/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/110626.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, June 26, 2011, Vol. 15, No. 175 Headlines 505 CLO: S&P Places Rating on Class D on Watch Positive ALLY AUTO: Moody's Assigns Definitive Ratings to Notes ALLY FINANCIAL: Moody's Upgrades Ratings of Prime Auto Loan ABS ALM IV: S&P Gives 'B' Rating on Class F Floating-Rate Notes ALPINE SECURITIZATION: DBRS Holds BB Rating on Liquidity Facility AMERICREDIT AUTO: Moody's Assigns Definitive Ratings to Notes AMERICREDIT AUTOMOBILE: DBRS Assigns 'BB' Rating on Class E Notes AMERICREDIT AUTOMOBILE: DBRS Puts BB Provisional Rating on Class E ANTHRACITE: Fitch Downgrades, Affirms Classes of Notes BEXAR COUNTY: Moody's Downgrades Revenue Bond Ratings to B1 BUSINESS LOAN: S&P Lowers Ratings on 2 Classes to 'CCC-' CABELA'S CREDIT: Fitch to Rate Asset-Backed Notes Series 2011-II CAPITAL ONE: Moody's Reviews Credit Card ABS for Downgrade CBRE REALTY: S&P Lowers Ratings on 2 Classes to 'CCC-' CEDARWOODS CRE: S&P Lowers Rating on Class F From 'B' to 'CCC' CIT GROUP: DBRS Assigns 'B' Rating on Series C Notes CITIGROUP COMMERCIAL: S&P Lowers Rating on Class J Certs. to 'D' CREDIT SUISSE: Fitch Takes Various Actions on CSFB 2003-C3 CRESS 2008-1: Moody's Affirms Ratings of One CRE CDO Classes CREST 2002-IG: Fitch Downgrades, Affirms Classes of Notes DAWN CDO: Moody's Upgrades Ratings of Class A to 'Caa2' DBUBS 2011-LC2: DBRS Puts 'BB' Provisional Rating on Class E DLJ MTG: Moody's Withdraws Ratings of Three Tranches GRAND PACIFIC: S&P Lowers Rating on Class B Notes to 'B' GS MORTGAGE: Fitch Downgrades 8 Classes of GSMC 2004-C1 HERTZ VEHICLE: Moody's Assigns Definitive Ratings to ABS INVESCO CONISTON: S&P Affirms Rating on Class F Notes at 'CCC-' JER CRE CDO: Moody's Affirms Ratings of 14 CRE CDO Classes JG WENTWORTH: Moody's Assigns Ratings to Class A and B Notes JPMORGAN CHASE: Fitch Ratings Downgrades JPMCC 2001-CIBC2 JPMORGAN CHASE: S&P Lowers Rating on Class L Certs. to 'D' LB-UBS COMMERCIAL: S&P Cuts Ratings on 3 Classes of Certs. to 'D' LNR CDO: Moody's Downgrades Ratings of Four CRE CDO Classes LSTAR 2011-1: Fitch to Rate LSTAR 2011-1 Certificates MERRILL LYNCH: Fitch Downgrades Classes of MLMT 2005-CIP1 MERRILL LYNCH: S&P Lowers Rating on Class F Certs. to 'B' MORGAN STANLEY: Fitch Affirms MS 1998-WF2 Ratings MORGAN STANLEY: Fitch Affirms Ratings on Series 2003-IQ5 Certs. MORGAN STANLEY: Fitch Affirms Ratings on Series 2004-IQ7 Certs. MORGAN STANLEY: S&P Lowers Rating on Class L Certs. to 'CCC-' NATIONAL COLLEGIATE: Moody's Downgrades Ratings of 12 Tranches NOMURA ASSET: Fitch Upgrades 2 Classes of Certificates PREFERREDPLUS TRUST: S&P Hikes Rating on $33.530MM Certs. to 'BB-' SECURITY NATIONAL: Moody's Upgrades Rating of $12Mil. of RMBS SLM STUDENT LOAN: Fitch Affirms Ratings on SLM 2004-2 SLM STUDENT LOAN: Fitch Affirms Ratings on SLM 2004-5 SLM STUDENT LOAN: Fitch Affirms Ratings on SLM 2004-8 SLM STUDENT LOAN: Fitch Affirms Ratings on SLM 2004-10 STUDENT LOAN: Moody's Confirms Ratings of Certificates TEXAS HOUSING DEPT.: Moody's Downgrades Bond Ratings to 'B2' * Fitch Downgrades 31 Bonds in 15 U.S. CMBS Transactions * Fitch Takes Various Rating Actions on 5 CMBS Transactions * S&P Cuts Ratings on 437 Classes of 268 RMBS Transactions to 'D' ********* 505 CLO: S&P Places Rating on Class D on Watch Positive ------------------------------------------------------- Standard & Poor's Ratings Services placed its ratings on 58 tranches from 16 U.S. collateralized debt obligation (CDO) transactions on CreditWatch with positive implications. "At the same time, we placed our ratings on 11 tranches from four U.S. CDO transactions on CreditWatch with negative implications," S&P said. All the tranches with ratings on CreditWatch positive come from CDO transactions backed by securities issued by corporate obligors. The issuance amount of the tranches with ratings on CreditWatch positive is $5.138 billion. Most of the CreditWatch positive placements on the CLOs follow the continued improvement in the credit quality of the obligors whose loans collateralize the rated notes. These improvements reflect principally an increase in upgrades to the speculative-grade obligors whose loans collateralize the rated notes and a steep reduction in default rates. Based on a recent Standard & Poor's Leveraged Commentary & Data (LCD) report, the lagging 12-month institutional loan default rate fell to a 40-month low of 0.91% by principal amount and 1.5% by issuer count. "As a result of these improvements, we believe that the tranches with ratings we placed on CreditWatch positive may be able to support higher ratings. We also placed our ratings on 11 tranches from four transactions on CreditWatch with negative implications due to deterioration in the credit quality of portfolio. Two of these transactions are mezzanine structured finance (SF) CDO of asset-backed securities (ABS), which are collateralized in large part by mezzanine tranches of U.S. residential mortgage-backed securities (RMBS) and other SF securities, one is a cashflow CDO of CDO, which was collateralized primarily by notes from other CDOs, and one is a hybrid CDO backed by commercial mortgage-backed securities (CMBS). The CreditWatch negative placements reflect the deterioration in the credit quality of the securities held by these transactions. The issuance amount of the tranches with ratings placed on CreditWatch negative is $0.999 billion," S&P said. "We will resolve the CreditWatch placements after we complete a comprehensive cash flow analysis and committee review for each of the affected transactions. We expect to resolve these CreditWatch placements within 90 days. We will continue to monitor the CDO transactions we rate and take rating actions, including CreditWatch placements, as we deem appropriate," S&P said. Ratings Placed on CreditWatch Positive 505 CLO I Ltd. Rating Class To From B A (sf)/Watch Pos A (sf) C BBB (sf)/Watch Pos BBB (sf) D BB (sf)/Watch Pos BB (sf) Artus Loan Fund 2007-I Ltd Rating Class To From A-1L AA+ (sf)/Watch Pos AA+ (sf) A-2L AA (sf)/Watch Pos AA (sf) A-3L A- (sf)/Watch Pos A- (sf) B-1L BBB- (sf)/Watch Pos BBB- (sf) B-2L B+ (sf)/Watch Pos B+ (sf) Atlantis Funding Ltd Rating Class To From A-1 AA+ (sf)/Watch Pos AA+ (sf) A-2 AA+ (sf)/Watch Pos AA+ (sf) B BBB+ (sf)/Watch Pos BBB+ (sf) Brentwood CLO Ltd Rating Class To From A-1A AA+ (sf)/Watch Pos AA+ (sf) A-1B AA+ (sf)/Watch Pos AA+ (sf) A-2 AA- (sf)/Watch Pos AA- (sf) Flagship CLO III Rating Class To From A Fund Nts AA (sf)/Watch Pos AA (sf) A Revol Nt AA (sf)/Watch Pos AA (sf) B BBB+ (sf)/Watch Pos BBB+ (sf) Franklin CLO IV, Ltd. Rating Class To From C BBB+ (sf)/Watch Pos BBB+ (sf) D CCC+ (sf)/Watch Pos CCC+ (sf) E CCC- (sf)/Watch Pos CCC- (sf) GIA Investment Grade CDO 2001 Ltd. Rating Class To From A-2 B+ (sf)/Watch Pos B+ (sf) B CCC- (sf)/Watch Pos CCC- (sf) Gulf Stream-Compass CLO 2004-1, Ltd. Rating Class To From A AA+ (sf)/Watch Pos AA+ (sf) C BBB+ (sf)/Watch Pos BBB+ (sf) Loomis Sayles CLO I Ltd. Rating Class To From A A+ (sf)/Watch Pos A+ (sf) B A- (sf)/Watch Pos A- (sf) Mayport CLO Ltd. Rating Class To From A-2L A+ (sf)/Watch Pos A+ (sf) A-3L BBB+ (sf)/Watch Pos BBB+ (sf) B-1L BB+ (sf)/Watch Pos BB+ (sf) B-2L CCC- (sf)/Watch Pos CCC- (sf) Osprey CDO 2006-1 Ltd Rating Class To From A-1LA AA- (sf)/Watch Pos AA- (sf) A-1LB A+ (sf)/Watch Pos A+ (sf) A-2L BBB (sf)/Watch Pos BBB (sf) A-3L BB+ (sf)/Watch Pos BB+ (sf) Race Point II CLO, Limited Rating Class To From B-1 A+ (sf)/Watch Pos A+ (sf) B-2 A+ (sf)/Watch Pos A+ (sf) C-1 BBB+ (sf)/Watch Pos BBB+ (sf) C-2 BBB+ (sf)/Watch Pos BBB+ (sf) D-1 BB+ (sf)/Watch Pos BB+ (sf) D-2 BB+ (sf)/Watch Pos BB+ (sf) D-3 BB+ (sf)/Watch Pos BB+ (sf) Sagamore CLO, Ltd Rating Class To From A-1 AA+ (sf)/Watch Pos AA+ (sf) A-2 AA+ (sf)/Watch Pos AA+ (sf) A-3 AA+ (sf)/Watch Pos AA+ (sf) Stony Hill CDO III (Cayman) Ltd. Rating Class To From A BBB+ (sf)/Watch Pos BBB+ (sf) Venture IV CDO Ltd Rating Class To From A-1 AA (sf)/Watch Pos AA (sf) A-2 A+ (sf)/Watch Pos A+ (sf) C-1 BB- (sf)/Watch Pos BB- (sf) C-2 BB- (sf)/Watch Pos BB- (sf) Def. B-1 BB+ (sf)/Watch Pos BB+ (sf) Def. B-2 BB+ (sf)/Watch Pos BB+ (sf) Wind River CLO I Ltd. Rating Class To From A-1 AA- (sf)/Watch Pos AA- (sf) A-2 A+ (sf)/Watch Pos A+ (sf) Defer B-1 BBB- (sf)/Watch Pos BBB- (sf) Defer B-2 BBB- (sf)/Watch Pos BBB- (sf) Defer C-1 CCC+ (sf)/Watch Pos CCC+ (sf) Defer C-2 CCC+ (sf)/Watch Pos CCC+ (sf) Zero C-3 CCC+ (sf)/Watch Pos CCC+ (sf) Ratings Placed on CreditWatch Negative Kimberlite CDO I, Ltd. Rating Class To From A CCC (sf)/Watch Neg CCC (sf) Super Sen B (sf)/Watch Neg B (sf) RFC CDO I Ltd Rating Class To From B-1 B+ (sf)/Watch Neg B+ (sf) B-2 B+ (sf)/Watch Neg B+ (sf) C CCC (sf)/Watch Neg CCC (sf) D CCC- (sf)/Watch Neg CCC- (sf) Trainer Wortham First Republic CBO IV, Limited Rating Class To From B BB- (sf)/Watch Neg BB- (sf) C CCC- (sf)/Watch Neg CCC- (sf) Zais Investment Grade Limited V Rating Class To From A-1 BB (sf)/Watch Neg BB (sf) B-1 CCC (sf)/Watch Neg CCC (sf) B-2 CCC (sf)/Watch Neg CCC (sf) ALLY AUTO: Moody's Assigns Definitive Ratings to Notes ------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to the notes issued by Ally Auto Receivables Trust 2011-3 (AART 2011-3). The complete ratings actions are: $223,000,000, Class A-1, 0.22957% Asset Backed Notes, rated Prime- 1 (sf) $306,000,000, Class A-2, Floating Rate Asset Backed Notes, rated Aaa (sf) $332,000,000, Class A-3, 0.97% Asset Backed Notes, rated Aaa (sf) $140,040,000, Class A-4 , 1.61% Asset Backed Notes, rated Aaa (sf) $29,050,000, Class B, 2.09% Asset Backed Notes, rated Aa3 (sf) $30,012,000, Class C, 2.39% Asset Backed Notes, rated A3 (sf) $13,440,000, Class D, 2.79% Asset Backed Notes, rated Baa2 (sf) Ratings Rationale The principal methodology used in rating the transaction was Moody's Approach to Rating U.S. Auto Loan-Backed Securities, ratings methodology published in May 2011. Moody's median cumulative net loss expectation is 1.00% and the Volatility Proxy Aaa Level is 8.00% for the AART 2011-3 pool. Moody's net loss expectation and Volatility Proxy Aaa Level for the AART 2011-3 transaction is based on an analysis of the credit quality of the underlying collateral, historical performance trends, the ability of Ally Financial, Inc. to perform the servicing functions, and current expectations for future economic conditions. In addition, the Class A-2 notes of the AART 2011-3 pay a floating rate coupon tied to the 1-month LIBOR rate. Moody's analysis incorporated multiple stressed interest rate scenarios for each class of notes in arriving at the assigned ratings. The V Score for this transaction is Low/Medium, which is consistent with the Low/Medium V score assigned for the U.S. Prime Retail Auto Loan ABS sector. The V Score indicates "Low/Medium" uncertainty about critical assumptions. While this is only the tenth retail loan securitization for Ally Bank, the early performance for the existing deals has been strong. Securitization experience for Ally Bank's parent, Ally Financial Inc. (formerly GMAC Inc.), dates back to the mid-1980's. AART 2011-3 should benefit from this experience having Ally Financial as the servicer for the transaction. In addition, early performance of Ally Bank retail loan securitizations from 2009 and 2010 is strong to date which is an important consideration along with conducting a deal- by-deal comparison of collateral. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If the net loss used in determining the initial rating were changed from 1.00% to 3.00% the initial model-indicated output might change from Aaa to Aa1 for the Class A notes, from Aa3 to Baa3 for the Class B notes, from A3 to B2 for the Class C notes, and from Baa2 to below B3 for the Class D notes. If the net loss were changed to 5.00% the initial model-indicated output might change to A1 for the Class A notes, to B3 for the Class B notes, and to below B3 for both the Class C notes and Class D notes. If the net loss were changed to 6.00% the initial model-indicated output might change to A3 for the Class A notes and below B3 for the Class B, Class C, and Class D notes. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time, rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments in this transaction. Additional research including a pre-sale report for this transaction is available at www.moodys.com. The special reports, "Updated Report on V Scores and Parameter Sensitivities for Structured Finance Securities" and "V Scores and Parameter Sensitivities in the U.S. Vehicle ABS Sector" are also available on moodys.com ALLY FINANCIAL: Moody's Upgrades Ratings of Prime Auto Loan ABS --------------------------------------------------------------- Moody's has upgraded 24 tranches from 11 transactions and placed on review for possible upgrade four tranches from two transactions sponsored by Ally Financial Inc. (formerly known as GMAC inc.) and Ally Bank. Ally Bank is a wholly owned indirect subsidiary of Ally Financial Inc., and is the sponsor of transactions issued since 2009. All transactions are serviced by Ally Financial Inc. Ratings Issuer: Capital Auto Receivables Asset Trust 2007-1 Cl. D, Upgraded to Aaa (sf); previously on Mar 16, 2011 Aa3 (sf) Placed Under Review for Possible Upgrade Issuer: Capital Auto Receivables Asset Trust 2007-2 Cl. D, Upgraded to Aaa (sf); previously on Mar 16, 2011 A1 (sf) Placed Under Review for Possible Upgrade Issuer: Capital Auto Receivables Asset Trust 2007-3 Cl. C, Upgraded to Aaa (sf); previously on Mar 16, 2011 A2 (sf) Placed Under Review for Possible Upgrade Cl. D, Upgraded to Aa1 (sf); previously on Mar 16, 2011 Baa3 (sf) Placed Under Review for Possible Upgrade Issuer: Capital Auto Receivables Asset Trust 2007-4 Cl. B, Upgraded to Aaa (sf); previously on Mar 16, 2011 Aa1 (sf) Placed Under Review for Possible Upgrade Cl. C, Upgraded to Aaa (sf); previously on Mar 16, 2011 Baa1 (sf) Placed Under Review for Possible Upgrade Cl. D, Upgraded to Aa2 (sf); previously on Mar 16, 2011 Ba2 (sf) Placed Under Review for Possible Upgrade Issuer: Capital Auto Receivables Asset Trust 2007-A Cl. C, Upgraded to Aaa (sf); previously on Mar 16, 2011 Aa1 (sf) Placed Under Review for Possible Upgrade Cl. D, Upgraded to Aaa (sf); previously on Mar 16, 2011 A2 (sf) Placed Under Review for Possible Upgrade Issuer: Capital Auto Receivables Asset Trust 2007-B Cl. C, Upgraded to Aaa (sf); previously on Mar 16, 2011 A1 (sf) Placed Under Review for Possible Upgrade Cl. D, Upgraded to Aa1 (sf); previously on Mar 16, 2011 Baa2 (sf) Placed Under Review for Possible Upgrade Issuer: Capital Auto Receivables Asset Trust 2008-1 Class B, Upgraded to Aaa (sf); previously on Mar 16, 2011 Aa1 (sf) Placed Under Review for Possible Upgrade Class C, Upgraded to Aaa (sf); previously on Mar 16, 2011 A3 (sf) Placed Under Review for Possible Upgrade Class D, Upgraded to A1 (sf); previously on Mar 16, 2011 Baa3 (sf) Placed Under Review for Possible Upgrade Issuer: Capital Auto Receivables Asset Trust 2008-2 Class B, Upgraded to Aaa (sf); previously on Mar 16, 2011 Aa3 (sf) Placed Under Review for Possible Upgrade Class C, Upgraded to Aa1 (sf); previously on Mar 16, 2011 Baa2 (sf) Placed Under Review for Possible Upgrade Class D, Upgraded to Aa3 (sf); previously on Mar 16, 2011 Ba1 (sf) Placed Under Review for Possible Upgrade Issuer: Capital Auto Receivables Asset Trust 2008-A Cl. B, Upgraded to Aaa (sf); previously on Mar 16, 2011 Aa2 (sf) Placed Under Review for Possible Upgrade Cl. C, Upgraded to Aaa (sf); previously on Mar 16, 2011 Baa1 (sf) Placed Under Review for Possible Upgrade Cl. D, Upgraded to Aa1 (sf); previously on Mar 16, 2011 Baa3 (sf) Placed Under Review for Possible Upgrade Issuer: Ally Auto Receivables Trust 2009-B Class B, Upgraded to Aaa (sf); previously on Mar 16, 2011 Aa3 (sf) Placed Under Review for Possible Upgrade Class C, Upgraded to Aaa (sf); previously on Mar 16, 2011 A2 (sf) Placed Under Review for Possible Upgrade Issuer: Ally Auto Receivables Trust 2010-1 Class B, Upgraded to Aaa (sf); previously on Mar 16, 2011 Aa3 (sf) Placed Under Review for Possible Upgrade Class C, Upgraded to Aaa (sf); previously on Mar 16, 2011 A2 (sf) Placed Under Review for Possible Upgrade Issuer: Ally Auto Receivables Trust 2010-2 Class B, Aa2 (sf) Placed Under Review for Possible Upgrade; previously on Jun 28, 2010 Definitive Rating Assigned Aa2 (sf) Class C, A1 (sf) Placed Under Review for Possible Upgrade; previously on Jun 28, 2010 Definitive Rating Assigned A1 (sf) Issuer: Ally Auto Receivables Trust 2010-3 Class B, Aa2 (sf) Placed Under Review for Possible Upgrade; previously on Aug 24, 2010 Definitive Rating Assigned Aa2 (sf) Class C, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Aug 24, 2010 Definitive Rating Assigned Aa3 (sf) Ratings Rationale The actions were prompted by the further accretion of credit enhancement due to the non-declining reserve account and overcollateralization, and in some cases, a downward revision of collateral loss expectations. Moody's revised cumulative net Loss (CNL) expectation for the upgraded CARAT transactions is between 2.50% and 3.65% of the original pool balance. This is similar to Moody's expected range that was published when these securities were placed on review on March 16, 2011. The expected CNL of the two Ally Bank sponsored transactions that were previously placed on review, were lowered significantly to 0.75%. The expected CNL range of the more recent Ally Bank sponsored transactions that are being placed on review for possible upgrade is 0.50% to 1.00%. The improved performance of the Ally Bank Sponsored transactions can be attributed to a combination of stronger underlying credit (as compared to prior transactions), healthy used vehicle market, and stabilizing economy that has persisted through the early term of these transactions. The weighted average FICO scores in the Ally transactions is between 758 and 764 while the FICO scores in the CARAT transactions were between 700 and 715. Additionally, the weighted average loan to value (LTV) ratio in the Ally transactions is under 100% while the LTV on the CARAT transactions was approximately 105%. These are key performance metrics and credit assumptions for each affected transaction. Credit assumptions include Moody's expected lifetime CNL expectation which is expressed as a percentage of the original pool balance; and Moody's lifetime remaining CNL expectation and Moody's Aaa levels which are expressed as a percentage of the current pool balance (adjusted for yield supplement overcollateralization). Moody's Aaa (sf) level is the level of credit enhancement that would be consistent with a Aaa (sf) 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 (expressed as a percentage of the outstanding collateral pool balance adjusted for YSOC) which typically consists of subordination, overcollateralization, reserve fund; and YSOC. The YSOC compensates for the lower APR on the subvened loans. Issuer: Capital Auto Receivables Asset Trust 2007-1 Lifetime CNL expectation - 2.50%, prior expected range (March 2011) was 2.45% to 2.65% Lifetime Remaining CNL expectation -- 1.26% Aaa (sf) level -- Approximately 6% Pool factor -- 7.29% Total credit enhancement (excluding excess spread and YSOC): Class D - 9.7% YSOC -- Approximately 4.5% Issuer: Capital Auto Receivables Asset Trust 2007-2 Lifetime CNL expectation - 2.50%, prior expected range (March 2011) was 2.45% to 2.65% Lifetime Remaining CNL expectation -- 0.83% Aaa (sf) level -- Approximately 6% Pool factor -- 9.80% Total credit enhancement (excluding excess spread and YSOC): Class D - 7.09% YSOC -- Approximately 3.25% Issuer: Capital Auto Receivables Asset Trust 2007-3 Lifetime CNL expectation - 2.90%, prior expected range (March 2011) was 2.80% to 3.00% Lifetime Remaining CNL expectation -- 1.54% Aaa (sf) level -- Approximately 7% Pool factor -- 12.23% Total credit enhancement (excluding excess spread and YSOC): Class C -- 9.57% Class D - 5.74% YSOC -- Approximately 2.51% Issuer: Capital Auto Receivables Asset Trust 2007-4 Lifetime CNL expectation - 3.65%, prior expected range (March 2011) was 3.50% to 4.00% Lifetime Remaining CNL expectation -- 2.05% Aaa (sf) level -- Approximately 8% Pool factor -- 15.69% Total credit enhancement (excluding excess spread and YSOC): Class B -- 18.16% Class C -- 9.08% Class D - 6.05% YSOC -- Approximately 2.91% Issuer: Capital Auto Receivables Asset Trust 2007-A Lifetime CNL expectation - 2.50%, prior expected range (March 2011) was 2.45% to 2.65% Lifetime Remaining CNL expectation -- 1.45% Aaa (sf) level -- Approximately 6.5% Pool factor -- 9.74% Total credit enhancement (excluding excess spread and YSOC): Class C -- 9.57% Class D - 5.74% YSOC -- Approximately 2.51% Issuer: Capital Auto Receivables Asset Trust 2007-B Lifetime CNL expectation - 3.20%, prior expected range (March 2011) was 3.10% to 3.40% Lifetime Remaining CNL expectation -- 1.58% Aaa (sf) level -- Approximately 7% Pool factor -- 13.21% Total credit enhancement (excluding excess spread and YSOC): Class C -- 8.94% Class D - 5.36% YSOC -- Approximately 2.2% Issuer: Capital Auto Receivables Asset Trust 2008-1 Lifetime CNL expectation - 3.65%, prior expected range (March 2011) was 3.50% to 4.00% Lifetime Remaining CNL expectation -- 2.05% Aaa (sf) level -- Approximately 8% Pool factor -- 19.63% Total credit enhancement (excluding excess spread and YSOC): Class B -- 14.46% Class C -- 7.23% Class D - 4.82% YSOC -- Approximately 3.84% Issuer: Capital Auto Receivables Asset Trust 2008-2 Lifetime CNL expectation - 2.70%, prior expected range (March 2011) was 2.50% to 3.00% Lifetime Remaining CNL expectation -- 1.46% Aaa (sf) level -- Approximately 6.5% Pool factor -- 24.06% Total credit enhancement (excluding excess spread and YSOC): Class B -- 11.67 Class C -- 5.83% Class D - 3.89% YSOC -- Approximately 5.74% Issuer: Capital Auto Receivables Asset Trust 2008-A Lifetime CNL expectation - 3.40%, prior expected range (March 2011) was 3.25% to 3.75% Lifetime Remaining CNL expectation -- 1.85% Aaa (sf) level -- Approximately 8% Pool factor -- 25.91% Total credit enhancement (excluding excess spread and YSOC): Class B -- 13.57% Class C -- 8.14% Class D - 6.33% YSOC -- Approximately 5.71% Issuer: Ally Auto Receivables Trust 2009-B Lifetime CNL expectation - 0.75%, prior expected range (March 2011) was 0.50% to 1.25% Lifetime Remaining CNL expectation -- 1.01% Aaa (sf) level -- Approximately 7% Pool factor -- 54.51% Total credit enhancement (excluding excess spread and YSOC): Class B -- 10.21% Class C -- 6.66% YSOC -- Approximately 9.67% Issuer: Ally Auto Receivables Trust 2010-1 Lifetime CNL expectation - 0.75%, prior expected range (March 2011) was 0.50% to 1.25% Lifetime Remaining CNL expectation -- 1.04% Aaa (sf) level -- Approximately 7% Pool factor -- 60.18% Total credit enhancement (excluding excess spread and YSOC): Class B -- 16.85% Class C -- 12.73% YSOC -- Approximately 9.67% Issuer: Ally Auto Receivables Trust 2010-2 Lifetime CNL Range expectation - 0.50% to 1.00%, prior expectation (June 2010) was 2.25% Pool factor -- 70.96% Total credit enhancement (excluding excess spread and YSOC): Class B -- 12.55% Class C -- 9.41% YSOC -- Approximately 7.03% Issuer: Ally Auto Receivables Trust 2010-3 Lifetime CNL Range expectation - 0.50% to 1.00%, prior expectation (August 2010) was 1.75% Pool factor -- 73.92% Total credit enhancement (excluding excess spread and YSOC): Class B -- 10.08% Class C -- 7.39% YSOC -- Approximately 5.49% 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, and weakness in the used vehicle market. Moody's currently views the used vehicle market as stronger now than it was a year ago, when the uncertainty relating to the economy as well as the future of the U.S auto manufacturers was significantly greater. Overall, Moody's central global scenario remains "Hook-shaped" for 2011; Moody's expects overall a sluggish recovery in most of the world largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. The principal methodology used in these notes was "Moody's Approach to Rating U.S. Auto Loan Backed Securities (2011)" rating methodology published in May 2011. 