affirmed the underlying rating on Travis County (TX) Housing Finance Corporation Multifamily Housing Revenue Bonds (Park at Wells Branch Apartments Project) Series 2002A at B2 and the rating on Subordinate Series 2002C at Ca. The outlook on both series remains Negative. The Series 2002B bonds have matured and the Junior Subordinate Series 2002D bonds are not rated. The Series 2002A bonds continue to be insured by National Public Finance Guarantee (formerly MBIA) and carry National's financial strength rating (Baa1, Developing). The Subordinate Series 2002C bonds are not insured. Rating Rationale The rating affirmation is based on a slight decline in debt service coverage levels, predicted improvements in surrounding rental market and the fully funded Debt Service Reserve Funds for the 2002A bonds. Park at Wells Branch is a 304-unit apartment complex composed of 18 apartment buildings, and is located in the northern section of the Austin metropolitan area in Travis County, Texas. Legal Security: The bonds are limited obligations payable solely from the revenues, receipts and security pledged in the Trust Indenture. Funds are pledged first to the payment of the principal and interest due on the Series 2002A bonds, then to the principal and interest due on the Series 2002C bonds, and last, to the principal and interest due on the Series 2002D bonds. The Indenture provides for a Debt Service Reserve Fund for each series of bonds. Strengths: -- Commitment from Community Housing Corporation of America, Inc. (CHC): CHC, the owner of the property, has contributed substantial amounts to the property to fund working capital and debt service requirements. CHC has been making contributions to the property since 2003. -- Series 2002A Reserves: Fund balances provided to Moody's by the property Trustee show the Series 2002A Debt Service Reserve Fund remains fully funded. -- Occupancy has been steadily increasing: Current occupancy reports indicate the property is 98% occupied. Challenges: -- Fund balances provided to Moody's by the Trustee show that the Series 2002C Debt Service Reserve Fund has been depleted. -- The future performance of the property remains linked to the strength of the market. Strong market demand and high occupancy rates are necessary for the property to regain financial solvency. -- Sufficiency of the Debt Service Coverage Ratio relies on owner contributions Detailed Credit Discussion The property has been experiencing financial difficulties since 2003, largely due to the weakness of the Austin multifamily rental market. Occupancy rates fell during that time and the property offered substantial concessions to tenants. The ensuing reduction in rental revenues caused the property's financial performance to deteriorate. The Series 2002C bonds first defaulted in June 2005, and subsequent debt service payments were missed on the subordinate series. As of April 2011, the Trustee reports that only the Debt Service Reserve Fund for Series 2002A bonds remains fully funded on the Series 2002A bonds. The 2002C Debt Service Reserve Fund has been depleted. CB Richard Ellis forecasts a decline in rent of 0.6% in 2011 for the Austin Multi-Housing Market. Occupancy in this submarket is forecasted to improve slightly from 93.3% in 2010 to 95% in 2011. Outlook The outlook on the bonds remains Negative. What could change the rating -- Up -- Consistent debt service payments on the Series 2002C bonds -- Replenishing the Series 2002C Debt Service Reserve Fund -- Reduced reliance on CHC contributions What could change the rating -- Down -- Drawing on the Series 2002A Debt Service Reserve Fund -- Low occupancy rates resulting in debt service coverage deterioration Principal Methodology Used The principal methodology used in this rating was "Global Housing Projects", published in July 2010. Please see ratings tab on the issuer/entity page on Moodys.com for the last rating action and the rating history. Moody's adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process. The date on which some Credit Ratings were first released goes back to a time before Moody's Investors Service's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's Investors Service provides a date that it believes is the most reliable and accurate based on the information that is available to it. PINNACLE POINT: S&P Lowers Ratings on Three Classes to 'D' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class C-1, C-2, and D notes from Pinnacle Point Funding II Ltd., a high-grade hybrid collateralized debt obligation (CDO), to 'D (sf)' from 'CC (sf)'. "We previously downgraded the three nondeferrable notes (classes A-1B, A-2, B) to 'D (sf)' on Nov. 4, 2009, due to missed interest payments. These downgrades affect the three deferrable notes from Pinnacle Point Funding II Ltd. and reflect the fact that the proceeds from the liquidation of the portfolio assets were insufficient to pay any of the rated notes in full," S&P said. Ratings Lowered Pinnacle Point Funding II Ltd. Rating Class To From C-1 D (sf) CC (sf) C-2 D (sf) CC (sf) D D (sf) CC (sf) Other Ratings Outstanding Pinnacle Point Funding II Ltd. Class Rating A-1B D (sf) A-2 D (sf) B D (sf) PNC MORTGAGE: Moody's Affirms 8 CMBS Classes of PNCMA 2000-C1 ------------------------------------------------------------- Moody's Investors Service upgraded the rating of one class and affirmed eight classes of PNC Mortgage Acceptance Corporation Commercial Mortgage Pass-Through Certificates, Series 2000-C1: -- Cl. X, Affirmed at Aaa (sf); previously on Nov 8, 2000 Definitive Rating Assigned Aaa (sf) -- Cl. E, Upgraded to Aaa (sf); previously on Sep 25, 2008 Upgraded to Aa1 (sf) -- Cl. F, Affirmed at A1 (sf); previously on Jun 30, 2010 Confirmed at A1 (sf) -- Cl. G, Affirmed at B1 (sf); previously on Jun 30, 2010 Downgraded to B1 (sf) -- Cl. H, Affirmed at Ca (sf); previously on Jun 30, 2010 Downgraded to Ca (sf) -- Cl. J, Affirmed at C (sf); previously on Jun 30, 2010 Downgraded to C (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. M, Affirmed at C (sf); previously on Jun 30, 2010 Downgraded to C (sf) Ratings Rationale The upgrade is due to the significant increase in subordination due to loan payoffs and amortization and overall stable pool performance. The pool has paid down by 25% since Moody's last review. The affirmations are due to key parameters, including Moody's loan to value ratio (LTV), Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 35% of the current balance. At last review, Moody's cumulative base expected loss was 28%. The current cumulative base expected loss represents a higher percentage of the pool than at last review due to significant pay downs since last review, even though the dollar amount of expected loss is less. At last review Moody's cumulative expected loss was $31 million compared to $29 million at this review. Moody's stressed scenario loss is 38% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodologies used in this rating were "Moody's Approach to Rating Conduit Transactions" published in September 2000 and "CMBS: Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 11 compared to 17 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated June 30, 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 April 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 90% to $83 million from $801 million at securitization. The Certificates are collateralized by 30 mortgage loans ranging in size from less than 1% to 20% of the pool, with the top ten loans representing 71% of the pool. Two loans, representing 3% of the pool, have defeased and are collateralized with U.S. Government securities. The pool faces significant refinance risk as loans representing 68% of the pool either have or will mature within the next six months. Three 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's (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Thirty-five loans have been liquidated from the pool, resulting in a realized loss of $17.4 million (18% loss severity). Eleven loans, representing 58% of the pool, are currently in special servicing. Moody's has estimated an aggregate $28 million loss (62% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for three poorly performing loans representing 8% of the pool and has estimated an aggregate $1 million 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 94% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 88% compared to 87% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 23% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.22X and 1.87X, respectively, compared to 1.20X and 1.76X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 16% of the pool balance. The largest loan is the Willow Run Business Center II Loan ($8.4 million -- 10% of the pool) which is secured by a 400,000 square foot industrial building which is 100% leased to General Motors (Moody's senior unsecured rating Ba2; stable outlook) through August 2012). At least review, General Motors announced that they would close the plant, however they in fact renewed their lease for a two year period. The loan matures on May 15, 2011. Moody's LTV and stressed DSCR are 112% and 1.01X, respectively, compared to 115% and 0.98X at last review. The second largest performing conduit loan is the Hampton Inn Maple Grove Loan ($3 million -- 12.8% of the pool), which is secured by a limited service hotel property located in Maple Grove, Minnesota. The loan is performing in-line with the prior reviews, and has benefited from amortization. Moody's LTV and stressed DSCR are 64% and 2.02X, respectively, compared to 66% and 1.95X at last review. The third largest performing conduit loan is the Oregon Portfolio Loan ($2 million -- 3% of the pool), which is secured by two cross collateralized and cross defaulted multifamily properties in Philadelphia, Pennsylvania. The current weighted average occupancy is 99% for the two properties compared with 97% at last review. The loan is performing in-line with the prior reviews, and has benefited from amortization. Moody's LTV and stressed DSCR are 61% and 1.71X, respectively, compared to 63% and 1.66X at last review. The top three specially serviced loans represent 39% of the pool. The largest loan is the Ryder Integrated Logistics Loan ($16 million -- 19% of the pool), which is secured by a 455,000 square foot industrial building located in Auburn Hills Michigan. At last review the building was 100% leased by Ryder Integrated Logistics, however it has since vacated the property the property is now real estate owned (REO). The second largest specially serviced loan is the CSC Office Building Loan ($11 million -- 13% of the pool), which is secured by 140,000 square foot office property located in Southfield Michigan. The loan transferred to special servicing due to maturity default. and is now REO. As of February 2011, the property was 35% leased compared to 71% at last review. The third largest specially serviced loan is the Avanex Building Loan ($5 million -- 6% of the pool), which is secured by a 54,000 square foot office property located in Fremont California. This loan went into payment default in 2009 and is currently REO. The property is 100% leased compared to 28% at last review. PNC MORTGAGE: Moody's Affirms 12 CMBS Classes of PNCMA 2000-C2 -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 12 classes of PNC Mortgage Acceptance Corp., Commercial Mortgage Pass-Through Certificates, Series 2000-C2: -- Cl. X, Affirmed at Aaa (sf); previously on Oct 23, 2000 Definitive Rating Assigned Aaa (sf) -- Cl. C, Affirmed at Aaa (sf); previously on Oct 10, 2006 Upgraded to Aaa (sf) -- Cl. D, Affirmed at Aaa (sf); previously on Jul 9, 2007 Upgraded to Aaa (sf) -- Cl. E, Affirmed at Aaa (sf); previously on Sep 25, 2008 Upgraded to Aaa (sf) -- Cl. F, Affirmed to Aaa (sf); previously on Sep 25, 2008 Upgraded to Aa1 (sf) -- Cl. G, Affirmed at Aa3 (sf); previously on Sep 25, 2008 Upgraded to Aa3 (sf) -- Cl. H, Affirmed at Baa1 (sf); previously on Oct 3, 2007 Upgraded to Baa1 (sf) -- Cl. J, Affirmed at B1 (sf); previously on Sep 9, 2010 Downgraded to B1 (sf) -- Cl. K, Affirmed at B3 (sf); previously on Sep 9, 2010 Downgraded to B3 (sf) -- Cl. L, Affirmed at Ca (sf); previously on Sep 9, 2010 Downgraded to Ca (sf) -- Cl. M, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to C (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 13.6% of the current balance. At last full review, Moody's cumulative base expected loss was 15.4%. Moody's stressed scenario loss is 21.9% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions," published September 2000 and "CMBS: Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 12 compared to 13 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated September 9, 2010. Deal Performance As of the April 12, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 84% to $177.3 million from $1.08 billion at securitization. The Certificates are collateralized by 28 mortgage loans ranging in size from less than 1% to 19% of the pool, with the top ten loans representing 74% of the pool. The pool does not contain any defeased loans. The pool faces significant refinance risk as loans representing 75% of the pool have either matured or will mature within the next 12 months. Eight loans, representing 19% 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's (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Seven loans have been liquidated from the pool, resulting in an aggregate realized loss of $5.7 million (15% loss severity on average). Nine loans, representing 32% of the pool, are currently in special servicing. The largest specially serviced loan is the Northside Marketplace Loan ($13.7 million -- 8% of the pool), which is secured by a 189,299 square foot (SF) retail property located in Nashville, Tennessee. The loan transferred into special servicing in January 2010 due to imminent payment default. The loan passed its anticipated repayment date (ARD) of September 1, 2010 and the borrower submitted a modification proposal which was subsequently rejected. The loan is currently tracking foreclosure. The remaining eight specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $21.9 million appraisal reduction for the specially serviced loans. Moody's has estimated an aggregate $18.7 million loss (39% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for one poorly performing loan representing 1% of the pool and has estimated a $278,968 loss (15% expected loss based on a 50% probability default) from this troubled loan. The top three conduit loans represent 37% of the outstanding pool balance. The largest loan is the AppleTree Business Park Loan ($33.3 million -- 19% of the pool), which is secured by a 435,000 SF office complex located in Cheektowaga, New York, a suburb of Buffalo. At last review, the loan was in special servicing due to imminent default. The loan has passed its September 1, 2010 ARD and is current. The property was 91% leased as of March 2011 compared to 90% at last review. Moody's LTV and stressed DSCR are 82% and 1.32X, respectively, compared to 111% and 0.98X at last review. The second largest loan is the Sweetheart Cup Distribution Center Loan ($23.6 million -- 13% of the pool), which is secured by a 1.03 million square foot industrial building located in Hampstead, Maryland. The property is fully occupied by a single tenant, Solo Cup Company, through July 2020. The loan had an ARD of October 1, 2010 but is current. Although property performance has been stable since securitization, Moody's analysis reflects a stressed cash flow due to a challenged refinance environment and Moody's concerns about single tenant exposure. Moody's LTV and stressed DSCR are 86% and 1.40X, respectively, compared to 90% and 1.34X at last review. The third largest loan is The Waterford at Portage Loan ($9.1 million -- 5.1% of the pool), which is secured by two multifamily properties located in Akron, Ohio. This loan is currently on the master servicer's watchlist due to low DSCR. At last review, property performance declined primarily due to increased operating expenses and a decline in occupancy. However, operating expenses have decreased and occupancy has improved to 93% as of December 2010 from 87% at last review. Moody's LTV and stressed DSCR are 136% and 0.76X, respectively, compared to 151% and 0.68X at last review. PPLUS TRUST: Moody's Downgrades Certificate Rating to Ba3 --------------------------------------------------------- Moody's Investors Service has downgraded these certificates issued by PPLUS Trust Series SPR-1: -- US$42,515,000 PPLUS Trust Series SPR-1 7.00% Trust Certificates; Downgraded to B1; Previously on December 3, 2010 Ba3 Placed Under Review for Possible Downgrade Ratings Rationale The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of $43,297,000 6.875% Notes due 2028 issued by Sprint Capital Corporation which were downgraded by Moody's on April 21, 2011. The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in April 2010. PREFERRED TERM: Moody's Downgrades TRUP CDO Notes ------------------------------------------------- Moody's Investors Service has downgraded the ratings on these five notes issued by Preferred Term Securities XVI, Ltd. -- US$327,250,000 Floating Rate Class A-1 Senior Notes Due 2035 (current balance of $275,059,813), Downgraded to Ba3 (sf); previously on December 22, 2009 Downgraded to Baa3 (sf); -- US$69,900,000 Floating Rate Class A-2 Senior Notes Due 2035, Downgraded to B3 (sf); previously on December 22, 2009 Downgraded to Ba3 (sf); -- US$12,000,000 Fixed/Floating Rate Class A-3 Senior Notes Due 2035, Downgraded to B3 (sf); previously on December 22, 2009 Downgraded to Ba3 (sf); -- US$63,650,000 Floating Rate Class B Mezzanine Notes Due 2035 (current balance of $64,459,491, including interest shortfall), Downgraded to C; previously on December 22, 2009 Downgraded to Ca (sf); -- US$77,650,000 Floating Rate Class C Mezzanine Notes Due 2035 (current balance of $80,651,545, including interest shortfall), Downgraded to C; previously on March 27, 2009 Downgraded to Ca (sf). In addition, Moody's upgraded the rating on this combination note issued by PreTSL Combination Trust I (for PreTSL XVI). -- US$5,000,000 Combination Certificates, Series P XVI-1 (current Moody's Ratable Balance of $2,044,186), Upgraded to Ba2 (sf); previously on April 28, 2009 Downgraded to Caa2 (sf). Ratings Rationale According to Moody's, the rating downgrade actions taken are primarily the result of an increase in the assumed defaulted amount in the underlying portfolio. The assumed defaulted amount increased by $99 million since the last rating action in December 2009. Cumulative assumed defaults now total $270 million (46. 9% of the current portfolio). All the assumed defaulted assets are carried at zero recovery in our analysis. The remaining assets in the portfolio have also shown a slight improvement, as indicated by a WARF decrease to 1374, from 1533 as of the last rating action date. Currently, 38% of the portfolio is estimated to be Ba1 or below, as determined both by using FDIC Q3-2010 financial data in conjunction with Moody's RiskCalc model to assess non-publicly rated bank and using financial data for insurance companies from Moody's Insurance Team. The par loss due to the increase in the assumed defaulted amount has resulted in loss of overcollateralization for the tranches affected and an increase of their expected losses since the last rating action. As of the latest trustee report dated March 22, 2011, the Senior Principal Coverage Test is 86. 44% (limit 128. 00%) and the Class B Mezzanine Principal Coverage Test is 72. 23% (limit 115. 00%),versus trustee reported levels from the report dated September 23, 2009 of 113. 11% and 97. 73% respectively, which were used during the last rating action. Preferred Term Securities XVI, Ltd. , issued on December 15, 2004, is a collateral debt obligation backed by a portfolio of bank and insurance trust preferred securities (the 'TRUP CDO'). On December 22, 2009, the last rating action date, Moody's downgraded four classes of notes, which were the result of the application of revised and updated key modeling assumptions, as well as the deterioration in the credit quality of the transaction's underlying portfolio. PreTSL Combination Trust I (for PreTSL XVI), issued on December 15, 2004, is a combination note security trust linked to the CDO tranches of Preferred Term Securities XVI, Ltd. The rating upgrade action on the Combination Certificates is a result of the pay down of its Moody's Ratable Balance. The Combination Certificates was originally composed of $2. 5 million of Class A-1 Notes and $2. 5 million of Income Notes. Currently, the Combination Certificates have adequate coverage from Class A-1 notes as the Class A-1 component is approximately $2. 10 million to cover the Moody's Ratable Balance of $2. 04 million. The rating of the Combination Certificates addresses the return of principal only. The credit deterioration exhibited by the TRUP CDO portfolio is a reflection of the continued pressure in the banking sector as the number of bank failures and interest deferrals of trust preferred securities issued by banks has continued to increase. In Moody's opinion, the banking sector outlook continues to remain negative. With the exception of commercial P&C insurance which remains in negative outlook, the insurance sector is stabilizing. The portfolio of this CDO is mainly composed of trust preferred securities issued by small to medium sized U. S. community banks and insurance companies that are generally not publicly rated by Moody's. To evaluate their credit quality, Moody's uses RiskCalc model, an econometric model developed by Moody's KMV, to derive credit scores for these non-publicly rated bank trust preferred securities. Moody's evaluation of the credit risk for a majority of bank obligors in the pool relies on FDIC financial data received as of Q3-2010. For non rated insurance trust preferred securities, Moody's depends on the insurance team and the insurance firms annual financial reporting to assess the credit quality of each insurance asset in the portfolio. Moody's also evaluates the sensitivity of the rated transactions to the volatility of the credit estimates, as described in Moody's Rating Methodology "Updated Approach to the Usage of Credit Estimates in Rated Transactions," October 2009. Moody's performed a number of sensitivity analyses of the results to some of the key factors driving the ratings. The sensitivity of the model results to changes in the WARF (representing a slight improvement and a slight deterioration of the credit quality of the collateral pool) was examined. If WARF is increased by 230 points from the base case of 1374, the model results in an expected loss that is one notch worse than the result of the base case for Class A-1 Notes. If the WARF is decreased by 360 points, expected losses are one notch better than the base case results. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. Moody's considers as well the structural protections in each transaction, the risk of triggering an Event of Default, the recent deal performance in the current market conditions, the legal environment, and specific documentation features. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. The principal methodologies used in rating Preferred Term Securities XVI, Ltd. and PreTSL Combination Trust I (for PreTSL XVI) were "Moody's Approach to Rating U. S. Bank Trust Preferred Security CDOs" published in June 2010, "Moody's Approach to Rating Insurance Trust Preferred Security CDOs" published in June 2010, and "Using the Structured Note Methodology to Rate CDO Combo- Notes" published in February 2004. Due to the impact of revised and updated key assumptions referenced in these rating methodologies, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, Moody's Asset Correlation, and weighted average recovery rate, may be different from the trustee's reported numbers. In particular, rating assumptions for all publicly rated corporate credits in the underlying portfolio have been adjusted for "Review for Possible Downgrade", "Review for Possible Upgrade", or "Negative Outlook". The transaction's portfolio was modeled, according to our rating approach, using CDOROM v. 2. 8 to develop the default distribution from which the Moody's Asset Correlation parameter was obtained. This parameter was then used as an input in a cash flow model using CDOEdge. CDOROM v. 2. 8 is available on moodys. com under Products and Solutions -- Analytical models, upon return of a signed free license agreement. 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. RAMP SERIES: Moody's Downgrades $28-Mil. GMAC-RFC Subprime RMBS --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of six tranches from two Subprime deals issued by Residential Funding Corporation. 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 principal methodology used in these ratings is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. Other methodologies used include "Pre-2005 US RMBS Surveillance Methodology" published in January 2011, which accounts for the deteriorating performance and outlook. Moody's final rating actions are based on current levels of credit enhancement, collateral performance and updated pool-level loss expectations. 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. Certain tranches in transactions serviced by GMAC Mortgage, LLC's (GMACM), were placed on review for possible downgrade in 2010 due to two concerns regarding the servicer's practices. Firstly, GMACM used shared custodial bank accounts for multiple RMBS transactions and secondly, GMACM had to suspend foreclosures in 25 states due to irregularities in its foreclosure processes. As GMACM is a subsidiary of C rated Residential Capital, LLC (RFC), in case of a default, losses could have been absorbed by the trusts. Since the tranches were placed on review, GMACM has eliminated the use of a common bank account across RMBS deals and set up individual accounts for each transaction. Also, GMACM has reviewed and revamped its foreclosure process, and has lifted its suspension of foreclosure sales and evictions on a case by case basis. The ratings actions are based on recent pool performance and the available credit enhancement. Moody's is not keeping these bond under further review due to the two issues highlighted above as they have been resolved. However, the state attorneys general are engaged in ongoing discussions with several servicers regarding loan modifications and foreclosure procedures. The ultimate settlement of those discussions may entail fines, loan forgiveness, cash payments to borrowers or other features that could reduce future cash flows to RMBS investors. Moody's will continue to monitor the outcome and assess future credit implications on the ratings as the situation evolves. 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: RAMP Series 2002-RS1 Trust -- Cl. A-I-5, Downgraded to Ba1 (sf); previously on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- Cl. M-I-1, Downgraded to Ca (sf); previously on Sep 27, 2010 B1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-I-2, Downgraded to C (sf); previously on Jul 9, 2009 Downgraded to Ca (sf) Issuer: RASC Series 2003-KS3 Trust -- Cl. A-I, Downgraded to Ba1 (sf); previously on Jun 21, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-II, Downgraded to Ba1 (sf); previously on Jun 21, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ca (sf); previously on Jun 21, 2010 Downgraded to Caa1 (sf) and Placed Under Review for Possible Downgrade RAMP SERIES: S&P Lowers Rating on Class M-3 Notes to 'CC' --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 15 classes from seven residential mortgage-backed securities transactions backed by U.S. first-lien high loan-to-value mortgage loan collateral issued in 2003 and 2004. "In addition, we affirmed our ratings on 41 classes from the same transactions," S&P stated. "Our review of these transactions incorporates our current and projected losses, which we based on the dollar amounts of loans currently in the transactions' delinquency, foreclosure, and real estate owned (REO) pipelines, as well as our projection of future defaults. We also incorporated cumulative losses to date in our analysis when assessing rating outcomes," S&P noted. "We derived our loss assumptions using our criteria listed in the 'Related Criteria And Research' section below. As part of our analysis, we considered the characteristics of the underlying mortgage collateral, as well as macroeconomic influences. For example, our view of the risk profile of the underlying mortgage pools influences our default projections, while our outlook for housing price declines and the health of the housing market influence our loss-severity assumptions. Furthermore, we adjusted our loss expectations for each deal based on upward trends in delinquencies," according to S&P. "To assess the creditworthiness of each class, we reviewed the individual delinquency and loss trends of each transaction for changes, if any, in our assessment of the risk characteristics and the ability to withstand additional credit deterioration. In order to maintain a 'B' rating on a class, we assessed whether, in our view, a class could absorb the remaining base-case loss assumptions we used in our analysis. In order to maintain a rating higher than 'B', we assessed whether the class could withstand losses exceeding the remaining base-case loss assumptions at a percentage specific to each rating category, up to 150% for an 'AAA' rating. For example, in general, we would assess whether one class could withstand approximately 110% of our base-case loss assumptions to maintain a 'BB' rating, while we would assess whether a different class could withstand approximately 120% of our base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in our view, withstand approximately 150% of our base-case loss assumptions under our analysis," S&P noted. "The downgrades reflect our opinion that projected credit support for the affected classes will be insufficient to cover projected losses at the previous rating levels due to increased delinquencies," said S&P. "The affirmed ratings reflect our belief that the amount of projected credit support available for these classes is sufficient to cover projected losses associated with these rating levels," S&P related. Subordination, overcollateralization (prior to its depletion), and excess spread provide credit support for the affected transactions. The underlying pool of loans backing these transactions consist of fixed- and adjustable-rate mortgage loans that are secured by first liens on one- to four-family residential properties. Rating Actions RAMP Series 2003-RZ4 Trust Series 2003-RZ4 Rating Class CUSIP To From M-2 760985YX3 B- (sf) BB (sf) M-3 760985YY1 CC (sf) CCC (sf) RAMP Series 2004-RZ1 Trust Series 2004-RZ1 Rating Class CUSIP To From M-2 760985U41 BBB+ (sf) A (sf) M-3 760985U58 CC (sf) BB (sf) RAMP Series 2004-RZ3 Trust Series 2004-RZ3 Rating Class CUSIP To From M-I-2 76112BBC3 CCC (sf) BB- (sf) M-I-3 76112BBD1 CC (sf) CCC (sf) M-II-4 76112BBM1 CCC (sf) B- (sf) Structured Asset Securities Corp. Series 2003-23H Rating Class CUSIP To From 1B2 86359AC76 CCC (sf) BB (sf) B3 86359AD26 CC (sf) CCC (sf) Structured Asset Securities Corp. Series 2003-33H Rating Class CUSIP To From 1B2 86359BAG6 CC (sf) CCC (sf) 2B2 86359BAJ0 CCC (sf) A (sf) Structured Asset Securities Corp. Series 2004-5H Rating Class CUSIP To From B1 86359BJE2 B+ (sf) AA (sf) B2 86359BJF9 CC (sf) BB- (sf) Structured Asset Securities Corp. Series 2004-12H Rating Class CUSIP To From 1B1 86359BUT6 B- (sf) AA (sf) 1B2 86359BUU3 CC (sf) CCC (sf) Ratings Affirmed RAMP Series 2003-RZ4 Trust Series 2003-RZ4 Class CUSIP Rating A-6 760985YU9 AAA (sf) A-7 760985YV7 AAA (sf) M-1 760985YW5 AA (sf) RAMP Series 2004-RZ1 Trust Series 2004-RZ1 Class CUSIP Rating A-I-6 760985T84 AAA (sf) A-I-7 760985T92 AAA (sf) A-II 760985U25 AAA (sf) M-1 760985U33 AA (sf) RAMP Series 2004-RZ3 Trust Series 2004-RZ3 Class CUSIP Rating A-I-4 76112BAY6 AAA (sf) A-I-5 76112BAZ3 AAA (sf) A-I-6 76112BBA7 AAA (sf) M-I-1 76112BBB5 AA (sf) M-I-4 76112BBE9 CC (sf) M-II-1 76112BBJ8 AA (sf) M-II-2 76112BBK5 A (sf) M-II-3 76112BBL3 BBB+ (sf) Structured Asset Securities Corp. Series 2003-23H Class CUSIP Rating 1A1 86359AB93 AAA (sf) 1A-IO 86359AC27 AAA (sf) 1A-PO 86359AC35 AAA (sf) 2A1 86359AC43 AAA (sf) 1B1 86359AC68 AA (sf) 2B1 86359AC84 CCC (sf) 2B2 86359AC92 CCC (sf) B4 86359AD42 CC (sf) Structured Asset Securities Corp. Series 2003-33H Class CUSIP Rating 1A1 86359BAA9 AAA (sf) 1A-IO 86359BAB7 AAA (sf) 1A-PO 86359BAC5 AAA (sf) 2A1 86359BAD3 AAA (sf) 2A-IO 86359BAE1 AAA (sf) 1B1 86359BAF8 CCC (sf) 2B1 86359BAH4 AA (sf) B3 86359BAK7 CC (sf) B4 86359BAM3 CC (sf) Structured Asset Securities Corp. Series 2004-5H Class CUSIP Rating A3 86359BHZ7 AAA (sf) A4 86359BJA0 AAA (sf) A-PO 86359BJD4 AAA (sf) A-IO1 86359BJB8 AAA (sf) A-IO2 86359BJC6 AAA (sf) B3 86359BJG7 CC (sf) Structured Asset Securities Corp. Series 2004-12H Class CUSIP Rating 2B1 86359BUV1 CCC (sf) 2B2 86359BUW9 CC (sf) B3 86359BUX7 CC (sf) RASC SERIES: Moody's Downgrades $66 Mil. of Subprime RMBS --------------------------------------------------------- Moody's Investors Service has downgraded the ratings of three tranches issued by Residential Asset Securities Corporation (RASC) Series 2002-KS6 Trust. The collateral backing this deal primarily consists of first-lien, fixed and adjustable-rate Subprime residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Subprime pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The principal methodology used in these ratings is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. Other methodologies used include "Pre-2005 US RMBS Surveillance Methodology" published in January 2011, which accounts for the deteriorating performance and outlook. Moody's final rating actions are based on current levels of credit enhancement, collateral performance and updated pool-level loss expectations. 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. Certain tranches in transactions serviced by GMAC Mortgage, LLC's (GMACM), were placed on review for possible downgrade in 2010 due to two concerns regarding the servicer's practices. Firstly, GMACM used shared custodial bank accounts for multiple RMBS transactions and secondly, GMACM had to suspend foreclosures in 25 states due to irregularities in its foreclosure processes. As GMACM is a subsidiary of C rated Residential Capital, LLC (RFC), in case of a default, losses could have been absorbed by the trusts. Since the tranches were placed on review, GMACM has eliminated the use of a common bank account across RMBS deals and set up individual accounts for each transaction. Also, GMACM has reviewed and revamped its foreclosure process, and has lifted its suspension of foreclosure sales and evictions on a case by case basis. The ratings actions are based on recent pool performance and the available credit enhancement. Moody's is not keeping these bond under further review due to the two issues highlighted above as they have been resolved. However, the state attorneys general are engaged in ongoing discussions with several servicers regarding loan modifications and foreclosure procedures. The ultimate settlement of those discussions may entail fines, loan forgiveness, cash payments to borrowers or other features that could reduce future cash flows to RMBS investors. Moody's will continue to monitor the outcome and assess future credit implications on the ratings as the situation evolves. 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. For more information please see www.moodys.com. 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: RASC Series 2002-KS6 Trust -- A-I-5, Downgraded to Caa3 (sf); previously on Aug 6, 2010 Downgraded to Caa1 (sf) and Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- A-I-6, Downgraded to Caa2 (sf); previously on Aug 6, 2010 Downgraded to Caa1 (sf) and Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) -- A-II, Downgraded to Caa3 (sf); previously on Jul 29, 2009 Downgraded to Caa2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) REGIONAL DIVERSIFIED: Moody's Downgrades TRUP CDO Notes Rating -------------------------------------------------------------- Moody's Investors Service downgraded the ratings on these notes issued by Regional Diversified Funding 2005-1, Ltd.: Issuer: Regional Diversified Funding 2005-1, Ltd. -- US$170,000,000 Class A-1a Floating Rate Senior Notes Due 2036 (Current Balance $114,262,857), Downgraded to B2 (sf); previously on Mar 27, 2009 Downgraded to B1 (sf); -- US$10,000,000 Class A-1b Fixed Rate Senior Notes Due 2036 (Current Balance $6,721,344), Downgraded to B2 (sf); previously on Mar 27, 2009 Downgraded to B1 (sf) -- US$70,000,000 Class A-2 Floating Rate Senior Notes Due 2036, (Current Balance $70,000,000), Downgraded to Caa3 (sf); previously on Mar 27, 2009 Downgraded to B3 (sf); -- US$79,000,000 Class B-1 Floating Rate Senior Subordinate Notes Due 2036 (Current Balance $81,706,544), Downgraded to C (sf); previously on Mar 27, 2009 Downgraded to Ca (sf); -- US$10,000,000 Class B-2 Fixed Rate Senior Subordinate Notes Due 2036 (Current Balance $11,141,959), Downgraded to C (sf); previously on Mar 27, 2009 Downgraded to Ca (sf); Ratings Rationale According to Moody's, the rating action taken today is primarily the result of an increase in the assumed defaulted amount in the underlying portfolio. The assumed defaulted amount increased by $108 million since the last rating action in March 2009. Cumulative assumed defaults now total $201 million (65% of the current portfolio). All the assumed defaulted assets are carried at zero recovery in our analysis. The remaining assets in the portfolio have shown a slight improvement, as indicated by a modeled WARF decrease to 1449, from 2244 as of the last rating action date. The par loss due to the increase in the assumed defaulted amount has resulted in loss of overcollateralization for the tranches affected and an increase of their expected losses since the last rating action. As of the latest trustee report dated January 19, 2011, the Senior Principal Coverage Test is 98. 6% (limit 125. 0%) and the Senior Subordinate Principal Coverage Test is 66. 33% (limit 104. 2%), versus the trustee report levels from the report dated January 21, 2009 of 130% and 68% respectively, which were used during the last rating action. Regional Diversified Funding 2005-1, Ltd. , issued on April 12, 2005, is a collateral debt obligation backed by a portfolio of bank trust preferred securities (the 'TRUP CDO') and TRUP CDO tranches. On March 27, 2009, the last rating action date, Moody's downgraded five classes of notes which were the result of the application of revised and updated key modeling assumptions, as well as the deterioration in the credit quality of the transaction's underlying portfolio. The credit deterioration exhibited by these portfolios is a reflection of the continued pressure in the banking sector as the number of bank failures and interest deferrals of trust preferred securities issued by banks has continued to increase. In Moody's opinion, the banking sector outlook continues to remain negative. The portfolio of this CDO is partly composed of trust preferred securities issued by small to medium sized U. S. community banks that are generally not publicly rated by Moody's. To evaluate their credit quality, Moody's derives credit scores for these non- publicly rated assets and evaluates the sensitivity of the rated transactions to their volatility, as described in Moody's Rating Methodology "Updated Approach to the Usage of Credit Estimates in Rated Transactions", October 2009. The effect of the stress testing of these credit scores varies between one and three notches, depending on the total amount and relative size of these securities in the collateral pool. To evaluate their credit quality, Moody's uses RiskCalc model, an econometric model developed by Moody's KMV, to derive credit scores for these non-publicly rated trust preferred securities. Moody's evaluation of the credit risk for a majority of obligors in the pool relies on FDIC financial data received as of Q3-2010. Moody's performed a number of sensitivity analyses of the results to some of the key factors driving the ratings. The sensitivity of the model results to changes in the WARF (representing a slight improvement and a slight deterioration of the credit quality of the collateral pool) was examined. If WARF is increased by 300 points from the base case of 1184, the model results in an expected loss that is one notch worse than the result of the base for Class A-1 Notes. If the WARF is decreased by 200 points, expected losses are one notch better than the base case results. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. Moody's considers as well the structural protections in each transaction, the risk of triggering an Event of Default, the recent deal performance in the current market conditions, the legal environment, and specific documentation features. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. The principal methodologies used in rating Regional Diversified Funding 2005-1, Ltd. , were "Moody's Approach to Rating U. S. Bank Trust Preferred Security CDOs" published in June 2010 and "Moody's Approach to Including TRUPS CDO Tranches in ABS CDOs" published in June 2006. Due to the impact of revised and updated key assumptions referenced in these rating methodologies, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, Moody's Asset Correlation, and weighted average recovery rate, may be different from the trustee's reported numbers. In particular, rating assumptions for all publicly rated corporate credits in the underlying portfolio have been adjusted for "Review for Possible Downgrade", "Review for Possible Upgrade", or "Negative Outlook". The transaction's portfolio was modeled, according to our rating approach, using CDOROM v. 2. 8 to develop the default distribution from which the Moody's Asset Correlation parameter was obtained. This parameter was then used as an input in a cash flow model using CDOEdge. CDOROM v. 2. 8 is available on moodys. com under Products and Solutions -- Analytical models, upon return of a signed free license agreement. 