/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/120401.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, April 1, 2012, Vol. 16, No. 91 Headlines 1888 FUND: S&P Affirms 'BB+' Rating on Class C Notes ABS CAPITAL: Moody's Cuts Rating on US$10MM Combi Notes to 'Caa2' ALBURN REAL ESTATE: Moody's Cuts Rating on Class A Notes to Caa2 ALEXANDER PARK: S&P Lowers Rating to Class A-2 Notes to 'D' ALTERNATIVE LOAN 2005-22T1: S&P Cuts 4 RMBS Class Ratings to 'CC' AMERICREDIT 2010-4: S&P Raises Rating on Class E Notes From 'BB' AMMC CLO X: S&P Gives 'BB-' Rating on $7MM Class F Notes ANTHRACITE CDO III: Moody's Keeps Caa3 Ratings on 2 Note Classes APIDOS I: S&P Raises Rating on Class C Notes From 'BB+' AXIS EQUIPMENT: DBRS Assigns 'BB' Ratings to Class D Securities BEAR STEARNS 2002-PBW1: Moody's Cuts Rating on J Certs. to 'C' BEAR STEARNS 2006-PWR11: S&P Cuts Ratings on 3 Cert Classes to 'D' BLACK DIAMOND 2006-1: S&P Raises Rating on Class E Notes to 'BB' BLUEMOUNTAIN CLO: S&P Affirms 'BB+' Rating on Class D Notes CALLIDUS FUND V: S&P Affirms 'BB' Class D Notes Rating; Off Watch CANARAS SUMMIT: S&P Raises Rating on Class D Notes From 'BB+' CAPITAL ONE: S&P Affirms 'BB(sf)' Rating on Class D Securities CARLYLE BRISTOL: S&P Raises Ratings on 2 Classes of Notes to 'B+' CARLYLE GLOBAL 2012-1: Moody's Rates US$22.7MM Class E Notes 'Ba2' CARLYLE GLOBAL 2012-1: S&P Assigns 'BB' Rating on Class E Notes CITIGROUP 2006-FL2: S&P Lowers Ratings on 3 Cert. Classes to 'D' CITIGROUP 2009-1: S&P Lowers Ratings on 2 Classes to 'CCC' CITIGROUP MORTGAGE 2009-11: S&P Raises Class 1A2 Rating from 'B+' CLYDESDALE CLO: S&P Raises Rating on Class D Notes to 'BB' COLUMBUSNOVA 2006-II: S&P Affirms 'BB' Rating on Class E Notes COMM 2005-FL11: S&P Affirms 'B-' Rating on Class K Certificates COMBINE RE: Moody's Assigns 'Ba3' Rating to Class B Notes COMMERCIAL MORTGAGE 2012-C4: DBRS Rates Class F Certificates 'BB' CORVUS INVESTMENTS: Fitch Withdraws Junk Ratings on 2 Note Classes CPS AUTO 2012-A: Moody's Assigns 'B3(sf)' Rating to Class D Notes CREDIT SUISSE 1997-C2: Moody's Affirms C Rating on Class I Certs. DFR MIDDLE MARKET: Moody's Lifts Rating on Class D Notes From Ba1 DORAL CLO: S&P Assigns Prelim. 'BB' Rating on $21MM Class D Notes DRYDEN XVIII: S&P Raises Rating on Class B Note to 'B+(sf)' DSC 2011-VFN1: S&P Raises Class D Note Rating to 'B+'; Off Watch EASTLAND CLO: S&P Raises Class D Note Rating to 'B+'; Off Watch FIRST UNION 1999-C2: Moody's Keeps 'C' Rating on M Certificates FIRST UNION 2001-C1: Moody's Keeps 'Ca' Rating on Class J Certs. FLATIRON CLO 2011-1: S&P Affirms 'BB' Rating on Class E Notes G-STAR 2002-1: Moody's Raises Rating on Class C Notes to 'Caa1' GALAXY XII: S&P Gives 'BB' Rating on Class E Deferrable Notes GALE FORCE 3: S&P Raises Rating on Class E Notes to 'BB' GMAC 2000-C1: Moody's Affirms Caa3 Rating on Class X Certificates GREENS CREEK: S&P Raises Rating on Class D Notes to 'BB+' GREENWICH CAPITAL 2005-GG5: Moody's Reviews 'Ca' Ratings GS MORTGAGE 2010-C1: Moody's Affirms 'B2' Rating on Class F Notes GS MORTGAGE 2006-CC1: Moody's Cuts Rating on Cl. A Notes to 'Ca' HARCH CLO III: S&P Affirms 'CCC+' Rating on Class E Notes ICE GLOBAL: S&P Assigns 'BB' Rating on $20MM Class E Notes JPMC 2004-CIBC8: Moody's Affirms 'C' Ratings on Four CMBS Classes JPMCC 2006-FL1: S&P Affirms 'CCC' Rating on Class K Certificates KENNECOTT FUNDING: S&P Affirms 'BB-' Ratings on 2 Classes of Notes LNR CDO III: Moody's Cuts Rating on Class B Notes to 'Ca(sf)' MERRILL LYNCH 2001-C5: DBRS Rates Class E Certificates 'B(sf)' MJH EDUCATION: Moody's Keeps 'Ca' Rating on Housing Revenue Bonds ML-CFC 2006-2: S&P Lowers Rating on Class F Certificates to 'D' MORGAN STANLEY 2003-1Q5: Moody's Affirms Caa1 Rating on N Certs. MORGAN STANLEY 2004-TOP15: Moody's Affirms C Ratings on 2 Certs. MORGAN STANLEY 2006-TOP21: S&P Cuts Class M Cert Rating to 'D' MORGAN STANLEY 2007-TOP27: DBRS Cuts Rating on N/O Certs. to 'D' MSC 2006-SRR1: Moody's Affirms 'C' Ratings on 16 Note Classes MUZINICH II: S&P Raises Ratings on 2 Classes of Notes to 'CC' N-STAR VII: S&P Lowers Ratings on 3 Classes of Notes to 'CC' NATIONAL COLLEGIATE 2007-2: S&P Lowers Class C Notes Rating to 'D' NERVA LTD: Fitch Withdraws Junk Rating on Class A Notes NEXTSTUDENT MASTER: Moody's Withdraws 'C' Ratings on 25 Notes NOMURA ASSET 1998-D6: Moody's Affirms Ba3 Rating on PS-1 Notes NORTH STREET: Moody's Cuts Ratings on Two Note Classes to 'Caa2' NYLIM FLATIRON: Moody's Raises Rating to Class D Notes to 'Ba1' PACIFIC COAST: Moody's Raises Rating on US$450MM Notes to 'Caa1' SANTANDER DRIVE: Moody's Assigns 'Ba1' Rating to Class E Notes SECURITY NAT'L 2005-A: Moody's Cuts Rating on B Notes to 'Caa3' STRATA 2006-34: S&P Withdraws 'CCC-' Rating on Notes WICKER PARK: S&P Raises Rating on Class B Notes to 'B+' * S&P Lowers Ratings on 427 Classes of Certificates to 'D' * DBRS Takes Action on 44 U.S. RMBS Securities * S&P Raises Ratings on 22 Tranches From 16 U.S. Synthetic CDOs * S&P Cuts 51 Classes Ratings From 52 US RMBS Transactions to 'D' ********* 1888 FUND: S&P Affirms 'BB+' Rating on Class C Notes ---------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the class A-1, A-2, and B notes from 1888 Fund Ltd., a collateralized loan obligation (CLO) transaction, with APEX credit swap, APEX balance swap, and APEX income swap features, managed by Guggenheim Investment Management LLC. "We also affirmed our rating on the class C notes," S&P said. "The APEX credit swap protects the issuer against principal losses. The APEX swap counterparty reimburses principal losses by up to $47 million (the swap limit). The APEX balance swap counterparty paid the class C notes' spread during the reinvestment period. Wells Fargo Bank N.A. is the APEX swaps provider. For our review of the transaction's performance, we applied our counterparty criteria," S&P said. "The upgrades mainly reflect a paydown to the class A-1 and A-2 notes since our February 2011 rating actions. Since that time, the transaction has paid down the class A-1 and A-2 notes by approximately $73 million and $19 million, respectively, reducing the balance to about 18% of the original balance," S&P said. These paydowns have led to significant improvements in the overcollateralization (O/C) levels. According to the Feb. 6, 2012, trustee report, the class A O/C ratio was 213.03%, up from a reported ratio of 144.90% in January 2011. "The affirmation of our rating on the class C notes reflects the sufficient credit support at the class' current rating level," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com RATING ACTIONS 1888 Fund Ltd. Rating Class To From A-1 AAA (sf) AA+ (sf) A-2 AAA (sf) AA+ (sf) B AAA (sf) AA+ (sf) RATING AFFIRMED 1888 Fund Ltd. Class Rating C BB+ (sf) ABS CAPITAL: Moody's Cuts Rating on US$10MM Combi Notes to 'Caa2' ----------------------------------------------------------------- Moody's Investors Service has downgraded the rating of the following note issued by ABS Capital Funding II, Ltd.: US$10,000,000 Class 1 Combination Notes Due November 2037 (current rated balance of $1,944,740), Downgraded to Caa2 (sf); previously on November 2, 2009 Downgraded to Ba1 (sf). Ratings Rationale According to Moody's, the rating action taken on the note is primarily the result of deterioration in the credit quality of the underlying portfolio since the last rating action in July 2010. Such credit deterioration is observed through numerous factors, including an increase in the WARF, an increase in the dollar amount of defaulted securities and a decrease in the transaction's overcollateralization ratios. Based on the latest trustee report dated February 2012, the WARF of the portfolio has increased to 1969 from 1168 in May 2010. The defaulted par has increased to $51.8 million versus $42.5 million in May 2010. Additionally, the Class A/B and Class C overcollateralization ratios are reported at 41.46% and 36.51%, respectively, versus May 2010 levels of 61.48% and 54.58%, respectively. As reported by the trustee, on April 18, 2011 the transaction experienced an "Event of Default" caused by a failure of the overcollateralization ratio with respect to the Class A Notes to be at least equal to 100%, as required under Section 5.1(i) of the indenture dated November 26, 2002. This Event of Default is continuing. ABS Capital Funding II, Ltd., issued in November 2002, is a collateralized debt obligation backed primarily by a portfolio of RMBS, CMBS and SF CDOs originated from 1995 to 2007. 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 the following: collateral cash flows, the transaction covenants, the priority of payments (waterfall) for interest and principal proceeds received from portfolio assets, reinvestment assumptions, the timing of defaults, interest-rate scenarios and foreign exchange risk (if present). The Expected Loss (EL) for each tranche is the weighted average of losses to each tranche across all the scenarios, where the weight is the likelihood of the scenario occurring. Moody's defines the loss as the shortfall in the present value of cash flows to the tranche relative to the present value of the promised cash flows. The present values are calculated using the promised tranche coupon rate as the discount rate. For floating rate tranches, the discount rate is based on the promised spread over Libor and the assumed Libor scenario. Moody's notes that in arriving at its ratings of SF CDOs, there exist a number of sources of uncertainty, operating both on a macro level and on a transaction-specific level. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and the commercial and residential real estate property markets. While commercial real estate property markets are gaining momentum, a consistent upward trend will not be evident until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. Among the uncertainties in the residential real estate property market are those surrounding future housing prices, pace of residential mortgage foreclosures, loan modification and refinancing, unemployment rate and interest rates. ALBURN REAL ESTATE: Moody's Cuts Rating on Class A Notes to Caa2 ---------------------------------------------------------------- Moody's Investors Service has downgraded the Class A Notes issued by Alburn Real Estate Capital Ltd. (amounts reflecting initial outstanding) as follows: Issuer: Alburn Real Estate Capital Limited GBP125.05M Class A Notes, Downgraded to Caa2 (sf); previously on Nov 7, 2011 Downgraded to B2 (sf) Moody's does not rate the Class B, Class C, Class D and the Class E Notes. Ratings Rationale The downgrade reflects Moody's increased loss expectation for the single loan in the pool since its last review in November 2011. This is primarily due to further capital value declines and the increased likelihood of reduced recoveries as a result of prior ranking swap liabilities. The current rating of the Class A points to a principal loss of up to 20%. The key parameters in Moody's analysis is the default probability of the securitised loan (both during the term and at maturity) as well as Moody's value assessment for the properties securing the loan. Moody's derives from those parameters a loss expectation for the single loan in the pool. Alburn Real Estate Capital Limited represents the true-sale securitisation of a GBP183.6 million senior loan secured by 45 properties located across the UK with a four year weighted average unexpired lease term. The property portfolio is predominantly offices (73% by value), with some industrial (17%) and retail (10%). There is also a GBP11.8 million Junior Loan that is not securitised but is secured by the same properties. The Loan to Value Financial Ratio was breached in May 2011 following an updated Valuation. The Loan Event of Default is continuing, as the borrower has failed to cure. On December 1, 2011, Brookland Partners LLP, as financial adviser to the Loan Servicer (and working with CB Richard Ellis as property adviser and Clifford Chance LLP as legal adviser) recommended a managed sell down of the assets (with the majority of the assets being sold in the near term). It was further recommended to take appropriate enforcement steps in the absence of a consensual solution. The Moody's Class A Note to Value is now 107% (or 119% including the GBP13.6 million swap liabilities as at March 16, 2012), compared to 103% on the last review. The value decline since closing is in Moody's view due to (i) the secondary and tertiary nature of the properties in the pool and (ii) the reduced cash- flows reflecting the increased vacancy rate and the adverse rollover profile (44.2% of leases expire by 2013). In general, Moody's analysis reflects a forward-looking view of the likely range of commercial real estate collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters such as property value or loan refinancing probability for instance, 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 . There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortisation and loan re- prepayments or a decline in subordination due to realised losses. Primary sources of assumption uncertainty are the current stressed macro-economic environment and continued weakness in the occupational and lending markets. Moody's anticipates (i) delayed recovery in the lending market persisting through 2013, while remaining subject to strict underwriting criteria and heavily dependent on the underlying property quality, (ii) strong differentiation between prime and secondary properties, with further value declines expected for non-prime properties, and (iii) occupational markets will remain under pressure in the short term and will only slowly recover in the medium term in line with anticipated economic recovery. Overall, Moody's central global macroeconomic scenario is for a material slowdown in growth in 2012 for most of the world's largest economies fueled by fiscal consolidation efforts, household and banking sector deleveraging and persistently high unemployment levels. Moody's expects a mild recession in the Euro area. As the Euro area crisis continues, the rating of the structured finance notes remain exposed to the uncertainties of credit conditions in the general economy. The deteriorating creditworthiness of euro area sovereigns as well as the weakening credit profile of the global banking sector could negatively impact the ratings of the notes. The methodologies used in this rating were Moody's Approach to Real Estate Analysis for CMBS in EMEA: Portfolio Analysis (MoRE Portfolio) published in April 2006, and Update on Moody's Real Estate Analysis for CMBS Transactions in EMEA published in June 2005. Other Factors used in this rating are described in European CMBS: 2012 Central Scenarios published in February 2012. The updated assessment is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's prior assessment is summarised in a press release dated November 7, 2011. The last Performance Overview for this transaction was published on February 21, 2012. In rating this transaction, Moody's used both MoRE Portfolio and MoRE Cash Flow to model the cash-flows and determine the loss for each tranche. MoRE Portfolio evaluates a loss distribution by simulating the defaults and recoveries of the underlying portfolio of loans using a Monte Carlo simulation. This portfolio loss distribution, in conjunction with the loss timing calculated in MoRE Portfolio is then used in MoRE Cash Flow, where for each loss scenario on the assets, the corresponding loss for each class of notes is calculated taking into account the structural features of the notes. As such, Moody's analysis encompasses the assessment of stressed scenarios. ALEXANDER PARK: S&P Lowers Rating to Class A-2 Notes to 'D' ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating to 'D (sf) from 'CC (sf)' on the class A-2 notes from Alexander Park CDO I Ltd., a cash flow mezzanine structured finance collateralized debt obligation (CDO) transaction managed by Princeton Advisory Group Inc. "We lowered the rating on the class A-2 to 'D (sf)' because this nondeferrable class did not receive its most recent interest payment, according to the March 7, 2012, payment report," S&P said. "The rating action is consistent with the criteria we use to assess ratings on CDO transactions subject to acceleration or liquidation after an event of default (EOD) has occurred," S&P said. "We received a notice of acceleration from the trustee dated March 2, 2012, stating that a majority of the controlling classholders had declared the principal of all the notes to be immediately due and payable. Earlier, we received a notice dated Feb. 8, 2012, stating that the transaction had experienced an event of default (EOD) because it failed an overcollateralization-based EOD trigger," S&P said. ALTERNATIVE LOAN 2005-22T1: S&P Cuts 4 RMBS Class Ratings to 'CC' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 16 classes from five U.S. residential mortgage-backed securities (RMBS) transactions issued in 1996 through 2007, and removed one of them from CreditWatch with negative implications. "Concurrently, we raised our ratings on four classes from one of the transactions with lowered ratings and two additional transactions. Furthermore, we affirmed our ratings on 112 classes from all of the reviewed transactions and removed one of them from CreditWatch negative," S&P said. The 20 RMBS transactions in this review are backed by Alternative- A (Alt-A) and subprime mortgage loan collateral. "The downgrades reflect our belief that projected credit enhancement for the affected classes will be insufficient to cover the projected losses we applied at the applicable rating stresses. We lowered our rating on class 3-A-1 from Banc of America Funding 2006-G Trust to 'AA+ (sf)' based on our interest shortfall criteria," S&P said. "Among other factors, the upgrades reflect our view of decreased delinquencies within the structures associated with the affected classes. This has reduced the remaining projected losses for these structures, allowing these classes to withstand more stressful scenarios. In addition, each upgrade reflects our assessment that the projected credit enhancement for each affected class will be more than sufficient to cover projected losses at the revised rating levels; however, we are limiting the extent of the upgrades to reflect our view of ongoing market risk," S&P said. "The affirmations reflect our belief that projected credit enhancement available for the affected classes will be more than sufficient to cover our projected losses at the current rating levels," S&P said. "In order to maintain a 'B' rating on a class, we assessed whether, in our view, a class could absorb the remaining base-case loss assumptions we used in our analysis. In order to maintain a rating higher than 'B', we assessed whether the class could withstand losses exceeding our remaining base-case loss assumptions at a percentage specific to each rating category, up to 150% for a 'AAA' rating. For example, in general, we would assess whether one class could withstand approximately 110% of our remaining base-case loss assumptions to maintain a 'BB' rating, while we would assess whether a different class could withstand approximately 120% of our remaining base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in our view, withstand approximately 150% of our remaining base-case loss assumptions under our analysis," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Alternative Loan Trust 2005-22T1 Series 2005-22T1 Rating Class CUSIP To From A-3 12667GGQ0 CC (sf) CCC (sf) A-4 12667GGR8 CC (sf) CCC (sf) A-5 12667GMA8 CC (sf) CCC (sf) PO 12667GGS6 CC (sf) CCC (sf) Alternative Loan Trust 2005-62 Series 2005-62 Rating Class CUSIP To From 1-A-1 12668ATN5 CCC (sf) CC (sf) Banc of America Funding 2006-G Trust Series 2006-G Rating Class CUSIP To From 3-A-1 05950MAG5 AA+ (sf) AAA (sf)/Watch Neg 3-A-2 05950MAH3 BBB- (sf) BBB- (sf)/Watch Neg 3-A-3 05950MAJ9 CC (sf) CCC (sf) CSMC Mortgage-Backed Trust 2007-3 Series 2007-3 Rating Class CUSIP To From 2-A-4 12638PAW9 CC (sf) CCC (sf) 2-A-12 12638PBE8 CC (sf) CCC (sf) CWABS Asset-Backed Certificates Trust 2006-15 Series 2006-15 Rating Class CUSIP To From A-3 12666UAC7 CC (sf) CCC (sf) A-4 12666UAD5 CC (sf) CCC (sf) A-5A 12666UAE3 CC (sf) CCC (sf) A-6 12666UAG8 CC (sf) CCC (sf) CWABS Asset-Backed Certificates Trust 2007-4 Series 2007-4 Rating Class CUSIP To From A-1A 12668WAA5 BB (sf) CCC (sf) A-1B 12668WAT4 BB (sf) CCC (sf) M-1 12668WAR8 CC (sf) CCC (sf) M-2 12668WAS6 CC (sf) CCC (sf) M-3 12668WAG2 CC (sf) CCC (sf) M-4 12668WAH0 CC (sf) CCC (sf) DSLA Mortgage Loan Trust 2005-AR6 Series 2005-AR6 Rating Class CUSIP To From 2A-1A 23332UFV1 BB (sf) B (sf) RATINGS AFFIRMED Alternative Loan Trust 2005-22T1 Series 2005-22T1 Class CUSIP Rating A-1 12667GGN7 AA- (sf) Alternative Loan Trust 2005-62 Series 2005-62 Class CUSIP Rating 1-A-2 12668ATP0 CC (sf) 2-A-1 12668ATT2 CC (sf) 2-A-2 12668ATU9 CC (sf) 2-A-3 12668ATV7 CC (sf) 2-A-4 12668AYB5 AA- (sf) Alternative Loan Trust 2007-OA10 Series 2007-OA10 Class CUSIP Rating 1-A-1 02149QAA8 CCC (sf) 1-A-2 02149QAB6 AA- (sf) 2-A-1 02149QAD2 CCC (sf) 2-A-2 02149QAE0 AA- (sf) 2-A-3 02149QAF7 AA- (sf) M-1 02149QAJ9 CC (sf) American Home Mortgage Assets Trust 2007-4 Series 2007-4 Class CUSIP Rating A3 026934AC3 AA- (sf) Argent Securities Inc. Series 2003-W6 Class CUSIP Rating AV-1 040104CM1 AAA (sf) AF-5 040104CT6 AAA (sf) M-1 040104CU3 AA- (sf) M-2 040104CV1 CCC (sf) M-3 040104CW9 CC (sf) Banc of America Funding 2006-G Trust Series 2006-G Class CUSIP Rating 1-A-1 05950MAA8 BB (sf) 2-A-1 05950MAB6 BB+ (sf) 2-A-3 05950MAD2 AAA (sf) 2-A-4 05950MAE0 BB+ (sf) 2-A-5 05950MAF7 CCC (sf) M-1 05950MAK6 CC (sf) M-2 05950MAL4 CC (sf) Bear Stearns Asset Backed Securities I Trust 2005-AC5 Series 2005-AC5 Class CUSIP Rating I-A-1 073879ZW1 CCC (sf) I-A-2 073879ZX9 CCC (sf) I-A-3 073879ZY7 CCC (sf) I-A-4 073879ZZ4 CCC (sf) I-M-1 073879A32 CC (sf) I-M-2 073879A40 CC (sf) I-M-3 073879A57 CC (sf) II-A-1 073879A99 AA- (sf) II-A-2 073879B23 AA- (sf) II-A-3 073879B31 CC (sf) II-PO 073879B72 CC (sf) Cityscape Home Equity Loan Trust 1996-2 Series 1996-2 Class CUSIP Rating A-5 178779AQ7 AA- (sf) CSAB Mortgage Backed Trust 2006-4 Series 2006-4 Class CUSIP Rating A-2-A 12628LAD2 CCC (sf) A-2-B 12628LAE0 CC (sf) A-3 12628LAF7 CC (sf) A-4 12628LAG5 AA- (sf) A-5 12628LAH3 CC (sf) A-6-A 12628LAJ9 CCC (sf) A-6-B 12628LAK6 CC (sf) CSAB Mortgage-Backed Trust 2006-3 Series 2006-3 Class CUSIP Rating A-1-A 12628KAA0 CCC (sf) A-1-B-1 12628KAB8 CCC (sf) A-1-B-2 12628KAC6 CCC (sf) A-1-C 12628KAD4 CCC (sf) A-2 12628KAE2 CCC (sf) A-3-A 12628KAF9 CCC (sf) A-3-B 12628KAG7 CCC (sf) A-4-A 12628KAH5 AA- (sf) A-4-B 12628KAJ1 CCC (sf) A-5-A 12628KAK8 AA- (sf) A-5-B 12628KAL6 CCC (sf) A-6 12628KAM4 AA- (sf) A-7 12628KAN2 CCC (sf) CSAB Mortgage-Backed Trust 2007-1 Series 2007-1 Class CUSIP Rating 1-A-1A 12629EAA3 CCC (sf) 1-A-1B 12629EAB1 CCC (sf) 1-A-2 12629EAC9 CCC (sf) 1-A-3A 12629EAD7 CCC (sf) 1-A-3B 12629EAE5 CCC (sf) 1-A-4 12629EAF2 AA- (sf) 1-A-5 12629EAG0 AA- (sf) 1-A-6A 12629EAH8 CCC (sf) 1-A-6B 12629EAJ4 CCC (sf) CSMC Mortgage-Backed Trust 2007-3 Series 2007-3 Class CUSIP Rating 1-A-1A 12638PAB5 CCC (sf) 1-A-1B 12638PAC3 CCC (sf) 1-A-2 12638PAD1 CCC (sf) 1-A-3A 12638PAE9 CCC (sf) 1-A-3B 12638PAF6 CCC (sf) 1-A-4 12638PAG4 AA- (sf) 1-A-5 12638PAH2 AA- (sf) 1-A-6A 12638PAJ8 CCC (sf) 1-A-6B 12638PAK5 CCC (sf) 4-A-3 12638PBS7 CCC (sf) 4-A-4 12638PBT5 CCC (sf) CWABS Asset-Backed Certificates Trust 2006-15 Series 2006-15 Class CUSIP Rating A-2 12666UAB9 BB (sf) A-5B 12666UAF0 AA- (sf) M-1 12666UAH6 CC (sf) M-2 12666UAJ2 CC (sf) M-3 12666UAK9 CC (sf) M-4 12666UAL7 CC (sf) M-5 12666UAM5 CC (sf) M-6 12666UAN3 CC (sf) CWABS Asset-Backed Certificates Trust 2007-4 Series 2007-4 Class CUSIP Rating A-2 12668WAB3 CCC (sf) A-3 12668WAC1 CCC (sf) A-4W 12668WAD9 AA- (sf) A-5 12668WAE7 CCC (sf) A-5W 12668WAU1 AA- (sf) A-6 12668WAF4 CCC (sf) A-6W 12668WAV9 AA- (sf) M-5 12668WAJ6 CC (sf) M-6 12668WAK3 CC (sf) Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB1 Series 2006-AB1 Class CUSIP Rating A-3 251510ML4 AA- (sf) Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB3 Series 2006-AB3 Class CUSIP Rating A-4 25151EAD5 AA- (sf) A-5A 25151EAE3 AA- (sf) DSLA Mortgage Loan Trust 2005-AR6 Series 2005-AR6 Class CUSIP Rating 1A-1B 23332UGJ7 AA- (sf) 2A-1B 23332UFW9 CC (sf) FBR Securitization Trust 2005-1 Series 2005-1 Class CUSIP Rating A-1 30246QAA1 AA- (sf) A-2 30246QAB9 AA- (sf) GSAA Home Equity Trust 2005-12 Series 2005-12 Class CUSIP Rating AF-3 362341SR1 CCC (sf) AF-3W 362341TK5 AA- (sf) AF-4 362341SS9 CCC (sf) AF-5 362341ST7 CCC (sf) AF-6 362341SU4 CCC (sf) M-1 362341SV2 CC (sf) M-2 362341SW0 CC (sf) M-3 362341SX8 CC (sf) HomeGold Home Equity Loan Trust 1999-1 Series 1999-1 Class CUSIP Rating A-1 43740CAB4 AA- (sf) A-2 43740CAA6 AA- (sf) AMERICREDIT 2010-4: S&P Raises Rating on Class E Notes From 'BB' ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on seven classes of subordinated notes from AmeriCredit Automobile Receivables Trust's series 2010-3 and 2010-4, and removed them from CreditWatch with positive implications, where it placed them on Dec. 6, 2011. "In addition, we affirmed our 'AAA (sf)' ratings on class A-2 and A-3 from the same transactions," S&P said. "The rating actions reflect each transaction's collateral performance to date, our views regarding future collateral performance, the structure of each transaction, and the respective credit enhancement levels. In addition, our analysis incorporates secondary credit factors, such as credit stability, payment priorities under various scenarios, and sector--and issuer- specific analysis. In our opinion, the total credit support, as a percent of the amortizing pool balance, compared with our revised expected remaining losses, is adequate for each of the raised or affirmed ratings," S&P said. "We placed the long-term ratings on class B, C, and D from series 2010-3 and 2010-4, as well as class E from series 2010-4, on CreditWatch with positive implications on Dec. 6, 2011. The CreditWatch placements reflected the fact that collateral performance appeared to be trending better than our initial expectations; however, we maintained our initial loss expectations at that time pending further performance. After an additional four months of performance, we have lowered our loss expectations to reflect the improvement and our future expectations in performance trends (see table 1)," S&P said. Table 1 Collateral Performance (%) As of March 2012 distribution Initial Revised Pool Current lifetime lifetime Series Mo. Factor CNL CNL exp. CNL exp. 2010-3 18 63.46 2.21 12.50-13.00 6.60-6.80 2010-4 16 57.75 2.27 11.75-12.25 5.75-5.95 CNL - cumulative net loss. Each transaction has credit enhancement in the form of a spread account, overcollateralization, subordination for the more senior classes, and excess spread. The credit support levels have grown for all outstanding classes as a percent of the declining collateral balances (see table 2). Table 2 Hard Credit Support As of the March 2012 distribution Current Total hard total hard Pool credit support credit support(ii) Series Class Factor(%) at issuance(i) (% of current) 2010-3 A-2 63.46 37.60 61.91 2010-3 A-3 63.46 37.60 61.91 2010-3 B 63.46 29.85 49.69 2010-3 C 63.46 19.80 33.86 2010-3 D 63.46 10.50 19.20 2010-4 A-2 57.75 35.20 62.28 2010-4 A-3 57.75 35.20 62.28 2010-4 B 57.75 27.95 49.73 2010-4 C 57.75 18.95 34.15 2010-4 D 57.75 10.10 18.82 2010-4 E 57.75 7.75 14.75 (i)Consists of a reserve account and overcollateralization, as well as subordination for the higher rated tranches, and excludes excess spread that can also provide additional enhancement. (ii)Total hard credit support at issuance and Current total hard credit support are as a percent of the initial pool balance. "We incorporated cash flow analysis in the review of the series, which included current and historical performance to estimate future performance. The various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given the transaction's current performance. The results demonstrated, in our view, that all of the classes have adequate credit enhancement at their raised and affirmed rating levels," S&P said. "We will continue to monitor the performance of each transaction to ensure that the credit enhancement remains sufficient, in our view, to cover our revised cumulative net loss expectations under our stress scenarios for each of the rated classes," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com AmeriCredit Automobile Receivables Trust LONG-TERM RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE AmeriCredit Automobile Receivables Trust Rating Series Class To From 2010-3 B AA+(sf) AA(sf)/Watch Pos 2010-3 C AA(sf) A(sf)/Watch Pos 2010-3 D AA-(sf) BBB(sf)/Watch Pos 2010-4 B AA+(sf) AA(sf)/Watch Pos 2010-4 C AA(sf) A+(sf)/Watch Pos 2010-4 D AA-(sf) BBB(sf)/Watch Pos 2010-4 E A+(sf) BB(sf)/Watch Pos LONG-TERM RATINGS AFFIRMED AmeriCredit Automobile Receivables Trust Series Class Rating 2010-3 A-2 AAA(sf) 2010-3 A-3 AAA(sf) 2010-4 A-2 AAA(sf) 2010-4 A-3 AAA(sf) AMMC CLO X: S&P Gives 'BB-' Rating on $7MM Class F Notes -------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to AMMC CLO X Ltd./AMMC CLO X Corp.'s $372.1 million floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior-secured loans. The ratings reflect S&P's view of: * The credit enhancement provided to the 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 (excluding 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 criteria. * The transaction's legal structure, which is expected to be bankruptcy remote. * The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior-secured term loans. * The portfolio manager's experienced management team. * "Our projections regarding the timely interest and ultimate principal payments on the rated notes, which we assessed using our cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.35%-13.84%," 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. * The transaction's reinvestment overcollateralization test, a failure of which will lead to the reclassification of excess interest proceeds that are available prior to paying subordinated portfolio manager fees, uncapped administrative expenses and fees, portfolio manager incentive fees, and payments to the subordinated notes. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com RATINGS ASSIGNED AMMC CLO X Ltd./AMMC CLO X Corp. Class Rating Amount (mil. $) A AAA (sf) 267.6 B AA (sf) 42.0 C (deferrable) A (sf) 22.0 D (deferrable) BBB (sf) 15.9 E (deferrable) BB+ (sf) 17.6 F (deferrable) BB- (sf) 7.0 Subordinated notes NR 37.9 NR - Not rated. ANTHRACITE CDO III: Moody's Keeps Caa3 Ratings on 2 Note Classes ---------------------------------------------------------------- Moody's Investors Service has upgraded the rating of one class and affirmed the ratings of eight classes of Notes issued by Anthracite CDO III, Ltd. The upgrade is due to material paydown to the class A and the improvement in the credit quality of the underlying portfolio as evidenced by a decrease in the weighted average rating factor (WARF). The affirmations are due to the key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and Re-Remic) transactions. Cl. A, Upgraded to Aa3 (sf); previously on May 11, 2011 Downgraded to A1 (sf) Cl. B-FL, Affirmed at Ba1 (sf); previously on May 11, 2011 Downgraded to Ba1 (sf) Cl. B-FX, Affirmed at Ba1 (sf); previously on May 11, 2011 Downgraded to Ba1 (sf) Cl. C-FL, Affirmed at B1 (sf); previously on May 11, 2011 Downgraded to B1 (sf) Cl. C-FX, Affirmed at B1 (sf); previously on May 11, 2011 Downgraded to B1 (sf) Cl. D-FL, Affirmed at Caa1 (sf); previously on May 11, 2011 Downgraded to Caa1 (sf) Cl. D-FX, Affirmed at Caa1 (sf); previously on May 11, 2011 Downgraded to Caa1 (sf) Cl. E-FL, Affirmed at Caa3 (sf); previously on May 11, 2011 Downgraded to Caa3 (sf) Cl. E-FX, Affirmed at Caa3 (sf); previously on May 11, 2011 Downgraded to Caa3 (sf) Ratings Rationale Anthracite CDO III, Ltd. is a static cash CRE CDO transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (88.0% of the pool balance), real estate investment trust (REIT) debt (7.7%) and a credit tenant lease (CTL) loan (4.3%). As of the March 21, 2012 Trustee Report, the aggregate Note balance of the transaction has decreased to $349.7 million from $435.3 million at issuance, with the paydown directed to Class A Notes. The majority of paydown was due to amortization of the collateral; however a portion of the paydown was due to interest proceeds being reclassified as principal for those assets declared as defaulted. Fifty-three assets with a par balance of $256.4 million (67.0% of the pool balance) were listed as Defaulted or Impaired Securities as of the March 21, 2012 Trustee Report, due to interest shortfalls, credit rating downgrades or negative watch status. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated credit estimates for the non-Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 3,977 compared to 4,263 at last review. The distribution of current ratings and credit estimates is as follows: Aaa-Aa3 (8.9% compared to 8.4% at last review), A1-A3 (9.4% compared to 8.4% at last review), Baa1-Baa3 (16.4% compared to 13.7% at last review), Ba1-Ba3 (8.3% compared to 12.4% at last review), B1-B3 (23.3% compared to 14.6% at last review), and Caa1- C (33.7% compared to 42.4% 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 4.0 years compared to 4.1 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 17.3% WARR compared to 17.8% at last review. This slightly lower WARR is due to the greater portion of CMBS assets in the pool compared to 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 8.5% compared to 9.7% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 17.3% to 12.3% or up to 22.3% would result in average rating movement on the rated tranches of 0 to 2 notches downward or 1 to 2 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 extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster Holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The methodologies used in this rating were "Moody's Approach to Rating SF CDOs" published in November 2010, and "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011. APIDOS I: S&P Raises Rating on Class C Notes From 'BB+' ------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on three classes of notes from Apidos CDO I, a collateralized loan obligation (CLO) transaction managed by Apidos Capital Management LLC. "We also affirmed our ratings on two classes from the same transaction," S&P said. "The upgrades reflect the underlying portfolio's improved credit quality since our December 2009 rating action. As of the February 2012 trustee report, the balance of defaulted assets decreased to $2.22 million from $12.57 million in November 2009, while the balance of 'CCC' rated assets decreased to $6.38 million from $27.49 million. Also, the class A-1 notes have started to amortize and have paid down to 91% from 100% of its original balance. These factors have led to the increase in the class overcollateralization (O/C) test to 123.69% from 120.30% during the same period," S&P said. The rating affirmations on the class A-1 and D notes reflect the availability of sufficient credit support at their current rating levels. "We will continue to review our ratings on the notes and assess whether, in our view, the ratings remain consistent with the credit enhancement available," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Apidos CDO I Rating To From A-2 AA+ (sf) A+ (sf) B A (sf) BBB+ (sf) C BBB- (sf) BB+ (sf) RATING AFFIRMED Apidos CDO I Rating A-1 AA+ (sf) D B+ (sf) AXIS EQUIPMENT: DBRS Assigns 'BB' Ratings to Class D Securities --------------------------------------------------------------- DBRS, Inc. has assigned final ratings to the following classes issued by Axis Equipment Finance Receivables LLC: - Class A rated AA (sf) - Class B rated 'A' (sf) - Class C rated BBB (sf) - Class D rated BB (sf) - Class E-1 rated B (sf) BEAR STEARNS 2002-PBW1: Moody's Cuts Rating on J Certs. to 'C' -------------------------------------------------------------- Moody's Investors Service downgraded the ratings of two classes and affirmed the ratings of nine classes of Bear Stearns Commercial Mortgage Securities Trust Commercial Mortgage Pass- Through Certificates, Series 2002-PBW1 as follows: Cl. A-2, Affirmed at Aaa (sf); previously on Oct 3, 2002 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aaa (sf); previously on Apr 6, 2006 Upgraded to Aaa (sf) Cl. C, Affirmed at Aaa (sf); previously on Sep 20, 2007 Upgraded to Aaa (sf) Cl. D, Affirmed at Aaa (sf); previously on Sep 20, 2007 Upgraded to Aaa (sf) Cl. E, Affirmed at Aaa (sf); previously on Sep 25, 2008 Upgraded to Aaa (sf) Cl. F, Affirmed at Aa2 (sf); previously on Sep 25, 2008 Upgraded to Aa2 (sf) Cl. G, Affirmed at Ba1 (sf); previously on Sep 22, 2010 Downgraded to Ba1 (sf) Cl. H, Downgraded to Caa1 (sf); previously on Sep 22, 2010 Downgraded to B2 (sf) Cl. J, Downgraded to C (sf); previously on Sep 22, 2010 Downgraded to Caa3 (sf) Cl. K, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded to C (sf) Cl. X-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The downgrades are due to higher than expected losses from specially serviced and liquidated loans, as well as greater Moody's loan to value (LTV) ratio dispersion for the conduit loans in the pool. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating of the IO Class, Class X-1, is consistent with the expected credit performance of its reference classes and thus is affirmed. Moody's rating action reflects a cumulative base expected loss of 4% of the current balance. At last review, Moody's cumulative base expected loss was 6.2%. Realized losses have increased from 1.2% of the original balance to 3.6% since the prior review. Moody's provides a current list of base losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. 