/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/110522.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 22, 2011, Vol. 15, No. 140 Headlines AIRPLANES REPACKAGED: Moody's Downgrades Resecuritization Notes AMERICREDIT AUTO: Moody's Reviews Ratings on Auto ABS Transactions ARCAP 2004-RR3: S&P Lowers Ratings on 3 Classes of Certs. To 'D' ARCAP 2005-RR5: S&P Lowers Ratings on 2 Classes of Certs. to 'D' ASG RESECURITIZATION: S&P Keeps 'BB' Rating on 2 Re-REMIC Classes BANC OF AMERICA: Fitch Downgrades 8 Classes of BACM 2005-1 BANK OF AMERICA: Fitch Downgrades 3 Classes of Series 2001-3 BEAR STEARNS: Fitch Downgrades 2005-PWR10 Certificates BEAR STEARNS: Fitch Downgrades Ratings on Series 2005-TOP18 Certs. BEAR STEARNS: Fitch Takes Rating Actions on BSCMI 2002-TOP8 BEAR STEARNS: Moody's Downgrades Ratings on $1.98 Bil. RMBS BEAR STEARNS: Moody's Downgrades Ratings of Resecuritized RMBS BEAR STEARNS: Moody's Takes Action on $1.9 billion of Alt-A RMBS C-BASS CBO IX: Moody's Upgrades Rating of One Class of Notes CAPITAL ONE: Moody's Upgrades Prime and Subprime Auto Loan ABS CBA COMMERCIAL: Moody's Affirms Five CMBS Classes of CBAC 2006-1 CBA COMMERCIAL: Moody's Affirms Four CMBS Classes of CBAC 2006-2 CBA COMMERCIAL: Moody's Affirms Four CMBS Classes of CBAC 2007-1 CENTERLINE 2007-1: S&P Lowers Rating on Class M Certs. to 'D' CHASE EDUCATION: Fitch Affirms Subordinate Notes at 'BBsf' CITIGROUP COMMERCIAL: Fitch Upgrades 2 Classes of 2005-EMG CITIGROUP COMMERCIAL: S&P Lowers Ratings on 5 Classes to 'D' CITIGROUP MORTGAGE: Moody's Downgrades Resecuritized RMBS CPS AUTO: Moody's Upgrades Subprime Auto Loan ABS CRATOS CLO I: Moody's Upgrades Notes Ratings CREDIT SUISSE: Moody's Corrects May 6, 2011 Release CREST 2001-1: Fitch Downgrades Class C Notes Rating to 'CCCsf' CREST 2004-1: Fitch Downgrades Ratings on 14 Classes of Notes CRF 19: S&P Lowers Rating on Class D Notes to 'B-' CSFB COMMERCIAL: Moody's Affirms 14 CMBS Classes of CSFB 2007-TFL1 CWMBS INC: Fitch Takes Various Actions on CWMBS 2004-8 RMBS DSLA 2007-AR1: S&P Lowers Ratings on 2 Classes of Notes to 'D' GALAXY X: S&P Raises Rating on 1 Class on Improved Performance GE COMMERCIAL: Fitch Takes Various Actions on 2004-C2 GE COMMERCIAL: Moody's Upgrades Two & Affirms 22 CMBS Classes GMAC COMMERCIAL: Fitch Downgrades GMACC 2005-C1 Ratings GMAC COMMERCIAL: Moody's Affirms Four CMBS Classes of GMAC 2000-C1 GRAMERCY REAL ESTATE: Fitch Affirms 9 Classes of CDO 2007-1 GSC PARTNERS: Moody's Raises Ratings of CLO Notes JEFFERIES RESECURITIZATION: S&P Cuts Rating on Class 2-A1 to 'CCC' JOHNSTON RE: S&P Rates Two Classes of Notes at 'BB-' JP MORGAN: Fitch Downgrades 12 Classes of JPMCC 2005-CIBC13 JP MORGAN: Moody's Affirms 33 CMBS Classes of JPMCC 2006-LDP9 JP MORGAN: S&P Gives 'B' Rating on Class H Certificates JPMORGAN CHASE: Fitch Takes Various Actions on JPMCC 2004-C1 JPMORGAN CHASE: S&P Junks Ratings on Two Classes of Certs. JPMORGAN CHASE: S&P Lowers Rating on Class J Certs. to 'D' LB-UBS COMMERCIAL: Fitch Downgrades Ratings on 4 Classes LB-UBS COMMERCIAL: Fitch Takes Various Actions on Certificates LB-UBS COMMERCIAL: Moody's Upgrades 1 and Affirms 8 CMBS Classes LB-UBS COMMERCIAL: Moody's Upgrades 4 and Affirms 23 CMBS Classes LB-UBS COMMERCIAL: S&P Cuts Ratings on 2 Classes of Certs. to 'D' LB-UBS COMMERCIAL: S&P Cuts Ratings on 3 Classes of Certs. to 'D' MARYLAND TRUST: Moody's Downgrades Two Life Insurance Transactions MERRILL LYNCH: Fitch Takes Various Actions on 2004-BPC1 MERRILL LYNCH: Moody's Downgrades Two & Affirms 16 CMBS Classes MERRILL LYNCH: S&P Lowers Ratings on 2 Classes of Certs. to 'D' METROFINANCIERA: Fitch Downgrades RMBS Bonds Ratings MORGAN STANLEY: Fitch Affirms 7 Classes of MSDW 2003-TOP9 MORGAN STANLEY: Moody's Affirms 14 CMBS Classes of MSDW 2002-IQ3 MORGAN STANLEY: Moody's Affirms 25 CMBS Classes of MSC 2005-IQ10 MORGAN STANLEY: Moody's Downgrades Two and Affirms 21 CMBS Classes MORGAN STANLEY: Moody's Reviews Five CMBS Classes of MSDWC 2002-HQ NEWCASTLE CDO VI: Fitch Affirms 5 Classes of Notes at 'Csf' NEWCASTLE CDO VII: Fitch Affirms 5 Classes of Notes at 'Csf' NEWTON CDO: Moody's Upgrades CBO notes Ratings NORTH TEXAS: Moody's Corrects Rating History; Withdraws Ratings PALOMAR POMERADO: Fitch Downgrades L-T Rating to 'BB' PUTNAM STRUCTURED PRODUCT: Fitch Affirms 7 Classes RESIX FINANCE: Moody's Downgrades $87.1 Mil. Synthetic Jumbo RMBS SALOMON BROTHERS: Moody's Downgrades 1 and Affirms 8 CMBS Classes SANTANDER DRIVE: S&P Gives 'BB' Rating on Class E Notes SATURNS SEARS: Moody's Reviews Rating of Units for Downgrade SHASTA CLO: Moody's Upgrades Ratings of Notes SOVEREIGN COMMERCIAL: Fitch Downgrades Seven Classes SYMPHONY CLO: S&P Rates Class E Floating-Rate Notes 'BB' TW HOTEL: Moody's Affirms 14 CMBS Classes of 2005-LUX UCAT 2005-1: Moody's Downgrades Class B-1-A Notes WELLS FARGO: Fitch Issues Presale Report on WFRBS 2011-C3 ZAIS INVESTMENT: Moody's Upgrades Ratings of 5 Classes of Notes ********* AIRPLANES REPACKAGED: Moody's Downgrades Resecuritization Notes --------------------------------------------------------------- Moody's has downgraded the Class B Notes issued by each of the Airplanes Repackaged Transferred Securities Ltd (ARTS) Series 2004-1 and ARTS Series 2004-2. The complete rating action is: Issuer: Airplanes Repackaged Transferred Securities Ltd., Series 2004-1 -- Class B Notes maturing in 2031, downgraded to Caa2 (sf) from B2 (sf); Previously placed on Review for Possible Downgrade; Issuer: Airplanes Repackaged Transferred Securities Ltd., Series 2004-2 -- Class B Notes maturing in 2031, downgraded to Caa2 (sf) from B2 (sf); previously placed on Review for Possible Downgrade;. Ratings Rationale ARTS Series 2004-1 issued Class A and Class B notes (the Class A and Class B ARTS Notes respectively), backed by $156 million face amount of Lease Investment Flight Trust (LIFT) Class A-1 and A-2 Notes, and $156 million face amount of zero coupon Treasury Securities. ARTS Series 2004-2 issued Class A and Class B notes (the Class A and Class B ARTS Notes respectively), backed by $30 million face amount of Lease Investment Flight Trust (LIFT) Class A-1 and A-2 Notes, and $30 million face amount of zero coupon Treasury Securities. Interest generated by the LIFT Notes are applied to pay the amounts due to the ARTS Class A Insurer, interest on ARTS Class A Note and expenses, and any remaining amounts as principal on the ARTS Class B Note. Principal payments generated by the LIFT Notes are applied to prepay the ARTS Class A principal. At maturity of the ARTS Notes, should any of the principal on the LIFT Notes remain outstanding, the proceeds from the zero coupon Treasury Securities will be used to retire the remaining Class A Notes, and any surplus will be applied to the ARTS Class B Notes. The downgrade follows from the downgrade of the LIFT Class A-1 and A-2 Notes being downgrade from B2 to Caa2 as a result of materially lower paydown expectations. The ratings on the Class B ARTS Notes are based on (i) interest and principal payments from the Class A-1 and A-2 LIFT Notes (ii) recovery rate on the principal portion of LIFT Notes, and (iii) the structure of the transaction. Due to Moody's expectations of impending losses on the LIFT Notes, Moody's views it as highly likely that a portion of the zero coupon securities will be needed to cover those losses to make whole the Class A ARTS notes, thereby reducing assets available for the repayment of Class B ARTS notes. The principal methodology used in this rating was "Moody's Approach to Pooled Aircraft-Backed Securitization" published in March 1999. Moody's Investors Service received and took into account third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a negative impact on the rating. AMERICREDIT AUTO: Moody's Reviews Ratings on Auto ABS Transactions ------------------------------------------------------------------ Moody's Investors Service has placed on review for possible upgrade five tranches from three near-prime transactions and 28 tranches from 13 subprime auto loan transactions sponsored by AmeriCredit Financial Services, Inc (AmeriCredit). Moody's has also upgraded two tranche form two subprime AmeriCredit transactions. Issuer: AmeriCredit Automobile Receivables Trust 2006-B-G -- Cl. A-4, Upgraded to Aaa (sf); previously on Nov 8, 2010 Upgraded to Aa1 (sf) Underlying Rating: Upgraded to Aaa (sf); previously on Nov 8, 2010 Upgraded to Aa1 (sf) Financial Guarantor: Financial Guaranty Insurance Company WR; previously on 3/24/2009 Downgraded to Caa3 from Caa1 Issuer: AmeriCredit Automobile Receivables Trust 2006-R-M -- Cl. A-3, Upgraded to Aaa (sf); previously on Nov 8, 2010 Upgraded to Aa3 (sf) Underlying Rating: Upgraded to Aaa (sf); previously on Nov 8, 2010 Upgraded to Aa3 (sf) Financial Guarantor: MBIA Insurance Corporation B3; previously on 2/18/2009 Downgraded to B3 from Baa1 Issuer: AmeriCredit Automobile Receivables Trust 2007-A-X -- Cl. A-4, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Nov 8, 2010 Upgraded to Aa3 (sf) Underlying Rating: Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Nov 8, 2010 Upgraded to Aa3 (sf) Financial Guarantor: Syncora Guarantee Inc., (Ca; previously on 3/9/2009 Downgraded to Ca from Caa1) Issuer: AmeriCredit Automobile Receivables Trust 2007-B-F -- Cl. A-4, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Nov 12, 2009 Confirmed at Aa3 (sf) Underlying Rating: A3 (sf) Placed Under Review for Possible Upgrade; previously on Nov 8, 2010 Upgraded to A3 (sf) Financial Guarantor: Assured Guaranty Municipal Corp. (Aa3; previously Confirmed on 11/12/2009) Issuer: AmeriCredit Automobile Receivables Trust 2007-C-M -- Cl. A-4-A, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Nov 8, 2010 Upgraded to Aa3 (sf) Underlying Rating: Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Nov 8, 2010 Upgraded to Aa3 (sf) Financial Guarantor: MBIA Insurance Corporation B3; previously on 2/18/2009 Downgraded to B3 from Baa1 -- Cl. A-4-B, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Nov 8, 2010 Upgraded to Aa3 (sf) Underlying Rating: Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Nov 8, 2010 Upgraded to Aa3 (sf) Financial Guarantor: MBIA Insurance Corporation B3; previously on 2/18/2009 Downgraded to B3 from Baa1 Issuer: AmeriCredit Automobile Receivables Trust 2007-D-F -- Cl. A-4-A, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Nov 12, 2009 Confirmed at Aa3 (sf) Underlying Rating: Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Nov 8, 2010 Upgraded to Aa3 (sf) Financial Guarantor: Assured Guaranty Municipal Corp. (Aa3; previously Confirmed on 11/12/2009) -- Cl. A-4-B, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Nov 12, 2009 Confirmed at Aa3 (sf) Underlying Rating: Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Nov 8, 2010 Upgraded to Aa3 (sf) Financial Guarantor: Assured Guaranty Municipal Corp. (Aa3; previously Confirmed on 11/12/2009) Issuer: AmeriCredit Automobile Receivables Trust 2009-1 -- Cl. B, Aa2 (sf) Placed Under Review for Possible Upgrade; previously on Jul 20, 2009 Definitive Rating Assigned Aa2 (sf) -- Cl. C, A2 (sf) Placed Under Review for Possible Upgrade; previously on Jul 20, 2009 Definitive Rating Assigned A2 (sf) Issuer: AmeriCredit Auto Receivables Trust 2010-1 -- Cl. B, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Feb 19, 2010 Definitive Rating Assigned Aa1 (sf) -- Cl. C, A1 (sf) Placed Under Review for Possible Upgrade; previously on Feb 19, 2010 Definitive Rating Assigned A1 (sf) -- Cl. D, Baa3 (sf) Placed Under Review for Possible Upgrade; previously on Feb 19, 2010 Definitive Rating Assigned Baa3 (sf) Issuer: AmeriCredit Automobile Receivables Trust 2010-2 -- Cl. B, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on May 27, 2010 Definitive Rating Assigned Aa1 (sf) -- Cl. C, A1 (sf) Placed Under Review for Possible Upgrade; previously on May 27, 2010 Definitive Rating Assigned A1 (sf) -- Cl. D, Baa3 (sf) Placed Under Review for Possible Upgrade; previously on May 27, 2010 Definitive Rating Assigned Baa3 (sf) -- Cl. E, Ba3 (sf) Placed Under Review for Possible Upgrade; previously on May 27, 2010 Definitive Rating Assigned Ba3 (sf) Issuer: AmeriCredit Automobile Receivables Trust 2010-3 -- Cl. B, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Sep 30, 2010 Definitive Rating Assigned Aa1 (sf) -- Cl. C, A1 (sf) Placed Under Review for Possible Upgrade; previously on Sep 30, 2010 Definitive Rating Assigned A1 (sf) -- Cl. D, Baa2 (sf) Placed Under Review for Possible Upgrade; previously on Sep 30, 2010 Definitive Rating Assigned Baa2 (sf) Issuer: AmeriCredit Automobile Receivables Trust 2010-4 -- Cl. B, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Nov 23, 2010 Definitive Rating Assigned Aa1 (sf) -- Cl. C, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Nov 23, 2010 Definitive Rating Assigned Aa3 (sf) -- Cl. D, Baa1 (sf) Placed Under Review for Possible Upgrade; previously on Nov 23, 2010 Definitive Rating Assigned Baa1 (sf) -- Cl. E, Ba1 (sf) Placed Under Review for Possible Upgrade; previously on Nov 23, 2010 Definitive Rating Assigned Ba1 (sf) Issuer: AmeriCredit Automobile Receivables Trust 2010-A -- Cl. A-2, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Apr 2, 2010 Definitive Rating Assigned Aa3 (sf) Underlying Rating: A1 (sf) Placed Under Review for Possible Upgrade; previously on Mar 26, 2010 Assigned A1 (sf) Financial Guarantor: Assured Guaranty Municipal Corp. (Aa3; previously Confirmed on 11/12/2009) -- Cl. A-3, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Apr 2, 2010 Definitive Rating Assigned Aa3 (sf) Underlying Rating: A1 (sf) Placed Under Review for Possible Upgrade; previously on Mar 26, 2010 Assigned A1 (sf) Financial Guarantor: Assured Guaranty Municipal Corp. (Aa3; previously Confirmed on 11/12/2009) Issuer: AmeriCredit Automobile Receivables Trust 2010-B -- Cl. A-2, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Aug 24, 2010 Definitive Rating Assigned Aa3 (sf) Underlying Rating: A1 (sf) Placed Under Review for Possible Upgrade; previously on August 24, 2010 Assigned A1 (sf) Financial Guarantor: Assured Guaranty Municipal Corp. (Aa3; previously Confirmed on 11/12/2009) -- Cl. A-3, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Aug 24, 2010 Definitive Rating Assigned Aa3 (sf) Underlying Rating: A1 (sf) Placed Under Review for Possible Upgrade; previously on August 24, 2010 Assigned A1 (sf) Financial Guarantor: Assured Guaranty Municipal Corp. (Aa3; previously Confirmed on 11/12/2009) Issuer: AmeriCredit Prime Automobile Receivables Trust 2007-1 -- Cl. D, A2 (sf) Placed Under Review for Possible Upgrade; previously on Nov 8, 2010 Upgraded to A2 (sf) Issuer: AmeriCredit Prime Automobile Receivables Trust 2007-2-M -- Cl. A-4-A, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Nov 8, 2010 Upgraded to Aa3 (sf) Underlying Rating: Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Nov 8, 2010 Upgraded to Aa3 (sf) Financial Guarantor: MBIA Insurance Corporation B3; previously on 2/18/2009 Downgraded to B3 from Baa1 -- Cl. A-4-B, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Nov 8, 2010 Upgraded to Aa3 (sf) Underlying Rating: Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Nov 8, 2010 Upgraded to Aa3 (sf) Financial Guarantor: MBIA Insurance Corporation B3; previously on 2/18/2009 Downgraded to B3 from Baa1 Issuer: AmeriCredit Prime Automobile Receivables Trust 2009-1 -- Cl. B, Aa2 (sf) Placed Under Review for Possible Upgrade; previously on Nov 16, 2009 Definitive Rating Assigned Aa2 (sf) -- Cl. C, A1 (sf) Placed Under Review for Possible Upgrade; previously on Nov 16, 2009 Definitive Rating Assigned A1 (sf) Ratings Rationale The actions were driven by a combination of downward revision of collateral loss expectations and further accretion of credit enhancement. In the case of the 2007-2-M, 2007-C-M, 2007-D-F and 2008-A-F, consideration was also given to past amendments that, among other things, resulted in revised credit performance triggers and an increase in the amount required for the spread (reserve) account. For the 2006-B-G, 2007-A-X and 2007-B-F, the reserve accounts have increased due to earlier breaches of the cumulative net loss triggers. Even though the triggers for these transactions are curable, the current cumulative net losses (CNL) are higher than the highest trigger level for all these transactions. The reserve account will therefore not step down. Below are key performance metrics (as of the April distribution date, except for AmeriCredit Automobile Receivables Trust 2010-A, AmeriCredit Prime Automobile Receivables Trust 2007-1 and AmeriCredit Prime Automobile Receivables Trust 2009-1 which are as of the May distribution date) and credit assumptions for each affected transaction. Credit assumptions include Moody's expected lifetime CNL expectation which is expressed as a percentage of the original pool balance. Performance metrics include pool factor which is the ratio of the current collateral balance to the original collateral balance at closing; total credit enhancement, which typically consists of subordination, overcollateralization, and a reserve fund; and per annum excess spread. AmeriCredit Subprime transactions: Issuer: AmeriCredit Automobile Receivables Trust 2006-B-G -- Lifetime CNL expectation - 18.00%, prior expectation (November 2010) was 18% -- Lifetime Remaining CNL expectation -- 10.0% -- Pool factor -11% -- Total credit enhancement (excluding excess spread ): Class A - 47%; -- Excess spread -- Approximately 9% per annum Issuer: AmeriCredit Automobile Receivables Trust 2006-R-M -- Lifetime CNL expectation - 16.75%, prior expectation (November 2010) was 17% -- Lifetime Remaining CNL expectation -- 9.1% -- Pool factor -8% -- Total credit enhancement (excluding excess spread ): Class A - 35%; -- Excess spread -- Approximately 9% per annum Issuer: AmeriCredit Automobile Receivables Trust 2007-A-X -- Lifetime CNL expectation range- 18.00% -- 18.50%, prior expectation (November 2010) was 18.50% -- Pool factor -14% -- Total credit enhancement (excluding excess spread ): Class A - 37%; -- Excess spread -- Approximately 10% per annum Issuer: AmeriCredit Automobile Receivables Trust 2007-B-F -- Lifetime CNL expectation range- 18.00% -- 18.50%, prior expectation (November 2010) was 18.50% -- Pool factor -17% -- Total credit enhancement (excluding excess spread ): Class A - 23%; -- Excess spread -- Approximately 9% per annum Issuer: AmeriCredit Automobile Receivables Trust 2007-C-M -- Lifetime CNL expectation range- 18.00% -- 18.50%, prior expectation (November 2010) was 18.50% -- Pool factor -21% -- Total credit enhancement (excluding excess spread ): Class A - 33%; -- Excess spread -- Approximately 9% per annum Issuer: AmeriCredit Automobile Receivables Trust 2007-D-F -- Lifetime CNL expectation range- 19.50% -- 20.25%, prior expectation (November 2010) was 20.50% -- Pool factor -23% -- Total credit enhancement (excluding excess spread ): Class A - 37%; -- Excess spread -- Approximately 9% per annum Issuer: AmeriCredit Automobile Receivables Trust 2009-1 -- Lifetime CNL expectation range- 12.75% -- 13.50%, prior expectation (November 2010) was 14% -- Pool factor -48% -- Total credit enhancement (excluding excess spread ): Class B -- 58%, Class C -- 38% -- Excess spread -- Approximately 6% per annum Issuer: AmeriCredit Automobile Receivables Trust 2010-1 -- Lifetime CNL expectation range- 6.75% -- 7.75%, prior expectation (at closing) was 16% -- Pool factor -65% -- Total credit enhancement (excluding excess spread ): Class B - 50%, Class C -- 32%, Class D -- 23% -- Excess spread -- Approximately 13% per annum Issuer: AmeriCredit Automobile Receivables Trust 2010-2 -- Lifetime CNL expectation range- 6.75% -- 8.00%, prior expectation (at closing) was 14% -- Pool factor -72% -- Total credit enhancement (excluding excess spread ): Class B - 46%, Class C -- 32%, Class D -- 18%, Class E -- 15% -- Excess spread -- Approximately 11% per annum Issuer: AmeriCredit Automobile Receivables Trust 2010-A -- Lifetime CNL expectation range- 7.00% -- 8.25%, prior expectation (at closing) was 14% -- Pool factor -73% -- Total credit enhancement (excluding excess spread ): Class A - 26%; -- Excess spread -- Approximately 12% per annum Issuer: AmeriCredit Automobile Receivables Trust 2010-B -- Lifetime CNL expectation range- 6.75% -- 8.75%, prior expectation (at closing) was 13% -- Pool factor -84% -- Total credit enhancement (excluding excess spread ): Class A - 24%; -- Excess spread -- Approximately 11% per annum Issuer: AmeriCredit Automobile Receivables Trust 2010-3 -- Lifetime CNL expectation range- 7.75% -- 8.75%, prior expectation (at closing) was 13% -- Pool factor -87% -- Total credit enhancement (excluding excess spread ): Class B - 40%, Class C - 28%, Class D - 18%; -- Excess spread -- Approximately 12% per annum Issuer: AmeriCredit Automobile Receivables Trust 2010-4 -- Lifetime CNL expectation range- 7.75% -- 8.75%, prior expectation (at closing) was 11.50% -- Pool factor -84% -- Total credit enhancement (excluding excess spread ): Class B - 37%, Class C - 27%, Class D - 16%, Class E -- 14%; -- Excess spread -- Approximately 12% per annum AmeriCredit Near-Prime transactions: Issuer: AmeriCredit Prime Automobile Receivables Trust 2007-1 -- Lifetime CNL expectation range- 7.50% -- 8.00%, prior expectation (November 2010) was 8.25% -- Pool factor -14% -- Total credit enhancement (excluding excess spread ): Class D - 25%; -- Excess spread -- Approximately 3% per annum Issuer: AmeriCredit Prime Automobile Receivables Trust 2007-2-M -- Lifetime CNL expectation range- 11.50% -- 12.25%, prior expectation (November 2010) was 12.75% -- Pool factor -22% -- Total credit enhancement (excluding excess spread ): Class A - 28%; -- Excess spread -- Approximately 5% per annum Issuer: AmeriCredit Prime Automobile Receivables Trust 2009-1 -- Lifetime CNL expectation range- 6.5% -- 7.5%, prior expectation (at closing) was 10.50% -- Pool factor -50% -- Total credit enhancement (excluding excess spread ): Class B - 39%, Class C -- 31%; -- Excess spread -- Approximately 6% per annum Ratings on the affected notes could be upgraded (where applicable) if the lifetime CNLs are lower by 10%, or downgraded if the lifetime CNLs are higher by 10%. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current macroeconomic environment, in which unemployment continues to remain at elevated levels, and strength in the used vehicle market. Moody's currently views the used vehicle market as much stronger now than it was at the end of 2008 when the uncertainty relating to the economy as well as the future of the U.S auto manufacturers was significantly greater. Overall, we expect a sluggish recovery in the U.S. economy, with elevated fiscal deficits and persistent, high unemployment levels. The principal methodology used in these notes was "Moody's Approach to Rating U.S. Auto Loan-Backed Securities" rating methodology published in June 2007. Other methodologies and factors that may have been considered in the process of rating these notes can also be found on Moody's website. The underlying ratings reflect the intrinsic credit quality of the notes in the absence of the transactions' guarantees from monoline bond insurers. The current ratings on the below notes are consistent with Moody's practice of rating insured securities at the higher of the guarantor's insurance financial strength rating and any underlying rating. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past 6 months. ARCAP 2004-RR3: S&P Lowers Ratings on 3 Classes of Certs. To 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D (sf)' from 'CCC- (sf)' on the class H, J, and K certificates from ARCap 2004-RR3 Resecuritization Inc. (ARCap 2004-RR3). ARCap 2004-RR3 is a U.S. resecuritized real estate mortgage investment conduit (re-REMIC) transaction. The downgrades of the class J and K certificates follow an $8.8 million principal loss, as detailed in the April 21, 2011, remittance report. Class K has since lost 100% of the original principal balance, while class J experienced a $2.6 million loss. "We lowered the rating on class H to 'D (sf)' primarily due to interest shortfalls that we expect will continue for the foreseeable future. Class H has experienced interest shortfalls since the September 2010 trustee report, and has current accumulated interest shortfalls of $499,454," S&P stated. According to the April 21, 2011, trustee report, the principal loss was due to losses on the underlying commercial mortgage- backed securities (CMBS) collateral. Six distinct transactions experienced a total of $8.8 million in principal losses. These CMBS classes experienced significant principal losses in the current trustee report: * First Union National Bank-Bank of America Commercial Mortgage Trust 2001-C1 (class L {not rated}; $5.1 million loss); and * JP Morgan Chase Commercial Mortgage Securities Corp. 2001- CIBC2 (class L {'D (sf)'}; $1.9 million loss). Per the remittance report, ARCap 2004-RR3 was collateralized by 48 CMBS certificates ($396.8 million, 100%) from 17 distinct transactions issued between 1999 and 2004. Standard & Poor's analyzed ARCap 2004-RR3 according to its current criteria. The analysis is consistent with the lowered ratings. ARCAP 2005-RR5: 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 A-1 and A-2 certificates from ARCap 2005-RR5 Resecuritization Inc. (ARCap 2005-RR5), a U.S. resecuritized real estate mortgage investment conduit (re-REMIC). "The downgrades reflect our analysis of the interest shortfalls affecting the transaction, as noted in the April 25, 2011, trustee report. We expect the interest shortfalls to continue for the foreseeable future," S&P related. According to the April 25, 2011, trustee report, remaining deferred interest to the transaction totaled $8.3 million, and classes A-1 and A-2 have outstanding interest shortfalls totaling $194,085. Both classes have experienced interest shortfalls since the June 2010 payment period. The interest shortfalls to ARCap 2005-RR5 resulted from interest shortfalls on 10 of the underlying certificates primarily due to the master servicer's recovery of prior advances, appraisal subordinate entitlement reductions, servicers' nonrecoverability determinations for advances, and special servicing fees. According to the April trustee report, ARCap 2005-RR5 was collateralized by 11 CMBS certificates ($61.9 million, 100%) from nine distinct transactions issued between 1999 and 2005. Standard & Poor's analyzed ARCap 2005-RR5 according to our current criteria. The analysis is consistent with the lowered ratings. ASG RESECURITIZATION: S&P Keeps 'BB' Rating on 2 Re-REMIC Classes ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on six classes from three residential mortgage-backed securities (RMBS) resecuritized real estate mortgage investment conduit (re-REMIC) transactions issued between 2005 and 2010. Each of these transactions has a pro rata interest payment structure in at least one of its loan groups. "At the same time, we removed five of these ratings from CreditWatch with negative implications. In addition, we affirmed our ratings on 182 classes from six transactions and removed 181 of them from CreditWatch negative," S&P noted. "On Dec. 15, 2010, we placed our ratings on 186 classes from the nine transactions within this review on CreditWatch negative, along with ratings from a group of other RMBS re-REMIC securities. Additionally, on April 1, 2011, we provided an update on the CreditWatch placements and provided clarification regarding our analysis of interest payment amounts within re-REMIC transactions," S&P continued. "Our ratings on the re-REMIC classes are intended to address the timely payment of interest and principal. We reviewed the interest and principal amounts due on the underlying securities, which are then passed through to the applicable re-REMIC classes. When performing this analysis, we applied our loss projections, incorporating, where applicable, our recently revised loss assumptions to the underlying collateral to identify the principal and interest amounts that could be passed through from the underlying securities under our rating scenario stresses. We stressed our loss projections at various rating categories to assess whether the re-REMIC classes could withstand the stressed losses associated with their ratings while receiving timely payment of interest and principal consistent with our criteria," said S&P. "In applying our loss projections we incorporated, where applicable, our recently revised loss assumptions as outlined in 'Revised Lifetime Loss Projections For Prime, Subprime, And Alt-A U.S. RMBS Issued In 2005-2007,' published on March 25, 2011, into our review. Such updates pertain to the 2005-2007 vintage prime, subprime, and Alternative-A (Alt-A) transactions, some of which are associated with the re-REMICs we reviewed," S&P explained. Lifetime Loss Projections For Prime And Subprime RMBS (Percent of original balance) Prime RMBS Subprime RMBS Aggregate Aggregate Vintage Updated Prior Updated Prior 2005 5.5 4.00 18.25 15.40 2006 9.25 6.60 38.25 35.00 2007 11.75 9.75 48.50 43.20 Lifetime Loss Projections For Alternative-A RMBS (Percent of original balance) Fixed/ Aggregate long-reset Vintage Updated Prior Updated Prior 2005 13.75 11.25 12.75 9.60 2006 29.50 26.25 25.25 25.00 2007 36.00 31.25 31.75 26.25 Short-reset hybrid Option ARM Vintage Updated Prior Updated Prior 2005 13.25 14.75 15.50 13.25 2006 30.00 30.50 34.75 26.75 2007 41.00 40.75 43.50 37.50 "As a result of this review, we lowered our ratings on certain classes based on our assessment as to whether there were principal and/or interest shortfalls from the underlying securities that would impair the re-REMIC classes at the applicable rating stresses. The affirmations reflect our assessment of the likelihood that the re-REMIC classes will receive timely interest and principal under the applicable stressed assumptions," S&P noted. As noted, one of these transactions pays interest entirely on a sequential basis, while each of the other eight has a pro rata payment structure in at least one of its loan groups. This sequential interest payment transaction is ASG Resecuritization Trust 2010-4. "For the three transactions that had downgrades and have a pro rata interest payment (Structured Asset Securities Corp. Trust 2005-15, Lehman Structured Securities Corp., and Deutsche Mortgage Securities Inc. Mortgage Loan Trust Series 2006- PR1), we based our downgrades on our projections of principal loss amounts, as opposed to interest shortfalls, allocated to the relevant re-REMIC classes under the applicable ratings stress scenarios," S&P added. Rating Actions ASG Resecuritization Trust 2010-4 Series 2010-4 Rating Class CUSIP To From 2-G23 00190UAX1 BB (sf) BB (sf)/Watch Neg 2-G14 00190UAU7 AA (sf) AA (sf)/Watch Neg 2-A20 00190UBC6 BBB (sf) BBB (sf)/Watch Neg 2-A17 00190UBB8 A (sf) A (sf)/Watch Neg 2-A26 00190UBE2 B (sf) B (sf)/Watch Neg 2-G17 00190UAV5 A (sf) A (sf)/Watch Neg 2-A23 00190UBD4 BB (sf) BB (sf)/Watch Neg 2-G20 00190UAW3 BBB (sf) BBB (sf)/Watch Neg 2-G26 00190UAY9 B (sf) B (sf)/Watch Neg BCAP LLC 2010-RR5-II Trust Series 2010-RR5-II Rating Class CUSIP To From VI-A7 05533QAV9 BBB (sf) BBB (sf)/Watch Neg VI-A3 05533QAR8 A (sf) A (sf)/Watch Neg V-A5 05533QAE7 AA (sf) AA (sf)/Watch Neg V-A4 05533QAD9 BBB (sf) BBB (sf)/Watch Neg V-A6 05533QAF4 A (sf) A (sf)/Watch Neg V-A8 05533QAH0 BBB (sf) BBB (sf)/Watch Neg VI-A4 05533QAS6 BBB (sf) BBB (sf)/Watch Neg VI-A8 05533QAW7 BBB (sf) BBB (sf)/Watch Neg V-A2 05533QAB3 AA (sf) AA (sf)/Watch Neg VI-A1 05533QAP2 AAA (sf) AAA (sf)/Watch Neg VI-A5 05533QAT4 AA (sf) AA (sf)/Watch Neg V-A7 05533QAG2 BBB (sf) BBB (sf)/Watch Neg VI-A2 05533QAQ0 AA (sf) AA (sf)/Watch Neg V-A3 05533QAC1 A (sf) A (sf)/Watch Neg VI-A9 05533QAX5 BBB (sf) BBB (sf)/Watch Neg V-A9 05533QAJ6 BBB (sf) BBB (sf)/Watch Neg VI-A6 05533QAU1 A (sf) A (sf)/Watch Neg BCAP LLC 2010-RR7 Trust Series 2010-RR7 Rating Class CUSIP To From 4A3 05533DBN5 AA (sf) AA (sf)/Watch Neg 12A3 05533DFG6 A (sf) A (sf)/Watch Neg 2A4 05533DAN6 BBB (sf) BBB (sf)/Watch Neg 9A2 05533DDY9 AA (sf) AA (sf)/Watch Neg 2A3 05533DAM8 A (sf) A (sf)/Watch Neg 14A7 05533DFZ4 BBB (sf) BBB (sf)/Watch Neg 3A9 05533DBF2 BBB (sf) BBB (sf)/Watch Neg 6A6 05533DCV6 A (sf) A (sf)/Watch Neg 14A5 05533DFX9 AA (sf) AA (sf)/Watch Neg 3A2 05533DAY2 AA (sf) AA (sf)/Watch Neg 9A4 05533DEA0 BBB (sf) BBB (sf)/Watch Neg 9A5 05533DEB8 AA (sf) AA (sf)/Watch Neg 2A7 05533DAR7 BBB (sf) BBB (sf)/Watch Neg 4A2 05533DBM7 AAA (sf) AAA (sf)/Watch Neg 18A9 05533DHW9 BBB (sf) BBB (sf)/Watch Neg 9A7 05533DED4 BBB (sf) BBB (sf)/Watch Neg 5A4 05533DCE4 BBB (sf) BBB (sf)/Watch Neg 4A7 05533DBS4 A (sf) A (sf)/Watch Neg 5A2 05533DCC8 AA (sf) AA (sf)/Watch Neg 16A2 05533DGM2 AA (sf) AA (sf)/Watch Neg 5A1 05533DCB0 AAA (sf) AAA (sf)/Watch Neg 7A4 05533DDC7 BBB (sf) BBB (sf)/Watch Neg 16A1 05533DGL4 AAA (sf) AAA (sf)/Watch Neg 4A1 05533DBL9 AAA (sf) AAA (sf)/Watch Neg 16A3 05533DGN0 A (sf) A (sf)/Watch Neg 14A4 05533DFW1 BBB (sf) BBB (sf)/Watch Neg 7A9 05533DDH6 BBB (sf) BBB (sf)/Watch Neg 12A8 05533DFM3 BBB (sf) BBB (sf)/Watch Neg 5A3 05533DCD6 A (sf) A (sf)/Watch Neg 12A6 05533DFK7 A (sf) A (sf)/Watch Neg 2A9 05533DAT3 BBB (sf) BBB (sf)/Watch Neg 18A5 05533DHS8 AA (sf) AA (sf)/Watch Neg 16A5 05533DGQ3 AA (sf) AA (sf)/Watch Neg 6A1 05533DCQ7 AAA (sf) AAA (sf)/Watch Neg 18A1 05533DHN9 AAA (sf) AAA (sf)/Watch Neg 5A7 05533DCH7 BBB (sf) BBB (sf)/Watch Neg 6A9 05533DCY0 BBB (sf) BBB (sf)/Watch Neg 2A5 05533DAP1 AA (sf) AA (sf)/Watch Neg 9A8 05533DEE2 BBB (sf) BBB (sf)/Watch Neg 16A4 05533DGP5 BBB (sf) BBB (sf)/Watch Neg 4A6 05533DBR6 AA (sf) AA (sf)/Watch Neg 4A9 05533DBU9 BBB (sf) BBB (sf)/Watch Neg 18A2 05533DHP4 AA (sf) AA (sf)/Watch Neg 16A7 05533DGS9 BBB (sf) BBB (sf)/Watch Neg 9A9 05533DEF9 BBB (sf) BBB (sf)/Watch Neg 2A6 05533DAQ9 A (sf) A (sf)/Watch Neg 6A7 05533DCW4 BBB (sf) BBB (sf)/Watch Neg 7A8 05533DDG8 BBB (sf) BBB (sf)/Watch Neg 6A5 05533DCU8 A (sf) A (sf)/Watch Neg 18A7 05533DHU3 BBB (sf) BBB (sf)/Watch Neg 3A7 05533DBD7 BBB (sf) BBB (sf)/Watch Neg 6A2 05533DCR5 AA (sf) AA (sf)/Watch Neg 6A4 05533DCT1 AA (sf) AA (sf)/Watch Neg 14A1 05533DFT8 AAA (sf) AAA (sf)/Watch Neg 16A6 05533DGR1 A (sf) A (sf)/Watch Neg 16A9 05533DGU4 BBB (sf) BBB (sf)/Watch Neg 7A1 05533DCZ7 AAA (sf) AAA (sf)/Watch Neg 12A5 05533DFJ0 AA (sf) AA (sf)/Watch Neg 6A3 05533DCS3 A (sf) A (sf)/Watch Neg 18A6 05533DHT6 A (sf) A (sf)/Watch Neg 18A3 05533DHQ2 A (sf) A (sf)/Watch Neg 7A5 05533DDD5 AA (sf) AA (sf)/Watch Neg 4A10 05533DBV7 BBB (sf) BBB (sf)/Watch Neg 12A2 05533DFF8 AA (sf) AA (sf)/Watch Neg 12A1 05533DFE1 AAA (sf) AAA (sf)/Watch Neg 7A2 05533DDA1 AA (sf) AA (sf)/Watch Neg 14A6 05533DFY7 A (sf) A (sf)/Watch Neg 3A5 05533DBB1 AA (sf) AA (sf)/Watch Neg 18A4 05533DHR0 BBB (sf) BBB (sf)/Watch Neg 14A9 05533DGB6 A (sf) A (sf)/Watch Neg 3A6 05533DBC9 A (sf) A (sf)/Watch Neg 9A3 05533DDZ6 A (sf) A (sf)/Watch Neg 4A4 05533DBP0 A (sf) A (sf)/Watch Neg 5A6 05533DCG9 A (sf) A (sf)/Watch Neg 14A2 05533DFU5 AA (sf) AA (sf)/Watch Neg 18A8 05533DHV1 BBB (sf) BBB (sf)/Watch Neg 6A8 05533DCX2 BBB (sf) BBB (sf)/Watch Neg 3A1 05533DAX4 AAA (sf) AAA (sf)/Watch Neg 9A1 05533DDX1 AAA (sf) AAA (sf)/Watch Neg 3A3 05533DAZ9 A (sf) A (sf)/Watch Neg 7A6 05533DDE3 A (sf) A (sf)/Watch Neg 7A7 05533DDF0 BBB (sf) BBB (sf)/Watch Neg 16A8 05533DGT7 BBB (sf) BBB (sf)/Watch Neg 9A6 05533DEC6 A (sf) A (sf)/Watch Neg 5A5 05533DCF1 AA (sf) AA (sf)/Watch Neg 4A5 05533DBQ8 BBB (sf) BBB (sf)/Watch Neg 5A8 05533DCJ3 BBB (sf) BBB (sf)/Watch Neg 14A8 05533DGA8 BBB (sf) BBB (sf)/Watch Neg 14A3 05533DFV3 A (sf) A (sf)/Watch Neg 3A10 05533DBG0 A (sf) A (sf)/Watch Neg 2A8 05533DAS5 BBB (sf) BBB (sf)/Watch Neg 2A2 05533DAL0 AA (sf) AA (sf)/Watch Neg 12A4 05533DFH4 BBB (sf) BBB (sf)/Watch Neg 2A1 05533DAK2 AAA (sf) AAA (sf)/Watch Neg 5A9 05533DCK0 BBB (sf) BBB (sf)/Watch Neg 12A9 05533DFN1 BBB (sf) BBB (sf)/Watch Neg 7A3 05533DDB9 A (sf) A (sf)/Watch Neg 4A8 05533DBT2 BBB (sf) BBB (sf)/Watch Neg 12A7 05533DFL5 BBB (sf) BBB (sf)/Watch Neg 3A4 05533DBA3 BBB (sf) BBB (sf)/Watch Neg 3A8 05533DBE5 BBB (sf) BBB (sf)/Watch Neg CSMC Series 2010-17R Series 2010-17R Rating Class CUSIP To From 4-A-2 12645BBV2 AA (sf) AA (sf)/Watch Neg 1-A-3 12645BAE1 AAA (sf) AAA (sf)/Watch Neg 3-A-3 12645BBH3 A (sf) A (sf)/Watch Neg 8-A-5 12645BDW8 AA (sf) AA (sf)/Watch Neg 3-A-6 12645BBM2 A (sf) A (sf)/Watch Neg 2-A-4 12645BAY7 BBB (sf) BBB (sf)/Watch Neg 5-A-6 12645BCU3 A (sf) A (sf)/Watch Neg 4-A-1 12645BBT7 AAA (sf) AAA (sf)/Watch Neg 3-A-2 12645BBF7 AA (sf) AA (sf)/Watch Neg 5-A-3 12645BCN9 A (sf) A (sf)/Watch Neg 8-A-3 12645BDS7 A (sf) A (sf)/Watch Neg 1-A-1 12645BAA9 AAA (sf) AAA (sf)/Watch Neg 8-A-6 12645BDY4 A (sf) A (sf)/Watch Neg 4-A-5 12645BCB5 AA (sf) AA (sf)/Watch Neg 8-A-2 12645BDQ1 AA (sf) AA (sf)/Watch Neg 4-A-3 12645BBX8 A (sf) A (sf)/Watch Neg 2-A-1 12645BAS0 AAA (sf) AAA (sf)/Watch Neg 4-A-6 12645BCD1 A (sf) A (sf)/Watch Neg 3-A-5 12645BBK6 AA (sf) AA (sf)/Watch Neg 1-A-5 12645BAJ0 AAA (sf) AAA (sf)/Watch Neg 2-A-2 12645BAU5 BBB (sf) BBB (sf)/Watch Neg 3-A-1 12645BBD2 AAA (sf) AAA (sf)/Watch Neg 5-A-2 12645BEP2 AA (sf) AA (sf)/Watch Neg 1-A-4 12645BAG6 AAA (sf) AAA (sf)/Watch Neg 1-A-6 12645BAL5 AAA (sf) AAA (sf)/Watch Neg 5-A-1 12645BCL3 AAA (sf) AAA (sf)/Watch Neg 8-A-1 12645BDN8 AAA (sf) AAA (sf)/Watch Neg 5-A-5 12645BCS8 AA (sf) AA (sf)/Watch Neg Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006- PR1 Series 2006-PR1 Rating Class CUSIP To From CW-A1 25157GCT7 CC (sf) BB+ (sf)/Watch Neg J.P. Morgan Resecuritization Trust, Series 2010-8 Series 2010-8 Rating Class CUSIP To From 2-A-1 46635FAK8 AAA (sf) AAA (sf)/Watch Neg 2-A-5 46635FAP7 AA (sf) AA (sf)/Watch Neg 1-A-9 46635FAJ1 A (sf) A (sf)/Watch Neg 1-A-1 46635FAA0 AAA (sf) AAA (sf)/Watch Neg 1-A-2 46635FAB8 AA (sf) AA (sf)/Watch Neg 2-A-3 46635FAM4 A (sf) A (sf)/Watch Neg 1-A-5 46635FAE2 AA (sf) AA (sf)/Watch Neg 2-A-6 46635FAQ5 A (sf) A (sf)/Watch Neg 1-A-3 46635FAC6 A (sf) A (sf)/Watch Neg 2-A-2 46635FAL6 AA (sf) AA (sf)/Watch Neg 1-A-6 46635FAF9 A (sf) A (sf)/Watch Neg Lehman Structured Securities Corp. Series 2005-1 Rating Class CUSIP To From A-1 52518RCC8 AA (sf) AAA (sf)/Watch Neg A-2 52518RCD6 CCC (sf) A (sf)/Watch Neg IO 52518RCE4 AA (sf) AAA (sf)/Watch Neg Nomura Resecuritization Trust 2010-4R Series 2010-4R Rating Class CUSIP To From 2A5 65539EBA9 AA (sf) AA (sf)/Watch Neg 2A2 65539EAY8 AA (sf) AA (sf)/Watch Neg 1A3 65539EAC6 AA (sf) AA (sf)/Watch Neg 3A3 65539EAQ5 A (sf) A (sf)/Watch Neg 3A6 65539EAT9 A (sf) A (sf)/Watch Neg 2A1 65539EAX0 AAA (sf) AAA (sf)/Watch Neg 1A5 65539EAE2 A (sf) A (sf)/Watch Neg 3A5 65539EAS1 AA (sf) AA (sf)/Watch Neg 1A8 65539EAH5 A (sf) A (sf)/Watch Neg 2A6 65539EBB7 A (sf) A (sf)/Watch Neg 3A2 65539EAP7 AA (sf) AA (sf)/Watch Neg 2A3 65539EAZ5 A (sf) A (sf)/Watch Neg 1A7 65539EAG7 AA (sf) AA (sf)/Watch Neg 3A1 65539EAN2 AAA (sf) AAA (sf)/Watch Neg 1A1 65539EAA0 AAA (sf) AAA (sf)/Watch Neg Structured Asset Securities Corporation Trust 2005-15 Series 2005-15 Rating Class CUSIP To From 6-A1 86359DNZ6 B- (sf) BBB (sf)/Watch Neg 6-A2 86359DPA9 B- (sf) BBB (sf) Rating Affirmed BCAP LLC 2010-RR5-II Trust Series 2010-RR5-II Class CUSIP Rating V-A1 05533QAA5 AAA (sf) BANC OF AMERICA: Fitch Downgrades 8 Classes of BACM 2005-1 ---------------------------------------------------------- Fitch Ratings has downgraded eight classes of Banc of America Commercial Mortgage Inc., commercial mortgage pass-through certificates, series 2005-1. The downgrades reflect an increase in Fitch modeled losses across the pool, which includes losses on loans in special servicing and on performing loans that have experienced declines in performance indicative of a higher probability of default. Fitch modeled losses of 6.4% for the current pool. As of the April 2011 distribution date, the pool's aggregate principal balance has decreased 32.9% to $1.5 billion from $2.3 billion at issuance. Approximately 8.6% of the collateral is currently defeased. As of April 2011, there are cumulative interest shortfalls in the amount of $3.9 million, affecting classes H through P. In total, there are seven loans (7.3% of the pool) in special servicing, five of which (6.7%) are 60+ days delinquent on debt service payments. At Fitch's last review, there were nine loans (14%) in special servicing. The largest contributor to loss (2.6%) consists of a 902-pad manufactured housing community located in Bourbonnais, IL, about 50 miles south of Chicago. The loan transferred to special servicing in August 2010 for imminent default, and the special servicer is pursuing foreclosure. Foreclosure has been delayed due to bankruptcy of the borrower; the special servicer is working on getting the stay lifted in order to move forward with receivership. The next largest contributor to loss (2.1%) consists of a multifamily/mixed-use property in Dallas, TX. The collateral consists of a 20-story historic landmark building, which includes 183 multifamily units and ground floor retail, and an adjacent 608-space parking garage located in downtown Dallas. The loan, which matured in February 2010, has been in special servicing since October 2009. The property is under contract for sale through the receiver, subject to an assumption of debt and a modification which includes a principal write down. The servicer anticipates the sale to be complete by the end of June. The next contributor to loss (1%) consists of a 288,175 sf office property in Atlanta, GA. The loan on this property, which transferred to special servicing in June 2009 for imminent default, was modified in December 2009. Terms of the modification included an extension to the original loan term and bifurcation of the loan into a senior and junior component. Although losses are not expected imminently, any recovery to the B-note is contingent upon full recovery to the A-note proceeds at the loan's maturity in 2016. Unless collateral performance improves, recovery to the B-note component is unlikely. Fitch has downgraded, revised Outlooks and Loss Severity (LS) ratings, and assigned Recovery Ratings (RR) to these classes: -- $20.3 million class E to 'BBsf/LS5' from 'BBB-sf/LS5'; Outlook Stable; -- $26.1 million class F to 'Bsf/LS5' from 'BBsf/LS5'; Outlook to Negative from Stable; -- $20.3 million class G to 'CCCsf/RR1' from 'BBsf/LS5'; -- $34.8 million class H to 'CCCsf/RR4' from 'B-sf/LS5'; -- $5.8 million class J to 'CCsf/RR6' from 'B-sf/LS5'; -- $8.7 million class K to 'CCsf/RR6' from 'B-sf/LS5'; -- $8.7 million class L to 'Csf/RR6' from 'B-sf/LS5'; -- $2.9 million class M to 'Csf/RR6' from 'B-sf/LS5'. Fitch also affirms these classes and revises the Outlooks and Loss Severity ratings: -- $162.5 million class A-1A at 'AAAsf/LS1'; Outlook Stable; -- $127.4 million class A-3 at 'AAAsf/LS1'; Outlook Stable; -- $343.1 million class A-4 at 'AAAsf/LS1'; Outlook Stable; -- $79.1 million class A-SB at 'AAAsf/LS1'; Outlook Stable; -- $381.2 million class A-5 at 'AAAsf/LS1'; Outlook Stable; -- $168.4 million class A-J at 'AAAsf/LS3'; Outlook Stable; -- $61 million class B at 'AAsf/LS5' from LS4; Outlook Stable; -- $20.3 million class C at 'Asf/LS5'; Outlook Stable; -- $43.5 million class D at 'BBBsf/LS5'; Outlook Stable; -- $2.1 million class SM-A at 'BB+sf/LS5'; Outlook Stable; -- $2.1 million class SM-B at 'BB+sf/LS5'; Outlook Stable; -- $6.4 million class SM-C at 'BBsf/LS5'; Outlook Stable; -- $2.5 million class SM-D at 'BB-sf/LS5'; Outlook Stable; -- $2 million class SM-E at 'BB-sf/LS5'; Outlook Stable; -- $4.8 million class SM-F at 'B+sf/LS5'; Outlook Stable; -- $4.1 million class SM-G at 'Bsf/LS5'; Outlook Stable; -- $5.5 million class SM-H at 'B-sf/LS5'; Outlook Stable. In addition, Fitch maintains distressed ratings on these classes and adjusts the Recovery Ratings: -- $4.4 million class N at 'Dsf/RR6' from 'RR1'; -- $0 class O at 'Dsf/RR6'. Fitch withdraws the ratings on the interest-only class XW. Fitch does not rate the SM-Jsf LMsf, and Psf classes. Classes A- 1sf, A-2sf, FM-Asf, FM-Bsf, FM-Csf, and FM-Dsf have paid in full. BANK OF AMERICA: Fitch Downgrades 3 Classes of Series 2001-3 ------------------------------------------------------------ Fitch Ratings downgrades and revises Rating Outlooks and Loss Severity (LS) ratings on Bank of America, N.A.