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 on www.moodys.com. 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. ALM IV: S&P Gives 'B' Rating on Class F Floating-Rate Notes ----------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to ALM IV Ltd./ALM IV LLC's $417.957 million floating-rate notes. The preliminary ratings are based on information as of June 20, 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, (see "Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs," published Sept. 17, 2009). 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 asset 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 0.2600% to 11.5704%," S&P said. The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. Preliminary Ratings Assigned ALM IV Ltd./ALM IV LLC Class Rating Amount (mil. $) A AAA (sf) 274.5 B AA (sf) 58.5 C (deferrable) A (sf) 29.812 D (deferrable) BBB (sf) 20.25 E (deferrable) BB (sf) 23.625 F (deferrable) B (sf) 11.27 Subordinated notes NR 43.35 NR -- Not rated. ALPINE SECURITIZATION: DBRS Holds BB Rating on Liquidity Facility ----------------------------------------------------------------- DBRS has confirmed the rating of R-1 (high) (sf) for the Commercial Paper (CP) issued by Alpine Securitization Corp. (Alpine), an asset-backed commercial paper (ABCP) vehicle administered by Credit Suisse, New York branch. In addition, DBRS has confirmed the ratings and revised the tranche sizes of the aggregate liquidity facilities (the Liquidity) provided to Alpine by Credit Suisse. The $8,183,340,099 aggregate liquidity facilities are tranched as: -- $7,850,189,777 rated AAA (sf) -- $66,742,504 rated AA (sf) -- $45,600,026 rated A (sf) -- $68,118,941 rated BBB (sf) -- $58,581,258 rated BB (sf) -- $26,366,967 rated B (sf) -- $67,740,626 unrated (sf) The ratings are based on January 31, 2011 data. The CP rating reflects the AAA credit quality of Alpine's asset portfolio. The updated credit quality aspect of the CP rating is based on both the portfolio of assets and the available program- wide credit enhancement (PWCE). The rationale for the CP rating is based on the updated AAA credit quality assessment as well as DBRS' prior and ongoing review of legal, operational and liquidity risks associated with Alpine's overall risk profile. The ratings assigned to the Liquidity reflect the credit quality of Alpine's asset portfolio based on an analysis that assesses each transaction to a term standard. The tranching of the Liquidity reflects the credit risk of the portfolio at each rating level. The tranche sizes are expected to vary each month based on changes in portfolio composition. For Alpine, both the CP and the Liquidity ratings use DBRS' simulation methodology, which was developed to analyze diverse ABCP conduit portfolios. This analysis uses the DBRS CDO Toolbox simulation model, with adjustments to reflect the unique structure of an ABCP conduit and its underlying assets. DBRS determines attachment points for risk based on an analysis of the portfolio and models the portfolio based on key inputs such as asset ratings, asset tenors and recovery rates. The attachment points determine the portion of the exposure rated AAA, AA, A through B as well as unrated. DBRS models the portfolio on an ongoing basis to reflect changes in Alpine's portfolio composition and credit quality. The rating results are updated and posted on the DBRS website. AMERICREDIT AUTO: Moody's Assigns Definitive Ratings to Notes ------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the notes issued by AmeriCredit Automobile Receivables Trust 2011-3 (AMCAR 2011-3). This is the third senior/subordinated transaction of the year for AmeriCredit Financial Services, Inc. (AmeriCredit). The complete rating actions are: Issuer: AmeriCredit Automobile Receivables Trust 2011-3 Class A-1 Notes, rated Prime-1 (sf); Class A-2 Notes, rated Aaa (sf); Class A-3 Notes, rated Aaa (sf); Class B Notes, rated Aa1 (sf); Class C Notes, rated Aa3 (sf); Class D Notes, rated Baa1 (sf); Class E Notes, rated Ba1 (sf); Ratings Rationale Moody's said the ratings are based on the quality of the underlying auto loans and their expected performance, the strength of the structure, the availability of excess spread over the life of the transaction, the experience and expertise of AmeriCredit Financial Services, Inc. (AmeriCredit) as servicer, and the backup servicing arrangement with Aa2-rated Wells Fargo Bank, N.A. The principal methodology used in rating the transaction is "Moody's Approach to Rating U.S. Auto Loan-Backed Securities," published in May 2011. Moody's median cumulative net loss expectation for the AMCAR 2011- 3 pool is 10.0% and total credit enhancement required to achieve Aaa rating (i.e. Aaa proxy) is 39.0%. The loss expectation was based on an analysis of AmeriCredit's portfolio vintage performance as well as performance of past securitizations, and current expectations for future economic conditions. The Assumption Volatility Score for this transaction is Low/Medium versus a Medium for the sector. This is driven by the a Low/Medium assessment for Governance due to the strong back-up servicing arrangement present in this transaction in addition to the size and strength of AmeriCredit's servicing platform. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If the net loss used in determining the initial rating were changed to 20%, 25% or 35.0%, the initial model output for the Class A notes might change from Aaa to Aa1, Aa2, and A3, respectively; Class B notes might change from Aa1 to A3, Baa3, and below B3, respectively; Class C notes might change from Aa3 to Ba1, B3, and below B3, respectively; Class D notes might change from Baa1 to below B3 in all three scenarios; and Class E notes might change from Ba1 to below B3 in all three scenarios. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time, rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments in this transaction. Additional research including a pre-sale report for this transaction is available at www.moodys.com. The special reports, "Updated Report on V Scores and Parameter Sensitivities for Structured Finance Securities" and "V Scores and Parameter Sensitivities in the U.S. Vehicle ABS Sector" are also available on moodys.com. AMERICREDIT AUTOMOBILE: DBRS Assigns 'BB' Rating on Class E Notes ----------------------------------------------------------------- DBRS has assigned final ratings to these classes issued by AmeriCredit Automobile Receivables Trust 2011-3: -- Series 2011-3 Notes, Class A-1 rated R-1 (high) (sf) -- Series 2011-3 Notes, Class A-2 rated AAA (sf) -- Series 2011-3 Notes, Class A-3 rated AAA (sf) -- Series 2011-3 Notes, Class B rated AA (sf) -- Series 2011-3 Notes, Class C rated A (sf) -- Series 2011-3 Notes, Class D rated BBB (sf) -- Series 2011-3 Notes, Class E rated BB (sf) AMERICREDIT AUTOMOBILE: DBRS Puts BB Provisional Rating on Class E ------------------------------------------------------------------ DBRS has assigned provisional ratings to these classes issued by AmeriCredit Automobile Receivables Trust 2011-3: -- Series 2011-3 Notes, Class A-1 rated R-1 (high) (sf) -- Series 2011-3 Notes, Class A-2 rated AAA (sf) -- Series 2011-3 Notes, Class A-3 rated AAA (sf) -- Series 2011-3 Notes, Class B rated AA (sf) -- Series 2011-3 Notes, Class C rated A (sf) -- Series 2011-3 Notes, Class D rated BBB (sf) -- Series 2011-3 Notes, Class E rated BB (sf) ANTHRACITE: Fitch Downgrades, Affirms Classes of Notes ------------------------------------------------------ Fitch Ratings has downgraded one and affirmed five classes issued by Anthracite 2004-HY1 Ltd./Corp (Anthracite 2004-HY1) as a result of continued negative credit migration and increased losses on the underlying collateral. Since Fitch's last rating action in June 2010, approximately 26.9% of the portfolio has been downgraded. Currently, the entire portfolio has a Fitch derived rating below investment grade and 91.2% has a rating in the 'CCC' rating category or lower, compared to 100% and 74.5%, respectively, at last review. As of the April 30, 2011 trustee report, the portfolio has experienced a total of $77.8 million of losses since the 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 Rating Loss Rates (RLR) were then compared to the credit enhancement of the classes. Based on this analysis, the credit enhancement for the class A notes is generally consistent with the rating assigned. For the class B through F 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 B notes have been affirmed at 'CC', indicating that default is probable. Similarly, the classes C through F notes have been affirmed at 'Csf', indicating that default is inevitable. Anthracite 2004-HY1 is a commercial real estate collateralized debt obligation (CRE CDO) that closed on Nov. 9, 2004. The portfolio is composed of commercial mortgage backed securities (CMBS) from the 1998 through 2004 vintages. Fitch has taken these actions: -- $23,791,000 class A notes downgraded to 'CCC' from 'BBsf/LS5'; Outlook Negative; -- $28,117,000 class B notes affirmed at 'CCsf'; -- $21,628,000 class C notes affirmed at 'Csf'; -- $19,898,000 class D notes affirmed at 'Csf'; -- $33,048,000 class E notes affirmed at 'Csf'; -- $17,995,000 class F notes affirmed at 'Csf'. BEXAR COUNTY: Moody's Downgrades Revenue Bond Ratings to B1 ----------------------------------------------------------- Moody's Investors Service has downgraded the $25,875,000 outstanding Bexar County Housing Finance Corporation Multifamily Housing Revenue Bonds (American Opportunity for Housing - Colinas LLC Project) Senior Series 2001A to B1 from Ba3 and downgraded to B3 from B2 the $3,530,000 outstanding of Subordinate Series 2001C. Rating Rationale The downgrade is reflective of the deteriorating debt service coverage and weighted average occupancy that has declined to around 80%. The debt service reserve funds for both series are invested in an MBIA, Inc now National Public Finance Guarantee Corp GIC, ("National") (Baa1, Developing) Guaranteed Investment Contract ("GIC"); the non-performance of the GIC provider is a risk to bondholders in transactions where bond payments rely wholly or partly on a GIC. The Senior bonds also carry bond insurance from National. The outlook remains negative due to weak occupancy levels as well as the growing number of down units that have yet to be rehabilitated. Legal Security: The bonds are limited obligations payable solely from the revenues, receipts and security pledged in the Trust Indenture. Interest Rate Derivatives: None The Properties: The bonds are secured by the revenues from three cross collateralized properties, Las Colinas Apartments, Huebner Oaks Apartments and Perrin Crest Apartments, as well as by funds and investments pledged to the trustee under the indenture as security for the bonds. Huebner Oaks is a 344-unit garden style apartment complex built in 1984, composed of 23 two-story buildings and is located approximately 12 miles north west of the San Antonio central business district. Las Colinas is a 232-unit garden style apartment complex built in 1978, composed of 30 two- story buildings and is located approximately 20 miles north west of the San Antonio central business district. Perrin Crest is a 200-unit garden style apartment complex built in 1985, composed of 13 two-story buildings and is located approximately 12 miles north east of the San Antonio central business district. The three properties are owned by American Opportunity for Housing, a non-profit organization that maintains a Community Housing Development Organization status in the state of Texas. Management of the properties is overseen by United Apartment Group based out of Grapevine, TX who specializes in affordable living communities. Recent Developments On December 31, 2010, United Apartment Group replaced the Lynd Company as property manager under the same agreement and terms originally established. On January 1, 2011, 72% of the debt service payment for the Subordinate Series C bonds required tapping the Surplus fund for $154,519.26. However, both debt service reserve funds remain fully funded at maximum annual debt service and have never been tapped. Debt service coverage ratios derived from 2010 audited financial statements demonstrate continued stress as coverage fell to 1.02x from 1.16x (2009) for 2001A and to 0.87x from 0.99x (2009) for 2001C. Management was unable to provide any further details for the decline in coverage which was mostly driven by a 27% increase in utilities and a 10% increase in administrative fees. April 2011 weighted average monthly occupancy was 80% which is below the low 90% average experienced over the prior two years. Rent at the properties ranges between 10-20% below the average market rent for San Antonio, TX. CB Richard Ellis forecasts rent growth of 3.1% in 2011 and 4.0% in 2012 for the Huebner Oaks' and Las Colinas' submarket. Occupancy in the submarket is forecasted to improve from 92.9% in 2011 to 94.2% in 2012. Perrin Crest's submarket has 3.18 rent growth forecasted in 2011 and 4.5% in 2012. Occupancy in hat submarket is forecast to improve from 93.6% in 2011 to 94.7% in 2012. Credit Strengths * Excess cash in the surplus fund of $492,212 as of 6/06/2011 which has been used to meet debt service requirements before tapping the debt service reserve funds. Credit Challenges * Occupancy numbers continue to deteriorate across all three properties. * Postponing maintenance and repair costs for the upkeep of these older properties has improved short term performance but could negatively impact debt service coverage going forward. * High concentration of renters at Las Colinas from the student population of the University Texas at San Antonio and a high concentration of contract employees from USAA World Headquarters who live at Huebner Oaks could negatively impact occupancy if university attendance declines or large layoffs occur. Outlook The outlook for the bonds remains negative based on the deteriorating financial performance and declining occupancy. What could change the rating -- Up Improved debt service coverage. Improved weighted average occupancy. What could change the rating -- Down Tapping of the Debt Service Reserve Funds. Declines in debt service coverage levels. Weakened occupancy or concessions having a negative impact on rental income. Principal Methodology Used The principal methodology used in this rating was Global Housing Projects published in July, 2010. BUSINESS LOAN: S&P Lowers Ratings on 2 Classes to 'CCC-' -------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 12 tranches from five U.S. small business loan transactions related to Business Loan Express (BLX) and removed 11 of those ratings from CreditWatch with negative implications. "At the same time, we affirmed our ratings on two tranches from Business Loan Express SBA Loan Trust 2003-2 and removed the ratings from CreditWatch negative. We had initially placed the 13 tranche ratings on CreditWatch negative on April 4, 2011," S&P said. All six deals are asset-backed securities transactions collateralized primarily by a pool of small business development loans that are not insured or guaranteed by any governmental agency. The vast majority of the loans are secured by first-lien, multipurpose commercial real estate. Roughly 10%-20% of the properties are non-owner-occupied. The four Business Loan Express SBA Loan Trusts consist solely of SBA 7(a) small business loans, while the two Business Loan Express Business Loan Trusts consist of both conventional and SBA 7(a) small business loans. "The downgrades reflect our view that the 12 tranches can no longer withstand our stress tests for the current rating levels because their credit performance has deteriorated due to rising delinquencies, increasing cumulative net losses, and decreasing recoveries in the loan portfolios. Consequently, we are downgrading the 12 tranches to the rating levels that we believe are commensurate with the stresses they can withstand," S&P stated. "The affirmations reflect our view that the two tranches are still able to withstand our stress tests for their current rating levels. We provide additional information for each transaction," S&P said. Business Loan Express SBA Loan Trust 2003-1 The credit support for the class A and M notes is provided by subordination, a reserve account, and excess spread. As of April 20, 2011, BLX 2003-1's loan pool had a pool factor of 12.77%; the securitized loan balance was $14.04 million; the class A note balance was $12.845 million; the class M note balance was $0.56 million; and the reserve account balance was $2.62 million, which was lower than the reserve account requirement (approximately $3.67 million). Between April 2010 and April 2011, the total delinquency (as a percentage of the then-current pool balance) decreased to 15.87% from 25.87%; the 90-plus-day delinquency (as a percentage of the then-current pool balance) decreased to 9.18% from 19.66%; the cumulative gross default (as a percentage of the original pool balance) increased to 24.48% from 22.51%; the cumulative net loss (as a percentage of the original pool balance) increased to 8.03% from 6.34%; and the cumulative recovery decreased to 38.54% from 43.66%. Business Loan Express SBA Loan Trust 2003-2 The credit support for the class A and M notes is provided by subordination, a reserve account, and excess spread. As of April 20, 2011, BLX 2003-2's loan pool had a pool factor of 14.5%; the securitized loan balance was $29.01 million; the class A note balance was $24.31 million; the class M note balance was $3.51 million; the unrated class B note balance was $2.38 million; and the reserve account balance was $7.0 million, which was slightly lower than the reserve account requirement (approximately $7.68 million). Between April 2010 and April 2011, the total delinquency (as a percentage of the then-current pool balance) decreased to 20.83% from 23.42%; the 90-plus-day delinquency (as a percentage of the then-current pool balance) decreased to 14.06% from 18.99%; the cumulative gross default (as a percentage of the original pool balance) increased to 17.08% from 15.19%; the cumulative net loss (as a percentage of the original pool balance) increased to 5.41% from 3.69%; and the cumulative recovery decreased to 43.05% from 51.54%. Compared with BLX 2003-1, BLX 2003-2 has relatively higher subordination and reserve amount. "Therefore, even though the BLX 2003-2 transaction's cumulative net loss has increased, both the class A and B tranches can still withstand the stress tests that we believe are commensurate with the current ratings," S&P said. Business Loan Express SBA Loan Trust 2005-1 The credit support for the class A and M notes is provided by subordination, a reserve account, and excess spread. As of April 30, 2011, BLX 2005-1's loan pool had a pool factor of 23.27%; the securitized loan balance was $23.27 million; the class A note balance was $21.36 million; the class M note balance was $1.90 million; and the class B note balance was $0.60 million; and the reserve account balance was $5.39 million, which is lower than the reserve account requirement ($6.74 million). Between April 2010 and April 2011, the total delinquency (as a percentage of the then-current pool balance) increased to 28.06% from 25.05%; the 90-plus-day delinquency (as a percentage of the then-current pool balance) decreased to 18.99% from 19.62%; the cumulative gross default (as a percentage of the original pool balance) increased to 17.57% from 14.34%; the cumulative net loss (as a percentage of the original pool balance) increased to 6.68% from 3.89%; and the cumulative recovery decreased to 33.06% from 42.34%. Business Loan Express SBA Loan Trust 2006-1 The credit support for the class A notes is provided by subordination and excess spread; this transaction has no reserve account. As of April 30, 2011, BLX 2006-1's loan pool had a pool factor of 23.27%; the securitized loan balance was $28.49 million; and the class A note balance was $28.86 million. Between April 2010 and April 2011, the total delinquency (as a percentage of the then-current pool balance) increased to 24.52% from 22.31%; the 90-plus-day delinquency (as a percentage of the then-current pool balance) increased to 19.96% from 17.42%; the cumulative gross default (as a percentage of the original pool balance) increased to 17.30% from 13.38%; the cumulative net loss (as a percentage of the original pool balance) increased to 9.80% from 6.84%; and the cumulative recovery decreased to 24.67% from 31.32%. Business Loan Express Business Loan Trust 2006-A The credit support for the class A and B notes is provided by subordination, a reserve account, and excess spread. The credit support for the class C tranche is provided by a reserve account and excess spread. As of April 30, 2011, BLX 2006-A's loan pool had a pool factor of 43.64%; the securitized loan balance was $130.13 million; the class A note balance was $116.10 million; the class B note balance was $10.55 million; the class C note balance was $5.28 million; and the reserve account requirement was $35.43 million. The reserve account balance, however, was only $6.91 million. Between April 2010 and April 2011, the total delinquency (as a percentage of the then-current pool balance) decreased to 28.42% from 33.68%; the 90-plus-day delinquency (as a percentage of the then-current pool balance) decreased to 25.65% from 26.59%; the cumulative gross default (as a percentage of the original pool balance) increased to 14.03% from 6.31%; the cumulative net loss (as a percentage of the original pool balance) increased to 7.75% from 1.34%; and the cumulative recovery decreased to 37.76% from 71.81%. Business Loan Express Business Loan Trust 2007-A The credit support for the class A, B, and C notes is provided by subordination, a reserve account, and excess spread. The credit support for the class D tranche is provided by a reserve account and excess spread. As of April 30, 2011, BLX 2007-A's loan pool had a pool factor of 54.19%; the securitized loan balance was $238.42 million; the class A note balance was $208.21 million; the class B note balance was $14.72 million; the class C note balance was $9.88 million; and the class D note balance was $9.88 million; and the reserve account requirement was $87.29 million. The reserve account balance, however, was zero. Between April 2010 and April 2011, the total delinquency (as a percentage of the then-current pool balance) increased to 33.05% from 29.42%; the 90-plus-day delinquency (as a percentage of the then-current pool balance) increased to 27.74% from 21.48%; the cumulative gross default (as a percentage of the original pool balance) increased to 21.68% from 15.85%; the cumulative net loss (as a percentage of the original pool balance) increased to 14.17% from 9.19%; and the cumulative recovery decreased to 25.91% from 30.85%. Standard & Poor's will continue to review outstanding ratings and take additional rating actions as appropriate. Ratings Lowered and Removed From CreditWatch Negative Business Loan Express SBA Loan Trust 2003-1 Rating Class To From A AA- (sf) AA+ (sf)/Watch Neg M B+ (sf) A (sf)/Watch Neg Business Loan Express SBA Loan Trust 2005-1 Rating Class To From A A+ (sf) AA+ (sf)/Watch Neg M BBB+ (sf) A (sf)/Watch Neg Business Loan Express Business Loan Trust 2006-A Rating Class To From A CCC+ (sf) BBB- (sf)/Watch Neg B CCC (sf) BB+ (sf)/Watch Neg C CCC- (sf) BB (sf)/Watch Neg Business Loan Express Business Loan Trust 2007-A Rating Class To From A CCC+ (sf) BBB- (sf)/Watch Neg B CCC (sf) BB- (sf)/Watch Neg C CCC- (sf) B- (sf)/Watch Neg D CCC- (sf) CCC (sf)/Watch Neg Rating Lowered Business Loan Express SBA Loan Trust 2006-1 Rating Class To From A CCC- (sf) CCC (sf) Ratings Affirmed and Removed From CreditWatch Negative Business Loan Express SBA Loan Trust 2003-2 Rating Class To From A AAA (sf) AAA (sf)/Watch Neg M A (sf) A (sf)/Watch Neg CABELA'S CREDIT: Fitch to Rate Asset-Backed Notes Series 2011-II ---------------------------------------------------------------- Fitch Ratings expects to assign these ratings to Cabela's Credit Card Master Note Trust's asset-backed notes, series 2011-II: -- $212,500,000 Class A-1 and A-2 fixed/floating-rate 'AAAsf'/LS1, Outlook Stable; -- $20,000,000 Class B fixed-rate 'A+sf'/LS2, Outlook Stable; -- $10,625,000 Class C fixed-rate 'BBB+sf'/LS2, Outlook Stable; -- $6,875,000 Class D fixed-rate 'BB+sf'/LS3, Outlook Stable. Fitch's expected ratings are based on the underlying receivables pool, available credit enhancement, World's Foremost Bank's underwriting and servicing capabilities, and the transaction's legal and cash flow structures, which employ early redemption triggers. The transaction structure is similar to series 2010-II, with credit enhancement totaling 15% for class A, credit enhancement of 7% for the class B, credit enhancement of 2.75% plus an amount from a spread account for the class C, and credit enhancement of an amount from a spread account for the class D notes only. CAPITAL ONE: Moody's Reviews Credit Card ABS for Downgrade ---------------------------------------------------------- Moody's Investors Service has placed on review for possible downgrade 34 classes of asset-backed securities issued out of the Capital One Multi-asset Execution Trust. These securities are backed by a $40 billion revolving pool of consumer and small business credit card receivables originated by Capital One Bank (USA), N.A. Rationale This action follows Moody's announcement on June 16 that it is reviewing for possible downgrade the unsupported Bank Financial Strength Rating (BSFR) and long-term unsecured ratings of Capital One Bank (C and A3 respectively). The rating action follows the company's announcement that it plans to acquire ING Direct for approximately $9 billion. Capital One Bank is the sponsor bank and seller/servicer of the Trust. The financial strength of the seller/servicer is an important factor in Moody's determination of card ABS ratings, as an issuer's ongoing willingness and ability to maintain card utility (i.e. the purchase rate) is a significant driver of trust collateral performance in an early amortization scenario. A downgrade from A3 would imply a higher probability of default of the sponsor bank and would result in a weaker credit profile for the credit card trust, holding other variables constant. ABS maturing within the next six months (i.e. before January 2012) were excluded from this rating action due to the low probability of early amortization in the very near future. Moody's performance expectations for the Trust are unchanged. The current expected range for the gross charge-off rate is 4.5%-6.5%, for the principal payment rate is 16%-19%, and for the yield is 20%-23%. These performance expectations 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 a given range may indicate that the collateral's credit quality is stronger or weaker than anticipated when the related securities were rated. 