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. RENTAL CAR: Moody's Reviews Ratings on Asset Backed Securities -------------------------------------------------------------- Moody's has placed on review for possible upgrade two series of rental car asset backed notes issued by Rental Car Finance Corp., a special purpose entity owned by Dollar Thrifty Automotive Group, Inc. (Dollar Thrifty, B2 positive). This is prompted by an upgrade in the corporate rating of the sponsor to B2, outlook positive, from B3, outlook positive, on April 19, 2011. Complete rating actions: Issuer: Rental Car Finance Corp. Series Description: Series 2006-1 Rental Car Asset-Backed Notes Class Description: Class A Current Rating: Ba1 Placed Under Review for Possible Upgrade; previously on April 29, 2010 upgraded to Ba1 Underlying Rating: Ba1 Placed Under Review for Possible Upgrade; previously on April 29, 2010 upgraded to Ba1 Financial Guarantor: Ambac Assurance Corporation (NR; rating withdrawn on April 7, 2011) Series Description: Series 2007-1 Rental Car Asset-Backed Notes Class Description: Class A Current Rating: Ba2 Placed Under Review for Possible Upgrade; previously on April 29, 2010 upgraded to Ba2 Underlying Rating: Ba2 Placed Under Review for Possible Upgrade; previously on April 29, 2010 upgraded to Ba2 Financial Guarantor: Financial Guaranty Insurance Company (NR; rating withdrawn on March 29, 2009) The actions are motivated primarily by the strengthening credit profiles of Dollar Thrifty as the sponsor, master servicer and the directly-owned DTG Operations, Inc., as the lessee, as reflected by the upgrade of its rating to B2, positive from B3, positive. The probability of default of the sponsor, while only one of several important variables which drive Moody's ratings of rental car asset-backed securities, is the single most important factor. The principal methodology used in rating the transactions is described below. Other methodologies and factors that may have been considered in the process of rating this issue can also be found in the Research & Ratings directory, in the Rating Methodologies sub-directory on www.moodys.com. In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of its website, at www.moodys.com/SFQuickCheck. Separately, Moody's notes that following the termination of Dollar Thrifty's merger agreement with Hertz Global Holdings, Inc. (Hertz) last year after Dollar Thrifty did not obtain the requisite votes to execute its definitive merger agreement with Hertz at the special meeting of shareholders held on September 30, 2010, Dollar Thrifty and Avis Budget have been cooperating to pursue antitrust regulatory clearance of a potential acquisition of Dollar Thrifty's common stock by Avis Budget. Moody's views the potential acquisition as neutral to credit positive to Dollar Thrifty-sponsored ABS. Given the uncertainties concerning the completion of the acquisition, such as the outcome of FTC approval, Moody's will take ratings actions if the transaction comes to fruition, depending on its ultimate impact on the Dollar Thrifty-sponsored ABS. Principal Rating Methodology The primary asset backing the notes is the monthly lease payments owed by DTG Operations, Inc., and guaranteed by the sponsor under an operating lease, as well as a pool of vehicles comprising the bulk of the sponsor's daily rental car fleet, including both program vehicles (acquired vehicles subject to repurchase, or guaranteed a minimum depreciation or resale value, by the related auto manufacturer at pre-set prices) and non-program vehicles (acquired vehicles that do not benefit from such repurchase or guaranteed depreciation agreements). The vehicles are owned by a bankruptcy-remote entity, referred to as the lessor, which may also be the issuer or be an affiliate of the issuer. The sponsor and/or operating affiliates act as lessees. For quantitative analysis Moody's uses a monte carlo simulation model which simulates the potential cash flows from the vehicle assets and any additional credit enhancements and the rated obligation repayment requirements. The key factors in Moody's rating analysis include the probability of default of the sponsor, the likelihood of a bankruptcy or default by the auto manufacturers providing vehicles to the rental car fleet owned by the lessor, and the recovery rate on the rental car fleet in case the rental car sponsor defaults. Monte Carlo simulation modeling was used to assess the impact on bondholders of these variables. The default probability of the sponsor is simulated based on its current corporate probability of default rating and Moody's idealized default rates. For surveillance purposes, in the event that an upgrade above the initial rating is being considered, Moody's stresses the rating of the sponsor as lessee to provide a limited degree of de-linkage of the rated ABS from the corporate rating of the sponsor, otherwise, the current rating of the sponsor is used. All of the sponsoring rental car companies fleets include both program vehicles and non-program vehicles (also known as 'risk' vehicles). Under the terms of the simulation, in cases where the related sponsor does not default it is assumed that bondholders are repaid in full and no liquidation of the lessor's rental car fleet is necessary. In cases where the sponsor does default, the lessor's fleet must be liquidated in order to repay their secured loans to the Issuer, and ultimately the bondholders. In those cases, the default probability of the related manufacturers must also be simulated. Due to Chrysler's, Ford's and GM's high concentrations in the pool and non-investment grade ratings or non-ratings, as applicable, their defaults were simulated based on estimates for probability of default provided by Moody's corporate analysts. These default estimates differentiate between default with continued operation and default with cessation of operations. The default probability of the other manufacturers is derived from their respective ratings. For each manufacturer simulated to be in Chapter 11, Moody's further simulate whether each such manufacturer will honor its obligation with respect to program vehicles or default on that obligation. In simulating liquidation of the rental car fleet following a sponsor default, it is assumed that the portion of the program vehicle fleet associated with non-defaulting manufacturers (both non-bankrupt manufacturers and bankrupt Chapter 11 manufacturers honoring their program obligations) is returned to the related manufacturer at full book value. For the non-program (risk) fleet, as well as the portion of the program fleet associated with defaulting manufacturers not honoring obligations on their program vehicles, it is assumed the vehicles will be sold in the open market. For vehicles sold in the open market, the market value of a vehicle at time of liquidation before any haircuts are applied is estimated using market depreciation data from the National Automobile Dealers Association (NADA) for each manufacturer with vehicles in the collateral pool. In making this calculation Moody's generally assume a purchase price for program and non- program (risk) vehicles which is 10% below MSRP, to give credit to the volume discounts typically achieved by rental car companies. However, in the case of rental car ABS sponsored by Avis Budget, Moody's assumes the discount for non-program (risk) vehicles is 15% to reflect both the terms required under the transaction documentation and historic performance. In addition, Moody's assumes a delay in sale of six months and therefore net an additional six months of depreciation. This six month delay in fleet liquidation following the sponsor's default contemplates potential legal challenges to obtaining control of the fleet and the potential difficulties of marshaling and selling such a large quantity of vehicles. The base liquidation value of sold vehicles is determined by applying a base haircut to this estimated depreciated market value. The base haircut is simulated using a triangular distribution (i.e., minimum, mode, maximum) with values of (5%, 15%, 30%). The resulting calculation provides the base liquidation value. Additional haircuts may be applied to the base liquidation value depending on the manufacturer's simulated status: non-bankrupt, bankrupt Chapter 11 or bankrupt Chapter 7. No further haircuts are applied to either (i) non-program (risk) and program vehicles from non-bankrupt manufacturers or (ii) program vehicles from bankrupt Chapter 11 manufacturers who are assumed to honor their program obligations. However, in all other cases, the base liquidation value is further reduced. For bankrupt Chapter 11 manufacturers, Moody's reduces the base liquidation of their non- program (risk) vehicles and their program vehicles whose obligations are assumed not to be honored by multiplying the base liquidation value by a haircut, which is simulated using a triangular distribution with input parameters (14%, 18%, 19%). For manufacturers assumed to be in Chapter 7, Moody's reduces base liquidation value of their vehicles by multiplying the base liquidation value by a haircut, which is simulated using a triangular distribution with input parameters (25%, 35%, 50%). With respect to transaction maturity, for analytical purposes Moody's is assigning each transaction to one of three assumed maturity buckets based on its actual remaining expected maturity. If the remaining expected maturity is less than 18 months, a remaining maturity of 12 months will be assumed. If the remaining expected maturity is 18 months or more but less than 37 months, 24 months will the input to the model. If the remaining expected maturity is 37 months or more, 60 months will be assumed. This is a method of quantifying Moody's view that there is greater uncertainty regarding fleet mix by manufacturer for transactions with longer terms than for those with shorter terms. 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. RESI FINANCE: Moody's Takes Action on Synthetic Jumbo RMBS ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 75 tranches and confirmed the ratings of 20 tranches from eight synthetic jumbo deals issued by RESI. Ratings Rationale These synthetic transactions provide the owner of a sizable pool of mortgages credit protection through a credit default swap with the issuer (the "Protection Seller") of the notes. Through this agreement, the Protection Buyer pays a fee in return for the transfer of a portion of the reference portfolio credit risk. Investors in the notes have an interest in the holdings of the issuer, which include highly rated investment instruments, a forward delivery agreement and fee collections on the agreement with the Protection Buyer. Investors are exposed to losses from the reference portfolio but benefit only indirectly from cash flows from these assets. Depending on the class of notes held, investors have credit protection from subordination. The reference portfolios of these transactions include prime conforming and nonconforming fixed-rate and adjustable-rate mortgages purchased from various originators. The actions are a result of deteriorating performance of prime jumbo pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The principal methodology used in these ratings is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. Other methodologies used to estimate losses on the pools are described under "Pre-2005 US RMBS Surveillance Methodology" published in January 2011, which accounts for the deteriorating performance and outlook. To assess the ratings on the bonds,Moody's considered the level of credit enhancement available for each tranche relative to updated pool-level loss expectations. Within the senior note waterfalls, Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, principal payment waterfall, and other structural features . 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 as follows: Issuer: RESI Finance Limited Partnership 2003-A/RESI Finance DE Corporation 2003-A, Series 2003-A -- Cl. B3, Downgraded to Aa1 (sf); previously on Aug 1, 2006 Upgraded to Aaa (sf) -- Cl. B4, Downgraded to Aa2 (sf); previously on Aug 1, 2006 Upgraded to Aaa (sf) -- Cl. B5, Downgraded to A1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B6, Downgraded to A2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B7, Downgraded to A3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B8, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B9, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B10, Downgraded to Ba1 (sf); previously on Aug 1, 2006 Upgraded to A1 (sf) Issuer: RESI Finance Limited Partnership 2003-B -- Cl. B1, Downgraded to Aa1 (sf); previously on Apr 11, 2006 Assigned Aaa (sf) -- Cl. B2, Downgraded to Aa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to A2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B4, Downgraded to A3 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to Baa2 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B6, Downgraded to Baa3 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B7, Downgraded to Ba2 (sf); previously on Nov 14, 2007 Upgraded to A2 (sf) -- Cl. B8, Downgraded to Ba3 (sf); previously on Nov 14, 2007 Upgraded to A3 (sf) -- Cl. B9, Downgraded to B2 (sf); previously on Nov 14, 2007 Upgraded to Baa2 (sf) -- Cl. B10, Downgraded to Caa3 (sf); previously on Nov 14, 2007 Upgraded to Baa3 (sf) Issuer: RESI Finance Limited Partnership 2003-C/RESI Finance DE Corporation 2003-C, Series 2003-C -- Class A1 Notes, Confirmed at Aaa (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A2 Notes, Confirmed at Aaa (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A3 Notes, Confirmed at Aaa (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A4 Notes, Confirmed at Aaa (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A5 Notes, Downgraded to Aa2 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to A2 (sf); previously on Dec 14, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to A3 (sf); previously on Dec 14, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to Ba1 (sf); previously on Dec 14, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B4, Downgraded to Ba3 (sf); previously on Dec 14, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to B2 (sf); previously on Dec 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B6, Downgraded to Caa3 (sf); previously on Dec 14, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B7, Downgraded to Ca (sf); previously on Dec 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B8, Downgraded to C (sf); previously on Dec 14, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B9, Downgraded to C (sf); previously on Dec 14, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. B10, Downgraded to C (sf); previously on Dec 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: RESI Finance Limited Partnership 2003-CB1/RESI Finance DE Corporation 2003-CB1 -- Cl. B1, Downgraded to Aa1 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to Aa2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to A1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B4, Downgraded to A2 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to Baa1 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B6, Downgraded to Baa2 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade Issuer: RESI Finance Limited Partnership 2003-D RESI Finance Limited Partnership 2003-D/RESI Finance DE Corporation 2003-D -- Class A1 Notes, Confirmed at Aaa (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A2 Notes, Confirmed at Aaa (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A3 Notes, Confirmed at Aaa (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A4 Notes, Confirmed at Aaa (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A5 Notes, Downgraded to Aa2 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to A2 (sf); previously on Dec 14, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to A3 (sf); previously on Dec 14, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to Ba1 (sf); previously on Dec 14, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B4, Downgraded to Ba2 (sf); previously on Dec 14, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to B2 (sf); previously on Dec 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B6, Downgraded to Caa3 (sf); previously on Dec 14, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B7, Downgraded to Ca (sf); previously on Dec 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B8, Downgraded to C (sf); previously on Dec 14, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B9, Downgraded to C (sf); previously on Dec 14, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. B10, Downgraded to C (sf); previously on Dec 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: RESI Finance Limited Partnership 2004-A RESI Finance Limited Partnership 2004-A/RESI Finance DE Corporation 2004-A -- Class A1 Notes, Confirmed at Aaa (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A2 Notes, Confirmed at Aaa (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A3 Notes, Confirmed at Aaa (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A4 Notes, Confirmed at Aaa (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A5 Notes, Downgraded to A1 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Baa1 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to Baa3 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to B1 (sf); previously on Dec 14, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B4, Downgraded to B2 (sf); previously on Dec 14, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to Ca (sf); previously on Dec 14, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B6, Downgraded to C (sf); previously on Dec 14, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B7, Downgraded to C (sf); previously on Dec 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B8, Downgraded to C (sf); previously on Dec 14, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B9, Downgraded to C (sf); previously on Dec 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B10, Downgraded to C (sf); previously on Dec 14, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: RESI Finance Limited Partnership 2004-B RESI Finance Limited Partnership 2004-B/RESI Finance DE Corporation 2004-B -- Class A1 Notes, Confirmed at Aaa (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A2 Notes, Confirmed at Aaa (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A3 Notes, Confirmed at Aaa (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A4 Notes, Confirmed at Aaa (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A5 Notes, Downgraded to A2 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to Baa2 (sf); previously on Dec 14, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to Ba1 (sf); previously on Dec 14, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to B2 (sf); previously on Dec 14, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B4, Downgraded to Ca (sf); previously on Dec 14, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to C (sf); previously on Dec 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B6, Downgraded to C (sf); previously on Dec 14, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B7, Downgraded to C (sf); previously on Dec 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B8, Downgraded to C (sf); previously on Dec 14, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B9, Downgraded to C (sf); previously on Dec 14, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. B10, Downgraded to C (sf); previously on Dec 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: RESI Finance Limited Partnership 2004-C RESI Finance Limited Partnership 2004-C/RESI Finance DE Corporation 2004-C -- Class A1 Notes, Confirmed at Aaa (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A2 Notes, Confirmed at Aaa (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A3 Notes, Confirmed at Aaa (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A4 Notes, Confirmed at Aaa (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Class A5 Notes, Downgraded to Aa3 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B1, Downgraded to A3 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B2, Downgraded to Baa2 (sf); previously on Dec 14, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B3, Downgraded to Ba3 (sf); previously on Dec 14, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B4, Downgraded to B1 (sf); previously on Dec 14, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B5, Downgraded to Caa3 (sf); previously on Dec 14, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B6, Downgraded to Ca (sf); previously on Dec 14, 2010 A3 (sf) Placed Under Review for Possible Downgrade RESIDENTIAL REINSURANCE: S&P Rates Class 2011-2 Notes 'B-' ---------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary 'B+ (sf)', 'B- (sf)' and 'B (sf)' ratings to the Class 2011-1, 2, and 5 notes, to be issued by Residential Reinsurance 2011 Ltd. (Res Re 2011). Residential Re 2011 Ltd. is a special-purpose Cayman Islands exempted company licensed as a Class B insurer in the Cayman Islands. HSBC Bank (Cayman) Ltd., as share trustee, holds all of Res Re 2011's issued and outstanding shares in trust for charitable or similar purposes. The cedents will be United Services Automobile Assn., a reciprocal interinsurance exchange organized under the laws of Texas; USAA Casualty Insurance Co., a Texas corporation; and USAA General Indemnity Co., which are all rated AAA/Negative/--. These companies (collectively referred to as USAA) will be responsible for the quarterly payment due under the retrocession contract in place between them and Res Re 2011. Also included in the group of ceding insurers are USAA Texas Lloyd's Co. (a Texas Lloyd's plan insurer) and Garrison Property & Casualty Insurance Co., which are currently unrated. In each class of notes, the cedents will transfer a portion of their U.S. hurricane, earthquake exposure, severe thunderstorm, winter storm, and wildfire exposure via a securitization to 144A fixed-income investors. Covered losses for classes 1 and 2 will be calculated on a per occurrence basis, and for the Class 5 notes, on an annual aggregate basis. Ratings List Preliminary Ratings Assigned Residential Reinsurance 2011 Ltd. Class 2011-1 notes B+ (sf) Class 2011-2 notes B- (sf) Class 2011-5 notes B (sf) SANTANDER DRIVE: DBRS Puts BB Provisional Rating on Class E Notes ----------------------------------------------------------------- DBRS has assigned provisional ratings to these classes issued by Santander Drive Auto Receivables Trust 2011-1: -- Series 2011-1 Notes, Class A-1 rated R-1 (high) (sf) -- Series 2011-1 Notes, Class A-2 rated AAA (sf) -- Series 2011-1 Notes, Class A-3 rated AAA (sf) -- Series 2011-1 Notes, Class B rated AA (sf) -- Series 2011-1 Notes, Class C rated A (sf) -- Series 2011-1 Notes, Class D rated BBB (sf) -- Series 2011-1 Notes, Class E rated BB (sf) SANTANDER DRIVE: Moody's Assigns 'Ba2' Rating to Class E Notes -------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the notes issued by Santander Drive Auto Receivables Trust 2011-1 (SDART 2011-1). This is the first public senior/subordinated transaction of the year for Santander Consumer USA Inc. (SC USA). The complete rating actions are: Issuer: Santander Drive Auto Receivables Trust 2011-1 Cl. A-1, Assigned P-1 (sf) Cl. A-2, Assigned Aaa (sf) Cl. A-3, Assigned Aaa (sf) Cl. B, Assigned Aa1 (sf) Cl. C, Assigned A1 (sf) Cl. D, Assigned Baa2 (sf) Cl. E, Assigned Ba2 (sf) Ratings Rationale Moody's said the ratings are based on the quality of the underlying auto loans and their expected performance, the strength of the structure, the availability of excess spread over the life of the transaction, and the experience and expertise of SC USA as servicer. The principal methodology used in rating the transaction is "Moody's Approach to Rating U.S. Auto Loan-Backed Securities," published in June 2007. Moody's median cumulative net loss expectation for the SDART 2011- 1 pool is 12.0% and total credit enhancement required to achieve Aaa rating (i.e. Aaa proxy) is 43.0%. The loss expectation was based on an analysis of SC USA's portfolio vintage performance as well as performance of past securitizations, and current expectations for future economic conditions. The Assumption Volatility Score for this transaction is Low/Medium versus a Medium for the sector. This is driven by the a Low/Medium assessment for Governance due to the presence of a highly rated parent, Banco Santander (Aa2 negative outlook/P-1), in addition to the size and strength of SC USA's servicing platform. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If the net loss used in determining the initial rating were changed to 20%, 25% or 35.0%, the initial model output for the Class A notes might change from Aaa to Aa1, Aa2, and A2, respectively; Class B notes might change from Aa1 to A3, Baa3, and below B3, respectively; Class C notes might change from A1 to Ba1, B2, and below B3, respectively; Class D notes might change from Baa2 to below B3 in all three scenarios; and Class E notes might change from Ba2 to below B3 in all three scenarios. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time, rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments in this transaction. Additional research including a pre-sale report for this transaction is available at www.moodys.com. The special reports, "Updated Report on V Scores and Parameter Sensitivities for Structured Finance Securities" and "V Scores and Parameter Sensitivities in the U.S. Vehicle ABS Sector" are also available on moodys.com. SASCO 2008-C2: S&P Affirms Rating on Class A Notes at 'CC' ---------------------------------------------------------- Standard & Poor's Ratings Services affirmed its 'CC (sf)' rating on class A notes from SASCO 2008-C2 LLC, a commercial real estate collateralized debt obligation (CRE CDO) transaction. "The rating on the class A notes reflects our assessment of the transaction's exposure to the sellers, Lehman Bros. Holdings Inc. (not rated) and Lehman Commercial Paper Inc. (not rated). SASCO 2008-C2 was not structured as a true sale and title of the assets remains with the sellers. As such, the assets may be affected by Lehman Bros. Holdings Inc.'s or Lehman Commercial Paper Inc.'s bankruptcy. In addition, it is our understanding that the collateral manager for SASCO 2008-C2 is an affiliate of Lehman Bros. Holdings Inc.," S&P related. According to the trustee report dated April 26, 2011, the transaction's assets included 27 commercial real estate assets totaling $2.9 billion, including 12 commercial real loans or loan participations ($1.1 billion, 36.8%), six preferred equity securities ($1.4 billion, 47.0%), and nine mezzanine loans ($470.1 million, 16.2%) secured by the borrowers' equity interests in commercial real estate properties. The aggregate liabilities totaled $2.9 billion. SATURNS TRUST: S&P Puts 'B-' Ratings on Class A & B Units on Watch ------------------------------------------------------------------ Standard & Poor's Ratings Services placed its 'B-' ratings on SATURNS Trust No. 2003-8's $25 million class A and B units on CreditWatch with negative implications. "Our ratings on the class A and B units are dependent on our rating on the underlying security, Hertz Corp.'s 7.625% senior unsecured notes due June 1, 2012 ('B-/Watch Neg')," S&P stated. "The rating actions follow our May 9, 2011, placement of our 'B-' rating on the underlying security on CreditWatch with negative implications. We may take subsequent rating actions on the class A and B units due to changes in our ratings assigned to the underlying security," S&P related. SCORE SPC: S&P Lowers Rating on Class K Notes to 'D' ---------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class K notes issued by SCORE SPC acting for the account of MSC 2006- SRR1-BIG segregated portfolio, a collateralized debt obligation (CDO) transaction backed by commercial mortgage-backed securities (CMBS), to 'D (sf)' from 'CCC- (sf)'. The downgrade follows a number of write-downs in the transaction's underlying reference portfolio that caused the tranche to incur principal losses. SEAWALL 2006: Moody's Affirms Ratings on Five CRE CDO Classes ------------------------------------------------------------- Moody's has affirmed five classes of Notes issued by Seawall 2006- 1, Ltd., due to the stable performance of the underlying reference obligations. The key indicators of expected loss are performing within levels commensurate with the existing rating levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. -- Cl. A-2, Affirmed at Baa2 (sf); previously on Apr 28, 2010 Downgraded to Baa2 (sf) -- Cl. B, Affirmed at Baa3 (sf); previously on Apr 28, 2010 Downgraded to Baa3 (sf) -- Cl. C-1, Affirmed at Ba1 (sf); previously on Apr 28, 2010 Downgraded to Ba1 (sf) -- Cl. C-2, Affirmed at Ba1 (sf); previously on Apr 28, 2010 Downgraded to Ba1 (sf) -- Cl. X, Affirmed at Aaa (sf); previously on Sep 1, 2010 Assigned Aaa (sf) Ratings Rationale Seawall 2006-1, Ltd., is a static synthetic CRE CDO transaction backed by a credit default swap on a portfolio of commercial mortgage backed securities (CMBS) (100% of the pool balance). As of the March 31, 2011 Trustee report, the aggregate issued Note balance of the transaction is $290 million, the same as that at issuance. Moody's has identified the these parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). 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 has 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 5, the same as that at last review. The distribution of current ratings and credit estimates is as follows: Aaa-Aa3 (100% compared to 96. 7% at last review) and A1-A3 (0. 0% compared to 3. 3% 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 2. 9 years compared to 3. 9 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 variable WARR with a mean of 77% compared to 75% 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 71. 2% compared to 62. 5% 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. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, stressing the current ratings and credit estimates of the reference obligations by one notch downward negatively affects the model results by approximately 0.7 to 2.2 notches downward. 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. The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in November 2010. SEAWALL 2007-1: Moody's Affirms Ratings on 8 CRE CDO Classes ------------------------------------------------------------ Moody's has downgraded one and affirmed eight classes of Notes issued by Seawall 2007-1, Ltd. due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor (WARF) and an increase in interest shortfalls. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. -- Super Senior, Downgraded to Caa3 (sf); previously on May 6, 2010 Downgraded to Caa1 (sf) -- Cl.r A, Affirmed at Ca (sf); previously on May 6, 2010 Downgraded to Ca (sf) -- Cl.r B, Affirmed at C (sf); previously on May 6, 2010 Downgraded to C (sf) -- Cl.r C-1, Affirmed at C (sf); previously on May 6, 2010 Downgraded to C (sf) -- Cl.r D-1, Affirmed at C (sf); previously on May 6, 2010 Downgraded to C (sf) -- Cl.r E-1, Affirmed at C (sf); previously on May 6, 2010 Downgraded to C (sf) -- Cl.r C-2, Affirmed at C (sf); previously on May 6, 2010 Downgraded to C (sf) -- Cl.r D-2, Affirmed at C (sf); previously on May 6, 2010 Downgraded to C (sf) -- Cl.r E-2, Affirmed at C (sf); previously on May 6, 2010 Downgraded to C (sf) Ratings Rationale Seawall 2007-1 Ltd. is a CRE CDO transaction backed by a portfolio of reference obligations of commercial mortgage backed securities (CMBS) (91.0% of the pool balance) and real estate investment trusts (REITS) (9.0%). As of the March 31, 2011 Trustee report, the aggregate Note balance of the transaction remains to $536.3 million, the same as at issuance. Thirty reference obligtations (60% of the balance) reference CMBS bonds that have some amount of interest shortfall. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). 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 has 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 8,600 compared to 4,205 at last review. The distribution of current ratings and credit estimates is as follows: Baa1-Baa3 (9.1% compared to 20.0% at last review), Ba1-Ba3 (0.0% compared to 5.5% at last review), B1-B3 (0.0% compared to 40.0% at last review), and Caa1-C (90.9% compared to 34.5% 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 4.4 years compared to 5.4 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 3.1% compared to 8.4% 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 0.0% compared to 27.0% 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. Rated notes are particularly sensitive to changes in ratings assumptions. Holding all other key parameters static, changing the ratings assumption of each underlying asset by 1 notch upwards would result in an average rating movement on the rated tranches of 0 to 1 notches upward. 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. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in November 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. SEAWALL SPC: Moody's Affirms Rating on One CRE CDO Class -------------------------------------------------------- Moody's has affirmed one class of Notes issued by Seawall SPC -- Series 2005-2 due to the stable performance of the look-through underlying portfolio of reference obligations. The key indicators of expected loss are performing within levels commensurate with the existing rating levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. -- Cl. C-2, Affirmed at Ba1 (sf); previously on Apr 30, 2010 Downgraded to Ba1 (sf) Ratings Rationale Seawall SPC -- Series 2005-2 is direct pass-through of the Class C-2 (Underlying Class) from Seawall 2006-1, Ltd. On April 21, 2011, Moody's affirmed the Underlying Class. 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, stressing the current ratings and credit estimates of the look-through reference obligation portfolio by one notch downward negatively affects the model results by approximately 1 notch downward. 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. The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in November 2010. SEAWALL SPC: Moody's Affirms Series 2007-1 D2 Rating at 'C' ----------------------------------------------------------- Moody's has affirmed one class of Notes issued by Seawall SPC -- Series 2007-1 D2 due to the stable performance of the look-through underlying portfolio of reference obligations. The the key indicators of expected loss are performing within levels commensurate with the existing rating levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. Moody's rating action is: -- $16,000,000 Floating Rate Notes Due 2042, Affirmed at C (sf); previously on May 6, 2010 Downgraded to C (sf) Ratings Rationale Seawall SPC -- Series 2007-1 D2 is direct pass-through of the Class D-2 (Underlying Class) from Seawall 2007-1, Ltd. On May 4, 2011, Moody's affirmed the Underlying Class. 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 ratings assumptions. Holding all other key parameters static, stressing the current ratings and credit estimates of the look-through reference obligation portfolio by one notch upward postitively affects the model results by approximately 0.5 to 1 notch upward. 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. The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in November 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. SEQUOIA MORTGAGE: Moody's Downgrades $102-Mil. Of Prime Jumbo RMBS ------------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 11 tranches from the Sequoia Mortgage Trust 2003-1 transaction. The collateral backing this deal consists primarily of first-lien, adjustable rate prime jumbo residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of prime jumbo pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The principal methodology used in these ratings is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. Other methodologies used include "Pre-2005 US RMBS Surveillance Methodology" published in January 2011, which accounts for the deteriorating performance and outlook. To assess the rating implications of the updated loss levels on prime jumbo RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R) (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include fifty four different combinations comprising of six loss levels, three loss timing curves and three prepayment curves. For ratings implied Aa3 and above, an additional prepayment curve is run to assess resilience to a high prepayment scenario. The "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that varies from 3% to 5% on average. The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans with a base rate of new delinquency of 3.00%, the adjusted rate of new delinquency would be 3.03%. in addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.75 to 2.5 for current delinquencies ranging from less than 2.5% to greater than 10% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Sequoia Mortgage Trust 2003-1 -- Cl. 1A, Downgraded to A3 (sf); previously on Nov 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. 2A, Downgraded to A2 (sf); previously on Nov 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. X-1A, Downgraded to Baa1 (sf); previously on Nov 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. X-1B, Downgraded to Baa1 (sf); previously on Nov 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. X-B, Downgraded to B3 (sf); previously on Nov 2, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. X-2, Downgraded to A2 (sf); previously on Nov 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to B2 (sf); previously on Nov 2, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Caa3 (sf); previously on Nov 2, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to Ca (sf); previously on Nov 2, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-4, Downgraded to C (sf); previously on Nov 2, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-5, Downgraded to C (sf); previously on Nov 2, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade STARTS PLC: S&P Withdraws 'CCC-' Rating on Series 2007-24 Notes --------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its 'CCC- (sf)' rating on the notes from STARTS (Ireland) PLC's series 2007-24, a synthetic collateralized debt obligation (CDO) transaction. The rating withdrawal follows the full repurchase and subsequent termination of the notes. Rating Withdrawn STARTS (Ireland) PLC Series 2007-24 Rating Class To From Notes NR CCC- (sf) NR -- Not rated. STEERS HIGH-GRADE: Moody's Downgrades Five Trust Units ------------------------------------------------------ Moody's has downgraded five Trust Units issued by STEERS High- Grade CMBS Resecuritization Trust due to the deterioration in the credit quality of the underlying portfolio of reference obligations as evidenced by an increase in the weighted average rating factor and a decrease in weighted average recovery rate since last review. The rating action is the result of Moody's on- going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. -- Series 2006-1, Downgraded to Baa3 (sf); previously on May 19, 2010 Downgraded to Baa2 (sf) -- Series 2006-2, Downgraded to B2 (sf); previously on May 19, 2010 Downgraded to Ba2 (sf) -- Series 2006-3, Downgraded to B2 (sf); previously on May 19, 2010 Downgraded to Ba2 (sf) -- Series 2006-4, Downgraded to B3 (sf); previously on May 19, 2010 Downgraded to Ba3 (sf) -- Series 2006-5, Downgraded to B2 (sf); previously on May 19, 2010 Downgraded to Ba2 (sf) Ratings Rationale STEERS High-Grade CMBS Resecuritization Trust is a static synthetic CRE CDO transaction backed by a portfolio of credit default swaps referencing commercial mortgage backed securities (CMBS) (100%). All of the CMBS reference obligations were securitized in 2004 (5.0%), 2005 (87.5%), and 2006 (7.5%). Currently, 77.5% of the reference obligations are rated by Moody's. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). 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 has 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 84 compared to 21 at last review. The distribution of current ratings is as follows: Aaa (37.5% compared to 65.0% at last review), Aa1-Aa3 (30.0% compared to 20.0% at last review), A1-A3 (20.0% compared to 15.0% at last review), and Baa1-Baa3 (12.5% 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 4.2 years compared to 4.6 years at last review. WARR is the par-weighted average of the mean recovery values for the reference obligations in the pool. Moody's modeled a variable WARR with a mean of 59.1%, compared to 63.8% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the reference obligations pool (i.e. the measure of diversity). Moody's modeled a MAC of 46.6%, compared to 57.4% 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 the non-Moody's rated reference obligations' credit estimates, (nine reference obligations; 22.5% of notional amount) by one notch downward, the resulting impact negatively affects the model results between 0.46 to 1.04 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. The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in November 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. STEERS HIGH-GRADE: Moody's Downgrades Four Trust Units ------------------------------------------------------ Moody's has downgraded four Trust Units issued by STEERS High- Grade CMBS Resecuritization Trust 2 due to the deterioration in the credit quality of the underlying portfolio of reference obligations as evidenced by an increase in the weighted average rating factor and a decrease in weighted average recovery rate since last review. The rating action is the result of Moody's on- going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. -- Series 2006-6, Downgraded to B3 (sf); previously on May 19, 2010 Downgraded to Ba3 (sf) -- Series 2006-8, Downgraded to B3 (sf); previously on May 19, 2010 Downgraded to Ba3 (sf) -- Series 2006-10, Downgraded to B2 (sf); previously on May 19, 2010 Downgraded to Ba2 (sf) -- Series 2006-11, Downgraded to B3 (sf); previously on May 19, 2010 Downgraded to Ba3 (sf) Ratings Rationale STEERS High-Grade CMBS Resecuritization Trust 2 is a static synthetic CRE CDO transaction backed by a portfolio of credit default swaps referencing commercial mortgage backed securities (CMBS) (100%). All of the CMBS reference obligations were securitized in 2004 (5.0%), 2005 (87.5%), and 2006 (7.5%). Currently, 77.5% of the reference obligations are rated by Moody's. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). 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 has 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 84 compared to 21 at last review. The distribution of current ratings is as follows: Aaa (37.5% compared to 65.0% at last review), Aa1-Aa3 (30.0% compared to 20.0% at last review), A1-A3 (20.0% compared to 15.0% at last review), and Baa1-Baa3 (12.5% 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 4.2 years compared to 4.6 years at last review. WARR is the par-weighted average of the mean recovery values for the reference obligations in the pool. Moody's modeled a variable WARR with a mean of 59.1%, compared to 63.8% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the reference obligations pool (i.e. the measure of diversity). Moody's modeled a MAC of 46.6%, compared to 57.4% 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 the non-Moody's rated reference obligations' credit estimates, (nine reference obligations; 22.5% of notional amount) by one notch downward, the resulting impact negatively affects the model results between 0.93 to 1.04 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. The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in November 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. STRUCTURED ASSET: S&P Junks Ratings on Certificates --------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the certificates from Structured Asset Receivables Trust Series 2005-1 (START 2005-1). "At the same time, we removed our rating on the certificates from CreditWatch with negative implications. The transaction is collateralized by insurance settlement payments from various American International Group Inc. (AIG) insurers," S&P stated. "The downgrade reflects our view that the transaction may not be able to make its full principal payment by its stated maturity date. The START 2005-1 certificates' outstanding principal balance is $124,523,743.19 according to the most recent trustee report dated April 21, 2011. After Lehman Bros. Holdings Inc. (LBHI) filed for bankruptcy in September 2008, Goldman Sachs Mitsui Marine Derivative Products replaced Lehman Bros. Special Finance (LBSF) as the counterparty for the swap in the START 2005-1 transaction in November 2009. The funds in the escrow account for this transaction were mostly distributed as part of the Nov. 23, 2009, bankruptcy court order, which granted authorization for this change. However, $17,834 remains in escrow after the trustee withheld $118,500 to cover expenses, costs, and other indemnified amounts that the trustee incurred due to the LHBI bankruptcy filings," S&P continued. "According to the April 2011 trustee report, additional amounts may need to be withdrawn from the escrow account or withheld from future payments, depending on the amount of such expenses, costs, and indemnified amounts actually incurred. In our view, the transaction's potential to make its full principal payment by its stated maturity date is contingent upon the amount and timing of the distribution of the escrow account proceeds," S&P said. Structured Asset Receivables Trust Series 2004-1 (START 2004-1) was under a similar situation regarding the escrow account proceeds. The START 2004-1 certificates were not paid its full principal balance on its April 21, 2011, maturity date, leaving an outstanding balance of $65,205.51. The escrow account had $10,035 after the trustee withheld $126,000 to cover LHBI bankruptcy filings expenses, costs, and other indemnified amounts. The proceeds in the escrow account and proceeds withheld by trustee were not distributed to the certificateholders at stated maturity. "In our view, it is likely that START 2005-1 may have proceeds withheld on its stated maturity date and may not make its full principal payment, similar to START 2004-1," S&P added. 