-First Union National Bank Commercial Mortgage Trust's (BofA-FUNB) commercial mortgage pass-through certificates, series 2001-3: -- $8.5 million class L to 'BBB/LS5' from 'BBB+/LS4'; Outlook Negative; -- $8.5 million class M to 'B/LS5' from 'BBB/LS4'; Outlook Negative; -- $14.2 million class N to 'CC/RR1' from 'B/LS4'; -- $5.7 million class O to 'C/RR6' from 'CCC/RR6'. In addition, Fitch affirms these classes and revises Outlooks and LS ratings: -- $276.9 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $22.7 million class A-2F at 'AAA/LS1'; Outlook Stable; -- $42.6 million class B at 'AAA/LS4'; Outlook Stable; -- $17.1 million class C at 'AAA/LS5'; Outlook Stable; -- $17.1 million class D at 'AAA/LS5'; Outlook Stable; -- $14.2 million class E at 'AAA/LS5'; Outlook Stable; -- $17.1 million class F at 'AAA/LS5'; Outlook Stable; -- $17.1 million class G at 'AAA/LS5'; Outlook Stable; -- $14.2 million class H at 'AAA/LS5'; Outlook Stable; -- $14.2 million class J at 'AA+/LS5'; Outlook Positive; -- $29.8 million class K at 'A-/LS4'; Outlook Stable; -- $3 million class P at 'D/RR6'. Class A-1 has paid-in-full. Fitch did not rate the $13.7 class Q which has been fully written off or the subordinate component class V-1, V-2, V-3, V-4, and V-5 certificates. The downgrades are due to an increase in Fitch expected losses following Fitch's prospective review of potential stresses and expected losses associated with specially serviced assets. Fitch expects losses of 4.96% of the remaining pool balance, approximately $25.9 million. As of the April 2011 distribution date, the pool's collateral balance has paid down 54% to $522.9 million from $1.1 billion at issuance. Thirteen of the remaining 76 loans have defeased (21.8%). As of April 2011, there are nine specially serviced loans (13%). The largest specially serviced loan is secured by a 119,300 square foot (sf) retail center located in Gainesville, FL. The property was constructed in 1999 and recent inspections indicate it is in fair condition. Recent values indicate that the property is worth less than the outstanding loan amount. The second largest specially serviced loan is secured by a 350,661 sf retail mall located in Monroe, NC. The subject property was built in 1979 and renovated in 2000. The loan was transferred to special servicing in October 2010 due to maturity default. The special servicer is determining the resolution strategy. Fitch has withdrawn the rating on the interest-only class XC. BEAR STEARNS: Fitch Downgrades 2005-PWR10 Certificates ------------------------------------------------------ Fitch Ratings has downgraded 15 classes of Bear Stearns Commercial Mortgage Securities Trust (BSCMST), series 2005-PWR10 commercial mortgage pass-through certificates due to further deterioration of performance relative to the previous full transaction review, most of which involves increased projected losses on the specially serviced loans. The downgrades reflect an increase in Fitch expected losses across the pool. Fitch modeled losses of 12.7% for the remaining pool; expected losses as a percentage of the original pool balance are at 11.8%, including losses already incurred to date (0.3%). Fitch has designated 59 loans (36.0%) as Fitch Loans of Concern, which includes the 13 specially serviced loans (12.3%). Fitch expects that classes J through S may be fully depleted from losses associated with the specially serviced assets. As of the May 2011 distribution date, the pool's aggregate principal balance has been reduced by approximately 9.6% to $2.38 billion from $2.63 billion at issuance, due to a combination of paydown (9.3%) and realized losses (0.3%). Interest shortfalls totaling $3.4 million are affecting classes O through S. The largest contributor to modeled losses is the specially serviced World Market Center loan (8.8% of the pool), which is secured by a 10-story, approximately 1.1 million-square foot (sf) furniture mart approximately five miles north of the center of the Las Vegas Strip. The loan has been in special servicing since its September 2009 transfer for imminent default. The property suffered during the recession as vacancy increased, tenant payments came in late, and the borrower was forced to offer high concessions to attract new tenants. According to various media reports, the property was recently acquired by a venture majority-owned by funds managed by Bain Capital and Oaktree Capital Management at an undisclosed price. According to the special servicer, an assumption and modification is in the process of being finalized, with details to be disclosed in the June remittance. The second-largest contributor to modeled losses (4% of the pool) is a mixed-use lifestyle center in Westlake, OH, approximately 15 miles west of Cleveland's central business district. Collateral includes approximately 398,000 sf of retail space, 84,000 sf of office space, and 158 multifamily units. While the office and multifamily components had not yet stabilized at issuance, occupancy has since risen to 97% as of year-end (YE) 2010 and revenues reported by the servicer were in line with expectation at issuance. However, with expenses 37% higher than underwritten, the property remained unable to service its related debt out of operating cash flows as of YE 2010, with a reported debt service coverage ratio (DSCR) of 0.75 times (x). Fitch has downgraded these classes and assigned Recovery Ratings (RRs): -- $19.8 million class B to 'Bsf/LS5' from 'BBsf/LS5'; Outlook Negative; -- $29.6 million class C to 'B-sf/LS5' from 'Bsf/LS5'; Outlook Negative; -- $23 million class D to 'CCCsf/RR1' from 'Bsf/LS5'; -- $16.5 million class E to 'CCCsf/RR1' from 'Bsf/LS5'; -- $26.3 million class F to 'CCCsf/RR1' from 'B-sf/LS5'; -- $26.3 million class G to 'CCCsf/RR1' from 'B-sf/LS5'; -- $29.6 million class H to 'CCsf/RR4' from 'B-sf/LS5'; -- $26.3 million class J to 'Csf/RR6' from 'B-sf/LS5'; -- $36.2 million class K to 'Csf/RR6' from 'CCCsf/RR6'; -- $3.3 million class L to 'Csf/RR6' from 'CCCsf/RR6'; -- $9.9 million class M to 'Csf/RR6' from 'CCCsf/RR6'; -- $13.2 million class N to 'Csf/RR6' from 'CCCsf/RR6'; -- $6.6 million class O to 'Csf/RR6' from 'CCCsf/RR6'; -- $6.6 million class P to 'Csf/RR6' from 'CCCsf/RR6'; -- $9.9 million class Q to 'Csf/RR6' from 'CCCsf/RR6'; Additionally, Fitch has affirmed these classes and revised Rating Outlooks: -- $49.9 million class A-2 at 'AAAsf/LS2'; Outlook Stable; -- $59.4 million class A-3 at 'AAAsf/LS2'; Outlook Stable; -- $157.1 million class A-AB at 'AAAsf/LS2'; Outlook Stable; -- $1.05 billion class A-4 at 'AAAsf/LS2'; Outlook Stable; -- $282.6 million class A-1A at 'AAAsf/LS2'; Outlook Stable; -- $263.4 million class A-M at 'AAAsf/LS4'; Outlook to Stable from Negative; -- $210.7 million class A-J at 'BBsf/LS4'; Outlook Negative. Fitch does not rate the $25.5 million class S. Class A-1 has repaid in full. BEAR STEARNS: Fitch Downgrades Ratings on Series 2005-TOP18 Certs. ------------------------------------------------------------------ Fitch Ratings downgrades 13 classes of Bear Stearns Commercial Mortgage Securities Trust, commercial mortgage pass-through certificates, series 2005-TOP18. The downgrades reflect an increase in Fitch expected losses across the pool. Fitch modeled losses of 3.4% of the remaining pool; expected losses on the original pool balance total 3.4%, including losses already incurred to date. Fitch has designated 29 loans (19.1%) as Fitch Loans of Concern, including nine specially serviced loans (4.4%). At Fitch's last review, there were seven specially serviced loans (9.4%). Currently, Fitch expects eventual losses associated with the specially serviced loans may fully deplete classes M through P and materially reduce the balance of class L. As of the April 2011 distribution date, the pool's aggregate principal balance has paid down by 12.6% to $980 million from $1.12 billion at issuance. Two loans (0.5%) have defeased since issuance. Interest shortfalls are currently affecting classes M through P. The largest contributor to expected losses is a loan (0.5% of the pool) that is secured by a 128,899 square foot (sf) community shopping center located in St. Petersburg, FL. Property performance has suffered following the departure of Home Depot in 2009. While an Office Depot opened at the center, property occupancy remains weak at 44% as of Dec. 31, 2010. In addition, the center faces significant rollover; as of the March 2011 rent roll, the remaining leases expire within 18 months. As a result of the low occupancy, the servicer-reported debt service coverage ratio (DSCR) fell to 0.29 times (x) at year end (YE) 2010 down from 1.73x at YE2009 and 2.08x at issuance. The loan remains current as of the April remittance date. The second largest contributor to expected losses, which is a non- performing specially serviced asset (1.1% of the pool), is secured by a 115,177 sf anchored retail center located in Whiting, NJ. The asset transferred to special servicing in July 2009 as the borrower was unable to meet debt service obligations due to delinquent rents from tenants. The anchor tenant, a grocery store, is affiliated with the borrower and has been unable to pay rent due to operating losses. The special servicer plans to have a receiver appointed by the courts and is pursuing foreclosure of the asset. The third largest contributor to losses is a loan (0.6% of the pool) secured by a full-service 104-room boutique hotel and a non- contiguous parking garage located in Baltimore, MD. Hotel amenities include a restaurant, lounge, nine meeting rooms, business center and a fitness center. The property continues to suffer from weak performance due to a decline in leisure and business travel in the market. The servicer-reported net operating income (NOI) DSCR of 0.71 at YE2010 is down from 1.12 at YE2009 and 2.15 at issuance. The loan remains current as of the April remittance date. Fitch downgrades, assigns Loss Severity (LS) ratings and Rating Outlooks: -- $29.4 million class B to 'A/LS4' from 'AA/LS3'; Outlook Stable; -- $8.4 million class C to 'A/LS5' from 'AA-/LS4'; Outlook Stable; -- $12.6 million class D to 'BBB-/LS5' from 'A/LS4'; Outlook Stable; -- $11.2 million class E to 'BB/LS5' from 'A-/LS4'; Outlook Stable; -- $9.8 million class F to 'BB/LS5' from 'BBB/LS4'; Outlook to Negative from Stable; -- $9.8 million class G to 'B-/LS5' from 'BBB-/LS4'; Outlook to Negative from Stable; -- $8.4 million class H to 'CCC/RR1' from 'BB/LS4'; -- $4.2 million class J to 'CCC/RR1' from 'BB/LS5'; -- $4.2 million class K to 'CCC/RR1' from 'B/LS5' ; -- $4.2 million class L to 'CC/RR6' from 'B-/LS5' ; -- $1.4 million class M to 'CC/RR6' from 'B-/LS5'; -- $1.4 million class N to 'C/RR6' from 'B-/LS5'; -- $2.8 million class O to 'C/RR6' from 'CCC/RR6'. Fitch also affirms these classes, assigns LS ratings and Rating Outlooks: -- $69.5 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $41.6 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $105.7 million class A-AB at 'AAA/LS1'; Outlook Stable; -- $517.2 million class A-4 at 'AAA/LS1'; Outlook Stable; -- $75 million class A-4FL at 'AAA/LS1'; Outlook Stable; -- $74.3 million class A-J at 'AAA/LS3'; Outlook Stable; Class A-1 has paid in full. Fitch does not rate the $3.1 million class P. Fitch has withdrawn the ratings on the interest-only class X. BEAR STEARNS: Fitch Takes Rating Actions on BSCMI 2002-TOP8 ----------------------------------------------------------- Fitch Ratings has downgraded four classes and upgraded one of class Bear Stearns Commercial Mortgage Securities Trust, commercial mortgage pass-through certificates, series 2002-TOP8. The downgrades reflect Fitch projected losses which are expected to reduce to zero the balance of the unrated class O. The upgrades and Positive Rating Outlooks 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 the upgrade. Fitch modeled losses of 2.23% of the remaining pool. Fitch has designated 15 loans (11%) as Fitch Loans of Concern, which include five specially serviced loans (4.2%). As of the April 2011 distribution date, the pool's aggregate principal balance has been paid down by approximately 19.7% to $675.7 million from $842.2 million at issuance. Twenty-one loans (29%) in the transaction are defeased. Interest shortfalls are affecting the unrated class O. The largest contributor to loss (1.18% of pool balance) is a 205,000 square foot single tenant retail property located in Sacramento, CA. The loan transferred to special servicing on Sept. 29, 2010, and has remained current while in special servicing. The special servicer approved a lease amendment which modified the terms of the lease extension options. The property's tenant, who has a lease expiration of Oct. 31, 2011, has executed a two year extension at a lower lease rate while retaining options for additional extensions. Fitch modeled losses are based on the new lease payment. The second largest contributor to losses (.57%) is a 124 unit Low Income Housing Tax Credit property located in Tomball, TX. The loan transferred to special servicing on Feb. 2, 2010 when the carve out guarantor filed bankruptcy. The special servicer foreclosed on the property on March 1, 2011. Fitch downgrades these classes and revises the Outlooks and assigns Recovery Ratings (RRs): -- $4.2 million class K to 'B/LS5' from 'BB-/LS5'; Outlook to Negative from Stable; -- $3.2 million class L to 'B-/LS5' from 'B+/LS5'; Outlook to Negative from Stable; -- $3.2 million class M to 'CCC/RR1' from 'B/LS5'; -- $3.2 million class N to 'CCC/RR1' from 'B-/LS5'. Fitch upgrades this class and revises the Outlook: -- $28.4 million class C to 'AA/LS3' from at 'A+/LS3'; Outlook to Positive from Stable. Fitch also affirms these classes and revises the rating Outlooks: -- $22.3 million class A-1 at 'AAA/LS3'; Outlook Stable; -- $538.8 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $25.3 million class B at 'AAA/LS3'; Outlook Stable; -- $9.5 million class D at 'A/LS3'; Outlook to Positive from Stable; -- $11.6 million class E at 'BBB+/LS3'; Outlook to Positive from Stable; -- $6.3 million class F at 'BBB/LS4'; Outlook to Positive from Stable; -- $4.2 million class G at 'BBB-/LS4'; Outlook Stable; -- $8.4 million class H at 'BB+/LS4'; Outlook Stable; -- $3.2 million class J at 'BB/LS5'; Outlook Stable. Fitch does not rate the $5.1 million class O and the interest only class X-2 has been paid in full. Fitch withdraws the rating on the interest-only classes X-1. BEAR STEARNS: Moody's Downgrades Ratings on $1.98 Bil. RMBS ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 61 tranches and has confirmed the ratings of six tranches issued by 15 RMBS resecuritization transactions. 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 assumption on the underlying pools of mortgage loans (backing the underlying certificates) and then arrived at updated ratings on the underlying certificates. The ratings on the underlying certificates are based on expected recoveries on the bonds under ninety-six different combinations 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. In order to determine the ratings of the resecuritized bonds, losses on the underlying certificates were ascribed to the resecuritized bonds, according to the structure of each resecuritized transaction. 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 reports had neutral impact on the ratings. Complete rating actions are: Issuer: Bear Stearns Structured Products Inc. Trust 2007-R6 -- Cl. I-A-1, Downgraded to Caa3 (sf); previously on Jan 29, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to C (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Caa3 (sf); previously on Jan 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to C (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CSMC 2005-1R -- Cl. 2-A-1, Downgraded to Caa2 (sf); previously on Jan 29, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Caa2 (sf); previously on Jan 29, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-5, Downgraded to Caa2 (sf); previously on Jan 29, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-6, Downgraded to Caa2 (sf); previously on Jan 29, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-8, Downgraded to Caa2 (sf); previously on Jan 29, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-9, Downgraded to Caa2 (sf); previously on Jan 29, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Resecuritization Pass-Through Certificates, Series 2006-22R -- Cl. 1-A-1, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Downgraded to Ca (sf); previously on Jan 29, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-3, Downgraded to C (sf); previously on Jan 29, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-4, Downgraded to Ca (sf); previously on Jan 29, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-5, Downgraded to C (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-6, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-7, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-8, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-9, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-10, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-3, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Inc. Resecuritization Pass-Through Certificates, Series 2007-26R -- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to C (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to Caa3 (sf); previously on Jan 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Caa3 (sf); previously on Jan 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Caa3 (sf); previously on Jan 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Caa3 (sf); previously on Jan 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to Caa3 (sf); previously on Jan 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-8, Downgraded to Caa3 (sf); previously on Jan 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-9, Downgraded to C (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-10, Downgraded to C (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-11, Downgraded to C (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-12, Downgraded to C (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-13, Downgraded to C (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. A-14, Downgraded to C (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CWALT, Resecuritization Pass-Through Certificates, Series 2008-2R -- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jan 29, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-1, Downgraded to Caa3 (sf); previously on Jan 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 3-A-1, Downgraded to Caa3 (sf); previously on Jan 29, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A-1, Downgraded to Caa3 (sf); previously on Jan 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. 5-A-1, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Citigroup Mortgage Loan Trust 2007-11, Re-Remic Trust Certificates, Series 2007-11 -- Cl. I-A-1, Downgraded to Caa3 (sf); previously on Jan 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-1B, Downgraded to C (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Caa2 (sf); previously on Jan 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-3, Confirmed at Ca (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-4, Downgraded to Caa2 (sf); previously on Jan 29, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-5, Confirmed at Ca (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust Certificates, Series 2006-RS1 -- Cl. N-1, Downgraded to C (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Deutsche Mortgage Securities, Inc., REMIC Trust Certificates, Series 2008-RS3 -- Cl. A-1, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Financial Asset Securities Corp. AAA Trust 2005-2 -- Cl. I-A3B, Confirmed at Aaa (sf); previously on Jan 29, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. I-X, Confirmed at Aaa (sf); previously on Jan 29, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. II-X, Confirmed at Aaa (sf); previously on Jan 29, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A3, Downgraded to Aa1 (sf); previously on Jul 20, 2005 Assigned Aaa (sf) Issuer: J.P. Morgan Alternative Loan Trust, Series 2008-R1 -- Cl. 2-A-1, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. 2-A-2, Downgraded to C (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: J.P. Morgan Mortgage Trust, Series 2008-R1 -- Cl. 1-A-1, Downgraded to Caa1 (sf); previously on Jan 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. 1-A-2, Confirmed at Ca (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Lehman Mortgage Trust 2006-1 -- Cl. 4-A1, Downgraded to Caa1 (sf); previously on Jan 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. 4-A2, Downgraded to Ca (sf); previously on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Lehman Structured Securities Corp. Series 2005-1 -- Cl. A-1, Downgraded to Ba3 (sf); previously on Feb 16, 2011 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Ca (sf); previously on Feb 16, 2011 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. IO, Downgraded to Ba3 (sf); previously on Feb 16, 2011 Aa3 (sf) Placed Under Review for Possible Downgrade Issuer: MASTR Adjustable Rate Mortgages Trust 2007-R5 -- Cl. A1, Downgraded to Ca (sf); previously on Jan 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to C (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: RBSGC Structured Trust Pass-Through Certificates, Series 2008-A -- Cl. A1, Downgraded to Caa3 (sf); previously on Jan 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A2, Downgraded to C (sf); previously on Mar 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade BEAR STEARNS: Moody's Downgrades Ratings of Resecuritized RMBS -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 13 tranches and has confirmed the ratings of two tranches issued by 8 RMBS resecuritization transactions. 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 on the underlying 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: Bear Stearns ARM Trust 2003-2 -- Cl. A-5, Downgraded to A3 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to A3 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust Certificates, Series 2005-WF1 -- Cl. II-A-1, Confirmed at B3 (sf); previously on Jan 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust Certificates, Series 2007-RS3 -- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to Caa3 (sf); previously on Jan 29, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust Certificates, Series 2007-RS4 -- Cl. A-1, Downgraded to Caa2 (sf); previously on Jan 29, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to Caa2 (sf); previously on Jan 29, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust Certificates, Series 2007-RS7 -- Cl. A-1, Downgraded to Caa3 (sf); previously on Jan 29, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-X, Downgraded to Caa3 (sf); previously on Jan 29, 2010 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Financial Asset Securities Corp. AAA Trust 2005-1 -- Cl. I-A3A, Downgraded to A3 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. I-A3B, Downgraded to A3 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. I-X, Downgraded to A3 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Greenwich Capital Structured Products Trust 2005-1 -- Cl. A, Downgraded to Baa3 (sf); previously on Jul 2, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Issuer: Residential Asset Securitization Trust 2006-R2 -- Cl. A-1, Downgraded to Caa1 (sf); previously on Jan 29, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Confirmed at Caa3 (sf); previously on Jan 29, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade BEAR STEARNS: Moody's Takes Action on $1.9 billion of Alt-A RMBS ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 87 tranches from nine Alt-A deals issued by Bear Stearns ARM Trust. The collateral backing these deals primarily consists of first- lien, adjustable rate Alt-A residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of Alt-A pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. 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. Similarly, Moody's previous rating actions on Bear Stearns ARM Trust 2004-8 relied on language in the prospectus supplement for that transaction to treat Class I-1-A-2 as a super senior tranche supported by Class I-1-A-3, with Class I-1-A-3 covering the pro- rata share of losses of Class I-1-A-2 as long as Class I-1-A-3 remains outstanding. The PSA, however, provides for pro-rata loss allocation among all the senior classes. The trustee confirmed that it is following the PSA, and Moody's has adjusted its ratings accordingly. The actions reflect Moody's updated loss expectations on Alt-A pools issued from prior to 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 approach " Pre-2005 US RMBS Surveillance Methodology " is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. . Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 10.10%. in addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated is multiplied by a factor ranging from 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Overall, Moody's assumes a further 5% decline in home prices with stabilization in late 2011, accompanied by continued stress in national employment levels through that timeframe. Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating. Complete rating actions are: Issuer: Bear Stearns ARM Trust 2004-10 -- Cl. I-1-A-1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-2-A-1, Downgraded to Aa3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-2-A-2, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-2-A-3, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-2-A-4, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-2-A-5, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-2-A-6, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-3-A-1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-4-A-1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-5-A-1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-1-A-1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-2-A-1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-3-A-1, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. III-1-A-1, Downgraded to Caa1 (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. III-2-A-1, Downgraded to Caa1 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-M-1, Downgraded to Caa1 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-1, Downgraded to Ca (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-2, Downgraded to C (sf); previously on Apr 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-3, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-B-1, Downgraded to Ca (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-B-2, Downgraded to C (sf); previously on Apr 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-B-3, Downgraded to C (sf); previously on Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2004-11 -- Cl. I-A-1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-A-1, Downgraded to Baa1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ba2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Caa3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2004-12 -- Cl. I-A-1, Downgraded to B1 (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to B1 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to B1 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-3, Downgraded to B1 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-A-1, Downgraded to B1 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-A-1, Downgraded to B1 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. M-1, Downgraded to Ca (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2004-3 -- Cl. I-A-1, Downgraded to B2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to B1 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-3, Downgraded to Caa2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A, Downgraded to B2 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. III-A, Downgraded to B2 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-A, Downgraded to B2 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2004-4 -- Cl. A-6, Downgraded to A2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-7, Downgraded to A2 (sf); previously on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to Caa2 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2004-5 -- Cl. I-A, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-A, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-A, Downgraded to Ba1 (sf); previously on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to Caa3 (sf); previously on Apr 16, 2009 Downgraded to A3 (sf) -- Cl. B-2, Downgraded to C (sf); previously on Apr 16, 2009 Downgraded to Ba1 (sf) -- Cl. B-3, Downgraded to C (sf); previously on Apr 16, 2009 Downgraded to B3 (sf) Issuer: Bear Stearns ARM Trust 2004-6 -- Cl. I-A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Ca (sf); previously on Apr 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-2, Downgraded to Ca (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. III-A, Downgraded to B3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2004-7 -- Cl. I-A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-A-2, Downgraded to Ca (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. III-A, Downgraded to Ba3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade -- Cl. IV-A, Downgraded to Ba3 (sf); previously on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-1, Downgraded to C (sf); previously on Apr 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. B-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. B-3, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2004-8 -- Cl. I-1-A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade -- Cl. I-1-A-2, Downgraded to B3 (sf); previously on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-1-A-3, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-2-A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-3-A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-4-A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-1, Downgraded to C (sf); previously on Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-2, Downgraded to C (sf); previously on Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade -- Cl. I-B-3, Downgraded to C (sf); previously on Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade -- Cl. II-A-1, Downgraded to B3 (sf); previously on Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade C-BASS CBO IX: Moody's Upgrades Rating of One Class of Notes ------------------------------------------------------------ Moody's Investors Service has upgraded the rating of one class of notes issued by C-Bass CBO IX, Ltd. The class of notes affected by the rating action is: -- US$220,500,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2039 (current balance: $19,884,448), Upgraded to Ba1 (sf); previously on June 4, 2010 Downgraded to B1 (sf); Ratings Rationale According to Moody's, the rating action taken on the notes results primarily from the delevering of the Class A-1 Notes. On the most recent payment date in April 2011 the Class A-1 Notes received a principal payment of $4.7mm. Since the last review in June 2010 the Class A-1 Notes have paid down by approximately $22mm. As a result of the delevering, the par coverage of the Class A-1 Notes exceeds 200%. Over 40% of the names in the portfolio have an investment grade Moody's rating. Moody's also notes that since the last review, the number of defaults has remained stable, the A/B OC has slightly deteriorated and the WARF has deteriorated as well. Based on the April 2011 trustee report, the weighted average rating factor is 2381 compared to 1665 in April 2010. The Class A/B OC ratio was reported as 101.835% in April 2011 compared to 107.8% in the April 2010 report. However, the delevering of the Class A-1 Notes has outweighed the negative effects of the WARF deterioration. C-Bass CBO IX is a collateralized debt obligation issuance backed by a portfolio of primarily Residential Mortgage-Backed Securities (RMBS), the majority of which originated in 2003 and 2004. The principal methodology used in this 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: 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. 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 Caa3 bucket notched down to Ca: -- Class A-1: 0 -- Class A-2: 0 -- Class B: 0 -- Class C: 0 -- Class D: 0 Moody's Caa3 bucket notched up to Caa1: -- Class A-1: 0 -- Class A-2: 0 -- Class B: 0 -- Class C: 0 -- Class D: 0 CAPITAL ONE: Moody's Upgrades Prime and Subprime Auto Loan ABS -------------------------------------------------------------- Moody's has upgraded one tranche from one prime and two tranches from two subprime auto loan securitizations sponsored by Capital One Auto Finance, Inc (Cap One). Ratings Issuer: Capital One Auto Finance Trust 2007-B -- Cl. A-4, Upgraded to Aaa (sf); previously on Nov 19, 2010 Upgraded to Aa2 (sf) -- Underlying Rating: Upgraded to Aaa (sf); previously on Nov 19, 2010 Upgraded to Aa2 (sf) Financial Guarantor: MBIA Insurance Corporation B3; previously on 2/18/2009 Downgraded to B3 from Baa1 Issuer: Capital One Auto Finance Trust 2007-C -- Cl. A-4, Upgraded to Aaa (sf); previously on Nov 19, 2010 Upgraded to Aa2 (sf) Underlying Rating: Upgraded to Aaa (sf); previously on Nov 19, 2010 Upgraded to Aa2 (sf) Financial Guarantor: Financial Guaranty Insurance Company WR; previously on 3/24/2009 Downgraded to Caa3 from Caa1 Issuer: Capital One Prime Auto Receivables Trust 2007-2 -- Cl. B, Upgraded to Aaa (sf); previously on Nov 19, 2010 Upgraded to Aa1 (sf) Ratings Rationale The actions are a result of lower lifetime cumulative net loss (CNL) expectations and build-up in credit enhancement relative to remaining losses due to the non-declining nature of reserve accounts in the transactions. The Overcollateralization (OC) for the transactions is at its target level as a percentage of the current pool balance . Moody's expects the Capital One Prime Auto Receivables Trust 2007- 2 to incur lifetime cumulative net loss (CNL) of 3.25%, lower than the expectation of 3.35% when Moody's previously reviewed this transaction in November 2010. For the two subprime transactions that were issued in 2007, Moody's currently expects lifetime CNLs to be 8.50% and 9.00% for the 2007-B and 2007-C respectively, this compares favorably to Moody's previous loss expectation of 9.00% and 9.50% respectively when these transactions where last reviewed in November 2010. Both transactions benefit from financial insurance however, the insurance did not factor into the ratings. Moody's listed key performance metrics and credit assumptions for each affected transaction. Credit assumptions include Moody's expected lifetime CNL expectation which is expressed as a percentage of the original pool balance, and Moody's lifetime remaining CNL expectation and Aaa levels which are expressed as a percentage of the current pool balance; The Aaa level is the level of credit enhancement that would be consistent with a Aaa rating for the given asset pool. Performance metrics include pool factor which is the ratio of the current collateral balance and the original collateral balance at closing; total credit enhancement, which typically consists of subordination, overcollateralization, and a reserve fund; and per annum excess spread. Capital One Prime transaction: Issuer: Capital One Prime Auto Receivables Trust 2007-2 -- Lifetime CNL expectation -- 3.25%, prior expectation (November 2010) was 3.35% -- Lifetime Remaining CNL expectation -- 1.5% -- Aaa level -- Approximately 7.7% -- Pool factor -13% -- Total credit enhancement (excluding excess spread ): Class B - 8%; -- Excess spread - Approximately 2% per annum Capital One Subprime transaction's: Issuer: Capital One Auto Finance Trust 2007-B -- Lifetime CNL expectation -- 8.5%, prior expectation (November 2010) was 9.0% -- Lifetime Remaining CNL expectation -- 3.95% -- Pool factor -14% -- Total credit enhancement (excluding excess spread ): Class A - 20%; -- Excess spread - Approximately 6% per annum Issuer: Capital One Auto Finance Trust 2007-C -- Lifetime CNL expectation -- 9.0%, prior expectation (November 2010) was 9.5% -- Lifetime Remaining CNL expectation -- 4.38% -- Pool factor -19% -- Total credit enhancement (excluding excess spread ): Class A - 17%; -- Excess spread - Approximately 6% per annum Ratings on the affected notes could be upgraded (where applicable) if the lifetime CNLs are lower by 10%, or downgraded if the lifetime CNLs are higher by 10%. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current macroeconomic environment, in which unemployment continues to rise moderately, and strength in the used vehicle market. Moody's currently views the used vehicle market as much stronger now than it was at the end of 2008 when the uncertainty relating to the economy as well as the future of the U.S auto manufacturers was significantly greater. Overall, Moody's expects a sluggish recovery in the U.S. economy, with elevated fiscal deficits and persistent, high unemployment levels. The principal methodology used in these securities was "Moody's Approach to Rating U.S. Auto Loan-Backed Securities" rating methodology published in June 2007. Other methodologies and factors that may have been considered in the process of rating these notes can also be found on Moody's website. The underlying ratings reflect the intrinsic credit quality of the securities in the absence of the transactions' guarantees from monoline bond insurers. The current ratings on the securities are consistent with Moody's practice of rating insured securities at the higher of the guarantor's insurance financial strength rating and any underlying rating. 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. CBA COMMERCIAL: Moody's Affirms Five CMBS Classes of CBAC 2006-1 ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of five classes of CBA Commercial Assets Securities Inc., Series 2006-1: -- Cl. A, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (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 Jan 28, 2010 Downgraded to C (sf) -- Cl. M-3, Affirmed at C (sf); previously on Jan 28, 2010 Downgraded to C (sf) -- Cl. X-1, 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 13.5% of the current balance. At last review, Moody's cumulative base expected loss was 17.4%. Moody's stressed scenario loss is 19.8% 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 also considered in its analysis "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 85 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. 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 46% to $90.1 million from $166.8 million at securitization. The Certificates are collateralized by 162 mortgage loans ranging in size from less than 1% to 3% of the pool, with the top ten loans representing 22% of the pool. Fifteen 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 (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 loans have been liquidated from the pool since securitization, resulting in an aggregate $16.1 million loss (77% loss severity on average). Realized losses have resulted in 100% principal loss to Classes M-4 through M-8 and an 97% principal loss to Class M-3. At Moody's prior review, aggregate realized losses represented $14.7 million. Thirty-seven loans, representing 15.4% of the pool, are currently in special servicing. Moody's has estimated an aggregate $8.3 million loss (75% expected loss on average) for specially serviced loans. Moody's has assumed a high default probability on four loans, representing 1.7% of the pool. These loans are on the watch list due to poor performance. Moody's has estimated a $863,297 million aggregate loss (55% expected loss based on a 75% default probability) from these loans. Moody's rating action recognizes potential uncertainty around the timing and magnitude of losses from these troubled loans. CBA COMMERCIAL: Moody's Affirms Four CMBS Classes of CBAC 2006-2 ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of four classes of CBA Commercial Assets, Small Balance Commercial Mortgage Pass- Through Certificates Series 2006-2: -- Cl. A, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) -- Cl. X-1, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) -- Cl. M-1, Affirmed at C (sf); previously on Jan 28, 2010 Downgraded to C (sf) -- Cl. M-2, Affirmed at C (sf); previously on Jan 28, 2010 Downgraded to C (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. 