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. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment continues to remain at elevated levels. Overall, Moody's expects a sluggish recovery in the U.S. economy, with elevated fiscal deficits and persistent, high unemployment levels. During the review process, which typically takes up to 90 days, Moody's will reassess whether Capital One's ability and willingness to maintain card utility under stress scenarios are consistent with the current credit enhancement and ratings on the ABS. A downgrade, if any, is not likely to exceed two notches. The complete rating actions are: Issuer: Capital One Multi-asset Execution Trust $500,000,000 Class A (2004-1) Aaa (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Aaa (sf) $500,000,000 Class A (2004-4) Aaa (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Aaa (sf) $750,000,000 Class A (2005-1) Aaa (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Aaa (sf) $455,000,000 Class A (2005-6) Aaa (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Aaa (sf) $500,000,000 Class A (2005-7) Aaa (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Aaa (sf) $325,000,000 Class A (2005-9) Aaa (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Aaa (sf) $500,000,000 Class A (2005-10) Aaa (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Aaa (sf) $500,000,000 Class A (2006-1) Aaa (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Aaa (sf) $400,000,000 Class A (2006-3) Aaa (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Aaa (sf) $500,000,000 Class A (2006-5) Aaa (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Aaa (sf) $300,000,000 Class A (2006-8) Aaa (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Aaa (sf) $750,000,000 Class A (2006-11) Aaa (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Aaa (sf) $500,000,000 Class A (2006-12) Aaa (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Aaa (sf) $625,000,000 Class A (2007-1) Aaa (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Aaa (sf) $700,000,000 Class A (2007-2) Aaa (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Aaa (sf) $750,000,000 Class A (2007-4) Aaa (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Aaa (sf) $600,000,000 Class A (2007-5) Aaa (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Aaa (sf) $1,000,000,000 Class A (2007-7) Aaa (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Aaa (sf) $500,000,000 Class A (2007-8) Aaa (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Aaa (sf) $200,000,000 Class A (2007-A) Aaa (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Aaa (sf) $600,000,000 Class A (2008-3) Aaa (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Aaa (sf) $150,000,000 Class B (2004-3) A2 (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at A2 (sf) $184,605,000 Class B (2004-7) A2 (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at A2 (sf) $175,000,000 Class B (2005-1) A2 (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at A2 (sf) $100,000,000 Class B (2005-3) A2 (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at A2 (sf) $175,000,000 Class B (2006-1) A2 (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at A2 (sf) $350,000,000 Class B (2007-1) A2 (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at A2 (sf) $250,000,000 Class C (2003-3) Ba1 (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Ba1 (sf) $100,000,000 Class C (2004-2) Ba1 (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Ba1 (sf) $367,500,000 Class C (2004-3) Ba1 (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Ba1 (sf) $300,000,000 Class C (2007-1) Ba1 (sf); Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Ba1 (sf) $250,000,000 Class C (2007-2) Ba1 (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Ba1 (sf) $350,000,000 Class C (2007-4) Ba1 (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Ba1 (sf) Counterparty Instrument Rating to the Swap Agreement relating to credit card backed notes issued by COMET Class C(2004-3) Ba1 (sf) Placed on Review for Possible Downgrade; previously on December 20, 2010 confirmed at Ba1 (sf) Methodology The principal methodology used in rating these transactions was "Moody's Approach To Rating Credit Card Receivables-Backed Securities", published in April 2007. CBRE REALTY: S&P Lowers Ratings on 2 Classes to 'CCC-' ------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on nine classes from CBRE Realty Finance CDO 2006-1 Ltd. (CBRE 2006-1), a commercial real estate collateralized debt obligation (CRE CDO) transaction. "At the same time, we affirmed our 'CCC- (sf)' ratings on two other classes from the same transaction," S&P said. "The downgrades and affirmations follow our analysis of the transaction and primarily reflect an increase in reported impaired assets to $160.8 million (35.9%) in the transaction's collateral pool. The volume of impaired assets has caused further deterioration in the collateralization of the transaction. The downgrades and affirmations also reflect our analysis of the transaction following our rating actions on commercial mortgage- backed securities (CMBS) that serve as collateral in CBRE 2006-1. Standard & Poor's has downgraded 13 securities from nine transactions totaling $36.9 million (8.2% of the total asset balance)," S&P related. The transaction's current asset pool included: Thirteen whole loans and senior interest loans ($262.2 million, 58.6% of the collateral pool); Six subordinate-interest loans ($102.1 million, 22.8%); and Twenty-two (CMBS) tranches ($83.2 million, 18.6%). Standard & Poor's reviewed and updated credit estimates for all of the non-impaired loan assets. "We based the analyses on our adjusted net cash flow, which we derived from the most recent financial data provided by the collateral manager, Realty Finance Corp., and trustee, Bank of America Merrill Lynch, as well as market and valuation data from third-party providers," S&P said. The May 19, 2011 trustee report noted five impaired loans in the pool ($114.2 million, 25.5%), as well as 16 impaired securities ($46.6 million, 10.4%). In addition Standard & Poor's determined one loan, the Lockheed - Hope note, ($3.7 million, 0.8%) to be credit-impaired. Standard & Poor's estimated asset-specific recovery rates for the loan assets, which ranged from 0.0% to 68%. "We based the recovery rates on information from the collateral manager, special servicer, and third-party data providers," S&P said. The impaired loan assets are: The Night Hotel first mortgage loan ($35.0 million, 7.8%); The Ironhorse first mortgage loan ($29.3 million, 6.5%); The JW Marriott subordinate interest loan ($20.0 million, 4.5%); The Belle Island Village subordinate interest loan ($18.2 million, 4.1%); and The Whitehall/Starwood Golf Portfolio subordinate interest loan ($11.7 million, 2.6%). S&P's analysis of CBRE 2006-1 also reflected exposure to these CMBS certificates that it has downgraded: CS First Boston Mortgage Securities Corp. 2005-C4 (classes H, J, and K; $11.6 million, 2.6%); LB-UBS Commercial Mortgage Trust 2002-C2 (class L; $7.0 million, 1.6%); Deutsche Mortgage and Asset Receiving Corp. 2006-CD2 (class J; $6.0 million, 1.3%); and LB-UBS Commercial Mortgage Trust 2001-C7 (class N; $4.5 million, 1.0%). According to the May 2011 trustee report, the transaction is failing all five of its overcollateralization tests and passing all of its interest coverage tests. Standard & Poor's analyzed the transaction and its underlying collateral assets according to its current criteria. "Our analysis is consistent with the lowered and affirmed ratings," S&P added. Ratings Lowered CBRE Realty Finance CDO 2006-1 Ltd. Collateralized debt obligations Rating Class To From A-1 BB+ (sf) BBB- (sf) A-2 BB (sf) BB+ (sf) B B- (sf) BB+ (sf) C CCC+ (sf) BB (sf) D CCC- (sf) BB- (sf) E CCC- (sf) B+ (sf) F CCC- (sf) B+ (sf) G CCC- (sf) B- (sf) H CCC- (sf) CCC+ (sf) Ratings Affirmed CBRE Realty Finance CDO 2006-1 Ltd. Collateralized debt obligations Class Rating J CCC- (sf) K CCC- (sf) CEDARWOODS CRE: S&P Lowers Rating on Class F From 'B' to 'CCC' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes from Cedarwoods CRE CDO Ltd. (Cedarwoods), a commercial real estate collateralized debt obligation (CRE CDO) transaction. "At the same time, we affirmed our 'AAA (sf)' rating on class A-1. We also removed our ratings on classes A-1 and A-2 from CreditWatch negative, where we had placed them on Jan. 18, 2011," S&P said. "The downgrades of classes A-2 through F primarily reflect our analysis of the transaction and its underlying collateral following the deterioration in the credit quality of the collateral following our downgrades of 47 securities that serve as underlying collateral for Cedarwoods. Since our last review in Aug. 18, 2010, the class A principal coverage ratio, with a threshold of 101.75%, has declined to 109.8% from 130.5%. We placed our rating on class A-2 on CreditWatch negative on Jan. 18, 2011, following our revised criteria for assessing counterparty and supporting obligations. We removed our rating from CreditWatch negative because it is now below the issuer credit rating assigned to the swap counterparty in the transaction, Bank of America N.A. (A+/negative/A-1)," S&P said. "The affirmation of our 'AAA (sf)' rating on class A-1 reflects our application of our criteria for assessing counterparty and supporting obligations, as well as our analysis of the transaction and its underlying collateral. Cedarwoods has in place interest rate swaps with Bank of America N.A. (A+/negative/A-1) to mitigate interest rate risk that may arise due to the class paying a floating-rate coupon and the transaction assets paying fixed-rate coupons. In our analysis, we modeled the transaction without the interest rate swaps and determined that our 'AAA (sf)' rating on class A-1 will be able to withstand the interest rate risk across different interest rates environments. In addition, class A-1 benefits from principal pay-downs as a result of principal coverage test failures. Subsequently, we removed our ratings on class A-1 from CreditWatch negative," S&P noted. According to the May 19, 2011 trustee report, Cedarwoods' current asset pool includes: One hundred twenty-six commercial mortgage-backed securities (CMBS; $337.7 million, 72.1%); Twenty-six CRE CDO tranches ($104.5 million, 22.3%); and Five real estate investment trust debt securities ($26.0 million, 5.6%). According to the trustee report, four CRE CDO ($27.7 million, 5.9%) and one CMBS securities ($3.0 million, 0.6%) in the transaction are deemed defaulted. According to the trustee report, the deal is failing all the principal coverage tests but passing the interest coverage tests. The 47 downgraded underlying securities are from 30 transactions and total $149.1 million (39.0% of the total asset balance). The credit deterioration of the underlying collateral also prompted the failure of the principal coverage tests in the transaction. Cedarwoods has exposure to these securities that Standard & Poor's has downgraded: LNR CDO 2003-1 Ltd. (classes B, H, and J; $24.0 million, 6.3%); Fairfield Street Solar 2004-1 Ltd. (classes A1, B1, and E1; $15.6 million, 4.1%); and ARCap 2004-RR3 Resecuritization Inc. (classes B, E, F, and G; $9.5 million, 2.5%). Standard & Poor's analyzed the transaction and its underlying assets in accordance with its current criteria. "Our analysis is consistent with the lowered and affirmed ratings," S&P added. Rating Lowered and Removed From CreditWatch Negative Cedarwoods CRE CDO Ltd. Rating Class To From A-2 A (sf) AA (sf)/Watch Neg Ratings Lowered Cedarwoods CRE CDO Ltd. Rating Class To From A-3 BBB+ (sf) A+ (sf) B BBB- (sf) A- (sf) C BB+ (sf) BBB+ (sf) D B+ (sf) BB+ (sf) E B (sf) BB (sf) F CCC (sf) B (sf) Rating Affirmed and Removed From CreditWatch Negative Cedarwoods CRE CDO Ltd. Rating Class To From A-1 AAA (sf) AAA/Watch Neg (sf) CIT GROUP: DBRS Assigns 'B' Rating on Series C Notes ---------------------------------------------------- DBRS Inc. (DBRS) has assigned its B (high) rating to the new Series C Notes issued by CIT Group Inc. (CIT or the Company). The new Series C Notes were issued as a result of the Company's completed exchange offer for outstanding Series A Notes. The new Series C Notes have maturities in 2015, 2016, and 2017. The trend on the ratings is Positive. The rating considers the secured position of the Series C Notes, which benefit from a second lien on substantially all U.S. assets of CIT that are not otherwise pledged to secure the borrowings of special purpose entities and the equity of foreign subsidiaries. Moreover, the Series C Notes rank pari passu with the existing second lien Series A Notes and Series C Notes. Given the aforementioned, the rating reflects DBRS's view that recovery on the Series C Notes would be less than the first lien notes but greater than the unsecured debt. The rating action does not impact the issuer rating of CIT, which remains B (high), with a Positive trend. CITIGROUP COMMERCIAL: S&P Lowers Rating on Class J Certs. to 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating to 'D (sf)' on the class J commercial mortgage pass-through certificates from Citigroup Commercial Mortgage Trust 2008-C7, a U.S. commercial mortgage-backed securities (CMBS) transaction. The downgrade follows a principal loss to the class J certificates, which was detailed in the June 10, 2011, remittance report. Class J experienced a 5.9% loss of its $16.2 million original balance. The class K, L, and M certificates, which Standard & Poor's had previously lowered to 'D (sf)', have lost 100% of their respective opening balances. According to the June 10, 2011 remittance report, the trust experienced a $33.1 million principal loss upon the liquidation of the CGM RRI Portfolio loan, which was with the special servicer, LNR Partners LLC. The CGM RRI Hotel Portfolio loan was the second-largest asset in special servicing. The property consisted of 52 Red Roof Inn hotels totaling 6,030 rooms in 21 states and Washington, D.C. The loan was transferred to the special servicer in May 2009, because the borrower requested a loan modification. The loan had an outstanding balance totaling $37.8 million at the time of liquidation. Rating Lowered Citigroup Commercial Mortgage Trust 2008-C7 Commercial mortgage pass-through certificates Rating Class To From J D (sf) CCC- (sf) CREDIT SUISSE: Fitch Takes Various Actions on CSFB 2003-C3 ---------------------------------------------------------- Fitch Ratings has downgraded six classes of Credit Suisse First Boston Mortgage Securities Corp., series 2003-C3 (CSFB 2003-C3) commercial mortgage pass-through certificates. The downgrades reflect Fitch modeled losses of 4.56% of the remaining pool; modeled losses of the original pool are at 3.88%, including losses already incurred to date. Fitch has identified 25 loans (13.8%) as Fitch Loans of Concern, which includes six specially-serviced loans (3.5%). Of the six loans in special servicing, three loans (3.3%) are in foreclosure and three loans (.27%) are 90 days or more delinquent. Fitch expects losses from loans currently in special servicing to deplete classes N through P and impact class M significantly. As of the May 2011 distribution date, the pool's aggregate principal balance has reduced by 33.4% to $1.17 billion from $1.76 billion at issuance. In addition 27 loans (17.3%) have been fully defeased. Interest shortfalls totaling $692,970 are currently affecting classes M through P. The largest contributor to modeled losses is a loan (2.25%) secured by a 216,416 square foot (sf) office complex located in Farmington Hills, Michigan, 25 miles northwest of Detroit. The servicer reported occupancy has declined to 60% which has resulted in a low debt service coverage ratio (DSCR) of 1.0 times (x) as of year-end (YE) 2010. All of the tenants at the property have leases that expire by 2013 and have above market rental rates for this location. The second largest contributor to modeled losses is a specially- serviced loan (1.8%) secured by a 708 unit multifamily property in Houston, TX. The loan was transferred to special servicing in January 2010 due to imminent payment default and foreclosure is being pursued. The property incurred damage from hurricane Ike and the borrower was involved in ongoing litigation with the insurance company, which has since settled with the borrower and issued a claims check. A judge ruled that the foreclosure process must be handled judicially and this is expected to add months to the foreclosure process. The third largest contributor to modeled losses is a specially- serviced loan (.8%) secured by an 81,054 square foot (sf) office building in Exton, PA. The loan transferred to special servicing in December 2009 due to payment default. The servicer-reported DSCR as of YE 2010 was .52x and the occupancy as of March 2011 was 67%. The loan is currently in foreclosure since July 2010. The largest loan in the transaction, 622 Third Avenue, (19.2%), is secured by a one million sf class A office building located in midtown Manhattan. The whole loan is divided into a $188.3 million pooled portion, a $37.1 million non-pooled portion (representing classes 622A through 622F) and a B-note held outside of the trust. As of March 2011, occupancy is 99% compared to 98% at issuance. Fitch has downgraded and assigned Recovery Ratings (RRs) to these classes: -- $19.4 million class J to 'B-/LS5' from 'B/LS4'; Outlook Negative; -- $12.9 million class K to 'CCC/RR1' from 'B-/LS5'; -- $6.5 million class L to 'CC/RR1' from 'B-/LS5'; -- $10.8 million class M to 'CC/RR4' from 'CCC/RR3'; -- $2.2 million class N to 'C/RR6' from 'CCC/RR6'; -- $4.3 million class O to 'C/RR6' from 'CCC/RR6'. Also, Fitch has affirmed these classes and revised Outlooks and Loss Severity ratings: -- $35.8 million class A-4 at 'AAA/LS1'; Outlook Stable; -- $862.4 million class A-5 at 'AAA/LS1'; Outlook Stable; -- $47.4 million class B at 'AAA/LS4' from 'AAA/LS3'; Outlook Stable; -- $19.4 million class C at 'AAA/LS5' from 'AAA/LS4'; Outlook Stable; -- $38.8 million class D at 'AA/LS5' from 'AA/LS3'; Outlook to Positive from Stable; -- $19.4 million class E at 'A+/LS5' from 'A+/LS4'; Outlook to Positive from Stable; -- $19.4 million class F at 'A/LS5' from 'A/LS4'; Outlook Stable; -- $12.9 million class G at 'A-/LS5'; Outlook Stable; -- $19.4 million class H at 'BB/LS5' from 'BB/LS4'; Outlook to Stable from Negative; -- $2.4 million class 622A at 'BBB-'; Outlook Stable; -- $5.6 million class 622B at 'BBB-'; Outlook Stable; -- $5.6 million class 622C at 'BBB-'; Outlook Stable; -- $5.6 million class 622D at 'BBB-'; Outlook Stable; -- $16.5 million class 622E at 'BB'; Outlook Stable; -- $1.5 million class 622F at 'BB'; Outlook Stable. The $6.7 million class P is not rated by Fitch. Class A-1, A-2, A- 3, and A-SP have paid in full. Fitch has withdrawn the ratings on the interest-only classes A-X, and A-Y. CRESS 2008-1: Moody's Affirms Ratings of One CRE CDO Classes ------------------------------------------------------------ Moody's has affirmed one and downgraded five classes of Notes issued by CRESS 2008-1, Ltd., due to an improvement in the credit quality of the performing collateral, the amount of Defaulted Securities and undercollateralization due unscheduled paydowns and writeoffs. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. Class A-1 Notes, Affirmed at Aa3 (sf); previously on Jun 30, 2010 Downgraded to Aa3 (sf) Class A-2 Notes, Downgraded to Ba1 (sf); previously on Jun 30, 2010 Downgraded to Baa1 (sf) Class B Notes, Downgraded to B3 (sf); previously on Jun 30, 2010 Downgraded to Ba1 (sf) Class C Notes, Downgraded to Caa3 (sf); previously on Jun 30, 2010 Downgraded to B1 (sf) Class D Notes, Downgraded to Caa3 (sf); previously on Jun 30, 2010 Downgraded to B3 (sf) Class E Notes, Downgraded to Caa3 (sf); previously on Jun 30, 2010 Downgraded to Caa1 (sf) Ratings Rationale CRESS 2008-1 Ltd. is a CRE CDO transaction backed by a portfolio A-Notes and whole loans (62.3% of the pool balance), commercial mortgage backed securities (CMBS) (12.4%) and B-Notes (16.7%). As of the May 31, 2011 Trustee report, the aggregate Note balance of the transaction has decreased to $621.6 million from $679.9 million at issuance, with the interest proceeds after paying Class B being directed to the Class A Notes. This is a result of the failing of the Class A/B overcollateralization test. Since last review, the reinvestment period in this transaction expired and the deal is currently static. There are fourteen assets with par balance of $112.8 million (20.7% of the current pool balance) that are considered Defaulted Securities as of the May 31, 2011 Trustee report. Seven of these assets (66.4% of the defaulted balance) are CMBS, two assets are either A-Notes or whole loans (22.0%) and five assets are B-Notes (11.6%). Defaulted Securities that are not CMBS are defined as assets which are 30or more days delinquent in their debt service payment. While there have been limited realized losses to date, Moody's does expect significant losses to occur once they are realized. In addition to expected losses to Defaulted Securities, the Notes are currently undercollateral by $27 million when including cash reserves. Though the dollar balance of Defaulted Securities has declined since last review, over $200 million of collateral debt securities has liquidated for below par value within the past year. For the purpose of analyzing the more junior classes, this decrease in collateral more than offsets the improvement in weighted average rating factor (WARF) for the deal. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated credit estimates for the non-Moody's rated reference obligations. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 8,110 compared to 9,422 at last review. The distribution of current ratings and credit estimates is as follows: Aaa-Aa3 (6.0% compared to 2.0% at last review), Baa1-Baa3 (3.8% compared to 1.4% at last review), Ba1-Ba3 (10.9% compared to 0.0% at last review), and Caa1-C (79.3% compared to 96.5% at last review). WAL acts to adjust the probability of default of the reference obligations in the pool for time. Moody's modeled to a WAL of 3.7 years compared to 7.0 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 50.1% compared to 38.6% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 12.0% compared to 100.0% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 51% to 41% or up to 62% would result in average rating movement on the rated tranches of 0 to 3 notches downward and 0 to 3 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in November 2010. Other methodologies used in these ratings were "CMBS: Moody's Approach to Rating Static CDOs Backed by Commercial Real Estate Securities" published on June 17, 2004. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. CREST 2002-IG: Fitch Downgrades, Affirms Classes of Notes -------------------------------------------------------- Fitch Ratings has downgraded two and affirmed two classes issued by Crest 2002-IG Ltd./Corp (Crest 2002-IG). The affirmations to the senior classes are a result of significant deleveraging of the capital structure. The downgrades to the junior classes are a result of further negative credit migration and increased interest shortfalls on the underlying collateral. Since Fitch's last rating action in July 2010, the class A notes have received $139.2 million in paydowns. The remaining portfolio is concentrated with 24 assets from 19 obligors. Currently, 22.3% of the portfolio has a Fitch derived rating below investment grade and 6% has a rating in the 'CCC' rating category or lower, compared to 13.1% and 2.4%, respectively, at last review. As of the May 31, 2011 trustee report, 8.16% of the portfolio is currently experiencing interest shortfalls compared to 0% 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 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 notes have been downgraded to 'CCsf', indicating that default is probable. On the April 28, 2011 payment date, the class D notes received 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 delever. Similarly, the Stable Outlook on the class B notes reflects adequate cushion between the current stress threshold and the breakeven levels to withstand some future negative credit migration. The Negative Outlook on the class C notes reflects the concentration risk of the underlying collateral. 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 2002-IG is a cash flow commercial real estate collateralized debt obligation (CRE CDO) which closed on May 16, 2002. The collateral is composed of 73.4% commercial mortgage backed securities (CMBS) and 26.6% real estate investment trusts (REIT). Fitch has taken these actions: -- $44,135,914 class A notes affirmed at 'AAAsf/LS3'; Outlook Stable; -- $78,000,000 class B notes affirmed at 'AAsf'; Outlook to Stable from Negative; to 'LS3' from 'LS4'; -- $40,168,900 class C notes downgraded to 'Bsf/LS3' from 'BBBsf/LS5' Outlook Negative; -- $14,332,500 class D notes downgraded to 'CCsf' from 'B/LS5'. DAWN CDO: Moody's Upgrades Ratings of Class A to 'Caa2' ------------------------------------------------------- Moody's Investors Service has upgraded the rating of one class of notes issued by Dawn CDO I, Ltd. The class of notes affected by the rating action is: -- US$162,700,000 Class A First Priority Senior Secured Floating Rate Notes (current balance of $8,890,655), Upgraded to Caa2 (sf); previously on July 13, 2010, Downgraded to Ca (sf). Ratings Rationale According to Moody's, the rating action results primarily from delevering of the Class A Notes. The Class A Notes have been paid down by approximately $6.8 million since the last rating action in July 2010. As of the latest trustee report dated May 31, 2011, there are $27.7 million of performing assets in the portfolio, providing credit support to the approximately $8.9 million of outstanding class A. Dawn CDO I, Ltd. is a collateralized debt obligation issuance backed by a portfolio of Residential Mortgage-Backed Securities (RMBS), Commercial Mortgage-Backed Securities (CMBS), CDO's and other Asset-Backed Securities originated from 1994-2001. 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 CDOROMv2.8 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 Class B: 0 Class C: 0 Moody's Caa3 bucket notched up to Caa1: Class A: 0 Class B: 0 Class C: 0 DBUBS 2011-LC2: DBRS Puts 'BB' Provisional Rating on Class E ------------------------------------------------------------ DBRS has assigned provisional ratings to these classes Commercial Mortgage Pass-Through Certificates, Series 2001-LC2 to be issued by DBUBS 2011-LC2 Mortgage Trust. -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3FL at AAA (sf) -- Class A-3FX at AAA (sf) -- Class A-4 at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) -- Class FX at B (low) (sf) The trends are Stable. The collateral consists of 67 fixed-rate loans secured by 132 commercial, mobile home parks and multifamily properties. The portfolio has a balance of $2,143,917,866. The pool consists of relatively low-leverage financing, with a DBRS weighted-average term DSCR and debt yield of 1.42 times (x) and 9.6%, respectively, based on the trust amount. Debt yields per rating category for the transaction are relatively low compared with other fixed-rate conduit transactions issued in 2010 and 2011, but they are still much higher than transactions in 2006 and 2007. DLJ MTG: Moody's Withdraws Ratings of Three Tranches ---------------------------------------------------- Moody's Investors Service has withdrawn the ratings of three tranches from the DLJ Mtg Acpt Corp. 1990-02 (Carteret) and 1993- 04 transactions. These tranches are backed by a pool of mortgage loans with a pool factor less than 5% and containing fewer than 40 loans. Complete rating actions are: Issuer: DLJ Mtg Acpt Corp 1990-02 (Carteret) A, Withdrawn (sf); previously on Aug 4, 2009 Downgraded to Baa1 (sf) Issuer: DLJ Mtg Acpt Corp 1993-04 A, Withdrawn (sf); previously on Aug 4, 2009 Downgraded to Ba2 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) S, Withdrawn (sf); previously on Aug 4, 2009 Downgraded to Ba2 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Ratings Rationale 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. GRAND PACIFIC: S&P Lowers Rating on Class B Notes to 'B' -------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on two classes of floating-rate deferrable interest notes from Grand Pacific Business Loan Trust 2005-1. "The downgrades reflect our analysis of the deteriorating performance of the transaction's remaining collateral. The lowered ratings also reflect a significant reduction in the spread account, which provides credit enhancement to the rated certificates," S&P said. "Our analysis included a review of all of the remaining collateral in the pool, including loans that were charged off after 12 months of payment delinquency, in accordance with the transaction documents. According to the master servicer, Wells Fargo Bank N.A., there are currently 10 charged-off loans totaling approximately $36.0 million, which have not been liquidated as of the May 2011 remittance report. While liquidation of these assets may provide principal recoveries, we believe that several of these assets will fail to recover their entire outstanding balance," S&P said. "We considered the performance of the collateral to date in our analysis of the remaining 13 loans in the pool, as well as the impact the current economic stress and liquidity conditions may have on future performance. Four of the 13 loans are matured balloon loans with delinquent payment status. Of the remaining nine loans, one loan is matured and the borrower is paying a default rate, three loans have had maturity extensions and are current, and five loans are current without extensions," according to S&P. As of the May 20, 2011 remittance report, the spread account, which provides credit enhancements to the rated notes, has a balance near zero. This is a significant reduction from the $7.9 million balance at issuance. The class C notes, which also provide credit support to the rated notes, incurred two losses to date totaling $2.1 million since issuance. This further reduced the amount of support available to the rated notes. Ratings Lowered Grand Pacific Business Loan Trust 2005-1 Floating-rate deferrable interest notes Rating Class To From Credit enhancement (%) A BBB (sf) AAA (sf) 26.84 B B (sf) A (sf) 11.80 GS MORTGAGE: Fitch Downgrades 8 Classes of GSMC 2004-C1 -------------------------------------------------------- Fitch Ratings has downgraded eight classes of GS Mortgage Securities Corp. II (GSMC) series 2004-C1 commercial mortgage pass-through certificates: -- $7.8 million class G to 'B/LS5' from 'BB/LS5'; Rating Outlook to Stable from Negative; -- $7.8 million class H to 'C/RR6' from 'B-/LS5'; -- $2.6 million class J to 'D/RR6' from 'B-/LS5'; -- $0 class K to 'D/RR6' from 'CCC/RR1'; -- $0 class L to 'D/RR6' from 'CC/RR3'; -- $0 class M to 'D/RR6' from 'C/RR6'; -- $0 class N to 'D/RR6' from 'C/RR6'; -- $0 class O to 'D/RR6' from 'C/RR6'. Classes A-1, A-2, A-1A, B, C, D, E and F have paid in full. Fitch does not rate class P. The downgrades are the result of principle losses following the liquidation of a specially serviced asset which Fitch had expected. There is one remaining specially serviced asset in the transaction, Westbay Office Park. The property is collateralized by a 107,650 square feet (sf) multi-tenant office building in Las Vegas, NV. The most recent servicer reported occupancy is 52% as of the May 2011 rent roll. The loan transferred to special servicing in September 2010 due to monetary default, and the special servicer subsequently foreclosed in March 2011. The special servicer has engaged CBRE for leasing and property management. HERTZ VEHICLE: Moody's Assigns Definitive Ratings to ABS -------------------------------------------------------- Moody's has assigned the definitive ratings of Aaa(sf) to the Class A-1 and Class A-2 notes (Class A notes) and Baa2 (sf) to the Class B-1 and Class B-2 notes (Class B notes and, together with the Class A notes, the Series 2011-1 notes) of the Series 2011-1 Rental Car Asset-Backed Notes issued by Hertz Vehicle Financing LLC (HVF or Issuer), a limited liability company whose sole member is The Hertz Corporation (Hertz). The Class A-1 and Class B-1 notes have an expected maturity of approximately three years. The Class A-2 and Class B-2 notes have an expected maturity of approximately five years. The Class B notes are subordinated to the Class A notes. The complete rating action is: Issuer: Hertz Vehicle Financing LLC $320,000,000 Series 2011-1 Rental Car Asset Backed Notes, Class A- 1, rated Aaa(sf) $200,000,000 Series 2011-1 Rental Car Asset Backed Notes, Class A- 2, rated Aaa(sf) $48,000,000 Series 2011-1 Rental Car Asset Backed Notes, Class B- 1, rated Baa2 (sf) $30,000,000 Series 2011-1 Rental Car Asset Backed Notes, Class B- 2, rated Baa2 (sf) The ratings are based, among other things, on the collateral, the presence of Hertz as lessee, credit enhancement and the structural features of the transaction. Credit enhancement consists of overcollateralization and a minimum liquidity requirement in the form of letter of credit or cash; and, for the Class A notes, subordination provided by the Class B notes. Overcollateralization levels vary. The lowest enhancement level is 25%, the intermediary enhancement level is 32% and the highest enhancement level is also 32%. Transaction Overview The Class A notes and the Class B notes were issued by HVF which is a master trust structure under which multiple series of notes share the same pool of vehicles as collateral. The Series 2011-1 notes are secured by a first-priority perfected security interest in a collateral pool, shared with other series, which primarily consists of among other things eligible program and non-program vehicles from eligible manufacturers. The repayment of these notes will be from three primary sources: (1) lease payments from Hertz under a master lease agreement, (2) payments from program manufacturers under their repurchase agreements, and (3) proceeds from the sale of non-program vehicles in the open market. The Class A notes and the Class B notes have revolving periods followed by controlled amortization periods if no rapid amortization event occurs. During the revolving period, the collateral for the notes may be sold and replaced and, unless a rapid amortization event has occurred, no payment of principal for any class of notes is required. Amortization events include, among other things, bankruptcies of Hertz or the Issuer, termination of the lease between the Issuer and Hertz, payment default under the lease and credit enhancement deficiencies. The Class B notes are subordinated in all respects to the Class A notes. No payment of interest on the Class B notes will be made on any payment date unless all interest due on the Class A notes has been paid in full. During any controlled amortization period with regards to the three-year notes or five-year notes, no payment of principal of the Class B notes will be made until the controlled distribution amount related to the Class A notes has been paid in full. During the rapid amortization period, no payment of principal of the Class B notes will be made unless and until the aggregate outstanding principal amount of Class A notes has been paid in full Credit support for the Class A notes consists of a combination of subordination of Class B notes, overcollateralization, cash or letters of credit. Credit support for the Class B notes consists of a combination of overcollateralization, cash or letters of credit. The required minimum credit enhancement for the Class B notes expressed as a percentage of the adjusted principal amount of Class A notes and Class B notes consists of three buckets: (1) 25.0% for program vehicles from eligible manufacturers rated at least Baa2 (unlimited) or Baa3 (subject to a limit of 10% of the total securitized fleet by net book value); (2) 32.0% for all other program vehicles; and (3) 32.0% for non-program vehicles and vehicles of bankrupt manufacturers. Part of the credit enhancement will consist of minimum liquidity equal to at least six months of interest on the notes plus a cushion of at least 50 bps to cover operating and other expenses. The final required enhancement for Class B notes will be a blended rate depending on the fleet mix. The actual required amount of credit enhancement therefore fluctuates based on the mix of vehicles in the securitized fleet. V-Score And Loss Sensitivity Moody's V Score. The V Score for this transaction is Medium, which is the same as the V score assigned for the U.S. Rental Car ABS sector. The V Score indicates "Medium" uncertainty about critical assumptions. The Medium V-score is largely driven by the average quality of historical data as well as the average performance variability for the Issuer and for the sector, the average collateral pool disclosure and ongoing disclosure of securitizations for the Issuer, and the medium transaction complexity and analytical complexity. The historical downgrade rate for the sector is worse than average. However, the governance for the transaction is better than average against other ABS assets. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities. For this exercise, Moody's analyzed stress scenarios assessing the potential model-indicated ratings impact if (a) the current B1 rating of Hertz was to immediately decline to B3, Caa1, Caa2 and Caa3 and (b) the assumed modeled haircuts to estimated vehicle market values were increased by 5%, 10% and 15%. Haircuts are expressed as a percentage of the estimated market value of the vehicle collateral. Moody's models potential vehicle collateral liquidation value by estimating market value and then applying haircuts. Moody's uses triangular distributions for those haircuts (see methodology below). The stresses increase the base case triangular distribution haircuts by these percentage points: 5%, 10% and 15%. For example, if the haircuts in the base case are determined by a triangular distribution with parameters of (5%, 15%, 30%), and this is increased by 5 percentage points, then the resulting stressed haircut would be determined by a triangular distribution with parameters of (10%, 20%, 35%). Using such assumptions, the Aaainitial model-indicated rating for the Series 2011-1 notes might change as follows: (a) with Hertz rated B1, the Aaainitial note rating would remain unchanged under the base market value haircut, or if the market value haircut is increased by 5%, but would change to Aa1 if the market value haircut is increased by 10%, or change to Aa2 if the market value haircut is increased by 15%; (b) with Hertz rated B3, the Aaainitial note rating would remain unchanged under the base market value haircut assumption or if the market value hair is increased by 5%, but would change to Aa1 if the market value haircut is increased by 10%, or change to Aa3 if the market value haircut is increased by 15%, (c) with Hertz rated Caa1, the Aaainitial note rating would remain unchanged under the base market value haircut assumption or if the market value haircut is increased by 5%, but would change to Aa1 if the market haircut is increased by 10% or change to Aa3 if the market value haircut is increased by 15%;(d) with Hertz rated Caa2, the Aaainitial note rating would remain unchanged under the base market value haircut assumption or if the market value haircut is increased by 5%, but would change to Aa1 if the market haircut is increased by 10% or change to Aa3 if the market value haircut is increased by 15%; and (e) with Hertz rated Caa3, the Aaainitial note rating would remain unchanged under the base market value haircut assumption, or if the market value haircut is increased by 5%, but would change to Aa2 if the market value haircut is increased by 10%, or change to A1 if the market value haircut is increased by 15%. Using such assumptions, the Baa2 initial model-indicated rating for the Class B notes might change as follows: (a) with Hertz rated B1, the Baa2 initial note rating would remain unchanged under the base market value haircut, but would change to Baa3 if the market value haircut is increased by 5%, or change to B1 if the market value haircut is increased by 10%, or change to below B3 if the market value haircut is increased by 15%; (b) with Hertz rated B3, the Baa2 initial note rating would remain unchanged under the base market value haircut assumption, but would change to Ba1 if the market value hair is increased by 5%, or change to B3 if the market value haircut is increased by 10%, or change to below B3 if the market value haircut is increased by 15%, (c) with Hertz rated Caa1, the Baa2 initial note rating would remain unchanged under the base market value haircut assumption or change to Ba1 if the market value haircut is increased by 5%, or change to B3 if the market haircut is increased by 10% or change to below B3 if the market value haircut is increased by 15%;(d) with Hertz rated Caa2, the Baa2 initial note rating would remain unchanged under the base market value haircut assumption or change to Ba2 if the market value haircut is increased by 5%, or change to below B3 if the market haircut is increased by 10% or change to below B3 if the market value haircut is increased by 15%; and (e) with Hertz rated Caa3, the Baa2 initial note rating would remain unchanged under the base market value haircut assumption, or would change to Ba2 if the market value haircut is increased by 5%, or change to below B3 if the market value haircut is increased by 10%, or change to below B3 if the market value haircut is increased by 15%. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time, rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. Principal Rating Methodology The primary asset backing the notes is the monthly lease payments by Hertz as well as the pool of vehicles comprising the bulk of the Hertz daily rental car fleet, including both program vehicles (vehicles subject to repurchase, or guaranteed depreciation agreements provided by the related auto manufacturer) and non- program vehicles (vehicles that do not benefit from such repurchase or guaranteed depreciation agreements). The key factors in Moody's rating analysis include the probability of default by Hertz, the likelihood of a bankruptcy or default by the auto manufacturers providing vehicles to the rental car fleet owned by the lessor, and the recovery rate on the rental car fleet in the event that Hertz defaults. Monte Carlo simulation modeling was used to assess the impact on bondholders of these variables. The default probability of Hertz was simulated based on its current corporate probability of default rating and Moody's idealized default rates. Moody's stresses the rating of Hertz as lessee to provide a limited degree of de-linkage of the rated ABS from the corporate rating of the sponsor. With the Class B notes Moody's stressed the rating of Hertz by two notches to B3 to provide an additional degree of ratings stability given that the subordinate position of the Class B notes renders them more sensitive to credit risk factors particularly the sponsor's default risk. In contrast, for comparably rated senior notes, Moody's normally stresses the sponsor's rating by only one notch. Like all rental car companies, Hertz's fleet includes both program cars and non-program cars (also known as 'risk' cars). Under the terms of the simulation, in cases where Hertz does not default, it is assumed that bondholders are repaid in full and no liquidation of the Issuer's rental car fleet is necessary. In cases where Hertz does default, the Issuer's fleet must be liquidated in order to repay the bondholders. In those cases, the default probability of the related auto manufacturers must also be simulated. Due to the Detroit Three's current highly uncertain credit status, their defaults were simulated based on estimates for probability of default provided by Moody's corporate analysts that incorporated the likelihood of both Chapter 7 and Chapter 11 bankruptcies. The default probability of other manufacturers is derived from their respective ratings. For each manufacturer simulated to be in Chapter 11, Moody's further simulates whether each such manufacturer will honor its obligation with respect to program vehicles or default on the obligation. In simulating liquidation of the rental car fleet following a Hertz default, it is assumed that the portion of the program vehicle fleet associated with non-defaulting manufacturers (both non-bankrupt manufacturers and bankrupt Chapter 11 manufacturers honoring their program obligations) is returned to the related manufacturer at full book value. For the non-program vehicle (risk) fleet, as well as the portion of the program vehicle fleet associated with defaulting manufacturers not honoring obligations on their program vehicles, it is assumed the vehicles will be sold in the open market. For vehicles sold in the open market, the market value of a vehicle at the time of liquidation, before any haircuts are applied, is estimated using market depreciation data from the National Automobile Dealers Association (NADA) for each manufacturer with vehicles in the collateral pool. In making this calculation Moody's generally assumes a purchase price for program and non-program (risk) vehicles which is 10% below MSRP, to