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 it deems necessary. Rating and CreditWatch Action Structured Asset Receivables Trust Series 2005-1 Rating Class To From Certificates CCC (sf) BBB+ (sf)/Watch Neg STRUCTURED REPACKAGED: Moody's Cuts Certificate Rating to Ba3 ------------------------------------------------------------- Moody's Investors Service has downgraded these certificates issued by Structured Repackaged Asset-Backed Trust Securities ("STRATS") Trust for Sprint Capital Corporation Securities, Series 2004-2: -- $38,000,000 6.500% STRATS, Series 2004-2, Class A-1 Certificates; Downgraded to B1; Previously on December 3, 2010 Ba3 Placed Under Review for Possible Downgrade Ratings Rationale The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of $38,000,000 6.875% Notes due 2028 issued by Sprint Capital Corporation which were downgraded by Moody's on April 21, 2011. The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in April 2010. TAXABLE WORLD: Moody's Affirms Ba1 CTL Rating of Revenue Bonds -------------------------------------------------------------- Moody's Investors Service affirmed the rating of Taxable World Headquarters Revenue Bonds, Series 1995: -- Bonds, Affirmed at Ba1; previously on Feb 28, 2008 Downgraded to Ba1 Ratings Rationale The rating was affirmed at Ba1 based on the support of the long- term triple net lease guaranteed by Owens Corning (Owens Corning; senior unsecured rating Ba1, stable outlook). This rating aligns with the current rating of Owens Corning which Moody's announced in its Credit Opinion dated April 21, 2011. The rating of Taxable World Headquarters Revenue Bonds, Series 1995 was assigned by evaluating factors determined to be applicable to the credit profile of the notes, such as: i) the nature, sufficiency and quality of historical performance information regarding the asset class as well as for the transaction sponsor; ii) an analysis of the collateral being securitized; iii) an analysis of the policies, procedures and alignment of interests of the key parties to the transaction, most notably the originator and the servicer; iv) an analysis of the transaction's governance and legal structure; and vi) a comparison of these attributes against those of other similar transactions. 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. The principal methodology used in this rating was "CMBS: Moody's Approach to Rating Credit Tenant Lease (CTL) Backed Transactions" published in October 1998. 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. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's Web site. 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. Other methodologies and factors that may have been considered in the process of rating this issue can also be found on Moody's Web site. There were no models used in the review of this transaction. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's prior full review is summarized in a press release dated December 2, 2010. Deal Performance This CTL transaction is secured by a mortgage on a three story, 400,000 square foot corporate campus in Toledo, Ohio. The lease expires on March 31, 2015. The lease payments are sufficient to fully amortize the loan during the lease term. As of November 15, 2010, the aggregate certificate balance had decreased by 82% to $15.0 million from $85.3 million at securitization. TCW ASSET: Fitch Holds Junk Ratings on 2 Classes of Notes --------------------------------------------------------- Fitch Ratings has affirmed four classes of notes issued by Diversified Asset Securitization Holdings III, L.P. (DASH III). In addition, the loss severity (LS) ratings and Outlooks are revised for two classes. The rating actions are: -- $23,969,877 class A-1L notes affirmed at 'BBBsf' ', LS revised to 'LS4' from 'LS3'; Outlook to Stable from Negative; -- $7,804,146 class A-2 notes affirmed at 'BBBsf', LS revised to 'LS4' from 'LS3'; Outlook to Stable from Negative; -- $30,000,000 class A-3L notes affirmed at 'CCsf'; -- $27,145,567 class B-1L 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 (SF PCM) 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. Fitch also considered additional qualitative factors into its analysis to conclude the rating action for the notes. Since Fitch's last rating action in March 2010, the credit quality of the collateral has remained relatively stable with approximately 8.3% of the portfolio downgraded a weighted average of 3.2 notches and 3.6% upgraded a weighted average of 1.9 notches. Approximately 63.2% of the portfolio has a Fitch derived rating below investment grade and 49.3% has a rating in the 'CCC' rating category or lower, compared to 54.8% and 41.1% respectively, at last review. These percentage increases are mainly driven by the portfolio balance declining, rather than rating migration. The affirmations of the class A-1L and A-2 notes are due to significant amortization of the classes increasing credit enhancement levels. Since Fitch's last review, the classes have received approximately $29.4 million in principal repayment, which is 48% of the amount outstanding in April 2010. The remaining balance of the notes represents 11.1% of their original balances. While the interest rate swap is expiring in July 2011, which will increase the amount of excess spread available to repay the notes, Fitch is concerned about adverse selection as the portfolio becomes more concentrated. The class A-1L and A-2 notes are currently supported by investment grade collateral. However, the credit profile of the portfolio is bar-belled, so as the transaction amortizes these senior classes could become exposed to below investment grade or even defaulted assets. Fitch has revised the Outlook on the class A-1L and A-2 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 LS rating of 'LS4' for the class A-1L and A-2 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-3L and class B-1L 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 (CE) levels to expected losses from the distressed and defaulted assets in the portfolio (rated 'CCsf' or lower). The class A-3L notes continue to receive timely accrued interest distributions. The portfolio's expected loss does exceed the credit enhancement level of the class A-3L notes; however, because of anticipate future excess spread, default does not yet appear inevitable for the class and the rating is affirmed at 'CCsf'. Interest to the class B-1L notes continues to pay in kind due to the failing class A overcollateralization test. While it is possible the class could receive distributions in the future, the extent to which expected losses exceed the class's credit enhancement indicates that default continues to appear inevitable for the class B-1L notes. DASH III is a cash flow collateralized debt obligation (CDO) that closed on June 28, 2001. The portfolio was originally selected by Asset Allocation & Management, LLC and management changed to TCW Asset Management Co. in October 2002. The portfolio is comprised of 53.3% residential mortgage-backed securities, 26% commercial asset-backed securities, 19.6% commercial mortgage-backed securities and 1.1% commercial real estate investment trusts from 1997 through 2004 vintage transactions. TCW HIGH: Fitch Affirms Junk Rating on Class IV Notes ----------------------------------------------------- Fitch Ratings has upgraded three classes and affirmed one class of notes issued by TCW High Income Partners, Ltd./Corp. (TCW HIP). Fitch has also revised or maintained Rating Outlooks and Recovery Ratings (RR): -- $3,915,940 class III-A notes upgraded to 'Asf/LS3' from 'BBsf/LS3'; Outlook to Stable from Negative; -- $9,006,662 class III-B notes upgraded to 'Asf/LS3' from 'BBsf/LS3'; Outlook to Stable from Negative; -- $14,421,865 class IV notes affirmed at 'CCCsf'; RR to 'RR1' from 'RR3'; -- $6,000,000 class Q combination securities upgraded to 'Asf' from 'BB+sf'; Outlook Stable. The upgrades of the class III-A and III-B (collectively, class III) notes and the class Q combination securities are primarily the result of the significant amortization of the capital structure since Fitch's last rating action in June 2010. The class IV notes remain susceptible to credit and market value risks in the underlying portfolio, but have improving recovery prospects. Through a combination of asset repayments, prepayments, and manager sales activity, the transaction has generated sufficient principal proceeds to repay over $66.5 million of liabilities since Fitch's last rating action. In particular, the class II-A and II-B notes, which had a combined par balance of almost $46.5 million at the time of Fitch's last rating action, have since been paid-in-full. The class III notes, meanwhile, received over $20 million in principal at the last payment date in February 2011, representing approximately 60.8% of their initial par balance. Currently, just over $12.9 million of class III notes remain outstanding, while the principal collection account holds approximately $8.6 million in proceeds according to the April 16, 2011 trustee report. Due to the complete amortization of the more-senior liabilities and the amount of principal cash currently available, in addition to the approximately $25.8 million of performing collateral remaining, the prospects for full repayment of the class III notes have improved since Fitch's last rating action. Similarly, the class Q combination securities are now more likely to achieve the IRR requirement of 6.9% to which they are rated. Fitch notes that credit and market value risks remain in the underlying portfolio. Of the performing assets, 36.8% are considered to be rated 'CCC+' or lower by Fitch. Furthermore, approximately 44.4% of the performing assets are scheduled to mature after the transaction's stated maturity date in August 2013. The ultimate disposal of these assets will potentially subject investors to market value risk. For these reasons, Fitch has affirmed the class IV notes at 'CCC'. However, Fitch's analysis shows that the total discounted future cash flows projected to be available to the class IV notes in a base-case default scenario are now between 91% and 100%, in-line with an 'RR1' on Fitch's Recovery Rating scale. Recovery Ratings are designed to provide a forward-looking estimate of recoveries on currently distressed or defaulted structured finance securities rated 'CCCsf' or below. For further details on Recovery Ratings, please see Fitch's reports 'Global Rating Criteria for Corporate CDOs' and 'Criteria for Structured Finance Recovery Ratings'. TCW HIP is a cash flow collateralized debt obligation (CDO) that closed on Aug. 16, 2001 and is managed by TCW Asset Management Company. TCW HIP exited its reinvestment period in 2006 and currently has a portfolio (excluding principal cash) that consists of 77.9% corporate bonds, 13.7% structured finance securities, and 8.4% corporate loans. The class Q combination securities receive 10.4% of proceeds to the class III-B notes, 16.7% of proceeds to the class IV notes, and 1.4% of proceeds to the preferred shares. The securities are rated to the ultimate receipt of their initial $6 million principal investment and an IRR of 6.9%. Fitch calculates that the class Q combination securities have received approximately $8.1 million in total proceeds and an IRR of 5.5% to date. The Loss Severity (LS) ratings for the class III notes indicate each 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. TERIP NO. 1: S&P Withdraws 'CCC-' Ratings on Six Classes of Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on the notes from Terip No. 1 (CDO) Ltd., a synthetic collateralized debt obligation (CDO) transaction. "We withdrew the ratings following the full repurchase and subsequent termination of the notes," S&P said. Ratings Withdrawn Terip No. 1 (CDO) Ltd. Rating Class To From A NZD NR CCC- (sf) B USD NR CCC- (sf) B SGD NR CCC- (sf) B AUD NR CCC- (sf) C USD NR CCC- (sf) C AUD NR CCC- (sf) NR -- Not rated. UNION SQUARE: Moody's Upgrades CLO Notes Ratings ------------------------------------------------ Moody's Investors Service has upgraded the ratings of these notes issued by Union Square CDO Ltd.: -- US$35,000,000 Class A-2 Floating Rate Notes Due 2015, Upgraded to Aa1 (sf); previously on September 1, 2009 Downgraded to A3 (sf); -- US$18,750,000 Class B Floating Rate Notes Due 2015, Upgraded to Baa1 (sf); previously on September 1, 2009 Downgraded to Ba2 (sf); -- US$16,000,000 Class C Floating Rate Notes Due 2015, Upgraded to B1 (sf); previously on September 1, 2009 Downgraded to Caa2 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from delevering of the Class A-1 Notes, which have ben paid down by $193 million since the rating action in September 2009. As a result of the delevering, the overcollateralization ratios of the rated notes have increased since the rating action in September 2009. As of the latest trustee report dated April 7, 2011, the Class A, Class B and Class C overcollateralization ratios are reported at 134.79%, 118.28% and 107.09%, respectively, versus August 2009 levels of 116.42%, 109.69% and 104.53%, respectively. All overcollateralization tests are currently in compliance. Credit quality of the underlying portfolio has remained stable since the rating action in September 2009. Credit quality is observed through the average credit rating (as measured by the weighted average rating factor) and the proportion of securities from issuers rated Caa1 and below. As of April 7, 2011 report, the weighted average rating factor is currently 2695 compared to 2683 in the August 2009 report, and securities rated Caa1 or lower make up approximately 6.6% of the underlying portfolio versus 7.8% in August 2009. In addition, there are currently $1.7 million of defaulted securities based on the April 2011 trustee report, compared to $11 million 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 and principal proceeds balance of $160.9 million, defaulted par of $1.7 million, a weighted average default probability of 21.56% (implying a WARF of 3560), a weighted average recovery rate upon default of 42.62%, and a diversity score of 36. 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. Union Square CDO Ltd., issued in September 2003, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 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. 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. For securities whose default probabilities are assessed through credit estimates ("CEs"), 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. 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, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2848) -- Class A-1: 0 -- Class A-2: +1 -- Class B: +2 -- Class C: +1 Moody's Adjusted WARF + 20% (4272) -- Class A-1: 0 -- Class A-2: -2 -- Class B: -2 -- Class C: -3 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 behaviour 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 Moody's assumed defaulted assets: Market value fluctuations in defaulted assets reported by the trustee may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 2) Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes an asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. 3) De-levering: The main source of uncertainty in this transaction is whether de-levering from unscheduled principal proceeds will continue and at what pace. De-levering 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. WACHOVIA BANK: Moody's Affirms 19 CMBS Classes of WBCMT 2004-C11 ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 19 classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2004-C11: -- Cl.r A-3, Affirmed at Aaa (sf); previously on May 10, 2004 Definitive Rating Assigned Aaa (sf) -- Cl.r A-4, Affirmed at Aaa (sf); previously on May 10, 2004 Definitive Rating Assigned Aaa (sf) -- Cl.r A-5, Affirmed at Aaa (sf); previously on May 10, 2004 Definitive Rating Assigned Aaa (sf) -- Cl.r A-1A, Affirmed at Aaa (sf); previously on May 10, 2004 Definitive Rating Assigned Aaa (sf) -- Cl.r X-C, Affirmed at Aaa (sf); previously on May 10, 2004 Definitive Rating Assigned Aaa (sf) -- Cl.r X-P, Affirmed at Aaa (sf); previously on May 10, 2004 Definitive Rating Assigned Aaa (sf) -- Cl.r B, Affirmed at Aaa (sf); previously on Oct 9, 2008 Upgraded to Aaa (sf) -- Cl.r C, Affirmed at Aa2 (sf); previously on Oct 9, 2008 Upgraded to Aa2 (sf) -- Cl.r D, Affirmed at A3 (sf); previously on Aug 4, 2010 Downgraded to A3 (sf) -- Cl.r E, Affirmed at Baa1 (sf); previously on Aug 4, 2010 Downgraded to Baa1 (sf) -- Cl.r F, Affirmed at Baa2 (sf); previously on Aug 4, 2010 Downgraded to Baa2 (sf) -- Cl.r G, Affirmed at Ba1 (sf); previously on Aug 4, 2010 Downgraded to Ba1 (sf) -- Cl.r H, Affirmed at B1 (sf); previously on Aug 4, 2010 Downgraded to B1 (sf) -- Cl.r J, Affirmed at Caa3 (sf); previously on Aug 4, 2010 Downgraded to Caa3 (sf) -- Cl.r K, Affirmed at Ca (sf); previously on Aug 4, 2010 Downgraded to Ca (sf) -- Cl.r L, Affirmed at Ca (sf); previously on Aug 4, 2010 Downgraded to Ca (sf) -- Cl.r M, Affirmed at C (sf); previously on Aug 4, 2010 Downgraded to C (sf) -- Cl.r N, Affirmed at C (sf); previously on Aug 4, 2010 Downgraded to C (sf) -- Cl.r O, Affirmed at C (sf); previously on Aug 4, 2010 Downgraded to C (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 3.8% of the current balance. At last review, Moody's cumulative base expected loss was 3.7%. Moody's stressed scenario loss is 10.5% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodologies used in this rating were: "CMBS: Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005 and "CMBS: Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 11 compared to 12 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated August 4, 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 April 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 22% to $809.3 million from $1.04 billion at securitization. The Certificates are collateralized by 51 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten non- defeased loans representing 55% of the pool. Six loans, representing 17% of the pool, have defeased and are secured by U.S. Government securities. Defeasance at last review represented 16% of the pool. The pool contains three loans with investment grade credit estimates, representing 19% of the pool. Thirteen loans, representing 23% 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'S (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. The pool has not realized any losses to date. Currently four loans, representing 6% of the pool, are in special servicing. The largest specially serviced loan is the Bay City Mall Loan ($23.2 million -- 2.9% of the pool), which is secured by a 351,194 square foot (SF) mall located in Bay City, Michigan. The loan was transferred to special servicing in April 2009 as part of General Growth Properties (GGP) bankruptcy filing. After the borrower's loan modification proposal was rejected, the property became REO in February 2011 via a deed-in-lieu of foreclosure. The remaining three specially serviced properties are secured by a mix of property types. Moody's estimates an aggregate $14.5 million loss for the specially serviced loans (30% expected loss on average). Moody's has assumed a high default probability for one poorly performing loan representing 0.3% of the pool and has estimated a $388,822 loss (33% expected loss based on a 50% probability default) for this troubled loan. Moody's was provided with full or partial year 2010 operating results for 93% of the non-defeased pool. Excluding specially serviced, troubled and defeased loans and loans with credit estimates, Moody's weighted average LTV is 89% compared to 87% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 7% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.1%. Excluding specially serviced, troubled and defeased loans and loans with credit estimates, Moody's actual and stressed DSCRs are 1.40X and 1.18X, respectively, compared to 1.54X and 1.17X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit estimate is the Four Seasons Town Centre Loan ($83.0 million -- 10.3% of the pool), which is secured by a 928,410 SF GGP mall that dominates the Greensboro, North Carolina market. Major tenants include JC Penney (24% of the net rentable area (NRA); lease expiration Agust 31, 2014) and Belk (23% of the NRA; lease expiration January 31, 2014). The mall is shadow anchored by Dillard's (lease expiration November 30, 2050). As of December 2010 the property was 93% leased, the same as at last review. The loan's maturity date was extended 3.5 years to June 2017 as part of the restructuring of the loan as part of the GGP's bankruptcy plan. Performance has been stable. Moody's credit estimate and stressed DSCR