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 21.0% of the current balance. At last review, Moody's cumulative base expected loss was 21.7%. Moody's stressed scenario loss is 23.0% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current 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 78 compared to 87 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. Deal Performance As of the April 25, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 38% to $80.35 million from $130.48 million at securitization. The Certificates are collateralized by 188 mortgage loans ranging in size from less than 1% to 4% of the pool, with the top ten loans representing 28% of the pool. Twenty-six 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) 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-three loans have been liquidated from the pool since securitization, resulting in an aggregate $15.9 million loss (73% loss severity on average). Forty-four loans, representing 25% of the pool, are currently in special servicing. The master servicer has recognized an aggregate $4.97 million appraisal reduction for six of the specially serviced loans. Moody's has estimated an aggregate $14.7 million loss (73% expected loss on average) for the specially serviced loans. CBA COMMERCIAL: Moody's Affirms Four CMBS Classes of CBAC 2007-1 ---------------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of four classes of CBA Commercial Assets Securities Inc., Series 2007-1: -- Cl. A, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded to C (sf) -- Cl. X-1, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded to C (sf) -- Cl. M-1, Affirmed at C (sf); previously on Jan 28, 2010 Downgraded to C (sf) -- Cl. M-2, Affirmed at C (sf); previously on Jan 28, 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 24.9% of the current balance. At last review, Moody's cumulative base expected loss was 28.9%. Moody's stressed scenario loss is 31.3% 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 Conduit Transactions," published in September 2000. Moody's also considered in its analysis "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 84 compared to 91 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 22, 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 29% to $91.9 million from $127.6 million at securitization. The Certificates are collateralized by 304 mortgage loans ranging in size from less than 1% to 3% of the pool, with the top ten loans representing 24% of the pool. Eleven loans, representing 6% 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-four loans have been liquidated from the pool since securitization, resulting in an aggregate $12.6 million loss (77% loss severity on average). Realized losses have resulted in 100% principal loss to Classes M-3 through M-8 and an 18% principal loss to Class M-2. At Moody's prior review, aggregate realized losses represented $9.2 million. Sixty-four loans, representing 43% of the pool, are currently in special servicing. The master servicer has recognized an aggregate $3.5 million appraisal reduction for seven of the specially serviced loans. Moody's has estimated an aggregate $18.9 million loss (75% expected loss on average) for specially serviced loans. Moody's has assumed a high default probability on four loans, representing 2% of the pool. These loans are on the watch list due to poor performance. Moody's has estimated a $1.2 million aggregate loss (55% expected loss based on a 75% default probability) from these loans. CENTERLINE 2007-1: S&P Lowers Rating on Class M Certs. to 'D' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating to 'D (sf)' from 'CC (sf)' on the class M certificates from Centerline 2007-1 Resecuritization Trust (Centerline 2007-1), a commercial real estate collateralized debt obligation (CRE CDO) transaction. "At the same time, we affirmed 10 'CC (sf)' ratings from the same transaction," S&P related. The downgrade reflects a principal loss of $12.7 million to class M as detailed in the April 20, 2011, remittance report. As a result of the principal loss, the principal balance of class M was $16.9 million, down from $29.6 million at issuance. "The class N certificates, which we previously downgraded to 'D (sf)', lost 100% of their issuance balances according to the April remittance report," S&P noted. The affirmed 'CC (sf)' rating affirmations on classes B through L reflect our expectations that the interest payments on these classes will be deferred for an extended period of time due to a termination payment owed to the hedge counterparty. According to the most recent trustee report, the principal loss was due to losses on the underlying commercial mortgage-backed securities (CMBS) collateral. Eleven distinct transactions experienced aggregate principal losses in the amount of $36.5 million. These CMBS classes experienced significant principal losses in the current trustee report: * JPMorgan Chase Commercial Mortgage Securities Corp. 2007- CIBC18 (classes M through P; $13.2 million loss); * Morgan Stanley Capital I 2006-T23 (classes M through P; $9.1 million loss); * Bear Stearns Commercial Mortgage Securities 2007-PWR15 (class P; $7.0 million loss); * Credit Suisse 2006-C2 (class P; $3.5 million loss); * Bear Stearns Commercial Mortgage Securities 2006-TOP22 (class P; $1.8 million loss); and * Bear Stearns Commercial Mortgage Securities 2006-PWR11 (class P; $1.2 million loss). Per the remittance report, Centerline 2007-1 was collateralized by 98 CMBS and three resecuritized real estate mortgage investment conduit (re-REMIC) certificates ($710.6 million, 100%) from 18 distinct transactions issued between 2000 and 2007. Standard & Poor's analyzed Centerline 2007-1 according to its current criteria. The analysis is consistent with the lowered and affirmed ratings. Rating Lowered Centerline 2007-1 Resecuritization Trust Rating Class To From M D (sf) CC (sf) RATINGS AFFIRMED Centerline 2007-1 Resecuritization Trust Class Rating B CC (sf) C CC (sf) D CC (sf) E CC (sf) F CC (sf) G CC (sf) H CC (sf) J CC (sf) K CC (sf) L CC (sf) CHASE EDUCATION: Fitch Affirms Subordinate Notes at 'BBsf' ---------------------------------------------------------- Fitch Ratings affirms the senior and subordinate student loan notes issued by the Chase Education Loan Trust 2007-A at 'AAAsf' and 'BBsf', respectively. The Rating Outlook remains Stable. Fitch used its 'Global Structured Finance Rating Criteria' and 'U.S. FFELP Student Loan ABS Rating Criteria', as well as the refined basis risk criteria outlined in Fitch's June 29, 2010 press release 'Fitch to Begin Review of U.S. FFELP SLABS Applying Updated Criteria' to review the ratings. The ratings on the senior and subordinate notes are affirmed based on the sufficient level of credit enhancement to cover the applicable risk factor stresses. Credit enhancement for the senior and subordinate notes consists of overcollateralization and projected minimum excess spread, while the senior notes also benefit from subordination provided by the Class B notes. Fitch has taken these rating actions: Chase Education Loan Trust, Series 2007-A: -- Class A-1 note affirmed at 'AAAsf/LS1'; Outlook Stable; -- Class A-2 note affirmed at 'AAAsf/LS1'; Outlook Stable; -- Class A-3 note affirmed at 'AAAsf/LS1'; Outlook Stable; -- Class A-4 note affirmed at 'AAAsf/LS1'; Outlook Stable; -- Class B note affirmed at 'BBsf/LS3'; Outlook Stable. CITIGROUP COMMERCIAL: Fitch Upgrades 2 Classes of 2005-EMG ---------------------------------------------------------- Fitch Ratings has upgraded and revised the Loss Severity (LS) ratings and Rating Outlooks to Citigroup Commercial Mortgage Securities mortgage pass-through certificates, series 2005-EMG. The upgrades reflect paydown of approximately 41% since Fitch's last review along with stable performance. Fitch modeled losses of 1.95% of the remaining pool. Fitch has designated 11 loans (5.5%) as Fitch Loans of Concern, which includes one specially serviced loan (0.5%). At Fitch's last review, there was one specially serviced loan (0.2%). As of the April 2011 distribution date, the pool's aggregate principal balance has paid down by 74.26% to $185.9 million from $772.1 million at issuance. Interest shortfalls are currently affecting class M. The largest loan in the pool (8.1%) is secured by a 144,378 square foot (sf) mixed use property in Midtown Manhattan. The servicer reported year-end 2009 debt service coverage ratio (DSCR) was 3.91 times (x). The second largest loan in the pool (7%) is secured by a 254,518 sf retail property in Scarsdale, NY. The property lost its largest tenant, Linens N' Things in 2009 but has since leased the space to a grocery store. The servicer reported year-end 2009 DSCR was 3.43x. The third largest loan in the pool (6.1%) is secured by a 171 room Red Roof Inn located in the Herald Square area of Manhattan. The servicer reported year-end 2009 occupancy and DSCR were 87% and 2.51x respectively. Fitch has upgraded these classes and revised the Loss Severity (LS) ratings: -- $5.4 million class D to 'AAA/LS5' from 'AA/LS4'; Outlook Stable; -- $1.8 million class E to 'AA/LS5' from 'AA-/LS5'; Outlook Stable. In addition, Fitch affirms, revises LS ratings and Rating Outlooks: -- $98.2 million class A-4 at 'AAA/LS1'; Outlook Stable; -- $46 million class A-J to 'AAA/LS3' from LS2; Outlook Stable; -- $7.2 million class B at 'AAA/LS4'; Outlook Stable; -- $2.7 million class C at 'AAA/LS5'; Outlook Stable; -- $3.6 million class F at 'A/LS5'; Outlook to Positive from Stable; -- $1.8 million class G at 'BBB/LS5'; Outlook to Positive from Stable; -- $3.6 million class H at 'BBB-/LS5'; Outlook to Stable from Negative; -- $8.1 million class J to 'BB/LS4' from LS3; Outlook to Stable from Negative; -- $2.7 million class K at 'B/LS5'; Outlook to Stable from Negative; -- $1.8 million class L at 'CCC/RR1'. The $1.8 million class M has experienced realized losses and is affirmed at 'D/RR2'. Fitch withdrew the rating of the interest-only class X. Classes A-1, A-2 and A-3 have paid in full. CITIGROUP COMMERCIAL: S&P Lowers Ratings on 5 Classes to 'D' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on nine classes of commercial mortgage pass-through certificates from Citigroup Commercial Mortgage Trust Series 2008-C7, a U.S. commercial mortgage-backed securities (CMBS) transaction. "We lowered five of the nine ratings to 'D (sf)'," S&P stated. "We lowered our ratings on the class M, N, and O certificates because of principal losses resulting from the liquidation of one asset that was with the special servicer LNR Partners LLC. According to the May 12, 2011, remittance report, the trust experienced $21.0 million in principal losses upon the recent disposition of the Mall St. Vincent asset, which liquidated at a 42.9% loss severity based on its $49.0 million original balance. Classes N and O both experienced losses of 100.0% of their original balances. The class M certificate experienced a loss of 69.6% of its $6.94 million original balance. The remaining principal losses affected the class P certificate, and Standard & Poor's had previously lowered its rating on that class to 'D (sf)'," S&P continued. The lowered ratings on the six remaining classes reflect current and potential interest shortfalls, as well as reduced liquidity available to the more senior classes to absorb any future interest shortfalls. As of the May 12, 2011, trustee remittance report, appraisal reduction amounts (ARAs) totaling $78.0 million were in effect for 12 ($184.7 million, 11.0%) of the transaction's 15 ($205.3 million, 12.2%) specially serviced assets. The current interest shortfalls primarily resulted from appraisal subordinate entitlement reduction (ASER) amounts and special servicing fees. The total reported ASER amount was $306,639, and the reported cumulative ASER amount was $1.4 million. Standard & Poor's considered nine ASER amounts, which were based on Member of the Appraisal Institute (MAI) appraisals, as well as current special servicing fees ($88,789), workout fees ($2,619), and interest on advances ($898), in determining its rating actions. The reported monthly interest shortfalls totaled $396,513 and affected all of the classes subordinate to, and including, class H. "We lowered our ratings on classes K and L to 'D (sf)' because of interest shortfalls that have affected the classes for the past two consecutive months. Furthermore, classes K and L had accumulated interest shortfalls outstanding for five and eight prior months. We expect interest shortfalls to affect these classes for the foreseeable future," noted S&P. S&P continued, "The downgrades of the class H and J certificates to 'CCC- (sf)' reflect current interest shortfalls that we project will continue and accumulated interest shortfalls which we expect to remain outstanding for the foreseeable future. Furthermore, the class J certificate had two months of accumulated interest shortfalls that were paid off before the current shortfall." The lowered ratings on classes F and G reflect their increased susceptibility to future interest shortfalls due to the reduced liquidity support available to these certificates. Ratings Lowered Citigroup Commercial Mortgage Trust 2008-C7 Commercial mortgage pass-through certificates Credit Reported Rating enhancement interest shortfalls ($) Class To From (%) Current Accumulated F CCC+ (sf) B+ (sf) 5.07 0 0 G CCC (sf) B- (sf) 3.97 0 0 H CCC- (sf) CCC+ (sf) 2.87 68,355 68,355 J CCC- (sf) CCC (sf) 1.91 82,163 82,163 K D (sf) CCC- (sf) 0.81 85,527 121,062 L D (sf) CCC- (sf) 0.13 53,455 106,910 M D (sf) CCC- (sf) 0 32,072 64,144 N D (sf) CCC- (sf) 0 32,072 64,144 O D (sf) CCC- (sf) 0 32,072 64,144 CITIGROUP MORTGAGE: Moody's Downgrades Resecuritized RMBS --------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 18 tranches issued by five RMBS resecuritization transactions. 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 on the underlying 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 pre-2005 vintage RMBS pools, please refer to the methodology publication "Pre-2005 US RMBS Surveillance Methodology" published in January 2011, 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: Citigroup Mortgage Loan Trust Inc. Re-REMIC Trust Certificates, Series 2004-RR1 -- Cl. IA-1, Downgraded to Aa2 (sf); previously on Mar 26, 2004 Assigned Aaa (sf) -- Cl. IA-2, Downgraded to Aa2 (sf); previously on Mar 26, 2004 Assigned Aaa (sf) -- Cl. IIA-1, Downgraded to Aa2 (sf); previously on Mar 26, 2004 Assigned Aaa (sf) -- Cl. IIA-2, Downgraded to Aa2 (sf); previously on Mar 26, 2004 Assigned Aaa (sf) -- Cl. XS-1, Downgraded to Aa2 (sf); previously on Mar 26, 2004 Assigned Aaa (sf) -- Cl. XS-2, Downgraded to Aa2 (sf); previously on Mar 26, 2004 Assigned Aaa (sf) Issuer: Financial Asset Securities Corp. AAA Trust 2003-1 -- Cl. A-5, Downgraded to Ba2 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Baa3 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. X, Downgraded to Baa3 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: Lehman Structured Securities Corp. Pass-Through Certificates, Series 2001-GE5 -- Cl. A2, Downgraded to A1 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2003-QR19 Trust -- Cl. CB-3, Downgraded to Aa1 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. CB-4, Downgraded to Baa1 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade Issuer: CWMBS, Inc. Resecuritization Mortgage Pass-Through Certificates, Series 2005-8R -- Cl. A-1, Downgraded to Baa3 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-2, Downgraded to Baa3 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-3, Downgraded to B1 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-4, Downgraded to Aa1 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-5, Downgraded to Ba3 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade -- Cl. A-6, Downgraded to Ba3 (sf); previously on Jul 2, 2010 Aaa (sf) Placed Under Review for Possible Downgrade CPS AUTO: Moody's Upgrades Subprime Auto Loan ABS ------------------------------------------------- Moody's has upgraded thirteen tranches from eight transactions sponsored and serviced by Consumer Portfolio Services, Inc. (CPS) from 2006 to 2008. Ratings Issuer: CPS Auto Receivables Trust 2006-A -- Cl. A-4, Upgraded to Aaa (sf); previously on Feb 3, 2011 Aa3 (sf) Placed Under Review for Possible Upgrade Financial Guarantor: Assured Guaranty Municipal Corp . (Aa3; previously Confirmed on 11/12/2009) Underlying Rating: Upgraded to Aaa (sf); previously on Feb 3, 2011 Baa3 (sf) Placed Under Review for Possible Upgrade Issuer: CPS Auto Receivables Trust 2006-B -- Cl. A-4, Upgraded to Aaa (sf); previously on Feb 3, 2011 Baa2 (sf) Placed Under Review for Possible Upgrade Financial Guarantor: MBIA Insurance Corporation (B3; previously on 2/18/2009 Downgraded to B3 from Baa1) Underlying Rating: Upgraded to Aaa (sf); previously on Feb 3, 2011 Baa2 (sf) Placed Under Review for Possible Upgrade Issuer: CPS Auto Receivables Trust 2006-C/CPS Cayman Residual Trust 2006-C -- Cl. A-4, Upgraded to Aaa (sf); previously on Feb 3, 2011 Baa2 (sf) Placed Under Review for Possible Upgrade Financial Guarantor: Syncora Guarantee Inc., (Ca; previously on 3/9/2009 Downgraded to Ca from Caa1) Underlying Rating: Upgraded to Aaa (sf); previously on Feb 3, 2011 Baa2 (sf) Placed Under Review for Possible Upgrade -- Cl. B, Upgraded to Aa2 (sf); previously on Feb 3, 2011 Ba3 (sf) Placed Under Review for Possible Upgrade Issuer: CPS Auto Receivables Trust 2006-D/CPS Cayman Residual Trust 2006-D -- Cl. A-4, Upgraded to Aa1 (sf); previously on Feb 3, 2011 Aa3 (sf) Placed Under Review for Possible Upgrade Financial Guarantor: Assured Guaranty Municipal Corp . (Aa3; previously Confirmed on 11/12/2009) Underlying Rating: Upgraded to Aa1 (sf); previously on Feb 3, 2011 Baa3 (sf) Placed Under Review for Possible Upgrade -- Cl. B, Upgraded to A3 (sf); previously on Feb 3, 2011 B1 (sf) Placed Under Review for Possible Upgrade Issuer: CPS Auto Receivables Trust 2007-A/CPS Cayman Residual Trust 2007-A -- Cl. A-4, Upgraded to Aa1 (sf); previously on Feb 3, 2011 Baa3 (sf) Placed Under Review for Possible Upgrade Financial Guarantor: MBIA Insurance Corporation (B3; previously on 2/18/2009 Downgraded to B3 from Baa1) Underlying Rating: Upgraded to Aa1 (sf); previously on Feb 3, 2011 Baa3 (sf) Placed Under Review for Possible Upgrade -- Cl. B, Upgraded to A3 (sf); previously on Feb 3, 2011 B1 (sf) Placed Under Review for Possible Upgrade Issuer: CPS Auto Receivables Trust 2007-B -- Cl. A-4, Upgraded to Aa2 (sf); previously on Feb 3, 2011 Aa3 (sf) Placed Under Review for Possible Upgrade Financial Guarantor: Assured Guaranty Municipal Corp . (Aa3; previously Confirmed on 11/12/2009) Underlying Rating: Upgraded to Aa2 (sf); previously on Feb 3, 2011 Baa3 (sf) Placed Under Review for Possible Upgrade Issuer: CPS Auto Receivables Trust 2007-C -- Cl. A-4, Upgraded to Aa3 (sf); previously on Feb 3, 2011 Aa3 (sf) Placed Under Review for Possible Upgrade Financial Guarantor: Assured Guaranty Municipal Corp . (Aa3; previously Confirmed on 11/12/2009) Underlying Rating: Upgraded to Aa3 (sf); previously on Feb 3, 2011 Baa3 (sf) Placed Under Review for Possible Upgrade Issuer: CPS Auto Receivables Trust 2007-TFC -- Cl. A-2, Upgraded to Aaa (sf); previously on Feb 3, 2011 Baa3 (sf) Placed Under Review for Possible Upgrade Financial Guarantor: Syncora Guarantee Inc., (Ca; previously on 3/9/2009 Downgraded to Ca from Caa1) Underlying Rating: Upgraded to Aaa (sf); previously on Feb 3, 2011 Baa3 (sf) Placed Under Review for Possible Upgrade Issuer: CPS Auto Receivables Trust 2008-A -- Cl. A-3, Upgraded to Aa2 (sf); previously on Feb 3, 2011 Aa3 (sf) Placed Under Review for Possible Upgrade Financial Guarantor: Assured Guaranty Municipal Corp. (Aa3; previously Confirmed on 11/12/2009) Underlying Rating: Upgraded to Aa2 (sf); previously on Feb 3, 2011 Baa1 (sf) Placed Under Review for Possible Upgrade -- Cl. A-4, Upgraded to Aa2 (sf); previously on Feb 3, 2011 Baa1 (sf) Placed Under Review for Possible Upgrade Financial Guarantor: Assured Guaranty Municipal Corp . (Aa3; previously Confirmed on 11/12/2009) Underlying Rating: Upgraded to Aa2 (sf); previously on Feb 3, 2011 Baa1 (sf) Placed Under Review for Possible Upgrade Ratings Rationale The rating actions were prompted by decrease in cumulative net loss expectations relative to current levels of credit enhancement, short remaining term of the securities, and diminished operational risk associated with the servicer of the transactions. All outstanding transactions are highly seasoned, with significantly low pool factors (the ratio of the current collateral balance to the original collateral balance). As of March distribution date, the pool factor ) for outstanding transactions range between 5% and 31%, with only three transactions having pool factors greater than 20% . Although the performance of an auto loan-backed transaction depends primarily on the credit quality of the underlying obligors, the stability of the servicer can also affect the performance of the transaction. Should the servicer become unable to fulfill its obligations to the transaction, cash flows to investors may be negatively impacted . Collection efficiency may deteriorate and the receipt of collections delayed upon a servicer transfer. CPS transactions have weathered the economic downturn without signs of operational disruption. The company, after curtailing originations and cutting staff during the downturn, has significantly increased its loan originations and serviced portfolio from 2009 levels and has recently hired additional marketing staff. The company was also successful in securing additional lower cost warehouse capacity and term financing. Moody's listed key performance metrics and credit assumptions for each affected transaction. Credit assumptions include Moody's expected lifetime CNL expectation which is expressed as a percentage of the original pool balance; and Moody's lifetime remaining CNL expectation which is expressed as a percentage of the current pool balance. Performance metrics include pool factor; total credit enhancement (expressed as a percentage of the outstanding collateral pool balance) which typically consists of subordination, overcollateralization, and a reserve fund; and per annum excess spread. Issuer: CPS Auto Receivables Trust 2006-A -- Lifetime CNL expectation - 16.75%, prior expectation (February 2011) was 16.50% to 17.00% -- Lifetime Remaining CNL expectation -- 11.00% -- Pool factor -5% -- Total credit enhancement (excluding excess spread): Class A- 4 -- 63% -- Excess spread -- Approximately 7.4% per annum Issuer: CPS Auto Receivables Trust 2006-B -- Lifetime CNL expectation - 18.25%, prior expectation (February 2011) was 18.00% to 19.00% -- Lifetime Remaining CNL expectation -8.60% -- Pool factor - 8% -- Total credit enhancement (excluding excess spread): Class A- 4 - 72%; Class B -- 65%, Class C - 31% -- Excess spread -- Approximately 7.2% per annum Issuer: CPS Auto Receivables Trust 2006-C/CPS Cayman Residual Trust 2006-C -- Lifetime CNL expectation -- 20.00%, prior expectation (February 2011) was 19.00% to 21.00% -- Lifetime Remaining CNL expectation -- 9.30% -- Aaa level -- Approximately 37% -- Pool factor - 10% -- Total credit enhancement (excluding excess spread): Class A- 4 - 52%; Class B -- 39% -- Excess spread - Approximately 7.6% per annum Issuer: CPS Auto Receivables Trust 2006-D/CPS Cayman Residual Trust 2006-D -- Lifetime CNL expectation -- 20.00%, prior expectation (February 2011) was 19.00% to 21.00% -- Lifetime Remaining CNL expectation -- 11.20% -- Aaa level -- Approximately 45% -- Pool factor - 14% -- Total credit enhancement (excluding excess spread): Class A- 4 - 34%; Class B -- 28% -- Excess spread - Approximately 8.4% per annum Issuer: CPS Auto Receivables Trust 2007-A/CPS Cayman Residual Trust 2007-A -- Lifetime CNL expectation -- 20.00%, prior expectation (February 2011) was 19.00% to 21.00% -- Lifetime Remaining CNL expectation -- 13.37% -- Aaa level -- Approximately 47% -- Pool factor - 17% -- Total credit enhancement (excluding excess spread): Class A- 4 - 39%; Class B -- 31%; Class C -- 13% -- Excess spread - Approximately 8.2% per annum Issuer: CPS Auto Receivables Trust 2007-B -- Lifetime CNL expectation -- 20.00%, prior expectation (February 2011) was 19.00% to 21.00% -- Lifetime Remaining CNL expectation -- 10.91% -- Pool factor - 21% -- Total credit enhancement (excluding excess spread): Class A- 4 - 34% -- Excess spread - Approximately 7.7% per annum Issuer: CPS Auto Receivables Trust 2007-C -- Lifetime CNL expectation -- 20.00%, prior expectation (February 2011) was 19.00% to 21.00% -- Lifetime Remaining CNL expectation -- 10.67% -- Pool factor - 25% -- Total credit enhancement (excluding excess spread): Class A- 4 - 29% -- Excess spread - Approximately 7.6% per annum Issuer: CPS Auto Receivables Trust 2007-TFC -- Lifetime CNL expectation -- 16.50%, prior expectation (February 2011) was 16.00% to 17.00% -- Lifetime Remaining CNL expectation -- 12.89% -- Pool factor - 11% -- Total credit enhancement (excluding excess spread): Class A- 4 - 55% -- Excess spread - Approximately 7.6% per annum Issuer: CPS Auto Receivables Trust 2008-A -- Lifetime CNL expectation -- 20.00%, prior expectation (February 2011) was 19.00% to 21.00% -- Lifetime Remaining CNL expectation --13.47% -- Pool factor - 31% -- Total credit enhancement (excluding excess spread): Class A- 3 -- 42%; Class A-4 - 42% -- Excess spread - Approximately 5.8% per annum Ratings on the affected securities could be upgraded (where applicable) if the lifetime CNLs are lower by 10%, or downgraded if the lifetime CNLs are higher by 10%. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current macroeconomic environment, in which unemployment continues to remain at elevated levels, and strength in the used vehicle market. Moody's currently views the used vehicle market as much stronger now than it was at the end of 2008 when the uncertainty relating to the economy as well as the future of the U.S auto manufacturers was significantly greater. Overall, Moody's expects a sluggish recovery in the U.S. economy, with elevated fiscal deficits and persistent, high unemployment levels. The principal methodology used in these securities was "Moody's Approach to Rating U.S. Auto Loan-Backed Securities" rating methodology published in June 2007. Other methodologies and factors that may have been considered in the process of rating these notes can also be found on Moody's website. Further information on Moody's analysis of this transaction is available onwww.moodys.com. The underlying ratings reflect the intrinsic credit quality of the securities in the absence of the transactions' guarantees from monoline bond insurers. The current ratings on the securities are consistent with Moody's practice of rating insured securities at the higher of the guarantor's insurance financial strength rating and any underlying rating. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past 6 months. CRATOS CLO I: Moody's Upgrades Notes Ratings -------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by Cratos CLO I Ltd.: -- US$30,000,000 Class B Senior Secured Floating Rate Notes due 2021, Upgraded to Aa1 (sf); previously on October 13, 2009 Confirmed at Aa2 (sf); -- US$35,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2021, Upgraded to A1 (sf); previously on October 13, 2009 Upgraded to Baa1 (sf); -- US$34,000,000 Class D Secured Deferrable Floating Rate Notes due 2021, Upgraded to Baa2 (sf); previously on October 13, 2009 Upgraded to Ba1 (sf); -- US$30,000,000 Class E Secured Deferrable Floating Rate Notes due 2021, Upgraded to Ba3 (sf); previously on October 13, 2009 Confirmed at B3 (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 October 2009. Credit improvement reflects the collateral manager's decision to shift its investment focus from middle market loans to less concentrated positions in broadly syndicated loans from obligors with higher ratings in a wider range of industries, which resulted in a substantial improvement in the diversity and weighted average rating factor. In particular, current diversity and weighted average rating factor levels are significantly better than covenant levels, which were structured for a deal with a much higher concentration of middle market loans. Improvement in the credit quality is observed through an improvement in the average credit rating (as measured by the weighted average rating factor), an increase in diversity and a decrease in the proportion of securities from issuers rated Caa1 and below. In particular, as of the latest trustee report dated April 1, 2011, the weighted average rating factor is currently 2333 compared to 2931 in the September 2009 report, diversity is currently 78 compared to 46 in September 2009, and securities rated Caa1 or lower make up approximately 3.28% of the underlying portfolio versus 13.12% in September 2009. In addition, there are currently $3.56 million of defaulted securities based on the April 2011 trustee report, compared to $64.54 million in September 2009. The overcollateralization ratios of the rated notes have also improved since the rating action in October 2009. The Class A/B, Class C, Class D and Class E overcollateralization ratios are reported at 136.41%, 123.87%, 113.72% and 106.05%, respectively, versus September 2009 levels of 132.04%, 120.11%, 110.42% and 103.08%, respectively. All related overcollateralization tests are currently in compliance. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $470.2 million, defaulted par of $3.6 million, a weighted average default probability of 27.35% (implying a WARF of 3436), a weighted average recovery rate upon default of 44.19%, and a diversity score of 53. 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. Cratos CLO I Ltd., issued in May 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, 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, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. This is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2749) -- Class A-1: 0 -- Class A-1: 0 -- Class B: 0 -- Class C: +3 -- Class D: +3 -- Class E: +2 Moody's Adjusted WARF + 20% (4123) -- Class A-1: 0 -- Class A-2: 0 -- Class B: -2 -- Class C: -1 -- Class D: -1 -- 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 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 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 worse 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 a weighted average rating factor level lower than the covenant level and diversity and spread levels higher than the covenant levels due to the large differences between the reported and covenant levels. CREDIT SUISSE: Moody's Corrects May 6, 2011 Release --------------------------------------------------- Moody's Investors Service has made a correction to its May 6, 2011 release wherein Moody's took action on $321.36 million of Prime Jumbo and Option-ARM RMBS issued by Credit Suisse First Boston Mortgage Securities Corp. from 2002 to 2003. According to Moody's, the May 6, 2011 press release for theaction failed to identify that one of the affected transactions is backed by Option-ARM collateral. This has been corrected, and the full explanation provided. The Revised release is. New York, May 6, 2011: Moody's Investors Service has downgraded the ratings of 78 tranches and confirmed the ratings of six tranches from eight prime jumbo deals and one Option-ARM deal (CSFB 2002-P1) issued by Credit Suisse. The collateral backing these deals consists primarily of first-lien, fixed and adjustable rate prime jumbo and Option-ARM residential mortgages. Ratings Rationale The actions are a result of deteriorating performance of prime jumbo and Option-ARM pools securitized before 2005. Although most of these pools have paid down significantly, the remaining loans are affected by the housing and macroeconomic conditions that remain under duress. The 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 for a jumbo pool. 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 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. 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: 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) CREST 2001-1: Fitch Downgrades Class C Notes Rating to 'CCCsf' -------------------------------------------------------------- Fitch Ratings has affirmed two and downgraded one class issued by Crest 2001-1 Ltd./Corp (Crest 2001-1). The affirmations to the senior classes are a result of significant amortization of the capital structure. Meanwhile, the junior notes are subject to adverse selection as the portfolio is highly concentrated. Since Fitch's last rating action in June 2010, there has been substantial repayment on the underlying real estate investment trust (REIT) debt. A total of $169.7 million was used to pay down the remaining class A note balance in full and $12.5 million was used to paydown the class B notes. The remaining portfolio is highly concentrated with only 14 bonds from 10 obligors. Currently, 59.6% of the portfolio has a Fitch derived rating below investment grade and 37.9% has a rating in the 'CCC' rating category or lower, compared to 26.5% and 7.2%, respectively, at last review. As of the April 29, 2011 trustee report, 29% of the underlying collateral is experiencing interest shortfalls, compared to 7.2% at last review. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the collateralized debt obligation (CDO) under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in Corporate CDOs'. Based on this analysis, the class B notes' breakeven rates are generally consistent with the current ratings of the notes. Fitch also considered qualitative factors into its analysis to conclude the rating actions for the notes. The downgrade to the class C notes is based upon Fitch's view that the notes will ultimately be reliant on distressed collateral as a result of adverse selection. Since Fitch's last rating action, the principal balance of the portfolio has decreased by approximately 60%. Based on these factors, the class C notes have been downgraded to 'CCCsf', indicating that default is possible. The Negative Outlook on the class B notes reflects Fitch's view that adverse selection will cause interest and principal proceeds to decline significantly. The Loss Severity (LS) rating indicates a 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 'Criteria for Structured Finance Loss Severity Ratings'. The LS rating should always be considered in conjunction with the probability of default for tranches. Fitch does not assign LS ratings or Outlooks to classes rated 'CCC' and below. Crest 2001-1 is a static CDO that closed on March 7, 2001. The current portfolio consists of 86% commercial mortgage backed securities (CMBS) and 14% REIT debt. Fitch has taken these actions: -- $0 class A notes marked as 'PIF'; -- $24,227,601 class B-1 notes affirmed at 'BBB-sf/LS3'; Outlook Negative; -- $28,323,868 class B-2 notes affirmed at 'BBB-sf/LS3'; Outlook Negative; -- $30,000,000 class C notes downgraded to 'CCCsf' from 'Bsf/LS4'. CREST 2004-1: Fitch Downgrades Ratings on 14 Classes of Notes ------------------------------------------------------------- Fitch Ratings has downgraded 14 classes issued by Crest 2004-1 Ltd./Corp (Crest 2004-1) as a result of significant negative credit migration on the underlying collateral. Since Fitch's last rating action in June 2010, approximately 63.9% of the portfolio has been downgraded. Currently, 86.6% of the portfolio has a Fitch derived rating below investment grade and 45.4% has a rating in the 'CCC' rating category or lower, compared to 82.5% and 23%, respectively, at last review. As of the April 28, 2011 trustee report, 30.9% of the underlying collateral is experiencing interest shortfalls, compared to 8.6% at last review. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in Corporate CDOs'. Based on this analysis, the class A through C notes' breakeven rates are generally consistent with the ratings assigned. For the class D through H notes, Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class D through H notes have been downgraded. Furthermore, all overcollateralization tests are failing their respective triggers and interest has been diverted to pay down the senior notes. As such, the class C through H notes have been receiving interest paid in kind (PIK) whereby the principal amount of the notes is written up by the amount of interest due. The Stable Outlook on the class A notes reflects Fitch's view that the notes will continue to de-lever. The Negative Outlook on the class B notes reflects Fitch's expectation that underlying commercial mortgage backed securities (CMBS) loans will continue to face refinance risk and prolong the repayment of the notes. The Loss Severity (LS) rating indicates a 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 'Criteria for Structured Finance Loss Severity Ratings'. The LS rating should always be considered in conjunction with the probability of default for tranches. Fitch does not assign LS ratings or Outlooks to classes rated 'CCC' and below. The rating of the preferred shares addresses the likelihood that investors will receive the ultimate return of the aggregate outstanding rated balance by the legal final maturity date. The assigned rating for the preferred shares indicates that default is inevitable, as they are reliant on defaulted collateral. Crest 2004-1 is a static collateralized debt obligation (CDO) that closed on Nov. 18, 2004. The current portfolio consists of 128 bonds from 47 obligors, of which 96.7% are CMBS from the 1999 through 2004 vintages, 2.1% are real estate investment trust (REIT) debt securities, and 1.2% are structured finance CDOs. Fitch has downgraded these classes: -- $125,800,333 class A notes to 'BBsf/LS4' from 'BBB/LS3'; to Outlook Stable from Negative; -- $44,000,000 class B-1 notes to 'Bsf/LS5' from 'BB/LS5'; Outlook Negative; -- $8,491,250 class B-2 notes to 'Bsf/LS5' from 'BB/LS5'; Outlook Negative; -- $2,723,667 class C-1 notes to 'CCCsf' from 'BBsf/LS5'; -- $23,579,875 class C-2 notes to 'CCCsf' from 'BBsf/LS5'; -- $17,582,547 class D notes to 'CCCsf' from 'BBsf/LS5'; -- $13,212,354 class E-1 notes downgraded to 'CCsf' from 'Bsf/LS5'; -- $13,437,907 class E-2 notes downgraded to 'CCsf' from 'Bsf/LS5'; -- $6,552,304 class F notes to 'CCsf' from 'Bsf/LS5'; -- $2,070,285 class G-1 notes to 'Csf' from 'Bsf/LS5'; -- $10,486,801 class G-2 notes to 'Csf' from 'Bsf/LS5'; -- $7,832,896 class H-1 notes to 'Csf' from 'CCCsf'; -- $1,129,151 class H-2 notes to 'Csf' from 'CCCsf'; -- $96,412,500 preferred shares notes to 'Csf' from 'CCsf'. CRF 19: S&P Lowers Rating on Class D Notes to 'B-' -------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on CRF 19 LLC's class D notes to 'B- (sf)' from 'BB (sf)' and class E notes to 'CCC- (sf)' from 'B (sf)'. "In addition, we affirmed our 'AAA (sf)', 'A (sf)', and 'BBB (sf)' ratings on the transaction's class A-2 and A-3, B, and C notes, respectively. At the same time, we removed all of the ratings from CreditWatch with negative implications, where we had initially placed them on April 4, 2011," S&P stated. CRF 19 LLC is an asset-backed securities transaction that is collateralized primarily by a pool of small business development loans not insured or guaranteed by any governmental agency. These loans are generally secured by owner-occupied, multipurpose commercial real estate. Approximately 80% of these loans are second lien. The credit support for each class of rated notes is provided by a combination of subordination, an interest reserve account in the amount of three-months interest on the offered notes (reduced as the offered note principal is paid), and excess spread. The downgrades reflect the rising delinquency and increasing cumulative net loss in the underlying small business loan portfolio. Between April 2010 and April 2011, the total delinquency (as a percentage of the then-current pool balance) increased to 24.43% from 18.17%; the 90-plus-day delinquency (as a percentage of the then-current pool balance) increased to 21.98% from 13.5%; and the cumulative net loss (as a percentage of the original pool balance) increased to 4.13% from 3.29%. As a result of the loan pool's deteriorating performance, the class D and E notes were not able to withstand the stresses commensurate with their prior rating levels. "Consequently, we downgraded the two classes to the rating levels commensurate with the stresses they could withstand," S&P stated. S&P continued, "We affirmed our ratings on the class A-2, A-3, B, and C notes because they were still able to withstand our stress tests at their current rating levels." As of April 30, 2011, CRF 19's loan pool had a pool factor of 74.24%; the class A-1 notes had been fully paid off; the class A-2 notes' remaining balance was approximately $12.45 million, which was approximately 79% of its original balance; and the class A-3, B, C, D, E, F, and G notes had not received any principal payments. The class B through F notes allow for interest to be deferred if available funds are insufficient to pay the current interest. A cumulative loss rate event has been triggered for the class D, E, F, and G notes because the cumulative loss rate exceeded the thresholds for these notes, as set in the transaction documents for the related payment periods. As a result of this event, per the transaction documents, the class D through G interest payments have been deferred and deferred interest will be carried forward. Standard & Poor's will continue to review outstanding ratings and take additional rating actions as appropriate. Ratings Lowered and Removed From CreditWatch Negative CRF 19 LLC Rating Class To From D B- (sf) BB (sf)/Watch Neg E CCC- (sf) B (sf)/Watch Neg Ratings Affirmed and Removed From CreditWatch Negative A-2 AAA (sf) AAA (sf)/Watch Neg A-3 AAA (sf) AAA (sf)/Watch Neg B A (sf) A (sf)/Watch Neg C BBB (sf) BBB (sf)/Watch Neg CSFB COMMERCIAL: Moody's Affirms 14 CMBS Classes of CSFB 2007-TFL1 ------------------------------------------------------------------ Moody's Investors Service affirmed the rating of 14 classes of Credit Suisse First Boston Mortgage Securities Corp. Commercial Pass-Through Certificates, Series 2007-TFL1: -- Cl. A-1, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-2, Affirmed at A2 (sf); previously on Jun 30, 2010 Downgraded to A2 (sf) -- Cl. B, Affirmed at Baa2 (sf); previously on Jun 30, 2010 Downgraded to Baa2 (sf) -- Cl. C, Affirmed at Baa3 (sf); previously on Jun 30, 2010 Downgraded to Baa3 (sf) -- Cl. D, Affirmed at Ba1 (sf); previously on Jun 30, 2010 Downgraded to Ba1 (sf) -- Cl. E, Affirmed at Ba2 (sf); previously on Jun 30, 2010 Downgraded to Ba2 (sf) -- Cl. F, Affirmed at Ba3 (sf); previously on Jun 30, 2010 Downgraded to Ba3 (sf) -- Cl. G, Affirmed at B1 (sf); previously on Jun 30, 2010 Downgraded to B1 (sf) -- Cl. H, Affirmed at B3 (sf); previously on Jun 30, 2010 Downgraded to B3 (sf) -- Cl. J, Affirmed at Caa1 (sf); previously on Jun 30, 2010 Downgraded to Caa1 (sf) -- Cl. K, Affirmed at Caa2 (sf); previously on Jun 30, 2010 Downgraded to Caa2 (sf) -- Cl. L, Affirmed at Caa3 (sf); previously on Jun 30, 2010 Downgraded to Caa3 (sf) -- Cl. A-X-1, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-X-2, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at 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 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 30, 2010. Please see the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Deal Performance As of the April 15, 2011 Payment Date, the transaction's aggregate certificate balance has decreased by approximately 10% to $1.14 billion from $1.26 billion at securitization due to the pay off of two loans and partial pay downs associated with two loans. The two loans that paid off were the Renaissance M Street Hotel Loan and the specially-serviced Allerton Hotel Loan that was liquidated in June 2010 without a loss to the trust. The certificates are currently collateralized by nine floating-rate loans. The largest three loans account for 51% of the pooled balance. The pool composition includes hotel properties (65% of the pooled balance), one mixed-use property consisting of both office and retail space (20%) and office properties (15%). Moody's weighted average loan to value ("LTV") ratio for the total pool is 90%, the same as at Moody's previous review in June 2010. Moody's debt service coverage (DSCR) is 1.22X, compared to 1.25X at last review. There is currently one loan in special servicing, the SLS Beverly Hills Loan ($61.0 million -- 5% of the pooled balance), secured by a 297-room hotel located in Beverly Hills, California. The whole mortgage includes a non-trust junior component with a current balance of approximately $38.4 million. There is also mezzanine debt of approximately $22.9 million. The property was closed in 2007 and most of 2008 while it was being renovated as part of its re-positioning to a luxury boutique hotel under the SLS brand. The renovations that were scheduled to be completed in 2007 were not completed until 2008. The hotel did not generate cash flow during the construction period and the loan was transferred to special servicing in October 2009, when it failed to qualify for the second of three 12-month loan extension options. A loan modification was completed in February 2010 extending the maturity date to February 2013. Modification terms also included a $13.5 million pay down of the mortgage loan. Net cash flow, after reserves for furniture fixture and equipment ("FF&E"), was negative in calendar year 2009 as the hotel continued to ramp-up after its reopening. Net Cash Flow in calendar year 2010 was approximately $5.2 million. The property was appraised in November 2009 for $116 million or $390,572/key. Loan payments are current through April 2011 and the loan is pending return to the master servicer. Moody's LTV ratio and credit estimate for the pooled debt are 75% and B1, respectively. The largest five remaining loans in the transaction include: The Manhattan Mall Loan ($232.0 million -- 20%), the largest loan in the pool, is secured by a 13-story, 1.1 million square foot mixed-use property consisting of approximately 815,000 square feet of office space, 244,000 square feet of retail space, and 20,000 square feet of storage. The property is located on Sixth Avenue between West 32rd and 33rd Streets in New York, NY. The retail space is anchored by a 154,038 square foot JC Penney store that opened in July 2009. JC Penney's only Manhattan location is in the Manhattan Mall. The lease has a 20-year term, expiring in 2029. As of January 2011 the office component was approximately 95% leased, the same as at securitization, and the retail component was slightly less than 100% leased, compared to 94% at securitization. The largest office tenants include Interpublic Group and Bank of America N.A. who occupy 37% and 17% of the office space, respectively. The three largest retail tenants after JC Penney are Strawberry (5% of total retail space), Charlotte Russe (4%) and Vertical Club (4%). The interest-only loan has a final maturity date in February 2012. Moody's current pooled LTV ratio is 70% and stressed DSCR is 1.44X. Moody's current credit estimate is Baa1, the same as last review. The Park Central Hotel Loan ($203.0 million -- 18%), the second largest loan, is secured by a full-service hotel condominium unit containing a 934-guestrooms within a larger 33-story condominium parcel that consists primarily of time share units. The property is located on Seventh Avenue, between West 55th and 56th Streets in New York, NY. Revenue per available room ("RevPAR") for calendar year 2010 was $186, compared to $183 at last full review. The interest-only loan has a final maturity date in November 2011. The $407.0 million mortgage loan includes a $204.0 million non- trust junior component and there is additional mezzanine financing in the amount of $58.0 million. Moody's current LTV ratio for the pooled debt is 85% and stressed DSCR is 1.17X. Moody's current credit estimate is B1, the same as last review. The JW Marriott Las Vegas Resort & Spa Loan ($150.0 million -- 13%), the third largest loan, is secured by a 548-guestroom full- service hotel that was constructed in 1999 and renovated in 2006. The hotel is located in Summerlin (Las Vegas), Nevada. Amenities include a spa, five restaurants and a casino. RevPAR for calendar year 2010 was $81, slightly lower than in 2009 and 47% less than at securitization. Casino revenue, which in calendar year 2010 contributed approximately 24% to total revenue, compared to 20% at securitization, declined approximately 41% since securitization. The $160.0 mortgage loan includes a $10.0 million non-trust junior component. The interest-only mortgage loan has a final maturity date in November 2011. Moody's current LTV ratio for the pooled debt is 116% and stressed DSCR is 0.83X. Moody's current credit estimate is Caa3, the same as last review. The Doubletree Guest Suites Times Square Loan ($140.0 million -- 12%), the fourth largest loan, is secured by a 460-guestroom all- suite full-service hotel located on Broadway at 47th Street, New York, NY. The property is partially operated subject to air rights and ground lease encumbrances which expire in 2037. The leases have three, 30-year extension options and are fully financeable. RevPAR for calendar year 2010 was $302, compared to $293 at Moody's last review. The interest-only loan has a final maturity date in January 2012. There is also $130.0 million in mezzanine debt. Moody's current LTV ratio for the pooled debt is 93% and stressed DSCR is 1.22X. Moody's current credit estimate is B2, compared to B1 at last review. The Hines Portfolio Loan ($125.0 million -- 11%), the fifth largest loan, is secured by 44 cross-collateralized and cross- defaulted office/R&D buildings located primarily in San Jose and vicinity with a total of 1.6 million square feet. As of December 2010, the portfolio was approximately 58% leased, compared to 73% at Moody's last review and 75% at securitization. The increase in vacancy is the result of Mentor Graphics vacating its space upon lease expiration in September 2010. Mentor Graphics had been the largest tenant in the portfolio occupying 208,433 square feet (13% of total net rentable area). Asking rent for the space is significantly lower than what Mentor Graphics had been paying. CB Richard Ellis indicates 1st Quarter 2011 vacancy rates for both office and R&D of approximately 20% for the overall San Jose market. The interest-only loan has a final maturity date in November 2011. The $270.0 million mortgage loan includes a $145.0 million non-trust junior component. Moody's current LTV ratio is over 100% and stressed DSCR is 1.04X. Moody's current credit estimate is Caa2, compared to Caa1 at last review. CWMBS INC: Fitch Takes Various Actions on CWMBS 2004-8 RMBS ----------------------------------------------------------- Fitch Ratings has taken various rating actions on CWMBS Inc. 2004- 8. The transaction was reviewed as a result of a proposed re- securitization of at least one of the rated classes. The mortgage pool consists primarily of 15 and 30 year fixed-rate Prime mortgage loans. The mortgage loans were originated or acquired by Countrywide Home Loans and are currently serviced by BAC Home Loans Servicing, rated RPS1- by Fitch. The negative rating actions reflect an increase in the projected mortgage losses as a percentage of the remaining pool balance. While realized mortgage losses to date remain low (15 basis points), mortgage pool delinquency has increased to over 6% since the last review reflecting continued negative pressure in the economy and housing sector. Additionally, historically low mortgage rates drove relatively high voluntary prepayments over the past year and have resulted in some adverse selection of the remaining borrowers in the mortgage pool. Finally, changes to servicing loss mitigation practices combined with weak demand for distressed properties continues to extend liquidation timelines increasing upward pressure on loss severities. In response, Fitch has increased the loss severity projections in the base-case and rating-stressed scenarios. On Feb. 1, Fitch published an exposure draft describing its proposed new rating model for determining losses on pools of newly originated U.S. Prime RMBS. Since that date, Fitch has worked to expand the model's application to seasoned loans. Upon completion of the model's development period for seasoned loans, Fitch expects to review all outstanding rated Prime RMBS classes using the new loss model. The classes placed on Rating Watch Negative are expected to be resolved at that time. Fitch has taken these actions: -- Class 1-A-1 (CUSIP: 12669FZH9) affirmed at 'AAAsf/LS1' with an Outlook stable; -- Class 1-A-2 (CUSIP: 12669FZJ5) affirmed at 'AAAsf/LS1' and placed on Rating Watch Negative; -- Class 1-A-3 (CUSIP: 12669FZK2) downgraded to 'BBsf/LS1' from 'AAAsf/LS1' and placed on Rating Watch Negative; -- Class 1-A-4 (CUSIP: 12669FZL0) downgraded to 'Asf/LS1' from 'AAAsf/LS1' and placed on Rating Watch Negative; -- Class 1-A-5 (CUSIP: 12669FZM8) downgraded to 'BBsf/LS4' from 'AAAsf/LS3' and placed on Rating Watch Negative; -- Class 1-A-6 (CUSIP: 12669FZN6) downgraded to 'BBsf/LS1' from 'AAAsf/LS1' and placed on Rating Watch Negative; -- Class 1-A-7 (CUSIP: 12669FZP1) downgraded to 'BBsf/LS1' from 'AAAsf/LS1' and placed on Rating Watch Negative; -- Class 1-A-8 (CUSIP: 12669FZQ9) downgraded to 'Asf/LS1' from 'AAAsf/LS1' and placed on Rating Watch Negative; -- Class 1-A-10 (CUSIP: 12669FZS5) affirmed at 'AAAsf/LS1' and placed on Rating Watch Negative; -- Class 1-A-11 (CUSIP: 12669FZT3) downgraded to 'BBsf/LS1' from 'AAAsf/LS1' and placed on Rating Watch Negative; -- Class 1-A-12 (CUSIP: 12669FZU0) affirmed at 'AAAsf/LS1' and placed on Rating Watch Negative; -- Class 1-A-13 (CUSIP: 12669FZV8) downgraded to 'BBsf/LS1' from 'AAAsf/LS1' and placed on Rating Watch Negative; -- Class 2-A-1 (CUSIP: 12669FZW6) downgraded to 'Asf/LS1' from 'AAAsf/LS1' and placed on Rating Watch Negative; -- Class PO (CUSIP: 12669FZX4) downgraded to 'BBsf/LS1' from 'AAAsf/LS1' and placed on Rating Watch Negative; -- Class M (CUSIP: 12669FZZ9) downgraded to 'CCsf/RR3' from 'BBBsf/LS3'; -- Class B-1 (CUSIP: 12669FA29) downgraded to 'Csf/RR5' from 'CCsf/RR4'; -- Class B-2 (CUSIP: 12669FA37) affirmed at 'Csf/RR6'; -- Class B-3 (CUSIP: 12669FA45) affirmed at 'Csf/RR6'; -- Class B-4 (CUSIP: 12669FA52) affirmed at 'Dsf/RR6'. DSLA 2007-AR1: S&P Lowers Ratings on 2 Classes of Notes to 'D' -------------------------------------------------------------- Standard & Poor's Ratings Services corrected its ratings on classes 1A-1B and 2A-1C from DSLA Mortgage Loan Trust 2007-AR1 and class M-1 from Home Equity Asset Trust 2007-3 by lowering them to 'D (sf)' from 'B (sf)/Watch Neg', 'B (sf)/Watch Neg', and 'B- (sf)/Watch Neg'. "On May 11, 2011, we incorrectly raised our ratings on these classes and placed them on CreditWatch with negative implications. Prior to the rating change, these classes were already at 'D (sf)', having been downgraded on April 22, 2011. We lowered these classes back to 'D (sf)' and removed them from CreditWatch Negative," S&P stated. In addition, the rating actions listed in "U.S. RMBS Classes Included In May 11, 2011, CreditWatch Placements," published May 11, 2011, on RatingsDirect on the Global Credit Portal, at www.globalcreditportal.com, incorrectly listed the ratings on classes 1A-1A and 2A-1A from DSLA Mortgage Loan Trust 2007-AR1 and classes 1-A-1 and 2-A-4 from Home Equity Asset Trust 2007-3 as being placed on CreditWatch negative. The ratings on these classes were on CreditWatch negative prior to the publication and therefore should have been listed as remaining on CreditWatch negative. Ratings Corrected DSLA Mortgage Loan Trust 2007-AR1 Series 2007-AR1 Rating Class CUSIP Current 05/11/11 Pre-05/11/11 1A-1B 23333YAB1 D (sf) B (sf)/Watch Neg D (sf) 2A-1C 23333YAE5 D (sf) B (sf)/Watch Neg D (sf) Home Equity Asset Trust 2007-3 Series 2007-3 Rating Class CUSIP Current 05/11/11 Pre-05/11/11 M-1 43710TAF4 D (sf) B- (sf)/Watch Neg D (sf) GALAXY X: S&P Raises Rating on 1 Class on Improved Performance -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A notes from Galaxy X CLO Ltd., a collateralized loan obligation (CLO) transaction managed by PineBridge Investments LLC. "At the same time, we affirmed our ratings on the class B, C, and D notes. Concurrently, we removed our ratings on all four classes from CreditWatch, where we placed them with positive implications on March 1, 2011," S&P stated. "The upgrade reflects improved performance we have observed in the deal's underlying asset portfolio since we lowered our ratings on the class A notes on Dec. 11, 2009, following the application of our September 2009 corporate collateralized debt obligation (CDO) criteria. As of the April 4, 2011 trustee report, the transaction did not have any defaulted assets and had approximately $17.93 million in assets from obligors with S&P ratings in the 'CCC' range. These figures are down from $17.62 million in defaults and approximately $36.59 million in assets from obligors with ratings in the 'CCC' range noted in the Oct. 1, 2009, trustee report," S&P related. Standard & Poor's has also observed an increase in the overcollateralization (O/C) available to support the rated notes. The trustee reported these ratios in the April 4, 2011, monthly report: * The senior O/C ratio test was 134.65%, compared with a reported ratio of 130.67% in October 2009; * The class C O/C ratio test was 124.75%, compared with a reported ratio of 121.06% in October 2009; and * The class D O/C ratio test was 119.69%, compared with a reported ratio of 116.15% in October 2009. "The affirmations of the ratings on the class B, C, and D notes reflect our opinion of the sufficient credit support available at the current rating levels," S&P continued. 