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 extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster Holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.60 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's review also incorporated the CMBS IO calculator ver 1.0, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 31 compared to 41 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated May 4, 2011. DEAL PERFORMANCE As of the March 12, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 60% to $370 million from $921 million at securitization. The Certificates are collateralized by 68 mortgage loans ranging in size from less than 1% to 5.5% of the pool, with the top ten non-defeased loans representing 29% of the pool. Eleven loans, representing 35.6% of the pool, have defeased and are secured by U.S. Government securities. Defeasance at last review represented 32.6% of the pool. The pool contains one loan with an investment grade credit estimates, representing 5.5% of the pool. Twenty-seven loans, representing 35.6% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Four loans have been liquidated from the pool, resulting in a realized loss of $32.7 million (83% loss severity). Currently six loans, representing 5% of the pool, are in special servicing. Moody's estimates an aggregate $8.2 million loss for the specially serviced loans (47% expected loss on average). Moody's has assumed a high default probability for two poorly performing loans representing 3% of the pool and has estimated an aggregate $3 million loss (27.5% expected loss based on a 69% probability default) from these troubled loans. Moody's was provided with full year 2010 operating results for 78% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 79% compared to 74% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11.2% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.32X and 1.39X, respectively, compared to 1.53X and 1.58X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The one loan with a credit estimate is the RREEF Textron Portfolio Loan ($20.4 million -- 5.5% of the pool), which is secured by four properties, including industrial, multifamily, retail and office buildings, located in the District of Columbia, Florida, Texas and Washington. Performance has declined slightly since last review, however the overall performance over the life of this loan has remained stable. Moody's underlying rating and stressed DSCR are Aaa and 3.42X, respectively, compared to Aaa and 3.90X at last review. The top three performing conduit loans represent 10.7% of the pool balance. The largest loan is the CNL Retail Portfolio Loan ($18.2 million -- 5% of the pool), which is secured by five freestanding single-tenant retail properties located in Florida (4) and Virginia. Borders, which occupied one of the properties (30,000 SF -- 14% of the portfolio's net rentable area), has vacated its space due to bankruptcy. In addition, Kash n' Karry which occupied the largest property in the portfolio (58,635 SF -- 28% of the portfolio's net rentable area) has also vacated their space. This has driven the portfolio's occupancy to 58%, compared to 100% at last review. Moody's analysis incorporated a dark/lit blended value for the entire portfolio. Moody's LTV and stressed DSCR are 89% and 1.22X, respectively, compared to 61% and 1.73X at last review. The second largest loan is the North Decatur Shopping Center Loan ($11.9 million -- 3.2% of the pool), which is secured by a 136,000 SF retail center located in Atlanta, Georgia. The property was 88% leased as of December 2011 compared to 87% as of December 2010. Performance is in line with last review, however has declined overall compared to 2009, mainly due to the drop in occupancy. Moody's net cash flow reflects a slightly bigger hair cut to the 2011 net operating income due to the uncertainty of the borrower obtaining refinancing, as the loan matures in July of 2012. Moody's LTV and stressed DSCR are 115% and 0.89X, respectively, compared to 113% and 0.91X at last review. The third largest loan is the South Parc at Bethany Apartments Loan ($9.2 million -- 2.5% of the pool), which is secured by a 152 unit multifamily property located in Portland Oregon, about 10 miles outside the central business district. The property was 99% leased as of December 2011 compared to 95% as of December 2010. Performance has increased mainly due to the increase in occupancy. Moody's LTV and stressed DSCR are 84% and 1.09X, respectively, compared to 97% and 0.95X at last review. BEAR STEARNS 2006-PWR11: S&P Cuts Ratings on 3 Cert Classes to 'D' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 11 classes of commercial mortgage pass-through certificates from Bear Stearns Commercial Mortgage Securities Trust 2006-PWR11, a U.S. commercial mortgage-backed securities (CMBS) transaction. "Concurrently, we affirmed our 'AAA (sf)' ratings on seven other classes from the same transaction," S&P said. "Our rating actions follow our analysis of the transaction primarily using our U.S. conduit/fusion CMBS criteria, which included a review of credit characteristics of the remaining collateral in the pool, the deal structure, and the liquidity available to the trust. The downgrades reflect credit support erosion that we anticipate will occur upon the resolution of 10 ($90.7 million, 5.4%) of the 11 assets ($101.3 million, 6.0%) that are currently with the special servicer, as well as one additional loan ($3.1 million, 0.2%) that we determined to be credit- impaired. We also considered the monthly interest shortfalls that are affecting the trust. We lowered our ratings to 'D (sf)' on the class H, J, and K certificates because we believe the accumulated interest shortfalls will remain outstanding for the foreseeable future," S&P said. "The rating affirmations on the principal and interest certificates reflect subordination and liquidity support levels that we consider to be consistent with our outstanding ratings on these classes. We affirmed our 'AAA (sf)' rating on the class X interest-only (IO) certificate based on our current criteria," S&P said. "Using servicer-provided financial information, we calculated an adjusted debt service coverage (DSC) of 1.35x and a loan-to-value (LTV) ratio of 109.1%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted-average DSC of 0.87x and an LTV ratio of 154.2%. The implied defaults and loss severity under the 'AAA' scenario were 82.9% and 42.5%. The DSC and LTV calculations noted above exclude one ($1.0 million) defeased loan, 10 ($90.7 million, 5.4%) of the 11 assets ($101.3 million, 6.0%) that are currently with the special servicer, and one ($3.1 million, 0.2%) loan that we determined to be credit-impaired. We separately estimated losses for the excluded specially serviced and credit-impaired assets and included them in our 'AAA' scenario implied default and loss severity figures," S&P said. "As of the March 12, 2012, trustee remittance report, the trust experienced monthly interest shortfalls totaling $231,378. The interest shortfalls were due primarily to appraisal subordinate entitlement reduction (ASER) amounts totaling $172,611, interest reduction of $36,043 due to a nonrecoverability determination with respect to the Scranton Center loan, a one-time adjustment to interest due to a principal paydown according to the master servicer, and special servicing fees of $20,427. The class H, J, and K certificates have experienced cumulative interest shortfalls for two consecutive months, and are expected to remain outstanding for the foreseeable future. Consequently, we downgraded these classes to 'D (sf)'. The class L, M, N, and O certificates, which we previously downgraded to 'D (sf)', have experienced cumulative interest shortfalls for periods ranging from two to 23 consecutive months, and we expect the shortfalls to remain outstanding for the foreseeable future," S&P said. CREDIT CONSIDERATIONS "As of the March 12, 2012, trustee remittance report, 11 assets ($101.3 million, 6.0%) in the pool were with the special servicer, C-III Asset Management LLC (C-III). The reported payment status of the specially serviced assets is: three are real estate owned (REO) ($36.2 million, 2.1%); two are in foreclosure ($15.2 million, 0.9%); four are 90-plus-days delinquent ($22.9 million, 1.4%); one is in its grace period ($16.5 million, 1.0%); and one ($10.5 million, 0.6%) is current. Appraisal reduction amounts (ARAs) totaling $41.9 million are in effect against 10 of the 11 specially serviced assets. Details on the two largest assets with the special servicer are as set forth," S&P said. "The Forum Center asset ($18.7 million, 1.1%), a 134,963-sq.-ft., anchored retail center in Louisville, Ky., is the largest specially serviced asset. The loan was transferred to the special servicer on April 7, 2009, due to imminent payment default and became REO on Nov. 10, 2011. An ARA of $11.9 million is in effect for this asset. According to C-III, a receiver is working to re- tenant the property. Recent financial information is not available for this asset. Standard & Poor's anticipates a significant loss upon the eventual resolution of this asset," S&P said. "The 411 Theodore Fremd Avenue loan ($16.5 million, 1.0%) is the second-largest specially serviced asset. The loan was transferred to special servicing on Dec. 7, 2011, due to imminent payment default. The loan has a reported in grace payment status. The collateral is an 111,546-sq.-ft. suburban office building in Rye, N.Y. C-III indicated that it is negotiating a workout strategy with the borrower. Servicer-reported DSC was 0.99x as of Sept. 30, 2011. Standard & Poor's anticipates a moderate loss upon the eventual resolution of this loan," S&P said. "The remaining nine specially serviced assets have individual balances that represent 0.7% or less of the total pool balance. ARAs totaling $30.0 million were in effect against these nine remaining specially serviced assets. Standard & Poor's estimated losses for eight of the nine specially serviced assets, representing a weighted-average loss severity of 48.9%. C-III indicated that the remaining loan has been modified and is expected to be returned to the master servicer in a few months," S&P said. "In addition to the specially serviced assets, we determined the Memphis Industrial loan ($3.1 million, 0.2%) to be credit- impaired. The loan is secured by a 224,749-sq.-ft. industrial building located in Memphis, Tenn. The loan is on the combined master servicers' watchlist due to a decline in DSC. The loan's reported payment status is 60-plus-days delinquent. As of Dec. 31, 2011, the reported DSC was 0.16x. According to the master servicer, the largest unit (200,749 sq. ft.) has been vacant since March 31, 2011, while the remaining unit (24,000 sq. ft.) is leased on a month-to-month basis. Given the reported poor performance and payment delinquency, we consider this loan to be at an increased risk of default and loss," S&P said. TRANSACTION SUMMARY "As of the March 12, 2012, trustee remittance report, the collateral pool balance was $1.69 billion, which is 90.9% of the balance at issuance. The pool includes 168 loans and three REO assets down from 181 loans at issuance. The master servicers, Prudential Asset Resources Inc. and Wells Fargo Bank N.A., provided financial information for 95.1% of the nondefeased loan balance, 50.2% of which was full-year 2010 data and 44.9% was interim or full-year 2011 data," S&P said. "We calculated a weighted average DSC of 1.40x for the loans in the pool based on the servicer-reported figures. Our adjusted DSC and LTV ratio were 1.35x and 109.1%. Our adjusted DSC and LTV figures exclude one ($1.0 million) defeased loan, 10 ($90.7 million, 5.4%) of the transaction's 11 ($101.3 million, 6.0%) specially serviced assets, and one ($3.1 million, 0.2%) loan that we determined to be credit-impaired. The transaction has experienced $16.4 million in principal losses from five assets to date. Fifty-six loans ($618.8 million, 36.6%) in the pool are on the combined master servicers' watchlist, including four ($330.0 million, 19.5%) of the top 10 loans in the pool. Thirty-six loans ($250.8 million, 14.8%) have a reported DSC of less than 1.10x, 25 of which ($155.4 million, 9.2%) have reported a DSC below 1.00x," S&P said. SUMMARY OF THE TOP 10 LOANS "The top 10 loans have an aggregate outstanding balance of $763.3 million (45.2%). Using servicer-reported numbers, we calculated a weighted average DSC of 1.45x for the top 10 loans. Our adjusted DSC and LTV ratio for the top 10 loans were 1.31x and 123.1%. Four ($330.0 million, 19.5%) of the top 10 loans in the pool are on the combined master servicers' watchlist," S&P said. "The Investcorp Retail Portfolio 1 & 2 loan ($184.4 million, 10.9%) is the second-largest loan in the pool and is secured by a portfolio of eight retail properties totaling 1,676,738 sq. ft.: five properties are in Cincinnati, Ohio, two are in Columbus, Ohio, and one is in Fort Wayne, Ind. The loan was placed on the combined master servicers' watchlist due to a decline in DSC. The servicer-reported DSC was 1.11x for the year ended Dec. 31, 2010, and the combined occupancy was 92.0% according to the Sept. 30, 2011 rent rolls," S&P said. "The SBC - Hoffman Estates loan, the third-largest loan in the pool, has a trust balance of $90.8 million (5.4%) and a whole-loan balance of $185.4 million. The loan is secured by a 1,690,214-sq.- ft., single-tenanted office complex located in Hoffman Estates, Ill., about 35 miles northwest of Chicago. The tenant, SBC Communications, is now known as AT&T Inc. (A-/Stable/A-2). The loan was placed on the combined master servicers' watchlist due to the borrower's inability to pay off the loan at its anticipated repayment date of Dec. 1, 2010. The loan has a final maturity date of Dec. 1, 2035. According to the master servicer, excess cash flow is being captured in a lock box, and the loan is hyper- amortizing. The servicer-reported DSC was 2.25x as of Dec. 31, 2010, and occupancy was 100% according to the March 2011 rent roll," S&P said. The Hickory Point Mall loan ($30.1 million, 1.8%) is the eighth- largest loan in the pool and is secured by an 824,696-sq.-ft. regional shopping mall in Forsyth, Ill., about 120 miles northeast of St. Louis. The loan was placed on the combined master servicers' watchlist due to a decline in DSC. The servicer- reported DSC was 1.05x as of Dec. 31, 2011, and occupancy was 92.3%, according to the Sept. 30, 2011 rent roll. The 91-31 Queens Boulevard loan ($24.7 million, 1.4%), the 10th- largest loan in the pool, is secured by an 84,393-sq.-ft. office building in Elmhurst, N.Y., about 10 miles from midtown Manhattan. The loan was placed on the combined master servicers' watchlist because of a decline in DSC. The servicer-reported DSC was 1.38x for the year-ended Dec. 31, 2011. Occupancy was 88.8% according to the Oct. 1, 2011, rent roll. "Standard & Poor's stressed the collateral in the pool according to its current criteria. The resultant credit enhancement levels are consistent with our rating actions," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com RATINGS LOWERED Bear Stearns Commercial Mortgage Securities Trust 2006-PWR11 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-M A (sf) A+ (sf) 21.03 A-J BBB- (sf) BBB (sf) 12.37 B BB (sf) BBB- (sf) 10.17 C BB- (sf) BB+ (sf) 8.79 D B (sf) BB (sf) 7.14 E B (sf) BB- (sf) 6.04 F B- (sf) B+ (sf) 4.81 G CCC (sf) B+ (sf) 3.71 H D (sf) B (sf) 2.33 J D (sf) B- (sf) 1.92 K D (sf) CCC (sf) 1.51 RATINGS AFFIRMED Bear Stearns Commercial Mortgage Securities Trust 2006-PWR11 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-1 AAA (sf) 32.03 A-2 AAA (sf) 32.03 A-3 AAA (sf) 32.03 A-AB AAA (sf) 32.03 A-4 AAA (sf) 32.03 A-1A AAA (sf) 32.03 X AAA (sf) N/A N/A - Not applicable. BLACK DIAMOND 2006-1: S&P Raises Rating on Class E Notes to 'BB' ---------------------------------------------------------------- Standard & Poor's Ratings Services raised and simultaneously removed from CreditWatch its ratings on four classes of notes from Black Diamond CLO 2006-1 (Luxembourg) S.A., a collateralized loan obligation (CLO) transaction managed by Black Diamond Capital Management LLC. "We also affirmed four ratings and withdrew one rating from the same transaction," S&P said. "The upgrades reflect positive rating migration of the underlying portfolio since our February 2010 rating action. As of the January 2012 trustee report, the balance of defaulted assets decreased to $40.43 million from $81.99 million in December 2009, while the balance of 'CCC' rated assets decreased to $38.66 million from $64.27 million. Additionally, the class A/B overcollateralization test has increased to 130.82% from 125.56% within the same period," S&P said. "We affirmed our ratings on the class X, A-D, A-E, and A-R notes to reflect the availability of sufficient credit support at their current rating levels," S&P said. "We withdrew the rating on the class P note because the principal balance of the note has been paid down to zero," S&P said. "We will continue to review our ratings on the notes and assess whether, in our view, the ratings remain consistent with the credit enhancement available," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS Black Diamond CLO 2006-1 (Luxembourg) S.A. Rating To From B AA (sf) A+ (sf)/Watch Pos C A (sf) BBB+ (sf)/Watch Pos D BBB (sf) BB+ (sf)/Watch Pos E BB (sf) CCC+ (sf)/Watch Pos RATINGS AFFIRMED Black Diamond CLO 2006-1 (Luxembourg) S.A. Rating X AAA (sf) A-D AA+ (sf) A-E AA+ (sf) A-R AA+ (sf) RATING WITHDRAWN Black Diamond CLO 2006-1 (Luxembourg) S.A. Rating To From P NR AAA (sf) NR - Not Rated BLUEMOUNTAIN CLO: S&P Affirms 'BB+' Rating on Class D Notes ----------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2, B, and C notes from BlueMountain CLO Ltd., a U.S. collateralized loan obligation transaction managed by BlueMountain Capital Management L.P. "We also withdrew our rating on class A-1 revolving notes following their conversion to the existing class A-1 notes, and we affirmed our rating on the class D notes," S&P said. "BlueMountain CLO Ltd. ended its reinvestment period in November 2011 and is currently in its amortization period. On the Feb. 15, 2012, payment date, there was a $27.53 million paydown to the class A-1 notes' principal balance, which we factored into our current review," S&P said. "The upgrades also reflect improved performance we have observed in the deal's underlying asset portfolio since we downgraded the notes on Dec. 16, 2009. As of the Feb. 7, 2012, trustee report, the transaction's asset portfolio had $1.50 million defaulted obligations and $22.91 million in assets with an rating of 'CCC', compared with $8.62 million in defaulted obligations and $47.00 million in 'CCC' obligations noted in the Nov. 4, 2009, trustee report, which we referenced for our December 2009 rating actions," S&P said. "We also observed an increase in the overcollateralization (O/C) available to support the rated notes," S&P said. The trustee reported the O/C ratios in the Feb. 7, 2012, monthly report: * The class A/B O/C ratio was 122.35%, compared with a reported ratio of 120.63% in November 2009; * The class C O/C ratio was 115.84%, compared with a reported ratio of 114.21% in November 2009; and * The class D O/C ratio was 108.84%, compared with a reported ratio of 107.31% in November 2009. "Pursuant to the transaction's structural provisions, when the reinvestment period ended, the class A-1 revolving notes were combined with the existing class A-1 notes. Therefore, we are withdrawing our rating on the class A-1 revolving notes," S&P said. "Our affirmation of the class D notes reflects our opinion that the credit support available is commensurate with the notes' current rating level," S&P said. "Standard & Poor's will continue to review whether, in its view, the ratings on the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com RATING ACTIONS BlueMountain CLO Ltd. Rating Class To From A-1 AAA (sf) AA+ (sf) A-1 Rev NR AA+ (sf) A-2 AA+ (sf) AA (sf) B AA- (sf) A+ (sf) C A- (sf) BBB+ (sf) NR - Not rated. RATING AFFIRMED Class Rating D BB+ (sf) CALLIDUS FUND V: S&P Affirms 'BB' Class D Notes Rating; Off Watch ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2, B, and C notes from Callidus Debt Partners CLO Fund V Ltd., a U.S. collateralized loan obligation (CLO) managed by GSO/Blackstone Debt Funds Management. "Simultaneously, we affirmed the ratings on the class A-1A, A-1B, and D notes. We removed our ratings on all the classes in this review from CreditWatch, where we placed them with positive implications on Dec. 20, 2011," S&P said. "The transaction is in its reinvestment period (scheduled to end November 2013) and has improved its credit support to the notes since we last lowered most of the ratings in December 2009, following the application of our September 2009 corporate collateralized debt obligation (CDO) criteria," S&P said. "The trustee reports $16.46 million of 'CCC' rated assets in the February 2012 monthly report, down from $54.91 million in the November 2009 monthly report, which we used for the December 2009 actions. When calculating the overcollateralization (O/C) ratios, the trustee haircuts from the O/C numerator a portion of the 'CCC' rated collateral that exceed the threshold specified in the transaction documents. This threshold was breached in November 2009 leading to a haircut when calculating the O/C ratios. Since the current level of 'CCC' rated collateral is less than the threshold, there was no haircut in the O/C calculations in the February 2012 report," S&P said. "In addition, the transaction's default levels also declined during this period. According to the February 2012 trustee report, the transaction held $0.34 million in defaults, down from $6.65 million in the November 2009 trustee report," S&P said. "Standard & Poor's also notes that the interest diversion test is currently passing. The transaction is structured such that failure of this test--measured during the reinvestment period in the interest proceeds section of the waterfall--will divert 60% of the available interest proceeds to purchase additional collateral obligations. Based on the February 2012 trustee report, this test result was 106.80%; it last failed in November 2009 (103.30% vs. minimum requirement of 103.40%) and interest proceeds were diverted toward reinvestment accordingly," S&P said. As a result of the improvements previously mentioned, the O/C ratios improved. The trustee reported these O/C ratios in the February 2012 trustee report: * The class A O/C ratio was 124.97%, compared with a reported ratio of 120.70% in November 2009; * The class B O/C ratio was 117.31%, compared with a reported ratio of 113.40% in November 2009; * The class C O/C ratio test was 110.65%, compared with a reported ratio of 107.00% in November 2009; and * The class D O/C ratio test was 106.83%, compared with a reported ratio of 103.30% in November 2009. "Due to the improvement in credit support, we are raising our ratings on the class A-2, B, and C notes. We affirmed the ratings on the class A-1A, A-1B, and D notes based on sufficient credit support at their current ratings," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS Callidus Debt Partners CLO Fund V Ltd. Rating Class To From A-1A AA+ (sf) AA+ (sf)/Watch Pos A-1B AA+ (sf) AA+ (sf)/Watch Pos A-2 AA (sf) AA- (sf)/Watch Pos B A (sf) A- (sf)/Watch Pos C BBB (sf) BBB- (sf)/Watch Pos D BB (sf) BB (sf)/Watch Pos CANARAS SUMMIT: S&P Raises Rating on Class D Notes From 'BB+' ------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B, C, and D notes from Canaras Summit CLO Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Canaras Capital Management. "At the same time, we affirmed our ratings on the class A-1, A-2, and E notes," S&P said. The upgrades reflect improved collateral performance, and the affirmations reflect adequate credit support at the current rating levels. "This transaction will be in its reinvestment period until June 2013. Since the time of our last rating action, the outstanding note balances have remained the same, as the transaction has remained in compliance with its coverage tests," S&P said. "The credit quality of the transaction's underlying asset portfolio has improved since our last rating action on Nov. 30, 2010, and the improvements have benefited the rated notes. Specifically, the transaction's asset pool includes significantly less obligations rated in the 'CCC' range than in November 2010. Other positive factors for the transaction include an increase in the weighted average spread, a $1.34 million increase in total collateral backing the rated liabilities, and increases in the class A/B, C, D, and E overcollateralization ratios," S&P said. "The class E rating remains constrained at 'B+ (sf)' by the application of the largest obligor default test, a supplemental stress test we introduced as part of our September 2009 corporate criteria update," S&P said. "We affirmed our ratings on the class A-1, A-2, and E notes to reflect our belief that the credit support available is commensurate with the current rating levels," S&P said. "We have also provided preliminary rating confirmation to the collateral manager for an amendment which, if it becomes effective, would permit the collateral manager to increase the weighted average life of the assets. A preliminary rating confirmation is our indication that we are willing to provide a rating confirmation letter on the execution date if there are no substantive changes to the execution version of the amendment," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings on the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Canaras Summit CLO Ltd. Rating Class To From B AA (sf) A+ (sf) C A (sf) BBB+ (sf) D BBB (sf) BB+ (sf) RATINGS AFFIRMED Canaras Summit CLO Ltd. Class Rating A-1 AA+ (sf) A-2 AA+ (sf) E B+ (sf) CAPITAL ONE: S&P Affirms 'BB(sf)' Rating on Class D Securities -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on 28 classes and affirmed its ratings on 214 classes issued by the six largest originators/issuers of U.S. bank credit card asset-backed securities (ABS) transactions. "The upgrades and rating affirmations concluded our recent review of each of the credit card ABS deals backed by the six largest originators of U.S. bank credit card ABS that we rate. The overall collateral performance of the credit card receivables backing each of these credit card ABS transactions has stabilized and improved during the last 18 to 24 months. As part of the review, we updated, in certain instances, our base-case assumptions and stresses to the key performance variables (yield, charge-off rate, and payment rate) used in modeling and rating credit card ABS," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS RAISED American Express Credit Account Secured Note Trust Rating Series Class To From 2004-2 A(sf) BBB+(sf) 2005-2 A(sf) BBB+(sf) 2005-4 A(sf) BBB+(sf) 2005-7 A(sf) BBB+(sf) 2007-2 AA(sf) A-(sf) 2007-5 AA(sf) A-(sf) 2007-7 AA(sf) A-(sf) 2008-4 AA(sf) A-(sf) 2011-1 1 AA-(sf) A-(sf) 2011-2 1 AA-(sf) A-(sf) BA Credit Card Trust Ratings Class To From B(2003-4) A+(sf) A(sf) B(2004-1) A+(sf) A(sf) B(2005-1) A+(sf) A(sf) B(2005-3) A+(sf) A(sf) B(2006-1) A+(sf) A(sf) B(2006-2) A+(sf) A(sf) B(2007-2) A+(sf) A(sf) B(2007-3) A+(sf) A(sf) B(2008-1) A+(sf) A(sf) Capital One Multi-asset Execution Trust Rating Class To From Class B(2004-3) A+(sf) A(sf) Class B(2004-7) A+(sf) A(sf) Class B(2005-1) A+(sf) A(sf) Class B(2005-3) A+(sf) A(sf) Class B(2006-1) A+(sf) A(sf) Class B(2007- 1) A+(sf) A(sf) Class B(2009-C) A+(sf) A(sf) Chase Credit Card Owner Trust Rating Series Class To From 2003-4 B AA-(sf) A(sf) Chase Issuance Trust ChaseSeries Rating Class To From B(2007-1) A+(sf) A(sf) RATINGS AFFIRMED American Express Issuance Trust Series Class Rating 2005-2 A AAA(sf) 2005-2 B AA-(sf) 2005-2 C BBB(sf) 2007-2 A AAA(sf) 2007-2 B A(sf) 2007-2 C BBB(sf) American Express Credit Account Master Trust Series Class Rating 2004-2 A AAA(sf) 2004-2 B AA+(sf) 2005-2 A AAA(sf) 2005-2 B AA+(sf) 2005-4 A AAA(sf) 2005-4 B AA+(sf) 2005-7 A AAA(sf) 2005-7 B AA+(sf) 2007-2 A AAA(sf) 2007-2 B AA+(sf) 2007-5 A AAA(sf) 2007-5 B AA+(sf) 2007-7 A AAA(sf) 2007-7 B AA+(sf) 2007-8 A AAA(sf) 2007-8 B AA+(sf) 2008-2 A AAA(sf) 2008-2 B AA+(sf) 2008-4 A AAA(sf) 2008-4 B AA+(sf) 2008-5 A AAA(sf) 2008-5 B AA+(sf) 2008-6 A AAA(sf) 2008-6 B AA+(sf) 2008-7 A AAA(sf) 2008-7 B AA+(sf) 2008-9 A AAA(sf) 2008-9 B AA+(sf) 2009-1 A AAA(sf) 2009-1 B AA+(sf) 2009-2 A AAA(sf) 2009-2 B AA+(sf) 2010-1 A AAA(sf) 2010-1 B AA+(sf) 2011-1 A AAA(sf) 2011-1 B AA+(sf) 2011-2 A AAA(sf) 2011-2 B AA+(sf) American Express Credit Account Secured Note Trust * Series Class Rating 2009-1 1 A-(sf) 2009-2 1 A-(sf) 2010-1 1 A-(sf) * Although similar credit enhancement as American Express Credit Account Secured Note Trust 2011-1 and 2011-2 which ratings are raised, due to a different structural feature related to re- allocated principal, the rating of these series are affirmed. BA Credit Card Trust Class Rating A(2002-3) AAA(sf) A(2003-10) AAA(sf) A(2004-1) A+(sf) A(2004-3) AAA(sf) A(2005-2) AAA(sf) A(2005-10) AAA(sf) A(2006-2) AAA(sf) A(2006-5) AAA(sf) A(2006-7) AAA(sf) A(2006-8) AAA(sf) A(2006-11) AAA(sf) A(2006-13) AAA(sf) A(2006-14) AAA(sf) A(2007-1) AAA(sf) A(2007-3) AAA(sf) A(2007-4) AAA(sf) A(2007-5) AA-(sf) A(2007-6) AAA(sf) A(2007-8) AAA(sf) A(2007-9) AAA(sf) A(2007-10) AAA(sf) A(2007-11) AAA(sf) A(2007-14) AAA(sf) A(2007-15) AAA(sf) A(2008-2) AAA(sf) A(2008-4) AAA(sf) A(2008-6) AAA(sf) A(2008-7) AAA(sf) A(2008-8) AAA(sf) A(2008-10) AAA(sf) A(2010-1) AAA(sf) C(2002-3) BBB(sf) C(2002-6) BBB(sf) C(2002-7) BBB(sf) C(2003-4) BBB(sf) C(2003-7) BBB(sf) C(2004-2) BBB(sf) C(2006-1) BBB(sf) C(2006-5) BBB(sf) C(2006-6) BBB(sf) C(2008-5) BBB(sf) Capital One Multi-asset Execution Trust Class Rating Class A(2004-1) AAA(sf) Class A(2004-4) AAA(sf) Class A(2005-1) AAA(sf) Class A(2005-6) AAA(sf) Class A(2005-7) AAA(sf) Class A(2005-9) AAA(sf) Class A(2005-10) AAA(sf) Class A(2006-1) AAA(sf) Class A(2006-3) AAA(sf) Class A(2006-5) AAA(sf) Class A(2006-8) AAA(sf) Class A(2006-11) AAA(sf) Class A(2006-12) AAA(sf) Class A(2007-1) AAA(sf) Class A(2007-2) AAA(sf) Class A(2007-4) AAA(sf) Class A(2007-5) AAA(sf) Class A(2007-7) AAA(sf) Class A(2007-8) AAA(sf) Class A(2008-3) AAA(sf) Class C(2003-3) BBB(sf) Class C(2004-2) BBB(sf) Class C(2004-3) BBB(sf) Class C(2007-1) BBB(sf) Class C(2007-4) BBB(sf) Class C(2009-A) BBB(sf) Class D(2002-1) BB(sf) Chase Issuance Trust ChaseSeries Class Rating A(2003-4) AAA(sf) A(2003-8) AAA(sf) A(2004-3) AAA(sf) A(2004-8) AAA(sf) A(2005-2) AAA(sf) A(2005-6) AAA(sf) A(2005-11) AAA(sf) A(2006-2) AAA(sf) A(2006-6) AAA(sf) A(2006-8) AAA(sf) A(2007-2) AAA(sf) A(2007-3) AAA(sf) A(2007-5) AAA(sf) A(2007-7) AAA(sf) A(2007-8) AAA(sf) A(2007-9) AAA(sf) A(2007-10) AAA(sf) A(2007-12) AAA(sf) A(2007-13) AAA(sf) A(2007-16) AAA(sf) A(2007-17) AAA(sf) A(2007-18) AAA(sf) A(2008-2) AAA(sf) A(2008-3) AAA(sf) A(2008-4) AAA(sf) A(2008-6) AAA(sf) A(2008-8) AAA(sf) A(2008-10) AAA(sf) A(2008-11) AAA(sf) A(2008-12) AAA(sf) A(2008-13) AAA(sf) A(2008-14) AAA(sf) A(2009-2) AAA(sf) A(2011-2) AAA(sf) A(2011-3) AAA(sf) C(2003-3) BBB(sf) C(2004-2) BBB(sf) C(2005-2) BBB(sf) C(2007-1) BBB(sf) Chase Credit Card Owner Trust Series Class Rating 2003-4 A AAA(sf) 2003-4 C BBB(sf) Citibank Credit Card Issuance Trust Citiseries Class Rating 2002-A4 AAA(sf) 2002-A10 AAA(sf) 2003-A7 AAA(sf) 2003-A10 AAA(sf) 2004-A8 AAA(sf) 2005-A1 AAA(sf) 2005-A2 AAA(sf) 2005-A3 AAA(sf) 2005-A4 AAA(sf) 2005-A5 AAA(sf) 2005-A8 AAA(sf) 2005-A9 AAA(sf) 2006-A1 AAA(sf) 2006-A3 AAA(sf) 2006-A7 AAA(sf) 2006-A8 AAA(sf) 2007-A3 AAA(sf) 2007-A4 AAA(sf) 2007-A7 AAA(sf) 2007-A8 AAA(sf) 2007-A9 AAA(sf) 2007-A10 AAA(sf) 2007-A11 AAA(sf) 2008-A1 AAA(sf) 2008-A2 AAA(sf) 2008-A5 AAA(sf) 2008-A6 AAA(sf) 2008-A7 AAA(sf) 2009-A1 AAA(sf) 2009-A2 AAA(sf) 2009-A4 AAA(sf) 2009-A5 AAA(sf) 2007-B5 AA(sf) 2003-C4 BBB+(sf) 2005-C1 BBB+(sf) 2005-C2 BBB+(sf) 2005-C3 BBB+(sf) 2006-C1 BBB+(sf) 2008-C6 BBB+(sf) Discover Card Master Trust I Series Class Rating 2005-4 Sub2 A AAA(sf) 2005-4 Sub2 B AA+(sf) 2006-2 Sub3 A AAA(sf) 2006-2 Sub3 B AA+(sf) 2007-2 A AAA(sf) 2007-2 B AA+(sf) 2007-3 Sub2-A AAA(sf) 2007-3 Sub2-B AA+(sf) Discover Card Execution Note Trust Class Rating A(2007-1) AAA(sf) A(2007-2) AAA(sf) A(2008-4) AAA(sf) A(2009-1) AAA(sf) A(2010-1) AAA(sf) A(2010-2) AAA(sf) A(2011-2) AAA(sf) A(2011-3) AAA(sf) A(2011-4) AAA(sf) A(2012-1) AAA(sf) B(2007-1) AA+(sf) CARLYLE BRISTOL: S&P Raises Ratings on 2 Classes of Notes to 'B+' ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2, B-1, B-2, C, and D notes from Carlyle Bristol CLO Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Carlyle Investment Management LLC. "At the same time, we affirmed our 'AA+ (sf)' rating on the class A-1 notes," S&P said. "The upgrades mainly reflect an improvement in the performance of the transaction's underlying asset portfolio and paydowns to the class A-1 notes since December 2009, when we downgraded all of the notes following the application of our September 2009 corporate collateralized debt obligation (CDO) criteria," S&P said. "As of the February 2012 trustee report, the transaction had $2.67 million of defaulted assets. This was down from $10.02 million noted in the November 2009 trustee report, which we referenced for our December 2009 rating actions. Furthermore, assets from obligors rated in the 'CCC' category were reported at $17.73 million in February 2012, compared with $37.11 million in November 2009," S&P said. The upgrades also reflect an improvement in the overcollateralization (O/C) available to support the notes, partially due to paydowns to the class A-1 notes since the December 2009 rating actions. Since that time, the transaction has paid down the class A-1 notes by approximately $33 million, reducing their outstanding note balance to 88.67% of its original balance at issuance. The trustee reported the O/C ratios in the February 2012 monthly report: * The class A O/C ratio was 120.35%, compared with a reported ratio of 114.61% in November 2009; * The class B O/C ratio was 112.23%, compared with a reported ratio of 107.00% in November 2009; * The class C O/C ratio was 105.03%, compared with a reported ratio of 100.22% in November 2009; and * The class D O/C ratio was 104.09%, compared with a reported ratio of 99.32% in November 2009. The transaction ended its reinvestment period in November 2011, and, subsequently, should continue to see further paydowns to the notes going forward. "We affirmed our 'AA+ (sf)' rating on the class A-1 notes to reflect the availability of credit support at the current rating level," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS Carlyle Bristol CLO Ltd. Rating Class To From A-2 AA+ (sf) AA- (sf) B-1 BBB+ (sf) BBB (sf) B-2 BBB+ (sf) BBB (sf) C B+ (sf) CCC- (sf) D B+ (sf) CCC- (sf) RATING AFFIRMED Carlyle Bristol CLO Ltd. Class Rating A-1 AA+ (sf) TRANSACTION INFORMATION Issuer: Carlyle Bristol CLO Ltd. Co-issuer: Stanfield Bristol CLO Corp. Collateral manager: Carlyle Investment Management LLC Trustee: The Bank of New York Mellon Transaction type: Cash flow CDO CARLYLE GLOBAL 2012-1: Moody's Rates US$22.7MM Class E Notes 'Ba2' ------------------------------------------------------------------ Moody's Investors Service has assigned the following ratings to notes issued by Carlyle Global Market Strategies CLO 2012-1, Ltd.: US$320,000,000 Class A Senior Floating Rate Notes due April 2022 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) US$22,725,000 Class E Secured Deferrable Floating Rate Notes due April 2022 (the "Class E Notes"), Definitive Rating Assigned Ba2 (sf) US$10,000,000 Combination Notes due April 2022 (comprised of $7.2 million of the Combination Note Class B Component, $775,000 of the Combination Note Class F Component, and $2.025 million of the Combination Note Subordinated Note Component) (the "Combination Notes"), Definitive Rating Assigned Baa3 (sf) Ratings Rationale Moody's ratings of the Class A Notes and the Class E Notes address the ultimate cash receipt of all required principal and interest payments, and are based on the expected loss posed to noteholders relative to the promise of receiving the present value of such payments. The ratings reflects the risks due to defaults on the underlying portfolio of loans, the transaction's legal structure, and the characteristics of the underlying assets. Moody's rating of the Combination Notes only addresses the expected loss posed to the noteholders relative to the promise of receiving amounts totaling the rated balance of the combination notes. The rating does not address any interest payments or additional amounts that a noteholder could receive. Carlyle 2012-1 is a managed cash flow CLO. The issued notes are collateralized primarily by broadly syndicated first-lien senior secured corporate loans. At least 90% of the portfolio must be invested in senior secured loans or eligible investments and up to 10% of the portfolio may consist of second-lien loans, senior secured notes and bonds. The underlying portfolio is expected to be at least 70% ramped up as of the closing date. In addition to the Class A Notes, Class E Notes and Combination Notes rated by Moody's, the Issuer will issue five additional tranches, including subordinated notes. In accordance with the respective priority of payments, interest and principal will be paid to the Class A Notes prior to the other classes of notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the rated notes in order of seniority. Carlyle Investment Management LLC will direct the selection, acquisition and disposition of collateral on behalf of the Issuer and may engage in trading activity during the transaction's four year reinvestment period, including discretionary trading. Thereafter, purchases are permitted using principal proceeds from unscheduled principal payments and proceeds from sales of credit risk obligations, and are subject to certain restrictions. For modeling purposes, Moody's used the following base-case assumptions: Par amount of $494,177,000 Diversity of 55 WARF of 2550 Weighted Average Spread of 3.75% Weighted Average Coupon of 7.0% Weighted Average Recovery Rate of 44.25% Weighted Average Life of 7.5 years Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis which was an important component in determining the provisional rating assigned to the Class A Notes, Class E Notes and the Combination Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Class A Notes, Class E Notes and the Combination Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Moody's WARF + 15% (2933) Class A Notes: 0 Class E Notes: -1 Combination Notes: 0 Moody's WARF +30% (3315) Class A Notes: -1 Class E Notes: -2 Combination Notes: -1 The V Score for this transaction is Medium/High. This V Score has been assigned in a manner similar to the Medium/High V score assigned for the global cash flow CLO sector, as described in the special report titled, "V Scores and Parameter Sensitivities in the Global Cash Flow CLO Sector," dated July 6, 2009, available on www.moodys.com. 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. The principal methodology used in assigning these ratings was "Moody's Approach to Rating Collateralized Loan Obligations," published in June 2011. CARLYLE GLOBAL 2012-1: S&P Assigns 'BB' Rating on Class E Notes --------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Carlyle Global Market Strategies CLO 2012-1 Ltd./Carlyle Global Market Strategies CLO 2012-1 LLC's $451.825 million floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's view of: * The credit enhancement provided to the 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 CDO criteria. * The transaction's legal structure, which is expected to be bankruptcy remote. * The diversified collateral portfolio, which primarily consists of broadly syndicated speculative-grade senior-secured term loans. * The collateral manager's experienced management team. * "Our projections regarding the timely interest and ultimate principal payments on the rated notes, which we assessed using our cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.34%-11.41%," 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. * The transaction's interest diversion test, a failure of which will lead to the reclassification of excess interest proceeds that are available prior to paying uncapped administrative expenses and fees; subordinated hedge termination payments; collateral manager incentive fees; and subordinated note payments to principal proceeds for the purchase of additional collateral assets during the reinvestment period and to reduce the balance of the rated notes outstanding, sequentially, after the reinvestment period. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com RATINGS ASSIGNED Carlyle Global Market Strategies CLO 2012-1 Ltd./Carlyle Global Market Strategies CLO 2012-1 LLC Class Rating Amount (mil. $) A AAA (sf) 320.000 B AA (sf) 50.000 C (deferrable) A (sf) 35.100 D (deferrable) BBB (sf) 24.000 E (deferrable) BB (sf) 22.725 F (deferrable) NR 15.000 Subordinated notes NR 43.045 NR - Not rated. CITIGROUP 2006-FL2: S&P Lowers Ratings on 3 Cert. Classes to 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on four classes of commercial mortgage pass-through certificates from Citigroup Commercial Mortgage Trust 2006-FL2, a U.S. commercial mortgage-backed securities (CMBS) transaction. "Concurrently, we raised our ratings on two classes and affirmed our ratings on four other classes from the same transaction," S&P said. "Our rating actions follow our analysis of the transaction, which included the revised valuation of the collateral securing the remaining four floating-rate loans in the pool, all of which are currently with the special servicers due to imminent maturity defaults. Our analysis also considered the deal structure, the liquidity available to the trust, refinancing risks, and losses that we anticipate will occur upon the eventual resolution of one ($50.0 million, 50.3% of the pooled trust balance) of the four specially serviced loans ($99.4 million, 100%)," S&P said. "We downgraded classes L, RAM-1, and RAM-2 to 'D (sf)' because we believe the accumulated interest shortfalls will remain outstanding for the foreseeable future. In addition, the downgrades on the raked class RAM-1 and RAM-2 notes follow our analysis of the Radisson Ambassador Plaza Hotel & Casino loan, which we discuss below. These raked certificates derive 100% of their cash flow from a subordinate nonpooled component of the loan," S&P said. The raised ratings on classes G and H also reflect increased credit enhancement levels due to the deleveraging of the pooled trust balance. "The affirmed rating on the class J principal and interest certificates reflects subordination and liquidity support levels that are consistent with the outstanding rating. We affirmed our ratings on the 'DHC' raked certificates based on our revised valuation of the Doubletree Hospitality & Centre Plaza Office loan. The raked certificates derive 100% of their cash flow from a subordinate nonpooled component of the loan," S&P said. "We based our analysis, in part, on a review of the borrower's operating statements for the year ended Dec. 31, 2011, the borrower's available 2012 budget, the borrower's December 2011 rent rolls, and available Smith Travel Research (STR) reports," S&P said. "As of the March 16, 2012, trustee remittance report, the trust consists of four floating-rate interest-only loans indexed to one- month LIBOR with a pooled trust balance of $99.4 million and a trust balance of $110.7 million. The one-month LIBOR rate was 0.2485% per the March trustee remittance report," S&P said. "The Radisson Ambassador Plaza Hotel & Casino loan, the largest loan in the trust, is secured by a 233-room, full-service hotel, which includes a 14,800-sq.-ft. casino, in San Juan, Puerto Rico. The loan has a trust and whole-loan balance of $54.4 million, which consists of a $50.0 million senior pooled component (50.3% of the pooled trust balance) and a $4.4 million subordinate nonpooled component that supports the class RAM-1 and RAM-2 raked certificates. In addition, the equity interests in the whole loan borrower secure $35.6 million of mezzanine debt," S&P said. "The master servicer, Wells Fargo Bank N.A. (Wells Fargo), reported an in-trust debt service coverage (DSC) of 0.21x and occupancy of 78.0% for the 12 months ended Nov. 30, 2011, on the Radisson Ambassador Plaza Hotel & Casino loan," S&P said. "Our adjusted valuation, using an 11.53% capitalization rate, yielded a stressed in-trust loan-to-value (LTV) ratio that significantly exceeds 100%. Wells Fargo reported declining net cash flows in the last three years primarily due to deterioration in casino revenues. According to Wells Fargo, the casino revenue performance, particularly the slot machine segment that accounts for a majority of the revenue, has been steadily declining due to increased competition from newer establishments in Puerto Rico, as well as the proliferation of illegal slot machine venues. Consequently, we downgraded the 'RAM' raked certificates to 'D (sf)' based on our analysis and because we believe the accumulated interest shortfalls will remain outstanding for the foreseeable future. Classes RAM-1 and RAM-2 have accumulated interest shortfalls outstanding for seven consecutive months," S&P said. "The Radisson Ambassador Plaza Hotel & Casino loan was transferred to the special servicer on June 3, 2011, due to imminent maturity default. The loan matured on July 9, 2011. According to the special servicer, a forbearance agreement was executed on Jan. 13, 2012, which will terminate upon the earlier of another default or July 2013. The master servicer reported an appraisal reduction amount (ARA) of $26.4 million on the whole-loan balance based on an Aug. 1, 2011, appraisal value of $31.2 million. We expect a significant loss upon the eventual resolution of this loan," S&P said. "The CarrAmerica National Pool Portfolio loan, the second-largest loan in the trust, is currently secured by 26 office properties totaling 5.4 million sq. ft. in California, Texas, Colorado, and Washington. The loan has a whole-loan balance of $509.7 million, consisting of a $335.6 million senior participation that is split into three pari passu pieces and a $174.1 million junior participation that is held outside the trust. The senior participation interests are further divided into two components: a senior pooled component totaling $296.2 million and a subordinate nonpooled component totaling $39.4 million. The trust's portion of the pooled balance is $22.2 million (22.3% of the pooled trust balance), and its portion of the nonpooled balance is $2.9 million, which is raked to the 'CAN' certificates (not rated by Standard & Poor's). In addition, the equity interests in the whole-loan borrower secure four mezzanine loans totaling $128.9 million. It is our understanding that the trustee-reported loan balances are in the process of being updated due to property releases in March, which will result in a whole-loan balance of $509.3 million. Wells Fargo reported an in-trust combined DSC of 11.96x for the 12 months ended Dec. 31, 2011, and the combined occupancy was 85.9% according to the December 2011 rent rolls. Our adjusted valuation, using a 9.50% capitalization rate, yielded a stressed in-trust LTV ratio of 56.3%," S&P said. The loan was transferred to the special servicer, Bank of America N.A., on Feb. 1, 2011, due to maturity default. The loan matured on Aug. 9, 2011. According to the special servicer, the loan was modified and the maturity was extended to Aug. 9, 2012, with a one-year extension option. The Doubletree Hospitality & Centre Plaza Office loan, the third- largest loan in the trust, is secured by a mixed-use facility in Modesto, Calif., containing, among other items, 258 full-service hotel rooms and 58,697 rentable sq. ft. of office space. The loan has a whole-loan balance of $24.9 million, which consists of a $15.0 million senior pooled component (15.1% of the pooled trust balance), a $2.8 million subordinate nonpooled component that supports the 'DHC' raked certificates, and a $7.0 million nontrust junior participation interest. Wells Fargo reported a combined DSC of 5.67x for the nine months ended Sept. 30, 2011, and 65.6% occupancy for the 12 months ended Dec. 31, 2011, on the hotel portion and 81.8% occupancy as of July 2011 on the office portion. S&P's adjusted valuation, using a 10.61% weighted average capitalization rate, yielded a stressed in-trust LTV ratio of 79.7%. "Based on our analysis of the loan, we affirmed our ratings on the 'DHC' raked certificate classes. The loan was transferred to the special servicer on May 10, 2011, due to imminent maturity default. The loan matured on July 9, 2011. According to the special servicer, the loan was modified on Dec. 9, 2011. The modification terms included, but were not limited to, extending the maturity date to Nov. 9, 2013, with a one-year extension option, paying down $1.2 million in principal, increasing the interest rate spread on the whole-loan balance, and the borrower paying all fees including special servicing and workout fees. The special servicer indicated that this loan would likely be returned to the master servicer at some point in March 2012," S&P said. "The Snake River Lodge & Spa loan, the smallest loan in the trust, is secured by an 88-room, full-service luxury hotel, which includes a 17,000-sq.-ft. spa, at the base of the Jackson Hole mountain range in Teton Village, Wyo. The loan has a whole-loan balance of $25.2 million that consists of a $12.2 million senior pooled component (12.3% of the pooled trust balance), a $1.0 million subordinate nonpooled component raked to the SRL certificate class (not rated by Standard & Poor's), and a $12.8 million subordinate B note. The loan was transferred to the special servicer on Feb. 11, 2010, after the borrower did not pay off the loan by its Feb. 9, 2010, maturity date. The special servicer for this loan, Wells Fargo, reports that it is currently exploring various liquidation strategies, including a discounted payoff. The reported DSC for the trust was 4.95x and occupancy was 53.8% for the 12 months ended Oct. 31, 2011. Our adjusted valuation, which considered the April 20, 2011, appraisal value of $25.9 million, resulted in a stressed in-trust LTV ratio of 87.3%," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LOWERED Citigroup Commercial Mortgage Trust 2006-FL2 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) K CCC- (sf) CCC+ (sf) 24.00 L D (sf) CCC- (sf) 0.00 RAM-1 D (sf) CCC- (sf) N/A RAM-2 D (sf) CCC- (sf) N/A RATINGS RAISED Citigroup Commercial Mortgage Trust 2006-FL2 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) G AA (sf) A (sf) 90.01 H A (sf) BBB (sf) 69.01 RATINGS AFFIRMED Citigroup Commercial Mortgage Trust 2006-FL2 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) J BB (sf) 46.51 DHC-1 B+ (sf) N/A DHC-2 B- (sf) N/A DHC-3 CCC (sf) N/A N/A - Not applicable. CITIGROUP 2009-1: S&P Lowers Ratings on 2 Classes to 'CCC' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 22 classes from nine residential mortgage-backed securities (RMBS) resecuritized real estate mortgage investment conduit (re-REMIC) transactions issued in 2006 through 2010. "In addition, we raised our rating on class 1A2A from Citigroup Mortgage Loan Trust 2009- 1. We also affirmed our ratings on 90 classes from eight transactions with lowered ratings and seven other transactions, and removed one of them from CreditWatch with negative implications," S&P said. "Each of the 16 reviewed transactions pays interest on a pro rata basis, except for GSMSC Pass-Through Trust 2009-5R and RBSSP Resecuritization Trust 2009-13, which pay interest sequentially," S&P said. "We intend our ratings on the re-REMIC classes to address the timely payment of interest and ultimate payment of principal. We reviewed the interest and principal amounts due on the underlying securities, which are then passed through to the applicable re- REMIC classes. We applied our loss projections, incorporating our loss assumptions, to the underlying collateral to identify the principal and interest amounts that could be passed through from the underlying securities under our rating scenario stresses. We stressed our loss projections at various rating categories to assess whether the re-REMIC classes could withstand the stressed losses associated with their ratings while receiving timely payment of interest and principal consistent with our criteria," S&P said. "We based our downgrades on our assessment of projected principal losses and if there were interest shortfalls from the underlying securities that would impair the re-REMIC classes at the applicable rating stresses. In reviewing these transactions, we applied Standard and Poor's criteria as set forth in 'Methodology For Assessing the Impact of Interest Shortfalls on U.S. RMBS,' published March 28, 2012. However, none of the downgrades was a result of interest shortfalls to the re-REMIC classes," S&P said. "Among other factors, the upgrade reflects our view of a decrease in delinquencies within the structure associated with this class. This has caused a decrease to the remaining projected loss for this class, resulting in the class withstanding more stressful scenarios. In addition, the upgrade reflects our assessment that the projected credit enhancement for this class will be more than sufficient to cover the projected loss at the revised rating level; however, we are limiting the extent of the upgrade to reflect our view of the ongoing market risk," S&P said. "The affirmations reflect our assessment that the re-REMIC classes will likely receive timely interest and the ultimate payment of principal under the applicable stressed assumptions," S&P said. "As noted, in applying our loss projections we incorporated, where applicable, our loss assumptions as outlined in 'Revised Lifetime Loss Projections For Prime, Subprime, And Alt-A U.S. RMBS Issued In 2005-2007,' published on March 25, 2011, into our review. Such updates pertain to the 2005-2007 vintage prime, subprime, and Alternative-A (Alt-A) transactions; some of which are associated with the re-REMICs we reviewed (see tables 1 and 2 for the overall prior and revised vintage- and product-specific lifetime loss projections as percentages of the original structure balance)," S&P said. Table 1 Lifetime Loss Projections For Prime And Subprime RMBS (Percent of original balance) Prime RMBS Subprime RMBS Aggregate Aggregate Vintage Updated Prior Updated Prior 2005 5.5 4.00 18.25 15.40 2006 9.25 6.60 38.25 35.00 2007 11.75 9.75 48.50 43.20 Table 2 Lifetime Loss Projections For Alternative-A RMBS (Percent of original balance) Fixed/ Aggregate long-reset Vintage Updated Prior Updated Prior 2005 13.75 11.25 12.75 9.60 2006 29.50 26.25 25.25 25.00 2007 36.00 31.25 31.75 26.25 Short-reset hybrid Option ARM Vintage Updated Prior Updated Prior 2005 13.25 14.75 15.50 13.25 2006 30.00 30.50 34.75 26.75 2007 41.00 40.75 43.50 37.50 STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Citigroup Mortgage Loan Trust 2009-1 Series 2009-1 Rating Class CUSIP To From 3A2B 17314UAV0 CCC (sf) BB (sf) 1A2C 17314UAG3 CC (sf) CCC (sf) 1A2A 17314UAE8 BB (sf) BB- (sf) 1A2 17314UAB4 CC (sf) CCC (sf) 2A2B 17314UAN8 CCC (sf) B (sf) Citigroup Mortgage Loan Trust 2009-7 Series 2009-7 Rating Class CUSIP To From 4A2 17315MAH8 AA (sf) AAA (sf) CSMC Series 2009-9R Series 2009-9R Rating Class CUSIP To From 12-A-2 12642HFF3 A- (sf) AAA (sf) 12-A-7 12642HLS8 A- (sf) AAA (sf) 12-A-8 12642HLT6 A- (sf) AAA (sf) GSMSC Pass-Through Trust 2009-5R Series 2009-5R Rating Class CUSIP To From 1A-2 36190BAB5 CC (sf) CCC (sf) J.P. Morgan Resecuritization Trust Series 2009-1 Series 2009-1 Rating Class CUSIP To From A-2 46633CAB7 CC (sf) CCC (sf) J.P. Morgan Resecuritization Trust Series 2009-10 Series 2009-10 Rating Class CUSIP To From 3-A-2 46634AAX2 B- (sf) BBB+ (sf) J.P. Morgan Resecuritization Trust Series 2009-2 Series 2009-2 Rating Class CUSIP To From A-1 46633FAA2 AAA (sf) AAA (sf)/Watch Neg J.P. Morgan Resecuritization Trust Series 2009-3 Series 2009-3 Rating Class CUSIP To From 1-A-2 46633HAB6 A (sf) AAA (sf) 2-A-2 46633HAD2 CC (sf) B (sf) J.P. Morgan Resecuritization Trust Series 2009-4 Series 2009-4 Rating Class CUSIP To From 1-A-2 46633JAB2 BBB- (sf) A- (sf) JPMorgan MBS Series 2006-R1 Series 2006-R1 Rating Class CUSIP To From 1-A-1 46628AAA0 CC (sf) CCC (sf) 1-A-2 46628AAB8 CC (sf) CCC (sf) 1-A-3 46628AAC6 CC (sf) CCC (sf) 2-A-1 46628AAD4 CC (sf) CCC (sf) 3-A-1 46628AAF9 CC (sf) CCC (sf) 4-A-1 46628AAG7 CC (sf) CCC (sf) 5-A-1 46628AAH5 BB- (sf) BBB- (sf) 6-A-1 46628AAK8 D (sf) CCC (sf) RATINGS AFFIRMED Banc of America Funding 2009-R10 Trust Series 2009-R10 Class CUSIP Rating A-1 05955JAA0 AAA (sf) BCAP LLC 2009-RR3 Trust Series 2009-RR3 Class CUSIP Rating II-A-1 05531XAD6 AAA (sf) Citigroup Mortgage Loan Trust 2009-1 Series 2009-1 Class CUSIP Rating 2A2A 17314UAM0 BBB- (sf) 3A2A 17314UAU2 BBB (sf) 1A2B 17314UAF5 BB- (sf) Citigroup Mortgage Loan Trust 2009-7 Series 2009-7 Class CUSIP Rating 4A1 17315MAG0 AAA (sf) CSMC Series 2009-9R Series 2009-9R Class CUSIP Rating 1-A-3 12642HAC5 AAA (sf) 12-A-5 12642HLQ2 AAA (sf) 5-A-6 12642HCH2 AAA (sf) 5-A-10 12642HCM1 AAA (sf) 5-A-1 12642HCC3 AAA (sf) 12-A-4 12642HLP4 AAA (sf) 1-A-10 12642HAK7 AAA (sf) 1-A-8 12642HAH4 AAA (sf) 5-A-3 12642HCE9 AAA (sf) 1-A-4 12642HAD3 AAA (sf) 12-A-3 12642HLN9 AAA (sf) 5-A-9 12642HCL3 AAA (sf) 1-A-7 12642HAG6 AAA (sf) 5-A-5 12642HCG4 AAA (sf) 5-A-11 12642HCN9 AAA (sf) 1-A-9 12642HAJ0 AAA (sf) 1-A-1 12642HAA9 AAA (sf) 5-A-8 12642HCK5 AAA (sf) 12-A-1 12642HFE6 AAA (sf) 12-A-6 12642HLR0 AAA (sf) 1-A-5 12642HAE1 AAA (sf) 5-A-4 12642HCF6 AAA (sf) 5-A-7 12642HCJ8 AAA (sf) 5-A-12 12642HCP4 AAA (sf) 1-A-6 12642HAF8 AAA (sf) CSMC Series 2010-10R Series 2010-10R Class CUSIP Rating 1-A-1 12644JAA3 A (sf) GSMSC Pass-Through Trust 2009-5R Series 2009-5R Class CUSIP Rating 4A-1 36190BAG4 AAA (sf) 1A-1 36190BAA7 AAA (sf) J.P. Morgan Resecuritization Trust Series 2009-1 Series 2009-1 Class CUSIP Rating A-9 46633CAJ0 AAA (sf) A-4 46633CAD3 AAA (sf) A-8 46633CAH4 AAA (sf) A-5 46633CAE1 AAA (sf) A-6 46633CAF8 AAA (sf) A-3 46633CAC5 AAA (sf) A-1 46633CAA9 AAA (sf) A-10 46633CAK7 AAA (sf) A-7 46633CAG6 AAA (sf) J.P. Morgan Resecuritization Trust Series 2009-10 Series 2009-10 Class CUSIP Rating 3-A-6 46634ABB9 AAA (sf) 3-A-5 46634ABA1 AAA (sf) 3-A-3 46634AAY0 AAA (sf) 3-A-8 46634ABD5 AAA (sf) 3-A-10 46634ABF0 AAA (sf) 3-A-1 46634AAW4 AAA (sf) 3-A-4 46634AAZ7 AAA (sf) 3-A-9 46634ABE3 AAA (sf) 3-A-7 46634ABC7 AAA (sf) J.P. Morgan Resecuritization Trust Series 2009-3 Series 2009-3 Class CUSIP Rating 1-A-1 46633HAA8 AAA (sf) 2-A-1 46633HAC4 AAA (sf) J.P. Morgan Resecuritization Trust Series 2009-4 Series 2009-4 Class CUSIP Rating 1-A-1 46633JAA4 AAA (sf) J.P. Morgan Resecuritization Trust Series 2010-3 Series 2010-3 Class CUSIP Rating 2-A-9 46634HAS8 BB (sf) 2-A-8 46634HAR0 BB (sf) 2-A-1 46634HAJ8 AAA (sf) 2-A-12 46634HAV1 BB (sf) 2-A-2 46634HAK5 AA (sf) 1-A-3 46634HAC3 A (sf) 2-A-5 46634HAN9 AA (sf) 1-A-1 46634HAA7 AAA (sf) 2-A-10 46634HAT6 BB (sf) 2-A-11 46634HAU3 BB (sf) 2-A-3 46634HAL3 A (sf) 1-A-6 46634HAF6 A (sf) 1-A-5 46634HAE9 AA (sf) 1-A-2 46634HAB5 AA (sf) 2-A-4 46634HAM1 BB (sf) 2-A-6 46634HAP4 A (sf) Jefferies Resecuritization Trust 2009-R6 Series 2009-R6 Class CUSIP Rating 4-A3 47232YAU0 AAA (sf) 4-A1 47232YAS5 AAA (sf) 4-A2 47232YAT3 AAA (sf) 4-A4 47232YAV8 AAA (sf) RBSSP Resecuritization Trust 2009-13 Series 2009-13 Class CUSIP Rating 9-A1 74928GBB3 AAA (sf) 11-A5 74928GBP2 A (sf) 5-A1 74928GAR9 A (sf) 10-A1 74928GBD9 AA (sf) 4-A4 74928GAQ1 AAA (sf) 4-A3 74928GAP3 AAA (sf) 4-A1 74928GAM0 AAA (sf) 10-A3 74928GBF4 AAA (sf) 9-A2 74928GBC1 B (sf) 8-A1 74928GAZ1 BBB (sf) 4-A2 74928GAN8 CCC (sf) 11-A3 74928GBM9 AAA (sf) 11-A1 74928GBK3 AA (sf) 10-A5 74928GBH0 A (sf) CITIGROUP MORTGAGE 2009-11: S&P Raises Class 1A2 Rating from 'B+' ----------------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on class 1A2 from Citigroup Mortgage Loan Trust 2009-11 by raising it to 'BBB (sf)' from 'B+ (sf)'. "In addition, we affirmed our rating on class 1A1 from the same transaction and removed it from CreditWatch with negative implications," S&P said. "On Dec. 19, 2011, we inadvertently lowered our rating on class 1A2. The correction to the rating reflects our current view that the projected credit enhancement for this class should be more than sufficient to cover projected losses at the revised rating level; the revised rating level also reflects our view of ongoing market risk," S&P said. "The affirmation of the rating on class 1A1 reflects our current view that the projected credit enhancement available for this class should cover projected losses based on the stress scenario associated with its rating level," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com RATING CORRECTED Citigroup Mortgage Loan Trust 2009-11 Series 2009-11 Rating Class CUSIP Current 12/19/11 Pre-12/19/11 1A2 17314QAB3 BBB (sf) B+ (sf) BBB (sf) RATING ACTION Citigroup Mortgage Loan Trust 2009-11 Series 2009-11 Rating Class CUSIP To From 1A1 17314QAA5 AAA (sf) AAA (sf)/Watch Neg CLYDESDALE CLO: S&P Raises Rating on Class D Notes to 'BB' ---------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on five classes of notes from Clydesdale CLO 2005 Ltd., a collateralized loan obligation (CLO) transaction. "At the same time, we removed four of these ratings from CreditWatch positive. We also affirmed our ratings on three classes from the same transaction," S&P said. "The upgrades reflect positive rating migration of the underlying portfolio since our December 2009 rating action. As of the February 2012 trustee report, the balance of defaulted assets decreased to $8.40 million from $42.21 million in November 2009, while the balance of 'CCC' rated assets decreased to $12.77 million from $34.37 million. This has led to an increase in class A overcollateralization (O/C) test to 121.09% from 118.12% during the same period," S&P said. "As a result of this improvement, the class C and D notes are no longer driven by the top obligor test. In addition, the class A-3a notes, senior with respect to the pro rata sequential relationship between the class A-1, A-2, and A-3 notes, now pass our 'AAA' rating stresses," S&P said. The rating affirmations on the class A-1, A-2, and A-3b notes reflect the availability of sufficient credit support at their current rating levels. "We will continue to review our ratings on the notes and assess whether, in our view, the ratings remain consistent with the credit enhancement available," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS Clydesdale CLO 2005 Ltd. Rating To From A-3a AAA (sf) AA+ (sf) A-4 AA (sf) A+ (sf) /Watch Pos B A (sf) BBB+ (sf)/Watch Pos C BBB (sf) BB+ (sf)/Watch Pos D BB (sf) CCC+ (sf)/Watch Pos RATINGS AFFIRMED Clydesdale CLO 2005 Ltd. Rating A-1 AA+ (sf) A-2 AA+ (sf) A-3b AA+ (sf) COLUMBUSNOVA 2006-II: S&P Affirms 'BB' Rating on Class E Notes -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B and C notes from ColumbusNova CLO Ltd. 2006-II, a U.S. collateralized loan obligation transaction managed by Columbus Nova Credit Investment Management LLC. "At the same time, we affirmed our ratings on class A, D, and E notes, and we removed our ratings on the class A, B, and C notes from CreditWatch, where we placed them with positive implications on Feb. 10, 2012," S&P said. "ColumbusNova CLO Ltd. 2006-II is currently in its reinvestment period, which ends Jan. 29, 2013. As of the Feb. 10, 2012, payment date, the transaction was passing all of its coverage tests and it retained the $28.73 million in available principal proceeds for the potential acquisition of additional securities," S&P said. "The upgrades reflect improved performance we have observed in the deal's underlying asset portfolio since we lowered our ratings on the notes on Dec. 29, 2009. The affirmation of the ratings on the class A, D, and E notes reflect our opinion that the credit support available is commensurate with their current rating levels," S&P said. "As of the Feb. 29, 2012, trustee report, the transaction's asset portfolio had no defaulted obligations and $17.72 million in assets with a Standard & Poor's rating in the 'CCC' range, compared with $13.90 million in defaulted obligations and $39.93 million in obligations in the 'CCC' range noted in the November 2009 trustee report, which we referenced for our December 2009 rating actions," S&P said. "We also observed an increase in the overcollateralization (O/C) available to support the rated notes," S&P said. The trustee reported the O/C ratios in its February 2012 monthly report: * The senior O/C ratio was 122.24%, compared with a reported ratio of 118.40% in November 2009; and * The mezzanine O/C ratio was 110.69%, compared with a reported ratio of 107.22% in November 2009. Standard & Poor's will continue to review whether, in its view, the ratings on the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS ColumbusNova CLO Ltd. 2006-II Rating Class To From A AA+ (sf) AA+ (sf)/Watch Pos B AA (sf) AA- (sf)/Watch Pos C A (sf) A- (sf)/Watch Pos RATINGS AFFIRMED ColumbusNova CLO Ltd. 2006-II Class Rating D BBB (sf) E BB (sf) COMM 2005-FL11: S&P Affirms 'B-' Rating on Class K Certificates --------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on 11 classes of commercial mortgage pass-through certificates from COMM 2005-FL11, a U.S. commercial mortgage-backed securities (CMBS) transaction. "The affirmations follow our analysis of the transaction, which included our revaluation of the remaining three floating-rate loans, one of which is currently with the special servicer, the deal structure, and the liquidity available to the trust. We also considered the refinancing risk associated with the two remaining performing loans (91.3% of the pooled trust balance) that are scheduled to mature in July 2012 and September 2012. The affirmed ratings on the principal and interest certificates reflect subordination and liquidity support levels that are consistent with the outstanding ratings. We affirmed our 'AAA (sf)' ratings on the class X-2-DB and X-3-DB interest-only (IO) certificates based on our current criteria," S&P said. "We based our analysis, in part, on a review of the borrowers' December 2011 rent rolls, the borrowers' operating statements for the year-ended Dec. 31, 2011, and Dec. 31, 2010, and the borrowers' 2012 budgets, when available," S&P said. "As of the March 15, 2012, trustee remittance report, the trust consisted of three floating-rate loans indexed to one-month LIBOR with a pooled trust balance of $130.7 million and a trust balance of $236.3 million. The one-month LIBOR rate was 0.2485% according to the March 2012 trustee remittance report. We discuss the three remaining floating-rate loans," S&P said. "The Whitehall/Starwood Golf Portfolio loan, the largest loan remaining in the trust, has a whole-loan balance of $199.4 million that is split into a $93.8 million senior pooled component (71.8% of the pooled trust balance) and a $105.6 million subordinate nonpooled component that provides 100% of the cash flow to the 'GP' raked certificates. In addition, the equity interests in the borrower of the whole loan secure mezzanine debt totaling $55.6 million. The loan is currently secured by 92 golf courses with 1,818 holes in 15 states in the U.S. The subservicer for this loan, GEMSA Loan Services L.P. (GEMSA), reported an in-trust debt service coverage (DSC) of 2.75x for year-end 2011. Our adjusted valuation, using a weighted average capitalization rate of 10.88%, yielded an in-trust stressed loan-to-value (LTV) ratio of 116.2%. According to GEMSA, the loan was transferred to the special servicer on May 3, 2010, due to imminent maturity default. GEMSA stated that the loan, which was returned to the master servicer on Jan. 3, 2011, is currently performing under a forbearance agreement that include, among other items, extending the loan's maturity to July 9, 2012, from July 9, 2010. It is our understanding from the special servicer for this loan, GE Capital Realty Group Inc., that the borrower is paying the workout fees, as part of the loan modification," S&P said. "The Crossgates Commons loan, the second-largest loan in the trust, has a trust balance of $25.5 million (19.5%) and a whole- loan balance of $41.4 million. The loan is secured by 433,014 sq. ft. of a 693,824-sq.-ft. community shopping center in Albany, N.Y. The master servicer for this loan, Berkadia Commercial Mortgage LLC (Berkadia), reported a DSC of 1.54x on the trust balance as of year-end 2011, and occupancy was 60.1%, according to the December 2011 rent roll. Our adjusted valuation, using an 8.75% capitalization rate, yielded an in-trust stressed LTV ratio of 114.7%. According to Berkadia, the loan was previously transferred to the special servicer on June 11, 2010, due to imminent maturity default because the borrower stated that it was unable to secure refinancing by the loan's Sept. 9, 2010, maturity date. The loan was modified on Aug. 4, 2010. As part of the modification, the loan's maturity date was extended to Sept. 9, 2012. The IO loan was returned to the master servicer on Nov. 3, 2010. According to Berkadia, the borrower paid the special servicing and workout fees as part of the loan modification," S&P said. "The DDR/Macquarie Mervyn's Portfolio loan, the smallest of the three remaining loans in the trust, has a whole-loan balance of $153.4 million that is divided into three pari passu pieces, $11.4 million of which makes up 8.7% of the pooled trust balance. The $71.0 million pari passu A-1 note is in GE Commercial Mortgage Corp.'s series 2005-C4 and the $71.0 million pari passu A-2 note is in GMAC Commercial Mortgage Securities Inc. Series 2006-C1 Trust. The loan is currently secured by 24 retail properties totaling 829,213 sq. ft. in California, Arizona, Nevada, and Texas. The loan was transferred to the special servicer on Oct. 22, 2008, after the former sole tenant, Mervyn's, filed for bankruptcy. The IO loan matured on Oct. 1, 2010. According to the special servicer for this loan, CWCapital Asset Management LLC (CWCapital), the overall occupancy for the remaining 24 retail properties was 34.0% as of February 2012. CWCapital stated that the retail property in San Antonio, Texas, is real estate owned and added that it is currently pursuing foreclosure on the remaining 23 retail properties. Our adjusted valuation, which considered the July 2011 appraisal values for the remaining 24 retail properties, yielded an in-trust stressed LTV ratio of 170.9%," S&P said. RATINGS AFFIRMED COMM 2005-FL11 Commercial mortgage pass-through certificates Class Rating Credit enhancement % B AAA (sf) 88.34 C AAA (sf) 75.03 D AAA (sf) 65.99 E AA- (sf) 54.28 F A- (sf) 43.64 G BBB- (sf) 34.59 H BB+ (sf) 26.61 J BB (sf) 17.56 K B- (sf) 7.98 X-2-DB AAA (sf) N/A X-3-DB AAA (sf) N/A N/A - Not applicable. COMBINE RE: Moody's Assigns 'Ba3' Rating to Class B Notes --------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to two classes of notes issued by Combine Re Ltd. following a review of final documents. These ratings are consistent with, and replace, the provisional ratings assigned on March 15, 2012. The following definitive ratings have been assigned: US$100,000,000 Class A Principal At-Risk Variable Rate Notes due January 7, 2015 (the "Class A Notes"), Definitive Rating Assigned Baa1 (sf) and US$50,000,000 Class B Principal At-Risk Variable Rate Notes due January 7, 2015 (the "Class B Notes" and together with the Class A Notes, the "Notes"), Definitive Rating Assigned Ba3 (sf). Moody's ratings of the Notes are based primarily on the expected loss posed to noteholders. The ratings reflect the risks associated with the two reinsured parties' combined aggregate ultimate net loss resulting from the U.S. perils of hurricanes, earthquakes, winter storms and severe thunderstorms, net of respective franchise deductibles and their catastrophe reinsurance programs, for the three annual risk periods. The ratings also reflect the transaction's legal structure, the credit strength of the reinsured parties, and the collateral. In addition to the Class A and Class B Notes rated by Moody's, Combine Re issued the Class C Notes, subordinated to the Notes. Ratings Rationale Combine Re is a Cayman Island exempted company sponsored by two companies, COUNTRY Mutual Insurance Company and North Carolina Farm Bureau Mutual Insurance, Inc., that provides fully collateralized, catastrophe aggregate excess of loss retrocessional protection to Swiss Reinsurance America Corporation during the three annual risk periods beginning on March 23, 2012 and ending on December 31, 2014. The subject businesses covered in this transaction are predominantly homeowners policies. During the Risk Period, Swiss Re provides catastrophe aggregate excess of loss reinsurance in respect of the subject business of COUNTRY Mutual and NCFB and cedes those risks to the noteholders of Combine Re by entering into two separate retrocession agreements with Combine Re. Proceeds from the offering are placed in equal amounts into two separate trust accounts, one for COUNTRY Mutual and the other for NCFB, as collateral for the Issuer's potential claim obligations to Swiss Re. The permitted investments of the trust accounts are limited to U.S. domiciled money market funds that invest in direct U.S. government obligations, short- term securities of the U.S. government or any agency of the U.S. government, and/or repurchase and reverse repurchase agreements collateralized by direct U.S. government obligations, short-term securities of the U.S. government or any agency of the U.S. government. The ratings for the Notes are supported by both quantitative and qualitative analyses and Moody's used its cash-flow model to determine the expected loss over the Risk Period are consistent with the assigned ratings. The most important inputs in the model were the exceedance probability curves of aggregate net losses to COUNTRY Mutual and NCFB derived by AIR Worldwide Corp. ("AIR"). Using those probability curves, Moody's simulated the occurrences of modeled losses for the Reinsured Parties, assuming independence of the two entities from each other, to determine whether the losses had exceeded the attachment levels and losses to the notes had occurred, and calculated the expected loss to noteholders. Moody's also stressed the exceedance probability curves to reflect the quality of the data provided by the Reinsured Parties used in AIR's modeling, the ability to handle claims by the Reinsured Parties, other non-modeled elements as well as the inherent uncertainty in the modeling of these perils. Additional factors that contributed to the expected losses were the credit strength of the reinsured parties and the credit quality of the collateral. With respect to the reinsured parties, Moody's estimated the probability of default of the reinsured parties and the losses that may result from unpaid early redemption premiums. With regard to the collateral, the idealized expected loss of the Aaa collateral exposure for the Risk Period was added to the modeled expected losses. V SCORE The V Score for this transaction is Medium-High, driven by Performance Variability and Analytic Complexity. While there exists more than 100 years of hurricane occurrence data and over 60 years of tornado, straight-line windstorm and hail storm occurrence data, future events or the magnitude of loss caused by such events are difficult to predict or forecast. It is uncertain whether historic performance data is a good indicator of future performance. The analytical complexity of modeling hurricane, severe thunderstorm, winter storm and earthquake risks also adds to uncertainty and variability around the modeled parameters. 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. Parameter Sensitivity For parameter sensitivity, Moody's analyzed scenarios stressing the key model input assumption to determine the potential model- indicated ratings impact. The key model inputs are the exceedance probability and the associated aggregate net losses. Moody's increased the aggregate net losses in two scenarios: (i) increased the losses by 20% for hurricanes and earthquakes, 30% for winter storms and severe thunderstorms and (ii) increased the losses 30% for hurricanes and earthquakes, 30% for winter storms and severe thunderstorms. Using such assumptions, the model output for the Class A Notes changed to Baa2 (-1) in both scenarios and the model output for the Class B Notes changed to B1 (-1) in the 30%/20% scenario and to B2 (-2) in the 30%/30% scenario. Parameter Sensitivities provide a quantitative, model-indicated calculation of the number of notches that a Moody's-rated structured finance security may vary if certain input parameters used in the initial ratings process differed. The analysis assumes that the deal has not aged. It is not intended to measure how the rating of the security might migrate over time, but rather, how the initial rating of the security might differ as certain key parameters vary. 