are A3 and 1.52X, respectively, the same as at last review. The second largest loan with a credit estimate is the Starrett- Lehigh Building Loan ($54.2 million -- 6.7% of the pool), which is secured by a 2.4 million SF class B office building located in the Chelsea neighborhood of New York City. The loan represents a 37.5% pari-passu interest in a $144.4 million A-note. The property is also encumbered by a B-note and mezzanine debt. The property is currently under contract for sale to RXR Realty for $900 million. The property was 93% leased in February 2011, the same as at last review and an increase from 74% at securitization. Performance has improved due to the realization of rent steps in the most recent financial statements. Moody's credit estimate and stressed DSCR are Aaa and 2.78X, respectively, compared to Aa2 and 2.45X at last review. The third largest loan with a credit estimate is the University Mall Loan ($17.9 million -- 2.2% of the pool), which is secured by a 653,558 SF mall located in Tuscaloosa, Alabama. Major tenants include Belk (26% of the NRA; lease expiration August 19, 2015) and JC Penney (15% of the NRA; lease expiration August 9, 2015). The property is the dominant mall in the market. As of December 2010, the mall was 97% leased, the same as at last review and securitization. Property performance has improved since last review but Moody's is concerned that the recent storms that hit this area will have a negative short term impact on property performance. The property sustained limited tornado damage and the borrower will be filing an insurance claim but the mall was re- opened, albeit with shortened hours, two weeks ago. Moody's credit estimate and stressed DSCR are Aa3 and 2.29X, respectively, compared to Aa3 and 1.85X at last review. The top three conduit loans represent 25% of the pool. The largest conduit loan is the Brass Mill Center & Commons Loan ($107.6 million -- 13.3% of the pool), which is secured by a GGP 864,187 SF enclosed mall and outdoor community center located in Waterbury, Connecticut. Major tenants include JC Penney (15% of the NRA; lease expiration September 30, 2017) and Burlington Coat Factory (11% of the NRA; lease expiration January 31, 2015). The property is shadow anchored by Macy's and Sears. Although property performance has been stable, Moody's analysis reflects a significant improvement because our previous review incorporated a stressed cash flow due to conerns about the retail sector. In-line tenant sales in 2010 increased to $296 PSF from $238 PSF in 2009. Moody's LTV and stressed DSCR are 71% and 1.38X, respectively, compared to 90% and 1.08X at last review. The second largest conduit loan is the Bank of America Tower Loan ($70.3 million -- 8.7% of the pool), which is secured by a 697,341 SF office building located in Jacksonville, Florida. As of February 2011, the property was 67% leased compared to 71% in December 2009. Bank of America, the building's largest tenant, downsized to 96,759 SF (14% of the NRA) from 188,032 SF (27% of the NRA) upon extension of its lease in July 2009. Additional tenant leases accounting for 25% of the NRA expire within the next 24 months. The loan is on the master servicer's watchlist due to low occupancy. Moody's LTV and stressed DSCR are 110% and 0.93X, respectively, compared to 94% and 1.10X at last review. The third largest conduit loan is the Amargosa Commons Shopping Center Loan ($27.7 million -- 3.4% of the pool), which is secured by a 173,302 SF retail center located in Palmdale, California. Major tenants include TJ Maxx (16% of the NRA; lease expiration October 31, 2013) and Bed Bath & Beyond (12% of the NRA; lease expiration January 31, 2014). As of December 2010, the property was 72% leased. Circuit City previously occupied 19% of the NRA but vacated after the company's bankruptcy filing and subsequent liquidation. The borrower has not filled the space vacated by Circuit City and the remaining cash flow from the property has not been sufficient to cover debt service. However, the borrower has continued to fund the debt service and the loan has remained current. The loan is on the master servicers watchlist due to low occupancy and debt service coverage. Moody's LTV and stressed DSCR are 149% and 0.64X, respectively, the same as at last review. WACHOVIA BANK: Moody's Affirms 23 CMBS Classes of WBCMT 2007-C32 ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 23 classes of Wachovia Bank Commercial Mortgage Trust Commercial Securities Pass-Through Certificates, Series 2007-C32: -- Cl.r A-2, Affirmed at Aaa (sf); previously on Jul 19, 2007 Definitive Rating Assigned Aaa (sf) -- Cl.r A-PB, Affirmed at Aaa (sf); previously on Jul 19, 2007 Definitive Rating Assigned Aaa (sf) -- Cl.r IO, Affirmed at Aaa (sf); previously on Jul 19, 2007 Definitive Rating Assigned Aaa (sf) -- Cl.r A-3, Affirmed at Aa3 (sf); previously on Jun 22, 2010 Downgraded to Aa3 (sf) -- Cl.r A-4FL, Affirmed at Aa3 (sf); previously on Jun 22, 2010 Downgraded to Aa3 (sf) -- Cl.r A-1A, Affirmed at Aa3 (sf); previously on Jun 22, 2010 Downgraded to Aa3 (sf) -- Cl.r A-MFL, Affirmed at Baa1 (sf); previously on Jun 22, 2010 Downgraded to Baa1 (sf) -- Cl.r A-J, Affirmed at B2 (sf); previously on Jun 22, 2010 Downgraded to B2 (sf) -- Cl.r B, Affirmed at B3 (sf); previously on Jun 22, 2010 Downgraded to B3 (sf) -- Cl.r C, Affirmed at Caa2 (sf); previously on Jun 22, 2010 Downgraded to Caa2 (sf) -- Cl.r D, Affirmed at Caa3 (sf); previously on Jun 22, 2010 Downgraded to Caa3 (sf) -- Cl.r E, Affirmed at Ca (sf); previously on Jun 22, 2010 Downgraded to Ca (sf) -- Cl.r F, Affirmed at Ca (sf); previously on Jun 22, 2010 Downgraded to Ca (sf) -- Cl.r G, Affirmed at Ca (sf); previously on Jun 22, 2010 Downgraded to Ca (sf) -- Cl.r H, Affirmed at C (sf); previously on Jun 22, 2010 Downgraded to C (sf) -- Cl.r J, Affirmed at C (sf); previously on Jun 22, 2010 Downgraded to C (sf) -- Cl.r K, Affirmed at C (sf); previously on Jun 22, 2010 Downgraded to C (sf) -- Cl.r L, Affirmed at C (sf); previously on Jun 22, 2010 Downgraded to C (sf) -- Cl.r M, Affirmed at C (sf); previously on Jun 22, 2010 Downgraded to C (sf) -- Cl.r N, Affirmed at C (sf); previously on Jun 22, 2010 Downgraded to C (sf) -- Cl.r O, Affirmed at C (sf); previously on Jun 22, 2010 Downgraded to C (sf) -- Cl.r P, Affirmed at C (sf); previously on Jun 22, 2010 Downgraded to C (sf) -- Cl.r Q, Affirmed at C (sf); previously on Jun 22, 2010 Downgraded to C (sf) Ratings Rationale The affirmations are due to key rating parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 12.3% of the current balance. At last review, Moody's cumulative base expected loss was 13.0%. Moody's stressed scenario loss is 33.4% of the current balance. Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodology used in this rating was: "CMBS: Moody's Approach to Rating U.S. Conduit Transactions" published in September 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.50 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 33, compared to 31 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated June 22, 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 April 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 2% to $3.74 billion from $3.82 billion at securitization. The Certificates are collateralized by 143 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans representing 45% of the pool. The pool faces significant refinance risk as loans representing 17% of the current pool balance mature within the next 24 months. Almost all of these loans have a Moody's stressed DSCR less than 1.00X. Fifty-two 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's (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Two loans have been liquidated from the pool, resulting in an aggregate $3.5 million realized loss (1% loss severity on average). Currently there are 18 loans in special servicing, representing 22% of the pool. The largest specially serviced loan is the Beacon D.C. & Seattle Pool ($345.5 million -- 9.2%), which is secured by 19 office properties located in Washington, Virginia and Washington, DC. The portfolio totals 9.2 million square feet (SF). The loan was transferred to special servicing in April 2010 for imminent default. The loan has been recently modified and is current. The modification includes a five-year extension and a coupon reduction along with an unpaid interest accrual feature, and a waiver of the yield maintenance period in order to permit property sales. Market Square, a 604,000 SF office building located in Washington, D.C. was sold in March 2011 while the sale of two other properties (Liberty Place and 1300 North 17th Street) are pending. The remaining seventeen specially serviced loans are secured by a mix of the property types. The loans are either real estate owned (REO), in the process of foreclosure or 90+ days delinquent. The master servicer has recognized an aggregate $221.7 million appraisal reduction for twelve specially serviced loans. Moody's has estimated an aggregate $324.7 million loss (39% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 14 poorly performing loans representing 10% of the pool and has estimated an aggregate $54.4 million loss (15% expected loss based on a 50% probability default) from this troubled loans. Based on the most recent remittance statement, Classes B through S have experienced cumulative interest shortfalls totaling $11.0 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's was provided with full year 2009 and full or partial year 2010 operating results for 95% and 93% of the pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 128% compared to 131% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 10% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.27X and 0.82X, respectively, compared to 1.27X and 0.81X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing loans represent 19% of the pool balance. The largest performing loan is the ING Hospitality Pool ($283.8 million - 7.6%), which represents a pari passu interest in a $567.7 million first mortgage. The loan is secured by 46 hotels located in 18 states. Performance has improved since last review due to higher revenues and is in line with Moody's prior review, which reflected Moody's expectation of improved future performance. The portfolio's occupancy and RevPAR for the trailing 12-month period ending September 31, 2010 were 74% and $76.5, respectively, compared to 67% and $70 at last review. The loan is interest only for its entire five year term. Moody's LTV and stressed DSCR are 140% and 0.89X, respectively, the same as at last review. The second largest performing loan is the DDR Southeast Pool ($221.3 million -- 5.9%), which represents a pari passu interest in an $885.0 million first mortgage. The loan is secured by 52 anchored retail properties located in ten states. The portfolio was 87% leased as of October 2010 compared to 91% at last review. Overall performance has declined due to lower revenues. The loan is interest only for its entire 10 year term. Moody's LTV is and stressed DSCR are 127% and 0.76X, respectively, compared to 119% and 0.82X at last review. The third largest performing loan is the Two Herald Square Loan ($200.0 million -- 5.4%), which is secured by a 359,248 SF Class B office and retail building located in the Penn Station submarket of New York City. The property is also encumbered with a $50.0 million subordinate note. The largest tenants include Publicis USA Holdings (32% of the net rentable area (NRA); lease expiration August 2016) and H&M (19% of the NRA; lease expiration January 2017). As of September 2010 the property was 99% leased, the same as last review. Performance has improved due to higher revenues. The loan is interest only for its entire 10 year term. Moody's LTV and stressed DSCR are 129% and 0.74X, respectively, compared to 159% and 0.59X at last review. WACHOVIA BANK: Moody's Affirms 21 CMBS Classes Ratings ------------------------------------------------------ Moody's Investors Service (Moody's) affirmed the ratings of 21 classes of Wachovia Bank Commercial Mortgage Securities Inc., Commercial Mortgage Pass-Through Certificates, Series 2005-C17: -- Cl. A-2, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-PB, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. X-P, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. X-C, Affirmed at Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-J, Affirmed at Aa2 (sf); previously on Jul 21, 2010 Downgraded to Aa2 (sf) -- Cl. B, Affirmed at A2 (sf); previously on Jul 21, 2010 Downgraded to A2 (sf) -- Cl. C, Affirmed at A3 (sf); previously on Jul 21, 2010 Downgraded to A3 (sf) -- Cl. D, Affirmed at Baa2 (sf); previously on Jul 21, 2010 Downgraded to Baa2 (sf) -- Cl. E, Affirmed at Ba1 (sf); previously on Jul 21, 2010 Downgraded to Ba1 (sf) -- Cl. F, Affirmed at Ba3 (sf); previously on Jul 21, 2010 Downgraded to Ba3 (sf) -- Cl. G, Affirmed at B3 (sf); previously on Jul 21, 2010 Downgraded to B3 (sf) -- Cl. H, Affirmed at Caa2 (sf); previously on Jul 21, 2010 Downgraded to Caa2 (sf) -- Cl. J, Affirmed at Caa3 (sf); previously on Jul 21, 2010 Downgraded to Caa3 (sf) -- Cl. K, Affirmed at Ca (sf); previously on Jul 21, 2010 Downgraded to Ca (sf) -- Cl. L, Affirmed at C (sf); previously on Jul 21, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Jul 21, 2010 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on Jul 21, 2010 Downgraded to C (sf) -- Cl. O, Affirmed at C (sf); previously on Jul 21, 2010 Downgraded to C (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 5.1% of the current balance. At last review, Moody's cumulative base expected loss was 5.3%. Moody's stressed scenario loss is 11.2% of the current balance. The current cumulative base expected loss is slightly higher than the prior review Moody's provides a current list of base and stress scenario losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's 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. The principal methodology used in this rating was "CMBS: Moody's Approach to Rating Fusion Transactions" published in April 2005, which is available on Moody's website at www.moodys.com. 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 (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 and B2, the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the 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 42 compared to 41 at last 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated July 21, 2010. Moody's Investors Service received and took into account one or more third party due diligence report(s) on the underlying assets or financial instruments in this transaction and the due diligence report(s) had a neutral impact on the ratings. Deal Performance As of the April 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 13% to $2.362 billion from $2.724 billion at securitization. The Certificates are collateralized by 207 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans representing 30% of the pool. Twenty-four loans, representing 11% of the pool, have defeased and are collateralized by U.S. Government securities. The pool includes three loans, representing 6% of the pool, with investment grade credit estimates. The pool faces near-term refinancing risk as 13 loans, representing 9% of the pool, mature within the next twelve months. Thirty-six loans, representing 16% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Four loans have been liquidated from the pool since securitization, resulting in a $6.8 million loss (average 14% loss severity). The pool had experienced an aggregate $4.5 million loss at last review. Twenty-eight loans, representing 11% of the pool, are currently in special servicing. The largest specially serviced loan is the Olympia Portfolio Loan ($56.4 million -- 2.4% of the pool), which is secured by 23 loans secured by 22 anchored retail properties and two office properties that are cross collateralized and cross defaulted and located in Florida and Georgia. Seven of the loans, representing 26% of the allocated loan balance, have defeased and are collateralized by U.S. Government securities. Twenty of the properties, representing 88% of the allocated loan balance, are anchored by the Walgreen Company (senior unsecured rating A2, stable outlook). This loan was transferred to special servicing March 2011 due to monetary default. The 27 remaining specially serviced loans are secured by a mix of property types. The master servicer has recognized $51.8 million in appraisal reductions for eight of the specially serviced loans. Moody's has estimated an aggregate $50.2 million loss (33% expected loss on average) for all of the specially serviced loans. As of the most recent remittance statement date, the transaction has experienced unpaid accumulated interest shortfalls totaling $2.9 million affecting Classes M 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 has assumed a high default probability for 22 poorly performing loans representing 10% of the pool and has estimated a $34.6 million loss (16% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 operating results for 85% of the pool and partial year 2010 results for 29% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 90% versus 94% at last full review. Moody's net cash flow reflects a weighted average haircut of 10.4% 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 1.52X and 1.22X, respectively, compared to 1.48X and 1.14X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit estimate is the Tharaldson Pool 1-B Loan ($63.8 million -- 2.7% of the pool), which is secured by the borrower's leasehold interest in 13 limited service hotels located in Nevada, Texas, California, Oklahoma, New York and Pennsylvania. Performance has been stable since last review. The loan sponsor is Gary Tharaldson. The loan benefits from a 20-year amortization schedule and has amortized 3% since last review. Moody's credit estimate and stressed DSCR are A2 and 2.08X, respectively compared to A2 and 1.99X at last review. The second largest loan with a credit estimate is the Tharaldson Pool 1-A Loan ($46.2 million -- 2.0% of the pool), which is secured by fee interests in 14 limited service hotels and fee interests in the land supporting an additional 13 limited service hotels. Each land parcel is leased to borrowers in the Tharaldson 1-B Pool, which is included in the trust. Performance has been stable since last review. The loan sponsor is Gary Tharaldson. The loan benefits from a 20-year amortization schedule and has amortized 3% since last review. Moody's credit estimate and stressed DSCR are A2 and 2.21X, respectively compared to A2 and 1.87X at last review. The third largest loan with a credit estimate is the 200 Varick Street Loan ($27.0 million -- 1.1% of the pool), which is secured by a 400,061 square foot (SF) Class B office building located in the Hudson Square office submarket of New York City. The largest tenant is Cardinia Real Estate LLC (57% of the net rentable area (NRA) whose lease expires June 2020 and Nysarc, Inc. (10% of the NRA) whose lease expires in 2019). As of September 2010, the property was 99% leased, the same as at last review. The loan is interest-only for the entire 10-year loan term. Moody's credit estimate and stressed DSCR are Aa2 and 2.01X, respectively compared to Aa2 and 1.91X at last review. The top three performing conduit loans represent 17% of the pool balance. The largest loan is the One and Two International Place Loan ($202.5 million -- 8.6% of the pool) which represents a 50% pari passu interest in a $405.5 million first mortgage loan. The loan is secured by two Class A office buildings totaling 1,852,501 SF, located in the Financial District office submarket of Boston, Massachusetts. The largest tenants include Easton Vance Management (17% of the NRA) whose lease expires May 2024; Choate Hall and Stewart (10% of the NRA) whose lease expires September 2015 and Proskauer Rose (4.1% of the NRA) who lease also expires September 2015. Current occupancy is 72% following the year-end 2010 lease expiration of Ropes & Gray LLP (19% of the NRA) compared to 90% at last review. Despite the drop in occupancy, performance has improved since last review. Moody's LTV and stressed DSCR are 77% and 1.16X, respectively compared to 81% and 1.1X at last full review. The second largest loan is the Digital Realty Trust Portfolio Loan ($140.6 million -- 6.0% of the pool) which is secured by six office properties located in five states. The properties were 96% leased as of September 2010 compared to 97% at last review. Both net operating income (NOI) and occupancy have increased since securitization. The loan sponsor is Digital Realty Trust, a publicly traded REIT. Moody's LTV and stressed DSCR are 49% and 2.2X, respectively, compared to 58% and 1.85X at last full review. The third largest loan is the MetroPlace III & IV Loan ($51.6 million -- 2.2% of the pool), which is secured by two Class A office towers, totaling 325,328 SF, located in Fairfax, Virginia. As of September 2010, the property was 99% leased, the same as at last review. The largest tenants include GSA-INS (31% of the NRA) who lease expires February 2014; GSA-DEA (22% of the NRA) who lease expires February 2015; and Lockheed Martin (21% of the NRA) who lease expires January 2013. The property's NOI has increased steadily since securitization. Moody's LTV and stressed DSCR are 72% and 1.4X, respectively, compared to 77% and 1.3X at last review. WACHOVIA BANK: Moody's Affirms Junk Rating on Class K of Certs. --------------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of two classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-WHALE 6. Moody's rating action is: -- Cl. K, Affirmed at Caa2 (sf); previously on Jul 14, 2010 Downgraded to Caa2 (sf) -- Cl. X-1B, Affirmed at Aaa (sf); previously on Oct 24, 2005 Definitive Rating Assigned Aaa (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR) remaining within acceptable ranges. 