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 Galaxy X CLO Ltd. Rating Class To From A AAA (sf) AA+ (sf)/Watch Pos B AA (sf) AA (sf)/Watch Pos C A (sf) A (sf)/Watch Pos D BBB (sf) BBB (sf)/Watch Pos GE COMMERCIAL: Fitch Takes Various Actions on 2004-C2 ------------------------------------------------------ Fitch Ratings has upgraded five, downgraded four and affirmed five classes of GE Commercial Mortgage Corporation series 2004-C2 commercial mortgage pass-through certificates. The downgrades reflect Fitch modeled losses of 3.5% and cumulative transaction losses of 2.6% which includes losses realized to date. Fitch expects losses on specially serviced loans to affect class P. As of April 2011, there are cumulative interest shortfalls in the amount of $64,781 currently affecting class P. As of the April 2011 distribution date, the pool's aggregate principal balance has been paid down by 27.7% to $995 million from $1.38 billion at issuance. Fitch has identified 17 loans (15.2%) as Fitch Loans of Concern, which includes one specially serviced loan (0.53%). There are 12 defeased loans (9.53%) in the pool. The largest contributor to modeled losses is the Stonebriar Plaza loan (2.79%) which is collateralized by a shopping center in Collin, TX totaling 182,147 sf. Property occupancy is 79% as of September 2010 which is in line with performance at YE 2009 (77%). The September 2010 DSCR is 0.49x which is in line with DSCR at YE 2009 (0.54x). Property vacancy is primarily due to small shop vacancy but also includes a larger 13,965 sf vacancy that was temporarily leased to a seasonal tenant that has now vacated. The second largest contributor to modeled losses is the Knox Park Village loan (1.64%) which is collateralized by a mixed-use property in Dallas, TX. Property occupancy was 65% as of September 2010 with a DSCR of 0.66x which is in line with performance at YE 2009 when occupancy was 63% and DSCR was 0.79x. The Tanglewood Plaza loan (0.56%), which is a retail center in Naples, FL, is the only loan in special servicing. The loan transferred to the special servicer in December 2010 due to monetary default. The loan matured in April 2011 and the servicer is negotiating a short-term forbearance with the borrower. Fitch upgrades, assigns Loss Severity ratings and Outlooks to these classes: -- $41.3 million class B to 'AAAsf/LS4' from 'AA+sf/LS3'; Outlook Stable; -- $17.2 million class C to 'AAAsf/LS5' from 'AAsf/LS3'; Outlook Stable; -- $25.8 million class D to 'AAsf/LS4' from 'A+sf/LS3'; Outlook Stable; -- $15.5 million class E to 'AAsf/LS5' from 'A-sf/LS4'; Outlook Stable; -- $18.9 million class F to 'Asf/LS5' from 'BBB+sf/LS3'; Outlook Stable. Fitch downgrades, assigns Loss Severity ratings, Outlooks and Recovery Ratings to these classes: -- $10.3 million class J to 'BBsf/LS5' from 'BB+sf/LS4'; Outlook to Stable from Negative; -- $8.6 million class K to 'Bsf/LS5' from 'BBsf/LS4'; Outlook to Stable from Negative; -- $6.9 million class L at to 'Bsf/LS5' from 'BB-sf/LS5'; Outlook to Stable from Negative; -- $5.2 million class M to 'CCCsf/RR1' from 'B+sf/LS5'. Fitch affirms, assigns Loss Severity ratings and Outlooks to these classes: -- $56.6 million class A-3 at 'AAAsf/LS1'; Outlook Stable; -- $574.5 million class A-4 at 'AAAsf/LS1'; Outlook Stable; -- $151.3 million class A-1A at 'AAAsf/LS1'; Outlook Stable; -- $17.2 million class G at 'BBBsf/LS5'; Outlook Stable; -- $18.9 million class H at 'BBB-/LS5'; Outlook Stable; -- $3 million class PPL-1 at 'BBB-sf; Outlook Stable; -- $3.3 million class PPL-2 at 'BBB-sf; Outlook Stable; -- $4.6 million class PPL-3 at 'BB+sf; Outlook Stable; -- $5.9 million class PPL-4 at 'BB-sf; Outlook Stable; -- $3.7 million class PPL-5 at 'B+sf; Outlook Stable; -- $4.5 million class PPL-6 at 'Bsf; Outlook Stable. Fitch withdraws the ratings of the interest only class X-1. The underlying collateral for the PPL rake classes is the Pacific Place loan which is a mixed-use property located in the Union Square area of San Francisco, CA. Fitch affirms these classes as the performance of the loan has remained stable since issuance while the loan has concurrently paid down 7.7% due to amortization. Fitch does not rate classes N, O and P. Classes A-1, A-2 and interest only class X-2 have paid in full. GE COMMERCIAL: Moody's Upgrades Two & Affirms 22 CMBS Classes ------------------------------------------------------------- Moody's Investors Service upgraded the ratings of two classes and affirmed 22 classes of GE Commercial Mortgage Corporation, Commercial Mortgage Pass-Through Certificates, Series 2004-C2: -- Cl. A-3, Affirmed at Aaa (sf); previously on Apr 28, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Apr 28, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Apr 28, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on Apr 28, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. X-2, Affirmed at Aaa (sf); previously on Apr 28, 2004 Definitive Rating Assigned Aaa (sf) -- Cl. B, Upgraded to Aaa (sf); previously on Apr 28, 2004 Definitive Rating Assigned Aa2 (sf) -- Cl. C, Upgraded to Aa1 (sf); previously on Apr 28, 2004 Definitive Rating Assigned Aa3 (sf) -- Cl. D, Affirmed at A2 (sf); previously on Apr 28, 2004 Definitive Rating Assigned A2 (sf) -- Cl. E, Affirmed at A3 (sf); previously on Apr 28, 2004 Definitive Rating Assigned A3 (sf) -- Cl. F, Affirmed at Baa1 (sf); previously on Apr 28, 2004 Definitive Rating Assigned Baa1 (sf) -- Cl. G, Affirmed at Baa2 (sf); previously on Apr 28, 2004 Definitive Rating Assigned Baa2 (sf) -- Cl. H, Affirmed at Baa3 (sf); previously on Apr 28, 2004 Definitive Rating Assigned Baa3 (sf) -- Cl. J, Affirmed at B1 (sf); previously on Aug 13, 2010 Downgraded to B1 (sf) -- Cl. K, Affirmed at B3 (sf); previously on Aug 13, 2010 Downgraded to B3 (sf) -- Cl. L, Affirmed at Caa2 (sf); previously on Aug 13, 2010 Downgraded to Caa2 (sf) -- Cl. M, Affirmed at Caa3 (sf); previously on Aug 13, 2010 Downgraded to Caa3 (sf) -- Cl. N, Affirmed at Ca (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) -- Cl. O, Affirmed at C (sf); previously on Aug 13, 2010 Downgraded to C (sf) -- Cl. PPL-A, Affirmed at Baa3 (sf); previously on Apr 28, 2004 Definitive Rating Assigned Baa3 (sf) -- Cl. PPL-B, Affirmed at Ba1 (sf); previously on Apr 2, 2004 Assigned Ba1 (sf) -- Cl. PPL-C, Affirmed at Ba2 (sf); previously on Apr 28, 2004 Definitive Rating Assigned Ba2 (sf) -- Cl. PPL-D, Affirmed at Ba3 (sf); previously on Apr 28, 2004 Definitive Rating Assigned Ba3 (sf) -- Cl. PPL-E, Affirmed at B1 (sf); previously on Apr 28, 2004 Definitive Rating Assigned B1 (sf) -- Cl. PPL-F, Affirmed at B2 (sf); previously on Apr 28, 2004 Definitive Rating Assigned B2 (sf) Ratings Rationale The upgrades are due to increased subordination due to loan payoffs and amortization and overall stable pool performance. The pool has paid down by 8% 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 3.3% of the current balance. At last review, Moody's cumulative base expected loss was 3.4%. Moody's stressed scenario loss is 8.8% 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 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 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 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 13, 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 11, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 25% to $1 billion from $1.3 billion at securitization. The Certificates are collateralized by 97 mortgage loans ranging in size from less than 1% to 8.5% of the pool, with the top ten loans representing 42% of the pool. The pool contains three loans with investment grade credit estimates that represent 18% of the pool. Thirteen loans, representing 8.5% of the pool, have defeased and are collateralized with U.S. Government securities. Twenty-seven 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. Three loans have been liquidated from the pool, resulting in an aggregate realized loss of $1.3 million (12% loss severity overall). One loan, representing less than 1% of the pool, is currently in special servicing. Moody's has estimated an aggregate $36.3 million loss (57% expected loss on average) for the specially serviced loan. Moody's has assumed a high default probability for 15 poorly performing loans representing 8% of the pool and has estimated a $1.6 million aggregate loss (30% expected loss based on a 100% probability default) from this troubled loan. Moody's was provided with full year 2009 operating results for 91% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 86% 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 9.0%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.46X and 1.21X, respectively, compared to 1.41X and 1.18X 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 30 compared to 31 at Moody's prior review. The largest loan with a credit estimate is the Tysons Corner Center Loan ($87 million -- 8.5%), which represents a 28% pari- passu interest in a first mortgage loan. The loan is secured by the borrower's interest in a 2.0 million square foot regional mall located in McLean, Virginia. The mall is anchored by Bloomingdale's, Macy's, Nordstrom, and Lord & Taylor. The property's financial performance has improved since securitization due to additional rental income from a 265,000 square foot renovation/expansion that was completely in 2007. The property is currently 97% leased. Moody's current credit estimate and stressed DSCR are Aaa and 2.28X, respectively, compared to Aaa and 2.27X at last review. The second largest loan with a credit estimate is the Pacific Place Loan ($79 million -- 7.7%), which is secured by a two- building mixed use property including retail, office and leased hotel components. The property is located in the Union Square submarket of San Francisco, California. The two buildings are referred to as Pac One and Pac Two. Pac One is an eight-story property built in 1907 and renovated in 1981 and 1999. Old Navy occupies a portion of the ground floor and all of the basement, second and third floors. Part of the ground floor as well as floors five through nine are leased to the 200-room Palomor Hotel through June 2097. Pac Two is a 16-story building housing the subject's office component as well as the Container Store on the two lower levels. Pac Two was built in 1907 and renovated in 1999. As of December 2010, the complex was 98% leased, compared to 100% at last review. The loan was interest only for the first two years and now amortizes on a 360-month schedule. The loan is divided into a senior component which is security for the pooled classes and six subordinate components which are security for non-pooled Classes PPL-A, PPL-B, PPL-C, PPL-D, PPL-E and PPL-F. Moody's current credit estimate and stressed DSCR for the pooled portion of the loan are Baa2 and 1.51X, essentially the same at last review. The third largest loan with a credit estimate is the AFR Portfolio Loan ($15 million -- 1.5%), which represents a 5.9% pari-passu interest in a first mortgage loan secured by 115 properties located in various states. The properties consist of office, operation centers and retail bank branches. As of December 2010, the portfolio was 88% leased compared to 86% at last review. Six properties have been released from the pool and 31 properties, representing 24% of the loan balance, have defeased since securitization. Due to property releases, defeasance and loan amortization, the loan balance has decreased by approximately 24% since securitization. Moody's current credit estimate and stressed DSCR are A1 and 1.54X, respectively, compared to A1 and 1.25X at last review. The top three performing conduit loans represent 14% of the pool. The largest loan is the Prince Building Loan ($65 million -- 6.3%), which is secured by a 312,570 square foot office and retail building located in the SoHo submarket of New York City. The building was built in 1897 and renovated in 1991. The 12-story, Class B office building includes 22,335 square feet of street level retail space and 312,570 square feet of office space. The largest tenant is Scholastic, which occupies 43% of the property's net rentable area (NRA) through 2013 and 2018. The three retail tenants are Equinox, Forever 21, and Armani. Although Armani only represents 4% of the NRA (lease expiration January 2012), it generates approximately 16% of the property's revenue. As of December 2010, the property was 99% leased, the same as at last review. Moody's LTV and stressed DSCR are 50% and 1.92X, respectively, compared to 70% and 1.35X at last review. The second largest loan is the Princeton Office Loan ($51.4 million -- 5%), which is secured by a six Class A office buildings located in the 10-building College Park Research Center in Plainsboro Township, New Jersey. The complex was built in phases between 1976 and 1981 and is encumbered by a ground lease through 2037. As of December 2010, the property was 93% leased compared to 92% at last review and 85% at securitization. Moody's LTV and stressed DSCR are 76% and 1.31X, respectively, compared to 84% and 1.18X at last review. The third largest loan is the Stonebriar Plaza Loan ($28.8 million -- 2.6%), which is secured by a 182,147 square foot retail property located in Frisco, Texas. As of July 2010, the property was 67% leased compared to 97% at securitization. The property's performance is in line with last review, however significantly declined since securitization due to the occupancy declining. Moody's believes that due to poor performance there is a high probability that this loan may default and has identified this as a troubled loan. The loan matures in 2014. Moody's LTV and stressed DSCR are 156% and 0.62X, respectively, compared to 159% and 0.61X at last review. GMAC COMMERCIAL: Fitch Downgrades GMACC 2005-C1 Ratings ------------------------------------------------------- Fitch Ratings has downgraded 11 classes of GMAC Commercial Mortgage Securities, Inc., series 2005-C1 (GMACC 2005-C1) commercial mortgage pass-through certificates, due to further deterioration of loan performance. The downgrades reflect an increase in Fitch modeled losses across the pool. Fitch modeled losses of 11.8% of the remaining pool; modeled losses of the original pool are at 9.2%, including losses already incurred to date. Fitch expects the modeled losses associated with the specially-serviced loans to impact classes G through P and a portion of class F. As of the April 2011 distribution date, the pool's aggregate principal balance has been reduced by 39.6% to $0.964 billion from $1.598 billion at issuance, due to a combination of paydown (37.6%) and realized losses (2.0%). Interest shortfalls totaling $4.6 million are currently affecting classes C through P. Fitch has identified 22 loans (42.1%) as Fitch Loans of Concern, which includes 13 specially-serviced loans (31%). Of the 13 loans in special servicing, one loan (0.8%) is real estate-owned, one loan (1.3%) is in foreclosure, eight loans (13.8%) are 90 days or more delinquent, and three loans (15.1%) are current. The current percentage of specially-serviced loans has increased from 19.8% at Fitch's last review. The largest contributor to modeled losses is a specially-serviced loan (6%) secured by a 321,041 square foot (sf) office property located in Las Vegas, Nevada. The loan was transferred to special servicing in April 2009 due to imminent default. The loan was restructured in December 2010 and was bifurcated into an A-note and a B-note. The maturity date was amended to May 2020 from an original anticipated repayment date of May 2010. Occupancy at the property was 48% as of December 2010. The second largest contributor to modeled losses is a specially- serviced loan (2.3%) secured by a 460-unit multifamily property located in Winter Haven, Florida. The loan was transferred to special servicing in September 2009 due to imminent default. According to the special servicer, a final offer on the property has been approved with an assumption of the existing debt. The third largest contributor to modeled losses is a specially- serviced loan (2.1%) secured by a 5,300-stall parking facility located in Windsor Lock, Connecticut. In January 2010, the property's sole tenant filed for bankruptcy and rejected its lease. Since then, the borrower has entered into a new management agreement with another third party. According to the special servicer, a modification of the loan was recently approved and is in the process of documentation with the borrower. Fitch has downgraded, assigned or revised Loss Severity (LS) ratings and Recovery Ratings (RRs) to these classes: -- $127.8 million class A-J to 'Asf/LS4' from 'AAsf/LS3'; Outlook to Negative from Stable; -- $34 million class B to 'BBsf/LS5' from 'BBBsf/LS5; Outlook to Negative from Stable; -- $12 million class C to 'Bsf/LS5' from 'BBB-sf/LS5'; Outlook to Negative from Stable; -- $24 million class D to 'B-sf/LS5' from 'BBsf/LS5'; Outlook to Negative from Stable; -- $16 million class E to 'CCCsf/RR1' from 'Bsf/LS5'; -- $16 million class F to 'CCsf/RR5' from 'B-sf/LS5'; -- $16 million class G to 'CCsf/RR6' from 'B-sf/LS5'; -- $20 million class H to 'CCsf/RR6' from 'CCCsf/RR6'. -- $6 million class J to 'Csf/RR6' from 'CCsf/RR6'. -- $6 million class K to 'Csf/RR6' from 'CCsf/RR6'. -- $8 million class L to 'Csf/RR6' from 'CCsf/RR6'. Additionally, Fitch has affirmed these classes: -- $138 million class A-1A at 'AAAsf/LS2'; Outlook Stable; -- $153.8 million class A-3 at 'AAAsf/LS2'; Outlook Stable; -- $68.1 million class A-4 at 'AAAsf/LS2'; Outlook Stable; -- $157.4 million class A-5 at 'AAAsf/LS2'; Outlook Stable; -- $159.8 million class A-M at 'AAAsf/LS4'; Outlook Stable. The $1.6 million class M remains at 'Dsf/RR6'. Class N has been reduced to zero due to realized losses and remains at 'Dsf/RR6'. The rating on class O was previously withdrawn. Class P has been reduced to zero due to realized losses and is not rated by Fitch. Classes A-1 and A-2 have paid in full. Fitch has withdrawn the rating on the interest-only classes X-1 and X-2. GMAC COMMERCIAL: Moody's Affirms Four CMBS Classes of GMAC 2000-C1 ------------------------------------------------------------------ Moody's Investors Service affirmed the ratings of four classes of GMAC Commercial Mortgage Securities, Inc., Series 2000-C1 Mortgage Pass-Through Certificates: -- Cl. X, Affirmed at Aaa (sf); previously on Mar 16, 2000 Assigned Aaa (sf) -- Cl. J, Affirmed at B2 (sf); previously on Nov 2, 2004 Downgraded to B2 (sf) -- Cl. K, Affirmed at C (sf); previously on Oct 28, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Jun 1, 2006 Downgraded to C (sf) 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 39.3% of the current balance compared to 42.6% at last review. 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 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 "CMBS: Moody's Approach to Rating U.S. Conduit Transactions" published in September 2000. Due to the high percentage of loans in special servicing, Moody's analysis also considered a loss and recovery analysis for specially serviced loans. Under this approach, Moody's assumes an expected loss for each loan and determines the impact of losses and recoveries on the certificates. 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 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $21.4 million from $879.9 million at securitization. The Certificates are collateralized by seven mortgage loans ranging in size from 4% to 23% of the pool. One loan, representing 4% of the pool, has defeased and is collateralized with U.S. Government securities. Twenty-six loans have been liquidated from the pool, resulting in an aggregate realized loss of $22.9 million (16% loss severity on average). Due to realized losses, classes O through M have been eliminated entirely and Class L has experienced a 31% principal loss. Currently there are six loans, representing 96% of the pool, in special servicing. All of the loans in special servicing are due to imminent maturity default. The largest specially serviced loan is the Brookscrossing Apartments Loan ($5.0 million -- 23% of the pool), which is secured by a 224 unit multifamily property located in Riverdale, Georgia. The loan was transferred to special servicing in July 2009 and became real estate owned (REO) on July 6, 2010. The servicer has recognized a $753,294 appraisal reduction on the loan. The remaining five specially serviced loans are secured by a mix of property types. Moody's has estimated an aggregate $10.9 million loss (51% expected loss on average) for the specially serviced loans. Based on the most recent remittance statement, Classes K and L have cumulative interest shortfalls totaling $643,182. 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. GRAMERCY REAL ESTATE: Fitch Affirms 9 Classes of CDO 2007-1 ----------------------------------------------------------- Fitch Ratings has downgraded six classes and affirmed nine classes of Gramercy Real Estate CDO 2007-1 Ltd./LLC (Gramercy 2007-1) reflecting an increase in Fitch's base case loss expectation to 29.8% from 18.3% at last review primarily due to the negative credit migration of the underlying CMBS bonds that serve as collateral. Since last review, the average Fitch derived rating for the underlying CMBS collateral declined to 'B+/B' from 'BB+/BB'. The CMBS collateral represents 78.6% of the total collateral, which is a higher percentage than at last review (74.5%). Commercial real estate loans (CREL) comprise approximately 21.4% of the collateral. Approximately 40% of the CREL are whole loans or A-notes with the remainder B-notes or mezzanine loans. Since last review, the senior class A-1 has received paydown of $14.9 million primarily from recoveries on distressed assets. Additionally, the transaction continues to fail all three of its principal coverage tests resulting in the diversion of principal proceeds and interest (after class B) to pay principal to class A- 1; and the capitalization of interest to classes C through K. Since last review, the disposal of two assets resulted in realized losses of approximately $24.7 million to the CDO. Defaulted loans currently comprise 4.6% of the collateral while loans of concern comprise an additional 5.6%. Further, approximately 17.5% of total collateral are CMBS bonds that have a Fitch derived rating in the 'CCC' category. Under Fitch's methodology, approximately 42% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. Fitch estimates that average recoveries will be 29.1% reflecting low recovery expectations upon default of the CMBS tranches and non-senior real estate loans. While the largest component of Fitch's base case loss expectation is the modeled losses on the CMBS bond collateral, the second largest component of Fitch's base case loss expectation is a defaulted mezzanine loan (4.6%) secured by ownership interests in a multifamily property located in New York, NY. The property contains over 11,000 residential units and approximately 120,000 square feet of office and retail space. The sponsors' plan was to convert the majority of rent controlled units to market rates; however, the plan has faced significant economic and legal hurdles. The loan was transferred to special servicing on Nov. 6, 2009, at the borrower's request, to facilitate negotiations on restructuring the debt. The special servicer gained control of the property by acquiring some of the mezzanine debt of the borrower. The special servicer is working to stabilize the asset and intends to renovate 570 vacant units in 2011. Fitch modeled no recovery on this highly leveraged mezzanine position. The third largest component of Fitch's base case loss expectation is the combined modeled loss on the C-note and mezzanine loan secured by interests in a downtown New York City office building. While the property is currently 97% leased, there is major lease roll scheduled in 2014. Fitch modeled the loans as maturity defaults with significant losses. This transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions', which applies stresses to property cash flows and debt service coverage ratio (DSCR) tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The credit enhancement to class A-1 was then compared to the modeled expected losses, and determined to be consistent with the rating assigned below. Based on prior modeling results, no material impact was anticipated from cash flow modeling the transaction. Class A-1's Rating Outlook is revised to Stable from Negative reflecting the class's senior position in the capital stack. The 'CCC' and below ratings for classes A-2 through J are based on a deterministic analysis that considers Fitch's base case loss expectation for the pool and the current percentage of defaulted assets and Fitch Loans of Concern factoring in anticipated recoveries relative to each class' credit enhancement. These classes were assigned Recovery Ratings (RR) in order to provide a forward-looking estimate of recoveries on currently distressed or defaulted structured finance securities. Gramercy 2007-1 is a commercial real estate (CRE) CDO managed by GKK Manager LLC (GKKM), an affiliate of Gramercy Capital Corp. The transaction has a five-year reinvestment period which ends in August 2012. Fitch has downgraded, revised Outlooks, and assigned Recovery Ratings for these classes: -- $687 million class A-1 Notes to 'Bsf/LS3' from 'BBsf/LS3'; Outlook to Stable from Negative; -- $121 million class A-2 Notes to 'CCCsf/RR2' from 'Bsf/LS4'; -- $29.5 million class B-FL Notes to 'CCsf/RR4' from 'CCCsf/RR4'; -- $20 million class B-FX Notes to 'CCsf/RR4' from 'CCCsf/RR4'; -- $20.7 million class C-FL Notes to 'CCsf/RR6' from 'CCCsf/RR6'; -- $3.8 million class C-FX Notes to 'CCsf/RR6' from 'CCCsf/RR6' Fitch has affirmed these classes: -- $116.6 million class A-3 Notes at 'CCCsf/RR3'; -- $4.6 million class D Notes at 'CCsf/RR6'; -- $5.2 million class E Notes at 'CCsf/RR6'; -- $9.9 million class F Notes at 'CCsf/RR6'; -- $3.2 million class G-FL Notes at 'Csf/RR6'; -- $2.3 million class G-FX Notes at 'Csf/RR6'; -- $2.2 million class H-FL Notes at 'Csf/RR6'; -- $5.8 million class H-FX Notes at 'Csf/RR6'; -- $15.5 million class J Notes at 'Csf/RR6'. Class K is not rated by Fitch. GSC PARTNERS: Moody's Raises Ratings of CLO Notes ------------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by GSC Partners CDO Fund II, Limited: -- US$600,500,000 Class A Guaranteed Floating Rate Senior Notes Due 2013 (current outstanding balance of $61,680,498), Upgraded to Aaa (sf); previously on November 12, 2009 Confirmed at Aa3 (sf); -- US$10,000,000 Class B Floating Rate Subordinated Notes Due 2013 (current outstanding balance of $5,254,681), Upgraded to Aaa (sf); previously on November 9, 2009 Downgraded to B3 (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 52% or $67 million since the last rating action in November 2009. As a result of the delevering, the overcollateralization ratios have increased. As of the latest trustee report dated May 2, 2011, the Class A and Class B overcollateralization ratios are reported at 163.45% and 150.62%, respectively, versus September 2009 levels of 124.69% and 119.79%, respectively. In addition, Moody's notes that the latest trustee report reflects $56.7 million of proceeds in the principal account, which will likely be used to pay down the Class A-1A Notes on the May 22, 2011 payment date. The rating on the Class A Notes reflects the actual underlying rating of the Class A Notes. This underlying rating is based solely on the intrinsic credit quality of the Class A Notes in the absence of the guarantee from Financial Security Assurance Intl Ltd., whose insurance financial strength rating is currently Aa3. The action on the Class A Notes is a result of, and is consistent with, Moody's modified approach to rating structured finance securities wrapped by financial guarantors as described in the press release dated November 10, 2008, titled "Moody's modifies approach to rating structured finance securities wrapped by financial guarantors." 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 $43 million, defaulted par of $18 million, a weighted average default probability of 31.60% (implying a WARF of 6805), a weighted average recovery rate upon default of 31.22%, and a diversity score of 9. 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 II, Limited, issued in March 2001, is a collateralized bond obligation backed primarily by a portfolio of senior secured loans, non-senior secured loans, and senior unsecured bonds. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in August 2009. This publication incorporates rating criteria that apply to both collateralized loan obligations and collateralized bond obligations. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. In addition, due to the low diversity of the collateral pool, CDOROM 2.8 was used to simulate a default distribution that was then applied as an input in the cash flow model. Moody's also supplemented its modeling with individual scenario analysis to assess the ratings impact of jump- to-default by certain large obligors. 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. 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, 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, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (5444) -- Class A: 0 -- Class B: 0 Moody's Adjusted WARF + 20% (8166) -- Class A: 0 -- Class B: 0 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1. Delevering: The main source of uncertainty in this transaction is whether delevering from unscheduled principal proceeds will continue and at what pace. Delevering may accelerate due to high prepayment levels in the credit 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. Management continuity: GSC Group, Inc. has 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. 4. Lack of portfolio granularity: The performance of the portfolio depends to a large extent on the credit conditions of a few large obligors that are rated Caa1 or lower, especially when they experience jump to default. Due to the deal's low diversity score and lack of granularity, Moody's supplemented its typical Binomial Expansion Technique analysis with a simulated default distribution using Moody's CDOROM software and/or individual scenario analysis. JEFFERIES RESECURITIZATION: S&P Cuts Rating on Class 2-A1 to 'CCC' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating on class 2- A1 from Jefferies Resecuritization Trust 2010-R6, a residential mortgage-backed securities (RMBS) resecuritized real estate mortgage investment conduit (re-REMIC) transaction issued in 2010, and removed it from CreditWatch negative. "In addition, we affirmed our ratings on 64 classes from five RMBS re-REMIC transactions, including Jefferies Resecuritization Trust 2010-R6. At the same time, we removed 44 of the affirmed ratings from CreditWatch negative," S&P stated. "Four of the transactions we reviewed pay interest on a pro rata basis, and RBSSP Resecuritization Trust 2010-2 has a sequential payment structure for all of its loan groups," S&P continued. "On Dec. 15, 2010, we placed our ratings on 45 classes from the five transactions within this review on CreditWatch negative, along with ratings from a group of other RMBS re-REMIC securities. On April 1, 2011, we provided an update on the CreditWatch placements and provided clarification regarding our analysis of interest payment amounts within RMBS re-REMIC transactions," S&P added. "Our ratings on the re-REMIC classes are intended to address the timely payment of interest and principal. We reviewed the interest and principal amounts due on the underlying securities, which are then passed through to the applicable re-REMIC classes. When performing this analysis, we applied our loss projections, incorporating, where applicable, our recently revised loss assumptions for the underlying collateral to identify the principal and interest amounts that could be passed through from the underlying securities under our rating scenario stresses. We stressed our loss projections at various rating categories to assess whether the re-REMIC classes could withstand the stressed losses associated with their ratings while receiving timely payment of interest and principal consistent with our criteria," S&P explained. "As noted, in applying our loss projections, we incorporated, where applicable, our recently revised loss assumptions as outlined in 'Revised Lifetime Loss Projections For Prime, Subprime, And Alt-A U.S. RMBS Issued In 2005-2007,' published on March 25, 2011, into our review. Such updates pertain to the 2005-2007 vintage prime, subprime, and Alternative-A (Alt-A) RMBS transactions; some of which are associated with the re-REMICs we reviewed," S&P related. Lifetime Loss Projections For Prime And Subprime RMBS (Percent of original balance) Prime RMBS Subprime RMBS Aggregate Aggregate Vintage Updated Prior Updated Prior 2005 5.5 4.00 18.25 15.40 2006 9.25 6.60 38.25 35.00 2007 11.75 9.75 48.50 43.20 Lifetime Loss Projections For Alt-A RMBS (Percent of original balance) Fixed/ Aggregate long-reset Vintage Updated Prior Updated Prior 2005 13.75 11.25 12.75 9.60 2006 29.50 26.25 25.25 25.00 2007 36.00 31.25 31.75 26.25 Short-reset hybrid Option ARM Vintage Updated Prior Updated Prior 2005 13.25 14.75 15.50 13.25 2006 30.00 30.50 34.75 26.75 2007 41.00 40.75 43.50 37.50 "As a result of this review, we lowered our rating on one class based on our assessment as to whether there were principal and/or interest shortfalls from the underlying securities that would impair the re-REMIC class at the applicable rating stresses. The affirmations reflect our assessment of the likelihood that the re- REMIC classes will receive timely interest and principal under the applicable stressed assumptions," stated S&P. "As noted, RBSSP Resecuritization Trust 2010-2 contains a sequential interest payment structure for all of its loan groups. We based our downgrade of class 2-A1 from Jefferies Resecuritization Trust 2010-R6 on our projections of interest shortfalls, allocated to the relevant re-REMIC classes under the applicable rating stress scenarios," S&P added. Rating Actions Banc of America Funding 2010-R3 Trust Series 2010-R3 Rating Class CUSIP To From 4-A-1 05955YAN9 AAA (sf) AAA (sf)/Watch Neg 4-A-IO 05955YAQ2 AA (sf) AA (sf)/Watch Neg 2-A-4 05955YAF6 AA (sf) AA (sf)/Watch Neg 4-A-2 05955YAP4 AA (sf) AA (sf)/Watch Neg 7-A-1 05955YAZ2 BBB (sf) BBB (sf)/Watch Neg 2-A-1 05955YAC3 AAA (sf) AAA (sf)/Watch Neg 2-A-2 05955YAD1 AA (sf) AA (sf)/Watch Neg 1-A-1 05955YAA7 AA (sf) AA (sf)/Watch Neg 4-A-4 05955YAS8 AA (sf) AA (sf)/Watch Neg 6-A-1 05955YAW9 BBB (sf) BBB (sf)/Watch Neg BCAP LLC 2009-RR14 Trust Series 2009-RR14 Rating Class CUSIP To From XII-A7 05532LCP2 AA (sf) AA (sf)/Watch Neg Jefferies Resecuritization Trust 2010-R6 Series 2010-R6 Rating Class CUSIP To From 2-A1 47233TAH9 CCC (sf) A (sf)/Watch Neg 1-A6 47233TAF3 AAA (sf) AAA (sf)/Watch Neg 1-A1 47233TAA4 AAA (sf) AAA (sf)/Watch Neg 1-A4 47233TAD8 AAA (sf) AAA (sf)/Watch Neg 1-A2 47233TAB2 BBB (sf) BBB (sf)/Watch Neg 1-A5 47233TAE6 AAA (sf) AAA (sf)/Watch Neg 1-A7 47233TAG1 AAA (sf) AAA (sf)/Watch Neg Prime Mortgage Trust 2005-1 Series 2005-1 Rating Class CUSIP To From II-A-1 74160MHA3 AAA (sf) AAA (sf)/Watch Neg II-A-2 74160MHB1 AAA (sf) AAA (sf)/Watch Neg II-A-3 74160MHC9 AAA (sf) AAA (sf)/Watch Neg II-A-4 74160MHD7 AAA (sf) AAA (sf)/Watch Neg II-A-5 74160MHE5 AAA (sf) AAA (sf)/Watch Neg RBSSP Resecuritization Trust 2010-2 Series 2010-2 Rating Class CUSIP To From 14-A1 74929CDA1 AAA (sf) AAA (sf)/Watch Neg 14-A2 74929CDB9 BBB (sf) BBB (sf)/Watch Neg 8-A3 74929CBF2 AAA (sf) AAA (sf)/Watch Neg 1-A1 74929CAA4 AAA (sf) AAA (sf)/Watch Neg 14-A3 74929CDD5 AA (sf) AA (sf)/Watch Neg 11-A2 74929CBY1 BBB (sf) BBB (sf)/Watch Neg 14-A6 74929CDG8 BBB (sf) BBB (sf)/Watch Neg 13-A3 74929CCH7 AA (sf) AA (sf)/Watch Neg 3-A1 74929CAF3 A (sf) A (sf)/Watch Neg 8-A1 74929CBD7 A (sf) A (sf)/Watch Neg 13-A5 74929CCK0 A (sf) A (sf)/Watch Neg 14-A4 74929CDE3 BBB (sf) BBB (sf)/Watch Neg 2-A1 74929CAC0 A (sf) A (sf)/Watch Neg 13-A1 74929CCF1 AAA (sf) AAA (sf)/Watch Neg 4-A1 74929CAM8 A (sf) A (sf)/Watch Neg 4-A5 74929CAR7 AA (sf) AA (sf)/Watch Neg 4-A3 74929CAP1 AAA (sf) AAA (sf)/Watch Neg 3-A5 74929CAK2 AA (sf) AA (sf)/Watch Neg 14-A5 74929CDF0 A (sf) A (sf)/Watch Neg 11-A1 74929CBX3 AAA (sf) AAA (sf)/Watch Neg 3-A3 74929CAH9 AAA (sf) AAA (sf)/Watch Neg 8-A5 74929CBH8 AA (sf) AA (sf)/Watch Neg Ratings Affirmed BCAP LLC 2009-RR14 Trust Series 2009-RR14 Class CUSIP Rating X-A11 05532LBU2 BBB (sf) XII-A3 05532LCK3 AA (sf) X-A9 05532LBS7 AA (sf) XII-A1 05532LCH0 AAA (sf) IV-A1 05532LAJ8 AAA (sf) XII-A5 05532LCM9 A (sf) IX-A1 05532LBD0 AAA (sf) XIII-A1 05532LCU1 AAA (sf) VI-A1 05532LAN9 AAA (sf) XIII-A5 05532LCY3 A (sf) XIII-A3 05532LCW7 AA (sf) X-A12 05532LBV0 BBB (sf) X-A10 05532LBT5 A (sf) XIII-A8 05532LDB2 A (sf) XII-A8 05532LCQ0 A (sf) X-A3 05532LBL2 AA (sf) X-A5 05532LBN8 A (sf) X-A1 05532LBJ7 AAA (sf) XIII-A7 05532LDA4 AA (sf) X-A7 05532LBQ1 BBB (sf) JOHNSTON RE: S&P Rates Two Classes of Notes at 'BB-' ---------------------------------------------------- Standard & Poor's Ratings Services assigned its 'BB- (sf)' ratings on the Series 2011-1 Class A and B notes issued by Johnston Re Ltd. Johnston Re 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 Johnston Re's issued and outstanding shares in trust for charitable or similar purposes. The ceding reinsurer is Munich Reinsurance America Inc. (Munich Re America; AA-/Stable/--). Munich Re America will be responsible for the premium payments due under the retrocession agreement in place between Munich Re America and Johnston Re. Johnston Re will cover losses on a per-occurrence basis due to hurricanes. Covered losses will not be directly linked to Munich Re America's exposure in the covered area (North Carolina), rather they will be based on the losses of the North Carolina Joint Underwriters Assn. (NCJUA) and the North Carolina Insurance Underwriters Assn. (NCIUA). Ratings List Ratings Assigned Johnston Re Ltd. Series 2011-1 Class A Notes BB- (sf) Series 2011-1 Class B Notes BB- (sf) JP MORGAN: Fitch Downgrades 12 Classes of JPMCC 2005-CIBC13 ----------------------------------------------------------- Fitch Ratings has downgraded 12 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., series 2005-CIBC13 (JPMCC 2005-CIBC13) commercial mortgage pass-through certificates, due to further performance deterioration, which includes an increase in expected losses on the specially serviced loans as well as other loans in the pool. The downgrades reflect an increase in Fitch expected losses across the pool. Fitch modeled losses of 12.4% for the remaining pool (expected losses of the original pool are at 13.2% and includes losses realized to date). Fitch has designated 54 loans (39.7%) as Fitch Loans of Concern, which includes 24 specially serviced loans (23.6%). As of the April 2011 distribution date, the pool's aggregate principal balance has decreased by 8.1% to $2.5 billion from $2.7 billion at issuance. Realized losses incurred to date total $48.4 million. No loans