give credit to the volume discounts typically achieved by rental car companies. In addition, Moody's assumes a delay in sale of six months and therefore net an additional six months of depreciation. This six month delay in fleet liquidation following the Lessee's default contemplates potential legal challenges to obtaining control of the fleet and the potential difficulties of marshaling and selling such a large quantity of vehicles. The base liquidation value of sold vehicles is determined by applying a base haircut to this estimated depreciated market value. The base haircut is simulated using a triangular distribution (i.e., minimum, mode, maximum) with values of (5%, 15%, 30%). The resulting calculation provides the base liquidation value. Additional haircuts may be applied to the base liquidation value depending on the manufacturer's simulated status: non-bankrupt, bankrupt Chapter 11 or bankrupt Chapter 7. No further haircuts are applied to either (i) non-program (risk) and program vehicles from non-bankrupt manufacturers or (ii) program vehicles from bankrupt Chapter 11 manufacturers who are assumed to honor their program obligations. However, in all other cases, the base liquidation value is further reduced. For bankrupt Chapter 11 manufacturers, Moody's reduces the base liquidation of their non-program (risk) vehicles and their program vehicles whose obligations are assumed not to be honored by multiplying the base liquidation value by a haircut, which is simulated using a triangular distribution with input parameters (14%, 18%, 19%). For manufacturers assumed to be in Chapter 7, Moody's reduces base liquidation value of their vehicles by multiplying the base liquidation value by a haircut, which is simulated using a triangular distribution with input parameters (25%, 35%, 50%). Slightly higher volatility of the fleet mix by manufacturer was assumed given greater potential for changes in fleet mix in a seven year tranche. Additional sensitivities were conducted to test the impact of extra volatility in the pool mix on the ratings on the notes. INVESCO CONISTON: S&P Affirms Rating on Class F Notes at 'CCC-' --------------------------------------------------------------- Standard & Poor's Ratings Services took various rating actions on Invesco Coniston B.V.'s notes. Specifically, S&P: Affirmed and removed from CreditWatch negative its credit rating on the class A1 notes; Raised and removed from CreditWatch negative its rating on the class A2 notes; Raised and removed from CreditWatch positive its ratings on the class B and C notes; Affirmed and removed from CreditWatch positive its ratings on the class D and E notes; and Affirmed its rating on the class F notes. "The rating actions follow our assessment of an improvement in the credit quality of the underlying portfolio and an increase in the available credit enhancement for all classes of notes. The rating actions also reflect the application of our 2010 counterparty criteria (see 'Counterparty And Supporting Obligations Methodology And Assumptions,' published on Dec. 6, 2010)," S&P said. "Since our last transaction update in December 2009, we have observed an improvement in the credit quality of the underlying portfolio, which comprises loans to primarily speculative-grade corporate obligors," S&P related. "Our credit and cash flow analysis on the class A1 notes indicate that the level of available credit enhancement is sufficient for the notes to maintain their 'AAA (sf)' rating," S&P noted. "For the class A2 notes, our analysis indicates that the improvements in scenario default rates (SDRs) and the increase in available credit enhancement has benefited the class A2 notes to an extent where we can raise the ratings from their current levels. Therefore, we have raised our ratings on the class A2 notes to 'AA (sf)' from 'AA- (sf)'," S&P noted. "Our analysis indicates that the number of loans rated in the 'CCC' category has decreased. Currently, 5.76% of the portfolio's performing balance is rated in this category, compared with 7.64% in December 2009," according to S&P. Overall, this has led to an improvement in our SDR assumptions for each class of notes, thereby lowering our expectation of portfolio losses at each rating level. "At the same time, we have also observed an increase in the credit enhancement available to all classes of notes," S&P noted. "On Jan. 18, 2011, we placed the ratings on the class A1 and A2 notes on CreditWatch negative when our 2010 counterparty criteria became effective (see 'EMEA Structured Finance CreditWatch Actions In Connection With Revised Counterparty Criteria')," S&P stated. "In our opinion, the transaction documents reflect our 2010 counterparty criteria in respect of direct obligations (account banks, custodians, and liquidity facility). For derivatives, we believe that the swap documentation does not fully reflect our 2010 criteria. We have conducted our cash flow analyses assuming that the transaction does not benefit from support under the swaps. We concluded, after conducting these cash flow analyses, that the proposed ratings could be maintained and have therefore removed from CreditWatch negative our ratings on the class A1 and A2 notes," S&P stated. "Following a review of cash flow collateralized loan obligation (CLO) performance, on April 18, 2011, we placed the class B to E notes on CreditWatch positive (see 'Ratings Placed On CreditWatch Positive On 67 tranches In 24 European Corporate CLO Transactions')," S&P related. "Similarly, the improvements we have seen in the transaction since our last transaction update have, in our view, filtered down to the class B and C notes where we believe the credit enhancement available to these classes is now commensurate with higher rating levels. We have therefore raised and removed from CreditWatch positive our ratings on the class B and C notes," S&P said. "The increase in available credit enhancement for the class D and E notes is, in our opinion, currently insufficient to justify an upgrade on these notes. We have therefore affirmed and removed from CreditWatch positive our ratings on the class D and E notes," S&P stated. "We have also affirmed our 'CCC- (sf)' rating on the class F notes, as we still believe that noteholders are vulnerable to non- repayment of these notes," S&P added. Ratings List Class Rating To From Rating Raised And Removed From CreditWatch Negative A2 AA (sf) AA- (sf)/Watch Neg Ratings Raised And Removed From CreditWatch Positive B A+ (sf) A (sf)/Watch Pos C BBB+ (sf) BBB- (sf)/Watch Pos Ratings Affirmed And Removed From CreditWatch Positive D BB+ (sf) BB+ (sf)/Watch Pos E B- (sf) B- (sf)/Watch Pos Rating Affirmed And Removed From CreditWatch Negative A1 AAA (sf) AAA (sf)/Watch Neg Rating Affirmed F CCC- JER CRE CDO: Moody's Affirms Ratings of 14 CRE CDO Classes ---------------------------------------------------------- Moody's has affirmed fourteen classes of Notes issued by JER CRE CDO 2006-2, Limited due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor (WARF), and increase in Defaulted Securities, and sensitivities to recovery rates. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. Cl. A-FL, Affirmed at Caa3 (sf); previously on Jul 8, 2010 Downgraded to Caa3 (sf) Cl. B-FL, Affirmed at Ca (sf); previously on Jul 8, 2010 Downgraded to Ca (sf) Cl. C-FL, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded to C (sf) Cl. C-FX, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded to C (sf) Cl. D-FL, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded to C (sf) Cl. D-FX, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded to C (sf) Cl. E-FL, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded to C (sf) Cl. E-FX, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded to C (sf) Cl. F-FL, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded to C (sf) Cl. G-FL, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded to C (sf) Cl. H-FL, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded to C (sf) Cl. J-FX, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Jul 8, 2010 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Oct 1, 2009 Downgraded to C (sf) Ratings Rationale JER CRE CDO 2006-2, Limited is a cash CRE CDO transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (68% of the collateral balance), mezzanine loans (22.7%), CRE CDO (5.2%) and whole loans (4.1%). As of the May 20, 2011 Trustee report, the aggregate Note balance of the transaction has decreased to $885.3 million from $1,200.5 million at issuance, with the paydown directed to the Class A-FL Notes, as a result of a combination of failing the overcollateralization tests and redirection of interest on Defaulted Securities as principal. The deal went into Event of Default on the September 27, 2010 payment date as a result of failure of payment of interest on the Class A- FL and Class B-FL Notes, which has since been cured. The current balance of the Preferred Shares has been reduced to zero due to realized losses as of the May 20, 2011 Trustee report. There are eighty-three assets with a par balance of $510.5 million (58.8% of the collateral balance) that are considered Defaulted Securities as of the May 20, 2011 Trustee report. While there have been realized losses in the form of $292.5 million on the underlying collateral to date, Moody's does expect significant losses to occur on the Defaulted Securities once they are realized. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated credit estimates for the non-Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 8,969 compared to 8,709 at last review. The distribution of current ratings and credit estimates is as follows: Baa1-Baa3 (0.5% compared to 0.4% at last review), Ba1-Ba3 (0.0% compared to 1.0% at last review), B1-B3 (2.4% compared to 5.1% at last review), and Caa1-C (97.1% compared to 93.5% at last review). WAL acts to adjust the probability of default of the collateral in the pool for time. Moody's modeled to a WAL of 7.1 years compared to 6.6 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 2.2% compared to 2.7% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 99.9% compared to 0.0% at last review. The high MAC is due to higher default probability collateral concentrated within a small number of collateral names. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption up from 2.2% to 7.2% would result in average rating movement on the rated tranches of 0 to 1 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in November 2010. Other methodologies used in these ratings were "CMBS: Moody's Approach to Revolving Facilities in CDOs Backed by Commercial Real Estate Interests" published in July 2004. Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. JG WENTWORTH: Moody's Assigns Ratings to Class A and B Notes ------------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to the notes issued by J.G. Wentworth XXIII LLC (Issuer), an indirect subsidiary of J.G. Wentworth, LLC, collateralized by a pool of structured settlements and assignable annuities. The complete rating action is: Issuer: J.G. Wentworth XXIII LLC -- $226,044,000 Class A, 4.70% Fixed Rate Asset Backed Notes, Series 2011-1, rated Aaa (sf) -- $21,212,000 Class B, 7.49% Fixed Rate Asset Backed Notes, Series 2011-1, rated Baa2 (sf) It should be noted that final amounts of each class are different from the amounts that were assigned provisional ratings on June 6, 2011. Specifically, the Class A Notes were increased by approximately $3.3 million while the Class B Notes were increased by approximately $0.3 million, resulting in an increase in the total issuance of approximately $3.6 million. The higher amounts are due solely to the lower actual coupon rates on the notes as compared to the coupon rates assumed when analyzing the notes for the provisional ratings. Ratings Rationale Moody's ratings on the Notes reflects the assessed quality of the court ordered structured settlements and annuity receivables (the receivables), the credit worthiness of the obligors, the servicing arrangement and the structural and legal features. Historically, Wentworth's originated court ordered structured settlements receivables have experienced very low losses, totaling less than 0.11% cumulatively since 2002. In addition, the pool of obligors under the receivables is diverse and comprised primarily of highly rated life insurance companies, of which approximately 88.7% based on the present value of the securitized receivables, have an insurance financial strength ratings of A3 or higher. The Issuer's assets will include court ordered structured settlements (approximately 94.6% of the present value of the receivables), annuity receivables (approximately 5.4% of the present value of the receivables) (together the receivables) and approximately $61.8 million, which will be used to purchase 25% of the net present value of the total receivables, deposited into the Prefunding Account. The receivables were originated by J.G. Wentworth Origination LLC (J.G. Wentworth). This will be the second J.G. Wentworth transaction that utilizes a Prefunding Account. Amounts on deposit in the prefunding account may be used within a prefunding period of ninety day after closing to acquire additional receivables. The addition of new receivables is subject to eligibility criteria and to a Rating Agency Confirmation in which Moody's must affirm that it will not downgrade, withdraw or qualify its ratings of the Notes solely as a result of the acquisition of additional receivables. Any amount remaining in the Prefunding Account at the end of the Prefunding Period will be deposited into the collection account and distributed in accordance with the priority of payments. The servicing arrangement adequately reduces the risk of a servicing disruption; Deutsche Bank Trust Company Americas (DBTCA) will act as the master servicer, and will initially subcontract with J.G. Wentworth Management Company, LLC (JGW Management) to perform its servicing obligations. In addition, Portfolio Financial Servicing Company (PFSC) will act as hot back-up servicer. The transaction utilizes a turbo structure in which all collections from the receivables, net of certain fees and expenses, are first used to meet interest payments on the Notes and second to pay down the Notes' outstanding principal balance until paid in full. The Class A Notes will benefit from 14.75% subordination comprised of Class B Notes and the Issuer Interest. The Class A subordination is expected to increase over time as the Class B will not receive any principal payments in the first 48 months after the closing date and the Issuer Interest will not receive any principal until all the Notes are paid in full; performance triggers provide additional protection to the Class A notes. The Class B benefits from 6.75% subordination provided by the Issuer Interest. Finally, the Notes benefit from a non- declining reserve account equal to 1% of the initial present value of the receivables; if and when additional receivables are added to the pool during the prefunding period, the amount on deposit in the reserve account and the target reserve account balance will increase accordingly. Moody's V-Score And Parameter Sensitivities The V Score for this transaction is Low/Medium. The V Score indicates better than "Average" structure complexity and uncertainty about critical assumptions. The Low/Medium score for this transaction is driven by a variety of factors. Historic collateral performance in this sector has been consistent with expectations, and there have been no downgrades to date. Securitization performance data dates back fifteen years or so. Nevertheless, transactions have very long durations of thirty to forty years, and the past experience does not include a period of significant stress such as a default by a major life insurance carrier. Additionally, the vast majority of the assets are originated though a court order process which minimize origination and legal risk. Finally, the obligors under the receivables are life insurance companies which are subject to regulations and oversight. Servicing responsibilities are low because the insurance company obligors are reliable payors. Moody's Parameter Sensitivities For this exercise, Moody's analyzed scenarios stressing two key model input assumptions to determine the potential model-indicated ratings impact. The two key model inputs and associated stressed values were as follows: (a) for the default probability, the ten largest obligors were used as a proxy for the pool as a whole. Moody's lowered its ratings by two and four notches as a proxy for increase in default probability; and (b) for the recovery rate upon an obligor default Moody's lowered the assumed recovery rate by an additional 15% and 30%. Moody's base case assumes a range of recoveries centered at around 70% for companies that are rated investment grade and centered around 50% for non investment grade companies. For the Class A notes, using the assumptions , the Aaa (sf) initial rating might change as follows based purely on model results: (a) If the assumed ratings for the ten largest obligors are their current ratings, the model-indicated output based on the changes in recovery rates becomes as follows: base case, Aaa(0); 15% lower than base case, Aa1(1); and 30% lower than base case, Aa2(2); (b) If the assumed ratings for the ten largest obligors is two notches down, the model-indicated output based on the changes in recovery rates becomes as follows: base case, Aa1(1); 15% lower than base case, Aa2(2); and 30% lower than base case, Aa3(3); and (c) If the assumed ratings for the ten largest obligors are four notches down, the model-indicated output based on the changes in recovery rates becomes as follows: base case, Aa3(3); 15% lower than base case, A2(5); and 30% lower than base case, A3(6). For the Class B notes, using such assumptions, the Baa2 (sf) initial rating might change as follows based purely on model results: If the assumed ratings for the ten largest obligors are their current ratings, the model-indicated output based on the changes in recovery rates becomes as follows: base case, Baa2(0); 15% lower than base case, Baa2(0); and 30% lower than base case, Baa3(1); (b) If the assumed ratings for the ten largest obligors are two notches down, the model-indicated output based on the changes in recovery rates becomes as follows: base case, Baa3(1); 15% lower than base case, Ba2(3); and 30% lower than base case, Ba3(4); and (c) If the assumed ratings for the ten largest obligors are four notches down, the model indicated output based on the changes in recovery rates becomes as follows: base case, B1(5); 15% lower than base case, B3(7); and 30% lower than base case, 7). Principal Methodology In assigning credit ratings on structured settlement-backed notes, Moody's relies on both qualitative and quantitative analysis. Qualitative Analysis Moody's qualitative analysis focuses primarily on evaluating (i) the servicer's capacity to fulfill its duties and whether the servicing arrangement adequately reduces the likelihood and extent of a servicing disruption; (ii) cash management, and (iii) the extent of payment diversion risk. Moody's evaluates a number of factors regarding servicing, including: the effectiveness of the servicer's systems to flag future dates when large payments are due and the servicer's ability to quickly detect inappropriately allocated payments and to act on improperly missed or diverted payments. Moody's also evaluates the risk of servicing disruption. The risk of servicing disruption tends to be low when servicing is provided by an experienced, stable, financially strong servicer, or the transaction provides for backup servicing arrangements that would likely lead to a smooth, quick transfer of servicing to another entity if needed. Structured settlement securitizations benefit from strong legal protections; however, funds may be diverted from investors in connection with a sponsor's bankruptcy, or as a result of either fraud by the claimants or administrative error. Moody's assessment of that risk focuses on evaluating the extent to which obligors' payments are isolated from the sponsor by lock box arrangements or other means and the servicer's oversight over incoming payments to ensure they are in line with scheduled payments. Payment diversion risk arises from settlement claimants attempting to divert payments from the securitization. This risk is low because the vast majority of the receivables in the analyzed transactions (based on discounted balance of the securitized receivables at the time of each transaction's closing date) consisted of court-ordered transfers of structured settlement receivables. Court-ordered structured settlements consist of receivables created after the enactment of the Victims of Terrorism Tax Relief Act of 2001 (the Act). The Act stipulates that the sale of a structured settlement receivable must be subject to a court order under which the structured settlement obligors are directed by the court to remit payments to a given party. Therefore, the securitization's right to receive settlement payments is backed by strong legal protections. Quantitative Analysis Moody's used a Monte Carlo analysis to simulate no less than 10,000 different scenarios of the structured settlement pool performance. The modeled cash-flows are then used to pay down the Notes and to observe the probabilities and severities of defaults for the different classes of Notes. Specifically, the IRR of the simulated ABS cash flows is calculated for each iteration, and then compared to the promised IRR (coupon) to measure the reduction in IRR. If there is a principal loss, this loss is noted and the amount is logged. After completing the simulations, an average reduction in IRR, an average frequency of loss and an average loss (expected loss) is calculated. From these results model-indicated ratings are determined using the appropriate Moody's idealized reference tables. Of these measures, the primary driver to the rating outcome is the IRR reduction. The Monte Carlo simulation model uses asset level information about the pool of securitized receivables including the credit quality of the obligors. The model relies on identifying key variables important to the performance of the assets and on assigning probability distributions for these variables. The key variables include the probability of default for the obligors making payments under the securitized receivables, the recovery rate on the receivables upon the default of an obligor, the correlation between obligors' defaults, and losses. In defining the parameters for the variables, Moody's relied on a combination of historical data, market knowledge on current and future trends in the insurance industry and the sub-servicer's own experience. This is a more detailed explanation of the key variables and Moody's assumptions for each: 1. The obligor mix in these transactions consists of insurance companies (primarily life insurance companies) which are typically highly rated. For probability of default assumptions, Moody's used the actual credit ratings for the obligor if available; for obligors for which Moody's credit rating was not available, a probability of default consistent with a Ba rating level was assumed. Finally, obligors which are part of the same insurance group were treated as a single obligor. 2. Moody's recovery assumptions for the structured settlements of defaulted obligors range from 35% to 75%. For most investment grade rated life insurers, the distribution is centered toward the upper end of that range. 