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. The principal methodology used in this rating was "Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of 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 (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated July 14, 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 April 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased to $18 million from $68 million at last review and $1.1 billion at securitization. The one remaining loan in the pool was transferred to special servicing on May 25, 2010 due to imminent default but remains current. The final maturity date was July 9, 2010. The loan is currently in the first forbearance period (until July 9, 2011) with another 12 month forbearance period available at lender's discretion (until July 9, 2012). The 230 Peachtree Loan ($18 million - 100% of the trust balance) is secured by a 414,768 square foot Class A office building located in downtown Atlanta, GA. The building was completed in 1965 and renovated in 1997. The collateral consist of office, ground floor retail and below grade parking. The $28 million mortgage loan includes a $10 million non-trust junior component. The loan sponsor is Southcoast Capital Management Corporation. The property's net cash flow (NCF) for 2010 was $1.9 million. According to the rent roll dated March 31, 2011, the building is 68% leased. Moody's NCF is $1.7 million, same as last review. An updated appraisal dated September 30, 2010 valued the property at $24.4 million. Moody's trust loan to value (LTV) ratio is 104% compared to 85% at last review. Moody's stressed debt service coverage ratio (DSCR) for the trust is at 1.04X compared to 1.14X at last review. Since last review, the larger of the two remaining loan has paid off, retiring the senior classes and reducing principal balance of Class K. There is an outstanding interest shortfall totaling $1,067 and cumulative loss of $3,750 affecting Class K. WACHOVIA BANK: S&P Affirms Rating on Class L Certs. at 'BB' ----------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on six classes of commercial mortgage pass-through certificates from Wachovia Bank Commercial Mortgage Trust's series 2005-WHALE5, a U.S. commercial mortgage-backed securities (CMBS) transaction. "The affirmations follow our analysis of the transaction, which included our revaluation of the remaining real estate owned (REO) asset in the trust. Our revised valuation is comparable with the valuation we arrived at during our July 31, 2009, review," S&P noted. "We affirmed our ratings on the class X-1B, X-1C, and X-2 interest only (IO) certificates based on our current criteria," S&P said. The remaining exposure in the pool, the Lightstone Pool 2, consists of a 580,300-sq.-ft. regional mall in Lake Jackson, Texas, and a 322,200-sq.-ft. regional mall in Shawnee, Okla. This exposure has a total balance of $38.1 million that consists of an in-trust senior participation interest of $28.7 million (as of the April 15, 2011, trustee remittance report) and a nontrust subordinate junior participation interest of $9.4 million. The asset was transferred to the special servicer, Wells Fargo N.A., on Dec. 8, 2009, for imminent default and became REO on March 1, 2011. Wells Fargo is currently working on leasing up the retail properties and indicated that the subordinate junior participation interest will absorb any special servicing and/or workout fees related to this exposure before affecting the rated certificates. "We based our analysis, in part, on a review of the borrower's operating statements for the year ended Dec. 31, 2010. Our adjusted valuation, which yielded an in-trust stressed loan-to- value ratio of 71.2%, is comparable with our last review. The master servicer, also, Wells Fargo, reported a combined debt service coverage of 2.14x for the 12 months ended Dec. 31, 2010, and a combined occupancy of 78.1%, according to the February 2011 and March 2011 rent rolls," S&P added. Ratings Affirmed Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2005-WHALE5 Class Rating Credit enhancement (%) J AAA (sf) 77.13 K A (sf) 37.55 L BB (sf) 0.00 X-1B AAA (sf) N/A X-1C AAA (sf) N/A X-2 AAA (sf) N/A N/A -- Not applicable. WACHOVIA BANK: S&P Lowers Ratings on 5 Classes of Certs. to 'D' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 14 classes of commercial mortgage pass-through certificates from Wachovia Bank Commercial Mortgage Trust's series 2005-C18, a U.S. commercial mortgage-backed securities (CMBS) transaction. "Concurrently, we affirmed our 'AAA (sf)' ratings on seven other classes and withdrew our 'AAA (sf)' rating on the class A-2 certificate from the same transaction," S&P stated. "Our rating actions follow our analysis of the transaction primarily using our U.S. conduit and fusion CMBS criteria. Our downgrades reflect credit support erosion that we anticipate will occur following the resolution of three of the four assets with the special servicer. We also considered the monthly interest shortfalls that are affecting the trust. We lowered our ratings on the class K, L, M, N, and O certificates to 'D (sf)' because we expect interest shortfalls to continue and because we believe the accumulated interest shortfalls will remain outstanding for the foreseeable future," S&P related. "We withdrew our 'AAA (sf)' rating on the class A-2 certificate because the class was fully repaid, as reflected in the April 15, 2011, trustee remittance report," S&P noted. According to S&P, "We affirmed our 'AAA (sf)' ratings on the class X-P and X-C interest-only (IO) certificates based on our current criteria." "Our analysis included a review of the credit characteristics of all of the remaining loans in the pool. Using servicer- provided financial information, we calculated an adjusted debt service coverage (DSC) of 1.26x and a loan-to-value (LTV) ratio of 111.8%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 0.79x and an LTV ratio of 130.0%. The implied defaults and loss severity under the 'AAA' scenario were 77.6% and 36.7%, respectively. The DSC and LTV calculations noted exclude three defeased loans ($153.7 million, 13.4%), and three ($104.5 million, 9.1%) of the four ($114.5 million, 10.0%) assets with the special servicer. We separately estimated losses for the specially serviced assets and included them in our 'AAA' scenario implied default and loss severity figures," S&P stated. As of the April 15, 2011, trustee remittance report, the trust experienced monthly interest shortfalls totaling $243,002 primarily related to shortfalls due to interest rate modifications of $94,853, interest not advanced of $15,385, and interest paid on outstanding advances of $79,271. The $243,002 of monthly interest shortfalls according to the April 2011 trustee remittance report exclude a recovered appraisal subordinate entitlement reduction (ASER) amount of $130,564 from an asset that liquidated in April 2011 and other interest proceeds of $75,140 from a loan that was modified in November 2010. The interest shortfalls affected all classes subordinate to and including class K. Classes K through O experienced cumulative interest shortfalls between two and 18 months. "We expect these classes to experience recurring interest shortfalls in the near term. Consequently, we downgraded these classes to 'D (sf)'," S&P noted. Credit Considerations As of the April 15, 2011, trustee remittance report, four assets ($114.5 million, 10.0%) in the pool were with the special servicer, Helios AMC LLC (Helios). The reported payment status of the specially serviced assets is as follows: one is real estate owned (REO) ($3.1 million, 0.3%), one is 90-plus days delinquent ($7.2 million, 0.6%), one is in its grace period ($94.2 million, 8.2%), and one is current ($10.0 million, 0.9%). Details on the four specially serviced assets, one of which is a top 10 exposure, are listed. The Park Place II loan ($94.2 million, 8.2%), the largest asset with the special servicer, is the third-largest real estate exposure in the pool. The loan, secured by a 274,650-sq.-ft. mixed-use (office/retail) property in Irvine, Calif., was transferred to Helios on Aug. 10, 2009, due to imminent default. According to Helios, the loan has been modified and assumed by a new borrower. As part of the loan modification, the loan was split into an $84.0 million A note and a $10.2 million B note (where interest is accrued on the B note and is due at maturity or loan payoff), and the maturity was extended to July 11, 2015. Helios indicated that it expects to return the loan to the master servicer in the third quarter of 2011. The reported DSC was 0.74x for year-end 2010, and the reported occupancy at the collateral property was 83.0% as of February 2011. An appraisal reduction amount (ARA) of $6.6 million is in effect against this loan. "If the loan is not returned to the master servicer, we expect a moderate loss upon the eventual resolution of the loan," S&P noted. The Pointes of Marietta loan ($10.0 million, 0.9%) is secured by a 210-unit multifamily apartment complex in Marietta, Ga. The loan was transferred to the special servicer on May 13, 2010, following a payment default. Helios stated that the loan has since been modified. The loan modification terms include a pay and accrual interest rate feature and additional capital improvement reserves from excess cash flow. The reported occupancy at the apartment complex was 89.7% for year-end 2010, and the reported DSC was 0.86x for the eight months ended Aug. 31, 2010. An ARA of $3.0 million is in effect against the loan. The Autumn Wood Apartments loan ($7.2 million, 0.6%) is secured by a 206-unit multifamily apartment complex in Hoover, Ala. The loan was transferred to the special servicer on Jan. 12, 2010, due to payment default. Helios indicated that it is currently exploring various liquidation strategies including a possible discounted payoff. An ARA of $2.7 million is in effect against the loan. The reported DSC for the trust balance and occupancy for year-end 2010 were 0.34x and 83.0%, respectively. "We expect a moderate loss upon the eventual resolution of this asset," S&P noted. The Kelly Road Self Storage asset ($3.1 million, 0.3%), a 58,280- sq.-ft. self-storage facility in Fort Meyers, Fla., was transferred to the special servicer on Nov. 16, 2007, and became REO on Feb. 10, 2011. The master servicer, Wells Fargo Bank N.A. (Wells Fargo), deemed the asset nonrecoverable on March 1, 2011, based on an April 2010 appraisal value of $2.5 million against the $4.5 million total exposure of the asset. Helios indicated that it plans to lease up the property (occupancy currently at 52.0%) before marketing it for sale. "We expect a significant loss upon the eventual resolution of the asset," S&P added. Transaction Summary As of the April 15, 2011, trustee remittance report, the collateral pool balance was $1.15 billion, which is 81.8% of the balance at issuance. The pool includes 54 loans and one REO asset, down from 72 loans at issuance. Wells Fargo provided financial information for 89.2% of the nondefeased loans in the pool, 64.0% of which was partial-2010 or full-year 2010 data, and the remainder was full-year 2009 or partial-2009 data. "We calculated a weighted average DSC of 1.47x for the loans in the pool based on the servicer-reported figures. Our adjusted DSC and LTV ratio were 1.26x and 111.8%. Our adjusted DSC and LTV figures excluded three defeased loans ($153.7 million, 13.4%) and three of the four specially serviced assets ($104.5 million, 9.1%). We separately estimated losses for the specially serviced assets and included them in our 'AAA' scenario implied default and loss severity figures. The transaction has experienced $16.6 million in principal losses to date. Eleven loans ($243.9 million, 21.2%) in the pool are on the master servicer's watchlist, including three of the top 10 real estate exposures, which we discuss below. Six loans ($89.5 million, 7.8%) have a reported DSC of less than 1.00x and three loans ($27.3 million, 2.4%) have a reported DSC below 1.10x," S&P stated. Summary of Top 10 Real Estate Exposures The top 10 exposures secured by real estate have an aggregate outstanding balance of $623.2 million (54.3%). "Using servicer- reported numbers, we calculated a weighted average DSC of 1.46x for nine of the top 10 real estate exposures (the remaining top 10 exposure is with the special servicer). Our adjusted DSC and LTV ratio for nine of the top 10 real estate exposures are 1.13x and 123.9%. Three of the top 10 real estate exposures ($176.4 million, 15.4%) are on the master servicer's watchlist," S&P stated. The Kadima Medical Office Pool loan ($108.9 million, 9.5%) is the second-largest real estate exposure in the pool and the largest loan on the master servicer's watchlist. The loan is secured by 17 medical office buildings totaling 796,650 sq. ft. in Florida, New Jersey, New York, Colorado, Kentucky, Massachusetts, North Dakota, and Tennessee. The loan is on Wells Fargo's watchlist due to a late payment. According to Wells Fargo, the loan is current and will be removed from its watchlist next month. The reported aggregate DSC was 1.19x for year-end 2009 and the overall occupancy was 94.5% according to the Jan. 1, 2011, rent rolls. The Mercantile Bank and Trust Building loan ($38.5 million, 3.4%), the fifth-largest real estate exposure in the pool, is secured by a 404,100-sq.-ft. office building in Baltimore, Md. The loan appears on the master servicer's watchlist because the lease for Venable LLP, the second-largest tenant (34.8% of the net rentable area {NRA}), expired on April 30, 2011. According to Wells Fargo, Venable LLP vacated the property in 2009 and PNC Bank N.A. (PNC; 53.7% of NRA) assumed the lease. Wells Fargo indicated that the borrower has not provided an update on PNC's intentions for the former Venable LLP space. The reported DSC was 1.61x for the nine months ended Sept. 30, 2010, and occupancy at the office building was 93.2% according to the Sept. 30, 2010, rent roll. The Casa Paloma Shopping Center loan ($29.0 million, 2.5%), the seventh-largest real estate exposure in the pool, is secured by a 130,100-sq.-ft. anchored retail center in Chandler, Ariz. The loan is on Wells Fargo's watchlist because the reported DSC was 0.71x for year-end 2010. The low DSC was attributable to low occupancy, which subsequently improved to 84.1%, according to the Dec. 31, 2010, rent roll. Standard & Poor's stressed the collateral in the pool according to its current criteria. The resultant credit enhancement levels are consistent with its rating actions. Ratings Lowered Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2005-C18 Rating Class To From Credit enhancement (%) A-J-2 BBB+ (sf) A+ (sf) 15.22 B BB+ (sf) A- (sf) 12.47 C BB (sf) BBB+ (sf) 11.40 D BB- (sf) BBB (sf) 8.95 E B+ (sf) BBB- (sf) 7.73 F B- (sf) BB (sf) 6.05 G CCC+ (sf) B+ (sf) 4.98 H CCC- (sf) CCC+ (sf) 2.83 J CCC- (sf) CCC (sf) 2.38 K D (sf) CCC- (sf) 1.76 L D (sf) CCC- (sf) 1.31 M D (sf) CCC- (sf) 1.00 N D (sf) CCC- (sf) 0.69 O D (sf) CCC- (sf) 0.24 Ratings Affirmed Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2005-C18 Class Rating Credit enhancement (%) A-3 AAA (sf) 35.25 A-PB AAA (sf) 35.25 A-4 AAA (sf) 35.25 A-1A AAA (sf) 35.25 A-J-1 AAA (sf) 23.02 X-C AAA (sf) N/A X-P AAA (sf) N/A Rating Withdrawn Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2005-C18 Rating Class To From A-2 NR AAA (sf) N/A -- Not applicable. NR -- Not rated. WAMU COMMERCIAL: S&P Lowers Ratings on Two Classes of Certs to 'D' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on the class L and M commercial mortgage pass-through certificates from WaMu Commercial Mortgage Securities Trust 2006-SL1, a U.S. commercial mortgage-backed securities (CMBS) transaction, to 'D (sf)' from 'CCC- (sf)'. "We downgraded the class L and M certificates to 'D (sf)' because the classes experienced principal losses as reflected in the April 25, 2011, trustee remittance report. The class L certificate reported a loss amounting to 9.7% of its $1.9 million opening principal and the class M certificate reported a 100% loss to its opening principal balance of $639,000. In addition, class N, which Standard & Poor's does not rate, reported a 100% loss to its opening principal balance of $1.9 million. The principal losses were attributable to five assets that were liquidated in April with an average loss severity of 70.3% (totaling $2.7 million in losses)," according to S&P. As of the April 25, 2011, trustee remittance report, the collateral pool consisted of 399 loans with an aggregate trust balance of $433.6 million, down from 443 loans totaling $511.4 million at issuance. There are currently 31 loans totaling $32.0 million (7.4%) with the special servicer. Twenty-two loans totaling $22.5 million (5.2%) are delinquent and their payment statuses are: eight are in foreclosure (1.6%), eight are 90-plus- days delinquent (2.4%), two are 60-days delinquent (0.5%), and four are 30-plus-days delinquent (0.7%). To date, the trust has experienced losses on 15 loans with an average loss severity of 66.7%. The total losses to the trust are $10.5 million as per the April 25, 2011, trustee remittance report. WOODWARD ACADEMY: S&P Withdraws 'BB+' Rating on Revenue Bonds ------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its 'BB+' long-term rating on the Michigan Finance Authority's series 2011 public school academy limited obligation revenue and revenue refunding bonds, to have been issued on behalf of Woodward Academy, because the bonds never sold. ZAIS INVESTMENT: S&P Cuts Ratings on 4 Classes to 'D' ----------------------------------------------------- Standard & Poor's Ratings Services lowered to 'D (sf)' its ratings on the class A-1A, A-1B, B-1A, and B-1B notes from Zais Investment Grade Ltd. VII, a U.S. cash flow collateralized debt obligation (CDO) transaction. Two of the lowered ratings were previously on CreditWatch negative. "We previously downgraded the class A-2 and A-3 notes to 'D (sf)' on failure to pay interest," S&P said. The rating actions follow receipt of the order for relief issued by the U.S. Bankruptcy Court, District of New Jersey. The order represents the commencement of the bankruptcy case with Zais Investment Grade VII as debtor. "We view the commencement of a bankruptcy proceeding as a default," S&P stated. "We placed the ratings on the notes on CreditWatch negative on April 13, 2011, following receipt of a notice from the trustee indicating that certain senior noteholders filed an involuntary bankruptcy petition with the U.S. Bankruptcy Court, District of New Jersey, on April 1, 2011," S&P continued. According to the notice of proposed plan dated as of March 25, 2011, the petitioning senior noteholders seek to gain control of the right to liquidate the CDO assets through the bankruptcy process. Under the terms of the transaction documents, a vote of each class of noteholders controls liquidation. The transaction experienced a technical event of default in March 2009, and the senior noteholders directed acceleration in June 2009. "We previously downgraded the class A-2 and A-3 nondeferrable classes of notes to 'D (sf)' after they missed interest payments," S&P said. CreditWatch Actions Zais Investment Grade Ltd. VII Rating Class To From A-1A D (sf) CCC (sf)/Watch Neg A-1B D (sf) CCC (sf)/Watch Neg B-1A D (sf) CC (sf) B-1B D (sf) CC (sf) Other Ratings Outstanding Zais Investment Grade Ltd. VII Class Rating A-2 D (sf) A-3 D (sf) * S&P Lowers Ratings on 12 Classes of US CMBS Deals to 'D' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 14 classes of commercial mortgage pass-through certificates from three U.S. commercial mortgage-backed securities transactions due to interest shortfalls. The downgrades reflect current and potential interest shortfalls. "We lowered our ratings on 13 of these classes to 'D (sf)' because we expect that accumulated interest shortfalls will remain outstanding for the foreseeable future. Eleven of the 13 classes that we downgraded to 'D (sf)' have had accumulated interest shortfalls outstanding for eight or more months," related S&P. The recurring interest shortfalls for the certificates are primarily due to one or more of these factors: * Appraisal subordinate entitlement reduction (ASER) amounts in effect for specially serviced loans; * The lack of servicer advancing for loans where the servicer has made nonrecoverable advance declarations; * Special servicing fees; and * Interest rate reductions or deferrals resulting from loan modifications. Standard & Poor's analysis primarily considered the ASER amounts based on appraisal reduction amounts (ARAs) calculated using recent Member of the Appraisal Institute (MAI) appraisals. "We also considered servicer nonrecoverable advance declarations and special servicing fees that are likely, in our view, to cause recurring interest shortfalls," S&P noted. The servicer implements ARAs and the resulting ASER amounts according to each transaction's terms. Typically, these terms call for the automatic implementation of an ARA equal to 25% of the stated principal balance of a loan when it is 60 days past due, and an appraisal or other valuation is not available within a specified timeframe. "We primarily considered ASER amounts based on ARAs calculated from MAI appraisals when deciding which classes from the affected transactions to downgrade to 'D (sf)'. This is because ARAs based on a principal balance haircut are highly subject to change, or even reversal, once the special servicer obtains the MAI appraisals," S&P stated. Servicer nonrecoverable advance declarations can prompt shortfalls due to a lack of debt service advancing, the recovery of previously made advances deemed nonrecoverable, or the failure to advance trust expenses when nonrecoverable declarations have been determined. Trust expenses may include, but are not limited to, property operating