are currently defeased. Cumulative interest shortfalls in the amount of $18.4 million are currently affecting classes C and below. The largest contributor to Fitch modeled losses is a portfolio of 16 office properties located in various markets. Eleven of the properties are Real Estate Owned (REO) and the remaining five properties are in foreclosure. Fitch expects a significant loss upon liquidation based on a December 2010 appraised value well below the outstanding loan balance. The next largest contributor to Fitch modeled losses is a defaulted loan secured by a 322-room luxury hotel property located in the South Beach area of Miami, FL. The special servicer is currently pursuing foreclosure. Fitch expects a significant loss upon liquidation based on a December 2010 appraised value well below the outstanding loan balance. The third largest contributor to Fitch modeled losses is secured by a 700,000 square foot (sf) office property located in downtown Los Angeles. Between year end (YE) 2009 and YE 2010, occupancy dropped 16% resulting in a YE 2010 Servicer reported DSCR of 0.98x. Further, the third largest tenant (15% of NRA) expires in December 2011 and it is unknown if they will renew or vacate. Fitch downgrades and assigns Recovery Ratings to these classes: -- $187 million class A-J to 'Bsf/LS4' from 'BBsf/LS4'; Outlook Negative; -- $54.4 million class B to 'B-sf/LS5' from 'BBsf/LS5'; Outlook Negative; -- $23.8 million class C to 'CCCsf/RR1' from 'Bsf/LS5'; -- $44.2 million class D to 'CCCsf/RR5' from 'B-sf/LS5'; -- $34 million class E to 'CCsf/RR6' from 'B-sf/LS5'; -- $37.4 million class F to 'CCsf/RR6' from 'B-sf/LS5'; -- $30.6 million class G to 'Csf/RR6' from 'CCCsf/RR6'; -- $34 million class H to 'Csf/RR6' from 'CCCsf/RR6'; -- $10.2 million class J to 'Csf/RR6' from 'CCCsf/RR6'; -- $17 million class K to 'Csf/RR6' from 'CCCsf/RR6'; -- $10.2 million class L to 'Csf/RR6' from 'CCCsf/RR6'; -- $6.8 million class M to 'Csf/RR6' from 'CCCsf/RR6'. Fitch also affirms these classes: -- $274.2 million class A-1A at 'AAAsf/LS2'; Outlook Stable; -- $124.4 million class A-2 at 'AAAsf/LS2'; Outlook Stable; -- $181.6 million class A-2FL at 'AAAsf/LS2'; Outlook Stable; -- $57.3 million class A-2FX at 'AAAsf/LS2'; Outlook Stable; -- $206.4 million class A-3A1 at 'AAAsf/LS2'; Outlook Stable; -- $25 million class A-3A2 at 'AAAsf/LS2'; Outlook Stable; -- $751.7 million class A-4 at 'AAAsf/LS2'; Outlook Stable; -- $112.4 million class A-SB at ''AAAsf/LS2'; Outlook Stable; -- $272.1 million class A-M at 'AAAsf/LS4'; Outlook Negative; -- $6 million class N remains at 'Dsf/RR6'; -- $0 class P remains at 'Dsf/RR6'. Fitch withdraws the rating on the interest-only classes X-1 and X- 2. JP MORGAN: Moody's Affirms 33 CMBS Classes of JPMCC 2006-LDP9 ------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 33 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp. Commercial Mortgage Pass-Through Certificates Series 2006-LDP9: -- Cl. A-1S, Affirmed at Aaa (sf); previously on Jan 22, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Affirmed at Aaa (sf); previously on Jan 22, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-2S, Affirmed at Aaa (sf); previously on Jan 22, 2007 Definitive Rating Assigned Aaa (sf) -- Cl. A-2SFL, Affirmed at Aaa (sf); previously on Jan 22, 2007 Assigned Aaa (sf) -- Cl. A-2SFX, Affirmed at Aaa (sf); previously on Mar 17, 2010 Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aa3 (sf); previously on Sep 2, 2010 Downgraded to Aa3 (sf) -- Cl. A-3SFL, Affirmed at Aa3 (sf); previously on Sep 2, 2010 Downgraded to Aa3 (sf) -- Cl. A-1A, Affirmed at Aa3 (sf); previously on Sep 2, 2010 Downgraded to Aa3 (sf) -- Cl. A-M, Affirmed at Baa1 (sf); previously on Sep 2, 2010 Downgraded to Baa1 (sf) -- Cl. A-MS, Affirmed at Baa1 (sf); previously on Sep 2, 2010 Downgraded to Baa1 (sf) -- Cl. A-J, Affirmed at Ba3 (sf); previously on Sep 2, 2010 Downgraded to Ba3 (sf) -- Cl. A-JS, Affirmed at Ba3 (sf); previously on Sep 2, 2010 Downgraded to Ba3 (sf) -- Cl. B, Affirmed at B2 (sf); previously on Sep 2, 2010 Downgraded to B2 (sf) -- Cl. B-S, Affirmed at B2 (sf); previously on Sep 2, 2010 Downgraded to B2 (sf) -- Cl. C, Affirmed at B3 (sf); previously on Sep 2, 2010 Downgraded to B3 (sf) -- Cl. C-S, Affirmed at B3 (sf); previously on Sep 2, 2010 Downgraded to B3 (sf) -- Cl. D, Affirmed at Caa2 (sf); previously on Sep 2, 2010 Downgraded to Caa2 (sf) -- Cl. D-S, Affirmed at Caa2 (sf); previously on Sep 2, 2010 Downgraded to Caa2 (sf) -- Cl. E, Affirmed at Caa3 (sf); previously on Sep 2, 2010 Downgraded to Caa3 (sf) -- Cl. E-S, Affirmed at Caa3 (sf); previously on Sep 2, 2010 Downgraded to Caa3 (sf) -- Cl. F, Affirmed at Ca (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) -- Cl. F-S, Affirmed at Ca (sf); previously on Sep 2, 2010 Downgraded to Ca (sf) -- Cl. G, Affirmed at C (sf); previously on Sep 2, 2010 Downgraded to C (sf) -- Cl. G-S, Affirmed at C (sf); previously on Sep 2, 2010 Downgraded to C (sf) -- Cl. H, Affirmed at C (sf); previously on Sep 2, 2010 Downgraded to C (sf) -- Cl. H-S, Affirmed at C (sf); previously on Sep 2, 2010 Downgraded to C (sf) -- Cl. J, Affirmed at C (sf); previously on Sep 2, 2010 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on Sep 2, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Sep 2, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Sep 2, 2010 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on Sep 2, 2010 Downgraded to C (sf) -- Cl. P, Affirmed at C (sf); previously on Sep 2, 2010 Downgraded to C (sf) -- Cl. X, Affirmed at Aaa (sf); previously on Jan 22, 2007 Definitive Rating Assigned Aaa (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 10.9%. Moody's stressed scenario loss is 20.7% 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 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 September 2, 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 3% to $4.7 billion from $4.9 billion at securitization. The Certificates are collateralized by 241 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 42% of the pool. The pool contains two loans with investment grade credit estimates that represent 5% of the pool. One loan, representing less than 1% of the pool, has defeased and is collateralized with U.S. Government securities. Seventy-two loans, representing 34% 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. Ten loans have been liquidated from the pool, resulting in an aggregate realized loss of $40.6 million (84% loss severity overall). Thirty-one loans, representing 12% of the pool, are currently in special servicing. The master servicer has recognized an aggregate $91.9 million appraisal reduction for 20 of the specially serviced loans. Moody's has estimated an aggregate $130 million loss (40% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 29 poorly performing loans representing 21% of the pool and has estimated a $167 million aggregate loss (17% 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 68% of the pool's non-defeased loans, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 111% compared to 117% 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 and troubled loans, Moody's actual and stressed DSCRs are 1.41X and 0.88X, respectively, compared to 1.37X and 0.91X 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 40 compared to 45 at Moody's prior review. The largest loan with a credit estimate is the Merchandise Mart Loan ($175.0 million -- 3.7% of the pool), which represents a 50% pari passu interest in a $350 million first mortgage loan. The property is also encumbered by a $300 million mezzanine loan. The loan is secured by a 3,448,680 square foot (SF) office and design showroom building located in downtown Chicago, Illinois. The sponsor is Vornado Realty, L.P. The property was 93% leased as of November 2010 compared to 87% as of December 2009. Property performance has declined due to lower revenues and expense reimbursements. Moody's current credit estimate and stressed DSCR are A3 and 1.54X, respectively. The other loan with a credit estimate is the Raytheon LAX Loan ($51.8 million -- 1.1% of the pool), which is secured by two Class B office buildings, totaling 565,264 SF, located in Los Angeles, California. The tenants are Raytheon Company (63% of the net rentable area (NRA); lease expiration December 2018) and DIRECTV (37% of the NRA; lease expiration December 2013). As of December 2010 the property was 100% leased, the same at last review. Moody's current credit estimate and stressed DSCR are Baa2 and 1.45X, respectively, compared to Baa3 and 1.47X at last review. The top three performing conduit loans represent 15% of the pool balance. The largest loan is the 131 South Dearborn Loan ($236.0 million -- 5.0% of the pool), which represents a 50% pari passu interest in a $472 million first mortgage loan. The property is also encumbered by a $50 million mezzanine loan. The loan is secured by 1.5 million SF office building located in downtown Chicago, Illinois. The three largest tenants are JP Morgan Chase & Co. (36% of the NRA; lease expiration December 2017), Citadel Investment Group (22% of the NRA; lease expiration December 2013) and Seyfarth Shaw LLP (21% of the NRA; lease expiration June 2022). The property was 95% leased as of December 2010, the same as at last review. Moody's LTV and stressed DSCR are 120% and 0.76X, respectively, compared to 118% and 0.78X at last review. The second largest loan is the Galleria Towers Loan ($232.0 million -- 4.9% of the pool), which is secured by three Class A office buildings, totaling 1.4 million SF, located in Dallas, Texas. The property is also encumbered by a $29 million mezzanine loan. The loan is currently on the master servicer's watchlist for having a low DSCR. Tenants include FedEx Kinko's, Inc. (14% of the NRA; lease expiration August 2013) and Ryan & Company, Inc. (7% of the NRA; lease expiration January 2020). Moody's LTV and stressed DSCR are 133% and 0.71X, respectively, compared to 131% and 0.72X at last review. The third largest loan is the Corporate Woods Portfolio Loan ($219.9 million -- 4.7% of the pool), which is secured by 20 office buildings and one retail center located in an office park in Overland Park, Kansas. The loan has performed in line with expectations since securitization. Moody's LTV and stressed DSCR are 117% and 0.83X, respectively, compared to 116% and 0.84X at last review. JP MORGAN: S&P Gives 'B' Rating on Class H Certificates ------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-C4's $1.45 billion commercial mortgage pass-through certificates. The preliminary ratings are based on information as of May 17, 2011. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect the credit support provided by the subordinate classes of certificates; the liquidity provided by the trustee; and the underlying loans' economics, geographic diversity, and property type diversity. "In our analysis, we determined that, on a weighted average basis, the pool has a debt service coverage (DSC) of 1.26x based on a weighted average Standard & Poor's loan constant of 8.22%, a beginning loan-to- value (LTV) ratio of 86.6%, and an ending LTV ratio of 77.6%," S&P added. (Note: Standard & Poor's excluded the Sheraton Chicago Hotel and Towers loan {$68.0 million, 4.7% of the pool balance}, which is secured by the fee interest on the land beneath the hotel, from all of our calculated DSC and LTV ratios. We analyzed this loan separately from the general pool.) To calculate the number of loans, S&P considered each group of cross-collateralized and cross-defaulted loans as one loan. Preliminary Ratings Assigned J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-C4 Class Rating Amount ($) A-1 AAA (sf) 77,861,000 A-2 AAA (sf) 336,403,000 A-3 AAA (sf) 353,150,000 A-3FL(i) AAA (sf) 125,000,000 A-4 AAA (sf) 226,811,000 A-SB AAA (sf) 61,976,000 X-A(i) AAA (sf) 1,181,201,000(ii) X-B(i) NR 265,906,233(ii) B AA (sf) 48,840,000 C A (sf) 72,356,000 D A- (sf) 23,515,000 E BBB (sf) 48,840,000 F BB+ (sf) 14,471,000 G BB- (sf) 19,898,000 H B (sf) 18,089,000 NR NR 19,897,233 (i)Interest-only class. (ii)Notional amount. NR--Not rated. JPMORGAN CHASE: Fitch Takes Various Actions on JPMCC 2004-C1 ------------------------------------------------------------ Fitch Ratings has downgraded six and upgraded three classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., series 2004-C1 (JPMCC 2004-C1) commercial mortgage pass-through certificates. The downgrades reflect Fitch modeled losses of 4.3% of the remaining pool; modeled losses of the original pool are at 3.14%, including losses already incurred to date. Fitch has identified 29 loans (21.5%) as Fitch Loans of Concern, which includes four specially-serviced loans (3.7%). Of the four loans in special servicing, one loan (.23%) is real-estate owned, two loans (1.8%) are 90 days or more delinquent, and one loan (1.73%) is current. The upgrades are due to defeasance and 20.2% paydown since Fitch's last rating action resulting in increased credit enhancement to the senior classes. As of the April 2011 distribution date, the pool's aggregate principal balance has reduced by 36.9% to $657.4 million from $1.04 billion at issuance. In addition 15 loans (15.9%) have been fully defeased. Interest shortfalls totaling $486,187 are currently affecting class NR. The largest contributor to modeled losses is a loan (1.5%) secured by a 157,711 square foot (sf) industrial complex located in Ontario, California. Servicer reported occupancy has declined to 77% due to vacancy and has resulted in a debt service coverage ratio (DSCR) of 0.69 times (x) as of year-end (YE) 2010. The second largest contributor to modeled losses is a specially- serviced loan (1%) secured by a 303 pad mobile home park located in Elyria, Ohio. The loan was transferred to special servicing in April 2010 due to monetary default and is now more than 90 days delinquent. The special servicer continues to work with the borrower to cure the default and is evaluating the borrower's proposal to return the property via a deed-in-lieu. The third largest contributor to modeled losses is a loan (1.69%) secured by a 170,791 sf retail center in Boise, Idaho. The largest tenant is Edward's Cinema Boise owned by the Regal Entertainment Group and occupies 62% of the space. Servicer reported DSCR has declined to .93x as of June 2010. Performance of the property has declined due to temporary rent reductions which have reduced rental income but helped maintain occupancy. Fitch has downgraded and assigned Recovery Ratings (RRs) to these classes: -- $6.5 million class J to 'BB/LS5' from 'BB+/LS5'; Outlook Stable; -- $5.2 million class K to 'B/LS5' from 'BB/LS5; Outlook Stable; -- $3.9 million class L to 'B-/LS5' from 'BB-/LS5'; Outlook Negative; -- $5.2 million class M to 'CCC/RR1' from 'B/LS5'; -- $2.6 million class N to 'CCC/RR1' from 'B-/LS5'; -- $2.6 million class P to 'CCC/RR1' from 'B-/LS5'. Fitch has upgraded these classes: -- $22.1 million class D to 'AAA/LS5' from 'AA-/LS5'; Outlook Stable; -- $13 million class E to 'AA/LS5' from 'A/LS5'; Outlook Stable; -- $11.7 million class F to 'A/LS5' from 'A-/LS5'; Outlook Stable. Also, Fitch has affirmed these classes: -- $46.5 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $303.2 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $165.2 million class A-1A at 'AAA/LS1'; Outlook Stable; -- $27.4 million class B at 'AAA/LS4'; Outlook Stable; -- $11.7 million class C at 'AAA/LS5'; Outlook Stable; -- $9.1 million class G at 'BBB+/LS5'; Outlook Stable; -- $10.4 million class H at 'BBB-/LS5'; Outlook Stable. The $10.95 million class NR is not rated by Fitch. Class A-1 has paid in full. Fitch has withdrawn the rating on the interest-only class X-1. JPMORGAN CHASE: S&P Junks Ratings on Two Classes of Certs. ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 13 classes of commercial mortgage-backed securities (CMBS) from the JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP11 transaction, one of which S&P lowered to 'D (sf)'. "In addition, we affirmed our 'AAA (sf)' ratings on five classes from the same transaction," S&P stated. "The rating actions follow our analysis of the transaction primarily 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. The downgrades of several certificates reflect credit support erosion we anticipate will occur upon the resolution of 29 ($634.2 million, 11.9%) of 31 assets ($744.7 million, 13.9%) that are with the special servicer. In addition, current and potential interest shortfalls, primarily due to appraisal subordinate entitlement reduction (ASER) amounts, and special servicing fees, prompted us to lower our ratings on classes G, H, and J," S&P related. "Using servicer-provided financial information, we calculated an adjusted debt service coverage (DSC) of 1.20x and a loan-to-value (LTV) ratio of 133.8%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 0.70x and an LTV ratio of 189.6%. The implied defaults and loss severity under the 'AAA' scenario were 97.0% and 49.4%. All of the DSC and LTV calculations we noted above exclude 29 ($634.2 million, 11.9%) of the transaction's 31 ($744.7 million, 13.9%) 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," continued S&P. As of the April 15, 2011, remittance report, the trust experienced monthly interest shortfalls totaling $400,445. The shortfalls were primarily related to ASER amounts totaling $1.6 million associated with 25 of the specially serviced assets, as well as special servicing fees of $159,490, workout fees of $7,074, legal fees of $2,500 and interest shortfalls due to rate modifications of $222,735. These amounts were reduced during this period by ASER recoveries from loan liquidations of $1.4 million and $146,271 in other interest proceeds due to the bonds. "These cash flows that mitigated the overall interest shortfalls were nonrecurring events, and we do not anticipate they will have an effect on future interest shortfalls. Class J has experienced shortfalls for 10 months, and we anticipate that these shortfalls will continue for the foreseeable future. Consequently, we lowered the rating on this class to 'D (sf)'. Based on current ASER amounts affecting the transaction, the downgrades of the class G and H certificates to 'CCC- (sf)' reflect their susceptibility to future interest shortfalls. If these shortfalls occur and remain outstanding for a prolonged period of time, we may lower 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 rating on the class X interest-only (IO) certificate based on our current criteria," S&P noted. Credit Considerations As of the April 15, 2011, remittance report, 31 ($744.7 million, 13.9%) assets in the pool were with the special servicer, CWCapital Asset Management LLC (CWCapital). The payment status of the specially serviced assets is: 13 ($259.3 million, 4.9%) are real estate owned (REO), eight ($236.2 million, 4.4%) are in foreclosure, two ($88.4 million, 1.6%) are more than 90 days delinquent, two ($24.6 million, 0.5%) are 60 days delinquent, three ($102.8 million, 1.9%) are less than 30 days delinquent, and three ($33.4 million, 0.6%) are the subject of borrower bankruptcies. Appraisal reduction amounts (ARAs) totaling $377.2 million were in effect for 28 specially serviced assets. The four largest specially serviced assets are: * The Hyatt Regency-Jacksonville loan, the seventh-largest asset in the pool, is the largest asset with the special servicer and has a total exposure of $154.7 million, which consists of an outstanding principal balance of $150.0 million (2.8%) and $4.7 million of advancing and interest thereon. The loan is secured by a mortgage on a 963-room full-service hotel in Jacksonville, Fla. The loan was transferred to CWCapital on Aug. 17, 2010, due to imminent monetary default and is currently in foreclosure. Modification discussions between the special servicer and the borrower are ongoing; however, CWCapital indicated that the discussions have proven unsuccessful to this point. An ARA of $85.2 million is in effect against this loan. Standard & Poor's anticipates a significant loss upon the eventual resolution of this loan. * The Lembi Portfolio asset is the second-largest asset with the special servicer and has a total exposure of $98.7 million, which consists of an outstanding principal balance of $90.0 million (1.7%) and $7.2 million of advancing and interest thereon. The asset is a 16-property, 662-unit portfolio of multifamily buildings in San Francisco, Calif. The underlying mortgage loan transferred to the special servicer on Feb. 25, 2009, due to monetary default and was foreclosed on Oct. 26, 2010. The property is currently REO. As of April 1, 2011, the property was reported to be 98.0% occupied. An ARA of $8.2 million is in effect against this asset. "We expect a minimum loss upon the eventual resolution of this asset," S&P stated. * The Denmark MHC Portfolio loan is the third-largest asset with the special servicer and has a total exposure of $95.1 million, which consists of an outstanding principal balance of $89.3 million (1.7%) and $5.8 million of advancing and interest thereon. The loan is secured by a mortgage on a 10-property, 3,489-unit manufactured housing portfolio, with eight properties in Michigan and two properties in Indiana. The loan transferred to the special servicer on Sept. 3, 2009, due to payment default. The loan was modified in August 2010 and, according to the special servicer, will be returned to the master servicer. An ARA of $54.4 million is in effect against this loan. * The Stadium Towers loan is the fourth-largest asset with the special servicer and has a total exposure of $84.9 million, which consists of an outstanding principal balance of $83.2 million (1.6%) and $1.7 million of advancing and interest thereon. The loan is secured by a mortgage on a 257,248-sq.-ft. office building in Anaheim, Calif. The loan transferred to the special servicer on August 10, 2009 due to imminent monetary default (categorized as 90-plus days delinquent in the April 2011 trustee remittance report) and is currently in receivership. CWCapital reported that the property was 43.0% occupied as of February 2011. An ARA of $54.4 million is in effect against the loan. Standard & Poor's anticipates a significant loss upon the eventual resolution of this loan. The 27 remaining specially serviced assets have individual balances that represent less than 1.0% of the total pool balance. "Our expected losses from 25 of these specially serviced assets ranged from 16.1% to 90.1%. Weighted by loan balance, the average loss severity was 60.0%. We did not estimate losses for the Denmark MHC Portfolio loan and the Washington Commons loan. The Denmark MHC Portfolio loan has been modified and will be returned to the master servicer. The Washington Commons loan was transferred to the special servicer on Feb. 22, 2011, and a workout strategy is still being developed," S&P related. Three loans totaling $135.7 million (2.5%) 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 the loans (including the balloon maturity payments) if they continue to perform and remain with the master servicer. Transaction Summary As of the April 15, 2011, trustee remittance report, the collateral pool had trust balance of $5.34 billion, down from $5.41 billion at issuance. The pool currently includes 250 loans and 13 REO assets. The master servicer, Wells Fargo Bank N.A., provided information for 88.1% of the loans in the pool, 99.3% of which was for full-year 2009, interim-2010, or full-year 2010 data. "We calculated a weighted average DSC of 1.17x for the pool based on the reported figures. Our adjusted DSC and LTV ratio were 1.20x and 133.8%,which exclude 29 ($634.2 million, 11.9%) of the 31 specially serviced assets. We separately estimated losses for the 29 specially serviced assets. If we included these assets in the calculation, the pool's adjusted DSC would have been 1.17x," S&P related. The trust has experienced principal losses of $10.6 million relating to two assets. Seventy ($1.71 billion, 32.0%) loans, including the fifth-, sixth-, ninth-, and 10th-largest loans in the pool, are on the master servicer's watchlist. Sixty-nine ($1.80 billion, 33.7%) loans in the pool have a reported DSC of less than 1.10x, 52 of which ($1.26 billion, 23.5%) have a reported DSC below 1.00x. Summary of Top 10 Loans The top 10 loans have an aggregate outstanding trust balance of $1.77 billion (33.1%). "Using servicer-reported numbers, we calculated a weighted average DSC of 1.02x for the top 10 loans. Our adjusted DSC and LTV ratio for the top 10 loans were 1.06x and 140.8%. These figures exclude the seventh-largest loan, which we discussed under the Credit Consideration section above, as well as the Americold Portfolio loan, the eighth-largest loan, for which no financials were reported. Four of the top 10 loans ($575.6 million, 10.8%) are on the master servicer's watchlist," S&P related. The Save Mart Portfolio loan ($193.5 million, 3.6%) is the fifth-largest loan in the pool and is secured by a 31-property, 1.6-million sq.-ft. grocery store portfolio located throughout California. The loan appears on the master servicer's watchlist due to a low reported DSC. As of Dec. 31, 2010, the reported DSC and occupancy were 1.04x and 100%. The Franklin Mills loan ($174.0 million, 3.3%) is the sixth- largest loan in the pool and is secured by a 1.6 million sq.-ft. regional mall in Philadelphia. The loan appears on the master servicer's watchlist due to a low reported DSC. According to the master servicer, the property occupancy and DSC were adversely affected by the Steve & Barry's bankruptcy in 2010. As of Dec. 31, 2010, the reported DSC for the property was 1.04x. As of Dec. 31, 2010, the reported property occupancy was 81.9%. The Genessee Valley Center loan ($110.7 million, 2.1%) is the ninth-largest loan in the pool and is secured by 542,588 sq. ft. of a 1.3-million sq.-ft. regional mall in Flint, Mich. The loan appears on the master servicer's watchlist due to a low reported DSC, which the master servicer has attributed to increased vacancy and an overall decline in tenant sales. As of Dec. 31, 2010, the reported DSC for the property was 0.96x. The reported property and collateral occupancy were 93.3% and 79.0%, respectively, as of the same date. The ChampionsGate Hotel loan ($97.4 million, 1.8%) is the 10th- largest loan in the pool and is secured by a 730-room full-service hotel in Champions Gate, Fla. The loan appears on the master servicer's watchlist due to a low reported DSC. As of the nine months ended Sept. 30, 2010, the reported property DSC was 0.43x and the occupancy at the property was 64.0%. 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 JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP11 Commercial Mortgage Pass-Through Certificates Rating Class To From Credit enhancement (%) A-4 BBB+ (sf) A- (sf) 30.20 A-SB BBB+ (sf) A- (sf) 30.20 A-1A BBB+ (sf) A- (sf) 30.20 A-M BB (sf) BB+ (sf) 20.07 A-J B (sf) B+ (sf) 12.09 B B (sf) B+ (sf) 11.46 C B- (sf) B+ (sf) 9.94 D B- (sf) B (sf) 8.92 E B- (sf) B (sf) 8.42 F CCC+ (sf) B (sf) 7.53 G CCC- (sf) B- (sf) 6.51 H CCC- (sf) CCC (sf) 5.25 J D (sf) CCC- (sf) 4.36 Ratings Affirmed JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP11 Commercial Mortgage Pass-Through Certificates Class Rating Credit enhancement (%) A-1 AAA (sf) 30.20 A-2 AAA (sf) 30.20 A-2FL AAA (sf) 30.20 A-3 AAA (sf) 30.20 X AAA (sf) N/A N/A -- Not applicable. JPMORGAN CHASE: S&P Lowers Rating on Class J Certs. to 'D' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 11 classes of U.S. commercial mortgage-backed securities (CMBS) from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2005- LDP2, one of which S&P lowered to 'D (sf)'. "At the same time, we removed these ratings from CreditWatch, where we had placed them on April 12, 2011, with negative implications. Finally, we affirmed our ratings on seven other classes from the same transaction," S&p said. "The rating actions follow our analysis of the transaction primarily using our U.S. CMBS 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. The downgrades of several certificates also reflect credit support erosion we anticipate will occur upon the resolution of 19 ($232.5 million, 9.4%) of the transaction's 24 specially serviced assets. In addition, current and potential interest shortfalls, primarily due to appraisal subordinate entitlement reductions (ASERs) and special servicing fees, prompted us to lower our rating on class J to 'D (sf)'. We expect these interest shortfalls to continue for the foreseeable future," S&P related. "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 1.38x and a loan-to-value (LTV) ratio of 102.3%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted-average DSC of 0.97x and a LTV ratio of 130.7%. The implied defaults and loss severity under the 'AAA' scenario were 75.6% and 35.4%, respectively. All of the DSC and LTV calculations we noted above exclude the transaction's nine ($43.1 million, 1.8%) defeased loans and 19 ($232.5 million, 9.4%) of the transaction's 24 ($282.4 million, 11.5%) 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," S&P noted. As of the April 15, 2011, remittance report, the trust experienced monthly interest shortfalls totaling $519,406. The shortfalls were primarily related to ASERs totaling $514,953 (associated with 19 of the specially serviced assets) and special servicing fees of $53,601. The interest shortfalls affected class J and all classes subordinate to it. "We anticipate that class J and all classes subordinate to it will continue to experience interest shortfalls for the foreseeable future, and consequently, we lowered the rating on class J to 'D (sf)'," S&P stated. "The affirmations of the principal and interest certificates reflect subordination levels and liquidity that we believe are consistent with the outstanding ratings. We affirmed our ratings on the class X-1 and X-2 interest-only (IO) certificates based on our current criteria," S&P noted. Specially Serviced Assets As of the April 15, 2011, remittance report, 24 ($282.4 million, 11.5%) assets in the pool were with the special servicer, LNR Partners LLC. The reported payment status of the specially serviced assets is: six ($90.8 million, 3.7%) are real estate owned (REO), six ($57.9 million, 2.3%) are in foreclosure, nine ($87.6 million, 3.6%) are 90-plus days delinquent, one ($36.4 million, 1.5%) is late, but less than 30 days delinquent, one ($2.2 million, 0.1%) is part of borrower bankruptcy proceedings, and one ($7.5 million, 0.3%) is current. Appraisal reduction amounts (ARAs) totaling $111.2 million were in effect for 19 of the specially serviced assets. The Cross Creek Shopping Center REO asset ($45.5 million, 1.9%) is the largest asset with the special servicer and the eighth-largest asset in the pool. It is secured by an anchored retail center totaling 363,333-sq.-ft. in Memphis, Tenn. The asset became REO as of Oct. 12, 2010. According to the special servicer, there are life safety issues at the property. The asset will be listed for sale shortly. Standard & Poor's expects a significant loss upon the resolution of this asset. The Ashwood-Southfield loan ($36.4 million, 1.5%), the second- largest specially serviced asset, is secured by two properties: Ashwood Office Park and Southfield Crossing I & II. Ashwood Office Park comprises a 204,464-sq.-ft., eight-story multi-tenant class A office building in a submarket of Atlanta. Southfield Crossing I & II is a 129,622-sq.-ft., two-building, one-story multi-tenanted office property in suburban Detroit. The loan was transferred to the special servicer on March 28, 2011, due to imminent monetary default. As of Dec. 31, 2010, reported DSC and occupancy were 1.02x and 94.0%. The Lincoln at Wolfchase loan ($26.8 million, 1.1%) is secured by a 408-unit garden-style multifamily property in Cordova, Tenn. The loan was transferred to the special servicer in July 2010 due to monetary default, and its reported payment status is 90-plus days delinquent. According to the special servicer, it is currently engaged in discounted payoff (DPO)/restructuring discussions with the borrower. The most recent reported DSC was 1.02x as of Dec. 31, 2009. Standard & Poor's expects a significant loss upon the resolution of this asset. The Preston Creek REO asset ($25.3 million, 1.0%) is secured by a 334-unit garden-style apartment complex in McDonough, Ga. The asset became REO on May 4, 2010. According to the special servicer, the asset will be listed for sale shortly. Standard & Poor's anticipates a significant loss upon the resolution of this asset. The 20 remaining specially serviced assets have individual balances that represent less than 0.9% of the total pool balance. "We estimated losses for 16 of these assets, resulting in a weighted-average loss severity of 47.9%. Of the four other assets for which we did not estimate losses, two recently transferred to the special servicer, one is current, and one is part of borrower bankruptcy proceedings," S&P stated. Transaction Summary As of the April 15, 2011, trustee remittance report, the collateral pool had a trust balance of $2.47 billion, down from $2.98 billion at issuance. The pool currently includes 256 loans and six REO assets. The master servicer, Wachovia Bank N.A., provided financial information for 92.4% of the nondefeased loans in the pool, which was primarily full-year 2009, interim-2010, or full-year 2010 data. "We calculated a weighted-average DSC of 1.41x for the pool based on the reported figures. Our adjusted DSC and LTV ratios were 1.38x and 102.3%, which exclude the transaction's nine ($43.1 million, 1.8%) defeased loans and 19 ($232.5 million, 9.4%) of the transaction's 24 ($282.4 million, 11.5%) specially serviced assets. We separately estimated losses for the 19 excluded specially serviced assets. To date, the trust has experienced principal losses of $35.7 million related to 18 assets. Seventy-three ($483.1 million, 19.6%) loans are on the master servicer's watchlist. Fifty-two ($417.5 million, 16.9%) loans in the pool have a reported DSC of less than 1.10x, of which 37 ($215.0 million, 8.7%) have a reported DSC below 1.00x," according to S&P. Summary of Top 10 Assets The top 10 assets have an aggregate outstanding trust balance of $676.6 million (27.4%). "Using servicer-reported numbers, we calculated a weighted-average DSC of 1.44x for the top 10 assets. Our adjusted DSC and LTV ratios for the top 10 assets were 1.36x and 111.2%. These figures exclude the Cross Creek Shopping Center REO asset discussed," S&P noted. Two of the top 10 loans, The City Place Corporate Center loan ($118.0 million, 4.79%) and Bentley Green/Sandpiper - Milestone loan ($45.0 million, 1.83%), have upcoming maturity dates in April 2012. The reported DSC and occupancy for the nine months ended Sept. 30, 2010, were 1.25x and 88%, for The City Place Corporate Center loan and 1.19x and 94%, respectively, for the Bentley Green/Sandpiper - Milestone loan. 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 and Removed From CreditWatch Negative JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-LDP2 Rating Class To From Credit enhancement (%) A-M AA- (sf) AAA (sf)/Watch Neg 22.72 A-MFL AA- (sf) AAA (sf)/Watch Neg 22.72 A-J BBB (sf) A- (sf)/Watch Neg 13.96 B BBB- (sf) BBB+ (sf)/Watch Neg 13.20 C BB+ (sf) BBB (sf)/Watch Neg 11.54 D BB (sf) BBB-(sf)/Watch Neg 10.48 E BB- (sf) BB+ (sf)/Watch Neg 9.43 F B+ (sf) BB (sf)/Watch Neg 8.22 G B (sf) BB- (sf)/Watch Neg 7.16 H CCC- (sf) B- (sf)/Watch Neg 5.35 J D (sf) CCC- (sf)/Watch Neg 4.14 Ratings Affirmed JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-LDP2 Class Rating Credit enhancement (%) A-3 AAA (sf) 34.80 A-3A AAA (sf) 34.80 A-4 AAA (sf) 34.80 A-SB AAA (sf) 34.80 A-1A AAA (sf) 34.80 X-1 AAA (sf) N/A X-2 AAA (sf) N/A N/A -- Not applicable. LB-UBS COMMERCIAL: Fitch Downgrades Ratings on 4 Classes -------------------------------------------------------- Fitch Ratings has downgraded four classes and upgraded one class of LB-UBS Commercial Mortgage Trust (LB-UBS) commercial mortgage pass-through certificates series 2005-C5. The downgrades reflect the expected losses on the specially serviced loans as well as other loans in the pool. Fitch modeled losses of 4.5% of the remaining pool; expected losses on the original pool balance total 3.7%, including losses already incurred to date. Fitch has designated 24 loans (16.6%) as Fitch Loans of Concern, which includes 10 specially serviced loans (7.7%). At Fitch's last review, there were three specially serviced loans (11.8%). Currently, Fitch expects that the nonrated classes Q through T may be fully depleted from losses associated with the specially serviced loans. Interest shortfalls are currently affecting the nonrated classes S and T. The upgrade reflects increased credit enhancement as a result of principal paydown. As of the April 2011 distribution date, the pool's aggregate principal balance has paid down by 17.9% to $1.93 billion from $2.34 billion at issuance. The pool paid down by over 11% at the April 2011 remittance following the payoff of the $244.5 million Providence Place loan, previously the second largest in the pool. One loan (0.01%) has defeased since issuance. The largest contributor to Fitch expected losses is the specially- serviced TAG Portfolio (2.8% of the pool), which is secured by two adjoining office buildings in Downers Grove, IL and an office building in Dulles, VA totaling approximately 405,000 square feet The loan transferred to special servicing in April 2010 for imminent default, and the loan is currently more than 60 days delinquent. The loan's scheduled maturity is Aug. 11, 2011. The special servicer continues to discuss a potential loan restructure with the borrower. The second largest contributor to expected losses is the Sandpiper Apartments loan (1.7%), which is secured by a 488-unit apartment complex built in 1987 and located just west of the strip in Las Vegas. Over the past several years, occupancy has fallen into the low- to mid-70% range. In 2010, servicer-reported NOI was down by 44% compared with the issuer's underwriting. Despite the insufficiency of property cash flow to cover debt service, the loan remains current. The third largest contributor to expected losses is the West Hartford Portfolio (1.2%), which is secured by five office properties totaling 133,000 sf located in close proximity to one another in West Hartford, CT. Annualized servicer-reported NOI for the nine months ended Sept. 30, 2010 was down by 24% compared with the issuer's underwriting. Once amortization began in 2008 following an initial interest-only period, the loan has only maintained a DSCR of approximately 1.0x. Fitch downgrades these classes and assigns Recovery Ratings (RRs): -- $20.5 million class K to 'CCCsf/RR1' from 'B-sf/LS5'; -- $8.8 million class L to 'CCCsf/RR1' from 'B-sf/LS5'; -- $5.9 million class M to 'CCsf/RR1' from 'B-sf/LS5'; -- $8.8 million class N to 'Csf/RR6' from 'B-sf/LS5'. Fitch upgrades this class: -- $187.5 million class A-J to 'AAsf/LS3' from 'Asf/LS3'; Outlook Stable. Fitch also affirms these classes and revises the Rating Outlooks: -- $59.1 million class A-2 at 'AAAsf/LS1'; Outlook Stable; -- $158 million class A-3 at 'AAAsf/LS1'; Outlook Stable; -- $57.8 million class A-AB at 'AAAsf/LS1'; Outlook Stable; -- $809.5 million class A-4 at 'AAAsf/LS1'; Outlook Stable; -- $138.1 million class A-1A at 'AAAsf/LS1'; Outlook Stable; -- $234.4 million class A-M at 'AAAsf/LS3'; Outlook Stable; -- $20.5 million class B at 'Asf/LS5'; Outlook to Positive from Stable; -- $32.2 million class C at 'BBBsf/LS5'; Outlook to Positive from Stable; -- $29.3 million class D at 'BBsf/LS5'; Outlook to Positive from Negative; -- $23.4 million class E at 'BBsf/LS5'; Outlook to Positive from Negative; -- $29.3 million class F at 'BBsf/LS5'; Outlook to Stable from Negative; -- $26.4 million class G at 'Bsf/LS5'; Outlook to Stable from Negative; -- $23.4 million class H at 'B-sf/LS5'; Outlook to Stable from Negative; -- $14.7 million class J at 'B-sf/LS5'; Outlook Negative. The class A-1 certificates have paid in full. Fitch does not rate classes P through T. Fitch withdraws the ratings on the interest-only classes X-CL and X-CP. LB-UBS COMMERCIAL: Fitch Takes Various Actions on Certificates -------------------------------------------------------------- Fitch Ratings has downgraded seven classes and upgraded two classes of LB-UBS Commercial Mortgage Trust, series 2005-C7 commercial mortgage pass-through certificates. In addition, Fitch has revised the Loss Severity (LS) ratings and assigned Rating Outlooks and Recovery Ratings as applicable. The downgrades reflect Fitch expected losses across the pool. Fitch modeled losses of 5.55% of the remaining pool; expected losses based on the original pool size are 6.28%, reflecting losses already incurred to date. Fitch has designated 42 loans (38.47%) as Fitch Loans of Concern, which include 13 specially serviced loans (14.96%). Seven of the Fitch Loans of Concern (25.84%) are within the transaction's top 15 loans by unpaid principal balance. Fitch considers the Loans of Concern to have a high probability of defaulting during the term, with losses ranging from $19,000 to $21.4 million. Fitch expects that classes K through P may eventually be fully depleted from losses associated with loans currently in special servicing. The upgrades reflect reductions to the pools principal balance, resulting in increased credit enhancement to the senior classes. As of the May 2011 distribution date, the pool's aggregate principal balance has reduced by 15.08% (including 1.57% of realized losses) to $1.99 billion from $2.34 billion at issuance. One of the previously top 15 loans by loan balance, Bethesda Towers (3.7% of original pool balance) had matured and repaid in November 2010. Class A-1 has paid in full. Due to realized losses, classes Q through T have been reduced to zero, and class P has been reduced to $1.3 million from $2.9 million at issuance. No loans are currently defeased. Interest shortfalls are affecting classes J through T. The largest contributor to Fitch-modeled losses is the Sarasota Main Plaza loan (1.74%). The loan is secured by a 253,504 square foot (sf) mixed use (office/retail) building located in the downtown sector of Sarasota, FL. Primary tenants include a Regal Cinemas (30.03% of the net rentable area (NRA), Sarasota County Public Hospital Offices (23.67% NRA), and Florida Department of Revenue (10.29% NRA). The loan had transferred to the special servicer in December 2008 for imminent default. The property has experienced cash flow issues due to occupancy declines. In addition, due to the economic downturn the borrower has been proactively renegotiating leases at lower rents in order to retain several existing tenants. The April 2011 rent roll reported occupancy at 86%, a decline from 99% at issuance. Based on the servicer provided year end (YE) December 2010 financial statements debt service coverage ratio (DSCR) reports at 1.16 times (x), a decline from YE December 2009 at 1.21x. In late 2010, a modification and forbearance proposal of the loan was negotiated and terms were agreed upon with the special servicer, however was rejected by the borrower prior to execution. In March 2011, the borrower submitted several alternative proposals which included a deed in lieu (DIL) or friendly foreclosure, a discounted pay-off of the loan, or a modification of the current terms. All proposed strategies are being reviewed and considered by the special servicer. In the interim, the loan payments remain current. The second largest contributor to Fitch-modeled losses is the Tri- County Business Park loan (1.85%). The loan is securitized by a 676,165 sf flex-office park in Tampa, FL. The property has experienced cash flow issues due to occupancy declines. The December 2010 rent rolls reported a combined occupancy of 65%, a decline from 88% at issuance. The servicer provided YE December 2010 financials statements report DSCR at 1.04x, a decline from YE December 2009 at 1.28x. The loan transferred to the special servicer in May 2010 for payment default, and had matured without repayment in September 2010. The special servicer continues to negotiate with the borrower for a potential loan modification and maturity extension proposals, while simultaneously pursuing foreclosure and placing the property under receivership. The third largest contributor to Fitch-modeled losses (1.01%) is secured by a 73,235 sf retail center in Los Angeles, CA. The property is anchored by A.J. Wright (34.27% NRA) and Walgreens (19.64% NRA). DSCR for YE December 2010 and YE December 2009 reported at 1.02x and 0.87x, respectively, a significant decline from YE December 2008 at 1.68x. Occupancy has remained unchanged at 100%. The decline in property performance is primarily attributed to a 47% increase in real estate taxes at YE 2009 compared to YE 2008. Despite the decline in performance, the loan has remained current. Fitch downgrades, removes Outlooks and assigns Recovery Ratings (RR) on these classes: -- $26.4 million class G to 'CCCsf/RR1' from 'B-sf/LS5'; -- $17.5 million class H to 'CCCsf/RR1' from 'B-sf/LS5'; -- $17.5 million class J to 'CCsf/RR5' from 'B-sf/LS5'; -- $23.4 million class K to 'CCsf/RR6' from 'B-sf/LS5'; -- $8.8 million class L to 'Csf/RR6' from 'B-sf/LS5'; -- $11.7 million class M to 'Csf/RR6' from 'CCCsf/RR6'; -- $2.9 million class N to 'Csf/RR6' from 'CCCsf/RR6'; Prior to the downgrades, all of the classes had a Negative Rating Outlook. Fitch upgrades, revises Outlooks and affirms LS ratings on: -- $195.9 million class A-J to 'Asf/LS3' from 'BBBsf/LS3'; Outlook to Stable from Negative. -- $35.2 million class C to 'BBB-sf/LS5' from 'BBsf/LS5'; Outlook to Stable from Negative. In addition, Fitch affirms these classes and LS ratings, and revises the Outlooks: -- $219.9 million class A-2 at 'AAAsf/LS1'; Outlook Stable; -- $48 million class A-3 at 'AAAsf/LS1'; Outlook Stable; -- $112.4 million class A-AB at 'AAAsf/LS1'; Outlook Stable; -- $847.8 million class A-4 at 'AAAsf/LS1'; Outlook Stable; -- $92.8 million class A-1A at 'AAAsf/LS1'; Outlook Stable; -- $233.9 million class A-M at 'AAAsf/LS3'; Outlook Stable; -- $14.2 million class B at 'BBBsf/LS5'; Outlook to Positive from Negative; -- $29.3 million class D at 'BBsf/LS5'; Outlook to Stable from Negative; -- $23.5 million class E at 'Bsf/LS5'; Outlook to Stable from Negative; -- $23.5 million class F at 'B-sf/LS5'; Outlook to Stable from Negative; -- $1.3 million class P at 'Dsf/RR6'; -- $0 class Q at 'Dsf/RR6'; -- $0 class S at 'Dsf/RR6'; Class A-1 has repaid in full. Classes Q and S have been reduced to zero due to realized losses. Fitch does not rate class T, which has also been reduced to zero due to realized losses. Also, Fitch has affirmed and revised the Outlooks of these classes: -- $1 million class CM-1 at 'AA'; Outlook to Stable from Negative; -- $5 million class CM-2 at 'A'; Outlook to Stable from Negative; -- $956 thousand class CM-3 at 'A-'; Outlook to Stable from Negative; -- $3 million class CM-4 at 'BBB'; Outlook to Stable from Negative; The CM rake classes represent the B-note for the Cherryvale Mall. The $75.4 million A-note is included in the pooled portion of the trust. Fitch does not rate the SP-1 through SP-7 classes, which are specific to the Station Place I $63 million B-Note. A $20.1 million A-note for Station Place I is included in the pooled portion of the trust. Fitch withdraws the rating on the interest-only classes X-CP and X-CL. LB-UBS COMMERCIAL: Moody's Upgrades 1 and Affirms 8 CMBS Classes ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of one class and affirmed eight classes of LBUBS Commercial Mortgage Trust 2000-C4, Commercial Mortgage Pass-Through Certificates, Series 2000-C4: -- Cl. X, 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 A1 (sf); previously on Dec 8, 2006 Upgraded to A1 (sf) -- Cl. G, Affirmed at B2 (sf); previously on Oct 28, 2010 Downgraded to B2 (sf) -- Cl. H, Affirmed at Ca (sf); previously on Oct 28, 2010 Downgraded to Ca (sf) -- Cl. J, Affirmed at C (sf); previously on Oct 28, 2010 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on Oct 28, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Oct 28, 2010 Downgraded to C (sf) Ratings Rationale The upgrade is due to overall improved pool performance and increased subordination due to loan amortization and payoffs. The pool has paid down by 12% since Moody's prior review. 