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 assigned in each case could vary from the information presented in the Parameter Sensitivity analysis below. Principal Methodology The principal methodology used in these provisional ratings was "Moody's Approach to Rating Catastrophe Bonds Updated" published in January 2004. COMMERCIAL MORTGAGE 2012-C4: DBRS Rates Class F Certificates 'BB' ----------------------------------------------------------------- DBRS has assigned final ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2012-C4 to be issued by MSC 2012-C4 Mortgage Trust. The trends are Stable. Class A-1 at AAA (sf) Class A-2 at AAA (sf) Class A-3 at AAA (sf) Class A-4 at AAA (sf) Class A-S 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 (high) (sf) Class E at BBB (low) (sf) Class F at BB (sf) Class G at B (sf) The collateral consists of 38 fixed-rate loans secured by 77 multifamily, mobile home parks and commercial properties. The portfolio has a balance of $1,098,695,600. The pool consists of relatively low-leverage financing, with a DBRS weighted-average term debt service coverage ratio (DSCR) and debt yield of 1.56 times (x) and 10.9%, respectively. Of the collateral, 92.8% is located in suburban or urban locations and benefits from relatively diverse economies. Underwriting was generally prudent, and the average DBRS net cash flow variance was -6.2%. In addition, two loans, representing 14.9% of the pool, are shadow- rated investment grade by DBRS. The pool is concentrated with the top three loan and top ten loan concentrations representing 27.7% and 62.7% of the pool, respectively, which is greater than other CMBS transactions issued in 2010 and 2011. This is mitigated by the fact that the top ten loans include four portfolios and a total of 33 properties. Generally, the largest ten loans are located in unique markets. The deal is further challenged by the concentration of hotel loans and other non-traditional property types (MHC, self-storage, military housing and student housing), which combined, represent, 33.5% of the pool. For hotel loans, the DBRS cash flow volatility incorporates significant cash stresses, which ultimately increases the probability of default for these loans. The remaining non- traditional property types were either included in a portfolio, had favorable DBRS debt yield metrics, have reported stable historical performance and are located in suburban markets, or have been modeled with below-average cash flow stability which increases the loan's term probability of default. The ratings assigned to the Certificates by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes will be subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS after the date of issuance. CORVUS INVESTMENTS: Fitch Withdraws Junk Ratings on 2 Note Classes ------------------------------------------------------------------ Fitch Ratings withdraws the ratings on two classes of notes issued by Corvus Investments Ltd. as follows: -- Class A-1 notes withdrawn from 'Csf'; -- Class A-2 notes withdrawn from 'Csf'. This transaction has terminated, but Fitch did not receive any timely notice of the termination or reports detailing the final distributions on the notes. As a result, the ratings have been withdrawn at their current rating levels. Corvus was a synthetic collateralized debt obligation (CDO) that closed on Dec. 7, 2000. The transaction allowed investors to achieve leveraged exposure to a diversified portfolio of asset- backed securities. CPS AUTO 2012-A: Moody's Assigns 'B3(sf)' Rating to Class D Notes ----------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the notes to be issued by CPS Auto Receivables Trust 2012-A. This is the first transaction of the year for Consumer Portfolio Services, Inc. (CPS). The complete rating actions are as follows: Issuer: CPS Auto Receivables Trust 2012-A Class A Notes, rated A2 (sf); Class B Notes, rated Baa2 (sf); Class C Notes, rated Ba3 (sf); Class D Notes, rated B3 (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 CPS as servicer, and the backup servicing arrangement with Aa3-rated Wells Fargo Bank, N.A. The principal methodology used in this rating was "Moody's Approach to Rating U.S. Auto Loan-Backed Securities," published in May 2011. Moody's median cumulative net loss expectation for the underlying pool is 13.0%. The loss expectation was based on an analysis of CPS' 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 Medium/High versus a Medium for the sector. This is driven by the Medium/High assessment for Governance due to the unrated sponsor/servicer. 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 18%, 22% or 27%, the initial model output for the Class A notes might change from A2 to A3, Baa3, and Ba3, respectively. If the net loss used in determining the initial rating were changed to 13.5%, 17% or 18%, the initial model output for the Class B notes might change from Baa2 to Baa3, B2, and B3, respectively. If the net loss used in determining the initial rating were changed to 13.25%, 14.4% or 15.75%, the initial model output for the Class C notes might change from Ba3 to B1, B3, and Caa1, respectively, and the initial model output for the Class D notes might change from B3 to 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. CREDIT SUISSE 1997-C2: Moody's Affirms C Rating on Class I Certs. ----------------------------------------------------------------- Moody's Investors Service affirmed four classes of Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass- Through Certificates, Series 1997-C2 as follows: Cl. E, Affirmed at Aaa (sf); previously on Dec 8, 2006 Upgraded to Aaa (sf) Cl. H, Affirmed at Caa2 (sf); previously on May 2, 2005 Downgraded to Caa2 (sf) Cl. I, Affirmed at C (sf); previously on May 2, 2005 Downgraded to C (sf) Cl. A-X, Affirmed at Caa1 (sf); previously on Feb 22, 2012 Downgraded to Caa1 (sf) Ratings Rationale The affirmations are due to key rating parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) the Herfindahl Index (Herf), and WARF (weighted average rating factor) remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating of the IO Class, Class A-X, is consistent with the expected credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a cumulative base expected loss of 10.8% of the current balance. At last review, Moody's cumulative base expected loss was 3.0%. Moody's provides a current list of base losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster Holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The methodologies used in this rating were "CMBS: Moody's Approach to Rating Conduit Transactions "published in September 2000, "Moody's Approach to Rating CMBS Large Loan/Singe Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. For deals that include a pool of credit tenant loans, Moody's used its credit-tenant lease ("CTL") financing methodological approach ("CTL" approach). Under Moody's CTL approach, the rating of a transaction's certificates is primarily based on the senior unsecured debt rating (or the corporate family rating) of the tenant, usually an investment grade rated company, leasing the real estate collateral supporting the bonds. This tenant's credit rating is the key factor in determining the probability of default on the underlying lease. The lease generally is "bondable", which means it is an absolute net lease, yielding fixed rent paid to the trust through a lock-box, sufficient under all circumstances to pay in full all interest and principal of the loan. The leased property should be owned by a bankruptcy-remote, special purpose borrower, which grants a first lien mortgage and assignment of rents to the securitization trust. The dark value of the collateral, which assumes the property is vacant or "dark", is then examined to determine a recovery rate upon a loan's default. Moody's also considers the overall structure and legal integrity of the transaction. For deals that include a pool of credit tenant loans, Moody's currently uses a Gaussian copula model, incorporated in its public CDO rating model CDOROMv2.8 to generate a portfolio loss distribution to assess the ratings. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.60 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's review also incorporated the CMBS IO calculator ver 1.0, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 15, compared to 17 at the Moody's prior review. In cases where the Herf falls below 20, Moody's employs also the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.2. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated March 30, 2011. DEAL PERFORMANCE As of the March 19, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 90% to $146.1 million from $1.465 billion at securitization. The Certificates are collateralized by 46 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans representing 58% of the pool. The pool includes a credit tenant lease (CTL) component, representing 42% of the pool. Five loans, representing 17% of the pool, have defeased and are collateralized with U.S. Government securities. Four loans, representing 22% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the Commercial Mortgage Securities Association's monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Nineteen loans have been liquidated from the pool, resulting in an aggregate $38.9 million realized loss (23% loss severity on average). Currently there are four loans, representing 14% of the pool, in special servicing. The largest loan in special servicing is the Bannockburn Executive Plaza Loan ($8.4 million --5.8% of the pool), which is secured by a 131,500 square foot (SF) industrial building located in Bannockburn, Illinois. The loan was transferred to special servicing in December 2010 for imminent default. The property was 54% leased as of June 2011. In April 2011, the property was appraised for $5.2 million. The loan is 90+ days delinquent. The remaining three specially serviced loans are secured by office and multifamily properties. Moody's has estimated an aggregate $8.6 million loss (53% expected loss on average) for three of the specially serviced loans. Moody's was provided with full year 2010 and partial year 2011 operating results for 100% and 60% of the pool, respectively, excluding the CTL, specially serviced and defeased loans. Excluding specially serviced loans and CTL loans, Moody's weighted average LTV is 72% compared to 74% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.3%. Excluding specially serviced loans and CTL loans, Moody's actual and stressed DSCRs are 1.44X and 1.58X, respectively, compared to 1.44X and 1.57X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 25% of the pool balance. The largest loan is the 78 Corporate Center Loan ($17.9 million -- 12.3% of the pool), which is secured by a 176,700 SF office building located in Bedminster Township, New Jersey. The property is 100% leased to Verizon Wireless (Moody's senior unsecured rating A2 - stable outlook) through November 2021. Moody's LTV and stressed DSCR are 63% and 1.79X, respectively, compared to 66% and 1.73X at last review. The second largest loan is the Kendig Square Shopping Center Loan ($12.1 million -- 8.3% of the pool), which is secured by a 260,200 SF anchored retail center located in West Lampeter Township (Lancaster County), Pennsylvania. The two largest tenants are K- Mart (33% of the net rentable area (NRA); lease expiration September 2016) and Weis Market (23% od the NRA; lease expiration August 2016). The property was 97% leased as of December 2011, the same as last review. Performance has been stable. Moody's LTV and stressed DSCR are 70% and 1.51X, respectively, compared to 71% and 1.48X at last review. The third largest loan is the Fox Jewelry Plaza and Los Angeles Theatre Loan ($6.0 million -- 4.1% of the pool), which is secured by a 91,000 SF retail building located in Los Angeles, California. The property was 65% leased as of September 2011, essentially the same as at last review. The loan is on the servicer's watchlist due to low occupancy. Overall performance has been stable since last review. Moody's LTV and stressed DSCR are 69% and 1.65X, respectively, compared to 71% and 1.61X at last review. The CTL component includes thirty three loans ($61.0 million -- 42% of the pool) secured by properties leased to six credit tenants under bondable leases. The largest exposures are CVS/Caremark Corp. (31% of the CTL component; Moody's senior unsecured rating Baa2 - stable outlook) and Sears Holdings Corp. (30% of the CTL component; Moody's LT Corporate rating B3 - negative outlook). The bottom-dollar weighted average rating factor (WARF) for this pool is 3,152 compared to 2,220 at last review. WARF is a measure of the overall quality of a pool of diverse credits. The bottom- dollar WARF is a measure of the default probability within the pool. DFR MIDDLE MARKET: Moody's Lifts Rating on Class D Notes From Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by DFR Middle Market CLO Ltd.: US$28,000,000 Class C Deferrable Mezzanine Floating Rate Notes Due 2019, Upgraded to Aa1 (sf); previously on September 28, 2011 Upgraded to A2 (sf); US$19,000,000 Class D Deferrable Mezzanine Floating Rate Notes Due 2019, Upgraded to A3 (sf); previously on September 28, 2011 Upgraded to Ba1 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes are primarily a result of delevering of the senior notes resulting in an increase in the transaction's overcollateralization ratios since the rating action in September 2011. Moody's notes that the Class A-1A Notes are fully paid down and the Class A-1B Notes have been paid down by approximately 85% or $34.7 million since the last rating action. Based on the latest trustee report dated March 9, 2012, the Class B, Class C, and Class D overcollateralization ratios are reported at 297%, 181.9% and 144.1%, respectively, versus September 2011 levels of 193.0% , 148.8% and 128.8%, respectively. Moody's also notes that the deal has benefited from an improvement in the credit quality of the underlying portfolio since the last rating action in September 2011. Based on the March 2012 trustee report, the weighted average rating factor is currently 3325 compared to 3442 in September 2012. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $128.8 million, defaulted par of $11.1 million, a weighted average default probability of 25.4% (implying a WARF of 4221), a weighted average recovery rate upon default of 37.82%, and a diversity score of 22. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. For securities whose default probabilities are assessed through credit estimates ("CEs"), Moody's applied a 2-notch equivalent assumed downgrade (but only on the CEs representing in aggregate the largest 30% of the pool) for each CE where the related exposure constitutes more than 3% of the collateral pool, as described in "Updated Approach to the Usage of Credit Estimates in Rated Transactions" published in October 2009. Moody's applied this default probability stress to 15.9% of the performing par. Notwithstanding the foregoing, in all cases the lowest assumed rating equivalent is Caa3. DFR Middle Market CLO issued in July 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition, due to the low diversity of the collateral pool, CDOROM 2.8 was used to simulate a default distribution that was then applied as an input in the cash flow model. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (3125) Class C: +1 Class D: +2 Moody's Adjusted WARF + 20% (4687) Class C: -1 Class D: -2 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2014 and 2016 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described below: 1) Delevering: The main source of uncertainty in this transaction is whether delevering from unscheduled principal proceeds will continue and at what pace. Delevering may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Exposure to credit estimates: The deal is exposed to a large number of securities whose default probabilities are assessed through credit estimates. In the event that Moody's is not provided the necessary information to update the credit estimates in a timely fashion, the transaction may be impacted by any default probability stresses Moody's may assume in lieu of updated credit estimates. Moody's also conducted stress tests to assess the collateral pool's concentration risk in obligors bearing a credit estimate that constitute more than 3% of the collateral pool. DORAL CLO: S&P Assigns Prelim. 'BB' Rating on $21MM Class D Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Doral CLO II Ltd./Doral CLO II Inc.'s $367.5 million floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of March 23, 2012. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view 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," S&P said. 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 0.3439% to 12.65%," 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. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com PRELIMINARY RATINGS ASSIGNED Doral CLO II Ltd./Doral CLO II Inc. Class Rating Amount (mil. $) A-1 AAA (sf) 269.5 A-2 AA (sf) 27.0 B (deferrable) A (sf) 33.0 C (deferrable) BBB (sf) 17.0 D (deferrable) BB (sf) 21.0 Subordinated notes NR 46.1 NR - Not rated. DRYDEN XVIII: S&P Raises Rating on Class B Note to 'B+(sf)' ----------------------------------------------------------- Standard & Poor's Ratings Services raised its rating to 'B+ (sf)' from 'CCC- (sf)' on the class B note from Dryden XVIII Leveraged Loan 2007 Ltd., a reinvesting collateralized loan obligation (CLO) transaction managed by Prudential Investment Management. "At the same time, we removed the rating from CreditWatch positive, where we placed it Dec. 20, 2011," S&P said. "The upgrade reflects positive rating migration within the underlying asset portfolio since we lowered the rating on the class in November 2009. As of the February 2012 trustee report, the balance of collateral rated 'Caa1'/'CCC+' or lower decreased to $30.45 million from $56.62 million in September 2009. This increased the class B par value ratio to 105.67% from 100.11% during the same period," S&P said. "As a result of this improvement, the rating on the class B note is no longer driven by the largest obligor default test at the 'CCC' rating level, a supplemental stress test introduced as part of our 2009 corporate CDO criteria update," S&P said. "We will continue to review our rating on the note and assess whether, in our view, it remains consistent with the credit enhancement available," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com DSC 2011-VFN1: S&P Raises Class D Note Rating to 'B+'; Off Watch ---------------------------------------------------------------- DBRS, Inc. has discontinued its ratings on the DSC Floorplan Master Owner Trust Series 2011-VFN1. The follow ratings have been discontinued due to repayment of the noteholders: -- Class A notes previously rated 'A' (sf) are now rated Disc- Repaid -- Class B notes previously rated BB (sf) are now rated Disc- Repaid EASTLAND CLO: S&P Raises Class D Note Rating to 'B+'; Off Watch --------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on six classes of notes from Eastland CLO Ltd. "We affirmed our rating on one other class in the transaction. At the same time, we removed all the ratings from CreditWatch with positive implications, where we had placed them on Dec. 20, 2011," S&P said. Eastland CLO Ltd. is a collateralized loan obligation (CLO) backed by corporate loans and managed by Highland Capital Management L.P. The transaction is in its reinvestment period, which will last until May 2014. "The rating actions reflect a significant decrease in the amount of defaulted and 'CCC' rated obligations since our January 2010 rating actions. As a result, the class A, B, C, and D overcollateralization (O/C) ratios have increased. Classes B, C, and D have also paid back their deferred interest balances since our January 2010 review. The upgrades reflect the improved credit quality of the transaction's underlying asset portfolio, which has benefited the rated notes," S&P said. "The ratings on the class C and D notes reflect our application of the largest obligor default test, a supplemental stress test we introduced as part of our 2009 corporate CDO criteria update," S&P said. The affirmation reflects the availability of sufficient credit support at its current rating level. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS Eastland CLO Ltd. Rating Class To From A-1 AA+ (sf) A+ (sf)/Watch Pos A-2a AAA (sf) AA+ (sf)/Watch Pos A-2b AA+ (sf) A+ (sf)/Watch Pos A-3 BBB+ (sf) BBB+ (sf)/Watch Pos B BBB (sf) B+ (sf)/Watch Pos C BB+ (sf) CCC- (sf)/Watch Pos D B+ (sf) CCC- (sf)/Watch Pos FIRST UNION 1999-C2: Moody's Keeps 'C' Rating on M Certificates --------------------------------------------------------------- Moody's Investors Service upgraded the ratings of three classes and affirmed four CMBS classes of First Union National Bank - Chase Manhattan Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 1999-C2 as follows: Cl. G, Affirmed at Aaa (sf); previously on Sep 16, 2010 Upgraded to Aaa (sf) Cl. H, Affirmed at Aaa (sf); previously on Apr 22, 2011 Upgraded to Aaa (sf) Cl. J, Upgraded to Aa2 (sf); previously on Apr 22, 2011 Upgraded to A3 (sf) Cl. K, Upgraded to Ba1 (sf); previously on Apr 22, 2011 Upgraded to B1 (sf) Cl. L, Upgraded to B2 (sf); previously on Sep 22, 2004 Downgraded to Caa1 (sf) Cl. M, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) Cl. IO, Affirmed at Caa1 (sf); previously on Feb 22, 2012 Downgraded to Caa1 (sf) Ratings Rationale The upgrades are due primarily to paydowns and amortization, as well as an increase in the share of defeased loans in the pool. The affirmations are due to key parameters, including Moody's LTV ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating of the IO Class, Class IO, is consistent with the expected credit performance of its referenced classes and thus is affirmed.. Moody's rating action reflects a cumulative base expected loss of approximately 10.3% of the current deal balance. At last review, Moody's cumulative base expected loss was approximately 6.5%. Moody's provides a current list of base losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. 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 extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster Holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The methodologies used in this rating were "Moody's Approach to Rating Conduit U.S. CMBS Transactions" published in September 2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000 and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. For deals that include a pool of credit tenant loans, Moody's uses its credit-tenant lease ("CTL") financing methodological approach ("CTL" approach). Under Moody's CTL approach, the rating of a transaction's certificates is primarily based on the senior unsecured debt rating (or the corporate family rating) of the tenant, usually an investment grade rated company, leasing the real estate collateral supporting the bonds. This tenant's credit rating is the key factor in determining the probability of default on the underlying lease. The lease generally is "bondable", which means it is an absolute net lease, yielding fixed rent paid to the trust through a lock-box, sufficient under all circumstances to pay in full all interest and principal of the loan. The leased property should be owned by a bankruptcy-remote, special purpose borrower, which grants a first lien mortgage and assignment of rents to the securitization trust. The dark value of the collateral, which assumes the property is vacant or "dark", is then examined to determine a recovery rate upon a loan's default. Moody's also considers the overall structure and legal integrity of the transaction. For deals that include a pool of credit tenant loans, Moody's currently uses a Gaussian copula model, incorporated in its public CDO rating model CDOROMv2.8 to generate a portfolio loss distribution to assess the ratings. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.60 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's review also incorporated the CMBS IO calculator ver 1.0, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 5, compared to a Herf of 13 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.2 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated April 22, 2011. DEAL PERFORMANCE As of the March 16, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 94% to $73 million from $1.18 billion at securitization. The Certificates are collateralized by 38 mortgage loans ranging in size from less than 1% to 12% of the pool. The CTL component of the pool includes thirteen loans, representing approximately 24% of the pool. Fourteen loans, representing approximately 33% of the pool, are defeased and are collateralized by U.S. Government securities. Eight loans, representing 24% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Forty-eight loans have liquidated from the pool, resulting in an aggregate realized loss of $20 million (16% average loan loss severity). Currently, two loans, representing 9% of the pool, are in special servicing. The largest specially serviced loan is the Belmont Crossing Loan ($5 million -- 7% of the pool), which is secured by a late-1960s era, 192-unit multifamily complex in Smyrna, Georgia, a suburb of Atlanta. The borrower, unable to pay off the loan at maturity in March 2009, agreed to a Deed in Lieu of Foreclosure in December 2010, and the property is now REO. The property is listed for sale and a purchase and sale agreement is under negotiation. The servicer has recognized a $3.2 million appraisal reduction for this loan. The second specially-serviced loan is the OfficeMax Retail Center Loan ($2 million -- 3% of the pool). The borrower has requested a loan modification and extension, which Moody's expects to be approved in the near term. Moody's estimates an aggregate $3.6 million loss for all specially serviced loans. Moody's has assumed a high default probability for one poorly- performing loan representing 2% of the pool. Moody's analysis attributes to this troubled loan an aggregate $250,000 loss (20% expected loss severity based on a 50% probability default). Moody's was provided with full-year 2010 and partial year 2011 operating results for 91% and 68% of the performing pool, respectively. Excluding troubled loans, Moody's weighted average LTV is 68%, compared to 70% at last full review. Moody's net cash flow reflects a weighted average haircut of 17% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.7%. Excluding troubled loans, Moody's actual and stressed DSCRs are 1.11X and 1.87X, respectively, compared to 1.30X and 1.78X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 30% of the pool. The largest loan is the Academy Plaza Loan ($9 million -- 12% of the pool). The loan is secured by a 156,000 square foot grocery- anchored retail center in Philadelphia, Pennsylvania. The property was 81% leased as of YE 2011, the same as Moody's last review. The anchor is Acme Markets, a subsidiary of SuperValu, Inc. (Moody's senior unsecured rating B2, stable outlook). Moody's current LTV and stressed DSCR are 74% and 1.38X, respectively, compared to 71% and 1.43X at last review. The second-largest loan is a portfolio loan ($8 million -- 12% of the pool) consisting of four cross-collateralized hotel loans. The loans are secured by two hotels located in Alexandria, Virginia, one hotel located in Fredericksburg, Virginia, and one hotel located in Shreveport, Louisiana. The portfolio originally included six hotel loans, two of which are now defeased. All four loans in the portfolio are currently on the watchlist due to poor performance at the Days Inn -- Fredericksburg and the Days Inn -- Shreveport. Performance at the Fredericksburg hotel has improved considerably since Moody's last review. The two Alexandria hotels, a Days Inn and a Comfort Inn, are located in the Washington, DC regional market and together represent approximately 93% of the total Net Operating Income across the portfolio. Moody's current LTV and stressed DSCR are 75% and 1.88X, respectively, compared to 83% and 1.70X at last review. The third-largest loan is the Whitehall Estates Loan ($5 million - - 7% of the pool). The loan is secured by a 252-unit multifamily property in Charlotte, North Carolina. The property was built in 1997, and is 96% leased, similar to the occupancy at Moody's last review. Moody's current LTV and stressed DSCR are 50% and, 2.07X respectively, compared to 52% and 1.99X at last review. The CTL component includes 13 loans secured by properties leased under bondable leases. Moody's provides ratings for 94% of the CTL component and has updated its internal credit estimate for the remainder of the CTL credits. The largest exposures include Rite Aid Corp. (43% of the CTL component, Moody's Long Term Corporate Family Rating Caa2 -- stable outlook), Walgreen Co. (30%; Moody's senior unsecured rating A2 -- stable outlook), and CVS/Caremark (20%; Moody's senior unsecured rating Baa2 -- stable outlook). FIRST UNION 2001-C1: Moody's Keeps 'Ca' Rating on Class J Certs. ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of seven CMBS classes of First Union National Bank -- Bank of America, Commercial Mortgage Pass-Through Certificates, Series 2001-C1 as follows: Cl. E, Affirmed at Aaa (sf); previously on Dec 17, 2010 Upgraded to Aaa (sf) Cl. F, Affirmed at Aa2 (sf); previously on Jun 1, 2011 Upgraded to Aa2 (sf) Cl. G, Affirmed at Baa1 (sf); previously on Jul 23, 2009 Confirmed at Baa1 (sf) Cl. H, Affirmed at B3 (sf); previously on Jun 1, 2011 Downgraded to B3 (sf) Cl. J, Affirmed at Ca (sf); previously on Dec 17, 2010 Downgraded to Ca (sf) Cl. IO-I, Affirmed at Caa2 (sf); previously on Feb 22, 2012 Downgraded to Caa2 (sf) Cl. IO-III, Affirmed at Caa2 (sf); previously on Feb 22, 2012 Downgraded to Caa2 (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The ratings of the IO Classes, Class IO-I and Class IO-III, are consistent with the expected credit performance of their referenced classes and thus are affirmed. Moody's rating action reflects a cumulative base expected loss of 28.9% of the current balance. At last review, Moody's cumulative base expected loss was 22.8%. The increase in base expected loss is larger on a percentage basis due to paydowns since the prior review. Realized losses have increased from 8.0% of the original balance to 8.2% since the prior review. Moody's provides a current list of base losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. 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 extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster Holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.60 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's review also incorporated the CMBS IO calculator ver 1.0, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 6 compared to 10 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.2 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated xxx. DEAL PERFORMANCE As of the March 16, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 93% to $ 97.1 million from $ 1.31 billion at securitization. The Certificates are collateralized by 12 mortgage loans ranging in size from 2% to 31% of the pool, with the top ten non-defeased loans representing 96% of the pool. There are no defeased loans or loans with investment grade credit estimates. One loan, representing 31% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Thirty-eight loans have been liquidated from the pool, resulting in a realized loss of $79.1 million (31% loss severity). Currently ten loans, representing 62% of the pool, are in special servicing. The largest specially serviced loan is the Palisades Apartments Loan ($13.1 million -- 13.5% of the pool), which is secured by a 280-unit multifamily complex located in Las Vegas, Nevada. The loan was transferred to special servicing in January 2011 due to maturity default and has been delinquent since November 2010. The borrower has been unable to retain refinancing and the servicer has filed for foreclosure. Property performance has remained stable with occupancy at 91.4% as of December 2011. The second largest specially serviced loan is the Tripp Industrial Loan ($11.0 million -- 11.3% of the pool), which is secured by nine warehouse buildings ( 836,264 SF) located in Greenville, North Carolina. The loan was transferred to special servicing in December 2010 due to maturity default. The borrower was given a 12 month extension till January 2012 but was unable to find refinancing during the extension period. The special servicer is proceeding with foreclosure and has taken a $2.35 million appraisal reduction for this loan. The third largest specially serviced loans is the Rosewood Care Center Loan ($8.0 million --8.3% of the pool), which is secured by a 120 unit assisted living facility located in Swansea, IL outside of St. Louis. The property suffers from mine subsidence as it was built on top of an old coal mine. The borrower and operator filed for bankruptcy protection in February 2012. The special servicer is moving forward to purse noteholder's rights and remedies and has taken a $4.8 million appraisal reduction for this loan. The remaining specially serviced loans are secured by a mix of property types. The master servicer has recognized appraisal reductions totaling $12.0 million for eight of the specially serviced loans. Moody's has estimated an aggregate $19.5 million loss (37% expected loss on average) for seven of the specially serviced loans. Based on the most recent remittance statement, Classes H through Q have experienced cumulative interest shortfalls totaling $4.4 million, up from $2.9 million at last review. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs) and extraordinary trust expenses. Moody's was provided with full-year 2010 100% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 100%, the same as last review. Moody's net cash flow reflects a weighted average haircut of 2% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.1%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.45X and 1.10X, respectively, compared to 1.31X and 1.11X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The one performing conduit loan is the EmeryTech loan ($36.9 million -- 30.9% of the pool), which is secured by a 223,720 SF office building located in Emeryville, California. In February 2010 the loan was returned from special servicing after being modified. The modification split the loan into a $30 million A note and a $6.9 million B note. Currently, the loan is on the master servicer's watchlist due to low DSCR but the loan is current. The property's performance was impacted by a decline in occupancy due to lease expirations and several early terminations due to business failures. Leasing as of October 2010 improved to 92% due to a new lease with Clif Bar and Company for 52% of the NRA. Moody's analysis of this loan reflects a stabilized occupancy. Moody's LTV and stressed DSCR are 122% and 1.09X, respectively, compared to 127% and 1.04X at last review. Moody's has assumed a high default probability for the B note, estimating a $5.1 million loss (75% expected loss based on a 75% probability default) for the B note. FLATIRON CLO 2011-1: S&P Affirms 'BB' Rating on Class E Notes ------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on Flatiron CLO 2011-1 Ltd./Flatiron CLO 2011-1 Inc.'s $322.25 million floating-rate notes following the transaction's effective date as of Jan. 26, 2012. "Most U.S. cash flow collateralized debt obligations (CLOs) close before purchasing the full amount of their targeted level of portfolio collateral. On the closing date, the collateral manager typically covenants to purchase the remaining collateral within the guidelines specified in the transaction documents to reach the target level of portfolio collateral. Typically, the CLO transaction documents specify a date by which the targeted level of portfolio collateral must be reached. The 'effective date' for a CLO transaction is usually the earlier of the date on which the transaction acquires the target level of portfolio collateral, or the date defined in the transaction documents. Most transaction documents contain provisions directing the trustee to request the rating agencies that have issued ratings upon closing to affirm the ratings issued on the closing date after reviewing the effective date portfolio (typically referred to as an 'effective date rating affirmation')," S&P said. "An effective date rating affirmation reflects our opinion that the portfolio collateral purchased by the issuer, as reported to us by the trustee and collateral manager, in combination with the transaction's structure, provides sufficient credit support to maintain the ratings that we assigned on the transaction's closing date. The effective date reports provide a summary of certain information that we used in our analysis and the results of our review based on the information presented to us," S&P said. "We believe the transaction may see some benefit from allowing a window of time after the closing date for the collateral manager to acquire the remaining assets for a CLO transaction. This window of time is typically referred to as a 'ramp-up period.' Because some CLO transactions may acquire most of their assets from the new issue leveraged loan market, the ramp-up period may give collateral managers the flexibility to acquire a more diverse portfolio of assets," S&P said. "For a CLO that has not purchased its full target level of portfolio collateral by the closing date, our ratings on the closing date and prior to our effective date review are generally based on the application of our criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to us by the collateral manager, and may also reflect our assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased," S&P said. "When we receive a request to issue an effective date rating affirmation, we perform quantitative and qualitative analysis of the transaction in accordance with our criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. Our analysis relies on the use of CDO Evaluator to estimate a scenario default rate at each rating level based on the effective date portfolio, full cash flow modeling to determine the appropriate percentile break-even default rate at each rating level, the application of our supplemental tests, and the analytical judgment of a rating committee," S&P said. "In our published effective date report, we discuss our analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, we intend to publish an effective date report each time we issue an effective date rating affirmation on a publicly rated U.S. cash flow CLO," S&P said. "On an ongoing basis after we issue an effective date rating affirmation, we will periodically review whether, in our view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as we deem necessary," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com RATINGS AFFIRMED Flatiron CLO 2011-1 Ltd./Flatiron CLO 2011-1 Inc. Class Rating Amount (mil. $) A AAA (sf) 220.00 B AA (sf) 53.00 C-1 (deferrable) A (sf) 8.25 C-2 (deferrable) A (sf) 11.00 D (deferrable) BBB (sf) 16.00 E (deferrable) BB (sf) 14.00 Subordinated notes NR 31.50 NR - Not rated. G-STAR 2002-1: Moody's Raises Rating on Class C Notes to 'Caa1' --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of four classes of Notes issued by G-Star 2002-1, Ltd. due to rapid amortization of the notes, despite deterioration in the underlying collateral as evidenced by the Moody's weighted average rating factor (WARF). The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and Re-Remic) transactions. Class A-2 Floating Rate Notes Due 2017, Upgraded to Aaa (sf); previously on Jun 29, 2010 Upgraded to A2 (sf) Class BFL Floating Rate Notes Due 2037, Upgraded to Ba1 (sf); previously on Jun 29, 2010 Upgraded to Ba3 (sf) Class BFX 7.075% Notes Due 2037, Upgraded to Ba1 (sf); previously on Jun 29, 2010 Upgraded to Ba3 (sf) Class C 8% Notes, Upgraded to Caa1 (sf); previously on Jun 29, 2010 Upgraded to Caa3 (sf) Ratings Rationale G-Star 2002-1 Ltd. is static cash CRE CDO transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (94.5% of the pool balance), real estate investment trust (REIT) debt (4.3%) and asset backed securities (1.2%). As of the February 27, 2012 Trustee report, the aggregate Note balance of the transaction, including preferred shares, amortized to $71.8 million from a par balance of $377.7 million at issuance, with the current paydown directed to the Class A Notes, due to the failure of the Class B par value tests which switched the payment priority from pro-rata to sequential. There are five assets with a par balance of $29.5 million (29.9% of the current pool balance) that are considered Defaulted Securities as of the February 27, 2012 Trustee report. All of these assets (100.0% of the defaulted balance) are CMBS. Defaulted Securities are defined as assets which are either three or more days in default of their debt service payment, bankrupt, insolvent, in receivership, have been written down, or have been downgraded to a defaulted rating category. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated credit estimates for the non-Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 2,911 compared to 1,343 at last review. The distribution of current ratings and credit estimates is as follows: Aaa-Aa3 (12.2% compared to 18.7% at last review), A1-A3 (5.4% compared to 4.3% at last review), Baa1-Baa3 (22.2% compared to 19.8% at last review), Ba1-Ba3 (31.0% compared to 36.1% at last review), B1-B3 (3.6% compared to 10.4% at last review), and Caa1-C (25.5% compared to 10.8% at last review). WAL acts to adjust the probability of default of the collateral in the pool for time. Moody's modeled to a WAL of 3.2 years compared to 2.8 at last review. The longer WAL is due to the current profile of the remaining collateral pool since last review and assumption about underlying collateral extensions. 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 22.7% compared to 31.2% 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 31.6% compared to 30.7% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 28% to 18% or up to 38% would result in average rating movement on the rated tranches of 0 to 2 notches downward and 0 to 2 notches upward, respectively. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster Holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The methodologies used in this rating were "Moody's Approach to Rating SF CDOs" published in November 2010, and "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011. GALAXY XII: S&P Gives 'BB' Rating on Class E Deferrable Notes ------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Galaxy XII CLO Ltd./Galaxy XII CLO Inc.'s $369.5 million floating-rate notes. "The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans," S&P said. The preliminary ratings are based on information as of March 29, 2012. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: * The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. * The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. * The transaction's legal structure, which is expected to be bankruptcy remote. * The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. * The collateral manager's experienced management team. * "Our projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which we assessed using our cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.7482%-13.8391%," 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. * The transaction's interest diversion test, a failure of which during the reinvestment period will lead to the reclassification of up to 50% of excess interest proceeds that are available (before paying subordinated and incentive collateral management fees and uncapped administrative expenses and fees, topping up the expense reserve account, and paying uncapped hedge amounts and subordinated note payments) to principal proceeds for the purchase of additional collateral assets or, after the noncall period, to pay the notes sequentially, at the election of the collateral manager. Also, any principal proceeds that were classified as interest proceeds prior to the first determination date and unused proceeds that were classified as interest proceeds prior to the first two determination dates will be reclassified as principal proceeds before paying subordinated and incentive collateral management fees and uncapped administrative expenses and fees, topping up the expense reserve account, and paying uncapped hedge amounts and subordinated note payments. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com PRELIMINARY RATINGS ASSIGNED Galaxy XII CLO Ltd./Galaxy XII CLO Inc. Class Rating Amount (mil. $) A AAA (sf) 251.50 B AA (sf) 55.00 C (deferrable) A (sf) 28.00 D (deferrable) BBB (sf) 19.00 E (deferrable) BB (sf) 16.00 Subordinated notes (i) NR 43.00 NR - Not rated. GALE FORCE 3: S&P Raises Rating on Class E Notes to 'BB' -------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2, B-1, B-2, C, D, and E notes from Gale Force 3 CLO Ltd., a collateralized loan obligation (CLO) transaction managed by GSO Capital Partners L.P. "At the same time, we affirmed the ratings on the class A notes and raised the rating on the B notes from Liston Funding 2010-1 Ltd.," S&P said. "The upgrades reflect the improved performance we have observed in Gale Force 3 CLO Ltd.'s underlying asset portfolio since we last downgraded the notes on Jan. 21, 2010. As of the Feb. 2, 2012, trustee report, the transaction had $5.18 million in defaulted assets, compared with the $20.58 million noted in the Dec. 2, 2009, trustee report, which we referenced for our January 2010 rating actions. The trustee reported about $32.5 million in 'C' basket obligations in the Feb. 2, 2012, report with no excess reported. This number compares with an amount of more than $76 million noted in the December 2009 report and a haircut of about $1.4 million noted as excess and haircut in the overcollateralization (O/C) ratios," S&P said. "The transaction has also maintained the overcollateralization available to support the rated notes since our review in January 2010," S&P said. The trustee reported the O/C ratios in the Feb. 2, 2012, monthly report: * The class B-2 O/C ratio was 120.67%, compared with a reported ratio of 120.00% in December 2009; * The class C O/C ratio was 114.54%, compared with a reported ratio of 113.91% in December 2009; * The class D O/C ratio was 108.70%, compared with a reported ratio of 108.10% in December 2009; and * The class E O/C ratio was 104.53%, compared with a reported ratio of 103.95% in December 2009. Liston Funding 2010-1 Ltd. is a retranching of the A-1 and A-2 notes from Gale Force 3 CLO Ltd. The affirmation of the class A notes reflects sufficient credit support available to support their current rating of 'AAA (sf)'. The upgrade of the class B notes reflects the upgrade on the A-1 and A-2 notes from Gale Force 3 CLO Ltd. Standard & Poor's will continue to review whether, in its view, the ratings on the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Gale Force 3 CLO Ltd. Rating Class To From A-1 AA+ (sf) AA (sf) A-2 AA+ (sf) AA (sf) B-1 AA- (sf) A (sf) B-2 AA- (sf) A (sf) C A (sf) BBB+ (sf) D BBB (sf) BB+ (sf) E BB(sf) CCC-(sf) Liston Funding 2010-1 Ltd. Rating Class To From B AA+ (sf) AA (sf) RATING AFFIRMED Liston Funding 2010-1 Ltd. Class Rating A AAA (sf) TRANSACTION INFORMATION Issuer: Gale Force 3 CLO Ltd. Coissuer: Gale Force 3 CLO Corp. Collateral manager: GSO Capital Partners L.P. Trustee: State Street Bank & Trust Co. Transaction type: Cash flow CLO Issuer: Liston Funding 2010-1 Ltd. Trustee: U.S. Bank N.A. Transaction type: Cash flow CDO retranching GMAC 2000-C1: Moody's Affirms Caa3 Rating on Class X Certificates ----------------------------------------------------------------- Moody's Investors Service upgraded the ratings of one class and affirmed two CMBS classes of GMAC Commercial Mortgage Securities, Inc., Series 2000-C1 Mortgage Pass-Through Certificates as follows: Cl. K, Upgraded to Caa3 (sf); previously on Oct 28, 2010 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Jun 1, 2006 Downgraded to C (sf) Cl. X, Affirmed at Caa3 (sf); previously on Feb 22, 2012 Downgraded to Caa3 (sf) Ratings Rationale The upgrade affecting the Class K certificates is due primarily to paydowns and the expectation of future recoveries from the two loans in special servicing, which together represent 92% of the total pool balance. The affirmations are due to key parameters, including Moody's LTV ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating of the IO Class, Class X, is consistent with the expected credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a cumulative base expected loss of approximately 46.4% of the current deal balance. At last review, Moody's cumulative base expected loss was approximately 50.9%. Moody's provides a current list of base losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. 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 extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster Holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating Structured Finance Interest- Only Securities" published in February 2012. Due to the high percentage of loans in special servicing, Moody's analysis also considered a loss and recovery analysis for specially serviced loans. Under this approach, Moody's assumes an expected loss for each loan and determines the impact of losses and recoveries on the certificates. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.60 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's review also incorporated the CMBS IO calculator ver 1.0, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated May 12, 2011. DEAL PERFORMANCE As of the March 15, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $7 million from $880 million at securitization. The Certificates are collateralized by 3 mortgage loans ranging in size from less than 9% to 49% of the pool. One loan, representing approximately 9% of the pool, is defeased and is collateralized by U.S. Government securities. The pool includes no loans with investment-grade credit estimates. Thirty loans have liquidated from the pool, resulting in an aggregate realized loss of $27.4 million (17% average loan loss severity). Currently, two loans, representing 91% of the pool, are in special servicing. The largest specially serviced loan is the 2070 Maple Street Loan ($4 million -- 49% of the pool). The loan is secured by a 230,000 square foot industrial building in Des Plains, Illinois, a western suburb of Chicago. The loan matured in January 2010, and was foreclosed on in January 2011. The property is now REO and is being marketed by Foresite Realty. The property was listed for sale for $2.7 million in May 2011. The property sale is in advanced negotiations. The second loan in special servicing is the Plum Tree Center Loan ($3 million -- 41% of the pool). The loan is secured by a 42,000 square foot multi-tenant office property in Boca Raton, Florida. The borrower agreed to a Deed in Lieu of Foreclosure in September 2011. The property is now REO and was listed for sale in January 2012 by Resource Real Estate Group. Several offers have been received and are under review. The list price for the asset is $3.4 million. Moody's estimates an aggregate $3 million loss for the two specially serviced loans. GREENS CREEK: S&P Raises Rating on Class D Notes to 'BB+' --------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2, B, C, and D notes from Greens Creek Funding Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Silvermine Capital Management LLC. "At the same time, we affirmed our rating on the class A-1 notes," S&P said. "The upgrades reflect an increase in the credit support available to the notes since we last changed our ratings on some of the notes in February 2010 following the application of our September 2009 corporate collateralized debt obligation (CDO) criteria. The affirmation of the 'AA+' rating on the class A-1 notes is based on our opinion that the credit support available to support the class A-a notes is sufficient to maintain the current rating under our corporate CDO criteria," S&P said. "In October 2011, the transaction paid down $20 million of the class A-1 notes as a special redemption and received a capital infusion in the form of $17.5 million of income notes in December 2011. The paydown reduced the class A-1 note balance to $302.91 million (88.5% of its original balance) from $322.91 million (94.42% of its original balance) in January 2010, which we used for the February 2010 rating actions. The lower balance and the additional capital increased the credit support available to support the rated notes," S&P said. "In addition, the transaction resumed its reinvestment activities in January 2012 following the removal of a restriction in its reinvestment activities. The principal cash balance declined from $241 million in January 2012 to $117 million in February 2012; the balance was $48 million as per the March 7, 2012, trustee report, which was released earlier this week. Our analysis assumed that the transaction would reinvest the remaining principal proceeds in additional collateral," S&P said. The transaction was passing all of its coverage tests as of the March trustee report, and the portfolio has fewer defaulted assets and improved credit quality than in January 2010. "Standard & Poor's notes that the transaction has paid down the class D note balance to 82.14% of its original balance because it was previously failing its class D coverage tests; the transaction is structured such that it applies any interest proceeds used to cure the class D coverage failure to pay down the class D notes. The transaction has not paid down the class D note balance since our January 2010 rating actions," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Greens Creek Funding Ltd. Rating Class To From A-2 AA (sf) A+ (sf) B A (sf) BBB+ (sf) C BBB (sf) BBB- (sf) D BB+ (sf) BB (sf) RATING AFFIRMED Greens Creek FundingLtd. Class Rating A-1 AA+ (sf) GREENWICH CAPITAL 2005-GG5: Moody's Reviews 'Ca' Ratings -------------------------------------------------------- Moody's Investors Service placed 10 classes of Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust, Series 2005- GG5 on review for possible downgrade as follows: Cl. A-5, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Jan 17, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-M, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Apr 28, 2011 Confirmed at Aa2 (sf) Cl. A-J, A3 (sf) Placed Under Review for Possible Downgrade; previously on Apr 28, 2011 Confirmed at A3 (sf) Cl. B, B1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 28, 2011 Downgraded to B1 (sf) Cl. C, B3 (sf) Placed Under Review for Possible Downgrade; previously on Apr 28, 2011 Downgraded to B3 (sf) Cl. D, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 28, 2011 Downgraded to Caa1 (sf) Cl. E, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Apr 28, 2011 Downgraded to Caa2 (sf) Cl. F, Ca (sf) Placed Under Review for Possible Downgrade; previously on Apr 28, 2011 Downgraded to Ca (sf) Cl. G, Ca (sf) Placed Under Review for Possible Downgrade; previously on Apr 28, 2011 Confirmed at Ca (sf) Cl. XP, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Feb 22, 2012 Downgraded to Baa1 (sf) Ratings Rationale The classes were placed on review for possible downgrade due to higher expected losses for the pool resulting from actual and anticipated losses from specially serviced and troubled loans along with the possibility of interest shortfalls affecting investment grade classes. The IO Class, Class XP, was placed on review for possible downgrade due to its reference classes being placed on review for possible downgrade. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated April 28, 2011. DEAL AND PERFORMANCE SUMMARY As of the March 12, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 15% to $3.65 billion from $4.30 billion at securitization. The Certificates are collateralized by 150 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans representing 46% of the pool. Thirty-eight loans, representing 14% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $103.8 million (30% loss severity). Twenty-four loans, representing 23% of the pool, are currently in special servicing. The specially serviced loans are secured by a mix of multifamily, retail, office, industrial, and hotel property types. The master servicer has recognized appraisal reductions totaling $318.7 million for twenty loans in the pool. Moody's review will focus on potential losses from specially serviced and troubled loans, specifically the Schron Industrial Portfolio ($317.5 million, 8.7% of the pool), performance of the overall pool, and the potential impact of interest shortfalls on class AJ. The principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005 and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. GS MORTGAGE 2010-C1: Moody's Affirms 'B2' Rating on Class F Notes ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of eight classes of GS Mortgage Securities Corporation II Commercial Mortgage Pass- Through Certificates 2010-C1. Cl. A-1, Affirmed at Aaa (sf); previously on Aug 17, 2010 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed at Aaa (sf); previously on Aug 17, 2010 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aa2 (sf); previously on Aug 17, 2010 Definitive Rating Assigned Aa2 (sf) Cl. C, Affirmed at A2 (sf); previously on Aug 17, 2010 Definitive Rating Assigned A2 (sf) Cl. D, Affirmed at Baa3 (sf); previously on Aug 17, 2010 Definitive Rating Assigned Baa3 (sf) Cl. E, Affirmed at Ba2 (sf); previously on Aug 17, 2010 Definitive Rating Assigned Ba2 (sf) Cl. F, Affirmed at B2 (sf); previously on Aug 17, 2010 Definitive Rating Assigned B2 (sf) Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR), remaining within acceptable ranges. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the previous review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster Holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The methodologies used in this rating were "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based Large Loan Model v 8.2. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Also used was the CMBS IO calculator ver1.0, which incorporates the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and Remittance Statements. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated May 20, 2011. DEAL PERFORMANCE As of the March 12, 2012 distribution date, the transaction's aggregate certificate balance has decreased by approximately 3% to $768.3 million from $788.5 million at securitization due to amortization. The Certificates are collateralized by 23 mortgage loans. The top five loans represent 50% of the pooled balance. All loans are fixed rate loans. The trust has not experienced losses or interest shortfalls since securitization. Moody's weighted average LTV for the pooled trust mortgage balance is 68.8% compared to 70.2% at last review and 70.8% at securitization. Moody's stressed debt service coverage ratio (DSCR) for the pooled trust mortgage balance is 1.53X compared to 1.47X at last review and 1.45X at securitization. The largest loan in the pool is collateralized by 660 Madison Avenue ($97 million, 13% of the pool), a 264,000 square foot retail property 100% leased to Barneys NY in Manhattan's Plaza District submarket. The property is located on Madison Avenue between East 60th Street and East 61st Street, a premier shopping destination notable for high end retailers. The property serves as Barneys flagship store with the tenant on a lease until 2019. Moody's current pooled LTV is 65% and stressed DSCR is 1.38X. Moody's current credit estimate is Baa2, the same as last review. The second largest loan in the pool is the Mall at Partridge Creek loan ($81 million, 10.5%) secured by a lifestyle center in Clinton, Michigan. The mall is 600,000 square feet and located 33 miles north of downtown Detroit. Anchor tenants, Nordstrom and Parisian, are not part of the loan collateral. The center is managed by Taubman Centers. As of December 2011, the center was 90% occupied. Comparable in-line sales for 2011 were $390 per square foot, up 5% from 2010 sales figures. Moody's current pooled LTV is 79% and stressed DSCR is 1.38X. Moody's current credit estimate is B1, the same as at last review. The Burnsville Center loan ($80 million, 10.5%) is the third largest loan in the pool. Located in Burnsville, Minnesota, the center was built in 1977 and comprises 1.1 million square foot regional mall, 523,692 square feet of which is collateral for the loan. Mall anchors include Macy's, Sears, JC Penney, Dicks Sporting Goods and Gordmans. The improvements for Macy's, Sears, and JC Penney are not part of the collateral. As of December 31, 2011, the mall was 99% occupied. The mall is managed by CBL & Associates and is not the dominant mall in the area. In-line sales reported at securitization for the trailing twelve month period ending March 2010 were $337 per square foot. Moody's current pooled LTV is 68% and stressed DSCR is 1.43X. Moody's current credit estimate is Baa3, the same as at last review. GS MORTGAGE 2006-CC1: Moody's Cuts Rating on Cl. A Notes to 'Ca' ---------------------------------------------------------------- Moody's Investors Service has downgraded the rating of one class of Certificates issued by GS Mortgage Securities Corporation II, Series 2006-CC1 due to an increase in realized losses combined with increased and continuing interest shortfalls on the underlying collateral. The affirmations are due to the key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and Re-remic) transactions. Cl. A, Downgraded to Ca (sf); previously on May 20, 2011 Downgraded to Caa2 (sf) Cl. B, Affirmed at C (sf); previously on Jun 17, 2010 Downgraded to C (sf) Cl. C, Affirmed at C (sf); previously on Jun 17, 2010 Downgraded to C (sf) Cl. D, Affirmed at C (sf); previously on Jun 17, 2010 Downgraded to C (sf) Cl. E, Affirmed at C (sf); previously on Jun 17, 2010 Downgraded to C (sf) Cl. F, Affirmed at C (sf); previously on Jun 17, 2010 Downgraded to C (sf) Cl. G, Affirmed at C (sf); previously on Jun 17, 2010 Downgraded to C (sf) Cl. H, Affirmed at C (sf); previously on Jun 17, 2010 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Jun 17, 2010 Downgraded to C (sf) Ratings Rationale GS Mortgage Securities Corporation II, Series 2006-CC1 is a static cash CRE CDO transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (100% of the pool balance). As of the March 21, 2012 Trustee report, the aggregate Certificate balance of the transaction has decreased to $366.1 million from $406.2 million at issuance, with the paydown directed to the Class A Certificates as a result of amortization of the underlying collateral. Classes K, L and M have sustained full realized losses while Class J has sustained partial losses. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated credit estimates for the non-Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 5,351 compared to 5,111 at last review. The distribution of current ratings and credit estimates is as follows: Aaa-Aa3 (2.5% compared to 2.9% at last review), A1-A3 (1.4% compared to 3.4% at last review), Baa1-Baa3 (12.9% compared to 11.6% at last review), Ba1-Ba3 (16.9% compared to 18.3% at last review), B1-B3 (13.0% compared to 13.7% at last review), and Caa1- C (53.3% compared to 50.1% at last review). WAL acts to adjust the probability of default of the collateral in the pool for time. Moody's modeled to a WAL of 4.1 years compared to 4.4 years at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 6.5% compared to 9.5% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 13.9% compared to 13.4% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 6.5% to 0% or up to 16.5% 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 extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster Holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The methodologies used in this rating were "Moody's Approach to Rating SF CDOs" published in November 2010, and "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011. HARCH CLO III: S&P Affirms 'CCC+' Rating on Class E Notes --------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2, B, and C notes from Harch CLO III Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Harch Capital Management LLC. "At the same time, we affirmed our ratings on the class A-1, D, and E notes. Concurrently, we removed our ratings on the class A-2, B, C, D, and E notes from CreditWatch, where we placed them with positive implications on Feb. 10, 2012," S&P said. "The upgrades reflect an improvement in the performance of the transaction's underlying asset portfolio and paydowns to the class A-1 notes since December 2009. At that time, we downgraded most of the notes following the application of our September 2009 corporate collateralized debt obligation (CDO) criteria," S&P said. "As of the February 2012 trustee report, the transaction had $0.55 million of defaulted assets. This was down from $6.03 million noted in the November 2009 trustee report, which we referenced for our December 2009 rating actions. Furthermore, assets from obligors rated in the 'CCC' category were reported at $6.73 million in February 2012, down from $13.12 million in November 2009," S&P said. "The upgrades also reflect an improvement in the overcollateralization (O/C) available to support the notes, primarily due to paydowns to the class A-1 notes since the December 2009 rating actions. Since that time, the transaction has paid down the class A-1 notes by approximately $150 million, reducing their outstanding note balance to 39.15% of its original balance at issuance," S&P said. The trustee reported the O/C ratios in the February 2012 monthly report: * The class A/B O/C ratio was 136.66%, compared with a reported ratio of 119.78% in November 2009; * The class C O/C ratio was 121.96%, compared with a reported ratio of 112.65% in November 2009; * The class D O/C ratio was 110.66%, compared with a reported ratio of 106.62% in November 2009; and * The class E O/C ratio was 103.11%, compared with a reported ratio of 102.30% in November 2009. "We affirmed our ratings on the class A-1, D, and E notes to reflect the availability of credit support at the current rating levels," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS Harch CLO III Ltd. Rating Class To From A-2 AAA (sf) AA+ (sf)/Watch Pos B AA+ (sf) A+ (sf)/Watch Pos C A+ (sf) BBB+ (sf)/Watch Pos D BB+ (sf) BB+ (sf)/Watch Pos E CCC+ (sf) CCC+ (sf)/Watch Pos RATING AFFIRMED Harch CLO III Ltd. Class Rating A-1 AAA (sf) TRANSACTION INFORMATION Issuer: Harch CLO III Ltd. Coissuer: Harch CLO III Inc. Collateral manager: Harch Capital Management LLC Underwriter: Goldman Sachs & Co. Trustee: Deutsche Bank Trust Co. Americas Transaction type: Cash flow CDO ICE GLOBAL: S&P Assigns 'BB' Rating on $20MM Class E Notes ---------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to ICE Global Credit CLO Ltd./ICE Global Credit CLO Inc.'s $416.0 million fixed- and floating-rate notes. The note issuance is a cash flow emerging market collateralized loan obligation securitization backed by a revolving pool consisting of U.S. dollar-denominated senior secured loans, senior notes, or bonds issued by borrowers located primarily in emerging markets. The preliminary ratings are based on information as of March 22, 2012. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view 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 (excluding excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. * The transaction's legal structure, which is expected to be bankruptcy remote. * The diversified collateral portfolio, which consists primarily of speculative-grade senior secured term loans, senior notes, or bonds issued by borrowers located primarily in emerging countries. * The portfolio 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 0.36%-13.63%," 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. The transaction's reinvestment overcollateralization test, a failure of which will lead to the reclassification of interest proceeds to principal proceeds for the purchase of additional collateral assets during the reinvestment period. The amount of interest proceeds that will be reclassified will be limited to 50% of the remaining interest proceeds available after the payment of the class E coverage tests but prior to the payment of the subordinated management fees, uncapped administrative expenses and fees, subordinated hedge termination payments, portfolio manager incentive fees, and subordinated note payments. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com PRELIMINARY RATINGS ASSIGNED ICE Global Credit CLO Ltd./ICE Global Credit CLO Inc. Class Rating Amount (mil. $) A AAA (sf) 295.0 B AA (sf) 35.0 C-1 (deferrable) A (sf) 16.0 C-2 (deferrable) A (sf) 17.0 D (deferrable) BBB (sf) 33.0 E (deferrable) BB (sf) 20.0 Subordinated notes NR 84.0 NR - Not rated. JPMC 2004-CIBC8: Moody's Affirms 'C' Ratings on Four CMBS Classes ----------------------------------------------------------------- Moody's Investors Service downgraded three and affirmed the ratings of 13 CMBS classes of J.P. Morgan Commercial Mortgage Finance Corp., Series 2004-CIBC8 as follows: Cl. A-3, Affirmed at Aaa (sf); previously on Apr 12, 2004 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Apr 12, 2004 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Affirmed at Aaa (sf); previously on Apr 12, 2004 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aa2 (sf); previously on Apr 12, 2004 Definitive Rating Assigned Aa2 (sf) Cl. C, Affirmed at Aa3 (sf); previously on Apr 12, 2004 Definitive Rating Assigned Aa3 (sf) Cl. D, Affirmed at A3 (sf); previously on Sep 29, 2010 Downgraded to A3 (sf) Cl. E, Downgraded to Ba1 (sf); previously on Sep 29, 2010 Downgraded to Baa2 (sf) Cl. F, Downgraded to Ba3 (sf); previously on Sep 29, 2010 Downgraded to Ba1 (sf) Cl. G, Downgraded to B3 (sf); previously on Sep 29, 2010 Downgraded to B1 (sf) Cl. H, Affirmed at Caa3 (sf); previously on Sep 29, 2010 Downgraded to Caa3 (sf) Cl. J, Affirmed at Ca (sf); previously on Sep 29, 2010 Downgraded to Ca (sf) Cl. K, Affirmed at C (sf); previously on Sep 29, 2010 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Sep 29, 2010 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) Cl. X-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The downgrades are due to lower credit support from actual and anticipated losses from loans in special servicing and the prospect for future interest shortfalls. The affirmations of the principal classes are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating of the IO Class, Class X-1, is consistent with the expected credit performance of its reference classes and thus is affirmed. Moody's rating action reflects a cumulative base expected loss of 6.2% of the current balance. At last full review, Moody's cumulative base expected loss was 4.4%. The combined cumulative base expected plus realized losses totals 7.9% compared to 5.5% at last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.60 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's review also incorporated the CMBS IO calculator version 1.0, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and the IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator version 1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 27, the same as at last review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated May 4, 2011. DEAL PERFORMANCE As of the March 15, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 40% to $748.1 million from $1.254 billion at securitization. The Certificates are collateralized by 81 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans, excluding defeased loans, representing 41% of the pool. Eight loans, representing 14% of the pool, have defeased and are collateralized with U.S. Government securities compared to six defeased loans at last review. The pool includes one loan with an investment grade credit estimate, representing 4.6% of the pool, the same as at last review. Twenty-four loans, representing 19% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Seven loans have been liquidated from the pool since securitization resulting in an aggregate $21.5 million loss (31.9% loss severity on average). There are presently four loans, representing 12.5% of the pool, in special servicing. The master servicer has recognized an aggregate $5.6 million appraisal reduction for one of the specially serviced loans. The largest specially serviced loan is the Harbor Plaza Loan ($76.6 million - 10.2% of the pool) which was transferred to special servicing in November 2011 due to an insufficient mortgage payment and mezzanine lender UCC foreclosure action. Moody's has estimated an aggregate $23.1 million loss (25% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for seven poorly performing loans representing 6% of the pool and has estimated a $10.6 million loss (23% expected loss based on a 50% probability of default) from these troubled loans. Moody's was provided with full year 2010 and partial year 2011 operating results for 100% and 97% of the non-defeased performing pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 85%, compared to 88% at last full review. Moody's net cash flow reflects a weighted average haircut of 12.4% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.36X and 1.26X, respectively, compared to 1.35X and 1.19X, respectively, at last full review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loan with a credit estimate is the Northpark Mall loan ($34.7 million - 4.6% of the pool) which is secured by an 809,166 square foot (SF) enclosed regional mall located Joplin, Missouri. Overall occupancy as of December 2011 was 93% compared to 97% at last review. JC Penney, Sears and Macy's are the anchor tenants and the former Shopko anchor tenant space serves as the temporary home of the Joplin High School which was destroyed during the May 2011 tornado. Moody's credit estimate is Aa2, the same as at last review and the stressed DSCR is 2.2X compared to 2.0X at last review. The top three performing conduit loans represent 15% of the pool balance. The largest loan is the Santee Trolley Square Loan ($49.2 million - 6.6% of the pool), which is secured by a 311,430 SF retail power center located in Santee, California. Occupancy as of December 2011 was 98%, the same as at last review. Although excluded from the collateral, a 127,000 SF Target shadow anchors this shopping center. Property performance declined slightly since last review. Moody's LTV and stressed DSCR are 96% and 1.23X, respectively, compared to 93% and 1.01X at last review. The second largest loan is the 554 Third Avenue Loan ($31.7 million -- 4.2% of the pool), which is secured by a 126-unit Execustay property in Manhattan's Murray Hill neighborhood. The property's financial performance has declined slightly since last review due to higher real estate taxes. The loan has also amortized 11% since securitization. Moody's LTV and stressed DSCR are 79% and 1.06X, respectively, compared to 79% and 1.05X at last review. The third largest loan is the PHH Vehicle Management Services Loan ($27.3 million -- 3.6% of the pool), which is secured by a 210,000 SF office building that serves as the world headquarters for PHH (Moody's senior unsecured rating Ba2, negative outlook) through February 2014. PHH, which leases 100% of this build-to-suit building, has several lease renewal options that must be exercised prior to September 2012. Otherwise, the lender will sweep all excess cash flow through loan maturity. Moody's stressed the cash flow with a lit/dark analysis given the single tenant occupancy and lease renewal uncertainty at this time. Moody's LTV and stressed DSCR are 133% and 0.77X, respectively, compared to 92% and 1.11X at last review. JPMCC 2006-FL1: S&P Affirms 'CCC' Rating on Class K Certificates ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on four classes of commercial mortgage pass-through certificates from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2006- FL1, a U.S. commercial mortgage-backed securities (CMBS) transaction. "Concurrently, we affirmed our ratings on seven other classes from the same transaction," S&P said. "The rating actions follow our analysis of the transaction, which included our revaluation of the remaining two floating-rate amortizing loans, deal structure, and liquidity available to the trust. Our raised ratings also considered that we expect the larger of the two remaining loans (70.5% of the trust balance), based on information from the master servicer, to most likely be refinanced and repay in full by its June 9, 2012, maturity date," S&P said. "The affirmed ratings on the principal and interest certificates reflect subordination and liquidity support levels that are consistent with the outstanding ratings. We also considered the refinancing risk on the Independence Mall loan. We affirmed our 'AAA (sf)' rating on the class X-2 interest-only certificates based on our current criteria," S&P said. "We based our analysis, in part, on a review of the borrower's operating statements for the year-ended Dec. 31, 2011, the year- ended Dec. 31, 2010, the borrower's 2012 operating expenses budgets, and the borrower's December 2011 rent rolls," S&P said. As of the March 15, 2012, trustee remittance report, the trust consisted of two floating-rate amortizing loans indexed to one- month LIBOR totaling $251.0 million. The one-month LIBOR rate was 0.2485% according to the March 2012 trustee remittance report. "The Crossgates Mall loan, the larger of the two remaining loans in the trust, has a trust and whole-loan balance of $176.9 million (70.5%). The loan is secured by 1.24 million sq. ft. of a 1.68 million-sq.-ft. regional mall in Albany, N.Y. The master servicer, Wells Fargo Bank N.A. (Wells Fargo), reported a debt service coverage (DSC) of 5.00x for year-end 2011, and occupancy was 79.1%, according to the Dec. 31, 2011, rent roll. Anchor tenants include J.C. Penney Co. Inc. (179,964 sq. ft.), Burlington Coat Factory Warehouse Corp. (64,582 sq. ft.), and Forever 21 Inc. (62,858 sq. ft.), according to the December 2011 rent roll. Our adjusted valuation, using an 8.25% capitalization rate, yielded an in-trust stressed loan-to-value (LTV) ratio of 60.5%. The loan amortizes on a 30-year schedule and matures on June 9, 2012. Wells Fargo indicated that the borrower has requested a payoff quote effective April 9, 2012," S&P said. "The Independence Mall loan, the smaller of the two remaining loans in the trust, has a trust and whole-loan balance of $74.1 million (29.5%). The loan is secured by 679,705 sq. ft. of an 830,158-sq.-ft. regional mall in Kingston, Mass. Wells Fargo reported a 1.66x DSC for year-end 2011, and occupancy was 67.5%, according to the Dec. 31, 2011, rent roll. Anchor tenants include Target Corp. (126,000 sq. ft.), Sears holding Corp. (79,441 sq. ft.), and H&M Group (34,000 sq. ft.), according to the December 2011 rent roll. Our adjusted valuation, using an 9.0% capitalization rate, yielded an in-trust stressed LTV ratio of 108.1%. The loan amortizes on a 20-year schedule and matures on Feb. 9, 2013," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com RATINGS RAISED JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2006-FL1 Rating Class To From Credit enhancement (%) D AAA (sf) AA+ (sf) 41.32 E AAA (sf) AA (sf) 34.34 F AAA (sf) A+ (sf) 28.75 G AA- (sf) A 22.88 RATINGS AFFIRMED JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2006-FL1 Class Rating Credit enhancement % A-2 AAA (sf) 75.96 B AAA (sf) 61.16 C AAA (sf) 48.58 H A- (sf) 15.90 J BB (sf) 10.03 K CCC (sf) 3.33 X-2 AAA (sf) N/A N/A - Not applicable. KENNECOTT FUNDING: S&P Affirms 'BB-' Ratings on 2 Classes of Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class A-1 and A-2B notes from Kennecott Funding Ltd., a collateralized loan obligation (CLO) transaction with an APEX revolver feature managed by Guggenheim Investment Management LLC. "We also affirmed our ratings on the class A-2A, B, C, D-1, and D-2 notes," S&P said. The APEX revolver was available during the reinvestment period to absorb principal losses. Wells Fargo Bank N.A. is the APEX revolver provider. "This transaction has a pro rata sequential pay feature in which two classes receive payments pro rata, but within the two notes, subclasses receive payments in a sequential manner. As a result, some classes can be paid down in full ahead of the other classes and hence can support higher ratings. In this transaction, the class A-1 and A-2 notes receive payments pro rata. Within the class A-2 notes, classes A-2A and A-2B are paid sequentially. As a result, class A-2A could potentially pay off in full prior to class A-2B," S&P said. "The upgrades reflect the improved performance we have observed in the deal's underlying asset portfolio since our March 2010 rating actions. According to the Feb. 17, 2012, trustee report, the transaction's asset portfolio held about $10 million in defaulted assets, down from the $30 million noted in the February 2010 trustee report. Additionally, the collateral pool consisted of approximately $64 million in assets from obligors rated in the 'CCC' category according to the February 2012 trustee report, down from $90 million noted in February 2010," S&P said. The affirmations of our ratings on the class A-2A, B, C, D-1, and D-2 notes reflect the sufficient credit support at the classes' current rating levels. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Kennecott Funding Ltd Rating Class To From A-1 AA+ (sf) AA (sf) A-2B AA+ (sf) AA (sf) RATINGS AFFIRMED Kennecott Funding Ltd Class Rating A-2A AA+ (sf) B A+ (sf) C BBB+ (sf) D-1 BB- (sf) D-2 BB- (sf) LNR CDO III: Moody's Cuts Rating on Class B Notes to 'Ca(sf)' ------------------------------------------------------------- Moody's Investors Service has downgraded two and affirmed the ratings of seven classes of Notes issued by LNR CDO III Ltd. The downgrade is due to the deterioration in the credit quality of the portfolio as evidenced by a decrease in the weighted average recovery rate (WARR), additional realized losses since last review, and an Event of Default (EOD) which occurred on December 29, 2011. The affirmations are due to key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and Re-Remic) transactions. Cl. A, Downgraded to Caa3 (sf); previously on May 4, 2011 Downgraded to B3 (sf) Cl. B, Downgraded to Ca (sf); previously on May 4, 2011 Downgraded to Caa3 (sf) Cl. C, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) Cl. D-FL, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) Cl. E-FX, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) Cl. E-FL, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) Cl. F-FX, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) Cl. F-FL, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) Cl. G-FL, Affirmed at C (sf); previously on May 19, 2010 Downgraded to C (sf) Ratings Rationale LNR CDO III Ltd. is a static CRE CDO transaction backed by a portfolio of 100% commercial mortgage backed securities (CMBS). As of the February 23, 2012 trustee report, the aggregate Note balance of the transaction, including Preferred Shares, excluding deferred interest, has decreased to $900.5 million from $1.1 billion at issuance, with the paydown directed to the Senior Notes (Class A to Class G-FL Notes). The paydown was mainly due to full amortization of underlying B-notes, Mezzanine loans, and certain CMBS collateral. The current collateral par amount is $651.7 million; which resulted from $198.6 million in full amortization of collateral assets and $248.8 million in realized losses to the collateral pool since securitization, of which $98.1 million is due to additional realized losses since last review. The transaction entered into EOD on December 29, 2011 due to the occurrence of a default in the payment of interest due and payable on the Class A Notes and Class B Notes. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), 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 updated credit estimates for the non-Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom- dollar WARF of 7,484 compared to 7,390 at last review. The distribution of current ratings and credit estimates is as follows: Aaa-Aa3 (2.1% compared to 1.8% at last review), A1-A3 (0.7% compared to 1.6% at last review), Baa1-Baa3 (5.1% compared to 2.5% at last review), Ba1-Ba3 (8.3% compared to 10.2% at last review), B1-B3 (8.6% compared to 10.5% at last review), and Caa1-C (75.2% compared to 73.4% 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 4.0 years compared to 4.5 at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 3.9% compared to 6.8% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 100.0%, the same as 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. In general, the rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 3.9% to 2.0% or up to 9.0% would result in average rating movement on the rated tranches of 0 to 1 notche downward and 0 notche 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 extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster Holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The methodologies used in this rating were "Moody's Approach to Rating SF CDOs" published in November 2010, and "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011. MERRILL LYNCH 2001-C5: DBRS Rates Class E Certificates 'B(sf)' --------------------------------------------------------------- DBRS has confirmed the following classes of Merrill Lynch Financial Assets Inc., Series 2001-Canada 5 as follows: -- Class A-2 at AAA (sf) -- Class B at AAA (sf) -- Class X at AAA (sf) -- Class D at BBB (sf) -- Class E at B (sf) In addition, DBRS has upgraded Class C to AA (high) (sf) from AA (low) (sf). The trends on all classes are Stable. There are five loans left in the pool, and all are scheduled to mature by May 2013. The pool is concentrated in one loan, York Mills Gardens (Prospectus ID#1), which represents more than half of the current pool balance, with an outstanding principal balance of $16.6 million as of the March 2012 remittance. This loan is secured by part of an anchored retail property in Toronto. The property's largest tenant is Longo's, representing 37.5% of the net rentable area (NRA), and is part of the collateral. This loan is scheduled to mature in December 2012 with an exit debt yield in excess of 17%. DBRS considers the Plaza Group Rollup (Prospectus ID#7,33,53, 29.4% of the current pool balance) to be of some concern because of occupancy issues at one of the three collateral properties. Lansdowne Place is located in Saint John, New Brunswick, and began suffering from increased vacancy when its two largest tenants, Zellers and Eddie Bauer, vacated the property in 2010 and 2011. Based on historical rent rolls, these tenants accounted for almost half of the property's base rental income. This asset represents 68.6% of the allocated loan balance between the three Plaza Group properties and 44.1% of their combined net cash flow when taking into account the loss of Zellers and Eddie Bauer. The remaining two assets have continued to exhibit stable performance. These three loans are cross-defaulted and cross-collateralized, with full recourse to the borrower, and have no history of delinquency. The constraining metrics DBRS used in the sizing of this pool were conservative as a result of the status of the Lansdowne Place loan. Although DBRS views the cross-collateralization of the three Plaza Group properties favourably and does not foresee an immediate risk of monetary default, Lansdowne Place's dark anchor space obscures the chances of a timely refinance. MJH EDUCATION: Moody's Keeps 'Ca' Rating on Housing Revenue Bonds ----------------------------------------------------------------- Moody's Investors Service has affirmed the Ca rating for MJH Education Assistance Illinois IV LLC's $57.4 million outstanding Student Housing Revenue Bonds (Fullerton Village Project), Series 2004A (Senior Bonds) and $14.8 million outstanding Series 2004B (Subordinate Bonds) issued through the Illinois Finance Authority. The recommendation to affirm the Ca and C ratings on the Series A and B are based on expected loss estimates over the next 12 to 24 months. The outlook on the Senior Bonds has been revised to stable from negative. Outlook The change in outlook to stable from negative reflects the improved operational performance of the project, the university affiliation with DePaul, and the project's payments of missed interest payments from December 1, 2008 through June 1, 2011. What would change the ratings - UP - A significant improvement in cash flow to the project, stemming primarily from increased and stable occupancy and rents for the next several years What would change the ratings - DOWN - For the 2004A bonds, a decline in occupancy or revenue resulting in lower recoveries upon liquidation. PRINCIPAL METHODOLOGY The principal methodology used in this rating was Global Housing Projects published in July 2010. ML-CFC 2006-2: S&P Lowers Rating on Class F Certificates to 'D' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on six classes of commercial mortgage pass-through certificates from ML- CFC Commercial Mortgage Trust 2006-2, a U.S. commercial mortgage- backed securities (CMBS) transaction. "Concurrently, we affirmed our ratings on seven other classes from the same transaction," S&P said. "Our rating actions primarily reflect our analysis of the transaction using our U.S. CMBS conduit/fusion criteria, which included a review of the credit characteristics of all of the remaining assets in the pool, the transaction structure, and the liquidity available to the trust. Furthermore, our downgrades reflect credit support erosion that we anticipate will occur upon the eventual resolution of 19 ($227.0 million, 13.6%) of the transaction's 23 ($254.5 million, 15.2%) assets with the special servicer. We also considered the monthly interest shortfalls that are affecting the trust. We lowered our rating on class F to 'D (sf)' because we expect the interest shortfalls to continue and believe the accumulated interest shortfalls will remain outstanding for the foreseeable future," S&P said. "The affirmed ratings on the principal and interest certificates reflect subordination and liquidity support levels that are consistent with the outstanding ratings. We affirmed our 'AAA (sf)' rating on the class X interest-only (IO) certificate based on our current criteria," S&P said. "Using servicer-provided financial information, we calculated an adjusted debt service coverage (DSC) of 1.58x and a loan-to-value (LTV) ratio of 92.3%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 1.11x and an LTV ratio of 123.3%. The implied defaults and loss severity under the 'AAA' scenario were 66.5% and 33.9%. The DSC and LTV calculations noted above exclude 19 ($227.0 million, 13.6%) of the transaction's 23 ($254.5 million, 15.2%) specially serviced assets and three cross collateralized and cross defaulted loans that defeased ($7.3 million, 0.4%). We separately estimated losses for the 19 specially serviced assets and included them in our 'AAA' scenario implied default and loss figures," S&P said. "As of the March 12, 2012, trustee remittance report, the trust experienced monthly interest shortfalls totaling $509,523, primarily related to appraisal subordinate entitlement reduction (ASER) amounts of $367,758, special servicing and workout fees totaling $56,120, interest shortfalls due to rate modifications of $40,879 and a nonrecoverable interest determination of $39,741. The interest shortfalls affected all classes subordinate to and including class E. We expect these interest shortfalls to continue for the foreseeable future and consequently, we lowered our rating on class F to 'D (sf)'," S&P said. CREDIT CONSIDERATIONS "As of the March 12, 2012, trustee remittance report, 23 ($254.5 million, 15.2%) assets in the pool were with the special servicer, CWCapital Asset Management LLC (CWCapital). The payment status of the specially serviced assets is: 11 are real estate owned (REO; $62.8 million, 3.8%), five ($127.6 million, 7.6%) have foreclosed, four ($48.9 million, 2.9%) are 90-plus-days delinquent, one ($1.9 million, 0.1%) is 60 days delinquent, one ($1.9 million, 0.1%) is 30-plus-days delinquent, and one ($11.4 million, 0.7%) is less than 30 days delinquent. Appraisal reduction amounts (ARAs) totaling $82.6 million are in effect for 19 of 23 the specially serviced assets. Details of the two largest specially serviced assets, both of which are top 10 loans, are as set forth," S&P said. "The Penn Mutual Towers & Washington Square Garage loan ($101.7 million, 6.1%), is the largest asset with the special servicer and the second-largest loan in the pool. The loan has a total trust exposure of $108.5 million. The loan is secured by three class A office towers totaling 853,840 sq. ft. in the Philadelphia central business district. The loan was transferred to the special servicer on Feb. 17, 2011, due to imminent monetary default. The loan is currently in foreclosure. The reported occupancy was 78.0% as of February 2012. An ARA of $22.5 million is in effect against this loan. Based on the most recent appraisal value, we expect a moderate loss upon the eventual resolution of this loan," S&P said. "The Blairstone Office Building loan ($34.6 million, 2.1%) is the second-largest asset with the special servicer and is the fifth- largest loan in the pool. The loan is secured by a 263,163-sq.-ft. office property built in 1990 in Tallahassee, Fla. The loan transferred to the special servicer on July 26, 2011, after the sole tenant notified the borrower that it planned to vacate the building. According to the special servicer, a receiver was appointed in September 2011 and the property remains vacant. CWCapital indicated that the property is currently being marketed for lease. An ARA of $20.1 million is in effect against this loan. Based on the most recent appraisal value, we expect a significant loss upon the eventual resolution of this loan," S&P said. "The remaining 21 specially serviced assets have balances that individually represent less than 0.85% of the total pool balance. ARAs totaling $40.0 million are in effect against 17 of these assets. We estimated losses for 17 of the remaining assets, arriving at a weighted average loss severity of 45.8%. Of the remaining four assets, two are pending return to the master servicer as performing loans and the special servicer is evaluating the remaining two loans for potential modification," S&P said. TRANSACTION SUMMARY "As of the March 12, 2012, trustee remittance report, the total pool balance was $1.67 billion, which is 90.9% of the pool balance at issuance. The pool includes 170 loans and 11 REO assets, down from 191 loans at issuance. The master servicers, Wells Fargo Bank N.A. (Wells Fargo) and KeyBank Real Estate Capital (KeyBank), combined provided financial information for 97.0% of the loans in the pool, the majority of which was full-year 2011 data (43.8%), with the remainder reflecting partial- or full-year 2009, 2010, or 2011 data," S&P said. "We calculated a weighted average DSC of 1.63x for the loans in the pool based on the servicer-reported figures. Our adjusted DSC and LTV ratio were 1.58x and 92.3%. Our adjusted DSC and LTV figures excluded 19 ($227.0 million, 13.6%) of the transaction's 23 ($254.5 million, 15.2%) specially serviced assets and three cross collateralized and cross defaulted loans that defeased ($7.3 million, 0.4%). To date, the transaction has experienced $27.2 million in principal losses in connection with nine assets. Forty- six loans ($287.1 million, 17.2%) in the pool are on the master servicers' combined watchlist and 47 loans ($302.7 million, 18.1%) have a reported DSC of less than 1.10x, 39 of which ($213.1 million, 12.7%) have a reported DSC of less than 1.00x," S&P said. SUMMARY OF TOP 10 LOANS "The top 10 loans have an aggregate outstanding balance of $576.3 million (34.4%). Our adjusted DSC and LTV ratio for eight of the top 10 loans were 2.06x and 76.9%. These figures exclude two of the top 10 loans with the special servicer. Two ($58.1 million, 3.5%) of the top 10 loans appear on the master servicers' combined watchlist," S&P said. "The BTR Capital Portfolio loan ($29.4 million, 1.8%) is the sixth-largest loan in the pool and the largest loan on the master servicers' combined watchlist. The loan is secured by a mixed-used portfolio, which consists of four industrial properties, one office property, and one retail property totaling 782,624 sq. ft., as well as a fee interest in 1.09 sq. ft. of usable industrial space. All of the collateral is located in the Baltimore metropolitan statistical area (MSA). The loan was returned to the master servicer on Feb. 13, 2012, as a modified and corrected loan and remains on the watchlist due to its low reported DSC. The modification terms included, but are not limited to, a change in the note rate to 5.24% from 6.24% and an extension of the loan's maturity date to July 31, 2015. The servicer reported a 0.94x DSC for the year ending Dec. 31, 2010. Overall occupancy was 58.9% according to the Dec. 31, 2010, rent rolls," S&P said. "The Jefferson Block Apartments loan ($28.7 million, 1.7%) is the eighth-largest loan in the pool and the second-largest loan on the master servicers' combined watchlist. The loan, which is secured by a 217-unit apartment complex in Milwaukee, Wis., appears on the watchlist due to a low reported DSC. According to the master servicer, the borrower indicated that the decrease in DSC was due to a one-time expense incurred in 2010 and reported in its 2011 financial statement. The servicer reported a 1.04x DSC for the nine months ending Sept. 30, 2011. Occupancy was 91.2%, according to the December 2011 rent roll," S&P said. "Standard & Poor's stressed the collateral in the pool according to our current criteria. The resultant credit enhancement levels are consistent with our rating actions," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LOWERED ML-CFC Commercial Mortgage Trust 2006-2 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) AJ BBB (sf) BBB+ (sf) 12.12 B BB (sf) BBB (sf) 9.92 C BB- (sf) BBB- (sf) 8.96 D CCC+ (sf) BB+ (sf) 7.04 E CCC- (sf) CCC (sf) 5.94 F D (sf) CCC- (sf) 4.15 RATINGS AFFIRMED ML-CFC Commercial Mortgage Trust 2006-2 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-2 AAA (sf) 31.37 A-3 AAA (sf) 31.37 A-SB AAA (sf) 31.37 A-4 AAA (sf) 31.37 A-1A AAA (sf) 31.37 AM A+ (sf) 20.37 X AAA (sf) N/A N/A - Not applicable. MORGAN STANLEY 2003-1Q5: Moody's Affirms Caa1 Rating on N Certs. ---------------------------------------------------------------- Moody's Investors Service upgraded four classes and affirmed the ratings of 10 CMBS classes of Morgan Stanley Capital I, Inc. Commercial Mortgage Pass-Through Certificates, Series 2003-IQ5 as follows: Cl. A-4, Affirmed at Aaa (sf); previously on Oct 15, 2003 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aaa (sf); previously on Mar 19, 2007 Upgraded to Aaa (sf) Cl. C, Upgraded to Aa2 (sf); previously on Jun 9, 2010 Upgraded to Aa3 (sf) Cl. D, Upgraded to A1 (sf); previously on Mar 19, 2007 Upgraded to A2 (sf) Cl. E, Upgraded to A3 (sf); previously on Oct 15, 2003 Definitive Rating Assigned Baa1 (sf) Cl. F, Upgraded to Baa1 (sf); previously on Oct 15, 2003 Definitive Rating Assigned Baa2 (sf) Cl. G, Affirmed at Baa3 (sf); previously on Oct 15, 2003 Definitive Rating Assigned Baa3 (sf) Cl. H, Affirmed at Ba1 (sf); previously on Oct 15, 2003 Definitive Rating Assigned Ba1 (sf) Cl. J, Affirmed at Ba2 (sf); previously on Oct 15, 2003 Definitive Rating Assigned Ba2 (sf) Cl. K, Affirmed at Ba3 (sf); previously on Oct 15, 2003 Definitive Rating Assigned Ba3 (sf) Cl. L, Affirmed at B1 (sf); previously on Oct 15, 2003 Definitive Rating Assigned B1 (sf) Cl. M, Affirmed at B2 (sf); previously on Oct 15, 2003 Definitive Rating Assigned B2 (sf) Cl. N, Affirmed at Caa1 (sf); previously on Jun 9, 2010 Downgraded to Caa1 (sf) Cl. X-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The upgrades are due to increases in credit support due to payoffs and amortization. The affirmations of the principal classes are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating of the IO Class, Class X-1, is consistent with the expected credit performance of its reference classes and thus is affirmed. Moody's rating action reflects a cumulative base expected loss of 1.6% of the current balance. At last full review, Moody's cumulative base expected loss was 1.7%. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005, "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.60 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's review also incorporated the CMBS IO calculator version 1.0, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and the IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator version 1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 16, up from 15 at Moody's prior full review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel based Large Loan Model v 8.2 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated May 4, 2011. DEAL PERFORMANCE As of the March 15, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 51% to $384 million from $779 million at securitization. The Certificates are collateralized by 53 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans, excluding defeased loans, representing 58% of the pool. Five loans, representing 13% of the pool, have defeased and are collateralized with U.S. Government securities, the same as at last review. The pool includes one loan with an investment grade credit estimate, representing 6.3% of the pool, the same as at last review. Seventeen loans, representing 9% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. No loans have been liquidated from the pool since securitization and there are also no loans currently in special servicing. Moody's has assumed no default probability for any poorly performing loans and has estimated no losses from these troubled loans. Moody's was provided with full year 2010 and partial year 2011 operating results for 86% and 43% of the non-defeased performing pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 70%, compared to 74% at last full review. Moody's net cash flow reflects a weighted average haircut of 10.75% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.5%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.70X and 1.71X, respectively, compared to 1.52X and 1.51X, respectively, at last full review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loan with a credit estimate is the Three Times Square Loan ($24.0 million -- 6.3% of the pool), which represents a 21% pari passu interest in a $115 million loan. The property is also encumbered by a subordinate B note totaling $94.8 million which is held outside the trust. The loan is secured by an 884,000 square foot (SF) Class A office building located in the Times Square office submarket of midtown Manhattan. The property remains 99% leased, the same as at last review. The building's largest tenants are Reuters Group (79% of the net rentable area (NRA) and lease expiration September 2021) and Bank of Montreal (12% of NRA and lease expiration November 2021). The loan is fully amortizing and has amortized 31% since securitization. The loan matures on November 15, 2021. Moody's current credit estimate and stressed DSCR are Aaa and 3.42X, respectively, compared to Aaa and 3.08X at Moody's last review. The top three performing conduit loans represent 30% of the pool balance. The largest conduit loan is the Two Commerce Square Loan ($53.5 million -- 13.9% of the pool), which represents a 50% pari passu interest in a $107 million loan. The property is also encumbered by a $77 million subordinate B note held outside of the trust. The loan is secured by a 40-story, 953,000 square foot (SF) Class A office building located in the Center City office submarket of Philadelphia, Pennsylvania. The property was 86% leased as of September 2011 compared to 85% leased at last review. Property performance has declined due to new tenant leases signed at market terms, including concession packages, and lower operating expense recoveries. The largest tenants are Price Waterhouse Coopers LLP (23% of NRA and lease expiration April 2015) and Reliance Standard Life Insurance (13% of NRA and lease expiration December 2015). The loan matures Mary 15, 2013. Moody's LTV and stressed DSCR are 85% and 1.15X, respectively, compared to 79% and 1.23x at last review. The second largest performing conduit loan is the Plaza America Office Towers III & IV ($37.2 million - 9.7% of the pool), which represents a 50% pari passu interest in a $74.4 million loan. The loan is secured by two Class A office buildings located in Reston, Virginia totaling 473,000 SF. The property was 100% leased as of October 2011 compared to 91% leased at last review. This loan has amortized 12% since securitization. Moody's LTV and stressed DSCR are 71% and 1.45X, respectively, compared to 74% and 1.39X, at last review. The third largest performing conduit loan is the Quail Springs Marketplace Loan ($25.1 million - 6.5% of the pool), which is secured by a 295,700 SF retail center located in Oklahoma City, Oklahoma. The largest tenants are Ultimate Electronics (11% of NRA and lease expiration January 2014) and Ross Dress for Less (10% of the NRA and lease expiration January 2014). The property was 98% leased, the same as at last review. The loan matures May 15, 2013 and has amortized 13% securitization. Moody's LTV and stressed DSCR are 80% and 1.28X, respectively, compared to 76% and 1.35X at last review. MORGAN STANLEY 2004-TOP15: Moody's Affirms C Ratings on 2 Certs. ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 16 CMBS classes of Morgan Stanley Capital I Inc., Commercial Mortgage Pass-Through Certificates, Series 2004-TOP15 as follows: Cl. A-3, Affirmed at Aaa (sf); previously on Aug 4, 2004 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Aug 4, 2004 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aa2 (sf); previously on Jun 9, 2010 Confirmed at Aa2 (sf) Cl. C, Affirmed at A3 (sf); previously on Jun 9, 2010 Downgraded to A3 (sf) Cl. D, Affirmed at Baa1 (sf); previously on Jun 9, 2010 Downgraded to Baa1 (sf) Cl. E, Affirmed at Baa3 (sf); previously on Jun 9, 2010 Downgraded to Baa3 (sf) Cl. F, Affirmed at Ba1 (sf); previously on Jun 9, 2010 Downgraded to Ba1 (sf) Cl. G, Affirmed at Ba3 (sf); previously on Jun 9, 2010 Downgraded to Ba3 (sf) Cl. H, Affirmed at B2 (sf); previously on Jun 9, 2010 Downgraded to B2 (sf) Cl. J, Affirmed at B3 (sf); previously on Jun 9, 2010 Downgraded to B3 (sf) Cl. K, Affirmed at Caa2 (sf); previously on Jun 9, 2010 Downgraded to Caa2 (sf) Cl. L, Affirmed at Caa3 (sf); previously on Jun 9, 2010 Downgraded to Caa3 (sf) Cl. M, Affirmed at C (sf); previously on Jun 9, 2010 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Jun 9, 2010 Downgraded to C (sf) Cl. X-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. X-2, Affirmed at Aaa (sf); previously on Aug 4, 2004 Definitive Rating Assigned Aaa (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The ratings of the IO Classes, Class X-1 and Class X-2, are consistent with the expected credit performance of their referenced classes and thus are affirmed. Moody's rating action reflects a cumulative base expected loss of 2.4% of the current balance. At last review, Moody's cumulative base expected loss was 2.2%. Realized losses are in line with the prior review at 0.2% of the original pooled balance. Moody's provides a current list of base losses for conduit and fusion CMBS transactions on moodys.com at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. 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 extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster Holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005, "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.60 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit estimate of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit estimate level, is incorporated for loans with similar credit estimates in the same transaction. Moody's review also incorporated the CMBS IO calculator ver 1.0, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 17 compared to 21 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.2 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated April 28, 2011. DEAL PERFORMANCE As of the March 13, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 31% to $610.9 million from $889.8 million at securitization. The Certificates are collateralized by 96 mortgage loans ranging in size from less than 1% to 18% of the pool, with the top ten non-defeased loans representing 47% of the pool. Seven loans, representing 7% of the pool, have defeased and are secured by U.S. Government securities. Defeasance at last review represented 5% of the pool. The pool contains two loans with investment grade credit estimates, representing 28% of the pool. Twenty-five loans, representing 17% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Four loans have been liquidated from the pool, resulting in a realized loss of $1.5 million (6% loss severity on average). Currently three loans, representing 2% of the pool, are in special servicing. The specially serviced loans are secured by a mix of retail, multifamily, and industrial property types. Moody's estimates an aggregate $5.4 million loss for the specially serviced loans (43% expected loss on average). Moody's has assumed a high default probability for four poorly performing loans representing 4% of the pool and has estimated an aggregate $3.2 million loss (15% expected loss based on a 30% probability of default) from these troubled loans. Moody's was provided with full year 2010 operating results for 91% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 67% compared to 73% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 9% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.1%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.73X and 1.66X, respectively, compared to 1.72X and 1.53X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit estimate is The Grace Building Loan ($109.4 million -- 17.9% of the pool), which is secured by a 1.5 million square foot (SF) office building located in the Midtown submarket of New York City. The loan represents a 33% pari-passu interest in a $328.2 million loan. There is also a subordinate B Note of $28.1 million that is held outside of the trust. Brookfield Office Properties and Swig Equities are the loan sponsors. The property was 96% leased as of December 2011 compared to 90% at the last review. NOI is expected to increase after the rent concessions and free rent periods for the new tenants burn off. Moody's current credit estimate and stressed DSCR are A3 and 1.44X compared to Baa2 and 1.34X at last full review. The second loan with a credit estimate is the GIC Office Portfolio Loan ($62.4 million -- 10.2% of the pool), which is secured by 12 office buildings located in seven states and totaling 6.4 million SF. The loan represents a 9.3% pari-passu interest in a $672.1 million loan. There is also a subordinate B Note of $121.5 million that is held outside of the trust. The portfolio was 87% leased as of December 2010 compared to 71% at the prior review. The borrower was able to release a majority of the space that AT&T vacated in March 2009. Moody's current credit estimate and stressed DSCR are Baa3 and 1.44X, respectively, compared to Baa3 and 1.43X at last full review. The top three performing conduit loans represent 9% of the pool balance. The largest loan is the Village at Newtown Loan ($25.0 million -- 4.1% of the pool), which is secured by a 177,000 SF retail center located in Newtown Township, Pennsylvania. The submarket is mature with very strong demographics as average household income in the county is above $100,000 per year. The property was 89% leased as of June 2011 compared to 92% at the last review. Property performance has been relatively stable. Moody's LTV and stressed DSCR are 73% and 1.29X, respectively, compared to 82% and 1.15X at last full review. The second largest loan is the Port Sacramento Industrial Loan ($14.1 million -- 2.3% of the pool), which is secured by a 610,000 SF industrial complex located in West Sacramento, California. The complex is 100% leased to C&S Logistics through June 2017. Moody's LTV and stressed DSCR are 80% and 1.36X, respectively, compared to 82% and 1.32X at last review. The third largest loan is the Third & Main Portfolio Loan ($17.8 million -- 2.6% of the pool), which is secured by four separate retail buildings built in the 1920's located in Santa Monica, California. The portfolio is 100% leased which is the same as at the prior review. Overall, the property is stable and the loan is benefitting from amortization. Moody's LTV and stressed DSCR are 47% and 1.95X, respectively, compared to 49% and 1.91X at last full review. MORGAN STANLEY 2006-TOP21: S&P Cuts Class M Cert Rating to 'D' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on eight classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2006-TOP21, a U.S. commercial mortgage-backed securities (CMBS) transaction. "Concurrently, we affirmed our ratings on 10 other classes from the same transaction," S&P said. "The downgrades reflect deterioration in the credit characteristics of the pool collateral, which under our 'AAA' scenario, yielded debt service coverage (DSC) of 0.95x and a (loan-to-value) ratio 168.7%. The downgrades further reflect our review of the transaction structure, credit support erosion that we anticipate will occur upon the eventual resolution of one ($4.2 million, 0.4%) of the transaction's two ($5.1 million, 0.5%) specially serviced loans, and a reduction in the liquidity support available to the trust due to interest shortfalls. As of the revised March 12, 2012, trustee remittance report, the trust experienced monthly interest shortfalls of $15,365, primarily due to appraisal subordinate entitlement reduction (ASER) amounts ($11,938) and special servicing fees ($1,036). The interest shortfalls affected all classes subordinate to and including class M. Our analysis indicated that the total anticipated recurring monthly interest shortfalls will cause continued interest shortfalls for class M and the classes subordinate to it for the foreseeable future and lead to a reduction in the liquidity support available to the classes senior to it. As a result of our analysis, we lowered our rating on class M to 'D (sf)'," S&P said. "The affirmed ratings on the principal and interest certificates reflect subordination and liquidity support levels that are consistent with the outstanding ratings. We affirmed our 'AAA (sf)' rating on the class X interest-only (IO) certificates based on our current criteria," S&P said. "Using servicer-provided financial information, we calculated adjusted debt service coverage (DSC) of 1.56x and a loan-to-value (LTV) ratio of 119.8%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 0.95x and an LTV ratio of 168.7%. The implied defaults and loss severity under the 'AAA' scenario were 73.7% and 39.1%. The DSC and LTV calculations noted above exclude one ($4.2 million, 0.4%) of the transaction's two ($5.1 million, 0.5%) specially serviced loans and three ($36.5 million, 3.3%) loans secured by cooperative housing (co-op) properties. We separately estimated a loss for the excluded specially serviced loan and included it in our 'AAA' scenario implied default and loss severity figures. The co-op loans did not default under our 'AAA' scenario due to extremely low leverage," S&P said. CREDIT CONSIDERATIONS "As of the revised March 12, 2012, trustee remittance report, two ($5.1 million, 0.5%) loans in the pool were with the special servicer, C-III Asset Management LLC (C-III). Both specially serviced loans were reported as being 90-plus days delinquent. Appraisal reduction amounts (ARAs) totaling $2.7 million are in effect for the specially serviced loans," S&P said. "The Harrisonburg & Charlottesville Retail loan ($4.1 million, 0.4%) is the largest specially serviced loan. The loan is secured by two retail shopping centers totaling 57,712 sq. ft. in Virginia. The loan was transferred to the special servicer on May 4, 2009, due to payment default. According to C-III, a note sale is under consideration. An ARA of $2.5 million is in effect against the loan. We expect a moderate loss upon the eventual resolution of this loan," S&P said. "The Virginia Plaza Shopping Center ($978,122, 0.1%) is the second-largest specially serviced loan and is collateralized by an unanchored retail center totaling 10,748 sq. ft. in McKinney, Texas. The loan was transferred to the special servicer on Dec. 13, 2011, due to payment default. According to C-III, no workout strategy has been determined at this time. As of year-end 2010, the reported DSC was 1.55x. An ARA of $240,843 is in effect against this loan," S&P said. TRANSACTION SUMMARY "As of the revised March 12, 2012, trustee remittance report, the trust balance was $1.12 billion, which is 79.8% of the trust balance at issuance. The pool includes 109 loans, down from 121 loans at issuance. The master servicer, Wells Fargo Commercial Mortgage Servicing, provided financial information for 87.1% of the loans in the pool (by balance), the majority of which was full-year 2010 data, interim 2011, or full-year 2011 data," S&P said. "We calculated a weighted average DSC of 1.57x for the loans in the pool based on the servicer-reported figures. Our adjusted DSC and LTV ratio were 1.56x and 119.8%. To date, the transaction has experienced $10.9 million in principal losses in connection with four assets. Forty-three loans ($388.4 million, 34.7%) in the pool are on the master servicer's watchlist. Sixteen assets ($187.5 million, 16.7%) have a reported DSC of less than 1.10x, 12 of which ($135.9 million, 12.1%) have a reported DSC of less than 1.00x," S&P said. SUMMARY OF TOP 10 LOANS "The top 10 loans have an aggregate outstanding pooled balance of $599.2 million (55.9%). Using servicer-reported numbers, we calculated a weighted average DSC of 1.43x for the top 10 loans. Our adjusted DSC and LTV ratio for the top 10 loans were 1.36x and 119.6%. Four of the top 10 loans ($208.7 million, 18.6%) are on the master servicer's watchlist and are discussed below. The Monmouth Mall loan ($134.3 million, 14.4%), which is the largest loan in the pool," S&P said. "The SBC - Hoffman Estates loan ($94.5 million, 8.4%) is the second-largest loan in the pool and the largest loan on the master servicer's watchlist. The loan is secured by a 1,690,214 sq.