3. For obligor correlation, Moody's assumes that each individual company's default is correlated with all other obligors in the pool, reflecting the fact that they are all in the life insurance industry. This approach is consistent with the correlation approach Moody's uses to evaluate other pools of corporate credit. Generally speaking, Moody's employs single industry correlation assumptions that range from 3% to 50%, depending on the industry, the nature of the obligation and the geographic dispersion of the obligors. Moody's uses a correlation assumption of 25% in analyzing the behavior of pools of insurance company obligors in structured settlements. This level of correlation results in the default of approximately half of the obligors in a typical pool within ten years, as compared to approximately one sixth of the pool with no correlation. In arriving at the 25% correlation assumption, Moody's considered the fact that the securitized obligations are claims Moody's views on par with insurance policies, rather than corporate debt obligations, and the relatively low observed correlation among life insurance companies. 4. Direct collateral losses, not associated with failures of insurance companies defaulting on their obligations, were assumed to be less than 2%. Though historically losses on court-ordered structured settlements have been very low (for example, totaling less than 25 basis points cumulatively since 2002 for one leading industry participant), losses for a specific transaction may be higher than the historical levels. Losses may stem from bankruptcy of claimant, fraud, administrative error by the originator or obligor or other reasons. 5. Overall, Moody's assesses the sufficiency of the available credit enhancement in light of the various structural features of the transaction. Other methodologies and factors that may have been considered in the process of rating this issue can be found at www.moodys.com in the Ratings Methodologies subdirectory within the Rating Methodologies and Performance directory. 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. Moody's Investors Service received a third party due diligence report on the underlying assets or financial instruments in this transaction. JPMORGAN CHASE: Fitch Ratings Downgrades JPMCC 2001-CIBC2 --------------------------------------------------------- Fitch Ratings has downgraded three classes of J.P. Morgan Chase Commercial Mortgage Securities Corp. (JPMCC), commercial mortgage pass-through certificates, series 2001-CIBC2. The downgrades are the result of an increase in Fitch expected losses of the remaining pool. Fitch modeled losses of 18.9% of the remaining pool; expected losses of the original pool are at 5.7%, including losses already incurred to date. The losses are expected to deplete class K through class H and impair class G. Fitch has identified 13 loans (34.4%) as Fitch Loans of Concern, which includes nine specially serviced loans (30%). As of the June 2011 distribution date, the pool's aggregate principal balance has been paid down by approximately 72.2% to $207.7 million from $961.7 billion at issuance. Interest shortfalls are affecting the non rated class NR through class G, with cumulative unpaid interest totaling $2.3 million. Fitch stressed the cash flow of the remaining loans by applying a 5% reduction to 2009 or 2010 fiscal year-end net operating income, and applying an adjusted market cap rate between 8.10% and 11.00 % to determine value. All the loans also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. All of the loans are considered to pay off at maturity, and could refinance to a debt-service coverage ratio (DSCR) above 1.25 times (x). The current weighted average DSCR is 1.41x. The largest contributors to modeled losses are Gateway Executive Park (7.2%), Oakpointe Business Centre (2.7%) and Wright Point Office Complex (4.6%) loans. Gateway Executive Park is a 231,256 square foot (sf) office property in Schaumburg, IL, a northwest Chicago suburb. The property became a real estate owned asset (REO) in March 2011 and is currently 73% leased. The property will be listed for sale in the next 30 days. The most recent servicer valuation of the property indicates losses upon liquidation. Oakpointe Business Centre is a 96,213 sf office property in Arlington Heights, IL. The special servicer foreclosed on the property in August 2010 via a deed-in-lieu of foreclosure. Settlement proceeds collected from the borrower have been applied to repay the outstanding balance of the loan. Wright Point Office Complex is secured by a 162,568 sf office property in Riverside, OH and transferred to the special servicer in January 2010 due to imminent default. The special servicer has initiated foreclosure and the most recent property valuation indicates losses upon the liquidation of the property. Fitch has downgraded these classes: -- $25.2 million class G to 'CC/RR2' from 'CCC/RR1'; -- $7.2 million class H to 'C/RR6' from 'CC/RR3'; -- $10.7 million class K to 'D/RR6' from'C/RR6'. Fitch has affirmed these classes: -- $25.1 million class A-3 at 'AAA/LS1'; Outlook Stable; -- $38.5 million class B at 'AAA/LS4'; Outlook Stable; -- $38.5 million class C at 'AAA/LS4'; Outlook Stable; -- $14.4 million class D at 'AAA/LS5'; Outlook to Stable from Negative; -- $28.9 million class E at 'BBB-/LS5'; Outlook to Stable from Negative; -- $12 million class F at 'BB/LS5'; Outlook to Stable from Negative; -- $7.2 million class J at'C/RR6'; -- $4.8 million class L at 'D/RR6'; -- $7.8 million class M at 'D/RR6. Classes A-1 and A-2 have paid in full. Fitch does not rate NR class certificates. Fitch has withdrawn the ratings on the Interest-only class X-1. JPMORGAN CHASE: S&P Lowers Rating on Class L Certs. to 'D' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating to 'D (sf)' on the class L commercial mortgage pass-through certificate from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2004- LN2, a U.S. commercial mortgage-backed securities (CMBS) transaction. The downgrade follows a principal loss to the class L certificate, which was detailed in the June 15, 2011, remittance report. "Class L experienced a 2.5% loss of its $4.7 million original balance. The class M certificate, which we previously downgraded to 'D (sf)', was also affected by the principal loss. Class M has lost 100% of its opening balance," S&P said. According to the June 15, 2011 remittance report, the trust experienced $3.6 million in principal losses during the monthly reporting period; $3.3 million of the principal losses were due to the liquidation of the Timber Park Apartments real estate owned (REO) asset, which was with the special servicer, CWCapital Asset Management LLC. The asset, a 158-unit multifamily property in Dallas, Texas, was transferred to the special servicer in September 2009 and became REO in March 2010. The asset had an outstanding trust balance totaling $3.6 million at the time of liquidation. Rating Lowered JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2004-LN2 Rating Class To From L D (sf) CCC- (sf) LB-UBS COMMERCIAL: S&P Cuts Ratings on 3 Classes of Certs. to 'D' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on six classes of commercial mortgage pass-through certificates from LB- UBS Commercial Mortgage Trust 2006-C1, a U.S. commercial mortgage- backed securities (CMBS) transaction. The downgrades were due to principal losses and the potential for future interest shortfalls. "We lowered our ratings on the class J, K, and L certificates to 'D (sf)' because of principal losses resulting from the liquidation of one asset that was with the special servicer, LNR Partners LLC. According to the June 17, 2011, remittance report, the trust experienced $43.7 million in principal losses upon the recent disposition of The Chapel Hills Mall asset, which liquidated at a 35.8% loss severity based on its $122.0 million original balance. The Chapel Hills Mall is a regional mall in Colorado Springs, Colo., with 500,757 net rentable square feet. The sponsor was General Growth Properties Inc., and the loan had been with the special servicer since April 2009. The class J certificate experienced a loss of 37.5% of its $18.4 million original balance. Classes K, L, and M experienced losses of 100% of their original balances. Standard & Poor's had previously lowered its rating on the class M certificate to 'D (sf)'," S&P said. "We lowered our ratings on classes F, G, and H certificates because of increased susceptibility to future interest shortfalls due to the reduced liquidity support available to these certificates. As of the June 17, 2011, trustee remittance report, appraisal reduction amounts (ARAs) totaling $20.3 million were in effect for seven ($57.5 million, 2.8%) of the transaction's nine ($87.0 million, 4.3%) 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 $92,880, and the reported cumulative ASER amount was $469,595. Standard & Poor's considered six ASER amounts, which were based on Member of the Appraisal Institute (MAI) appraisals, as well as current special servicing fees ($69,637), workout fees ($90), and interest on advances ($19,234), in determining its rating actions. The reported monthly interest shortfalls totaled $143,168 and affected all of the classes subordinate to and including class K," S&P related. Ratings Lowered LB-UBS Commercial Mortgage Trust 2006-C1 Commercial mortgage pass-through certificates Credit Reported Rating enhancement interest shortfalls ($) Class To From (%) Current Accumulated F B (sf) BB- (sf) 2.81 0 0 G CCC (sf) B+ (sf) 1.76 0 0 H CCC- (sf) B+ (sf) 0.56 0 0 J D (sf) B (sf) 0 0 0 K D (sf) CCC+ (sf) 0 87,348 567,331 L D (sf) CCC (sf) 0 49,802 434,021 LNR CDO: Moody's Downgrades Ratings of Four CRE CDO Classes ----------------------------------------------------------- Moody's has downgraded four and affirmed four classes of Notes issued by LNR CDO 2003-1, Ltd. due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor (WARF), increase in Defaulted Securities, and increase in realized losses. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO) transactions. Cl. A, Affirmed at Aa2 (sf); previously on Aug 4, 2010 Downgraded to Aa2 (sf) Cl. B, Affirmed at Baa1 (sf); previously on Aug 4, 2010 Downgraded to Baa1 (sf) Cl. C-FL, Affirmed at Baa3 (sf); previously on Aug 4, 2010 Downgraded to Baa3 (sf) Cl. C-FX, Affirmed at Baa3 (sf); previously on Aug 4, 2010 Downgraded to Baa3 (sf) Cl. D-FL, Downgraded to B1 (sf); previously on Aug 4, 2010 Downgraded to Ba3 (sf) Cl. D-FX, Downgraded to B1 (sf); previously on Aug 4, 2010 Downgraded to Ba3 (sf) Cl. E-FL, Downgraded to Caa3 (sf); previously on Aug 4, 2010 Downgraded to B3 (sf) Cl. E-FX, Downgraded to Caa3 (sf); previously on Aug 4, 2010 Downgraded to B3 (sf) RATINGS RATIONALE LNR CDO 2003-1, Ltd. is a CRE CDO transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (100% of the collateral balance). As of the May 19, 2011 Trustee report, the aggregate Note balance of the transaction has decreased to $596.6 million from $762.7 million at issuance, with the paydown directed to the Class A Notes, as a result of failing the Class F par value test. There are 37 assets with par balance of $137.5 million (23.0% of the current pool balance) that are considered Defaulted Securities as of the May 19, 2011 Trustee report. While there have been limited realized losses in the underlying collateral in the form of $159.3 million to date, Moody's does expect significant losses to occur once they are realized. Moody's has identified these parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated credit estimates for the non-Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 5,825 compared to 4,506 at last review. The distribution of current ratings and credit estimates is as follows: Aaa-Aa3 (1.8% compared to 0.0% at last review), Baa1-Baa3 (6.3% compared to 1.7% at last review), Ba1-Ba3 (15.4% compared to 32.9% at last review), B1-B3 (0.0% compared to 28.1% at last review), and Caa1-C (54.8% compared to 37.3% at last review). WAL acts to adjust the probability of default of the collateral in the pool for time. Moody's modeled to a WAL of 2.8 years compared to 3.8 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 8.1% compared to 9.2% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 15.2% compared to 20.5% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 14.2% to 9.5% or up to 5% would result in average rating movement on the rated tranches of 0 to 1 notch downward and 0 to 1 notch upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current sluggish macroeconomic environment and varying performance in the commercial real estate property markets. However, Moody's expects to see increasing or stabilizing property values, higher transaction volumes, a slowing in the pace of loan delinquencies and greater liquidity for commercial real estate in 2011 The hotel and multifamily sectors are continuing to show signs of recovery, while recovery in the office and retail sectors will be tied to recovery of the broader economy. The availability of debt capital continues to improve with terms returning toward market norms. Moody's central global macroeconomic scenario reflects an overall sluggish recovery through 2012, amidst ongoing individual, corporate and governmental deleveraging, persistent unemployment, and government budget considerations. The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in November 2010. Other methodologies used in these ratings were "CMBS: Moody's Approach to Rating Static CDOs Backed by Commercial Real Estate Securities" published in June 2004 Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months. LSTAR 2011-1: Fitch to Rate LSTAR 2011-1 Certificates ----------------------------------------------------- Fitch Ratings has issued a presale report on LSTAR Commercial Mortgage Trust 2011-1 commercial mortgage pass-through certificates: Fitch expects to rate the transaction and assign Loss Severity (LS) ratings and Outlooks: -- $220,414,000 class A 'AAAsf/LS2'; Outlook Stable; -- $18,141,000 class B 'AAAsf/LS4'; Outlook Stable; -- $28,572,000 class C 'Asf/LS3'; Outlook Stable; -- $27,666,000 class D 'BBB-sf/LS3'; Outlook Stable; -- $7,710,000 class E 'BBsf/LS5'; Outlook Stable; -- $6,803,000 class F 'Bsf/LS5'; Outlook Stable. The expected ratings are based on information provided by the issuer as of June 10, 2011. Fitch does not expect to rate the $362,822,295* interest-only class X, or the $53,516,295 class G. *Notional amount and interest only. The certificates represent the beneficial ownership in the trust, primary assets of which are 150 seasoned loans secured by 152 commercial properties, having an aggregate principal balance of approximately $362.8 million as of the cutoff date. The loans were acquired by Lone Star Funds over the past nine months. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 49% of the properties by balance, including nine of the top 10 properties by balance, and performed cash flow analysis of 52.4% of the pool. The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 0.74 times (x), a Fitch stressed loan-to value (LTV) of 128.9%, and a Fitch debt yield of 7.8%. Fitch's aggregate net cash flow represents a variance of 8.3% to the most recently reported NOI. The Master Servicer and Special Servicer will be Midland Loan Services, Inc., (rated 'CMS1' by Fitch) and Hudson Advisors, LLC (rated 'CSS2-' by Fitch), respectively. MERRILL LYNCH: Fitch Downgrades Classes of MLMT 2005-CIP1 --------------------------------------------------------- Fitch Ratings has downgraded 12 classes of Merrill Lynch Mortgage Trust (MLMT) 2005-CIP1 commercial mortgage pass-through certificates. In addition, Fitch has revised the Loss Severity (LS) ratings and assigned Ratings Outlooks and Recovery Ratings as applicable. The downgrades reflect Fitch expected losses, most of which are associated with the specially serviced loans. Fitch modeled losses of 7.91% of the remaining pool; expected losses based on the original pool size are 8.15%, which also reflect losses already incurred to date. Fitch has designated 42 loans (40.5%) as Fitch Loans of Concern, which include seventeen specially serviced loans (18%). Five of the Fitch Loans of Concern (23.82%) are within the transaction's top 15 loans by unpaid principal balance. Fitch expects that class M through P may eventually be fully depleted from losses associated with loans currently in special servicing. Fifteen loans (15.54%) have transferred to special servicing since Fitch's last review. As of the June 2011 distribution date, the pool's aggregate principal balance has reduced by 15.54% (including 1.31% of realized losses) to $1.78 billion from $2.06 billion at issuance. Due to realized losses, the unrated class Q has been reduced to zero ($0) from $25.7 million at issuance, and class P has been reduced to $3.9 million from $5.1 million at issuance. Interest shortfalls are affecting classes J through Q. The largest contributor to Fitch-modeled losses is the Highwoods Portfolio (8.99%) loan, the second largest in the pool. The loan is secured by a pool of 31 cross-collateralized office properties in Charlotte, NC (18 properties) and Tampa, FL (13 properties). The combined year end (YE) December 2010 debt service coverage ratio (DSCR) and portfolio occupancy reported at 1.14 times (x) and 61%, respectively. The loan sponsor group consists of Eola Capital, Utah State Retirement Investment Fund, and Banyan Street Partners. The loan transferred to special servicing in March 2010, and has been in maturity default since August 2010. On May 13, 2011 the lender and borrower were able to successfully close on a loan modification which consisted of an A/B loan restructure ($100 million A-Note and $60 million B-Note), an $18 million capital infusion, and maturity date extensions on both notes to May 2014. The second largest contributor to Fitch-modeled losses is the Equity Lifestyle Portfolio (2.15%) loan. The loan is collateralized by three manufactured housing recreational vehicle parks with two located in upstate New York and one located in New Hampshire. The properties have struggled since issuance. The servicer has reported that the subject properties experience seasonal peaks and are out of season until April or May of each year. The combined servicer-reported YE 2010 DSCR and YE December 2009 was 0.62x and 0.55x, respectively. The third largest contributor to Fitch-modeled losses is the University Village (1.75%) loan. The loan is collateralized by 161,090 square foot retail center located in Riverside, CA, near the University of California at Riverside campus. The property has experienced cash flow issues due to occupancy declines. The September 2010 rent roll reported occupancy at 87%. The servicer provided YE December 2010 financial statements reported DSCR at 1.06x. The asset transferred to special servicing in January 2009 upon the borrower's request for a loan modification. The servicer has reported a loan modification was executed in May 2011. Fitch downgrades, revises and assigns Outlooks, Loss Severity (LS) ratings or Recovery Ratings (RR) on these classes: -- $18 million class C to 'BBB-sf/LS5' from 'Asf/LS5'; Outlook Stable; -- $38.6 million class D to 'BBsf/LS5' from 'BBBsf/LS5'; Outlook to Stable from Negative; -- $25.7 million class E to 'B-sf/LS5' from 'BBsf/LS5'; Outlook to Stable from Negative; -- $33.4 million class F to 'CCCsf/RR1' from 'Bsf/LS5'; -- $20.1 million class G to 'CCsf/RR1' from 'B-sf/LS5'; -- $25.7 million class H to 'CCsf/RR1' from 'B-sf/LS5'; -- $10.3 million class J to 'CCsf/RR1' from 'B-sf/LS5'; -- $5.1 million class K to 'CCsf/RR1' from 'B-sf/LS5'; -- $7.7 million class L to 'CCsf/RR3' from 'B-sf/LS5'; -- $7.7 million class M to 'Csf/RR6' from 'B-sf/LS5'; -- $5.1 million class N to 'Csf/RR6' from 'CCCsf/RR6'; -- $3.9 million class P to 'Dsf/RR6' from 'CCCsf/RR6'. In addition, Fitch affirms these classes and revises the LS ratings: -- $381.1 million class A-2 at 'AAAsf'; LS to 'LS2' from 'LS1'; Outlook Stable; -- $157.9 million class A-3 at 'AAAsf'; LS to 'LS2' from 'LS1'; Outlook Stable; -- $50 million class A-3B at 'AAAsf'; LS to 'LS2' from 'LS1'; Outlook Stable; -- $90.6 million class A-SB at 'AAAsf'; LS to 'LS2' from 'LS1'; Outlook Stable; -- $510.3 million class A-4 at 'AAAsf'; LS to 'LS2' from 'LS1'; Outlook Stable; -- $205.7 million class A-M at 'AAAsf/LS3'; Outlook Stable; -- $138.8 million class A-J at 'AAsf'; LS to 'LS4' from 'LS3'; Outlook Stable; -- $43.7 million class B at 'Asf/LS5'; Outlook Stable. Class A-1 has repaid in full. Fitch does not rate class Q, which has been reduced to zero due to realized losses. Fitch had withdrawn the rating of the interest-only classes X-C and X-P on July 13, 2010. MERRILL LYNCH: S&P Lowers Rating on Class F Certs. to 'B' --------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class F commercial mortgage pass-through certificate from Merrill Lynch Mortgage Investors Inc.'s series 1996-C2 to 'B (sf)'. The lowered rating primarily reflects liquidity considerations. The master servicer, Wells Fargo Commercial Mortgage Servicing (Wells Fargo), has indicated that it intends to recover a portion of prior advances related to two specially serviced hotel assets- the Estes - Best Western - Orlando ($13.8 million, 28.9%) and the Estes - HoJo Main Gate - Kissimmee ($3.2 million, 6.8%) loans. Specifically, the master servicer plans to recover a total of $956,622: $538,806 for Estes - Best Western - Orlando and $417,816 for Estes -HoJo Main Gate - Kissimmee. Wells Fargo expects to recover these prior advances from all available principal and interest to the trust, excluding interest due the interest-only (IO) class. As of the May 23, 2011 trustee remittance report, the reported monthly interest shortfalls totaled $239,465 and have affected all of the classes subordinate to class F. Standard & Poor's considered all of the drivers of the interest shortfalls: interest not advanced ($140,206), additional trust fund expenses ($95,697), special servicing fees ($3,544), and workout fees ($17). Standard & Poor's expects the additional shortfalls associated with the aforementioned advance recoveries to cause the class F to experience interest shortfalls for the next several months, and thus, S&P is lowering its rating on this class to 'B (sf)'. The special servicer, CWCapital Asset Management LLC (CWCapital), indicated that the hotel assets associated with the anticipated shortfalls are being marketed for sale and may be liquidated within the next several months. "We may downgrade class F further if the two hotel assets are not liquidated in the near term. However, in the interim, we expect the class F certificate to experience recurring interest shortfalls," S&P said. As of the May 23, 2011, trustee remittance report, two assets were with the special servicer. The larger of these is the Estes - Best Western - Orlando asset, which is secured by a 672-room hotel in Orlando, Fl. The asset is the largest asset in the pool and has a total exposure of $17.4 million, which includes $3.7 million in advancing and interest thereon. The asset was transferred to CWCapital on Nov. 26, 2008, due to monetary and franchise defaults and became real estate owned (REO) on Nov. 1, 2010. An April 2010 appraisal valued the hotel property significantly below the total exposure. "We expect a significant loss upon the eventual resolution of this asset," S&P said. The Estes - HoJo Main Gate - Kissimmee asset is the remaining asset with the special servicer. The asset is the third-largest in the pool and is secured by a 367-room hotel in Kissimmee, Fl. The total exposure is $4.8 million, which includes $1.6 million in advancing and interest thereon. The asset was transferred to CWCapital on Dec. 10, 2008, due to imminent default and became REO on Sept. 7, 2010. An April 2010 appraisal valued the hotel property significantly below the total exposure. We expect a significant loss upon the eventual resolution of this asset. Rating Lowered Merrill Lynch Mortgage Investors Inc. Commercial mortgage pass-through certificates series 1996-C2 Rating Class To From F B (sf) A (sf) MORGAN STANLEY: Fitch Affirms MS 1998-WF2 Ratings ------------------------------------------------- Fitch Ratings has affirmed the ratings of eight classes of Morgan Stanley Capital I Trust's commercial mortgage pass-through certificates, series 1998-WF2. In addition, Fitch has revised the Loss Severity (LS) ratings as applicable. The Rating Outlooks remain as indicated. The affirmations reflect stable portfolio performance and significant portfolio amortization. As of the June 2011 distribution date, the pool's certificate balance has been reduced