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 16.2% of the current balance. At last full review, Moody's cumulative base expected loss was 21.9%. Moody's stressed scenario loss is 21.5% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011. The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 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 11, compared to nine 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 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. 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 91% to $94.6 million from $999.1 million at securitization. The Certificates are collateralized by 26 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 69% of the pool. Two loans, representing 3% of the pool, have defeased and are collateralized with U.S. Government securities. The conduit component includes nine loans representing 47% of the pool. The remaining pool consists of nine specially serviced loans (38% of the pool) and six tenant leases (CTL; 12% of the pool). Five 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. Eighteen loans have been liquidated from the pool, resulting in a $31.1 million loss (51% loss severity on average). Nine loans, representing 38% of the pool, are currently in special servicing. The largest specially serviced loan is the Western Select Properties Loan ($7.5 million -- 8.0% of the pool), which is secured by a 1.5 million square foot (SF) warehouse/distribution property located in Indianapolis, Indiana. The loan was transferred to special servicing in June 2010 due to maturity default. The borrower has requested a two year loan extension and the loan is dual tracking modification and foreclosure. The remaining eight specially serviced loans are secured by a mix of property types. The servicer has recognized an aggregate $6 million appraisal reduction for three of the specially serviced loans. Moody's has estimated an aggregate $12.3 million loss (34% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for three poorly performing loans representing 13% of the pool and has estimated a $2.4 million loss (20% expected loss based on a 50% probability default) from these troubled loans. Due to the high percentage of loans in special servicing, Moody's analysis was largely based on a loss and recovery analysis for specially serviced and troubled loans. The performance of the CTL component and performing conduit loans is stable and performing in-line with Moody's expectations. Based on the most recent remittance statement, Classes H through P have experienced cumulative interest shortfalls totaling $7.1 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. The largest conduit loan is the 111 Franklin Place Loan ($10.7 million -- 11.3% of the pool), which is secured by a 138,801 SF office building located in Roanoke, Virginia. At last review, the loan was in special servicing due to imminent monetary default but was returned to the master servicer in October 2010. The property lost several major tenants in 2009 but is gradually leasing up the space. Occupancy has improved to 92% as of April 2011. Moody's LTV and stressed DSCR are 94% and 1.18X, respectively, compared to 143% and 0.78X at last review. The second largest conduit loan is the Dulles North - Phase 2 Loan ($7.6 million -- 8.0%), which is secured by a single-story, 79,000 SF multi-tenant office/flex building located in Sterling, Virginia. The property was 100% leased as of March 2011 compared to 90% at last review. Property performance is stable. Moody's LTV and stressed DSCR are 72% and 1.53X, respectively, compared to 74% and 1.49X at last review. The third largest conduit loan is the Dulles North - Phase 5 Loan ($5.9 million -- 6.3%), which is secured by a single-story, 90,000 SF office/flex building located in Sterling, Virginia. The property is 100% leased to NTT Worldwide Communications through February 2020. Property performance is stable. Moody's LTV and stressed DSCR are 49% and 2.21X, respectively, compared to 50% and 2.18X at last review. The CTL component consists of six loans leased under bondable triple net leases to three corporate credits. The largest corporate credits include CVS/Caremark Corp. (51% of the CTL component; senior unsecured rating Baa2, stable outlook) and Walgreen Co. (40% of the CTL component; senior unsecured rating A2, stable outlook). LB-UBS COMMERCIAL: Moody's Upgrades 4 and Affirms 23 CMBS Classes ----------------------------------------------------------------- Moody's Investors Service upgraded the ratings of four rake classes and affirmed the ratings of 23 pooled classes of LB-UBS Commercial Mortgage Securities Trust Commercial Mortgage Pass- Through Certificates, Series 2005-C3: -- Cl. A-2, Affirmed at Aaa (sf); previously on Jul 26, 2005 Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Jul 26, 2005 Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Jul 26, 2005 Assigned Aaa (sf) -- Cl. A-AB, Affirmed at Aaa (sf); previously on Jul 26, 2005 Assigned Aaa (sf) -- Cl. A-5, Affirmed at Aaa (sf); previously on Jul 26, 2005 Assigned Aaa (sf) -- Cl. X-CP, Affirmed at Aaa (sf); previously on Jul 26, 2005 Assigned Aaa (sf) -- Cl. X-CL, Affirmed at Aaa (sf); previously on Jul 26, 2005 Assigned Aaa (sf) -- Cl. A-M, Affirmed at Aaa (sf); previously on Jul 26, 2005 Assigned Aaa (sf) -- Cl. A-J, Affirmed at A2 (sf); previously on Oct 23, 2009 Downgraded to A2 (sf) -- Cl. B, Affirmed at A3 (sf); previously on Oct 23, 2009 Downgraded to A3 (sf) -- Cl. C, Affirmed at Baa2 (sf); previously on Oct 23, 2009 Downgraded to Baa2 (sf) -- Cl. D, Affirmed at Baa3 (sf); previously on Oct 23, 2009 Downgraded to Baa3 (sf) -- Cl. E, Affirmed at Ba3 (sf); previously on Oct 23, 2009 Downgraded to Ba3 (sf) -- Cl. F, Affirmed at B3 (sf); previously on Oct 23, 2009 Downgraded to B3 (sf) -- Cl. G, Affirmed at Caa1 (sf); previously on Oct 23, 2009 Downgraded to Caa1 (sf) -- Cl. H, Affirmed at Caa3 (sf); previously on Oct 23, 2009 Downgraded to Caa3 (sf) -- Cl. J, Affirmed at C (sf); previously on Oct 23, 2009 Downgraded to C (sf) -- Cl. K, Affirmed at C (sf); previously on Oct 23, 2009 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Oct 23, 2009 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Oct 23, 2009 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on Oct 23, 2009 Downgraded to C (sf) -- Cl. CBM-1, Upgraded to Caa3 (sf); previously on Oct 23, 2009 Downgraded to C (sf) -- Cl. CBM-2, Upgraded to Caa3 (sf); previously on Oct 23, 2009 Downgraded to C (sf) -- Cl. CBM-3, Upgraded to Caa3 (sf); previously on Oct 23, 2009 Downgraded to C (sf) -- Cl. X-CBM, Upgraded to Caa3 (sf); previously on Oct 23, 2009 Downgraded to C (sf) -- Cl. ML-1, Affirmed at Baa2 (sf); previously on Jul 26, 2005 Assigned Baa2 (sf) -- Cl. ML-2, Affirmed at Baa3 (sf); previously on Jul 26, 2005 Assigned Baa3 (sf) Ratings Rationale The upgrades of four raked classes were due to the improved performance of the Courtyard by Marriott Portfolio Loan. The rake classes are secured by the B-note secured by a pool of hotel properties. The affirmations are due to overall stable pool performance and key rating parameters, including Moody's loan to value (LTV) ratio, and Moody's stressed debt service coverage ratio (DSCR), remaining within acceptable ranges. Moody's rating action reflects a cumulative base expected loss of 6.6% of the current balance. At last review, Moody's cumulative base expected loss was 7.6%. Moody's stressed scenario loss is 13.9% 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. Due to the high level of credit subordination and defeasance, it is unlikely that investment grade classes would be downgraded even if losses are higher than Moody's expected base. 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 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 21, essentially the same as 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 October 23, 2009. 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 10% to $1.77 billion from $1.97 billion at securitization. The Certificates are collateralized by 109 mortgage loans ranging in size from less than 1% to 16% of the pool. The pool includes three loans, representing 18% of the pool, with investment grade credits estimates. Three loans representing 10% of the pool have defeased and are collateralized with U.S. Government securities. Twenty-nine loans, representing 24% 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 $4.2 million loss (29% loss severity). Twelve loans, representing 7% of the pool, are currently in special servicing. The largest specially serviced loan is the Pacific Pointe Loan ($39.0 million; 2.2% of the pool). The loan matured in June 2010 and the borrower and special servicer are negotiating a loan expension. The loan is highly leveraged, but performance has been stable since securitization. Moody's is not currently expecting a loss on this loan. Moody's has estimated an aggregate $47.6 million loss for the remaining 11 specially serviced loans (59% expected loss on average). Moody's has assumed a high default probability for three poorly performing loans representing 6% of the pool and has estimated a $15.7 million loss (16% expected loss based on a 50% probability default) for the troubled loans. Moody's was provided with full year 2009 and full or partial year 2010 operating results for 73% and 89% of the pool, respectively. Moody's weighted average LTV is 109% compared to 121% at last 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 9.5%. Moody's actual and stressed DSCRs are 1.35X and 1.06X, respectively, compared to 1.18X and 0.93X 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 an credit estimate is the 200 Park Avenue Loan ($278.5 million -- 15.7%), ), which represents a pari passu interest in a $900 million first mortgage loan secured by a 2.9 million square foot Class A office building located near the Grand Central Terminal in New York City. The pool also includes a $51.2 million junior non-pooled component which is the security for non-pooled Classes ML-1 and ML-2. Based on the leasable area, the office component represents 96% of the property and retail represents 4%. The property is primarily tenanted by legal, finance and insurance companies. The property was 92% leased as of September 2010. Performance has been stable. Moody's underlying rating and stressed DSCR are Baa2 and 1.17X, respectively, the same as at last review. The remaining two loans with credit estimates represent 2% of the pool. The Wachovia Portfolio Loan ($15.6 million -- 0.9%) is secured by a portfolio of 131 office properties, operations centers, retail bank branches and parking garages totaling 6.6 million square feet and located in ten states. In 2007, the loan was split and $155.6 million was defeased. Moody's underlying rating is Aa2 , the same as last review. The 1919 Park Avenue Loan ($15.0 million -- 0.8%) is secured by a 208,600 square foot office building located in Weehawken, New Jersey. The property is currently 100% leased to Savvis Communications Corporation (Long Term Rating: B1; on review for possible upgrade) through January 2031. Moody's underlying rating and stressed DSCR are Aaa and 2.76X, respectively, compared to Aaa and 2.46X at last review. The loan that previously had a credit estimate is the 101 Avenue of Americas Loan ($82.0 million -- 4.6%), which represents a pari passu interest in a $136.7 million first mortgage loan secured by a leasehold mortgage on a 411,100 square foot office building located in New York City. The building is 100% leased by Service Employees International Union Building Services Local 32B-J and affiliated operations under a lease which expires in December 2011. The tenant is expected to vacate at the end of its term. The lease and loan maturity are coterminus. Moody's is concerned about refinance risk due to the expected vacancy at the end of the loan term and considers this a troubled loan. Moody's LTV and stressed DSCR are 111% and 0.88X, respectively, compared to 74% and 1.24X at last review. The top three performing conduit loans represent 20% of the pool balance. The largest loan is the 900 North Michigan Avenue Loan ($58.7 million -- 5.3% of the pool), which is secured by a mixed use property consisting of a vertical mall (475,400 square feet), an office tower (349,900 square feet) and garage (1,660 spaces) located in the northern end of Chicago's Magnificent Mile. The collateral is part of a larger complex which includes a 343-room Four Seasons Hotel and 106 residential condominium units. As of March 2011, the property was 97% leased compared to 95% at last review. The largest tenants are Bloomingdales (31% of NRA; lease expiration September 2013) and JMB Realty Corp (11% of NRA; lease expiration June 2018). Performance has remained stable since last review. Moody's LTV and stressed DSCR are 95% and 0.88X, respectively, compared to 98% and 0.86X at last review. The second largest loan is the Courtyard by Marriott Portfolio Loan ($114.0 million -- 6.4%), which represents a participation interest in a $487 million first mortgage loan secured by a portfolio of 64 limited service hotels located in 29 states. The pool also includes a $40.0 million junior non-pooled component which is the security for non-pooled Classes CBM-1, CBM-2, CBM-3 and the interest only strip related to those rake bonds, Class X- CBM. Performance has improved significantly since last review although the loan is still on the servicer's watchlist due to low DSCR. Moody's LTV and stressed DSCR are 104% and 1.15X, respectively, compared to 168% and 0.61X at last review. Moody's is upgrading the rake classes due to improved property performance. The third largest loan is the Crossroads Towne Center Loan ($49.4 million -- 2.8%), which is secured by the borrower's interest in a 1.3 million square foot regional retail center located in Gilbert, Arizona. The property was 88% leased as of March 2010, the same as last review. The loan is currently on the watchlist due to Linens 'N Things vacating. The largest tenants are Ross Stores, Barnes & Noble and Michaels. Property performance has declined since last review. Moody's LTV and stressed DSCR are 125% and 0.78X, respectively, compared to 116% and 0.84X at last review. LB-UBS COMMERCIAL: S&P Cuts Ratings on 2 Classes of Certs. to 'D' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 10 classes of commercial mortgage pass-through certificates from LB- UBS Commercial Mortgage Trust 2006-C7, a U.S. commercial mortgage- backed securities (CMBS) transaction. "We lowered two of the ratings to 'D (sf)'. Concurrently, we affirmed our ratings on eight other classes 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 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. The downgrades also reflect anticipated credit support erosion upon the eventual resolution of 17 ($209.9 million, 7.1%) of the 18 ($211.7 million, 7.2%) assets in the pool that are with the special servicer," S&P related. "Using servicer-provided financial information, we calculated an adjusted debt service coverage (DSC) of 1.50x and loan-to-value (LTV) ratio of 108.5% for the pool. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted-average DSC of 0.93x and an LTV ratio of 147.0%. The implied defaults and loss severity under the 'AAA' scenario were 68.4% and 41.6%, respectively. The DSC and LTV calculations noted exclude 17 ($209.9 million, 7.1%) of the transaction's 18 ($211.7 million, 7.2%) specially serviced assets. We separately estimated losses for the 17 excluded assets and included them in our 'AAA' scenario implied default and loss severity figures," according to S&P. "We downgraded classes H and J to 'D (sf)' due to outstanding accumulated interest shortfalls that we expect to remain outstanding for the foreseeable future. As of the April 15, 2011, remittance report, the trust had experienced monthly interest shortfalls totaling $391,249 and accumulated interest shortfalls totaling $7.9 million, affecting class H and all classes subordinate to it. The interest shortfalls were primarily due to appraisal subordinate entitlement reductions (ASERs; $410,657), special servicing fees ($46,895), interest rate modification ($42,600), and interest not advanced on an asset the master servicer determined to be nonrecoverable ($41,595). Based on our analysis, we expect that classes H and J will continue to experience interest shortfalls for the foreseeable future. As a result, we lowered our ratings on classes H and J to 'D (sf)'," S&P said. S&P continued, "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 X-CL, X-CP, and X-W interest- only (IO) certificates based on our current criteria." Credit Considerations As of the April 15, 2011, trustee remittance report, 18 assets ($211.7 million, 7.2%) in the pool were with the special servicer, CW Capital Asset Management LLC. The reported payment status of the specially serviced assets is: eight are real estate owned (REO) ($119.6 million, 4.0%), seven are in foreclosure ($79.6 million, 2.7%), two are 90-plus days delinquent ($10.7 million, 0.4%), and one is late, but less than 30 days delinquent ($1.8 million, 0.1%). Sixteen of the 18 specially serviced assets have appraisal reduction amounts (ARAs) in effect totaling $108.2 million. "In addition, we determined one loan, the Route 6 and Stoneleigh loan ($8.1 million, 0.3%), to be credit-impaired. The loan is reported as 60 days delinquent. We discuss details of the two largest specially serviced assets (one of which is a top 10 asset)," S&P said. The Arizona Retail Portfolio asset ($86.0 million, 2.9%) is the eighth-largest asset in the pool and largest asset with the special servicer. The asset comprises 14 retail properties containing 600,178 square feet located in, or around, Phoenix, Ariz.: 12 are unanchored, one is single-tenanted, and one is shadow anchored. The asset is REO and has an ARA of $49.8 million in effect against it. Standard & Poor's expects a significant loss upon the resolution of the asset. The 695/710 Route 46 loan ($35.0 million, 1.2%) is the second- largest asset with the special servicer and is secured by two, four-story office buildings totaling 258,657-sq.-ft. located in Fairfield Township, N.J. The loan was transferred to the special servicer on June 8, 2010, for monetary default and is currently in foreclosure. Wachovia reported a DSC of 0.82x as of year-end 2009 and occupancy of 66% as of June 2010. An ARA of $23.5 million is in effect against this loan. Standard & Poor's expects a significant loss upon the eventual resolution of this asset. "The remaining 16 specially serviced assets and the one loan that we determined to be credit-impaired have individual balances representing less than 0.7% of the pool balance. We estimated losses for 15 of these assets, resulting in a weighted-average loss severity of 48.5%. The remaining loan will be modified and returned to the master servicer," S&P stated. Twelve loans totaling $63.9 million (2.1%) 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 the loans (including the balloon maturity payments) if they continue to perform and remain with the master servicer. Transaction Summary As of the April 15, 2011, trustee remittance report, the transaction pool balance was $2.96 billion, which is 98.0% of the balance at issuance. The pool includes 172 loans and eight REO assets, down from 184 loans at issuance. There are no defeased loans in the pool. The master servicer, Wachovia Real Estate Asset Management (Wachovia), provided financial information for 88.5% of the loans in the pool, the majority of which was interim-2010 (12.1%) or full-year 2010 (70.2%) data. "We calculated a weighted-average DSC of 1.52x for the loans in the pool based on the servicer-reported figures. Our adjusted DSC and LTV figures were 1.50x and 108.5%. These figures exclude 17 of the transaction's 18 specially serviced assets. We separately estimated losses for these excluded assets and included them in our 'AAA' scenario-implied default and loss severity figures. The transaction has experienced $18.7 million in principal losses to date on four assets. Fifty-three loans ($721.8 million, 24.4%) in the pool are on the master servicer's watchlist, including five of the top 10 assets, which are discussed below. Thirty-nine loans ($472.5 million, 16.0%) have reported DSC below 1.10x, 34 of which ($424.2 million, 14.3%) have reported DSC below 1.00x," S&P stated. Summary of Top 10 Assets The top 10 assets have an aggregate outstanding balance of $1.63 billion (55.1%). "Using servicer-reported numbers, we calculated a weighted-average DSC of 1.74x for the top 10 assets. Our adjusted DSC and LTV ratio for the top 10 assets were 1.69x and 102.2%. The eighth-largest asset is with the special servicer," S&P noted. Five of the top 10 assets ($426.8 million, 14.4%) are on the master servicer's watchlist. Details on these five assets are: * The Colony Square loan ($116.0 million, 3.9%), the fifth- largest asset in the pool, is secured by a mixed-use office and retail property totaling 827,252 sq. ft. in Atlanta, Ga. The loan appears on the master servicer's watchlist due to a low reported DSC. Wachovia reported a DSC of 0.65x and occupancy of 74.2% as of year-end 2010. This loan is scheduled to mature on Oct. 11, 2011. * The Republic Portfolio loan ($100.0 million, 3.4%), the sixth-largest asset in the pool, is secured by two office buildings totaling 531,008 sq. ft. in Herndon, Va. The loan appears on the master servicer's watchlist due to low reported DSC, which was 0.83x as of September 2010. December 2010 reported financials indicate a DSC of 1.40x and occupancy of 91.0%. * The Government Property Advisors Portfolio loan ($96.5 million, 3.3%), the seventh-largest asset in the pool, is secured by 38 office properties located in 15 states totaling approximately 1.06 million sq. ft. The properties are generally classified as single-tenant and are leased to various federal and state government agencies of the U.S. The loan appears on the master servicer's watchlist due to deferred maintenance at one of the properties. Wachovia reported a DSC of 1.20x as of September 2010, and an occupancy of 97.0% as of November 2010. This loan is scheduled to mature on Nov. 11, 2011. * The Midtown Plaza loan ($65.0 million, 2.2%), the ninth- largest asset in the pool, is secured by three office buildings in Atlanta, Ga. totaling 494,012 sq. ft. The loan appears on the master servicer's watchlist due to a low reported DSC. Wachovia reported a DSC of 0.30x and occupancy of 73.0% as of September 2010. This loan is scheduled to mature on Oct. 11, 2011. * The Martin Resorts loan ($49.3 million, 1.7%), the 10th- largest asset in the pool, is secured by five lodging properties with a total of 375 rooms located in Pismo Beach, Avila Beach, and Paso Robles, Calif. The loan appears on the master servicer's watchlist due to a low reported DSC. Wachovia reported a DSC of 1.12x and occupancy of 68.4% as of year-end 2010. Standard & Poor's stressed the assets in the pool according to its current criteria. The resultant credit enhancement levels are consistent with S&P's lowered and affirmed ratings. Ratings Lowered LB-UBS Commercial Mortgage Trust 2006-C7 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-M BBB+ (sf) A (sf) 19.78 A-J BB- (sf) BB+ (sf) 9.83 B B+ (sf) BB (sf) 9.06 C B (sf) BB- (sf) 8.04 D B- (sf) B+ (sf) 7.02 E CCC+ (sf) B+ (sf) 6.13 F CCC (sf) B (sf) 5.24 G CCC- (sf) B (sf) 4.34 H D (sf) CCC+ (sf) 3.32 J D (sf) CCC- (sf) 2.43 Ratints Affirmed LB-UBS Commercial Mortgage Trust 2006-C7 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-1 AAA (sf) 29.99 A-2 AAA (sf) 29.99 A-AB AAA (sf) 29.99 A-3 AAA (sf) 29.99 A-1A AAA (sf) 29.99 X-CL AAA (sf) N/A X-CP AAA (sf) N/A X-W AAA (sf) N/A N/A -- Not applicable. LB-UBS COMMERCIAL: S&P Cuts Ratings on 3 Classes of Certs. to 'D' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on nine classes of commercial mortgage pass-through certificates from LB- UBS Commercial Mortgage Trust 2008-C1, a U.S. commercial mortgage- backed securities (CMBS) transaction. "In addition, we affirmed our 'AAA (sf)' ratings on five other classes. We removed one rating from CreditWatch with negative implications where it was placed on Jan. 18, 2011, based on our current counterparty criteria. We lowered our ratings on classes F, G, and H to 'D (sf)' because we expect the interest shortfalls to continue and we believe the accumulated interest shortfalls will remain outstanding for the foreseeable future," S&P stated. "Our rating actions follow our analysis of the transaction primarily using our U.S. conduit/fusion CMBS criteria. Our analysis included a review of the credit characteristics of all of the assets in the pool, the transaction structure, and the liquidity available to the trust. In addition, current and potential interest shortfalls primarily due to interest rate modifications, appraisal subordinate entitlement reductions (ASERs), and special servicing fees, prompted us to lower our ratings on the class F, G, and H to 'D (sf)'. The downgrades also reflect credit support erosion we anticipate will occur upon the resolution of the nine assets ($174.2 million; 17.9%) with the special servicer. The Memphis Retail Portfolio asset ($25.5 million; 2.6%), was transferred to the special servicer after the April reporting period," S&P said. "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 1.25x and a loan-to-value (LTV) ratio of 107.7%. We further stressed the assets' cash flows under our 'AAA' scenario to yield a weighted average DSC of 0.83x and an LTV ratio of 161.3%. The implied defaults and loss severity under the 'AAA' scenario were 94.9% and 40.2%, respectively. The DSC and LTV calculations we noted above exclude one defeased loan ($3.8 million; 0.4%), one nonreporting loan ($2.1 million; 0.2%), and six ($104.6 million; 10.7%) of the transaction's nine assets ($174.2 million; 17.9%) with the special servicer. We separately estimated losses for the six specially serviced assets, which we included in our 'AAA' scenario-implied default and loss severity figures," S&P related. S&P continued, "The downgrades also reflect our analysis of interest shortfalls that have affected the trust. As of the April 15, 2011, remittance report, the trust experienced $385,681 in interest shortfalls, primarily due to appraisal subordinate entitlement reductions (ASERs) that are generating monthly shortfalls of $232,073, as well as interest shortfalls due to rate modification. The monthly interest shortfalls affected class C and all of the classes subordinate to it. We expect shortfalls affecting class F, G, and H to continue for the foreseeable future. As a result, we lowered our ratings on these classes to 'D (sf)'." 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)' rating on class A-2FL and removed it from CreditWatch with negative implications following the trustee's confirmation that the interest rate swap originally associated with the class has been terminated. We affirmed our rating on the class X interest only (IO) certificates based on our current criteria," S&P noted. Credit Considerations As of the April 15, 2011, remittance report, eight assets ($148.7 million; 15.3%) in the pool were with the special servicer, CWCapital Asset Management LLC (CWCapital). The payment status of these assets is: one is REO ($27.4 million; 2.8%), three are in foreclosure ($46.7; 4.8%), two are 90-plus- days delinquent ($36.0 million; 3.7%), one is less than 30 days delinquent ($19.6 million; 2%), and one is in bankruptcy ($19.1 million; 2%). The Memphis Retail Portfolio asset ($25.5 million; 2.6%) was 30 days delinquent, and appears on the servicer's watchlist as of the April 15, 2011, remittance report. The asset was transferred to CWCapital following the April reporting period. Six loans ($102.6 million; 10.5%) have a total of $53.0 million appraisal reduction amounts (ARAs) in effect, resulting in ASERs of $232,072. Four of the top 10 assets in the pool are with the special servicer. The Kettering Tower asset ($27.4 million; 2.8%) is the seventh- largest asset in the transaction and the largest asset with CWCapital. The total exposure outstanding is $28.9 million. The asset is secured by a 484,265-sq.-ft. office building located in Dayton, Ohio. The asset was transferred to CWCapital on April 15, 2009, due to a violation of the cash management agreement. Foreclosure took place on April 1, 2011. Recent financial reporting is not available; however, occupancy was 66% as of December 2010. A $19.2 million ARA is in effect against this asset. Standard & Poor's expects a significant loss upon the resolution of this asset. The Chicago Hotel Portfolio loan ($24.6 million; 2.5%) consists of three crossed-collateralized and crossed-defaulted loans and is the 10th-largest exposure in the transaction and the third largest exposure with CWCapital. The total exposure outstanding is $28.1 million, which includes approximately $3.5 million of advancing and interest thereon. The loans are secured by three independent boutique hotels totaling 152 rooms in Chicago, Ill. The loans were transferred to CWCapital on Jan. 13, 2010, due to monetary default. Recently, the loans were modified and are expected to be returned to the master servicer, Wells Fargo Bank N.A. (Wells Fargo), after a monitoring period. A $10.5 million ARA is in effect against the loans. The reported DSC was 0.46x as of Sept. 30, 2009. The Sutton Plaza loan ($26.5 million; 2.7%) is the eighth-largest loan in the transaction and the second-largest loan with CWCapital. The total exposure outstanding is $27.5 million, which includes approximately $945,262 in servicer advances and interest thereon. The loan is secured by a 167,164-sq.-ft. retail property located in Mount Olive Township, N.J. The loan was transferred to CWCapital on Jan. 20, 2011, due to monetary default. The property was 89% occupied as of the December 2010 rent roll. However, according to CWCapital, A&P, the largest tenant in the property occupying 58,547 sq. ft, will vacate its space at the property. We expect occupancy will decline to approximately 65%. The reported DSC was 1.25x as of Dec. 31, 2009. Standard & Poor's expects a severe loss upon the resolution of the loan. The Memphis Retail Portfolio loan ($25.5 million; 2.6%) is the ninth-largest loan in the pool, and is secured by five retail properties located in Memphis and Collierville, Tenn., totaling 145,531 sq. ft. The loan is on the watchlist due to a low DSC and is reported as 30 days delinquent. "It is our understanding that Wells Fargo transferred the loan to CWCapital after the April reporting period. CWCapital is currently in the process of contacting the borrower to determine if any of the properties sustained damage from the recent flood. The reported DSC and occupancy were 1.26x and 86.7% at year-end 2008. For nine months ending Sept. 30, 2010, the reported DSC was 0.81x with an occupancy rate of 82% as of June 30, 2010. The five remaining specially serviced loans represent 7.2% ($70.2 million) of the pooled trust balance. ARAs totaling $23.3 million are in effect against four of these loans. "We estimated losses for four of these loans ($50.7 million; 5.2%), arriving at a weighted-average loss severity of 56.4%. It is our understanding that the Southwest Retail Portfolio ($19.6 million; 2%), one of the five remaining loans with CWCapital, may be modified," S&P stated. Transaction Summary As of the April 15, 2011, remittance report, the aggregate trust balance was $973.6 million, which is 96.7% of the balance at issuance. The trust includes 60 loans and one REO asset, down from 62 loans at issuance. Wells Fargo provided recent financial information for 81.4% of the pool balance, all of which was full-year 2009, interim 2009, or full-year 2010 information. One loan ($3.8 million; 0.4%) is defeased. "We calculated a weighted average DSC of 1.39x for the loans in the pool based on the reported figures. Our adjusted DSC and LTV were 1.25x and 107.7%, respectively, which exclude six of the nine assets with the special servicer. The trust has experienced a total of $4.4 million in principal losses to date. The principal losses were related to two loans, one of which was liquidated in March 2011 for a $4.1 million loss. The remaining losses were due to the servicer's recovery of prior advances per the trustee report," S&P said. Nine loans ($70.8 million; 7.3%), including the Memphis Retail Portfolio, which was subsequently transferred to special servicing, are on the master servicer's watchlist as of the April reporting period. Six of the loans are on the watchlist due to low DSCs. Two of the loans appear on the watchlist due to tenant bankruptcy or near-term tenant lease rolls at the properties securing the loan. The last loan on the watchlist is due to deferred maintenance at the property. Summary of Top 10 Loans The top 10 assets have an aggregate outstanding trust balance of $622.6 million (64.0%). "Using recent servicer-reported financial information, we calculated a weighted average DSC of 1.49x. This excludes the second-, seventh-, and ninth-largest assets in the transaction because they did not report recent full-year financial information. Our adjusted DSC and LTV figures for the top 10 assets were 1.21x and 106.5%, respectively. Our adjusted figures exclude the seventh-largest asset in the pool ($27.4 million; 2.8%) and the eighth-largest asset in the pool ($26.5 million; 1.3%), for which we separately estimated losses and discuss in 'Credit Considerations,'" S&P related. Standard & Poor's stressed the assets 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 LB-UBS Commercial Mortgage Trust 2008-C1 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-M BBB (sf) A (sf) 20.24 A-J B+ (sf) BBB (sf) 13.13 B B (sf) BBB- (sf) 11.71 C B- (sf) BB+ (sf) 10.54 D CCC+ (sf) BB (sf) 9.77 E CCC- (sf) B+ (sf) 8.86 F D (sf) B- (sf) 8.09 G D (sf) CCC- (sf) 6.92 H D (sf) CCC- (sf) 5.76 Rating Affirmed and Removed From CreditWatch Negative LB-UBS Commercial Mortgage Trust 2008-C1 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-2FL AAA (sf) AAA (sf)/Watch Neg 30.58 Ratings Affirmed LB-UBS Commercial Mortgage Trust 2008-C1 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-1 AAA (sf) 30.58 A-AB AAA (sf) 30.58 A-2 AAA (sf) 30.58 X AAA (sf) N/A N/A -- Not applicable. MARYLAND TRUST: Moody's Downgrades Two Life Insurance Transactions ------------------------------------------------------------------ Moody's Investors Service has downgraded four Series A Investor Certificates (certificates) transactions issued under the Patrons' Legacy banner, and two Series A Investor Certificates (certificates) transactions issued under the Maryland Trust banner. These transactions represent the securitization of a small number of insurance policies (primarily life and single life annuities), with no additional pool-level enhancement. As such, Moody's ratings on the certificates are directly linked to the lowest of the rating of any of the insurance companies providing the policies. The downgrades stem solely from downgrades on these insurance companies: AIG Life Insurance Company, American General Life and Accident Insurance Company, and American General Life Insurance Company to A2, , Chartis Specialty Insurance Company (formerly known as American International Specialty Lines Insurance Company) to A1, Fidelity & Guaranty Life Insurance Company (formerly known as OM Financial Life Insurance Company) to Ba1, and the Manufacturers Life Insurance Company to A1. Complete rating actions are: Issuer: Maryland Trust 2006-1 -- Ser. A, Downgraded to A2 (sf); previously on Jun 21, 2006 Assigned A1 (sf) Issuer: Maryland Trust 2006-IV -- 2007 Ser. A, Downgraded to A2 (sf); previously on Nov 16, 2007 Assigned A1 (sf) Issuer: Patrons' Legacy 2003-1 -- LILAC 03-A, Downgraded to A2 (sf); previously on Jun 22, 2010 Downgraded to A1 (sf) Issuer: Patrons' Legacy 2003-II -- LILAC 03-A, Downgraded to A1 (sf); previously on Jun 22, 2010 Confirmed at Aa3 (sf) Issuer: Patrons' Legacy 2003-III -- LILAC 03-A, Downgraded to A2 (sf); previously on Jun 22, 2010 Downgraded to A1 (sf) Issuer: Patrons' Legacy 2004-I -- LILAC 04-A, Downgraded to Ba1 (sf); previously on Jun 22, 2010 Downgraded to Baa3 (sf) Principal Methodology Each of these transactions represents a securitization of a pool of life insurance policies, single life annuities and supplemental policies (the Policies) on a small number of covered individuals, all residents of the particular state, that were acquired by an issuing trust (the Issuer Trust). Each individual covered by a policy in the pool consented to the issuance of the policy on his or her life and designated a charitable organization located in the same state as the covered individuals, to acquire a certificate representing a beneficial interest in the Issuer Trust. Due to the small number of covered individuals in each transaction, there are also only a small number of insurance companies providing the related Policies (Supporting Insurance Companies). The certificates represent beneficial interests in the Issuer Trust, the assets of which consist of the Policies. The payments to certificate-holders are based on the payments from the Supporting Insurance Companies. The transaction is structured to ensure timely payment of cash flows from the Policies to investors. Using a 'weakest link' approach, the ratings of the transaction reflect the rating of the lowest-rated Supporting Insurance Company. Other methodologies and factors that may have been considered in the process of rating this issuer can be found on www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. MERRILL LYNCH: Fitch Takes Various Actions on 2004-BPC1 ------------------------------------------------------- Fitch Ratings has downgraded 13 classes and affirmed six classes of Merrill Lynch Mortgage Trust commercial mortgage pass-through certificates, series 2004-BPC1. The downgrades reflect Fitch expected losses, most of which are associated with the specially serviced loans. Fitch modeled losses of 6.81% of the remaining pool; expected losses based on the original pool size are 6.07%, which also reflect losses already incurred to date. Fitch designated 27 loans (27.12%) as Fitch Loans of Concern, including five specially serviced loans (9.09%). Fitch expects classes P and Q may eventually be fully depleted from losses from loans in special servicing. As of the April 2011 distribution date, the pool's aggregate principal balance has reduced by 18.6% to $1.01 billion from $1.24 billion at issuance. Interest shortfalls are affecting classes E through Q. Three loans (3.2%) have defeased since issuance. The largest contributor to Fitch expected losses is secured by a 448,762 square foot (sf) retail property in Indianapolis, IN. The loan (2.7% of the outstanding pool) transferred to special servicing in June 2010 and was modified. The modification closed in December 2010 and the loan was transferred back to the master servicer in March 2011. The loan was modified and split into a $15 million A-Note and $12.8 million B-Note. The borrower made a equity contribution to fund additional reserves and paydown a portion of the outstanding balance. The maturity of the loan has been extended to July 1, 2016. The next largest contributor to Fitch expected losses is a portfolio of 10 office buildings totaling 287,921 sf (2.8% of the outstanding pool), located in Washington state, mainly in around the state capital. The tenants are primarily state agencies and divisions of the state. The loan was transferred to special servicing in 2010 after the borrower placed junior financing on the properties without consent. Custodial receiver has been in place for all properties since year end 2010 and the special servicer is pursuing foreclosure on all of the buildings except one. Fitch downgrades these classes and assigns Rating Outlooks or Recovery Ratings: -- $26.4 million class B to 'Asf/LS5' from 'AAsf/LS4'; Outlook Stable; -- $12.4 million class C to 'BBBsf/LS5' from 'AAsf/LS4'; Outlook Stable; -- $18.6 million class D to 'BBsf/LS5' from 'A+sf/LS4'; Outlook Stable; -- $9.3 million class E to 'BBsf/LS5' from 'Asf/LS5'; Outlook Negative; -- $15.5 million class F to 'B-sf/LS5' from 'BBB+sf/LS4'; Outlook Negative; -- $10.9 million class G to 'CCCsf/RR1' from 'BBBsf/LS5'; -- $15.3 million class H to 'CCCsf/RR1' from 'BBsf/LS4'; -- $6.2 million class J to 'CCsf/RR1' from 'BBsf/LS5'; -- $4.7 million class K to 'CCsf/RR4' from 'BBsf/LS5'; -- $6.2 million class L to 'CCsf/RR6' from 'Bsf/LS5'; -- $4.7 million class M to 'Csf/RR6' from 'B-sf/LS5'; -- $3.1 million class N to 'Csf/RR6' from 'B-sf/LS5'; -- $3.1 million class P to 'Csf/RR6' from 'B-sf/LS5'. Fitch also affirms these classes: -- $138.7 million class A-1A at 'AAAsf/LS1'; Outlook Stable; -- $13 million class A-2 at 'AAAsf/LS1'; Outlook Stable; -- $171.3 million class A-3 at 'AAAsf/LS1'; Outlook Stable; -- $48.8 million class A-4 at 'AAAsf/LS1'; Outlook Stable; -- $397.2 million class A-5 at 'AAAsf/LS1'; Outlook Stable; -- $94.8 million class A-J at 'AAAsf/LS3'; Outlook Stable. Fitch does not rate the $10.5 million class Q. Class A-1 has paid in full. Fitch withdraws the rating on the interest-only classes X-C and X- P. MERRILL LYNCH: Moody's Downgrades Two & Affirms 16 CMBS Classes --------------------------------------------------------------- Moody's Investors Service downgraded the ratings of two classes and affirmed 16 classes of Merrill Lynch Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2004-KEY2: -- Cl. A-2, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- 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-4, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. XP, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. XC, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. B, Affirmed at Aa3 (sf); previously on Sep 9, 2010 Downgraded to Aa3 (sf) -- Cl. C, Affirmed at A3 (sf); previously on Sep 9, 2010 Downgraded to A3 (sf) -- Cl. D, Affirmed at Baa2 (sf); previously on Sep 9, 2010 Downgraded to Baa2 (sf) -- Cl. E, Affirmed at B1 (sf); previously on Sep 9, 2010 Downgraded to B1 (sf) -- Cl. F, Downgraded to B3 (sf); previously on Sep 9, 2010 Downgraded to B2 (sf) -- Cl. G, Downgraded to Caa1 (sf); previously on Sep 9, 2010 Downgraded to B3 (sf) -- Cl. H, Affirmed at Ca (sf); previously on Sep 9, 2010 Downgraded to Ca (sf) -- Cl. J, Affirmed at Ca (sf); previously on Sep 9, 2010 Downgraded to Ca (sf) -- Cl. K, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to C (sf) -- Cl. L, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to C (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 downgrades are due to higher expected losses resulting from anticipated losses from specifically serviced and troubled loans and concerns about increased 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 6% of the current balance. At last review, Moody's cumulative base expected loss was 5%. Moody's stressed scenario loss is 11.6% 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 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 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 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. 