expenses, property taxes, insurance payments, and legal expenses. Bear Stearns Commercial Mortgage Securities Trust Series 2006-PWR11 "We lowered our ratings on five classes from Bear Stearns Commercial Mortgage Securities Trust's series 2006-PWR11. We lowered our ratings on classes L, M, N, and O to 'D (sf)' to reflect accumulated interest shortfalls that are between eight and 12 months outstanding on these classes. The shortfalls are the result of ASER amounts related to seven ($67.4 million, 3.9% of the pooled trust balance) of the 12 loans ($108.5 million, 6.2%) that are currently with the special servicer, C-III Asset Management LLC, as well as special servicing fees. We downgraded class K to 'CCC (sf)' due to reduced liquidity support available to the class, and its potential to experience shortfalls in the future relating to the specially serviced assets. As of the April 11, 2011, trustee remittance report, ARAs totaling $35.6 million were in effect for eight loans, which had a total reported ASER amount of $141,387. The reported monthly interest shortfalls totaled $133,320 and have affected all of the classes subordinate to and including class M," according to S&P. COMM 2004-LNB4 S&P stated, "We lowered our ratings on two classes from COMM 2004- LNB4. We lowered our ratings on classes F and G to 'D (sf)' to reflect accumulated interest shortfalls of three and 15 months outstanding on these classes," S&P noted. The shortfalls are the result of ASER amounts related to five loans ($72.5 million, 8.7% of the pooled trust balance) of the 10 loans ($124.1 million, 14.9%) that are currently with the special servicer, CW Capital Asset Management, as well as special servicing fees, and a nonrecoverable determination. As of the April 15, 2011, trustee remittance report, ARAs totaling $45.1 million were in effect for eight loans, with a total reported ASER amount of $145,392. The master servicer, Berkadia Commercial Mortgage LLC, made a nonrecoverability determination on one specially serviced asset. As a result, the servicer did not advance interest totaling $59,173 according to the April 2011 trustee remittance report. The reported monthly interest shortfalls totaled $376,415 and have affected all of the classes subordinate to and including class D. Wachovia Bank Commercial Mortgage Trust Series 2007-C33 "We lowered our ratings on seven classes from Wachovia Bank Commercial Mortgage Trust's series 2007-C33. We lowered our ratings on classes K, L, M, N, O, P, and Q to 'D (sf)' to reflect accumulated interest shortfalls between two and 15 months outstanding on these classes," S&P related. The shortfalls are the result of ASER amounts related to 12 ($292.4 million, 8.2% of the pooled trust balance) of 21 assets ($759.9 million, 21.3%) that are currently with the special servicer, LNR Partners LLC, as well as special servicing fees. The shortfalls also include reduced interest payments to the trust due to a loan modification on the Loudon Gateway IV ($13.8 million, 0.4%) asset. As of the April 15, 2011, trustee remittance report, ARAs totaling $107.6 million were in effect for 13 loans. The total reported ASER amount was $448,216. The reported monthly interest shortfalls totaled $803,060 and have affected all of the classes subordinate to and including class J. Ratings Lowered Bear Stearns Commercial Mortgage Securities Trust Commercial mortgage pass-through certificates series 2006-PWR11 Credit Reported Rating enhancement interest shortfalls ($) Class To From (%) Current Accumulated K CCC (sf) B- (sf) 2.19 0 0 L D (sf) CCC+ (sf) 1.79 (8,341) 21,737 M D (sf) CCC+ (sf) 1.66 10,140 89,328 N D (sf) CCC (sf) 1.39 20,284 220,690 O D (sf) CCC- (sf) 1.13 90,952 227,948 COMM 2004-LNB4 Commercial mortgage pass-through certificates Credit Reported Rating enhancement interest shortfalls ($) Class To From (%) Current Accumulated F D (sf) CCC- (sf) 5.06 66,731 96,071 G D (sf) CCC- (sf) 3.23 68,004 570,858 Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2007-C33 Credit Reported Rating enhancement interest shortfalls ($) Class To From (%) Current Accumulated K D (sf) CCC (sf) 3.61 183,004 360,093 L D (sf) CCC- (sf) 2.86 118,195 758,384 M D (sf) CCC- (sf) 2.48 59,097 515,911 N D (sf) CCC- (sf) 2.22 39,396 354,571 O D (sf) CCC- (sf) 1.85 59,097 744,654 P D (sf) CCC- (sf) 1.59 39,396 512,159 Q D (sf) CCC- (sf) 1.34 39,401 516,021 * S&P Lowers Ratings on 88 Classes From 39 Transactions to 'CC' --------------------------------------------------------------- Standard & Poor's Ratings Services corrected its ratings on 193 classes from 51 U.S. residential mortgage-backed securities (RBMS) Alternative-A (Alt-A) transactions issued in 2003-2006 by: * Lowering its ratings on 88 classes from 39 transactions to 'CC (sf)' from 'CCC (sf)'; * Placing its ratings on 69 classes from 32 transactions on CreditWatch with negative implications; and * Placing its ratings on 36 classes from 18 transactions on CreditWatch positive. "At the same time, we kept our ratings on 12 classes from eight of the affected deals on CreditWatch negative, where we initially placed them in connection with our revised counterparty criteria. Concurrently, we downgraded nine classes from the affected transactions to 'D (sf)' because they experienced realized losses. Additionally, we withdrew our ratings on two classes from two transactions in accordance with our interest-only securities criteria," S&P stated. The downgrades to 'CC (sf)' and the positive and negative CreditWatch actions reflect the revised classification of negative amortization (or pay option) adjustable-rate mortgage (ARM) transactions as outlined in "Methodology And Assumptions: Revised Lifetime Loss Projections For Prime, Subprime, And Alt-A U.S. RMBS Issued In 2005-2007," published March 25, 2011. They also reflect the revised lifetime loss projections for such transactions, as listed in "Transaction-Specific Lifetime Loss Projections For Prime, Subprime, And Alternative-A U.S. RMBS Issued In 2005-2007," published March 25, 2011. "We use a loss curve approach as described in 'Standard & Poor's Revised Default And Loss Curves For U.S. Alt-A RMBS Transactions,' published Dec. 19, 2007, to project losses on U.S. Alt-A RMBS transactions. Generally speaking, pursuant to this approach, we have associated a different projected loss curve with each of the three major loan types we have identified in the Alt-A sector: short-reset hybrid ARM loans, which have reset periods of less than five years; fixed-rate and longer-dated hybrid ARM loans; and negative amortization (or pay-option) ARM loans. Our analytical approach is to use a negative amortization loss curve for loan pools with 50% or more of negative amortizing loans. Due to an error in classifying some negative amortization (or pay-option) ARM loan transactions, we used incorrect loss curves to project losses for the affected transactions in our projections prior to March 2011. We will resolve the CreditWatch placements as we perform our ratings analysis using the loss assumptions provided in 'Transaction-Specific Lifetime Loss Projections For Prime, Subprime, And Alternative-A U.S. RMBS Issued In 2005-2007,' published March 25, 2011, as applicable. We based these loss projections on the appropriate Alt-A classifications (which include fixed-rate, hybrid, and negative amortization transactions)," S&P added. Rating Actions BankUnited Trust 2005-1 Series 2005-1 Rating Class CUSIP To From I-A-1 06652DAA7 B- (sf)/Watch Pos B- (sf) I-A-2 06652DAB5 CCC (sf)/Watch Pos CCC (sf) I-A-3 06652DAP4 CC (sf) CCC (sf) II-A-1 06652DAD1 CC (sf) CCC (sf) Bear Stearns Mortgage Funding Trust 2006-AR4 Series 2006-AR4 Rating Class CUSIP To From A-1 07401JAA6 B- (sf)/Watch Neg B- (sf) Bella Vista Mortgage Trust 2004-2 Series 2004-2 Rating Class CUSIP To From A-1 07820QAY1 BB+ (sf)/Watch Neg BB+ (sf) A-2 07820QAZ8 AA+ (sf)/Watch Neg AA+ (sf) A-3 07820QBJ3 BB+ (sf)/Watch Neg BB+ (sf) A-4 07820QBK0 CC (sf) CCC (sf) X 07820QBA2 AA+ (sf)/Watch Neg AA+ (sf) M 07820QBB0 CC (sf) CCC (sf) Chevy Chase Funding LLC Series 2003-4 Rating Class CUSIP To From B-2 16678RAM9 B (sf)/Watch Neg B (sf) Chevy Chase Funding LLC Series 2004-2 Rating Class CUSIP To From B-1 16678RBE6 AA+ (sf)/Watch Pos AA+ (sf) B-2 16678RBF3 CCC (sf)/Watch Pos CCC (sf) B-3 16678RBG1 CC (sf) CCC (sf) Chevy Chase Funding LLC Series 2004-A Rating Class CUSIP To From B-1 16678RBT3 BBB (sf)/Watch Neg BBB (sf) B-2 16678RBN6 CC (sf) CCC (sf) B-3 16678RBP1 CC (sf) CCC (sf) Chevy Chase Funding LLC Series 2004-3 Rating Class CUSIP To From B-1 16678RBW6 BBB (sf)/Watch Neg BBB (sf) B-2 16678RBX4 CC (sf) CCC (sf) Chevy Chase Funding LLC Series 2004-4 Rating Class CUSIP To From B-1 16678RCE5 AA (sf)/Watch Neg AA (sf) B-2 16678RCF2 A (sf)/Watch Neg A (sf) B-3 16678RCG0 BBB (sf)/Watch Neg BBB (sf) Chevy Chase Funding LLC Series 2004-B Rating Class CUSIP To From B-2 16678RCN5 B- (sf)/Watch Neg B- (sf) B-3 16678RCP0 CC (sf) CCC (sf) CHL Mortgage Pass-Through Trust 2004-20 Series 2004-20 Rating Class CUSIP To From 1-A-1 12669F2G7 B- (sf)/Watch Neg B- (sf) 2-A-1 12669F2H5 B- (sf)/Watch Neg B- (sf) 2-A-2 12669F2X0 B- (sf)/Watch Neg B- (sf) 3-A-1 12669F2J1 B- (sf)/Watch Neg B- (sf) M 12669F2S1 CC (sf) CCC (sf) CHL Mortgage Pass-Through Trust 2005-1 Series 2005-1 Rating Class CUSIP To From 1-A-1 12669GRM5 BB (sf)/Watch Neg BB (sf) 1-A-2 12669GRN3 CC (sf) CCC (sf) 2-A-1 12669GRQ6 B+ (sf)/Watch Neg B+ (sf) 2-A-2 12669GRR4 CC (sf) CCC (sf) 2-A-3 12669GSN2 CC (sf) CCC (sf) HarborView Mortgage Loan Trust 2004-10 Series 2004-10 Rating Class CUSIP To From B-1 41161PJT1 B- (sf)/Watch Neg B- (sf) HarborView Mortgage Loan Trust 2005-12 Series 2005-12 Rating Class CUSIP To From 1-A1A 41161PVF7 CC (sf) CCC (sf) 1-A1B 41161PVH3 CC (sf) CCC (sf) 2-A1A1 41161PVJ9 BB- (sf)/Watch Neg BB- (sf) PO-1 41161PVP5 CC (sf) CCC (sf) 2-A1A2 41161PVK6 BB- (sf)/Watch Neg BB- (sf) Harborview Mortgage Loan Trust 2005-15 Series 2005-15 Rating Class CUSIP To From 2-A1A1 41161PXH1 CCC (sf)/Watch Pos CCC (sf) 2-A1A2 41161PXJ7 CCC (sf)/Watch Pos CCC (sf) 2-A1B 41161PXK4 CC (sf) CCC (sf) PO-1 41161PXW8 CC (sf) CCC (sf) PO-2 41161PXX6 CC (sf) CCC (sf) PO-3A 41161PXY4 CC (sf) CCC (sf) PO-3B 41161PXZ1 CC (sf) CCC (sf) HarborView Mortgage Loan Trust 2005-9 Series 2005-9 Rating Class CUSIP To From 3-X 41161PSQ7 AA+ (sf)/Watch Pos AA+ (sf) 3-PO 41161PST1 AA+ (sf)/Watch Pos AA+ (sf) B-1 41161PSV6 AA+ (sf)/Watch Neg AA+ (sf) B-2 41161PSW4 AA+ (sf)/Watch Neg AA+ (sf) B-3 41161PSX2 AA (sf)/Watch Neg AA (sf) B-4 41161PSY0 AA (sf)/Watch Neg AA (sf) B-5 41161PSZ7 AA (sf)/Watch Neg AA (sf) B-6 41161PTA1 BBB (sf)/Watch Neg BBB (sf) B-7 41161PTB9 BB (sf)/Watch Neg BB (sf) B-8 41161PTC7 CC (sf) CCC (sf) B-9 41161PTD5 CC (sf) CCC (sf) B-10 41161PTE3 CC (sf) CCC (sf) HarborView Mortgage Loan Trust 2006-1 Series 2006-1 Rating Class CUSIP To From 2-A1B 41161PA94 CC (sf) CCC (sf) X-1 41161PB36 NR CCC (sf) PO-1 41161PB93 D (sf) CCC (sf) PO-2A1B 41161PC35 D (sf) CCC (sf) HarborView Mortgage Loan Trust 2006-10 Series 2006-10 Rating Class CUSIP To From 1A-1A 41162CAA9 CC (sf) CCC (sf) 2A-1B 41162CAD3 CC (sf) CCC (sf) HarborView Mortgage Loan Trust 2006-4 Series 2006-4 Rating Class CUSIP To From 1-A1B 41161PL35 D (sf) CC (sf) 1-A2A 41161PP98 CC (sf) CCC (sf) 1-A2B 41161PQ22 D (sf) CC (sf) 2-A1B 41161PL50 CC (sf) CCC (sf) 2-A1C 41161PL68 D (sf) CC (sf) 3-A1B 41161PP64 CC (sf) CCC (sf) 3-A1C 41161PP72 D (sf) CC (sf) PO-1 41161PM42 D (sf) CC (sf) PO-3A 41161PM67 D (sf) CC (sf) PO-B 41161PM75 D (sf) CC (sf) Harborview Mortgage Loan Trust 2006-5 Series 2006-5 Rating Class CUSIP To From 1-A1A 41161MAA8 CC (sf) CCC (sf) 2-A1B 41161MAD2 CC (sf) CCC (sf) IndyMac INDX Mortgage Loan Trust 2004-AR1 Series 2004-AR1 Rating Class CUSIP To From 1-A-1 45660NZX6 AA+ (sf)/Watch Neg AA+ (sf) 2-A-1 45660NZY4 AA+ (sf)/Watch Neg AA+ (sf) A-X-2 45660NA21 AA+ (sf)/Watch Neg AA+ (sf) B-1 45660NA47 CC (sf) CCC (sf) IndyMac INDX Mortgage Loan Trust 2004-AR10 Series 2004-AR10 Rating Class CUSIP To From 1-A-1 45660N2W4 BBB (sf)/Watch Pos BBB (sf) 2-A-1 45660N2X2 BBB (sf)/Watch Pos BBB (sf) 2-A-2A 45660N2Y0 BBB (sf)/Watch Pos BBB (sf) 2-A-2B 45660N2Z7 BBB (sf)/Watch Pos BBB (sf) IndyMac INDX Mortgage Loan Trust 2004-AR12 Series 2004-AR12 Rating Class CUSIP To From A-1 45660N5H4 B- (sf)/Watch Neg B- (sf) A-2 45660N5J0 CC (sf) CCC (sf) B-1 45660N5N1 CC (sf) CCC (sf) IndyMac INDX Mortgage Loan Trust 2004-AR14 Series 2004-AR14 Rating Class CUSIP To From 1-A-1A 45660LAA7 B- (sf)/Watch Neg B- (sf) 1-A-1B 45660LAB5 CC (sf) CCC (sf) 2-A-1A 45660LAC3 B- (sf)/Watch Neg B- (sf) 2-A-1B 45660LAD1 CC (sf) CCC (sf) 2-A-2A 45660LAE9 BB (sf)/Watch Neg BB (sf) 2-A-2B 45660LAF6 CC (sf) CCC (sf) IndyMac INDX Mortgage Loan Trust 2004-AR2 Series 2004-AR2 Rating Class CUSIP To From 1-A-1 45660NG66 AA- (sf)/Watch Neg AA- (sf) 2-A-1 45660NG74 AA- (sf)/Watch Neg AA- (sf) A-X-2 45660NG90 AA- (sf)/Watch Neg AA- (sf) B-1 45660NH32 CC (sf) CCC (sf) IndyMac INDX Mortgage Loan Trust 2004-AR3 Series 2004-AR3 Rating Class CUSIP To From B-1 45660NM36 B (sf)/Watch Pos B (sf) B-2 45660NM44 CC (sf) CCC (sf) IndyMac INDX Mortgage Loan Trust 2004-AR5 Series 2004-AR5 Rating Class CUSIP To From 1-A-1 45660NS22 BBB (sf)/Watch Pos BBB (sf) 2-A-1A 45660NS30 AA+ (sf)/Watch Pos AA+ (sf) 2-A-1B 45660NS48 AA+ (sf)/Watch Pos AA+ (sf) 2-A-2 45660NS55 BBB (sf)/Watch Pos BBB (sf) A-X-2 45660NS71 AA+ (sf)/Watch Pos AA+ (sf) B-1 45660NS97 CC (sf) CCC (sf) IndyMac INDX Mortgage Loan Trust 2004-AR7 Series 2004-AR7 Rating Class CUSIP To From A-1 45660NT88 B+ (sf)/Watch Neg B+ (sf) A-2 45660NT96 BBB+ (sf)/Watch Pos BBB+ (sf) A-3 45660NU29 B+ (sf)/Watch Neg B+ (sf) A-5 45660NU45 B+ (sf)/Watch Neg B+ (sf) B-1 45660NU52 CC (sf) CCC (sf) IndyMac INDX Mortgage Loan Trust 2004-AR8 Series 2004-AR8 Rating Class CUSIP To From 2-A-2A 45660N2J3 BB (sf)/Watch Pos BB (sf) IndyMac INDX Mortgage Loan Trust 2005-AR18 Series 2005-AR18 Rating Class CUSIP To From 1-A-1 45660LVZ9 BB+ (sf)/Watch Neg BB+ (sf) 1-A-2 45660LWA3 CC (sf) CCC (sf) 2-A-1A 45660LWD7 B- (sf)/Watch Pos B- (sf) 2-A-1B 45660LWE5 B- (sf)/Watch Pos B- (sf) 2-A-2A 45660LWV7 CC (sf) CCC (sf) 2-A-2B 45660LWW5 CC (sf) CCC (sf) 2-A-2C 45660LWF2 CC (sf) CCC (sf) IndyMac INDX Mortgage Loan Trust 2005-AR2 Series 2005-AR2 Rating Class CUSIP To From 1-A-1 45660LCK3 B- (sf)/Watch Neg B- (sf) 2-A-1A 45660LCL1 A (sf)/Watch Pos A (sf) 2-A-1B 45660LCM9 CC (sf) CCC (sf) 2-A-2B 45660LCP2 CC (sf) CCC (sf) 2-A-3 45660LCQ0 CC (sf) CCC (sf) 2-A-4 45660LCR8 CC (sf) CCC (sf) IndyMac INDX Mortgage Loan Trust 2005-AR4 Series 2005-AR4 Rating Class CUSIP To From 1-A-1 45660LEF2 CC (sf) CCC (sf) 2-A-1A 45660LEG0 BB- (sf)/Watch Pos BB- (sf) 2-A-1B 45660LEH8 CC (sf) CCC (sf) 2-A-2 45660LEJ4 CC (sf) CCC (sf) A-R 45660LET2 NR CCC (sf) IndyMac INDX Mortgage Loan Trust 2005-AR8 Series 2005-AR8 Rating Class CUSIP To From 1-A-1 45660LJH3 B- (sf)/Watch Neg B- (sf) 2-A-1A 45660LJJ9 B (sf)/Watch Neg B (sf) 2-A-1B 45660LJK6 CC (sf) CCC (sf) 2-A-2 45660LJL4 CC (sf) CCC (sf) A-PO 45660LJP5 CC (sf) CCC (sf) IndyMac INDX Mortgage Loan Trust 2006-AR9 Series 2006-AR9 Rating Class CUSIP To From 2-A-1 45661EGE8 CC (sf) CCC (sf) 3-A-1 45661EGG3 AAA (sf)/Watch Neg AAA (sf) 3-A-2 45661EGH1 AAA (sf)/Watch Neg AAA (sf) 3-X 45661EGJ7 AAA (sf)/Watch Neg AAA (sf) 3-A-3 45661EGK4 AAA (sf)/Watch Neg AAA (sf) Lehman Mortgage Trust 2006-3 Series 2006-3 Rating Class CUSIP To From 1-A-1 52520CAD7 CC (sf)/Watch Pos CC (sf) 1-A10 52520CAN5 CC (sf)/Watch Pos CC (sf) 1-A12 52520CAQ8 CC (sf)/Watch Pos CC (sf) Lehman XS Trust, 2006-4N Series 2006-4N Rating Class CUSIP To From A2-A 525221KR7 CC (sf)/Watch Pos CC (sf) Lehman XS Trust, Series 2006-18N Series 2006-18N Rating Class CUSIP To From A2A 52522GAB0 CC (sf) CCC (sf) A5A 52522GAE4 CC (sf) CCC (sf) Lehman XS Trust, Series 2006-GP2 Series 2006-GP2 Rating Class CUSIP To From 1-A5A 525227AH7 B- (sf)/Watch Neg B- (sf) 3-A1 525227AM6 B- (sf)/Watch Neg B- (sf) Lehman XS Trust, Series 2006-GP4 Series 2006-GP4 Rating Class CUSIP To From 2-A1 525161AC9 B- (sf)/Watch Neg B- (sf) MortgageIT Trust 2005-AR1 Series 2005-AR1 Rating Class CUSIP To From I-A-1 61915RBB1 CCC (sf)/Watch Pos CCC (sf) I-A-2 61915RBC9 CC (sf) CCC (sf) NovaStar Mortgage Funding Trust, Series 2006-MTA1 Series 2006-MTA1 Rating Class CUSIP To From 2A-1A 66988UAB6 CCC (sf)/Watch Pos CCC (sf) RALI Series 2005-QA7 Trust Series 2005-QA7 Rating Class CUSIP To From A-I 76110H7A1 CC (sf) CCC (sf) A-II-1 76110H7B9 CC (sf) CCC (sf) A-II-2 76110H7D5 BBB (sf)/Watch Neg BBB (sf) A-II-3 76110H7E3 CC (sf) CCC (sf) RALI Series 2005-QO1 Trust Series 2005-QO1 Rating Class CUSIP To From A-1 761118EN4 BBB+ (sf)/Watch Neg BBB+ (sf) A-2 761118EP9 BBB+ (sf)/Watch Neg BBB+ (sf) A-3 761118EQ7 B- (sf)/Watch Neg B- (sf) RALI Series 2005-QO2 Trust Series 2005-QO2 Rating Class CUSIP To From A-1 761118HU5 BB+ (sf)/Watch Neg BB+ (sf) A-2 761118HV3 CC (sf) CCC (sf) RALI Series 2005-QO3 Trust Series 2005-QO3 Rating Class CUSIP To From A-1 761118KU1 B- (sf)/Watch Neg B- (sf) A-2 761118KV9 CC (sf) CCC (sf) Structured Adjustable Rate Mortgage Loan Trust Series 2005-16XS Series 2005-16XS Rating Class CUSIP To From A1 863579WR5 AA (sf)/Watch Pos AA (sf) A2A 863579WS3 A+ (sf)/Watch Pos A+ (sf) A2B 863579WT1 A+ (sf)/Watch Pos A+ (sf) A3 863579WU8 A+ (sf)/Watch Pos A+ (sf) M1 863579WV6 CC (sf) CCC (sf) Structured Asset Mortgage Investments II Trust 2005-AR2 Series 2005-AR2 Rating Class CUSIP To From I-A-1 86359LHX0 B- (sf)/Watch Neg B- (sf) I-A-2 86359LHY8 CC (sf) CCC (sf) II-A-1 86359LJA8 AAA (sf)/Watch Neg AAA (sf) II-A-3 86359LJC4 CC (sf) CCC (sf) II-X 86359LJD2 AAA (sf)/Watch Neg AAA (sf) M-1 86359LJS9 CC (sf) CCC (sf) M-2 86359LJT7 CC (sf) CCC (sf) M-3 86359LJU4 CC (sf) CCC (sf) II-A-2 86359LJB6 B- (sf)/Watch Neg B- (sf) Structured Asset Mortgage Investments II Trust 2005-AR3 Series 2005-AR3 Rating Class CUSIP To From I-A-1 86359LJZ3 BB (sf)/Watch Pos BB (sf) I-A-3 86359LKB4 CC (sf) CCC (sf) II-A-1 86359LKD0 CCC (sf)/Watch Pos CCC (sf) M-1 86359LKJ7 CC (sf) CCC (sf) Structured Asset Mortgage Investments II Trust 2006-AR7 Series 2006-AR7 Rating Class CUSIP To From A-2A 86361HAC8 CC (sf) CCC (sf) A-2B 86361HAD6 CC (sf) CCC (sf) A-4 86361HAG9 CC (sf) CCC (sf) A-5 86361HAH7 CC (sf) CCC (sf) A-6 86361HAJ3 CC (sf) CCC (sf) A-9 86361HAM6 B (sf)/Watch Neg B (sf) A-12 86361HAQ7 CC (sf) CCC (sf) A-13A 86361HAR5 CC (sf) CCC (sf) A-13B 86361HAS3 CC (sf) CCC (sf) X 86361HAT1 NR AAA (sf) WaMu Mortgage Pass Through Certificates Series 2006-AR13 Trust Series 2006-AR13 Rating Class CUSIP To From 2A 93363RAB2 AAA (sf)/Watch Neg AAA (sf) 2A-1B 93363RAC0 B- (sf)/Watch Neg B- (sf) CA-1C 93363RAD8 CC (sf) CCC (sf) CA-1D 93363RAE6 CC (sf) CCC (sf) WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust Series 2005-AR11 Rating Class CUSIP To From A-1C3 92922F2N7 A (sf)/Watch Neg A (sf) A-1C4 92922F2P2 A (sf)/Watch Neg A (sf) B-1 92922F2R8 B- (sf)/Watch Neg B- (sf) B-3 92922F2T4 CC (sf) CCC (sf) B-4 92922F2U1 CC (sf) CCC (sf) B-5 92922F2V9 CC (sf) CCC (sf) B-6 92922F2W7 CC (sf) CCC (sf) WaMu Mortgage Pass-Through Certificates Series 2006-AR15 Trust Series 2006-AR15 Rating Class CUSIP To From 1A-1B 93363QAB4 CC (sf) CCC (sf) 2A 93363QAC2 A+ (sf)/Watch Neg A+ (sf) Ratings Remaining on CreditWatch Negative Chevy Chase Funding LLC Series 2003-4 Class CUSIP Rating A-1 16678RAJ6 AAA (sf)/Watch Neg A-2 16678RAK3 AAA (sf)/Watch Neg Chevy Chase Funding LLC Series 2004-2 Class CUSIP Rating A-1 16678RBC0 AAA (sf)/Watch Neg A-2 16678RBD8 AAA (sf)/Watch Neg Chevy Chase Funding LLC Series 2004-A Class CUSIP Rating A-1 16678RBL0 AAA (sf)/Watch Neg Chevy Chase Funding LLC Series 2004-3 Class CUSIP Rating A-1 16678RBU0 AAA (sf)/Watch Neg A-2 16678RBV8 AAA (sf)/Watch Neg Chevy Chase Funding LLC Series 2004-4 Class CUSIP Rating A-1 16678RCC9 AAA (sf)/Watch Neg A-2 16678RCD7 AAA (sf)/Watch Neg Chevy Chase Funding LLC Series 2004-B Class CUSIP Rating A-1 16678RCL9 AAA (sf)/Watch Neg Lehman XS Trust, Series 2006-18N Series 2006-18N Class CUSIP Rating A1A 52522GAA2 BB+ (sf)/Watch Neg WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust Series 2005-AR11 Class CUSIP Rating X 92922F2Q0 AAA (sf)/Watch Neg * S&P Takes Rating Actions on 7,389 Classes of 2005-2007 RMBS ------------------------------------------------------------- Standard & Poor's Ratings Services placed its ratings on 7,077 classes of U.S. prime, subprime, and Alternative-A (Alt-A) residential mortgage-backed securities (RMBS) issued in 2005-2007 on CreditWatch with negative implications. In addition, 312 ratings remain on CreditWatch negative. The affected classes are from 1,384 transactions. A complete ratings list is available for free at: http://bankrupt.com/misc/S&P_USRMBSCWList_051111.pdf "The negative CreditWatch placements reflect an increase in our projected losses for these transactions, which we outlined in 'Methodology And Assumptions: Revised Lifetime Loss Projections For Prime, Subprime, And Alt-A U.S. RMBS Issued In 2005-2007,' published March 25, 2011. In general, we based these projected losses on updated performance information including delinquencies and cumulative losses that the securities have experienced to date. For a list of the revised loss projections, see "Transaction-Specific Lifetime Loss Projections For Prime, Subprime, And Alternative-A U.S. RMBS Issued In 2005- 2007," published March 25, 2011," S&P stated. "In general, we did not place any ratings on CreditWatch with negative implications if such class had a class factor (current balance divided by original balance) of less than 5%, or if such rating was lower than 'B- (sf)'. We may not have placed bond- insured classes on CreditWatch with negative implications if the rating on the corresponding bond insurer is greater than the underlying rating on the RMBS class, in which case the rating on the RMBS class is reflective of the bond insurer rating and would not be affected by increased loss projections," S&P noted. S&P expects to review these transactions and resolve the CreditWatch placements over the next several months. ********* 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 ***