by 89.5% (to $111.6 million from $1.06 billion), of which 88.8% were due to paydowns and 0.70% were due to realized losses. In addition, one loan (8.9%) has been defeased. Fitch modeled losses of 0.30% of the remaining pool balance (0.73% of the original pool balance, including losses already incurred to date) from two loans in the pool, one of which is in special- servicing. In total, Fitch has identified three Fitch Loans of Concern (15.87%), one of which is the specially-serviced loan. Fitch expects the losses associated with these loans to be absorbed by the non-rated class N. The largest contributor to modeled losses is a Loan of Concern (0.70%) secured by a 7,971 square foot retail property located in Cameron Park, CA. The property was previously occupied by Hollywood Video and is now vacant as of the January 2011 rent roll. The second largest contributor to modeled losses is a specially- serviced loan (1.62%) secured by a 47,550 square foot (sf) retail center located in Indianapolis, IN. The loan transferred to special servicing in June 2010 due to a payment default. The borrower submitted a discounted payoff offer which was denied. The special servicer is pursuing foreclosure. Fitch stressed the cash flow of the remaining loans by applying a 5% reduction to 2010 fiscal year-end (YE) net operating income, and applying an adjusted market cap rate between 8% and 11% to determine value. Each loan also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule based on the stressed cash flow. With the exception of the two loans which contributed to modeled losses, all the loans in the pool are considered to pay off at maturity, and could refinance to a debt service coverage ratio (DSCR) above 1.25 times (x). Fitch affirms the ratings and revises the LS ratings for these classes; the Outlooks remain: -- $18.1 million class E affirmed at 'AAAsf'; LS to 'LS1' from 'LS3'; Outlook Stable; -- $21.2 million class F affirmed at 'AAAsf'; LS to 'LS1' from 'LS3'; Outlook Stable; -- $23.9 million class G affirmed at 'AAAsf'; LS to 'LS1' from 'LS3'; Outlook Stable; -- $10.6 million class H affirmed at 'AAsf'; LS to 'LS2' from LS4'; Outlook Stable; -- $8 million class J affirmed at 'Asf'; LS to 'Asf/LS2' from 'LS5'; Outlook Stable; -- $8 million class K affirmed at 'BB+sf'; LS to 'LS2' from 'LS5'; Outlook Stable; -- $15.9 million class L affirmed at 'B-sf'; LS to 'LS1' from 'LS4'; Outlook Negative. In addition, Fitch affirms this class: -- $5.3 million class M at 'CCCsf/RR1'. Fitch does not rate class N. MORGAN STANLEY: Fitch Affirms Ratings on Series 2003-IQ5 Certs. --------------------------------------------------------------- Fitch Ratings affirms 13 classes of Morgan Stanley Capital I Trust commercial mortgage pass through certificates, series 2003-IQ5. The affirmations reflect the stable performance of the pool and minimal expected losses as there are no loans currently in special servicing and only three Fitch loans of concern (1.81%). Any incurred losses will be absorbed by the non-rated O class. As of the May 2011 distribution date, the pool's certificate balance has paid down 48.1% to $404.2 million from $778.8 million at issuance. There are 62 remaining loans from the original 86 loans at issuance. Of the remaining loans, eight loans (12.8%) have defeased. Fitch stressed the cash flow of the non-defeased loans by applying a 5% reduction to the most recent year-end net operating income and applying an adjusted market cap rate to determine value. Fitch affirms and revises LS ratings and Outlooks to these classes: -- $22.4 million class A-4 at 'AAAsf/LS1'; Outlook Stable; -- $30.2 million class B at 'AAAsf; LS to 'LS3' from 'LS2'; Outlook Stable; -- $7.8 million class C at 'AA+sf'; LS to 'LS3' from 'LS2'; Outlook to Positive from Stable; -- $5.8 million class D at 'AA-sf'; LS to 'LS4' from 'LS3'; Outlook to Positive from Stable; -- $6.8 million class E at 'A+sf'; LS to 'LS4' from 'LS3'; Outlook Stable; -- $7.8 million class F at 'A-sf'; LS to 'LS4' from 'LS3'; Outlook Stable; -- $5.8 million class G at 'BBBsf'; LS to 'LS4' from 'LS3'; Outlook Stable; -- $2.9 million class H at 'BBB-sf'; LS to 'LS4' from 'LS3'; Outlook Stable; -- $4.9 million class J at 'BB+sf'; LS to 'LS5' from 'LS3'; Outlook Stable; -- $2.9 million class K at 'BBsf'; LS to 'LS5' from 'LS4'; Outlook Stable; -- $1.9 million class L at 'B+sf'; LS to 'LS5' from 'LS4'; Outlook Stable; -- $1 million class M at 'Bsf/LS5'; Outlook to Stable from Negative; -- $7.8 million class N at 'B-sf/LS5'; Outlook to Stable from Negative. Fitch does not rate class O. Classes A-1, A-2 and A-3 have paid in full. Additionally, Fitch withdraws the ratings of the interest only class X-1 and X-2. MORGAN STANLEY: Fitch Affirms Ratings on Series 2004-IQ7 Certs. --------------------------------------------------------------- Fitch Ratings affirms 14 classes of Morgan Stanley Capital I Trust commercial mortgage pass through certificates, series 2004-IQ7. The downgrades reflect Fitch's expectation of losses across the pool. Fitch modeled losses of 2.2% of the remaining pool; expected losses based on the original pool are 1.9%, reflecting losses already incurred to date. Fitch expects the losses associated with the specially serviced loans to be absorbed by the non-rated class O. The affirmations reflect paydown of the pool's principal balance resulting in increased credit enhancement to the senior classes. As of the May 2011 distribution date, the pool's certificate balance has paid down 19.6% to $694.2 million from $863 million at issuance. There are 118 remaining loans from the original 129 loans at issuance. Of the remaining loans, seven loans (15.6%) have defeased. Fifty-seven loans (18.6%) are backed by multifamily cooperative (co-op) properties. Fitch has identified seven loans as Fitch loans of concern (4.33%), which includes two specially serviced loans (2.06%). The largest contributor to losses is the Boise Towne Plaza loan, which is secured by a 116,677 square foot (sf) retail property in Boise, ID. The loan is sponsored by General Growth Properties and transferred to the special servicer subsequent to the borrower's bankruptcy filing. The loan most recently returned to the master servicer in January 2010 after loan modification whereby the maturity date was extended to July 2015. Fitch stressed the cash flow of the non-defeased loans by applying a 5% reduction to the most recent year-end net operating income and applying an adjusted market cap rate to determine value. Fitch affirms, revises LS ratings and Outlooks to these classes: -- $41.4 million class A-3 at 'AAAsf/LS1'; Outlook Stable; -- $550.5 million class A-4 at'AAAsf/LS1'; Outlook Stable; -- $29.1 million class B at 'AAsf'; LS to 'LS4' from 'LS3'; Outlook to Positive from Stable; -- $22.7 million class C at 'Asf'; LS to 'LS4' from 'LS3'; Outlook to Positive from Stable; -- $6.8 million class D at 'A-sf/LS5'; Outlook Stable; -- $9.4 million class E at 'BBB+sf'; LS to 'LS5' from 'LS4'; Outlook Stable; -- $5.4 million class F at 'BBBsf/LS5'; Outlook Stable; -- $4.3 million class G at 'BBB-sf/LS5'; Outlook to Stable from Negative; -- $5.4 million class H at 'BBsf/LS5'; Outlook to Stable from Negative; -- $4.3 million class J at 'Bsf/LS5'; Outlook Negative; -- $2.2 million class K at 'B-sf/LS5'; Outlook Negative; -- $2.2 million class L at 'CCCsf/RR1'; -- $2.2 million class M at 'CCCsf/RR1'; -- $2.2 million class N at 'CCCsf/RR1'. Fitch does not rate class O. Classes A-1 and A-2 have paid in full. Additionally, Fitch withdraws the ratings of the interest only classes X-1 and X-Y. MORGAN STANLEY: S&P Lowers Rating on Class L Certs. to 'CCC-' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating to 'CCC- (sf)' on the class L commercial mortgage pass-through certificate from Morgan Stanley Capital I Inc.'s series 2005-XLF, a U.S. commercial mortgage-backed securities (CMBS) transaction. "Concurrently, we affirmed our 'BBB+ (sf)' rating on the class K certificate from the same transaction," S&P said. "Our rating actions on classes K and L follow our analysis of the transaction, which included our revaluation of the remaining collateral in the transaction, the transaction structure, and the liquidity available to the trust. The remaining collateral in the transaction consists of the Metrocenter Mall loan, a floating-rate loan indexed to one-month LIBOR that is with the special servicer and matured on Feb. 9, 2010," S&P related. "The downgrade of the class L certificate to 'CCC- (sf)' primarily reflects our expectation that this class will most likely experience a principal loss upon the ultimate resolution of the sole remaining loan in the trust, the specially serviced Metrocenter Mall loan. Our downgrade also considered the declining performance of the collateral securing the loan and this class' susceptibility to interest shortfalls," S&P noted. "Our affirmation of the 'BBB+ (sf)' rating on the class K certificate reflects the fact that, despite the current high credit enhancement level of 96.63% (based on the June 15, 2011, trustee remittance report) and low debt per sq. ft. ($7 per sq. ft.), the Metrocenter Mall loan is with the special servicer and operating performance at the retail property has deteriorated over the last four years," S&P said. The Metrocenter Mall loan, the remaining loan in the trust, was transferred to the special servicer, Midland Loan Services (Midland), on June 26, 2009, due to imminent default after the borrower expressed difficulty securing refinancing. The loan matured on Feb. 9, 2010. Based on a February 2011 valuation of $30.0 million, as reported in the June 2011 trustee remittance report, an appraisal reduction amount of $78.4 million is in effect against the loan. According to the special servicer, the court-appointed receiver is marketing the retail property for sale. Midland indicated that it is currently evaluating the best and final offers received on the property. Midland also reported that if an offer is accepted and approved, it expects a sale to be consummated as early as in August 2011. "Based on the most recent reported valuation, we expect a significant loss, which will likely affect classes up to and including class L, upon the ultimate resolution of this loan," S&P said. The Metrocenter Mall loan is secured by 534,900 sq. ft. of a 1.37-million-sq.-ft. super-regional mall in Phoenix and has a trust and whole-loan balance of $105.2 million. In addition, there is a mezzanine loan with an outstanding balance of $22.0 million that is held outside the trust. "Based on our review of the borrower's operating statements for year-end 2010, its 2011 budget, and its May 2, 2011, rent roll, our adjusted net cash flow for this loan has declined 33.5% since our last review dated June 24, 2010. This primarily reflects decreases in base rents, occupancy, and expense reimbursement income at the property. Occupancy has fallen to 59.4% from 66.5% for the same period. Using a capitalization rate of 9.25%, our analysis yielded a stressed loan-to-value ratio that is significantly above 100% on the trust balance. The master servicer, also Midland, reported a debt service coverage of 6.14x for the 12-months ended July 31, 2010. The current one-month LIBOR reported in the June 15, 2011, trustee remittance report was 0.198%," S&P said. Rating Lowered Morgan Stanley Capital I Inc. Commercial mortgage pass-through certificates series 2005-XLF Rating Class To From Credit enhancement (%) L CCC- (sf) BB+ (sf) 61.70 Rating Affirmed Morgan Stanley Capital I Inc. Commercial mortgage pass-through certificates series 2005-XLF Class Rating Credit enhancement (%) K BBB+ (sf) 96.63 NATIONAL COLLEGIATE: Moody's Downgrades Ratings of 12 Tranches -------------------------------------------------------------- Moody's Investors Service downgraded 12 classes of notes and confirmed 77 classes of notes in 15 National Collegiate student loan securitizations backed by private (i.e. not government guaranteed) student loans. First Marblehead Data Services, Inc. (FMDS) and First Marblehead Education Resources, Inc., (FMER) subsidiaries of First Marblehead Corporation (FMC), are the administrator and the special servicer of the transactions, respectively. Ratings Rationale The downgrades were prompted by elevated defaults and the consequent erosion of parity levels (i.e. the ratio of total assets to total liabilities) for the subordinate notes. For more seasoned transactions (i.e., those closed in 2004 or earlier) which should have experienced a slowdown in defaults, and therefore an increase in total parity, the parity continued to decline from a range of 86.8-94.4% in August 2010 to 85.2-92.2% in April 2011. Among the more recent transactions (i.e., those closed in 2005 or later), the total parity declined from 87.7-92.7% to 87.6-90.8% during the same period. We expect additional defaults and further declines in parity as more borrowers enter repayment. FMC provides to Moody's supplemental static pool cumulative default information by repayment year and loan type on a quarterly basis. In March 2011, Moody's received a third-party audit of this supplemental performance information, which contained no significant exceptions. Available credit enhancement to the transactions includes overcollateralization, reserve funds, subordination, and excess spread. Significant structural features include subordinate note interest triggers, reserve fund floors, and the change in the cash flow allocations among the senior classes upon the occurrence of certain triggers. In particular, senior notes from most trusts (other than the Master Trust, 2003-1, 2004-1, 2007-3 and 2007-4) benefit from the subordinate note interest trigger event, which redirects interest payments on the subordinate notes to principal payments on the senior notes. As of the April 2011 reporting period, the Class C interest trigger was in effect for the 2005-1, 2005-2, 2006-1, and 2006-2 transactions. In addition, the Class D interest trigger was in effect for the 2007-2 transaction. The principal methodology used in National Collegiate Student Loan Trust rating actions was "Moody's Approach to Rating U.S. Private Student Loan-Backed Securities", published on January 6th, 2010 and is available at www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. 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. Our expected lifetime net losses as a percentage of the original pool balance plus any loans added subsequently are approximately 23.9%, 28.6%, 26.3%, 31.2%, 25.8%, 31.2%, 28.6%, 29.2%, 35.9%, 30.7%, 36.2%, 33.4%, 34.4%, 33.9% and 33.8% respectively for the Master Trust, 2003-1, 2004-1, 2004-2, 2005-1, 2005-2, 2005-3, 2006-1, 2006-2, 2006-3, 2006-4, 2007-1, 2007-2, 2007-3 and 2007-4 trusts. For the trusts excluding the Master Trust and 2007-3 and 2007-4, the ratings of the most junior Class A tranches could be upgraded in the future if the lifetime expected net losses are 10% lower, or downgraded if the lifetime expected net losses are 10% higher than the levels indicated. The ratings of Class 2005AR-16 of the Master Trust and Class A-3-AR-7 of 2007-3 and 2007-4 will not be affected in the future if the lifetime expected net losses are 10% lower or 10% higher than the levels indicated. 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 uncertainty with regard to expected losses are the weak economic environment and the high unemployment rate, which adversely impacts the income- generating ability of the borrowers. Overall, we expect overall a sluggish recovery in most of the world largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. The performance of DTC loans in particular is highly sensitive to these factors. In addition, the historical loss performance data available for these pools is relatively limited particularly for the most recent securitizations, as over 90% of the borrowers in the pools were still in school when the notes were issued. Moody's Investors Service has received and taken 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. Ratings Complete rating actions are: Issuer: National Collegiate Student Loan Trust 2003-1 (The) Cl. A-7, Confirmed at Caa1 (sf); previously on Sep 30, 2010 Downgraded to Caa1 (sf) and Remained On Review for Possible Downgrade Cl. IO, Confirmed at Caa1 (sf); previously on Sep 30, 2010 Downgraded to Caa1 (sf) and Remained On Review for Possible Downgrade Cl. B-1, Confirmed at Ca (sf); previously on Sep 30, 2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade Cl. B-2, Confirmed at Ca (sf); previously on Sep 30, 2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2004-1 Cl. A-2, Confirmed at A3 (sf); previously on Sep 30, 2010 Downgraded to A3 (sf) and Placed Under Review for Possible Downgrade Cl. A-3, Confirmed at Ba1 (sf); previously on Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for Possible Downgrade Cl. A-4, Confirmed at Caa3 (sf); previously on Sep 30, 2010 Downgraded to Caa3 (sf) and Remained On Review for Possible Downgrade Cl. B-1, Confirmed at Ca (sf); previously on Sep 30, 2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade Cl. B-2, Confirmed at Ca (sf); previously on Sep 30, 2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2004-2 Cl. A-4, Confirmed at A1 (sf); previously on Sep 30, 2010 Downgraded to A1 (sf) and Placed Under Review for Possible Downgrade Cl. A-5-1, Confirmed at Baa2 (sf); previously on Sep 30, 2010 Downgraded to Baa2 (sf) and Remained On Review for Possible Downgrade Cl. A-IO, Confirmed at Baa2 (sf); previously on Sep 30, 2010 Downgraded to Baa2 (sf) and Remained On Review for Possible Downgrade Cl. B, Downgraded to Caa1 (sf); previously on Sep 30, 2010 Downgraded to B3 (sf) and Remained On Review for Possible Downgrade Cl. C, Confirmed at Ca (sf); previously on Sep 30, 2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2005-1 Cl. A-4, Confirmed at A1 (sf); previously on Sep 30, 2010 Downgraded to A1 (sf) and Remained On Review for Possible Downgrade Cl. A-5-1, Confirmed at Ba1 (sf); previously on Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for Possible Downgrade Cl. A-5-2, Confirmed at Ba1 (sf); previously on Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for Possible Downgrade Cl. B, Downgraded to Caa2 (sf); previously on Sep 30, 2010 Downgraded to B3 (sf) and Remained On Review for Possible Downgrade Cl. C, Confirmed at Ca (sf); previously on Sep 30, 2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2005-2 Cl. A-3, Confirmed at Aa1 (sf); previously on Apr 7, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. A-4, Confirmed at Baa1 (sf); previously on Sep 30, 2010 Downgraded to Baa1 (sf) and Remained On Review for Possible Downgrade Cl. A-5, Confirmed at Ba1 (sf); previously on Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for Possible Downgrade Cl. A-5-2, Confirmed at Ba1 (sf); previously on Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for Possible Downgrade Cl. B, Downgraded to Caa3 (sf); previously on Sep 30, 2010 Downgraded to B3 (sf) and Remained On Review for Possible Downgrade Cl. C, Confirmed at Ca (sf); previously on Sep 30, 2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2005-3 Cl. A-4, Confirmed at A1 (sf); previously on Sep 30, 2010 Downgraded to A1 (sf) and Remained On Review for Possible Downgrade Cl. A-5-1, Confirmed at Ba1 (sf); previously on Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for Possible Downgrade Cl. A-5-2, Confirmed at Ba1 (sf); previously on Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for Possible Downgrade Cl. B, Downgraded to Caa1 (sf); previously on Sep 30, 2010 Downgraded to B2 (sf) and Remained On Review for Possible Downgrade Cl. C, Confirmed at Ca (sf); previously on Sep 30, 2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2006-1 Cl. A-4, Confirmed at Baa1 (sf); previously on Sep 30, 2010 Downgraded to Baa1 (sf) and Remained On Review for Possible Downgrade Cl. A-5, Confirmed at Ba1 (sf); previously on Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for Possible Downgrade Cl. B, Downgraded to Caa2 (sf); previously on Sep 30, 2010 Downgraded to B2 (sf) and Remained On Review for Possible Downgrade Cl. C, Confirmed at Ca (sf); previously on Sep 30, 2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2006-2 Cl. A-2, Confirmed at Aa3 (sf); previously on Sep 30, 2010 Downgraded to Aa3 (sf) and Placed Under Review for Possible Downgrade Cl. A-3, Confirmed at Baa1 (sf); previously on Sep 30, 2010 Downgraded to Baa1 (sf) and Remained On Review for Possible Downgrade Cl. A-4, Confirmed at B1 (sf); previously on Sep 30, 2010 Downgraded to B1 (sf) and Remained On Review for Possible Downgrade Cl. A-IO, Confirmed at B1 (sf); previously on Sep 30, 2010 Downgraded to B1 (sf) and Remained On Review for Possible Downgrade Cl. B, Downgraded to Caa2 (sf); previously on Sep 30, 2010 Downgraded to B2 (sf) and Remained On Review for Possible Downgrade Cl. C, Confirmed at Ca (sf); previously on Sep 30, 2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2006-3 Cl. A-4, Confirmed at Baa1 (sf); previously on Sep 30, 2010 Downgraded to Baa1 (sf) and Remained On Review for Possible Downgrade Cl. A-5, Confirmed at Baa2 (sf); previously on Sep 30, 2010 Downgraded to Baa2 (sf) and Remained On Review for Possible Downgrade Cl. IO, Confirmed at Baa2 (sf); previously on Sep 30, 2010 Downgraded to Baa2 (sf) and Remained On Review for Possible Downgrade Cl. B, Confirmed at Ba2 (sf); previously on Sep 30, 2010 Downgraded to Ba2 (sf) and Remained On Review for Possible Downgrade Cl. C, Downgraded to Caa2 (sf); previously on Sep 30, 2010 Downgraded to B2 (sf) and Remained On Review for Possible Downgrade Cl. D, Confirmed at Ca (sf); previously on Sep 30, 2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2006-4 Cl. A-2, Confirmed at A1 (sf); previously on Sep 30, 2010 Downgraded to A1 (sf) and Placed Under Review for Possible Downgrade Cl. A-3, Confirmed at Baa1 (sf); previously on Sep 30, 2010 Downgraded to Baa1 (sf) and Remained On Review for Possible Downgrade Cl. A-4, Confirmed at Ba1 (sf); previously on Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for Possible Downgrade Cl.A-IO, Confirmed at Ba1 (sf); previously on Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for Possible Downgrade Cl. B, Confirmed at B2 (sf); previously on Sep 30, 2010 Downgraded to B2 (sf) and Remained On Review for Possible Downgrade Cl. C, Downgraded to Ca (sf); previously on Sep 30, 2010 Downgraded to Caa3 (sf) and Remained On Review for Possible Downgrade Cl. D, Confirmed at Ca (sf); previously on Sep 30, 2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2007-1 Cl. A-2, Confirmed at A1 (sf); previously on Sep 30, 2010 Downgraded to A1 (sf) and Placed Under Review for Possible Downgrade Cl. A-3, Confirmed at Baa3 (sf); previously on Sep 30, 2010 Downgraded to Baa3 (sf) and Remained On Review for Possible Downgrade Cl. A-4, Confirmed at B1 (sf); previously on Sep 30, 2010 Downgraded to B1 (sf) and Remained On Review for Possible Downgrade Cl.A-IO, Confirmed at B1 (sf); previously on Sep 30, 2010 Downgraded to B1 (sf) and Remained On Review for Possible Downgrade Cl. B, Confirmed at B2 (sf); previously on Sep 30, 2010 Downgraded to B2 (sf) and Remained On Review for Possible Downgrade Cl. C, Downgraded to Ca (sf); previously on Sep 30, 2010 Downgraded to Caa3 (sf) and Remained On Review for Possible Downgrade Cl. D, Confirmed at Ca (sf); previously on Sep 30, 2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2007-2 Cl. A-2, Confirmed at A1 (sf); previously on Sep 30, 2010 Downgraded to A1 (sf) and Placed Under Review for Possible Downgrade Cl. A-3, Confirmed at Baa1 (sf); previously on Sep 30, 2010 Downgraded to Baa1 (sf) and Remained On Review for Possible Downgrade Cl. A-4, Confirmed at Ba1 (sf); previously on Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for Possible Downgrade Cl.A-IO, Confirmed at Ba1 (sf); previously on Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for Possible Downgrade Cl. B, Confirmed at B1 (sf); previously on Sep 30, 2010 Downgraded to B1 (sf) and Remained On Review for Possible Downgrade Cl. C, Downgraded to Caa3 (sf); previously on Sep 30, 2010 Downgraded to B2 (sf) and Remained