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 12, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 27% to $816.9 million from $1.1 billion at securitization. The Certificates are collateralized by 96 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans representing 36% of the pool. The pool contains one loan with an investment grade credit estimate that represents 10% of the pool. Sixteen loans, representing 12% of the pool, have defeased and are collateralized with U.S. Government securities. Twenty-six 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. Seven loans have been liquidated from the pool, resulting in an aggregate realized loss of $22.6 million (37% loss severity overall). Eight loans, representing 10% of the pool, are currently in special servicing. Moody's has estimated an aggregate $33.4 million loss (42% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for six poorly performing loans representing 3% of the pool and has estimated a $3.3 million aggregate loss (12.5% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2009 operating results for 93% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 87% compared to 88% 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 1.36X and 1.21X, respectively, compared to 1.33X and 1.16X 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 compared to 33 at Moody's prior review. The loan with a credit estimate is the Crossroads Center Loan ($80.8 million -- 9.9%), which is secured by the borrower's interest in a 905,300 square foot (775,300 square feet of collateral) regional mall located in St. Cloud, Minnesota. The mall is anchored by J.C. Penney, Macy's, and Sears. In-line occupancy was 98% as of March 2010 compared to 92% at last review. The loan sponsor is General Growth Properties (GGP). The property was included in GGP's bankruptcy filing, but has been returned to the master servicer. The loan maturity was extended from August 1, 2010 to January 30, 2014. Moody's current underlying rating and stressed DSCR are Baa3 and 1.28X, respectively, compared to Baa3 and 1.34X at last review. The top three performing conduit loans represent 13% of the pool balance. The largest loan is the U-Haul Portfolio Loan ($44 million -- 5.4% of the pool), which is secured by two similarly sized loans which are cross-collateralized and cross- defaulted. The loans are secured by 34 U-Haul operated self- storage and retail properties located across 18 states and totaling 1.5 million square feet. The combined occupancy was 74% as of March 2010. Performance has increased since last review due to the amortization and increased rental rates. The loan has amortized 2% since last review. Moody's LTV and stressed DSCR are 66% and 1.52X, respectively, compared to 72% and 1.43X at last review. The second largest loan is the 1900 Ocean Apartments Loan ($43.3 million -- 5.3%), which is secured by a 266 unit multifamily property located in Long Beach, California. The property was 97% leased as of March 2010 compared to 93% at last review. The loan has amortized 1% since last review. Moody's LTV and stressed DSCR are 100% and 0.84X, respectively, compared to 98% and 0.86X at last review. The third largest loan is the 150 & 200 Meadowlands Parkway Loan ($21.9 million -- 2.7% of the pool), which is secured by two office properties located in Secaucus, New Jersey. The properties were 89% leased as of March 2010. Moody's LTV and stressed DSCR are 100% and 1.03X, respectively, compared to 87% and 1.18X at last review. MERRILL LYNCH: S&P Lowers Ratings on 2 Classes of Certs. to 'D' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 11 classes of U.S. commercial mortgage-backed securities (CMBS) from Merrill Lynch Mortgage Trust 2007-C1, and removed the rating on class A-2FL from CreditWatch with negative implications. "In addition, we affirmed our ratings on seven other classes from the same transaction," S&P said. "We based the lowered rating on class A-2FL to 'A+ (sf)' on our current counterparty criteria. We lowered our ratings on classes G and H to 'D (sf)' due to interest shortfalls that have affected these classes. We expect these interest shortfalls to continue for the foreseeable future," S&P continued. "Our rating actions follow our analysis of the transaction primarily using our U.S. CMBS 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 G and H certificates to 'D (sf)'. The downgrades also reflect credit support erosion we anticipate will occur upon the resolution of 14 ($938.7 million; 23.7%) of the 16 assets ($949.6 million; 24.0%) with the special servicer," S&P noted. According to S&P, "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 1.22x and loan-to-value (LTV) ratio of 125.4%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 0.77x and LTV ratio of 155.8%. The implied defaults and loss severity under the 'AAA' scenario were 92.4% and 45.3%. The DSC and LTV calculations we noted above exclude 14 ($938.7 million; 23.7%) of the transaction's 16 specially serviced assets ($949.6 million; 24.0%). We separately estimated losses for these assets, which we included in our 'AAA' scenario implied default and loss severity figures." "The downgrades also reflect our analysis of interest shortfalls that have affected the trust. As of the April 14, 2011, remittance report, the trust had experienced monthly interest shortfalls totaling $1,653,898, of which $1,416,020 were ASERs related to 14 of the 16 specially serviced assets. Special servicing fees also contributed significantly to the total monthly interest shortfalls. The monthly interest shortfalls affected class C and all classes subordinate to it. We expect that class G, and all classes subordinate to it, will continue to experience interest shortfalls for the foreseeable future. As a result, we lowered our ratings on classes G and H to 'D (sf)'," S&P elaborated. "The downgrade of the class A-2FL certificates reflects our application of our updated counterparty criteria for structured finance transactions. Floating-rate interest payments to the class are partially dependent upon the performance of the interest rate swap counterparty, Bank of America (A/Negative/A-1). We lowered the rating to one notch above our rating on the counterparty based primarily on our understanding that the derivative obligation contains a counterparty replacement framework," S&P stated. 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 'AAA (sf)' rating on the class X interest-only (IO) certificate based on our current criteria," S&P said. Credit Considerations As of the April 14, 2011, remittance report, 16 assets ($949.6 million; 24.0%) in the pool were with the special servicer, C-III Asset Management LLC. The reported payment status of these assets is: four are real estate owned (REO) ($169.4 million; 4.3%), four are in foreclosure ($40.4 million; 1.0%), six are 90-plus days delinquent ($729.0 million; 18.4%), one is 60 days delinquent ($4.5 million; 0.1%), and one is 30 days delinquent ($6.5 million; 0.2%). Fourteen assets ($938.7 million; 23.7%) have ARAs in effect totaling $297.9 million. Three of the top 10 assets secured by real estate are with the special servicer. The Empirian Multifamily Portfolio Pool 1 loan ($384.8 million balance; 9.7%; $396.1 million total exposure) and the Empirian Multifamily Portfolio Pool 3 loan ($330.3 million balance; 8.3%; $341.6 million total exposure), which are the two largest loans in the pool, are with the special servicer. The former is secured by 78 multifamily properties consisting of 7,964 units located across eight states, and the latter is secured by 79 multifamily properties consisting of 6,860 units located across eight states. Both portfolios exhibit concentrations in Florida, Ohio, Georgia, and Indiana. The loans were transferred to special servicing on Nov. 10, 2010, due to imminent default. The payment status of both loans were reported as 90-plus days delinquent, and the loans currently have automatic ARAs against them ($96.2 million for the Pool 1 loan, and $82.6 million for the Pool 3 loan). According to the special servicer, appraisals have been ordered for both loans. For year-end 2010, the reported DSCs for the Pool 1 and Pool 3 loans were 1.04x and 1.10x. Standard & Poor's anticipates a significant loss upon the eventual resolution of these loans. The B2 Portfolio REO asset ($130.5 million balance; 3.3%; $151.4 million total exposure) is the fifth-largest asset in the pool and the third-largest specially serviced asset. The property comprises 11 multifamily properties totaling 2,904 units in Georgia, North Carolina, and Virginia. The asset was transferred to the special servicer on Feb. 11, 2009, due to payment default. According to the special servicer, the Georgia and North Carolina properties are currently under contract, with the respective transactions expected to close by the end of May. A $75.2 million ARA is in effect against this asset. Standard & Poor's expects a significant loss upon the resolution of the asset. The remaining 13 assets with the special servicer ($104.1 million; 2.6%) individually represent less than 0.6% of the total pool balance. "We estimated losses for 11 of these assets to arrive at a weighted-average loss severity of 51.0%," S&P noted. "We also considered pending maturities; 17.3% of the pool balance (15 loans) have anticipated repayment dates (ARDs) or final maturities scheduled through June 2012," S&P stated. Transaction Summary As of the April 14, 2011, remittance report, the transaction had an aggregate trust balance of $3.96 billion (253 loans and four REO assets), compared with $4.05 billion (265 loans) at issuance. Wells Fargo Bank N.A. and KeyBank Real Estate Capital, the master servicers, provided financial information for 95.4% of the pool (by balance), which was primarily full-year 2009 and full-year 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 1.22x and 125.4%, respectively, which exclude 14 ($938.7 million; 23.7%) of the 16 specially serviced assets. The trust has experienced nine principal losses to date totaling $22.3 million. Sixty-six loans ($642.4 million; 16.2%) are on the master servicers' watchlists, including one of the top 10 assets secured by real estate, which is discussed below. Sixteen loans ($257.4 million, 6.5%) have reported DSCs between 1.00x and 1.10x, and 43 loans ($343.0 million, 8.7%) have reported DSCs of less than 1.00x," according to S&P. Summary of Top 10 Assets The top 10 assets have an aggregate outstanding trust balance of $1.92 billion (48.4%). Using servicer-reported information, we calculated a weighted-average DSC of 1.27x. "Our adjusted DSC and LTV figures for the top 10 assets were 1.15x and 130.2%. The adjusted figures exclude the three of the top 10 assets with the special servicer," S&P noted. The Gwinnett Place loan ($115.0 million; 2.9%), the eighth-largest loan in the pool, is secured by 566,908 sq. ft. of retail space that represents a portion of a 1.3-million-sq.-ft. mall in Duluth, Ga., that was built in 1984 and renovated in 1988. The loan, which matures in June 2012, is on the watchlist due to low DSC. For year-end 2010, the reported DSC and occupancy were 1.13x and 57.3%. Standard & Poor's stressed the loans in the pool according to its U.S. CMBS conduit/fusion criteria. The resultant credit enhancement levels are consistent with S&P's lowered and affirmed ratings. Rating Lowered and Removed From CreditWatch Negative Merrill Lynch Mortgage Trust 2007-C1 Commercial mortgage pass-through certificates series 2007-C1 Rating Class To From Credit enhancement (%) A-2FL A+ (sf) AAA (sf)/Watch Neg 30.11 Ratings Lowered Merrill Lynch Mortgage Trust 2007-C1 Commercial mortgage pass-through certificates series 2007-C1 Rating Class To From Credit enhancement (%) AM BBB- (sf) BBB+ (sf) 19.89 AJ B+ (sf) BB (sf) 11.45 AJ-FL B+ (sf) BB (sf) 11.45 B CCC+ (sf) BB- (sf) 9.28 C CCC- (sf) B+ (sf) 8.26 D CCC- (sf) B+ (sf) 7.11 E CCC- (sf) B (sf) 5.96 F CCC- (sf) B- (sf) 4.68 G D (sf) CCC- (sf) 3.66 H D (sf) CCC- (sf) 2.63 Ratings Affirmed Merrill Lynch Mortgage Trust 2007-C1 Commercial mortgage pass-through certificates series 2007-C1 Class Rating Credit enhancement (%) A-2 AAA (sf) 30.11 A-3 A+ (sf) 30.11 A-3FL A+ (sf) 30.11 A-SB A+ (sf) 30.11 A-4 A+ (sf) 30.11 A-1A A+ (sf) 30.11 X AAA (sf) N/A N/A -- Not applicable. METROFINANCIERA: Fitch Downgrades RMBS Bonds Ratings ---------------------------------------------------- Fitch Ratings has downgraded and removed the Rating Watch Negative for two residential mortgage backed securities originated and serviced by Metrofinanciera, S.A.P.I. de C.V., SOFOM, E.N.R.: MTROCB07U -- Long-term rating downgraded to 'BB-sf' from 'BBB-sf'; removed Rating Watch Negative and assigned a Negative Rating Outlook. -- National long-term rating downgraded to 'A-(mex)' from 'AA- (mex)'; removed Rating Watch Negative and assigned a Negative Rating Outlook. MTROCB08U -- Long-term rating downgraded to 'BB-sf' from 'BBB- sf'; removed Rating Watch Negative and assigned a Negative Rating Outlook. -- National long-term rating downgraded to 'A-(mex)' from 'AA- (mex)'; removed Rating Watch Negative and assigned a Negative Rating Outlook. The MTROCB07U transaction, issued in June 2007, originally featured an overcollateralization (OC) of 2.5% with a target OC of 9.5%; however, according to Fitch's calculations based on the most recent information provided by the servicer and the common representative, as of May 2, 2011, the OC decreased to negative 12%. This transaction has experienced an increasing trend in delinquencies during the last year for both 90 days or more and 180 days or more. As of March 31, 2011, 90 days or more delinquencies rose to 28.4% from 23.4% at the end of September 2010, while 180 days or more delinquencies rose to 24.1% from 19.2% during the same period. The mortgage loans that back this bond include mortgage insurance provided by Sociedad Hipotecaria Federal, Genworth, or United Guaranty. The top three states that compose this portfolio are: Baja California (26.6%), Jalisco (20.81%) and Guanajuato (6.64%). The MTROCB08U transaction, issued in June 2007, originally featured an OC of 4% with a target of 12%; however, according to Fitch's calculations based on the most recent information provided by the servicer and the common representative, as of May 2, 2011, the OC decreased to negative 9.7%. This transaction has also experienced an increasing trend in delinquencies during the last year for both 90 days or more and 180 days or more. As of March 31, 2011, 90 days or more delinquencies rose to 23.9% from 18.5% at the end of September 2010, while 180 days or more delinquencies rose to 19.4% from 15.3% during the same period. The mortgage loans that back this bond include mortgage insurance provided by Sociedad Hipotecaria Federal, Genworth or United Guaranty. The top three states that compose this portfolio are: Jalisco (24.07%), Baja California Norte (16.46%) and Guanajuato (8.18%). When re-running the cash flow model during this review, Fitch incorporated an increase in overall expenses as they have been increasing due to the costs related to increase in delinquencies. Extraordinary servicing efforts have been made on severely delinquent loans, with 90 days or more delinquencies. These increased costs may be offset in the future by potentially lower time and foreclosure costs, but it is difficult to predict the overall success of this effort and the impact on future cashflows of the transaction. The analysis conducted by Fitch included the review of the monthly surveillance data, as well as a re-evaluation of delinquency and loss assumptions and a break-even scenario by re-running Fitch's cash flow model. The re-running of the cash flow model determines the maximum level of defaults each structure could sustain without suffering a loss. These results were compared to Fitch's new delinquency and loss numbers assumed for each portfolio and at each given rating category. The cash flow model incorporates all credit enhancements for each issuance, as well as their structural characteristics such as the waterfall of payments described in the legal documents. The cash flow model also incorporates Fitch's analysis on Constant Prepayment Rate (CPR), excess spread, and mortgage insurance, and Fitch's view on the recovery proceeds of any houses yet to be sold within the trust. As unsold inventory and non-performing loans (NPLs) continue to increase, the importance of the recovery assumptions and the actual recoveries becomes increasingly important. Fitch will continue to monitor the evolution of these increasing NPLs and any proceeds generated from the sales of these properties. MORGAN STANLEY: Fitch Affirms 7 Classes of MSDW 2003-TOP9 --------------------------------------------------------- Fitch Ratings downgrades six classes of Morgan Stanley Dean Witter Capital I Trust commercial mortgage pass-through certificates, series 2003-TOP9 due to increased loss expectations. Fitch expects losses of 2.06% of the remaining pool balance, approximately $15.6 million. Currently there are no specially serviced or delinquent loans; however, 4.6% of the pool is considered a Fitch loan of concern. As of the April 2011 distribution date, the pool's certificate balance has paid down 29.9% to $755.4 million from $1.1 billion at issuance. There are 123 of the original 137 loans remaining in transaction, 22 of which have defeased (14.0% of the current transaction balance). The largest loan of concern and largest contributor to Fitch expected losses is a 245,293 square foot anchored retail property in Weymouth, MA. The property experienced some lease turnover that reduced occupancy. New leases have been signed and the property is now 100% occupied. However, the new tenants have been signed on at reduced rental rates. The loan is current as of April 2011. Fitch Ratings downgrades, revises Loss Severity (LS) ratings and revises Outlooks: -- $10.8 million class H to 'BB/LS5' from 'BBB-/LS3'; Outlook Stable; -- $4.0 million class J to 'BB/LS5' from 'BB+/LS3'; Outlook to Stable from Negative; -- $5.4 million class K to 'B/LS5' from 'BB/LS3'; Outlook to Stable from Negative; -- $5.4 million class L to 'B/LS5' from 'B+/LS3'; Outlook Negative; -- $2.7 million class M to 'CCC/RR1' from 'B/LS4'; -- $2.7 million class N to 'CCC/RR1' from 'B-/LS4'. In addition, Fitch affirms these ratings, LS ratings and Outlooks: -- $610.1 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $32.3 million class B at 'AAA/LS3'; Outlook Stable; -- $35.0 million class C at 'AA/LS3'; Outlook to Positive from Stable; -- $12.1 million class D at 'A+/LS4'; Outlook to Positive from Stable; -- $14.8 million class E at 'A-/LS4'; Outlook Stable; -- $6.7 million class F at 'BBB+/LS5'; Outlook Stable; -- $5.4 million class G at 'BBB/LS5'; Outlook Stable. Fitch does not rate the $7.9 million class O. Fitch has withdrawn the rating on the interest-only class X-1. MORGAN STANLEY: Moody's Affirms 14 CMBS Classes of MSDW 2002-IQ3 ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 14 classes of Morgan Stanley Dean Witter Capital I Trust 2002-IQ3, Commercial Mortgage Pass-Through Certificates, Series 2002-IQ3: -- Cl. A-2, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) -- Cl. X-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 A2 (sf); previously on Dec 17, 2002 Definitive Rating Assigned A2 (sf) -- Cl. D, Affirmed at A3 (sf); previously on Dec 17, 2002 Definitive Rating Assigned A3 (sf) -- Cl. E, Affirmed at Baa3 (sf); previously on Sep 16, 2010 Downgraded to Baa3 (sf) -- Cl. F, Affirmed at Ba2 (sf); previously on Sep 16, 2010 Downgraded to Ba2 (sf) -- Cl. G, Affirmed at B3 (sf); previously on Sep 16, 2010 Downgraded to B3 (sf) -- Cl. H, Affirmed at Ca (sf); previously on Sep 16, 2010 Downgraded to Ca (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) 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 5.5% of the current balance. At last review, Moody's cumulative base expected loss was 5.3%. 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 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 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 34% to $600.7 million from $909.6 million at securitization. The Certificates are collateralized by 172 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans representing 36% of the pool. The pool contains one loan with an investment grade credit estimate that represents 3% of the pool. Twelve loans, representing 16% of the pool, have defeased and are collateralized with U.S. Government securities. Fifty-two loans, representing 28% 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, resulting in an aggregate realized loss of $16.8 million (49% loss severity overall). Four loans, representing 6% of the pool, are currently in special servicing. The master servicer has recognized an aggregate $18.8 million appraisal reduction for two of the specially serviced loans. Moody's has estimated an aggregate $20 million loss (62% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for eight poorly performing loans representing 4% of the pool and has estimated a $23.5 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 partial/full year 2010 operating results for 96% and 49% of the pool's non-defeased loans, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 71% compared to 73% 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 9.5%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.55X and 1.77X, respectively, compared to 1.51X and 1.67X 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 29 compared to 28 at Moody's prior review. The loan with an underlying rating is the 2731 San Tomas Expressway Loan ($15.8 million -- 2.6% of the pool), which is secured by a 125,000 square foot (SF) Class A office located in Santa Clara, California. The property is 100% leased to Nvidia Corporation through January 2019. Moody's underlying rating and stressed DSCR are Baa3 and 1.78X, respectively, compared to Baa3 and 1.88X at last review. The top three performing conduit loans represent 17% of the pool balance. The largest loan is the 77 P Street Office Loan ($58.8 million -- 9.8% of the pool), which is secured by a 342,411 SF office building located in the Capitol Hill submarket of Washington, D.C. The building was 100% leased as of July 2010, the same as at last review. All the tenants are departments of the Washington, D.C. municipal government with leases expiring in June 2011 (31% of the net rentable area (NRA)), November 2011 (47% of the NRA) and April 2012 (23% of the NRA). Moody's LTV and stressed DSCR are 73% and 1.38X, respectively, compared to 75% and 1.33X at last review. The second largest loan is the Richards Building Loan ($29.2 million -- 4.9% of the pool), which is secured by a leasehold mortgage on a 126,000 SF biotechnology office building located in Cambridge, Massachusetts. The property was 100% leased as of February 2010, the same as at last review. Moody's LTV and stressed DSCR are 73% and 1.41X, respectively, compared to 76% and 1.35X at last review. The third largest loan is the 125 Delawanna Avenue Loan ($17.8 million -- 3.0% of the pool), which is secured by a 361,120 SF industrial warehouse facility located in Clifton, New Jersey. The property was 100% leased as of December 2010, the same as at last review. Moody's LTV and stressed DSCR are 70% and 1.47X, respectively, compared to 72% and 1.39X at last review. MORGAN STANLEY: Moody's Affirms 25 CMBS Classes of MSC 2005-IQ10 ---------------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of 25 classes of Morgan Stanley Capital I Trust 2005-IQ10, Commercial Mortgage Pass-Through Certificates, Series 2005-IQ10: -- Cl. A-2, Affirmed at Aaa (sf); previously on Nov 21, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-AB, Affirmed at Aaa (sf); previously on Nov 21, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-3-1FL, Affirmed at Aaa (sf); previously on Nov 21, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-3-1, Affirmed at Aaa (sf); previously on Nov 21, 2005 Assigned Aaa (sf) -- Cl. A-3-2, Affirmed at Aaa (sf); previously on Nov 21, 2005 Assigned Aaa (sf) -- Cl. A-4A, Affirmed at Aaa (sf); previously on Nov 21, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-4B, Affirmed at Aaa (sf); previously on Nov 21, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Nov 21, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. X-1, Affirmed at Aaa (sf); previously on Nov 21, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. X-2, Affirmed at Aaa (sf); previously on Nov 21, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. X-Y, Affirmed at Aaa (sf); previously on Nov 21, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-J, Affirmed at A2 (sf); previously on Sep 29, 2010 Downgraded to A2 (sf) -- Cl. B, Affirmed at Baa1 (sf); previously on Sep 29, 2010 Downgraded to Baa1 (sf) -- Cl. C, Affirmed at Baa2 (sf); previously on Sep 29, 2010 Downgraded to Baa2 (sf) -- Cl. D, Affirmed at Ba2 (sf); previously on Sep 29, 2010 Downgraded to Ba2 (sf) -- Cl. E, Affirmed at Ba3 (sf); previously on Sep 29, 2010 Downgraded to Ba3 (sf) -- Cl. F, Affirmed at B3 (sf); previously on Sep 29, 2010 Downgraded to B3 (sf) -- Cl. G, Affirmed at Caa1 (sf); previously on Sep 29, 2010 Downgraded to Caa1 (sf) -- Cl. H, Affirmed at Caa3 (sf); previously on Sep 29, 2010 Downgraded to Caa3 (sf) -- Cl. J, Affirmed at Ca (sf); previously on Sep 29, 2010 Downgraded to Ca (sf) -- Cl. K, Affirmed at Ca (sf); previously on Sep 29, 2010 Downgraded to Ca (sf) -- Cl. L, Affirmed at C (sf); previously on Sep 29, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Sep 29, 2010 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on Sep 29, 2010 Downgraded to C (sf) -- Cl. O, Affirmed at C (sf); previously on Sep 29, 2010 Downgraded to C (sf) Ratings Rational 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 6.0% of the current balance. At last review, Moody's cumulative base expected loss was 5.5%. Moody's stressed scenario loss is 13.2% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 underlying ratings 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 underlying ratings 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. 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 15, 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 202 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans representing 50% of the pool. The pool includes 74 loans secured by residential cooperative properties (10% of the pool). These loans have a credit estimate of Aaa. Forty-five 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 $103,854 realized loss (.05% loss severity). Four loans have been modified with principal writedowns resulting in a $5.1 million realized loss. Seven loans, representing 5% of the pool, are currently in special servicing. The loans are secured by a mix of property types. Moody's has estimated an aggregate $31.9 million loss (48% expected loss on average) for the specially serviced loans. The master servicer has recognized an aggregate $21.9 million appraisal reduction for five of the specially serviced loans. Moody's has assumed a high default probability for ten poorly performing loans representing 4% of the pool and has estimated a $6.6 million loss (12.5% expected loss based on a 25% probability default) from these troubled loans. Moody's was provided with full-year 2009 and partial year 2010 operating results for 93% and 83% of the pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 93% compared to 95% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.53X and 1.12X, respectively, compared to 1.45X and 1.07X 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 20 compared to 22 at Moody's prior review. The top three performing conduit loans represent 26% of the pool balance. The largest loan is the 195 Broadway Loan ($196.0 million -- 14.2% of the pool), which is secured by a 915,000 square foot (SF) office building located in New York City. The property was 84% leased as of September 2010, essentially the same as at last review and securitization. Performance has declined slightly due to lower rents and higher expenses. Moody's LTV and stressed DSCR are 98% and 0.96X, respectively, compared to 93% and 1.02X at last review. The second largest loan is the 1875 K Street Loan ($85.0 million - - 6.1% of the pool), which is secured by a 188,000 SF Class A office building located in Washington D.C. The property was 94% leased as of December 2010 compared to 95% at last review. Performance has increased due to higher rents. Moody's LTV and stressed DSCR are 119% and 0.78X, respectively, compared to 123% and 0.75X at last review. The third largest loan is the L-3 Communications Loan ($80.7 million - 5.8% of the pool), which is secured by an eight building office/industrial complex totaling 901,000 SF located in Salt Lake City, Utah. The complex was 100% leased as of June 2010, the same as at last review and securitization. Performance has improved due to an increase in rents. Moody's LTV and stressed DSCR are 87% and 1.14X, respectively, compared to 94% and 1.06X at last review. MORGAN STANLEY: Moody's Downgrades Two and Affirms 21 CMBS Classes ------------------------------------------------------------------ Moody's Investors Service downgraded the ratings of two classes and affirmed 21 classes of Morgan Stanley Capital I Inc. Commercial Mortgage Pass-Through Certificates, Series 2005-HQ7: -- Cl. A-2, Affirmed at Aaa (sf); previously on Dec 5, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-AB, Affirmed at Aaa (sf); previously on Dec 5, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-3, Affirmed at Aaa (sf); previously on Dec 5, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-4, Affirmed at Aaa (sf); previously on Dec 5, 2005 Assigned Aaa (sf) -- Cl. A-1A, Affirmed at Aaa (sf); previously on Dec 5, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. X, Affirmed at Aaa (sf); previously on Dec 5, 2005 Definitive Rating Assigned Aaa (sf) -- Cl. A-M, Affirmed at Aaa (sf); previously on Dec 5, 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 A3 (sf); previously on Sep 22, 2010 Downgraded to A3 (sf) -- Cl. C, Affirmed at Baa1 (sf); previously on Sep 22, 2010 Downgraded to Baa1 (sf) -- Cl. D, Affirmed at Baa2 (sf); previously on Sep 22, 2010 Downgraded to Baa2 (sf) -- Cl. E, Affirmed at Baa3 (sf); previously on Sep 22, 2010 Downgraded to Baa3 (sf) -- Cl. F, Downgraded to B1 (sf); previously on Sep 22, 2010 Downgraded to Ba2 (sf) -- Cl. G, Downgraded to B3 (sf); previously on Sep 22, 2010 Downgraded to B2 (sf) -- Cl. H, Affirmed at Caa3 (sf); previously on Sep 22, 2010 Downgraded to Caa3 (sf) -- Cl. J, Affirmed at Ca (sf); previously on Sep 22, 2010 Downgraded to Ca (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 Sep 22, 2010 Downgraded to C (sf) -- Cl. N, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded to C (sf) -- Cl. O, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded to C (sf) -- Cl. P, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded to C (sf) -- Cl. Q, Affirmed at C (sf); previously on Sep 22, 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 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 5.4% of the current balance. At last review, Moody's cumulative base expected loss was 5.9%. The cumulative base expected loss plus realized losses represents 8.1% of the current balance compared to 6.7% of the outstanding balance at Moody's previous review. Moody's stressed scenario loss is 16.7% of the current balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. 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 underlying ratings 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 underlying ratings 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. 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 April14, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 12% to $1.72 billion from $1.95 billion at securitization. The Certificates are collateralized by 255 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 29% of the pool. Three loans, representing 2% of the pool, have defeased and are collateralized with U.S. Government securities. Eighty-six loans, representing 28% 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. Seventeen loans have been liquidated from the pool, resulting in an aggregate realized loss of $46.4 million (56% loss severity). The pool had realized an aggregate $15.1 million loss at last review. Thirteen loans, representing 3% of the pool, are currently in special servicing. The specially serviced loans are secured by a mix of property types. Moody's has estimated an aggregate $23 million loss (39% expected loss on average) for the specially serviced loans. The master servicer has recognized an aggregate $6.5 million appraisal reduction for two of the specially serviced loans. Moody's has assumed a high default probability for 26 poorly performing loan representing 9% of the pool and has estimated a $28.5 million loss (19% 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 94% and 93% of the pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 100% compared to 101% 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 9.2%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.41X and 1.04X, respectively, compared to 1.40X 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. 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 55 compared to 57 at Moody's prior review. The top three performing conduit loans represent 17% of the pool balance. The largest loan is the 261 Fifth Avenue Loan ($141 million -- 8.2% of the pool), which is secured by a 434,000 square foot (SF) office building located in New York City. The property was 96% leased as of March 2011 compared to 89% at last review. Despite the increase in occupancy, performance has declined slightly due to increased expenses. The loan is interest only for its entire term. Moody's LTV and stressed DSCR are 124% and 0.76X, respectively, compared to 122% and 0.78X at last review. The second largest loan is the U-Store-It Portfolio Loan ($80 million -- 4.6% of the pool), which is secured by a portfolio of 29 self-storage properties located in 14 states. Facility sizes range from 246 units to 1,014 units and total 16,318 SF. Performance has been stable. The loan is interest only for its entire term. Moody's LTV and stressed DSCR are 98% and 1.05X, respectively, the same as at last review. The third largest loan is Hilltop Mall Loan ($64.4 million -- 3.7% of the pool), which is secured by a 1.1 million SF regional mall (564,410 SF of collateral) located in Richmond, California. The loan has been on the watchlist since June 2010 due to low occupancy. The collateral's largest tenants are Walmart (34% of the net rentable area (NRA); lease expiration January 2022) and 24 Hour Fitness (7% of the NRA, lease expiration January 2016). The center is also anchored by Macy's, JC Penny and Sears, which are not part of the collateral. The loan sponsor is Simon Property Group Inc. As of December 2010, the property's inline occupancy was 55%. Moody's believes that there is a high likelihood of default due to the property's decline in performance and near term maturity loan maturity of July 2012. Moody's LTV and stressed DSCR are 133% and 0.75X, respectively, compared to 132% and 0.76X at last review. MORGAN STANLEY: Moody's Reviews Five CMBS Classes of MSDWC 2002-HQ ------------------------------------------------------------------ Moody's Investors Service placed five classes of Morgan Stanley Dean Witter Capital Inc., Commercial Mortgage Pass-Through Certificates, Series 2002-HQ on review for possible downgrade: -- Cl. H, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on May 14, 2008 Upgraded to Baa1 (sf) -- Cl. J, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on May 14, 2008 Upgraded to Baa3 (sf) -- Cl. K, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 19, 2005 Upgraded to Ba2 (sf) -- Cl. L, B3 (sf) Placed Under Review for Possible Downgrade; previously on Nov 18, 2010 Downgraded to B3 (sf) -- Cl. M, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Nov 18, 2010 Downgraded to Caa3 (sf) The classes were placed on review due to the expectation of increased interest shortfalls beginning with the May 2011 remittance statement. The pool contains one specially service loan, Southwick Office Building 1 ($4.4 million -- 1.2%), which is real estate owned (REO). The master servicer, Berkadia Commercial Mortgage, LLC, has declared this loan as non-recoverable and informed Moody's that it will be recouping approximately $140,000 in previous advances on this loan during the next two months, causing an increase in interest shortfalls. Based on the most recent remittance statement, interest shortfalls total $602,200 and affect Classes O through L. 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 November 18, 2010. Please see ratings tab on the issuer/entity page on Moodys.com for the last rating action and the rating history. Deal And Performance Summary As of the April 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 57% to $364.8 million from $845.9 million at securitization. The Certificates are collateralized by 43 mortgage loans ranging in size from less than 1% to 32% of the pool, with the top ten loans representing 62% of the pool. Eight loans, representing 16% of the pool, have defeased and are collateralized with U.S. Government securities. Fourteen 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 (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. Six loans have been liquidated from the pool, resulting in an aggregate realized loss of $6.7 million (15% loss severity), which is essentially the same at last review. The only loan in special servicing is the Southwick Office Building 1 Loan. Moody's review will focus on potential losses from specially serviced and troubled loans and the performance of the overall pool, as well as the affect of interest shortfalls on the rated bonds. NEWCASTLE CDO VI: Fitch Affirms 5 Classes of Notes at 'Csf' ----------------------------------------------------------- Fitch Ratings has downgraded two and affirmed five classes issued by Newcastle CDO VI, Limited (Newcastle VI) as a result of significant negative credit migration on the underlying collateral. Since Fitch's last rating action in June 2010, approximately 31.5% of the portfolio has been downgraded. Currently, 64% of the portfolio has a Fitch derived rating below investment grade and 32.1% has a rating in the 'CCC' rating category or lower, compared to 68.1% and 25.9%, respectively, at last review. As of the April 18, 2011 trustee report, 25.4% is considered default per the transaction documents, compared to 22.1% at last review. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in Corporate CDOs'. Based on this analysis, the class I-MM notes' breakeven rates are generally consistent with the rating assigned. For the class I-B through IV notes, Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class I-B notes have been downgraded and the class II through IV notes have been affirmed at 'Csf', indicating that default is inevitable. On the April 26, 2011 payment date, the class II through IV notes received interest paid in kind (PIK) whereby the principal amount of the notes is written up by the amount of interest due. The class I-MM notes are money market notes that are remarketed from time to time by the remarketing agent, Banc of America Securities LLC ('A+/F1+' on Rating Watch Negative) and are supported by the put agreement provided by Bank of America N.A. On March 3, 2009, Bank of America exercised its option to terminate the put agreement in its entirety. Fitch is therefore withdrawing the short-term rating on the I-MM classes, while maintaining the long-term rating. Newcastle CDO VI closed on April 19, 2005. Currently, the portfolio is composed of 43.7% commercial mortgage-backed securities (CMBS) from the 2001 through 2007 vintages, 21.6% residential mortgage backed securities (RMBS) from the 2004 through 2009 vintages, 19.3% real estate investment trust (REIT) debt, and 15.4% commercial real estate loans (CREL). Fitch has taken these actions: -- $226,488,833 class I-MM notes long-term rating downgraded to 'CCCsf' from 'Bsf/LS3'; short-term rating of 'Bsf' withdrawn; -- $59,000,000 class I-B notes downgraded to 'Csf' from 'CCsf'; -- $33,496,933 class II notes affirmed at 'Csf'; -- $15,364,410 class III-FL notes affirmed at 'Csf'; -- $5,652,182 class III-FX notes affirmed at 'Csf'; -- $10,029,351 class IV-FL notes affirmed at 'Csf'; -- $2,764,856 class IV-FX notes affirmed at 'Csf'. NEWCASTLE CDO VII: Fitch Affirms 5 Classes of Notes at 'Csf' ------------------------------------------------------------ Fitch Ratings has downgraded two and affirmed five classes issued by Newcastle CDO VII, Limited/Corp. (Newcastle VII) as a result of significant negative credit migration on the underlying collateral. Since Fitch's last rating action in June 2010, approximately 59.5% of the portfolio has been downgraded. Currently, 81.2% of the portfolio has a Fitch derived rating below investment grade and 57.2% has a rating in the 'CCC' rating category or lower, compared to 79% and 35.7%, respectively, at last review. As of the April 18, 2011 trustee report, 53.1% is considered in default per the transaction documents, compared to 22.6% at last review. This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Structured Finance CDOs'. However, given the portfolio's distressed nature, Fitch believes that the probability of default for all classes of notes can be evaluated without factoring in potential further losses from the non-defaulted portion of the portfolio. Therefore, this transaction was not modeled using the Structured Finance Portfolio Credit Model (SF PCM). On Dec. 3, 2009, the trustee notified noteholders of an event of default (EOD) due to the Class I Par Value Ratio falling below the 103% threshold. On April 21, 2011, the holders of the majority of the controlling class directed to accelerate the notes. In addition, the holders of at least 66 2/3% Aggregate Outstanding Amount of each class of notes directed to sell and liquidate the collateral. On the April 26, 2011 payment date, the class II notes did not receive their full and timely accrued interest. The class II notes are a non-deferrable class and have been downgraded, due to default in the payment of their accrued interest. For all classes, the credit enhancement levels were compared to the percent of distressed collateral, defaulted or imminently defaulting (53.1%). The class I-A notes are currently receiving interest; however, based on the April 18, 2011 trustee report, the entire amount of interest due was paid using principal proceeds, given insufficient interest due to a significant hedge payment; this trend is likely to continue as the hedge notional is not set to amortize until September 2011. As such, the class I-A notes have been downgraded to 'Csf', indicating that default is inevitable. For class I-B and classes III through V, Fitch does not expect full recoveries given the amount of defaulted collateral in the portfolio. Class I-B is receiving current interest; however, the interest is being paid entirely through principal proceeds. Further, classes III through V are receiving interest paid in kind (PIK) whereby the principal amount of the notes is written up by the amount of interest due. Newcastle VII closed in Dec. 20, 2005. Currently, the portfolio is composed of 68.2% commercial mortgage backed securities (CMBS) from the 2004 through 2007 vintages, 16% residential mortgage backed securities (RMBS) from the 2004 through 2007 vintages, 15.1% real estate investment trust (REIT) debt, 0.2% commercial asset backed securities (ABS), and 0.5% commercial real estate loans (CREL). Fitch has taken these actions: -- $319,682,655 class I-A floating-rate notes downgraded to 'Csf' from 'CCsf'; -- $21,800,000 class I-B floating-rate notes affirmed at 'Csf'; -- $53,000,000 class II floating-rate notes downgraded to 'Dsf' from 'Csf'; -- $28,806,094 class III deferrable floating-rate notes affirmed at 'Csf'; -- $21,362,892 class IV-FL deferrable floating-rate notes affirmed at 'Csf'; -- $7,131,995 class IV-FX deferrable floating-rate notes affirmed at 'Csf'; -- $19,129,489 class V deferrable floating-rate notes affirmed at 'Csf'. NEWTON CDO: Moody's Upgrades CBO notes Ratings ---------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by Newton CDO Ltd.: -- US$243,500,000 Class A-1 Floating Rate Senior Notes Due 2014 (current outstanding balance of $41,858,724.95), Upgraded to Baa1 (sf); previously on May 13, 2009 Downgraded to B1 (sf); -- US$27,000,000 Class A-2 Fixed Rate Senior Notes Due 2014 (current outstanding balance of $4,641,419.19), Upgraded to Baa1 (sf); previously on May 13, 2009 Downgraded to B1 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from the delevering of the Class A Notes, which have been paid down by approximately 75% or $140.8 million since the rating action in May 2009. As a result of the delevering, the overcollateralization ratio has increased since the rating action in May 2009. As of the latest trustee report dated April 10, 2011, the Class A overcollateralization ratio is reported at 129.42% versus the April 2009 level of 106.73%. Moody's also notes that the deal has benefited from improvement in the credit quality of the underlying portfolio since the rating action in May 2009. Based on the April 2011 trustee report, the weighted average rating factor is 2303 compared to 3523 in April 2009. The deal also experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to about $6 million from approximately $16.8 million in April 2009. In addition, the rating on Class A-1 Notes reflects the actual underlying rating of the Class A-1 Notes. This underlying rating is based solely on the intrinsic credit quality of the Class A-1 Notes in the absence of the guarantee from Syncora Guarantee Inc., previously known as XL Capital Assurance Inc. The above action is a result of, and is consistent with, Moody's modified approach to rating structured finance securities wrapped by financial guarantors as described in the press release dated November 10, 2008, titled "Moody's modifies approach to rating structured finance securities wrapped by financial guarantors." 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 $60.6 million, defaulted par of $6 million, a weighted average default probability of 11.49% (implying a WARF of 2857), a weighted average recovery rate upon default of 25.11%, and a diversity score of 14. 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 CBO 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. Newton CDO Ltd., issued in March 2002, is a collateralized bond obligation backed primarily by a portfolio of senior unsecured bonds. The principal methodology used in this rating was the "Moody's Approach to Rating Collateralized Loan Obligations" published in August 2009. This publication incorporates rating criteria that apply to both collateralized loan obligations and collateralized bond obligations. 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, 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, 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, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2286) -- Class A-1: +2 -- Class A-2: +2 Moody's Adjusted WARF + 20% (3428) -- Class A-1: -1 -- Class A-2: -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, 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1. Delevering: The main source of uncertainty in this transaction is whether delevering from unscheduled principal proceeds will continue and at what pace. Delevering may accelerate due to high prepayment levels in the bond market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2. Long-dated assets: The presence of assets that mature beyond the CBO'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. Lack of portfolio granularity: The performance of the portfolio depends to a large extent on the credit conditions of a few large obligors, especially when they experience jump to default. Due to the deal's low diversity score and lack of granularity, Moody's supplemented its typical Binomial Expansion Technique analysis with a simulated default distribution using Moody's CDOROMTM software and/or individual scenario analysis. NORTH TEXAS: Moody's Corrects Rating History; Withdraws Ratings --------------------------------------------------------------- Moody's Investors Ratings corrects the rating history and withdraws the ratings on eleven notes from two North Texas Higher Education Authority's bonds. Moody's has published a press release that clarifies and corrects the press release issued on April 28, 2011 titled, "Moody's corrects rating history and withdraws the ratings for eight notes from two North Texas Higher Education Authority's bonds". In that press release, the rating histories for some of the affected bonds were not correct. Moody's is correcting the rating history of six variable rate demand obligation (VRDO) bonds issued by the North Texas Higher Education Authority, Inc. (1991-1 Indenture) and five VRDO bonds issued by the North Texas Higher Education Authority, Inc. (1991-2 Indenture). When the ratings on these 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 website. The correct long-term rating history for the North Texas Higher Education Authority, Inc. (1991-1 Indenture) 1991C Due 4/20-2 (Bank Bond), Ser. 1996A (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 -- 2/24/2011 Rating B3 Withdrawn The correct short-term rating history for the North Texas Higher Education Authority, Inc. (1991-1 Indenture) 1996-A is: -- 3/26/1996 Rating Assigned: VMIG 1 -- 11/17/2008 Rating Downgraded to S.G. from VMIG 1 -- 2/24/2011 Rating S.G. Withdrawn The correct long-term rating history for the North Texas Higher Education Authority, Inc. (1991-1 Indenture) 1996-A is: -- 3/26/1996 Rating Assigned: Aaa -- 1/16/2008 Rating Aaa On Watch for Possible Downgrade -- 3/12/2008 Rating Aaa Confirmed -- 6/4/2008 Rating Aaa On Watch for Possible Downgrade -- 6/19/2008 Rating Downgraded to Aa3 from Aaa -- 9/18/2008 Rating Aa3 On Watch for Possible Downgrade -- 11/17/2008 Rating Aa3 On Watch Continued 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 Baa1 Downgraded to Ba3 -- 7/29/2009 Rating Downgraded to B3 from Ba3 -- 2/24/2011 Rating B3 Withdrawn The correct long-term 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 -- 2/24/2011 Rating Caa1 Withdrawn The correct long-term rating history for the North Texas Higher Education Authority, Inc. (1991-2 Indenture) 1991F Due 4/20 is: -- 4/30/1991 Rating Assigned: Aaa -- 1/16/2008 Rating Aaa On Watch for Possible Downgrade -- 3/12/2008 Rating Aaa Confirmed -- 6/4/2008 Rating Aaa On Watch for Possible Downgrade -- 6/19/2008 Rating Downgraded to Aa3 from Aaa -- 9/18/2008 Rating Aa3 On Watch for Possible Downgrade -- 11/17/2008 Rating Aa3 On Watch Continued 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 Baa1 Downgraded to Ba3 -- 7/29/2009 Rating Downgraded to Caa1 from Ba3 -- 2/24/2011 Rating Caa1 Withdrawn The correct long-term rating history for the North Texas Higher Education Authority, Inc. (1991-2 Indenture) Ser. 1996C (Bank Bond) is: -- 12/29/2008 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 -- 2/24/2011 Rating Caa1 Withdrawn The correct short-term rating history for the North Texas Higher Education Authority, Inc. (1991-2 Indenture) 1996-C is: -- 3/26/1996 Rating Assigned: VMIG 1 -- 11/17/2008 Rating Downgraded to S.G. from VMIG 1 -- 2/24/2011 Rating S.G. Withdrawn The correct long-term rating history for the North Texas Higher Education Authority, Inc. (1991-2 Indenture) 1996-C is: -- 3/26/1996 Rating Assigned: Aaa -- 1/16/2008 Rating Aaa On Watch for Possible Downgrade -- 3/12/2008 Rating Aaa Confirmed -- 6/4/2008 Rating Aaa On Watch for Possible Downgrade -- 6/19/2008 Rating Downgraded to Aa3 from Aaa -- 9/18/2008 Rating Aa3 On Watch for Possible Downgrade -- 11/17/2008 Rating Aa3 On Watch Continued 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 Baa1 Downgraded to Ba3 -- 7/29/2009 Rating Downgraded to Caa1 from Ba3 -- 2/24/2011 Rating Caa1 Withdrawn PALOMAR POMERADO: Fitch Downgrades L-T Rating to 'BB' ------------------------------------------------------ Fitch Ratings downgrades to 'BB' from 'BBB-' and simultaneously withdraws the long-term rating on series 1999 Certificates of Participation issued by the Palomar Pomerado Health System (a California Local Health Care District) on behalf of Indian Health Council, Inc. The rating downgrade reflects lack of compliance with certain covenants articulated in a memorandum of understanding (MOU) between the Indian Health Council, the trustee, the USDA, and the Indian Health Service. Since the initial rating, the MOU has been the primary rating driver as it put in place an intercept mechanism that distributed to the trustee, on a monthly basis, Indian Health Service funds that, in aggregate, were sufficient to make annual debt service payments on the certificates. Fitch has recently become aware that this mechanism is no longer being adhered to. The rating withdrawal is based on the lack of receipt of timely and relevant information sufficient to maintain an accurate rating. PUTNAM STRUCTURED PRODUCT: Fitch Affirms 7 Classes --------------------------------------------------- Fitch Ratings has affirmed seven classes and withdrawn the short- term ratings on two classes of notes issued by Putnam Structured Product CDO 2001-1, Ltd. (Putnam 2001-1). The rating actions are: -- $23,076,223 class A-1MM-a notes affirmed at 'A+sf/LS3'; Outlook Stable; short-term rating to 'WD' from 'F1'; -- $20,603,770 class A-1MM-b notes affirmed at 'A+sf/LS3'; Outlook Stable; short-term rating to 'WD' from 'F1'; -- $43,267,917 class A-1SS notes affirmed at 'A+sf/LS3'; Outlook Stable; -- $33,708,716 class A-2 notes affirmed at 'BBsf'; LS revised to 'LS3' from 'LS4'; Outlook Stable; -- $24,000,000 class B notes affirmed at 'CCsf'; -- $8,594,801 class C-1 notes affirmed at 'Csf'; -- $9,613,686 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-1MM-a, A-1MM-b, A-1SS (together, class A-1) and class A-2 notes. Breakeven levels for the class B and class C-1 and C-2 (together, class C) notes indicated ratings below SF PCM's 'CCC' default level, the lowest level of defaults projected by SF PCM. For these classes, Fitch compared the class's respective credit enhancement (CE) levels to expected losses from the distressed and defaulted assets in the portfolio (rated 'CCsf' or lower). This comparison indicates that default continues to appear probable for the class B notes and inevitable for the class C notes at or prior to maturity. The class B notes continue to receive timely interest distributions and the class C notes continue to pay in kind. The current interest rate swap counterparty, AIG Financial Products Corp. (AIG), does not meet Fitch's counterparty criteria, titled 'Counterparty Criteria for Structured Finance Transactions'. In its analysis, Fitch considered the impact of a hypothetical default by the counterparty as one of the scenarios. Given that the interest rate swap is out of the money, the scenario assumed that the swap will not be terminated by the issuer and instead the CDO will continue to pay its leg of the swap but not receive payment from the counterparty until the swap expiration in August 2013. The results in this scenario indicated that all notes have sufficient credit enhancement levels to endure the hypothetical counterparty default under the relevant rating stresses. The affirmation of the class A-1 and A-2 notes reflects the deleveraging of the structure offset by the negative migration of the collateral. All principal amortizations and excess interest proceeds have been used to redeem the class A-1 notes' balance due to the failing class A/B overcollateralization test. Since Fitch's last review in May 2010, the class A-1 notes have received $26.9 million of principal repayments or 23.6% of the notes balance at last review. The Outlook for the class A-1 and class A-2 notes will remain Stable to reflect Fitch's view that the notes have sufficient enhancement levels to offset potential further deterioration of the underlying portfolio over the next one to two years. Fitch does not assign outlooks to tranches rated 'CCC' or below. The short-term rating of the class A-1MM-a and A-1MM-b notes are dependent on the short-term rating of the put provider, AIG, and are withdrawn following the withdrawal of the short-term rating of AIG by Fitch. The Loss Severity (LS) rating of 'LS3' for the class A-1 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. Since the last review, the credit quality of the collateral has remained relatively stable with approximately 23.1% of the portfolio downgraded a weighted average of 2.1 notches and 7.4% of the portfolio upgrade a weighted average of 1.7 notches. Approximately 27% of the portfolio has a Fitch derived rating below investment grade and 12.5% has a rating in the 'CCC+' rating category or lower, compared to 28% and 13.6% respectively, at last review. Putnam 2001-1 is a cash flow structured finance collateralized debt obligation (SF CDO) that closed on Nov. 30, 2001. The portfolio is monitored by Putnam Advisory Company, LLC and is compromised of 32.3% commercial and residential real estate investment trusts, 22.6% residential mortgage-backed securities, 17.7% corporate bonds, 14.7% commercial mortgage-backed securities, 5.2% SF CDOs, 4% commercial and consumer asset-backed securities, and 3.5% corporate CDOs from 1995 through 2006 vintage transactions. RESIX FINANCE: Moody's Downgrades $87.1 Mil. Synthetic Jumbo RMBS ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 12 tranches from three synthetic jumbo deals issued by RESIX. The reference portfolios of these transactions consist primarily of first-lien, fixed-rate and adjustable-rate prime Jumbo residential mortgages purchased from various originators. Ratings Rationale The credit-linked notes issued by RESIX replicate the cash flow of select subordinate tranches issued by synthetic RMBS deals RESI 2003-C, RESI 2003-D, and RESI 2004-A. RESI deals are synthetic transactions that provide the owner of a sizable pool of mortgages (the "Protection Buyer") 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. 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, 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 loss expectations of the reference pools. 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. To assess ratings sensitivities, Moody's ran a 10% higher projected loss on the reference pool of mortgages backing the RESI deals and found that the ratings on the issued RESIX bonds do not change as a result. 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 these transactions and the due diligence reports had a neutral impact on the ratings. Complete rating actions are: Issuer: Resix Finance Limited Credit-Linked Notes, Series 2003- C -- Cl. B7, Downgraded to Ca (sf); previously on Dec 16, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade -- Cl. B8, Downgraded to C (sf); previously on Dec 16, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade -- Cl. B9, Downgraded to C (sf); previously on Dec 16, 2010 B2 (sf) Placed Under Review for Possible Downgrade -- Cl. B10, Downgraded to C (sf); previously on Dec 16, 2010 B3 (sf) Placed Under Review for Possible Downgrade Issuer: RESIX Finance Limited Credit-Linked Notes, Series 2003-D -- 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: Resix Finance Limited Credit-Linked Notes, Series 2004-A -- 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 SALOMON BROTHERS: Moody's Downgrades 1 and Affirms 8 CMBS Classes ----------------------------------------------------------------- Moody's Investors Service (Moody's) downgraded the rating of one class and affirmed eight classes of Salomon Brothers Commercial Mortgage Trust 2000-C3, Commercial Mortgage Pass-Through Certificates, Series 2000-C3: -- Cl. X, Affirmed at Aaa (sf); previously on Dec 19, 2000 Definitive Rating Assigned Aaa (sf) -- Cl. D, Affirmed at Aaa (sf); previously on Sep 16, 2010 Upgraded to Aaa (sf) -- Cl. E, Affirmed at Aa1 (sf); previously on Sep 16, 2010 Upgraded to Aa1 (sf) -- Cl. F, Affirmed at A3 (sf); previously on Sep 16, 2010 Confirmed at A3 (sf) -- Cl. G, Downgraded to B1 (sf); previously on Sep 16, 2010 Downgraded to Ba1 (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 Aug 12, 2010 Downgraded to C (sf) -- Cl. M, Affirmed at C (sf); previously on Aug 12, 2010 Downgraded to C (sf) Ratings Rationale The downgrade is 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 is $42.3 million or 43.6% of the current balance. At last full review, Moody's cumulative base expected loss was $34.8 million or 12.9% of the previous outstanding balance. Moody's stressed scenario loss is 44.6% 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 rating SBM7 2000-C3 was "CMBS: Moody's Approach to Rating U.S. Conduit Transactions" published in September 2000. Moody's also considered "CMBS: Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 2000 in analyzing the transaction. 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 7 compared to 13 at Moody's prior full review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.0 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (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 6 months. Deal Performance As of the April 18, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 89% to $97.1 million from $914.7 million at securitization. The Certificates are collateralized by 20 mortgage loans ranging in size from less than 1% to 21% of the pool, with the top ten loans representing 94% of the pool. One loan, representing 0.7% of the pool, has defeased and is collateralized with a U.S. Government security, compared to 36.8% at last review. Three 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. Thirty-three loans have been liquidated from the pool since securitization, resulting in an aggregate $24.7 million loss (18% loss severity on average). Currently eight loans, representing 77% of the pool, are in special servicing. The largest specially serviced loan is the Jorie Plaza Loan ($20.4 million -- 21% of the pool), which is secured by two office buildings located in Oak Brook, Illinois. The loan was transferred to special servicing in September 2008 due to imminent default and is currently real estate owned (REO). The second largest specially serviced loan is the Westland Meadows Loan ($20.1 million -- 20.7% of the pool), which is secured by a manufactured housing property located in Westland, Michigan. The loan was transferred to special servicing in August 2009 due to imminent default and is in the process of foreclosure. The third largest specially serviced loan is the Granite State Marketplace Loan ($16.3 million total -- 16.8% of the pool), which is secured by a grocery anchored retail property located in Hooksett, New Hampshire. The loan was transferred into special servicing in September 2008 due to maturity default. The loan has been modified into a $13 million A note and $3.3 million B note. The loan has been performing under the modification. The remaining four specially serviced loans are secured by a mix of retail, office, and industrial properties. The master servicer has recognized an aggregate $38.1 million appraisal reduction for the specially serviced loans. Moody's has estimated an aggregate loss of $41.7 million (55.9% expected loss on average) for all of 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 $193,000 loss (15% expected loss based on a 50% probability default) from this troubled loan. Based on the most recent remittance statement, Classes H through P have experienced cumulative interest shortfalls totaling $4.0 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), extraordinary trust expenses and non-advancing by the master servicer based on a determination of non- recoverability. Moody's was provided with full year 2009 and full and partial year 2010 operating results for 79% and 72% of the performing pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 77% compared to 82% 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 10%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCR are 1.21X and 1.68X, respectively, compared to 1.00X and 1.41X 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 top performing conduit loan is the Seatac Village Shopping Center Loan ($13.7 million -- 14.1% of the pool), which is secured by a 164,326 square foot retail center located in in suburban Seattle, Washington. Major tenants include T.J. Maxx, DSW, and Big 5 Sporting Goods. The center was 72% leased as of September 2010, the same as last review. Linens N Things, which leased 20% of the net rentable area (NRA) at securitization, vacated in 2008. The loan had an anticipated payment date (ARD) of September 1, 2009. Moody's LTV and stressed DSCR are 94% and 1.16X, respectively, compared to 91% and 1.19X at last full review. SANTANDER DRIVE: S&P Gives 'BB' Rating on Class E Notes ------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Santander Drive Auto Receivables Trust 2011-S2's $545.52 million automobile receivables-backed notes series 2011-S2. The preliminary ratings are based on information as of May 17, 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 availability of approximately 46.5%, 38.7%, 31.1%, and 25.6% credit support (based on stressed cash flow scenarios), including excess spread, for the class B, C, D, and E notes. "These credit support levels provide coverage of more than 2.30x, 1.85x, 1.50x, and 1.25x our expected net loss range of 18.50%-19.50% (of the outstanding collateral balance) for the class B, C, D, and E notes, and are commensurate with the assigned preliminary ratings," S&P stated. * The soft linking of the ratings to the rating on Santander Consumer USA Inc. (SC USA; A/Stable/A-1) and capping the rating on the class B notes to 'AA' while the SDART 2010-A notes are outstanding. Upon an event of default in the underlying transaction (Santander Drive Auto Receivables Trust 2010-A [SDART 2010-A]), including breaches of representations, warranties, and covenants, the underlying pool can be sold with the approval of 100% of SDART 2010-A noteholders. As a result, the SDART 2011-S2 noteholders have no liquidation voting rights until the SDART 2010-A notes are repaid. Accordingly, for this transaction, the notes rely on the performance of Santander Consumer USA under the transaction documents as a mitigant to the sale of the portfolio for less than par, after an event of default and acceleration, rather than relying on the typical liquidation voting rights granted to subordinated noteholders under transaction documents. "Although we believe that the risk of breaching a nonmonetary event of default is minimal given the 'A' rating of the servicer and its performance track record to date, we believe that capping the rating on the class B notes to 'AA' while the SDART 2010-A notes are outstanding, and soft- linking the preliminary ratings on the 2011-S2 notes to the rating on SC USA (A/Stable/A-1)in the event that SC USA is downgraded, properly reflects the subordinated position of the class B notes relative to the senior SDART 2010-A notes, and the lack of liquidation voting rights granted to the notes being offered in this transaction," S&P explained. * The credit enhancement in the form of subordination, overcollateralization, a reserve fund, and excess spread. * The timely interest and principal payments made under stressed cash flow modeling scenarios, which are consistent with the assigned 'AA (sf)','A (sf)', 'BBB (sf)', and 'BB (sf)' preliminary ratings. The stressed cash flow scenarios include a breach of the level I and/or level II triggers in the SDART 2010-A underlying transaction. In this scenario, receivables collections that flow from SDART 2010-A to SDART 2011-S2 are temporarily disrupted. Nonetheless, timely interest would continue to be paid to class B, C, D, and E noteholders due to the dedicated liquidity reserve account, which was sized to cover 24 months of fees and interest on the subordinated notes. * "The rating on the class B notes remaining within one category, and those on the class C, D, and E notes remaining within two categories, of the assigned preliminary ratings under a moderate stress scenario of 1.5x our expected loss level. This is within the outer boundaries for credit deterioration during the first year as outlined in Standard & Poor's rating stability criteria," according to S&P * The underlying receivables' high degree of seasoning (26 months comprising 18 months as of SDART 2010-A's closing plus an additional eight months of securitization performance). * The transaction's legal structure. * SC USA's 10-year history of originating, underwriting, servicing, and securitizing subprime auto loans. Preliminary Ratings Assigned Santander Drive Auto Receivables Trust 2011-S2 Class Rating Amount (mil. $) B AA (sf) 131.42 C A (sf) 128.94 D BBB (sf) 161.18 E BB (sf) 123.98 SATURNS SEARS: Moody's Reviews Rating of Units for Downgrade ------------------------------------------------------------ Moody's Investors Service has placed on review for downgrade the rating of these units issued by SATURNS Sears Roebuck Acceptance Corp. Debenture Backed Series 2003-1: -- $60,191,699 of 7.25% Callable Units due June 1, 2032; Ba3, Placed Under Review for Possible Downgrade; Previously on April 23, 2009 Downgraded to Ba3 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 the 7.00% Sears Roebuck Acceptance Corp. debentures due June 1, 2032, which were placed on review for downgrade by Moody's on May 11, 2011. The principal methodology used in this rating was Moody's Approach to Rating Repackaged Securities published in April 2010. SHASTA CLO: Moody's Upgrades Ratings of Notes --------------------------------------------- Moody's Investors Service has upgraded the ratings of these notes issued by Shasta CLO I Ltd.: -- US$296,000,000 Class A-1L Floating Rate Notes Due April 2021 (current balance of $286,570,908), Upgraded to Aa1 (sf); previously on August 10, 2009 Downgraded to Aa2 (sf); -- US$45,000,000 Class A-1LV Floating Rate Revolving Notes Due April 2021 (current balance of $43,566,523), Upgraded to Aa1 (sf); previously on August 10, 2009 Downgraded to Aa2 (sf); -- US$38,000,000 Class A-2L Floating Rate Notes Due April 2021, Upgraded to A1 (sf); previously on August 10, 2009 Downgraded to A3 (sf); -- US$26,000,000 Class A-3L Floating Rate Notes Due April 2021, Upgraded to Baa2 (sf); previously on August 10, 2009 Confirmed at Ba1 (sf); -- US$18,000,000 Class B-1L Floating Rate Notes Due April 2021, Upgraded to Ba2 (sf); previously on August 10, 2009 Downgraded to B2 (sf); -- US$18,000,000 Class B-2L Floating Rate Notes Due April 2021, Upgraded to B3 (sf); previously on August 10, 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 increase in the overcollateralization ratios of the rated notes since the rating action in August 2009. 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 2428 compared to 2934 in July 2009, and securities rated Caa1 and below make up approximately 5.2% of the underlying portfolio versus 14.2% in July 2009. The deal also experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to $3.4 million from approximately $41 million in July 2009. Moody's also notes that the overcollateralization ratios of the rated notes have improved primarily due to higher than previously anticipated recoveries realized on defaulted securities as a result of restructuring of defaulted securities. As of the latest trustee report dated April 2011, the Senior Class A, Class A, Class B-1L and Class B-2L overcollateralization ratios are reported at 123.38%, 115.24%, 110.2%, and 105.59%, respectively, versus July 2009 levels of 118.17%, 110.5%, 105.76%, and 100.33%, respectively, and all related overcollateralization tests are currently in compliance. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs," key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $447 million, defaulted par of $9 million, a weighted average default probability of 25.2% (implying a WARF of 3250), a weighted average recovery rate upon default of 42.8%, and a diversity score of 59. These default and recovery properties of the collateral pool are incorporated in Moody's cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Shasta CLO I Ltd. issued on January 24, 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. In addition to the base case analysis, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. A summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, whereby a positive difference corresponds to lower expected losses), assuming that all other factors are held equal: Moody's Adjusted WARF - 20% (2600) -- Class A-1L: +1 -- Class A-1LV: +1 -- Class A-2L: +2 -- Class A-3L: +2 -- Class B-1L: +2 -- Class B-2L: +3 Moody's Adjusted WARF + 20% (3900) -- Class A-1L: -1 -- Class A-1LV: -1 -- Class A-2L: -2 -- Class A-3L: -1 -- Class B-1L: -2 -- Class B-2L: -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) 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 worse 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 levels higher than the covenant levels due to the large difference between the reported and covenant levels. SOVEREIGN COMMERCIAL: Fitch Downgrades Seven Classes ----------------------------------------------------- Fitch Ratings has downgraded seven classes of Sovereign Commercial Mortgage Securities Trust's commercial mortgage pass-through certificates, series 2007-C1. 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. The total Fitch modeled losses were 6% of the current pool. The loans in this transaction do not have the same features as a typical commercial mortgage conduit loans originated for securitization. Additionally, the loans lack some of the typical structural features and reporting requirements seen in CMBS transactions. Therefore, Fitch applied additional stresses, including adjustments of operating income and cap rates. As of the April 2011 distribution date, the pool's aggregate principal balance has decreased 36.8% to $640.6 million from $1.01 billion at issuance. As of April 2011, there are cumulative interest shortfalls in the amount of $686.156 affecting classes J through N. In total, there are six loans (3% of the pool) in special servicing as of the April 2011 remittance date, with one additional loan (0.5%) that has since transferred. At Fitch's last review, there were seven loans (4.3%) in special servicing. The two largest contributors of expected losses are a two-property retail portfolio located in Scarsdale, NY (1.7% of the pool balance) and an office property located in Princeton, NJ (1.3% of the pool). Fitch modeled losses are based on actual performance or expected changes in performance. Fitch has downgraded and assigned Recovery Ratings (RR) to these classes: -- $20.3 million class D to 'CCCsf/RR1' from 'B-sf/LS4'; -- $10.1 million class E to 'CCCsf/RR1' from 'B-sf/LS5'; -- $7.6 million class F to 'CCsf/RR1' from 'CCCsf/RR1'; -- $2.5 million class G to 'Csf/RR2' from 'CCCsf/RR1'; -- $2.5 million class H to 'Dsf/RR6' from 'CCsf/RR6'. These classes have been downgraded due to the classes being fully depleted: -- $3.8 million class J to 'Dsf/RR6' from 'Csf/RR6'; -- $2.5 million class K to 'Dsf/RR6' from 'Csf/RR6'. Class L and Class M are fully depleted and remain at 'Dsf/RR6'. Fitch also affirms these classes and revises the Loss Severity (LS) ratings: -- $252.3 million class A-1A at 'AAA/LS1'; Outlook Stable; -- $207.5 million class A-2 at 'AAA/LS1'; Outlook Stable; -- $105.2 million class A-J at 'BBB-sf/LS3'; Outlook to Stable from Negative; -- $15.2 million class B at 'BBsf/LS5'; Outlook to Stable from Negative; -- $17.7 million class C at 'Bsf/LS5'; Outlook Negative. The non-rated class N is fully depleted. Class A-1 is paid in full. Fitch withdraws the ratings on the interest-only class X. SYMPHONY CLO: S&P Rates Class E Floating-Rate Notes 'BB' -------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Symphony CLO VII Ltd./Symphony CLO VII Inc.'s $487.0 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 16, 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 collateral manager's experienced management team. * "Our projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which we assessed using our cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.27% to 10.80%," S&P stated. * 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. * The transaction's reinvestment overcollateralization test, a failure of which will lead to the reclassification of excess interest proceeds that are available prior to paying uncapped administrative expenses and fees; subordinated hedge termination payments; collateral manager incentive fees; and subordinated note payments, to principal proceeds for the purchase of additional collateral assets during the reinvestment period. Preliminary Ratings Assigned Symphony CLO VII Ltd./Symphony CLO VII Inc. Class Rating Amount (mil. $) A AAA (sf) 334.0 B AA (sf) 56.5 C (deferrable) A (sf) 41.5 D (deferrable) BBB (sf) 27.5 E (deferrable) BB (sf) 27.5 F (deferrable) NR 22.0 Subordinated notes NR 44.0 NR -- Not rated TW HOTEL: Moody's Affirms 14 CMBS Classes of 2005-LUX ----------------------------------------------------- Moody's Investors Service affirmed the ratings of 14 pooled classes of TW Hotel Funding 2005, LLC, Commercial Mortgage Pass- Through Certificates, Series 2005-LUX. Moody's rating action: -- Cl. A1, Affirmed at Aaa (sf); previously on Jan 12, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. A2, Affirmed at Aaa (sf); previously on Jan 12, 2006 Definitive Rating Assigned Aaa (sf) -- Cl. B, Affirmed at Aa1 (sf); previously on Mar 19, 2009 Downgraded to Aa1 (sf) -- Cl. C, Affirmed at Aa2 (sf); previously on Mar 19, 2009 Downgraded to Aa2 (sf) -- Cl. D, Affirmed at Aa3 (sf); previously on Mar 19, 2009 Downgraded to Aa3 (sf) -- Cl. E, Affirmed at A1 (sf); previously on Mar 19, 2009 Downgraded to A1 (sf) -- Cl. F, Affirmed at A2 (sf); previously on Mar 19, 2009 Downgraded to A2 (sf) -- Cl. G, Affirmed at A3 (sf); previously on Mar 19, 2009 Downgraded to A3 (sf) -- Cl. H, Affirmed at Baa1 (sf); previously on Mar 19, 2009 Downgraded to Baa1 (sf) -- Cl. J, Affirmed at Baa2 (sf); previously on Mar 19, 2009 Downgraded to Baa2 (sf) -- Cl. K, Affirmed at Baa3 (sf); previously on Mar 19, 2009 Downgraded to Baa3 (sf) -- Cl. L, Affirmed at Ba1 (sf); previously on Mar 19, 2009 Downgraded to Ba1 (sf) -- Cl. M, Affirmed at Ba3 (sf); previously on Mar 19, 2009 Downgraded to Ba3 (sf) -- Cl. N, Affirmed at B1 (sf); previously on Mar 19, 2009 Downgraded to B1 (sf) Ratings Rationale The affirmations reflect the positive impact of lower leverage due to principal pay down of $10 million, the inherent value of the asset, strong sponsorship, and improving market fundamentals for luxury lodging properties 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 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 to $310 million from $320 million at last review and $425 million at securitization. The loan was transferred to special servicing on October 28, 2009 due to imminent default but remains current. Terms of loan modification and extension agreement included principal pay down of the trust debt by $25 million, pledge of additional collateral (Montecito Country Club located in Santa Barbara, CA) and a new loan maturity date of January 9, 2011, with a one year extension option. The remaining one year extension option was exercised with an additional principal pay down of $10 million in January 2011, extending the loan to January 2012. The principal repayment was made on pro rata basis within the trust. The transaction has a modified pro rata structure where payments are made on pro rata basis until the loan balance is reduced to 35% of the initial balance. There is a mezzanine loan of $155 million outside the trust. The Ty Warner Portfolio Loan ($310 million -- 100% of pooled balance) is secured by four luxury hotel properties totaling 686 guest rooms located in New York, California and Los Cabos, Mexico plus Montecito Country Club. The hotels include Four Seasons Hotel, New York; Four Seasons Resort - The Biltmore, Santa Barbara; Las Ventanas Al Paraiso, A Rosewood Resort, Los Cabos, Mexico; and San Ysidro Ranch, A Rosewood Resort, Santa Barbara, A Ty Warner Property. These luxury price segment hotels suffered dramatic declines in operating performance over the last two years. But as Moody's anticipated during last review, properties have showed improvement in net cash flow in 2010 and during the first two months of 2011. Moody's expects the current trend to continue in 2011 and 2012. Furthermore, each of the properties are market leaders in respective submarkets, and are considered irreplaceable. The hotels' net operating income (NOI) before replacement reserves for 2010 was $33.8 million, up from $18.4 million in 2009. All four properties showed significant increases in operating performance. Comparing NOI for the first two months of 2011 ($2.5 million) versus the first two months of 2010 ($61,000) highlights the dramatic turnaround the luxury segment of the lodging sector has undergone over the last two years. Moody's trust loan to value (LTV) ratio is 82% compared to 90% at last review. Moody's stressed debt service coverage ratio (DSCR) for the trust is at 0.83X compared to 0.58X at last review. Although the credit metrics have improved since last review due to principal pay down and increase in NCF, the current ratings reflect stabilized operating performance levels not yet achieved. As such, Moody's believes the pool warrants an affirmation at this time. The trust has not experienced any losses since securitization. There is an outstanding interest shortfall totaling $7,071 affecting the lowest rated class, Class N. UCAT 2005-1: Moody's Downgrades Class B-1-A Notes ------------------------------------------------- Moody's Investors Service has downgraded the rating of the Class B-1-A notes and confirmed the rating of the B-1-B notes issued by UCAT 2005-1, which is a resecuritization of certain pooled aircraft leased-backed notes. The complete ratings actions are: Issuer: UCAT 2005-1 -- Class B-1-A Notes maturing in July 2031, downgraded from Ba2 (sf) to B3 (sf); Previously placed Under Review for Possible Downgrade -- Class B-1-B Notes maturing in July 2031, confirmed Caa2 (sf); previously placed Under Review for Possible Downgrade Ratings Rationale The assets of the trust consist of $145 million face amount of Lease Investment Flight Trust (LIFT) Class A-1 and A-2 Notes (the underlying LIFT Notes). The rating action stems from the downgrade of the LIFT Class A-1 and A-2 Notes as a result of materially lower pay-down expectations for these underlying LIFT notes. Interest and principal payments on the underlying LIFT Notes are allocated to pay UCAT's Class A-1 Interest, Class A-1 principal, Class B-1-A principal and Class B-1-B principal, sequentially. Since interest payments on the underlying LIFT Notes are greater than interest payments on the UCAT Notes, excess spread is generated which is applied as principal on the UCAT Notes to create overcollateralization (OC). In addition to the excess spread, as of April 2010, the Class A-1 benefited from total subordination of 40% comprised of the Class B-1-A,B-1-B and OC, while Class B-1-A benefits from 18% subordination comprised of Class B-1-B and OC. The steep decline in interest rates in the past year or so has reduced the amount of interest paid on the underlying LIFT Notes, and therefore has reduced the excess spread that was available to pay down the UCAT Notes. This in turn, reduces the payment prospects, particularly for the Class B-1-A and B-1-B Notes due to their subordinate position in the waterfall. The analysis focused on the effective LTV for the UCAT notes based on the UCAT structure and the LTV of underlying Class A-1 and A-2 LIFT notes. In addition, Moody's also conducted cashflow analysis for the underlying LIFT transaction and the effect on UCAT Class B notes. Moody's notes that its review of UCAT Class A-1, which benefits from all cash flow until paid in full, indicates it to be adequately protected for its rating. The principal methodology used in this rating was "Moody's Approach to Pooled Aircraft-Backed Securitization" published in March 1999. Moody's Investors Service received and took into account third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a negative impact on the rating. WELLS FARGO: Fitch Issues Presale Report on WFRBS 2011-C3 --------------------------------------------------------- Fitch Ratings has issued a presale report on Wells Fargo Bank, N.A. WFRBS Commercial Mortgage Trust 2011-C3 commercial mortgage pass-through certificates: Fitch expects to rate the transaction and assign Loss Severity (LS) ratings and Outlooks: -- $102,839,000 class A-1 'AAAsf/LS1'; Outlook Stable; -- $313,090,000 class A-2 'AAAsf/LS1'; Outlook Stable; -- $225,499,000 class A-3 'AAAsf/LS1'; Outlook Stable; -- $556,955,000 class A-4 'AAAsf/LS1'; Outlook Stable; -- $1,198,383,000* class X-A 'AAAsf'; Outlook Stable; -- $41,573,000 class B 'AAsf/LS4'; Outlook Stable; -- $46,995,000 class C 'Asf/LS3'; Outlook Stable; -- $79,531,000 class D 'BBB-sf/LS3'; Outlook Stable; -- $21,690,000 class E 'BBsf/LS4'; Outlook Stable; -- $19,883,000 class F 'Bsf/LS4'; Outlook Stable. * Notional amount and interest only. The expected ratings are based on information provided by the issuer as of May 11, 2011. Fitch does not expect to rate the $247,630,393 interest-only class X-B, or the $37,958,393 class G. The certificates represent the beneficial ownership in the trust, primary assets of which are 73 loans secured by 144 commercial properties having an aggregate principal balance of approximately $1.45 billion as of the cutoff date. The loans were originated by Wells Fargo Bank, N.A., The Royal Bank of Scotland plc, C-III Commercial Mortgage LLC, Basis Real Estate Capital II, LLC, RCG LV Debt IV Non-REIT Assets Holdings, LLC, and RBS Financial Products Inc. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 66.8% of the properties by balance, cash flow analysis of 87.1% of the pool and asset summary reviews of 87.1% of the pool. The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 1.26 times (x), a Fitch stressed loan-to value (LTV) of 90.9%, and a Fitch debt yield of 10.3%. Fitch's aggregate net cash flow represents a variance of 6.4% to issuer cash flows. The Master Servicer and Special Servicer will be Wells Fargo and Midland Loan Services, Inc., rated 'CMS2-' and 'CSS1', respectively, by Fitch. ZAIS INVESTMENT: Moody's Upgrades Ratings of 5 Classes of Notes --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 5 classes of notes issued by ZAIS Investment Grade Limited X. The classes of notes affected by the rating actions are: -- US$13,500,000 Class S Senior Secured Floating Rate Notes Due 2015, Upgraded to Aa1 (sf); previously on September 9, 2009 Downgraded to Ba1 (sf); -- US$152,000,000 Class A-1a Senior Secured Floating Rate Notes Due 2057, Upgraded to B2 (sf); previously on September 9, 2009 Downgraded to Caa2 (sf); -- US$120,000,000 Class A-1b Senior Secured Floating Rate Notes Due 2057, Upgraded to B2 (sf); previously on September 9, 2009 Downgraded to Caa2 (sf); -- US$59,500,000 Class A-2 Senior Secured Floating Rate Notes Due 2057, Upgraded to Caa2 (sf); previously on September 9, 2009 Downgraded to Ca (sf); -- US$75,000,000 Class A-3 Senior Secured Floating Rate Notes Due 2057, Upgraded to Caa3 (sf); previously on September 9, 2009 Downgraded to Ca (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes result primarily from the improvement in the credit quality of the portfolio. The deal has benefited from improvement in the credit quality of the underlying portfolio since the last rating action in September 2009. Based on the March 2011 trustee report, the weighted average rating factor is 2789 compared to 3583 in the July 2009 report. The transaction also experienced a decrease in the number of defaults. In particular, the dollar amount of securities in default has decreased to about $107 million from approximately $162 million in July 2009. As of the latest trustee report in March 2011, the Class A overcollateralization ratio improved and is reported at 78.53% versus July 2009 levels of 69.16%. Currently all the OC tests are failing resulting in diverted interest proceeds to the payment of the principal on the Class A-1 notes and resulting in deferred interest payments to the Classes B, C and D Notes. All the IC ratios are passing their test levels. Due to the improvement in the credit quality of the portfolio, the actions also take into consideration the diminished risk of the transaction experiencing an Event of Default. An Event of Default may occur due to a missed interest payment on Class A or Class S or due to the Class A-3 Par Value Ratio falling below 100%. The Class S and Class A interest payments are covered by a cashflow swap with a highly rated counterparty. And the Class A-2 Par Value Ratio currently stands at 143.75%. ZAIS Investment Grade Limited X. is a collateralized debt obligation backed primarily by a portfolio of CLOs. The principal methodology used in this 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: 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. 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 Caa3 bucket notched down to Ca: -- Class S: 0 -- Class A-1a: -1 -- Class A-1b: -1 -- Class A-2: -1 -- Class A-3: -1 -- Class A-4: 0 -- Class B: 0 -- Class C: 0 -- Class D: 0 Moody's Caa3 bucket notched up to Caa1: -- Class S: 0 -- Class A-1a: 0 -- Class A-1b: 0 -- Class A-2: 0 -- Class A-3: 0 -- Class A-4: 0 -- Class B: 0 -- Class C: 0 -- Class D: 0 ********* 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. 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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. 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