On Review for Possible Downgrade Cl. D, Confirmed at Ca (sf); previously on Sep 30, 2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2007-3 Cl. A-2-AR-4, Confirmed at Ba1 (sf); previously on Sep 30, 2010 Downgraded to Ba1 (sf) and Placed Under Review for Possible Downgrade Cl. A-3-AR-1, Confirmed at Ba2 (sf); previously on Sep 30, 2010 Downgraded to Ba2 (sf) and Placed Under Review for Possible Downgrade Cl. A-3-AR-2, Downgraded to Caa2 (sf); previously on Sep 30, 2010 Downgraded to B1 (sf) and Placed Under Review for Possible Downgrade Cl. A-3-AR-3, Confirmed at Ca (sf); previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade Cl. A-3-AR-4, Confirmed at Ca (sf); previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade Cl. A-3-AR-5, Confirmed at Ca (sf); previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade Cl. A-3-AR-6, Confirmed at Ca (sf); previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade Cl. A-3-AR-7, Confirmed at Ca (sf); previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade Cl. A-3-L, Confirmed at Ca (sf); previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade Cl-A-IO, Confirmed at Ca (sf); previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade Issuer: National Collegiate Student Loan Trust 2007-4 Cl. A-2-AR-4, Confirmed at Ba1 (sf); previously on Sep 30, 2010 Downgraded to Ba1 (sf) and Placed Under Review for Possible Downgrade Cl. A-3-AR-1, Confirmed at Ba2 (sf); previously on Sep 30, 2010 Downgraded to Ba2 (sf) and Placed Under Review for Possible Downgrade Cl. A-3-AR-2, Downgraded to Caa3 (sf); previously on Sep 30, 2010 Downgraded to B1 (sf) and Placed Under Review for Possible Downgrade Cl. A-3-AR-3, Confirmed at Ca (sf); previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade Cl. A-3-AR-4, Confirmed at Ca (sf); previously on Nov 23, 2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade Cl. A-3-AR-5, Confirmed at Ca (sf); previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade Cl. A-3-AR-6, Confirmed at Ca (sf); previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade Cl. A-3-AR-7, Confirmed at Ca (sf); previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade Cl. A-IO, Confirmed at Ca (sf); previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade Cl. A-3-L, Confirmed at Ca (sf); previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade Issuer: The National Collegiate Master Student Loan Trust I (2001 Indenture) Ser. NCT-2002-AR9, Confirmed at Ba1 (sf); previously on Sep 30, 2010 Downgraded to Ba1 (sf) and Placed Under Review for Possible Downgrade Ser. NCT-2002-AR10, Confirmed at Ba2 (sf); previously on Sep 30, 2010 Downgraded to Ba2 (sf) and Placed Under Review for Possible Downgrade NOMURA ASSET: Fitch Upgrades 2 Classes of Certificates ------------------------------------------------------ Fitch Ratings upgrades two classes of Nomura Asset Securities Corp.'s commercial mortgage pass-through certificates, series 1998-D6. The upgrades are the result of Fitch's revised loss estimates for the transaction following Fitch's prospective analysis. Fitch expects potential losses of 2.6% of the remaining pool balance, from the loans in special servicing and the loans that are not expected to refinance at maturity based on Fitch's refinance test. The Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. As of the May 2011 distribution date, the pool has paid down 70.6% to $1.1 billion from $3.7 billion at issuance and approximately 54.6% of the transaction has defeased. Fitch has identified 22 Loans of Concern (8.2%), including two loans in special servicing (0.6%). The two specially serviced loans are former single-tenant Circuit City properties, a 33,221 square foot (sf) center located in Columbus, OH and a 27,723 sf property located in Wallkill, NY. Losses are expected upon disposition of the assets. Fitch upgrades these classes and revises the Outlooks: -- $37.2 million class B-2 to 'Asf/LS5' from 'BBB-sf/LS5'; Outlook to Stable from Negative; -- $37.2 million class B-3 to 'BBsf/LS5' from B-sf/LS5'; Outlook to Stable from Negative. Fitch also affirms these classes and maintains the Outlooks: -- $135.2 million class A-1C at 'AAAsf/LS1'; Outlook Stable; -- $223.4 million class A-2 at 'AAAsf/LS1'; Outlook Stable; -- $204.7 million class A-3 at 'AAAsf/LS1'; Outlook Stable; -- $167.5 million class A-4 at 'AAAsf/LS1'; Outlook Stable; -- $55.8 million class A-5 at 'AAAsf/LS1'; Outlook Stable. The $11.8 million class B-5 and the fully depleted class B-6 both remain at 'Dsf/RR6'. Classes A-1A and A-1B have been paid in full. Fitch does not rate the interest-only class A-CS1, which has been paid in full; the $158.2 million class B-1; the $65.1 million class B-4; the fully depleted class B-7; or the fully depleted B-7H certificates. Fitch previously withdrew the rating on the interest-only class PS-1. PREFERREDPLUS TRUST: S&P Hikes Rating on $33.530MM Certs. to 'BB-' ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its rating on PreferredPLUS Trust Series BLC-2's $33.530 million certificates to 'BB-' from 'B'. "Our rating on the certificates is dependent on our rating on the underlying security, Belo Corp.'s 7.25% debentures due Sept. 15, 2027," S&P said. "The upgrade follows our June 17, 2011, upgrade of the underlying security to 'BB-' from 'B'. We may take subsequent rating actions on the certificates due to changes in our rating on the underlying security," S&P said. SECURITY NATIONAL: Moody's Upgrades Rating of $12Mil. of RMBS ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 2 tranches from 2 RMBS transactions. The collateral backing these deals primarily consists of first-lien, fixed and adjustable rate "scratch and dent" residential mortgages. Scratch and Dent deals are classified outside of Moody's primary categorizations (Prime Jumbo, Subprime, Option ARMs and Alt-A) for a number of reasons. The pools may include mortgages that have been originated outside an originator's program guidelines in some way, or mortgages where borrowers missed payments in the past. These pools may also include loans with document defects at origination that were since rectified. Due to the varied content of Scratch and Dent mortgage pools, which can range from seasoned prime-like loans to non-prime loans that were seriously delinquent at the time of securitization, credit quality of these pools varies considerably. Ratings Rationale The action takes into account the pace of principal pay down of the bonds in relation to the rate of credit support depletion. The action reflects Moody's updated loss expectations on Scratch and Dent pools. 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 "US RMBS Surveillance Methodology for Scratch and Dent" published in May 2011, which accounts for the deteriorating performance and outlook. Moody's final rating actions are based on current levels of credit enhancement, collateral performance and updated pool-level loss expectations. Moody's took into account credit enhancement provided by seniority, cross-collateralization, excess spread, time tranching, and other structural features within the senior note waterfalls. 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: Security National Mortgage Loan Trust 2004-1 -- Cl. AV, Upgraded to Aa1 (sf); previously on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: Security National Mortgage Loan Trust 2007-1 -- Cl. 1-A2, Upgraded to A3 (sf); previously on May 7, 2009 Downgraded to Ba3 (sf) SLM STUDENT LOAN: Fitch Affirms Ratings on SLM 2004-2 ----------------------------------------------------- Fitch Ratings affirms the senior student loan-backed notes at 'AAAsf' and affirms the subordinate student loan-backed note at 'BBsf' issued by SLM Student Loan Trust 2004-2. The collateral supporting the notes is comprised of student loans originated under the Federal Family Education Loan Program (FFELP). The rating outlook is Stable. Fitch affirms the ratings on the SLM Student Loan Trust 2004-2 senior and subordinate notes 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. The loans are serviced and originated by SLM Corp. SLM Corp. provides funds for educational loans, primarily federal guaranteed student loans originated under the FFELP. SLM Corp. and its subsidiaries are not sponsored by or are agencies of the U.S. government. Fitch currently rates SLM Corp. with long- and short- term Issuer Default Ratings (IDRs) of 'BBB-' and 'F3', respectively. Fitch has affirmed these ratings: SLM Student Loan Trust 2004-2 Student Loan-Backed Notes: -- Class A-4 at 'AAAsf/LS1'; Outlook Stable; -- Class A-5 at 'AAAsf/LS1'; Outlook Stable; -- Class A-6 at 'AAAsf/LS1'; Outlook Stable; -- Class B at 'BBsf/LS3'; Outlook Stable. SLM STUDENT LOAN: Fitch Affirms Ratings on SLM 2004-5 ----------------------------------------------------- Fitch Ratings affirms the senior student loan-backed notes at 'AAAsf' and the subordinate student loan-backed note at 'BBsf' issued by SLM Student Loan Trust 2004-5. The collateral supporting the notes is comprised of student loans originated under the Federal Family Education Loan Program (FFELP). The Rating Outlook is Stable. Fitch affirms the ratings on the SLM Student Loan Trust 2004-5 senior and subordinate notes 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. The loans are serviced and originated by SLM Corp. SLM Corp. provides funds for educational loans, primarily federal guaranteed student loans originated under the FFELP. SLM Corp. and its subsidiaries are not sponsored by or are agencies of the U.S. government. Fitch currently rates SLM Corp.'s long- and short-term Issuer Default Ratings (IDRs) 'BBB-' and 'F3', respectively. Fitch has taken these rating actions: SLM Student Loan Trust 2004-5 Student Loan-Backed Notes: -- Class A-4 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Class A-5 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Class A-6 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Class B affirmed at 'BBsf/LS3'; Outlook Stable. SLM STUDENT LOAN: Fitch Affirms Ratings on SLM 2004-8 ----------------------------------------------------- Fitch Ratings affirms the senior student loan-backed notes at 'AAAsf' and affirms the subordinate student loan-backed note at 'BBsf' issued by SLM Student Loan Trust 2004-8. The collateral supporting the notes is comprised of student loans originated under the Federal Family Education Loan Program (FFELP). The rating outlook is Stable. Fitch affirms the ratings on the SLM Student Loan Trust 2004-8 senior and subordinate notes 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. The loans are serviced and originated by SLM Corp. SLM Corp. provides funds for educational loans, primarily federal guaranteed student loans originated under the FFELP. SLM Corp. and its subsidiaries are not sponsored by or are agencies of the U.S. government. Fitch currently rates SLM Corp. with long- and short- term Issuer Default Ratings (IDRs) of 'BBB-' and 'F3', respectively. Fitch has taken these rating actions: SLM Student Loan Trust 2004-8 Student Loan-Backed Notes: -- Class A-4 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Class A-5 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Class A-6 affirmed at 'AAAsf/LS1'; Outlook Stable; -- Class B affirmed at 'BBsf/LS3'; Outlook Stable. SLM STUDENT LOAN: Fitch Affirms Ratings on SLM 2004-10 ------------------------------------------------------ Fitch Ratings affirms the senior student loan-backed notes at 'AAAsf' and affirms the subordinate student loan-backed note at 'BBsf' issued by SLM Student Loan Trust 2004-10. The collateral supporting the notes is comprised of student loans originated under the Federal Family Education Loan Program (FFELP). The Rating Outlook is Stable. Fitch affirms the ratings on the SLM Student Loan Trust 2004-10 senior and subordinate notes 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. The loans are serviced and originated by SLM Corp. SLM Corp. provides funds for educational loans, primarily federal guaranteed student loans originated under the FFELP. SLM Corp. and its subsidiaries are not sponsored by or are agencies of the U.S. government. Fitch currently rates SLM Corp. with long- and short- term Issuer Default Ratings (IDRs) of 'BBB-' and 'F3', respectively. Fitch has affirmed these ratings: SLM Student Loan Trust 2004-10 Student Loan-Backed Notes: -- Class A-4 at 'AAAsf/LS1'; Outlook Stable; -- Class A-5A at 'AAAsf/LS1'; Outlook Stable; -- Class A-5B at 'AAAsf/LS1'; Outlook Stable; -- Class A-6A at 'AAAsf/LS1'; Outlook Stable; -- Class A-6B at 'AAAsf/LS1'; Outlook Stable; -- Class A-7A at 'AAAsf/LS1'; Outlook Stable; -- Class A-7B at 'AAAsf/LS1'; Outlook Stable; -- Class A-8 at 'AAAsf/LS1'; Outlook Stable; -- Class B at 'BBsf/LS3'; Outlook Stable. STUDENT LOAN: Moody's Confirms Ratings of Certificates ------------------------------------------------------ Moody's Investors Service confirmed the ratings of nine classes of certificates in two Student Loan Repackaging trusts. Deutsche Bank Trust Company Americas is the administrator and trustee for both transactions. Complete rating actions are: Issuer: Student Loan ABS Repackaging Trust, Series 2007-1 Cl. 3-A-1, Confirmed at Caa1; previously on Oct 1, 2010 Downgraded to Caa1 and Remained On Review for Possible Downgrade Cl. 3-A-IO, Confirmed at Caa1; previously on Oct 1, 2010 Downgraded to Caa1 and Remained On Review for Possible Downgrade Cl. 4-A-1, Confirmed at Caa2; previously on Oct 1, 2010 Downgraded to Caa2 and Placed Under Review for Possible Upgrade Cl. 4-A-IO, Confirmed at Caa2; previously on Oct 1, 2010 Downgraded to Caa2 and Placed Under Review for Possible Upgrade Cl. 5-A-1, Confirmed at Ba1; previously on Oct 1, 2010 Downgraded to Ba1 and Remained On Review for Possible Downgrade Cl. 5-A-IO, Confirmed at Ba1; previously on Oct 1, 2010 Downgraded to Ba1 and Remained On Review for Possible Downgrade Cl. 6-A-1, Confirmed at Ba1; previously on Oct 1, 2010 Downgraded to Ba1 and Remained On Review for Possible Downgrade Cl. 6-A-IO, Confirmed at Ba1; previously on Oct 1, 2010 Downgraded to Ba1 and Remained On Review for Possible Downgrade Issuer: Student Loan ABS Repacking Trust, Series 2007-2 Cl. IO, Confirmed at B3; previously on Oct 1, 2010 Downgraded to B3 and Remained On Review for Possible Downgrade Ratings Rationale The ratings of the certificates were confirmed primarily due to the confirmation of the underlying securities referenced in these transactions. The ratings of the certificates issued by Student Loan Repackaging Trust, Series 2007-1, are based on the ratings of the underlying securities and the payment timing swap provided by Deutsche Bank AG, New York Branch. The payment timing swap covers any interest shortfalls on the certificates if the interest accrual period for the certificates is longer than the interest accrual period for the underlying securities on the related underlying distribution date. Below is a list of the underlying securities referenced in this transaction: Group 3 Certificates: National Collegiate Student Loan Trust 2003- 1, Class A-7 (current rating Caa1) and Class IO Notes (current rating Caa1); Group 4 Certificates: National Collegiate Student Loan Trust 2004- 1, Class A-4 (current rating Caa3) and Class A-IO-2 Notes (current rating Caa3); Group 5 Certificates: National Collegiate Student Loan Trust 2005- 1, Class A-5-1 (current rating Ba1) and Class A-5-2 Certificates (current rating Ba1); Group 6 Certificates: National Collegiate Student Loan Trust 2005- 3, Class A-5-1 Certificates (current rating Ba1). The assets of the Student Loan Repackaging Trust, Series 2007-2 consist primarily of the Class 1-A-IO, Class 2-A-IO, Class 3-A-IO, Class 4-A-IO, Class 5-A-IO, Class 6-A-IO and Class 7-A-IO Certificates issued by the Student Loan ABS Repackaging Trust, Series 2007-1. The rating of the Class IO in the Student Loan Repackaging Trust, Series 2007-2 was determined based on the weighted average rating of the underlying IO bonds. As a consequence of the confirmation of the ratings on Class 3-A-IO, Class 4-A-IO, Class 5-A-IO and Class 6-A-IO, Class IO was also confirmed. The methodology used in rating the certificates issued by the Student Loan Repackaging Trust, Series 2007-1 considered the higher of the pass-through rating of the underlying groups of securities and the guarantors' rating for the tranches within the 2007-1 trust that benefit from any financial guarantee. The methodology used in rating the Class A-IO from the Series 2007-2 trust considered Moody's idealized expected loss rate corresponding to each IO's respective weighted average remaining life. Then the average idealized loss and remaining average life for Class A-IO, both weighted by outstanding notional amount of the tranches, were used to determine the rating. Moody's idealized expected loss rates table was published in the methodology report "Moody's Approach to Rating SF CDOs" rating methodology, published on August 14th, 2009, and is available at www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. 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. For Student Loan Repackaging Trust, Series 2007-1, the primary sources of uncertainty with regard to the rating are the ratings of underlying notes in reference and the ratings of the financial guarantors. For Student Loan Repackaging Trust, Series 2007-2, the primary sources of uncertainty with regard to the rating are the ratings of the referenced underlying IO certificates issued by Series 2007-1, the weighted average life and the notional balance of the IO's. The ratings of certificates issued under both the Series 2007-1 and the Series 2007-2 could be downgraded or upgraded if the underlying securities referenced in both trusts are downgraded or upgraded. 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. TEXAS HOUSING DEPT.: Moody's Downgrades Bond Ratings to 'B2' ------------------------------------------------------------ Moody's has downgraded to B2 from Aaa the Texas Department of Housing and Community Affairs Multifamily Housing Revenue Bonds (Greens Road Apartments) Series 2001 and removed it from Watchlist, following a review of projected cash flow and asset- liability ratio for the life of the bonds. This rating action affects $7,530,000 of outstanding debt. Ratings Rationale The downgrade is based on the current asset-to-debt ratio that is below 100% and a projected debt service default in 2033. Detailed Credit Discussion The bonds are secured by a mortgage that is guaranteed by a Fannie Mae Stand-by Credit Enhancement Instrument. Revenue from the monthly mortgage receipts and interest earned on those receipts from a guaranteed investment contract with CDC Funding Corp. (rated Aaa) need to be at least sufficient to pay debt service and expenses on the bonds. The Aaa rating was based on Moody's expectation that at all times the ratio of the value of the assets held by the trustee, consisting of the amortized value of the credit-enhanced mortgage and funds pledged to bondholders, to the bonds outstanding and accrued interest to any redemption date would exceed 100%. The current projected cash flow sufficiency and ratio of assets to liabilities are not consistent with a Aaa rating. Based on information Moody's has received, the current parity ratio is below 100%, and estimated future cash flows show a default beginning in 2033. While small, these losses will not be remediated without action from the borrower, issuer or trustee. Moody's believes these losses result in part from the use of funds pledged under the indenture for bond repayments to pay fees owed by the borrower. What Could Change the Rating: Up -- Cash contribution to restore asset-liability parity and ensure cash flow sufficiency. What Could Change The Rating: Down -- Further increase in the projected losses to bondholders. Principal Methodology Used The principal methodologies used in this rating was Multifamily Housing Bonds Secured By Freddie Mac Standby Credit Enhancement Agreement published in December 2008. * Fitch Downgrades 31 Bonds in 15 U.S. CMBS Transactions -------------------------------------------------------- Fitch Ratings has downgraded 31 bonds in 15 U.S. commercial mortgage-backed securities (CMBS) transactions to 'D', as the bonds have incurred a principal write-down. The bonds were all previously rated 'CC', or 'C', which indicates that Fitch expected a default. The rating action is limited to just the bonds with write-downs. The remaining bonds in these transactions have not been analyzed as part of this review. Fitch downgrades bonds to 'D' as part of the ongoing surveillance process and will continue to monitor these transactions for additional defaults. * Fitch Takes Various Rating Actions on 5 CMBS Transactions ----------------------------------------------------------- Fitch Ratings has affirmed these classes from four U.S. commercial mortgage backed security (CMBS) transactions: -- $436,913 class F-2 of Credit Suisse First Boston Mortgage Securities Corp. 1995-M1 at 'D/RR5'; -- $3.2 million class F of LB Commercial Conduit Mortgage Trust 1995-C2 at 'D/RR2'; -- $2.9 million class F of LB Commercial Conduit Mortgage Trust 1996-C2 at 'D/RR3'; -- $176,315 class H of Prudential Securities Secured Financing Corp 1995-MCF-2 at 'D/RR1'. In addition, Fitch withdraws the ratings of the interest-only class IO of LB Commercial Conduit Mortgage Trust 1996-C2 and class X of LB Commercial Conduit Mortgage Trust Conduit 1999-C2. Fitch considers the classes affirmed as in default, having incurred prior principle losses. * S&P Cuts Ratings on 437 Classes of 268 RMBS Transactions to 'D' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D (sf)' on 437 classes of mortgage pass-through securities from 268 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2002 and 2008. "The 437 downgrades to 'D (sf)' reflect our assessment of principal write-downs on the affected classes during recent remittance periods. Four of the downgraded classes have bond insurance from Ambac Assurance Corp. (currently rated 'NR')," S&P said. All of the ratings were rated 'CC (sf)' or 'CCC (sf)' before the downgrades. Approximately 77.12% of the defaulted classes were from transactions backed by Alternative-A (Alt-A) or subprime mortgage loan collateral. The 437 defaulted classes consisted of: 262 classes from Alt-A transactions (59.95% of all defaults); 82 from prime jumbo transactions (18.76%); 75 from subprime transactions (17.16%); Six from reperforming transactions; Four from a resecuritized real estate mortgage investment conduit (re-REMIC) transaction; Three from seasoned loan transactions; Two from a first-lien high loan-to-value transaction; Two from outside-the-guidelines transactions; and One from an RMBS small balance commercial transaction. The complete rating list is available for free at: http://bankrupt.com/misc/S&P_RMBSClassesAffected_0621.pdf Standard & Poor's will continue to monitor its ratings on securities that experience principal write-downs, and will adjust the ratings as it considers appropriate in accordance with its criteria. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers" public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. A list of Meetings, Conferences and Seminars appears in each Wednesday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com/ On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. For copies of court documents filed in the District of Delaware, please contact Vito at Parcels, Inc., at 302-658-9911. For bankruptcy documents filed in cases pending outside the District of Delaware, contact Ken Troubh at Nationwide Research & Consulting at 207/791-2852. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors" Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland, USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Howard C. Tolentino, Joseph Medel C. Martirez, Denise Marie Varquez, Philline Reluya, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2011. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $775 for 6 months delivered via e- mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Christopher Beard at 240/629-3300. *** End of Transmission ***