-ft. retail shopping center in Eatontown, N.J. The loan is on the master servicer's watchlist due to the borrower's inability to pay off the loan on its anticipated repayment date of Dec. 1, 2010. The master servicer is now capturing excess cash in a lockbox, and principal is being paid down at hyper-amortization rate. The final loan maturity date is Dec. 1, 2035. As of year-end 2010, the reported DSC was 2.25x, while the most recent reported occupancy was 100%," S&P said. "The Mervyn's loan ($59.5 million, 5.3%) is the fifth-largest loan in the pool and the second-largest loan on the master servicer's watchlist. The loan is secured by a 25-single-tenant retail property portfolio totaling 1,896,968 sq. ft. located in California and Texas. The loan is on the master servicer's watchlist due to low DSC. As of year-end 2010, reported income was insufficient to cover reported operating expenses. The reported occupancy was 48% as of the same period," S&P said. "The West Palm Beach Marriot loan ($29.4 million, 2.6%) is the eighth-largest loan in the pool and the third-largest loan on the master servicer's watchlist. The loan is secured by a 352-room hotel property in Florida. The loan is on the master servicer's watchlist due to low DSC. As of September 2011, the reported occupancy was 77%. As of year-end 2011, the reported DSC was 0.39x," S&P said. "The Southridge Shopping Center loan ($25.4 million, 2.3%) is the 10th-largest loan in the pool and the fourth-largest loan on the master servicer's watchlist. The loan is secured by a 229,540-sq.- ft. retail shopping center in Arden, N.C. The loan is on the master servicer's watchlist due to low DSC. As of year-end 2010, the reported DSC was 1.09x, while the most recent reported occupancy, as of June 2011, was 88.0%," S&P said. "The Monmouth Mall loan ($134.3 million pool balance, 14.4%, $161.8 million whole-loan balance) is the largest loan in the pool. The loan is secured by a 980,487-sq.-ft. mall in Eatontown, N.J. Recent reported DSC information was not available. The September 2011 rent roll indicated the property was 94.9% occupied. Our adjusted valuation yielded a whole-loan stressed LTV ratio of 94.0%," S&P said. "Standard & Poor's stressed the loans in the pool according to its current criteria. The resultant credit enhancement levels are consistent with our rating actions," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com RATINGS LOWERED Morgan Stanley Capital I Trust 2006-TOP21 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) C BB+ (sf) BBB- (sf) 8.14 D BB (sf) BB+ (sf) 6.25 E BB- (sf) BB (sf) 5.30 F B+ (sf) BB- (sf) 4.04 G B (sf) B+ (sf) 3.10 H CCC+ (sf) B (sf) 2.00 J CCC- (sf) CCC (sf) 1.21 M D (sf) CCC- (sf) 0.27 RATINGS AFFIRMED Morgan Stanley Capital I Trust 2006-TOP21 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-2 AAA (sf) 33.00 A-3 AAA (sf) 33.00 A-AB AAA (sf) 33.00 A-4 AAA (sf) 33.00 A-M AA-(sf) 20.41 A-J BBB+ (sf) 11.91 B BBB (sf) 9.55 K CCC- (sf) 0.90 L CCC- (sf) 0.42 X AAA (sf) N/A N/A - Not applicable. MORGAN STANLEY 2007-TOP27: DBRS Cuts Rating on N/O Certs. to 'D' ---------------------------------------------------------------- DBRS has downgraded the following classes of Morgan Stanley Capital I Trust, Series 2007-TOP27 as follows: -- Class N to D (sf) from C (sf) -- Class O to D (sf) from C (sf) The downgrades follow realized losses to the above mentioned classes, which resulted from the liquidation of one loan with the March 2012 remittance. Comfort Suites Chesapeake (Prospectus ID#69) was secured by a 129- key limited-service hotel in Chesapeake, Virginia. This loan originally transferred to special servicing in March 2010 for monetary default. The lender took title of the asset shortly after a foreclosure sale, which occurred in May 2011. A September 2011 appraisal valued the property at $3.9 million, down from $14.7 million at issuance. As of the March 2012 remittance, this loan has incurred a realized trust loss of $9.0 million, representative of an 82% loss severity. The cumulative losses for this transaction, to date, have resulted in the full principal losses to Class P and Class O and have reduced the balance of Class N to $5.4 million. A number of non-performing loans remain in special servicing, which DBRS considers of particular concern, including Comfort Suites BWI Airport (Prospectus ID#51), Empire Towers (Prospectus ID#52), Grand Mart Chicago Portfolio (Prospectus ID#50), TownePlace Suites (Prospectus ID#73) and Country Inn and Suites - Ft. Meyers Airport (Prospectus ID#125). These loans cumulatively comprise 2.4% of the pool balance, as of the March 2012 remittance. DBRS continues to monitor this transaction on a monthly basis, with increased focus on these pivotal loans and the other loans currently in special servicing. MSC 2006-SRR1: Moody's Affirms 'C' Ratings on 16 Note Classes ------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of all classes of Notes issued by MSC 2006-SRR1. The affirmations are due to key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO Synthetic) transactions. Cl. A2, Affirmed at Ca (sf); previously on May 27, 2010 Downgraded to Ca (sf) Cl. A2-S, Affirmed at Ca (sf); previously on May 27, 2010 Downgraded to Ca (sf) Cl. B, Affirmed at Ca (sf); previously on May 27, 2010 Downgraded to Ca (sf) Cl. B-S, Affirmed at C (sf); previously on May 27, 2010 Downgraded to C (sf) Cl. C, Affirmed at C (sf); previously on May 27, 2010 Downgraded to C (sf) Cl. C-S, Affirmed at C (sf); previously on May 27, 2010 Downgraded to C (sf) Cl. D, Affirmed at C (sf); previously on May 27, 2010 Downgraded to C (sf) Cl. D-S, Affirmed at C (sf); previously on May 27, 2010 Downgraded to C (sf) Cl. E, Affirmed at C (sf); previously on May 27, 2010 Downgraded to C (sf) Cl. E-S, Affirmed at C (sf); previously on May 27, 2010 Downgraded to C (sf) Cl. F, Affirmed at C (sf); previously on May 27, 2010 Downgraded to C (sf) Cl. F-S, Affirmed at C (sf); previously on May 27, 2010 Downgraded to C (sf) Cl. G, Affirmed at C (sf); previously on May 27, 2010 Downgraded to C (sf) Cl. H, Affirmed at C (sf); previously on May 27, 2010 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on May 27, 2010 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on May 27, 2010 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on May 27, 2010 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on May 27, 2010 Downgraded to C (sf) Ratings Rationale MSC 2006-SRR1 is synthetic CRE CDO transaction backed by a portfolio of commercial mortgage backed securities (CMBS) reference obligations (100.0% of the pool balance) issued between 2004 and 2006. As of the February 24, 2012 Trustee report, the aggregate Note balance of the transaction was reduced due to protection payments as a result of writedowns in the reference obligations; as detailed below. There are eleven reference obligations with an original par balance of $110.0 million (17.7% of the current pool balance) that have experienced credit events via writedowns. As of the February 24, 2012 Trustee Report, Classes F-S, G, H, J, K, L, M and the Subordinated Notes have experienced full losses, and Class F has experienced a partial loss. There has been a corresponding reduction in the term assets account. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO reference 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 8,869 compared to 8,774 at last review. The distribution of current ratings and credit estimates is as follows: Ba1-Ba3 (0.0% compared to 1.7% at last review), B1-B3 (11.6% compared to 6.9% at last review), and Caa1-C (88.4% compared to 91.4% at last review). WAL acts to adjust the probability of default of the reference pool for time. Moody's modeled to a WAL of 3.1 years compared to 3.8 at last review. WARR is the par-weighted average of the mean recovery values for the reference pool. Moody's modeled a fixed WARR of 28.4% compared to 27.6% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the reference pool (i.e. the measure of diversity). Moody's modeled a MAC of 31.6% compared to 30.7% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. 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. Synthetic notes are particularly sensitive to changes in ratings assumptions. Holding all other key parameters static, changing the ratings down one notch or up one notch would result in average rating movement on the rated tranches of 0 to 0.2 notches downward and 0 to 0.2 notches upward, respectively. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster Holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in November 2010. MUZINICH II: S&P Raises Ratings on 2 Classes of Notes to 'CC' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered and removed from CreditWatch negative its ratings on the class B-1 and B-2 notes from Muzinich CBO II Ltd., a cash flow collateralized bond obligation (CBO) transaction. "We previously lowered the ratings on the class B notes in May 2010. The transaction has since paid down the class A-1 and A-2 notes in full and is paying down the class B notes. Despite the pay downs to the notes, the class B overcollateralization ratio fell to 77.65% as of the March 2012 trustee report from 102.28% in March 2010. We based 's downgrades on the reduction in credit support available to the class B notes and the higher likelihood that the notes will not get back their full principal," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS Muzinich CBO II Ltd. Rating To From B-1 CC (sf) CCC- (sf)/Watch Neg B-2 CC (sf) CCC- (sf)/Watch Neg N-STAR VII: S&P Lowers Ratings on 3 Classes of Notes to 'CC' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on the class A-1, A-2, A-3, B, C, D-FL, D-FX, and E notes from N-Star Real Estate CDO VII Ltd., a collateralized debt obligation (CDO) transaction backed by commercial mortgage-backed securities (CMBS) assets, managed by NS Advisors LLC. "At the same time, we removed these ratings from CreditWatch, where we placed them with negative implications on Dec. 27, 2011," S&P said. The downgrades are primarily on account of the release of new criteria. "The transaction has also had significant deterioration in the credit quality of the underlying assets since we last downgraded the notes on May 31, 2011. As of the Feb. 21, 2012, trustee report the transaction held over $206.7 million in defaulted assets compared with about $110.1 million noted in the April 18, 2011, report, which we used for the May 2011 rating action," S&P said. "The senior A/B overcollateralization (O/C) ratio was passing its trigger as of the February 2012 trustee report. However, all the other O/C tests in the transaction were failing their trigger values and diverting the interest proceeds to pay down the senior notes. As a result, the class D and E notes are not receiving timely interest payments and are accruing interest," S&P said. The weakening performance of the transaction is also evident in the decreased support available to the rated notes. The trustee reported the O/C ratios in the Feb. 21, 2012, monthly report: * The class A/B O/C ratio was 108.65%, compared with a reported ratio of 116.6% in April 2011; * The class C O/C ratio was 102.91%, compared with a reported ratio of 111.42% in April 2011; * The class D O/C ratio was 99.11%, compared with a reported ratio of 107.93% in April 2011; and * The class E O/C ratio was 95.50%, compared with a reported ratio of 104.61% in April 2011. Standard & Poor's will continue to review whether, in its view, the ratings on the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS N-Star Real Estate CDO VII Ltd. Rating Class To From A-1 BB- (sf) AA- (sf)/Watch Neg A-2 B (sf) A- (sf)/Watch Neg A-3 CCC+ (sf) BBB- (sf)/Watch Neg B CCC- (sf) BB+ (sf)/Watch Neg C CCC- (sf) BB (sf)/Watch Neg D-FL CC (sf) B (sf)/Watch Neg D-FX CC (sf) B (sf)/Watch Neg E CC (sf) CCC+ (sf)/Watch Neg TRANSACTION INFORMATION Issuer: N-Star Real Estate CDO VII Ltd. Collateral manager: NS Advisors LLC Trustee: Bank of America N.A. Transaction type: Cash flow CLO NATIONAL COLLEGIATE 2007-2: S&P Lowers Class C Notes Rating to 'D' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating on the class C notes from National Collegiate Student Loan Trust 2007-2 to 'D (sf)' from 'B (sf)' and removed it from CreditWatch with negative implications, where S&P placed it on Nov. 11, 2011. "We lowered our rating to 'D (sf)' because the affected class did not receive any interest payment on the March 26, 2012, the distribution date. The series 2007-2 transaction breached its class C note interest trigger because it failed its cumulative default and parity tests. The transaction failed the cumulative default test because cumulative defaults of 24.86%, as of March 26, 2012, are above the current required threshold of 7%. The transaction failed the parity test because the aggregate outstanding balance of the class A and B notes exceeded the sum of the collateral balance plus the amounts on deposit in the reserve account. The aforementioned parity test was 99.88% as of March 26, 2012. The increase in defaults and declines in parity reflect the effect of the continuing poor collateral performance on this transaction," S&P said. "The class C note breached its interest trigger because it failed its cumulative default and parity tests, which prompted the interest shortfall. The class C note interest trigger is tested monthly, and the transaction can cure the breach if it passes the appropriate performance tests on subsequent distribution dates. We placed our rating on the class C notes on CreditWatch negative on Nov. 11, 2012, because adverse collateral performance was reducing the transaction's parity," S&P said. "We believe this transaction will continue to breach its class C note interest trigger for the foreseeable future due to the continued adverse performance trends of the underlying pool of private student loans, including the accelerated pace at which the transaction has been realizing defaults. The breach of the class C note interest trigger, as well as the resulting reprioritization of interest to pay down senior bonds, caused an interest shortfall to the class C notes on the March 26, 2012, distribution date. The transaction may draw on its reserve account to cover fees to the servicer, trustee, paying agent, and administrator, as well as backup administrator fees and expenses, and class A, B, and C note interest when no triggers are in effect. However, when a class C note interest trigger is in effect, the reserve account cannot be drawn on to cover interest payments to the class C notes," S&P said. "Standard & Poor's will continue to monitor the performance of the student loan receivables backing this trust relative to our cumulative default expectations and available credit enhancement," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com NERVA LTD: Fitch Withdraws Junk Rating on Class A Notes ------------------------------------------------------- Fitch Ratings withdraws the rating on one class of notes issued by Nerva Ltd. Series I as follows: -- Class A notes withdrawn from 'Csf'. This transaction has terminated, but Fitch did not receive any timely notice of the termination or reports detailing the final distributions on the notes. As a result, the rating has been withdrawn at its current rating level. Nerva was a synthetic collateralized debt obligation (CDO) that closed on June 30, 2000. The transaction allowed investors to achieve leveraged exposure to a diversified portfolio of asset- backed securities. NEXTSTUDENT MASTER: Moody's Withdraws 'C' Ratings on 25 Notes ------------------------------------------------------------- Moody's Investors Service has withdrawn the ratings of 25 notes issued by NextStudent Master Trust I. In July 2010 Moody's downgraded the ratings to C following the occurrence of several events of default under the trust Indenture and the subsequent liquidation of the trust assets. Moody's is currently withdrawing the credit ratings because it has insufficient information to support the maintenance of the ratings. The complete rating actions are as follows: Issuer: NextStudent Master Trust I 2006A-1, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2006A-2, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2006A-3, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2006A-4, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2006A-5, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2006A-6, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2006A-7, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2006A-8, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2006B-1, Withdrawn (sf); previously on Jul 9, 2010 Downgraded to C (sf) 2007A-1, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2007A-2, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2007A-3, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2007A-4, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2007A-5, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2007A-6, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2007A-7, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2007A-8, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2007A-9, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2007A-10, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2007A-11, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2007A-12, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2007A-13, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2007A-14, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2007A-15, Withdrawn (sf); previously on Sep 14, 2010 Downgraded to C (sf) 2007B-1, Withdrawn (sf); previously on Jul 9, 2010 Downgraded to C (sf) NOMURA ASSET 1998-D6: Moody's Affirms Ba3 Rating on PS-1 Notes -------------------------------------------------------------- Moody's Investors Service affirmed six CMBS classes of Nomura Asset Securities Corporation, Commercial Mortgage Pass-Through Certificates, Series 1998-D6 as follows: Cl. A-1C, Affirmed at Aaa (sf); previously on Mar 30, 1998 Assigned Aaa (sf) Cl. A-2, Affirmed at Aaa (sf); previously on Sep 8, 2005 Upgraded to Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Sep 8, 2005 Upgraded to Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Dec 8, 2006 Upgraded to Aaa (sf) Cl. A-5, Affirmed at Aaa (sf); previously on Sep 11, 2008 Upgraded to Aaa (sf) Cl. PS-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating of the IO Class, Class PS-1, is consistent with the expected credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a cumulative base expected loss of 2.3% of the current balance compared to 2.2% at last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. 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 extent of the slowdown in growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction, a consistent upward trend will not be evident until the volume of investment activity increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel and multifamily sectors continue to show positive signs and improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where unemployment remains above long-term averages and business confidence remains below long-term averages. Performance in the retail sector has been mixed with lackluster holiday sales driven by sales and promotions. Consumer confidence remains low. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects: an overall downward revision of real growth forecasts since last quarter, amidst ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction; financial market turmoil continuing to negatively impact consumer and business confidence; persistently high unemployment levels; and weak housing markets resulting in a further slowdown in growth. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, for deals that include a pool of credit tenant loans, Moody's also used its credit-tenant lease ("CTL") financing methodological approach ("CTL" approach). Under Moody's CTL approach, the rating of a transaction's certificates is primarily based on the senior unsecured debt rating (or the corporate family rating) of the tenant, usually an investment grade rated company, leasing the real estate collateral supporting the bonds. This tenant's credit rating is the key factor in determining the probability of default on the underlying lease. The lease generally is "bondable", which means it is an absolute net lease, yielding fixed rent paid to the trust through a lock-box, sufficient under all circumstances to pay in full all interest and principal of the loan. The leased property should be owned by a bankruptcy-remote, special purpose borrower, which grants a first lien mortgage and assignment of rents to the securitization trust. The dark value of the collateral, which assumes the property is vacant or "dark", is then examined to determine a recovery rate upon a loan's default. Moody's also considers the overall structure and legal integrity of the transaction. For deals that include a pool of credit tenant loans, Moody's currently uses a Gaussian copula model, incorporated in its public CDO rating model CDOROMv2.8 to generate a portfolio loss distribution to assess the ratings, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.60 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit estimates is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit estimates in the same transaction. Moody's review also incorporated the CMBS IO calculator ver. 1.0, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 21, down from 22 at last review. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated March 30, 2011. DEAL PERFORMANCE As of the March 16, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 68% to $1.05 million from $3.72 billion at securitization. The Certificates are collateralized by 109 mortgage loans which range in size from less than 1% to 5% of the pool, with the top ten loans representing 22% of the pool. Thirty-six loans representing 60% of the deal have defeased and are collateralized with U.S. Government securities. Seven loans representing 3% of the pool are secured by credit tenant lease (CTL) loans. There are 12 loans, representing 8% of the pool on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty-seven loans have been liquidated from the pool since securitization, resulting in approximately an $82.5 million loss (40% average loss severity) compared to $81.2 million at last review. There is currently one loan representing less than 1% of the pool in special servicing. Moody's anticipates a loss on this loan. Moody's has assumed a high default probability for three poorly performing loan representing less than 1% of the pool and has estimated a $6.5 million loss (25% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2010 financials for 67%, and partial year 2011 financials for 85% of the pool's non-defeased and non-specially serviced loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 62% compared to 68% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.1%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.47X and 2.01X, respectively, compared to 1.44X and 1.88X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 13% of the pool balance. The largest loan is the FAC Realty II Loan ($57.5 million -- 4.8% of the pool), which is secured by 11 retail outlet stores located throughout the United States. The properties are located in North Carolina, Missouri, Florida, Nebraska, Alabama, Texas and Iowa. The loan matures in March, 2013. Moody's LTV and stressed DSCR are 57% and 1.91X, respectively, compared to 60% and 1.81X at last review. The second largest loan is the Forest City Atlantic Loan ($49.6 million -- 4.1% of the pool), which is secured by a 395,000 square foot (SF) retail center located in Brooklyn, New York. Tenants include Macy's, Pathmark and Best Buy. The property was 95% leased as of December 2011 compared to 98% at last review. Moody's LTV and stressed DSCR are 82% and 1.26X, respectively, compared to 77% and 1.34X at last review. The third largest loan is the HQ Plaza Loan ($43.8 million -- 3.6% of the pool), which is secured by a mixed use complex consisting of office (733,000 SF) and hotel (256 keys) located in Morristown, New Jersey. Performance has improved since last review due to an increase in occupancy for both the office and hotel portions. Moody's LTV and stressed DSCR are 48% and 2.35X, respectively, compared to 50% and 2.26X at last review. NORTH STREET: Moody's Cuts Ratings on Two Note Classes to 'Caa2' ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of two classes of notes issued by North Street Referenced Linked Notes, 2003-5 Ltd. The classes of notes affected by the rating action are as follows: US$50,000,000 Class A-1 Floating Rate Notes, Downgraded to Caa3 (sf); previously on May 21, 2010 Downgraded to Caa2 (sf); US$50,000,000 Class A-2 Floating Rate Notes, Downgraded to Caa3 (sf); previously on May 21, 2010 Downgraded to Caa2 (sf). Ratings Rationale According to Moody's, the rating downgrade action is the result of deterioration in the credit quality of the reference obligations. Credit deterioration is observed through an increase in the Moody's Weighted Average Rating Factor (WARF) and an increase in assets rated Caa1 or below. Based on the February 2012 trustee report, the Moody's WARF of the reference portfolio has increased to 1073 from 313 in May 2010 and reference obligations rated Caa1 or below increased to approximately 10.7% from 2.1% during the same period. North Street Reference Linked Notes, 2003-5 Ltd. is a synthetic collateralized debt obligation issuance that references a portfolio of primarily Residential Mortgage Backed Securities (RMBS) with the majority originated in 2003 and 2004. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in November 2010. Moody's analysis for this transaction is based on CDOROM v2.8. Moody's does not run a separate loss and cash flow analysis other than the one already done by the CDOROM model. For a description of the analysis, refer to the methodology and the CDOROM user's guide on Moody's website. Moody's notes that in arriving at its ratings of SF CDOs, there exist a number of sources of uncertainty, operating both on a macro level and on a transaction-specific level. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and the commercial and residential real estate property markets. While commercial real estate property markets are gaining momentum, a consistent upward trend will not be evident until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. Among the uncertainties in the residential real estate property market are those surrounding future housing prices, pace of residential mortgage foreclosures, loan modification and refinancing, unemployment rate and interest rates. 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 Caa-rated assets notched up by 2 rating notches: Class A-1: 0 Class A-2: 0 Moody's Caa-rated assets notched down by 2 rating notches: Class A-1: 0 Class A-2: 0 NYLIM FLATIRON: Moody's Raises Rating to Class D Notes to 'Ba1' --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by NYLIM Flatiron CLO 2004-1 LTD.: US$21,000,000 Class C Deferrable Floating Rate Notes Due 2016, Upgraded to Aa1 (sf), previously on July 14, 2011 Upgraded to Aa3 (sf); US$26,250,000 Class D Deferrable Floating Rate Notes Due 2016 (current outstanding balance of $24,501,068), Upgraded to Ba1 (sf), previously on July 14, 2011 Upgraded to Ba2 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes are primarily a result of delevering of the senior notes, which led to an increase in the transaction's overcollateralization ratios since the last rating action in July 2011. Moody's notes that the Class A Notes have been paid down by approximately 40% or $60.4 million since the last rating action. Based on the latest trustee report dated February 29, 2012, the Class A/B, Class C, and Class D overcollateralization ratios are reported at 179.8%, 138.2% and 108.8%, respectively, versus July 2011 levels of 144.07%, 124.05% and 106.75%, respectively. Notwithstanding benefits of the delevering, Moody's notes that the credit quality of the underlying portfolio has deteriorated since the last rating action. Based on the February 2012 trustee report, the weighted average rating factor is currently 2603 compared to 2470 in July 2011. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $127.2 million, no defaulted par, a weighted average default probability of 15.1% (implying a WARF of 2872), a weighted average recovery rate upon default of 49.45%, and a diversity score of 33. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. NYLIM FLATIRON CLO 2004-1 LTD., issued in October 2004, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2298) Class A: 0 Class B: 0 Class C: +1 Class D: +1 Moody's Adjusted WARF + 20% (3446) Class A: 0 Class B: 0 Class C: -1 Class D: 0 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2014 and 2016 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described below: 1) Delevering: The main source of uncertainty in this transaction is whether delevering from unscheduled principal proceeds will continue and at what pace. Delevering may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. PACIFIC COAST: Moody's Raises Rating on US$450MM Notes to 'Caa1' ---------------------------------------------------------------- Moody's Investors Service has upgraded the rating of the following notes issued by Pacific Coast CDO Ltd.: US$450,000,000 Class A First Priority Senior Secured Floating Rate Notes due 2036 (current outstanding balance of $52,623,446), Upgraded to Caa1 (sf); previously on March 26, 2009 Downgraded to Caa2 (sf). Ratings Rationale According to Moody's, the rating action taken on the notes is primarily a result of de-leveraging of the senior notes since the rating action in March 2009. Moody's notes that the Class A Notes have been paid down by approximately 53.2% or $59.8 million since the last rating action. Pacific Coast CDO Ltd, Limited, issued in February 2001, is a collateral debt obligation backed by a portfolio of ABS, MBS, and CMBS originated from 2001 to 2004. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in November 2010. Moody's applied the Monte Carlo simulation framework within CDOROMv2.8 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 the following: collateral cash flows, the transaction covenants, the priority of payments (waterfall) for interest and principal proceeds received from portfolio assets, reinvestment assumptions, the timing of defaults, interest-rate scenarios and foreign exchange risk (if present). The Expected Loss (EL) for each tranche is the weighted average of losses to each tranche across all the scenarios, where the weight is the likelihood of the scenario occurring. Moody's defines the loss as the shortfall in the present value of cash flows to the tranche relative to the present value of the promised cash flows. The present values are calculated using the promised tranche coupon rate as the discount rate. For floating rate tranches, the discount rate is based on the promised spread over Libor and the assumed Libor scenario. Moody's notes that in arriving at its ratings of SF CDOs, there exist a number of sources of uncertainty, operating both on a macro level and on a transaction-specific level. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and the commercial and residential real estate property markets. While commercial real estate property markets are gaining momentum, a consistent upward trend will not be evident until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. Among the uncertainties in the residential real estate property market are those surrounding future housing prices, pace of residential mortgage foreclosures, loan modification and refinancing, unemployment rate and interest rates. 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 Caa rated assets notched up by 2 rating notches: Class A: +3 Moody's Caa rated assets notched down by 2 rating notches: Class A: 0 SANTANDER DRIVE: Moody's Assigns 'Ba1' Rating to Class E Notes -------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the notes issued by Santander Drive Auto Receivables Trust 2012-2 (SDART 2012-2). This is the second public subprime transaction of the year for Santander Consumer USA Inc. (SCUSA). The complete rating actions are as follows: Issuer: Santander Drive Auto Receivables Trust 2012-2 Cl. A-1, Rated P-1 (sf) Cl. A-2, Rated Aaa (sf) Cl. A-3, Rated Aaa (sf) Cl. B, Rated Aa1 (sf) Cl. C, Rated Aa3 (sf) Cl. D, Rated Baa1 (sf) Cl. E, 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, and the experience and expertise of SCUSA as servicer. 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 SDART 2012- 2 pool is 15.0% and the Aaa level is 46%. The loss expectation was based on an analysis of SCUSA's portfolio vintage performance as well as performance of past securitizations, and current expectations for future economic conditions. The Assumption Volatility Score for this transaction is Low/Medium versus a Medium for the sector. This is driven by the a Low/Medium assessment for Governance due to the presence of a highly rated parent, Banco Santander (Aa3 RUR for possible downgrade/P-1), in addition to the size and strength of SCUSA'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 19.5%, 26% or 29%, the initial model output for the Class A notes might change from Aaa to Aa1, A1, and Baa1, respectively. If the net loss used in determining the initial rating were changed to 16.0%, 19.5% or 23.0%, the initial model output for the Class B notes might change from Aa1 to Aa2, A2, and Baa2, respectively. If the net loss used in determining the initial rating were changed to 15.25%, 17.0% or 20%, the initial model output for the Class C notes might change from Aa3 to A1, Baa1, and Ba1, respectively. If the net loss used in determining the initial rating were changed to 15.25%, 17.0% or 20.0%, the initial model output for the Class D notes might change from Baa1 to Baa2, Ba2, and B2, respectively. If the net loss used in determining the initial rating were changed to 15.25%, 16.5% or 18.5%, the initial model output for the Class E notes might change from Ba1 to Ba2, B2, and 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. SECURITY NAT'L 2005-A: Moody's Cuts Rating on B Notes to 'Caa3' --------------------------------------------------------------- Moody's Investors Service has downgraded one tranche issued by Security National Mortgage Loan Trust 2005-A. Security National Servicing Corporation is the servicer. A pool of miscellaneous loans, including residential and commercial mortgages, back the notes. As of the February 2012 distribution date, most of the residential mortgages had paid off or defaulted, and 43.7% of the pool balance consisted of commercial real estate mortgages. Commercial loans including those backed by accounts receivable, inventory, and furniture, fixtures and equipment, comprised approximately 33.8% of the outstanding pool balance. The complete rating action is as follows: Issuer: Security National Mortgage Loan Trust 2005-A Cl. B, Downgraded to Caa3 (sf); previously on Aug 3, 2011 Downgraded to Caa1 (sf) Ratings Rationale Higher than expected net losses and reduced credit enhancement available to support the affected notes caused the downgrade actions. Since the last rating action in August 2011, cumulative net losses increased to approximately 38.2% from approximately 29.6% as a percent of the original pool balance. Consequently, the total credit enhancement provided by a reserve account and overcollateralization decreased to 6.0% from 25.2% of the outstanding pool balance. The methodology used in these rating actions included projecting losses using a loan-by-loan analysis for approximately 96% of the pool. Moody's assessed the likelihood of each loan to default based on the levels of current delinquencies, business types, property locations, past payment histories, borrower's creditworthiness, and either appraisals or estimates of property market values. For the remaining portion of the pool, Moody's applied market recovery rates for each different collateral type to arrive at projected losses. Moody's current remaining expected net loss for the transaction is 24%-28% of the current pool balance. The expected loss on the pool was then examined in relation to available credit enhancement, including a reserve account and overcollateralization. Primary sources of uncertainty for this transaction are the general economic environment, commercial property and other underlying asset values, and the ability of the industries of the underlying collateral to recover from the recession. If the remaining expected net loss used in determining the ratings were increased to 40% of the current pool balance, the Class B notes may be downgraded. Other methodologies and factors that may have been considered in the process of rating these transactions can also be found on Moody's Web site. STRATA 2006-34: S&P Withdraws 'CCC-' Rating on Notes ---------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on the notes issued by Strata 2006-34 Ltd. and Strata 2007-1 Ltd. The rating withdrawals follow the receipt of termination and redemption agreement notices dated Feb. 4, 2012. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS WITHDRAWN Strata 2006-34 Ltd. Rating To From Nts NR CCC- (sf) Strata 2007-1 Ltd. Rating To From Nts NR B- (sf) NR - Not rated. WICKER PARK: S&P Raises Rating on Class B Notes to 'B+' ------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on three classes of notes from Wicker Park CDO I Ltd., a hybrid collateralized debt obligation (CDO) backed by a reference portfolio of corporate bonds and managed by Nueberger Berman Group LLC. "We affirmed our rating on one other class in the transaction," S&P said. "The rating actions reflect a decreased amount of 'CCC' rated obligations in the transaction to $12.5 million according to the February 2012 trustee report, from $30.0 million according to the May 2010 trustee report, which we used in our July 2010 rating action. In addition, the class A-1 note balance declined by $9.50 million to $864.84 million since the July 2010 rating action after the class failed its overcollateralization (O/C) tests. The O/C failures were mainly due to a 'B par reduction' amount which haircuts the ratio value based on the amount of 'B' rated assets in the portfolio. The upgrades reflect the overall improved credit quality of the transactions underlying asset portfolio, which has benefited the rated notes," S&P said. "The rating on the class C note is driven by the application of the largest obligor default test, a supplemental stress test we introduced as part of our 2009 corporate CDO criteria update. The affirmation reflects credit quality commensurate with class C's current rating level," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS Wicker Park CDO I Ltd. Rating Class To From A-1 A- (sf) BBB- (sf) A-2 BB (sf) B+ (sf) B B+ (sf) B- (sf) RATINGS AFFIRMED Wicker Park CDO I Ltd. Class Rating C CCC- (sf) * S&P Lowers Ratings on 427 Classes of Certificates to 'D' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 427 classes of mortgage pass-through certificates from 254 U.S. residential mortgage-backed securities (RMBS) transactions to 'D (sf)'. The transactions within this review were issued between 2001 and 2008. The complete rating list is available for free at: http://bankrupt.com/misc/S&P_RMBS_03222012.pdf "The downgrades reflect our assessment of the impact that principal write-downs had on the affected classes during recent remittance periods. Prior to 's rating actions, we rated all of the downgraded classes in this review 'CCC (sf)' or 'CC (sf)'," S&P said. Approximately 79.16% of the defaulted classes were from transactions backed by Alternative-A (Alt-A) or prime jumbo mortgage loan collateral. The 427 defaulted classes consist of: * 194 classes from Alt-A transactions (45.43% of all defaults); * 144 from prime jumbo transactions (33.72%); * 72 from subprime transactions (16.86%); * Three from resecuritized real estate mortgage investment conduit (re-REMIC) transactions; * Three from RMBS reperforming transactions; * Three from RMBS prime second lien transactions; * Three from small balance commercial loan transactions; * Two from RMBS risk transfer transactions; * One from an RMBS document deficient transaction; * One from an RMBS home equity line of credit (HELOC) transaction; and * One from an RMBS Federal Housing Administration/Veterans Affairs transaction. A combination of subordination, excess spread, and overcollateralization (where applicable) provide credit enhancement for all of the transactions in this review. Standard & Poor's will continue to monitor its ratings on securities that experience principal write-downs, and it will adjust its ratings as it considers appropriate in accordance with its criteria. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com * DBRS Takes Action on 44 U.S. RMBS Securities ---------------------------------------------- DBRS, Inc. has taken rating actions on 44 classes from 19 U.S. Residential Mortgage-Backed Securities (RMBS) transactions. Of the classes reviewed, 35 classes from 11 transactions were confirmed and removed from Under Review with Developing Implications (see "DBRS Places 6,566 Classes from 576 U.S. RMBS Transactions Under Review", published on January 23, 2012). All 44 classes from 19 transactions reviewed were then set to Discontinued - Repaid due to repayment of the bonds. Rating Action taken on March 23, 2012: Issuer Debt Rated Rating Action ------- ----------- ------------- Accredited Mortgage Loan Trust 2005-3 Asset-Backed Notes, Disc. -Repaid Series 2005-3, Class A-2C Aegis Asset Backed Securities Trust 2005-2 Mortgage-Backed Notes, Disc. -Repaid Series 2005-2, Class IA3 ASG Resecuritization Trust 2009-5 REMIC Notes, Confirmed AAA(sf) Series 2009-5, Class A30 ASG Resecuritization Trust 2009-5 REMIC Notes, Disc. -Repaid Series 2009-5, Class A30 ASG Resecuritization Trust 2009-5 REMIC Notes, Confirmed AAA(sf) Series 2009-5, Class G30 ASG Resecuritization Trust 2009-5 REMIC Notes, Disc. -Repaid Series 2009-5, Class G30 Banc of America Funding 2010-R5 Trust Mortgage Confirmed AAA(sf) Security-Backed Certificates, Class 5-A-1 Banc of America Funding 2010-R5 Trust Mortgage Disc.-Repaid Security-Backed Certificates, Class 5-A-1 Banc of America Funding 2010-R5 Trust Mortgage Confirmed AA(sf) Security-Backed Certificates, Class 5-A-2 Banc of America Funding 2010-R5 Trust Mortgage Disc. -Repaid Security-Backed Certificates, Class 5-A-2 Banc of America Funding 2010-R5 Trust Mortgage Confirmed A(sf) Security-Backed Certificates, Class 5-A-3 Banc of America Funding 2010-R5 Trust Mortgage Disc. -Repaid Security-Backed Certificates, Class 5-A-3 Banc of America Funding 2010-R5 Trust Mortgage Confirmed AA (sf) Security-Backed Certificates, Class 5-A-5 Banc of America Funding 2010-R5 Trust Mortgage Disc. - Repaid Security-Backed Certificates, Class 5-A-5 Banc of America Funding 2010-R5 Trust Mortgage Confirmed A (sf) Security-Backed Certificates, Class 5-A-6 Banc of America Funding 2010-R5 Trust Mortgage Disc.-Repaid Security-Backed Certificates, Class 5-A-6 BCAP LLC 2010-RR11 Trust Resecuritization Trust Confirmed AA(sf) Securities, Class 2A4 BCAP LLC 2010-RR11 Trust Resecuritization Trust Disc. - Repaid Securities, Class 2A4 BCAP LLC 2010-RR11 Trust Resecuritization Trust Confirmed A(sf) Securities, Class 2A6 BCAP LLC 2010-RR11 Trust Resecuritization Trust Disc. - Repaid Securities, Class 2A6 BCAP LLC 2010-RR4-I Trust Resecuritization Confirmed A(sf) Trust Securities, Class IV-A1 BCAP LLC 2010-RR4-I Trust Resecuritization Disc. - Repaid Trust Securities, Class IV-A1 BCAP LLC 2010-RR9 Trust Resecuritization Confirmed A(sf) Trust Securities, Class 2A3 BCAP LLC 2010-RR9 Trust Resecuritization Disc. - Repaid Trust Securities, Class 2A3 BCAP LLC 2010-RR9 Trust Resecuritization Trust Securities, Class 2A5 Confirmed A (sf) BCAP LLC 2010-RR9 Trust Resecuritization Trust Securities, Class 2A5 Disc.-Repaid BCAP LLC 2010-RR9 Trust Resecuritization Trust Securities, Class 2A6 Confirmed A (sf) BCAP LLC 2010-RR9 Trust Resecuritization Trust Securities, Class 2A6 Disc. - Repaid BNC Mortgage Loan Trust 2007-4 Mortgage Pass-Through Certificates, Series 2007-4, Class M6B Disc. - Repaid Citigroup Mortgage Loan Trust 2010-4 Resecuritization Trust Certificates, Series 2010-4, Class 1A3 Confirmed AA (sf) Citigroup Mortgage Loan Trust 2010-4 Resecuritization Trust Certificates, Series 2010-4, Class 1A3 Disc. -Repaid Citigroup Mortgage Loan Trust 2010-4 Resecuritization Trust Certificates, Series 2010-4, Class 1A4 Confirmed A (sf) Citigroup Mortgage Loan Trust 2010-4 Resecuritization Trust Certificates, Series 2010-4, Class 1A4 Disc. - Repaid DSLA Mortgage Loan Trust 2005-AR6 Mortgage Pass-Through Certificates, Series 2005 AR6, Class 1A-1B Disc. - Repaid GMAC GSAP 2011-1 Series 2011-1, Class A Notes Disc. - Repaid GMACM Mortgage Loan Trust 2010-1 Mortgage Loan-Backed Notes, Series 2010-1, Class A Confirmed A (sf) GMACM Mortgage Loan Trust 2010-1 Mortgage Loan-Backed Notes, Series 2010-1, Class A Disc. - Repaid J.P. Morgan Mortgage Trust 2006-S1 Mortgage Pass-Through Certificates, Series 2006-S1, Class 3-A-5 Confirmed BB (sf) J.P. Morgan Mortgage Trust 2006-S1 Mortgage Pass-Through Certificates, Series 2006-S1, Class 3-A-5 Disc. - Repaid Jefferies Resecuritization Trust 2009-R8 Jefferies Resecuritization Trust 2009-R8, Class 13-A2 Confirmed BBB(sf) Jefferies Resecuritization Trust 2009-R8 Jefferies Resecuritization Trust 2009-R8, Class 13-A2 Disc. - Repaid Jefferies Resecuritization Trust 2009-R8 Jefferies Resecuritization Trust 2009-R8, Class 14-A1 Confirmed A (sf) Jefferies Resecuritization Trust 2009-R8 Jefferies Resecuritization Trust 2009-R8, Class 14-A1 Disc. - Repaid Jefferies Resecuritization Trust 2009-R8 Jefferies Resecuritization Trust 2009-R8, Class 14-AZ Confirmed A (sf) Jefferies Resecuritization Trust 2009-R8 Jefferies Resecuritization Trust 2009-R8, Class 14-AZ Disc. - Repaid Jefferies Resecuritization Trust 2009-R8 Jefferies Resecuritization Trust 2009-R8, Class 3-A1 Confirmed A (sf) Jefferies Resecuritization Trust 2009-R8 Jefferies Resecuritization Trust 2009-R8, Class 3-A1 Disc. - Repaid Jefferies Resecuritization Trust 2009-R8 Jefferies Resecuritization Trust 2009-R8, Class 3-AZ Confirmed A (sf) Jefferies Resecuritization Trust 2009-R8 Jefferies Resecuritization Trust 2009-R8, Class 3-AZ Disc. - Repaid MASTR Asset Backed Securities Trust 2005-WMC1 Mortgage Pass-Through Certificates, Series 2005-WMC1, Class M-1 Confirmed AA(high)(sf) MASTR Asset Backed Securities Trust 2005-WMC1 Mortgage Pass-Through Certificates, Series 2005-WMC1, Class M-1 Disc.-Repaid RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Certificates, Class 15-B Confirmed B (sf) RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Certificates, Class 15-B Disc.-Repaid RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Certificates, Class 19-B Confirmed BB(low)(sf) RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Certificates, Class 19-B Disc.-Repaid RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Certificates, Class 23-B Confirmed CCC (sf) RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Certificates, Class 23-B Disc.-Repaid RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Certificates, Class 24-B Confirmed CCC (sf) RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Certificates, Class 24-B Disc.-Repaid RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Certificates, Class 25-B Confirmed CCC (sf) RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Certificates, Class 25-B Disc.-Repaid RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Certificates, Class 29-B Confirmed CCC (sf) RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Certificates, Class 29-B Disc.-Repaid RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Certificates, Class 31-B Confirmed CCC (sf) RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Certificates, Class 31-B Disc.-Repaid RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Certificates, Class 36-B Confirmed CCC(sf) RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Certificates, Class 36-B Disc.-Repaid RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Certificates, Class 3-B Confirmed B(high)(sf) RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Certificates, Class 3-B Disc.-Repaid RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Certificates, Class 5-B Confirmed CCC(sf) RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Certificates, Class 5-B Disc.-Repaid RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Notes, Class 23-A Confirmed AAA(sf) RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Notes, Class 23-A Disc.-Repaid RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Notes, Class 25-A Confirmed AAA(sf) RBSSP Resecuritization Trust 2009-4 RBSSP Resecuritization Trust 2009-4 Notes, Class 25-A Disc. - Repaid SG Mortgage Securities Trust 2006-OPT2 Asset-Backed Certificates, Series 2006-OPT2, Class A-3A Disc.-Repaid Soundview Home Loan Trust 2007-OPT1 Potential Interest Rate Swap Termination Payment Disc. - Repaid Supplemental Interest Trust, Lehman XS Trust Mortgage Pass-Through Certificates, Series 2007-3 Group 1 Potential Interest Rate Swap Termination Payment Disc. - Repaid Supplemental Interest Trust, Lehman XS Trust Mortgage Pass-Through Certificates, Series 2007-3 Group 2 Potential Interest Rate Swap Termination Payment Disc. - Repaid * S&P Raises Ratings on 22 Tranches From 16 U.S. Synthetic CDOs --------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on 22 tranches from 16 corporate-backed synthetic collateralized debt obligation (CDO) transactions and removed them from CreditWatch with positive implications. "In addition, we lowered one rating from one synthetic CDO transaction backed by residential mortgage- backed securities (RMBS) and removed it from CreditWatch with negative implications and lowered 23 ratings from 15 corporate- backed synthetic CDO transactions and removed one from CreditWatch with negative implications. Furthermore, we affirmed five ratings from five synthetic CDO transactions and removed one from CreditWatch with negative implications and withdrew one rating from one corporate-backed synthetic CDO transaction after receiving a termination notice," S&P said. "The upgrades are from synthetic CDOs that experienced a combination of upward rating migration in their underlying reference portfolios, seasoning of the underlying reference names and an increase in the synthetic rated overcollateralization (SROC) ratios above 100% at higher rating levels as of the March review and at our projection of the SROC ratios in 90 days assuming no credit migration. The downgrades were from synthetic CDOs that had experienced negative rating migration in their underlying reference portfolios or had reductions to the credit enhancement available to them. Cloverie PLC Series 2005-56 and ABSpoke 2005-VIA Ltd.'s rating actions took into account our updated criteria for structured finance-backed CDOs. The affirmations are from synthetic CDOs that had appropriate credit support at their current rating levels," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS ABSpoke 2005-VIA Ltd. Rating Class To From VFRN CCC- (sf) CCC- (sf)/Watch Neg ARLO IX Ltd. PASCAL SERIES 2007 Rating Class To From PS 2007 BB+ (sf) BB- (sf)/Watch Pos Bank of Nova Scotia EUR30 mil 6.42% Managed Portfolio Credit Linked Note (ISIN NO. XS0308238004); 6.42% Managed Portfolio Credit Linked Note (ISIN NO. XS0308238004) Rating Class To From CLN CCC- (sf) CCC- (sf) CLN CC (sf) CCC- (sf) Cloverie PLC Series 2005-55 Rating Class To From Notes CC (sf) CCC- (sf) Cloverie PLC Series 2005-56 Rating Class To From A BB+ (sf) A- (sf)/Watch Neg Corsair (Jersey) No. 4 Ltd. Series 13 Rating Class To From Notes CCC- (sf) CCC- (sf) Credit Default Swap US$10 mil Swap Risk Rating Portfolio - CDS Reference # C1304925M Rating Class To From Swap CCsrp (sf) CCC-srp (sf) Credit Default Swap US$10 mil Swap Risk Rating Portfolio - CDS Reference # C1315268M Rating Class To From Swap CCsrp (sf) CCC-srp (sf) Credit Default Swap US$187.5 mil Swap Risk Rating - Portfolio CDS Ref No. PYR_8631051_82386541_Zicavo Rating Class To From Swap AA-srp (sf) A+srp (sf)/Watch Pos Credit Default Swap US$50 mil Swap Risk Rating Portfolio - CDS Reference # C1355189M Rating Class To From Swap CCsrp (sf) CCC-srp (sf) Credit Default Swap US$500 mil Credit Default Swap - CRA700426 Rating Class To From Swap AA-srp (sf) A+srp (sf)/Watch Pos Credit Default Swap US$500 mil Credit Default Swap - CRA700436 Rating Class To From Swap AA-srp (sf) A+srp (sf)/Watch Pos Credit Sail Ltd. Series 2006-1 Rating Class To From Dp (sf) CCp (sf) Credit-Linked Trust Certificates Series 2005-I Rating Class To From 2005-I-H AA- (sf) A+ (sf)/Watch Pos 2005-I-I A+ (sf) A- (sf)/Watch Pos 2005-I-J A- (sf) BBB+ (sf)/Watch Pos Greylock Synthetic CDO 2006 Series 1 Rating Class To From A1A-$LS BBB- (sf) BB+ (sf)/Watch Pos A3-$LMS BB+ (sf) BB (sf)/Watch Pos Greylock Synthetic CDO 2006 Series 4 Rating Class To From A1�LS BBB- (sf) BB+ (sf)/Watch Pos Infiniti SPC Ltd. EUR16.4 mil, US$178 mil Kenmore Street Synthetic CDO 2006-2 Segregated Portfolio Rating Class To From 7A-1 D (sf) CCC- (sf) Lorally CDO Limited Series 2007-3 Rating Class To From 2007-3 A (sf) A- (sf)/Watch Pos Momentum CDO (Europe) Ltd. Series 2006-16 Rating Class To From D (sf) CC (sf) Morgan Stanley ACES SPC Series 2006-9 Rating Class To From IA B+ (sf) CCC- (sf)/Watch Pos Morgan Stanley ACES SPC Series 2007-22 Rating Class To From IA AAA (sf) AA+ (sf)/Watch Pos Morgan Stanley ACES SPC Series 2008-3 Rating Class To From Notes AA+ (sf) BBB+ (sf)/Watch Pos Morgan Stanley ACES SPC Series 2008-8 Rating Class To From IA AA- (sf) A+ (sf)/Watch Pos Morgan Stanley Managed ACES SPC Series 2005-1 Rating Class To From I A A+ (sf) A (sf)/Watch Pos Morgan Stanley Managed ACES SPC Series 2006-4 Rating Class To From IA A+ (sf) A (sf)/Watch Pos IB A+ (sf) A (sf)/Watch Pos IIIA BB+ (sf) BB- (sf)/Watch Pos IIIB BB (sf) BB- (sf)/Watch Pos PARCS Master Trust US$5 mil Parcs Master Trust, Class 2007-18 Piedmont Units, Due 2017 Rating Class To From Trust Unit CCC- (sf) CCC- (sf) PARCS-R Master Trust Series 2008-3 Rating Class To From Trust Unit D (sf) CCC- (sf) Primoris SPC Ltd. Series C3-7 Rating Class To From Notes CC (sf) CCC- (sf) Primoris SPC Ltd. Series A1-7 Rating Class To From Notes CC (sf) CCC- (sf) Primoris SPC Ltd. Series A2-7 Rating Class To From Notes CC (sf) CCC- (sf) Primoris SPC Ltd. Series A5-7 Rating Class To From Notes CC (sf) CCC- (sf) Primoris SPC Ltd. Series A6-7 Rating Class To From Notes CC (sf) CCC- (sf) Primoris SPC Ltd. Series B1-7 Rating Class To From Notes CC (sf) CCC- (sf) Primoris SPC Ltd. Series D3-10 Rating Class To From Notes CC (sf) CCC- (sf) Primoris SPC Ltd. Series E3-7 Rating Class To From Notes CC (sf) CCC- (sf) Primoris SPC Ltd Series F1-10 Rating Class To From Notes CC (sf) CCC- (sf) Primoris SPC Ltd Series A1-7-2 Rating Class To From Notes CC (sf) CCC- (sf) Primoris SPC Ltd Series B2-10-2 Rating Class To From Notes CC (sf) CCC- (sf) Primoris SPC Ltd Series D1-7-2 Rating Class To From Notes CC (sf) CCC- (sf) REVE SPC EUR15 mil, �3 bil, US$81 mil REVE SPC Segregated Portfolio of Dryden XVII Notes Series 34, 36, 37, 38, 39, & 40 Rating Class To From Series 37 CCC+ (sf) B- (sf)/Watch Neg Rutland Rated Investments US$25 mil Rutland Rated Investments Rumson 2007-2 Series 42 Rating Class To From A1-L1 B (sf) CCC- (sf)/Watch Pos STEERS Credit Linked Trust Minoa Tranche Series 2006-1 Rating Class To From Trust Cert CCC- (sf) CCC- (sf) STEERS Credit Linked Trust, Bespoke Credit Tranche Series 2005-6 Rating Class To From Trust Cert B+ (sf) B (sf)/Watch Pos TIERS Derby Synthetic CDO Floating Rate Credit Linked Trust 2007-12 Rating Class To From Certs NR (sf) CCC- (sf) * S&P Cuts 51 Classes Ratings From 52 US RMBS Transactions to 'D' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 148 classes, including 51 lowered to 'D (sf)', from 43 U.S. residential mortgage-backed securities (RMBS) transactions issued between 1991 and 2008 and removed 82 of them from CreditWatch with negative implications. "Concurrently, we affirmed our ratings on 182 classes from 33 of the transactions with lowered ratings as well as seven other transactions and removed 32 of those ratings from CreditWatch negative. We also lowered our ratings on three classes from two other transactions and subsequently withdrew the ratings due to the small number of loans remaining and the potential for performance volatility. Additionally, we withdrew our ratings on nine classes under our interest-only criteria and on two classes because they have been paid in full. Each of the transactions in this review has had at least one class that has experienced interest shortfalls," S&P said. "Over the past several years, interest shortfalls have become more prevalent within U.S. RMBS. Standard & Poor's attributes this to several factors that can affect cash flows including: (i) the reimbursement by servicers of prior advances deemed nonrecoverable; (ii) the cessation of servicer advances on delinquent loans; (iii) reimbursements for prior advances when loans are modified and amounts are capitalized on the loan balance; and (iv) significant deterioration in credit quality and the resulting impact on structures that become undercollateralized and unable to generate sufficient interest to make the applicable security payments," S&P said. "We applied the recently updated criteria as set forth in 'Methodology For Assessing the Impact of Interest Shortfalls on U.S. RMBS,' published March 28, 2012. The updated criteria continue to impose a maximum rating threshold on classes that have incurred interest shortfalls. As a result, we lowered 91 ratings by an average of six notches. However, for certain classes with delayed reimbursement provisions, the updates to the criteria limited the impact of interest shortfalls on the rating. For other classes that do not have delayed reimbursement provisions, large rating movements nevertheless occurred because those classes had experienced interest shortfalls that were outstanding for longer than 12 months. We also applied the applicable criteria listed under 'Related Criteria And Research' contingent on the type of RMBS," S&P said. "In applying the criteria mentioned above, we looked to reimbursement provisions within each payment waterfall for the applicable RMBS in order to determine if the reimbursement provisions were more immediate, or delayed. In instances where the RMBS had immediate reimbursement provisions, we used the length of time a shortfall remained unpaid, and the amount of the shortfall as part of our analysis. In instances where the RMBS did not have immediate reimbursement provisions, or delayed reimbursement, we did not factor into our analysis the length of time a shortfall was outstanding but rather the number of times a shortfall occurred if certain conditions were met (interest accrues on the outstanding amount, the collateral performance would have provided for reimbursement had immediate reimbursement provisions existed, and our projections show reimbursement)," S&P said. S&P lowered its ratings on the transactions, which contain immediate reimbursement provisions, due to interest shortfalls: American Home Mortgage Investment Trust 2004-1, Series 2004-1 Bayview Commercial Asset Trust 2007-2, Series 2007-2 Bayview Commercial Asset Trust 2007-4, Series 2007-4 Bayview Commercial Asset Trust 2007-5, Series 2007-5 Bayview Commercial Asset Trust 2007-6, Series 2007-6 Bayview Commercial Asset Trust 2008-1, Series 2008-1 Bayview Commercial Asset Trust 2008-2, Series 2008-2 Bayview Commercial Asset Trust 2008-3, Series 2008-3 Bayview Commercial Asset Trust 2008-4, Series 2008-4 Bayview Financial Mortgage Pass-Through Trust 2007-B, Series 2007- B Carrington Mortgage Loan Trust, Series 2005-FRE1, Series 2005-FRE1 Credit Suisse First Boston Mortgage Securities Corp., Series 2003- 27 Merrill Lynch Mortgage Investors Trust Series MLCC 2006-2, Series 2006-2 Option One Mortgage Loan Trust 2007-FXD1, Series 2007-FXD1 Ryland Mortgage Securities Corp., Series 1991-15 Structured Asset Securities Corp., Series 2003-26A "We lowered our ratings on certain securities from Bayview Commercial Asset Trust 2007-5, 2007-6, and 2008-2 to 'D (sf)' from 'AAA (sf)'," S&P said. "For these transactions, cash available to pay interest has been depleted because of poor collateral performance. Additionally, these transactions generally have a decreased amount of cash available to pay current bond interest because of swap agreements and interest only certificates that have a higher priority within the waterfall. As a result, certain securities within these transactions have experienced ongoing interest shortfalls that exceed the tolerance levels set forth in the applicable criteria," S&P said. Conversely, S&P lowered its ratings on these transactions, which contain delayed reimbursement provisions, due to interest shortfalls: Aames Mortgage Trust 2001-1, Series 2001-1 Bear Stearns Asset Backed Securities I Trust 2005-HE11, Series 2005-HE11 Bear Stearns Asset Backed Securities I Trust 2006-HE1, Series 2006-HE1 GSAMP Trust 2004-SD1, Series 2004-SD1 MASTR Asset Backed Securities Trust 2004-FRE1, Series 2004-FRE1 Merrill Lynch Mortgage Investors Inc., Series 2002-NC1 Merrill Lynch Mortgage Investors Trust, Series 2004-WMC3, Series 2004-WMC3 Quest Trust 2003-X2, Series 2003-X2 Quest Trust 2003-X3, Series 2003-X3 Quest Trust 2004-X2, Series 2004-X2 "We lowered our ratings on certain mezzanine securities from Bear Stearns Asset Backed Securities I Trust 2005-HE11 and 2006-HE1 to 'D (sf)' due to interest shortfalls that occurred in January 2011 and have yet to be reimbursed. Our cash flow analysis indicates that these classes could have been reimbursed but this would only have occurred after the certificate balances were paid in full. However, the documents for these transactions have specific language prohibiting any distributions of prior shortfalls to a certificate once that certificate's balance has been reduced to zero," S&P said. "In some instances, the classes with lowered ratings have not experienced ongoing interest shortfalls for several months. However, due to the inability of such transactions to repay prior shortfalls and the uncertainty about whether they will ever be repaid, the lowered ratings reflect our view of the current creditworthiness of each security. If interest shortfalls are temporary and not expected to recur, Standard & Poor's may raise the rating once interest shortfalls have been fully reimbursed and the appropriate credit characteristics are evident," S&P said. "In addition to applying the appropriate rating threshold based on our interest shortfall criteria, in order to assess the creditworthiness of each class, we compared our lifetime loss projections against each class' projected credit support and its ability to withstand additional credit deterioration. Therefore, to the extent that interest shortfalls did not contribute to the lowered rating, the lowered ratings reflect our belief that projected credit enhancement for the affected classes will be insufficient to cover the projected losses we applied at the previous rating levels. Conversely, the rating affirmations reflect our belief that projected credit enhancement for these classes will be sufficient to cover our projected losses at these rating levels," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS C-BASS Mortgage Loan Asset Backed Certificates, Series 2002-CB5 Series 2002-CB5 Rating Class CUSIP To From M-1 12489WFS8 BB- (sf) AA- (sf)/Watch Neg M-2 12489WFT6 CCC (sf) B- (sf)/Watch Neg Aames Mortgage Trust 2001-1 Series 2001-1 Rating Class CUSIP To From A-2 00253CGM3 NR AAA (sf) M-2 00253CGQ4 BB+ (sf) A (sf)/Watch Neg ACE Securities Corp. Home Equity Loan Trust, Series 2005-RM2 Series 2005-RM2 Rating Class CUSIP To From M-2 004421NU3 AA (sf) AA (sf)/Watch Neg M-3 004421NV1 AA (sf) AA (sf)/Watch Neg M-4 004421NW9 BB+ (sf) BB+ (sf)/Watch Neg M-6 004421NY5 CC (sf) CCC (sf) ACE Securities Corp. Home Equity Loan Trust, Series 2005-SD2 Series 2005-SD2 Rating Class CUSIP To From M-1 004421QE6 AA (sf) AA (sf)/Watch Neg M-2 004421QF3 A (sf) A (sf)/Watch Neg M-3 004421QG1 B- (sf) B (sf)/Watch Neg American Home Mortgage Investment Trust 2004-1 Series 2004-1 Rating Class CUSIP To From IV-A 02660TAR4 AA+ (sf) AAA (sf)/Watch Neg III-M-1 02660TAP8 BB+ (sf) AA (sf) IV-M-1 02660TAS2 B- (sf) BB- (sf)/Watch Neg I-M-2 02660TAG8 BB+ (sf) A (sf) IV-M-2 02660TAT0 CCC (sf) B- (sf)/Watch Neg Ameriquest Mortgage Securities Inc. Series 2003-AR3 Rating Class CUSIP To From M-5 03072SHK4 B- (sf) B+ (sf)/Watch Neg Ameriquest Mortgage Securities Inc. Series 2004-IA1 Rating Class CUSIP To From M-2 03072SVC6 BBB- (sf) AA- (sf)/Watch Neg M-3 03072SVD4 B- (sf) BB+ (sf)/Watch Neg Argent Securities Inc. Series 2004-W11 Rating Class CUSIP To From M-2 040104MF5 AA+ (sf) AA+ (sf)/Watch Neg M-3 040104MG3 BBB+ (sf) BBB+ (sf)/Watch Neg M-4 040104MJ7 B (sf) B (sf)/Watch Neg Bayview Commercial Asset Trust 2004-3 Series 2004-3 Rating Class CUSIP To From M-2 07324SBA9 A (sf) A (sf)/Watch Neg B-1 07324SBB7 BBB+ (sf) BBB+ (sf)/Watch Neg B-2 07324SBC5 BBB- (sf) BBB+ (sf)/Watch Neg Bayview Commercial Asset Trust 2007-2 Series 2007-2 Rating Class CUSIP To From IO 07325XAN0 NR AAA (sf)/Watch Neg A-1 07325XAA8 BB+ (sf) AAA (sf)/Watch Neg B-1 07325XAJ9 CC (sf) CCC (sf) Bayview Commercial Asset Trust 2007-4 Series 2007-4 Rating Class CUSIP To From IO 07326BAM9 NR AA (sf)/Watch Neg A-1 07326BAA5 D (sf) AA (sf)/Watch Neg Bayview Commercial Asset Trust 2007-5 Series 2007-5 Rating Class CUSIP To From IO 07325WAA0 NR AAA (sf)/Watch Neg A-2 07325WAC6 D (sf) AAA (sf)/Watch Neg A-3 07325WAD4 D (sf) AAA (sf)/Watch Neg A-4 07325WAE2 D (sf) B (sf)/Watch Neg M-1 07325WAF9 D (sf) CCC (sf) M-2 07325WAG7 D (sf) CCC (sf) M-3 07325WAH5 D (sf) CCC (sf) M-4 07325WAJ1 D (sf) CCC (sf) Bayview Commercial Asset Trust 2007-6 Series 2007-6 Rating Class CUSIP To From IO 07326FAA6 NR AAA (sf)/Watch Neg A-2 07326FAC2 D (sf) AAA (sf)/Watch Neg A-3A 07326FAD0 D (sf) AAA (sf)/Watch Neg A-3B 07326FAT5 D (sf) AAA (sf)/Watch Neg A-4A 07326FAE8 D (sf) AA (sf)/Watch Neg A-4B 07326FAU2 D (sf) AA (sf)/Watch Neg M-1 07326FAF5 D (sf) CCC (sf) M-2 07326FAG3 D (sf) CCC (sf) M-3 07326FAH1 D (sf) CCC (sf) M-4 07326FAJ7 D (sf) CCC (sf) M-5 07326FAK4 D (sf) CCC (sf) Bayview Commercial Asset Trust 2008-1 Series 2008-1 Rating Class CUSIP To From IO 07324AAA9 AA+ (sf) AAA (sf)/Watch Neg A-2A 07324AAC5 AA+ (sf) AAA (sf)/Watch Neg A-2B 07324AAD3 AA+ (sf) AAA (sf)/Watch Neg A-3 07324AAE1 AA+ (sf) AAA (sf)/Watch Neg A-4 07324AAF8 AA (sf) AAA (sf)/Watch Neg M-1 07324AAG6 CCC (sf) BB (sf)/Watch Neg M-2 07324AAH4 CCC (sf) B (sf)/Watch Neg M-6 07324AAM3 CC (sf) CCC (sf) Bayview Commercial Asset Trust 2008-2 Series 2008-2 Rating Class CUSIP To From IO 07326HAA2 NR AAA (sf)/Watch Neg SIO 07326HAB0 NR AAA (sf)/Watch Neg A-1 07326HAC8 D (sf) AAA (sf)/Watch Neg A-2 07326HAE4 D (sf) BBB (sf)/Watch Neg A-3 07326HAH7 D (sf) BBB (sf)/Watch Neg A-4A 07326HAJ3 D (sf) BBB (sf)/Watch Neg A-4B 07326HAK0 D (sf) BBB (sf)/Watch Neg M-1 07326HAL8 D (sf) CCC (sf) M-2 07326HAM6 D (sf) CCC (sf) M-3 07326HAN4 D (sf) CCC (sf) M-4 07326HAP9 D (sf) CCC (sf) M-5 07326HAQ7 D (sf) CCC (sf) M-6 07326HAR5 D (sf) CCC (sf) B-1 07326HAS3 CC (sf) CCC (sf) B-2 07326HAT1 CC (sf) CCC (sf) Bayview Commercial Asset Trust 2008-3 Series 2008-3 Rating Class CUSIP To From IO 07326JAA8 NR AAA (sf)/Watch Neg SIO 07326JAB6 NR AAA (sf)/Watch Neg A-1 07326JAC4 BB+ (sf) AAA (sf)/Watch Neg A-2 07326JAD2 CCC (sf) A (sf)/Watch Neg A-3 07326JAE0 CCC (sf) BBB (sf)/Watch Neg A-4 07326JAF7 CCC (sf) BBB (sf)/Watch Neg M-4 07326JAK6 D (sf) CCC (sf) M-5 07326JAL4 D (sf) CCC (sf) M-6 07326JAM2 D (sf) CCC (sf) B-1 07326JAN0 CC (sf) CCC (sf) B-2 07326JAP5 CC (sf) CCC (sf) Bayview Commercial Asset Trust 2008-4 Series 2008-4 Rating Class CUSIP To From SIO 07326KAA5 NR AAA (sf) A-1 07326KAB3 NR AAA (sf)/Watch Neg A-2 07326KAC1 BBB+ (sf) AAA (sf)/Watch Neg A-3 07326KAD9 BBB+ (sf) AAA (sf)/Watch Neg A-4 07326KAE7 BBB+ (sf) AAA (sf)/Watch Neg M-1 07326KAF4 BB (sf) AA (sf)/Watch Neg M-2 07326KAG2 CCC (sf) BBB (sf)/Watch Neg M-3 07326KAH0 CCC (sf) BBB (sf)/Watch Neg M-4 07326KAJ6 CCC (sf) B (sf) Bayview Financial Mortgage Pass-Through Trust 2007-B Series 2007-B Rating Class CUSIP To From 1-A1 07324FAB6 B+ (sf) AAA (sf)/Watch Neg 2-A1 07324FAG5 B+ (sf) AAA (sf)/Watch Neg 2-A2 07324FAH3 B- (sf) B- (sf)/Watch Neg Bear Stearns Asset Backed Securities I Trust 2005-HE11 Series 2005-HE11 Rating Class CUSIP To From M-1 0738793N6 D (sf) AA+ (sf)/Watch Neg M-2 0738793P1 D (sf) AA (sf)/Watch Neg M-3 0738793Q9 D (sf) CCC (sf) M-4 0738793R7 D (sf) CC (sf) M-5 0738793S5 D (sf) CCC (sf) Bear Stearns Asset Backed Securities I Trust 2006-HE1 Series 2006-HE1 Rating Class CUSIP To From II-M-1 07387UBR1 D (sf) AA+ (sf)/Watch Neg II-M-2 07387UBS9 D (sf) AA+ (sf)/Watch Neg II-M-3 07387UBT7 D (sf) CCC (sf) II-M-4 07387UBU4 D (sf) CC (sf) II-M-5 07387UBV2 D (sf) CCC (sf) Carrington Mortgage Loan Trust, Series 2004-NC2 Series 2004-NC2 Rating Class CUSIP To From M-3 144531AS9 CC (sf) CCC (sf) M-1 144531AQ3 AA (sf) AA (sf)/Watch Neg Carrington Mortgage Loan Trust, Series 2005-FRE1 Series 2005-FRE1 Rating Class CUSIP To From A-3 144531EB2 AA+ (sf) AAA (sf) A-4 144531EC0 AA+ (sf) AAA (sf) A-5 144531ED8 AA+ (sf) AAA (sf) A-6 144531EE6 AA+ (sf) AAA (sf) M-1 144531EF3 BBB+ (sf) AA (sf)/Watch Neg M-2 144531EG1 B- (sf) BBB (sf)/Watch Neg M-4 144531EJ5 CC (sf) CCC (sf) M-5 144531EK2 CC (sf) CCC (sf) M-6 144531EL0 CC (sf) CCC (sf) Credit Suisse First Boston Mortgage Securities Corp. Series 2003-27 Rating Class CUSIP To From VIII-A-1 22541QQ39 AA+ (sf) AAA (sf)/Watch Neg IX-A-1 22541QQ47 AA+ (sf) AAA (sf)/Watch Neg C-B-1 22541QR79 BB (sf) BB+ (sf) D-B-1 22541QS29 B (sf) B+ (sf) C-B-2 22541QR87 CCC (sf) B- (sf) D-B-2 22541QS37 CC (sf) CCC (sf) EMC Mortgage Loan Trust 2004-A Series 2004-A Rating Class CUSIP To From A-3 268668DC1 A- (sf) A (sf) M-1 268668DD9 CCC (sf) B (sf)/Watch Neg M-2 268668DE7 CC (sf) CCC (sf) Fieldstone Mortgage Investment Trust Series 2005-1 Series 2005-1 Rating Class CUSIP To From M4 31659TDD4 A+ (sf) A+ (sf)/Watch Neg M5 31659TDE2 A (sf) A (sf)/Watch Neg GSAMP Trust 2004-SD1 Series 2004-SD1 Rating Class CUSIP To From M-1 36242DAX1 AA (sf) AA (sf)/Watch Neg M-2 36242DAY9 BB+ (sf) A (sf)/Watch Neg B-1 36242DAZ6 CC (sf) CCC (sf) B-2 36242DBA0 CC (sf) CCC (sf) GSAMP Trust 2005-HE2 Series 2005-HE2 Rating Class CUSIP To From M-1 36242DA52 A (sf) A (sf)/Watch Neg GSRPM Mortgage Loan Trust 2003-2 Series 2003-2 Rating Class CUSIP To From M-2 36228FWK8 B (sf) B (sf)/Watch Neg Home Equity Mortgage Loan Asset-Backed Trust, Series INABS 2005-A Series 2005-A Rating Class CUSIP To From M-6 43708AAW2 B- (sf) BB- (sf)/Watch Neg M-8 43708AAY8 CC (sf) CCC (sf) Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2003-A Series SPMD2003-A Rating Class CUSIP To From MV-1 456606EC2 B- (sf) B- (sf)/Watch Neg MV-2 456606ED0 CC (sf) CCC (sf) Homeside Mortgage Securities, Inc. Series 1998-2 Class CUSIP To Interim From IA-1 437609AV2 NR BB (sf) BB (sf) IIA-1 437609BE9 NR BB (sf) BB (sf) HSI Asset Securitization Corporation Trust 2005-OPT1 Series 2005-OPT1 Rating Class CUSIP To From M-1 40430HCA4 B- (sf) B- (sf)/Watch Neg M-2 40430HCB2 CC (sf) CCC (sf) MASTR Adjustable Rate Mortgages Trust 2002-3 Series 2002-3 Rating Class CUSIP To From B-1 576433BQ8 B (sf) B (sf)/Watch Neg MASTR Adjustable Rate Mortgages Trust 2004-14 Series 2004-14 Rating Class CUSIP To From B-1 576433VD5 BB+ (sf) BBB (sf) MASTR Asset Backed Securities Trust 2004-FRE1 Series 2004-FRE1 Rating Class CUSIP To From M-4 57643LDX1 BB+ (sf) A+ (sf)/Watch Neg M-5 57643LDY9 B+ (sf) A (sf)/Watch Neg M-6 57643LDZ6 CCC (sf) A- (sf)/Watch Neg M-7 57643LEA0 CCC (sf) BBB (sf)/Watch Neg M-8 57643LEB8 D (sf) CC (sf) Meritage Mortgage Loan Trust 2005-2 Series 2005-2 Rating Class CUSIP To From M-2 59001FCS8 B- (sf) B- (sf)/Watch Neg Merrill Lynch Mortgage Investors Inc. Series 2002-NC1 Rating Class CUSIP To From M-1 589929ZE1 BBB+ (sf) AA (sf)/Watch Neg M-2 589929ZF8 B- (sf) B- (sf)/Watch Neg Merrill Lynch Mortgage Investors Trust Series MLCC 2006-2 Series 2006-2 Rating Class CUSIP To From III-A 590219AF8 AA+ (sf) AAA (sf)/Watch Neg IV-A 590219AG6 AA+ (sf) AAA (sf)/Watch Neg M-2 590219AK7 CC (sf) CCC (sf) Merrill Lynch Mortgage Investors Trust, Series 2004-WMC3 Series 2004-WMC3 Rating Class CUSIP To From M-3 59020UCQ6 BB+ (sf) A+ (sf)/Watch Neg Morgan Stanley Home Equity Loan Trust 2005-4 Series 2005-4 Rating Class CUSIP To From M-1 61744CVJ2 BB (sf) A- (sf)/Watch Neg Option One Mortgage Loan Trust 2007-FXD1 Series 2007-FXD1 Rating Class CUSIP To From I-A-1 68402VAA0 D (sf) CC (sf) II-A-1 68402VAB8 D (sf) CC (sf) III-A-2 68402VAD4 D (sf) CCC (sf) III-A-3 68402VAE2 D (sf) CCC (sf) III-A-4 68402VAF9 D (sf) CCC (sf) III-A-5 68402VAG7 D (sf) CCC (sf) III-A-6 68402VAH5 D (sf) CC (sf) Quest Trust 2003-X2 Series 2003-X2 Rating Class CUSIP To From M-2 03072SHP3 CCC (sf) AA (sf)/Watch Neg Quest Trust 2003-X3 Series 2003-X3 Rating Class CUSIP To From M-2 03072SKE4 BB+ (sf) AA (sf)/Watch Neg M-3 03072SKF1 B+ (sf) BBB (sf)/Watch Neg Quest Trust 2003-X4 Series 2003-X4 Rating Class CUSIP To From M-1 03072SMH5 AA- (sf) AA- (sf)/Watch Neg Quest Trust 2004-X2 Series 2004-X2 Rating Class CUSIP To From M-2 03072SSX4 BBB+ (sf) A (sf)/Watch Neg M-3 03072SSY2 CCC (sf) B- (sf)/Watch Neg Quest Trust 2004-X3 Series 2004-X3 Rating Class CUSIP To From M-1 03072SWC5 AA (sf) AA (sf)/Watch Neg M-2 03072SWD3 A (sf) A (sf)/Watch Neg M-3 03072SWE1 CCC (sf) B (sf)/Watch Neg Quest Trust 2005-X1 Series 2005-X1 Rating Class CUSIP To From M-2 03072SZK4 A (sf) A (sf)/Watch Neg M-3 03072SZL2 A- (sf) A- (sf)/Watch Neg M-4 03072SZM0 BB (sf) BBB- (sf)/Watch Neg Ryland Mortgage Securities Corp. Series 1991-15 Rating Class CUSIP To From B 783766GV4 D (sf) B (sf)/Watch Neg Soundview Home Equity Loan Trust 2005-2 Series 2005-2 Rating Class CUSIP To From M-2 83611MER5 AA (sf) AA (sf)/Watch Neg M-3 83611MES3 AA- (sf) AA- (sf)/Watch Neg M-4 83611MET1 A+ (sf) A+ (sf)/Watch Neg M-5 83611MEU8 A (sf) A (sf)/Watch Neg M-6 83611MEV6 BB (sf) BBB- (sf)/Watch Neg M-8 83611MEX2 CC (sf) CCC (sf) Structured Asset Mortgage Investments Trust 2002-3 Series 2002-3 Rating Class CUSIP To Interim From CC 86358HNF2 NR BB (sf) AAA (sf)/Watch Neg Structured Asset Securities Corp. Series 2003-26A Rating Class CUSIP To From 1A 86359AS20 A+ (sf) AAA (sf)/Watch Neg 2-A 86359AS46 BBB+ (sf) AAA (sf)/Watch Neg 3-A1 86359AS53 A+ (sf) AAA (sf)/Watch Neg 3-A5 86359AS95 A+ (sf) AAA (sf)/Watch Neg 4-A 86359AT52 AA+ (sf) AAA (sf)/Watch Neg 5-A 86359AT78 AA+ (sf) AAA (sf)/Watch Neg 6-A 86359AT86 A+ (sf) AAA (sf)/Watch Neg 7-A 86359AU35 AA+ (sf) AAA (sf)/Watch Neg B1-II 86359AU84 CC (sf) CCC (sf) Wachovia Mortgage Loan Trust, LLC Series 2005-WMC1 Rating Class CUSIP To From M-1 92977YAX9 A+ (sf) A+ (sf)/Watch Neg M-2 92977YAY7 CC (sf) CCC (sf) RATINGS AFFIRMED C-BASS Mortgage Loan Asset Backed Certificates, Series 2002-CB5 Series 2002-CB5 Class CUSIP Rating AF-3 12489WFP4 AAA (sf) B-1 12489WFU3 CC (sf) Aames Mortgage Trust 2001-1 Series 2001-1 Class CUSIP Rating M-1 00253CGP6 AA+ (sf) ACE Securities Corp. Home Equity Loan Trust, Series 2005-RM2 Series 2005-RM2 Class CUSIP Rating M-5 004421NX7 CCC (sf) ACE Securities Corp. Home Equity Loan Trust, Series 2005-SD2 Series 2005-SD2 Class CUSIP Rating M-4 004421QH9 CCC (sf) M-5 004421QJ5 CC (sf) American Home Mortgage Investment Trust 2004-1 Series 2004-1 Class CUSIP Rating I-A 02660TAE3 AAA (sf) II-A 02660TAJ2 AAA (sf) III-A 02660TAN3 AAA (sf) I-M-1 02660TAF0 AA (sf) II-M-1 02660TAK9 BB (sf) II-M-2 02660TAL7 CCC (sf) III-M-2 02660TAQ6 CCC (sf) I-M-3 02660TAH6 CCC (sf) II-M-3 02660TAM5 CCC (sf) IV-M-3 02660TAU7 CCC (sf) Ameriquest Mortgage Securities Inc. Series 2003-AR3 Class CUSIP Rating M-2 03072SHG3 A+ (sf) M-3 03072SHH1 A (sf) M-4 03072SHJ7 BBB+ (sf) Ameriquest Mortgage Securities Inc. Series 2004-IA1 Class CUSIP Rating M-1 03072SVB8 AAA (sf) Argent Securities Inc. Series 2004-W11 Class CUSIP Rating M-1 040104ME8 AA+ (sf) M-5 040104MK4 CCC (sf) M-6 040104ML2 CC (sf) M-7 040104MM0 CC (sf) Bayview Commercial Asset Trust 2004-3 Series 2004-3 Class CUSIP Rating A-1 07324SAX0 AAA (sf) M-1 07324SAZ5 AA (sf) Bayview Commercial Asset Trust 2008-1 Series 2008-1 Class CUSIP Rating M-3 07324AAJ0 CCC (sf) M-4 07324AAK7 CCC (sf) M-5 07324AAL5 CCC (sf) Bayview Commercial Asset Trust 2008-3 Series 2008-3 Class CUSIP Rating M-1 07326JAG5 CCC (sf) M-2 07326JAH3 CCC (sf) M-3 07326JAJ9 CCC (sf) Bayview Commercial Asset Trust 2008-4 Series 2008-4 Class CUSIP Rating M-5 07326KAK3 CCC (sf) M-6 07326KAL1 CCC (sf) B-1 07326KAM9 CCC (sf) B-2 07326KAN7 CCC (sf) Bayview Financial Mortgage Pass-Through Trust 2007-B Series 2007-B Class CUSIP Rating 1-A2 07324FAC4 CCC (sf) 1-A3 07324FAD2 CCC (sf) 1-A4 07324FAE0 CCC (sf) 1-A5 07324FAF7 CCC (sf) 2-A3 07324FAJ9 CCC (sf) 2-A4 07324FAK6 CCC (sf) Bear Stearns Asset Backed Securities I Trust 2005-HE11 Series 2005-HE11 Class CUSIP Rating A-2 0738793L0 AAA (sf) A-3 0738793M8 AAA (sf) Bear Stearns Asset Backed Securities I Trust 2006-HE1 Series 2006-HE1 Class CUSIP Rating I-A-2 0738796M5 AAA (sf) I-A-3 0738796N3 AAA (sf) I-M-1 0738796P8 BBB+ (sf) I-M-2 0738796Q6 B- (sf) I-M-3 0738796R4 CCC (sf) I-M-4 0738796S2 CC (sf) I-M-5 0738796T0 CC (sf) I-M-6 0738796U7 CC (sf) II-A-2 07387UBP5 AAA (sf) II-A-3 07387UBQ3 AAA (sf) Carrington Mortgage Loan Trust, Series 2004-NC2 Series 2004-NC2 Class CUSIP Rating M-2 144531AR1 CCC (sf) M-4 144531AT7 CC (sf) Carrington Mortgage Loan Trust, Series 2005-FRE1 Series 2005-FRE1 Class CUSIP Rating M-3 144531EH9 CCC (sf) Credit Suisse First Boston Mortgage Securities Corp. Series 2003-27 Class CUSIP Rating I-A-2 22541QK68 AAA (sf) I-A-3 22541QK76 AAA (sf) I-A-4 22541QK84 AAA (sf) II-A-1 22541QK92 AAA (sf) III-A-1 22541QL26 AAA (sf) III-A-2 22541QL34 AAA (sf) V-A-2 22541QP63 AAA (sf) V-A-3 22541QP71 AAA (sf) V-A-4 22541QP89 AAA (sf) II-X 22541QQ54 AAA (sf) C-X 22541QQ88 AAA (sf) II-P 22541QR20 AAA (sf) A-P 22541QR53 AAA (sf) IV-A-3 22541QL67 AAA (sf) IV-A-4 22541QL75 AAA (sf) IV-A-5 22541QL83 AAA (sf) IV-A-6 22541QL91 AAA (sf) IV-A-7 22541QM25 AAA (sf) IV-A-8 22541QM33 AAA (sf) IV-A-9 22541QM41 AAA (sf) IV-A-15 22541QN24 AAA (sf) IV-A-16 22541QN32 AAA (sf) IV-A-17 22541QN40 AAA (sf) VI-A-1 22541QP97 AAA (sf) VII-A-1 22541QQ21 AAA (sf) IV-X 22541QQ62 AAA (sf) VI-X 22541QQ70 AAA (sf) D-X 22541QQ96 AAA (sf) IV-P 22541QR38 AAA (sf) VI-P 22541QR46 AAA (sf) D-P 22541QR61 AAA (sf) D-B-3 22541QS45 CC (sf) C-B-3 22541QR95 CC (sf) C-B-4 22541QJ78 CC (sf) C-B-5 22541QJ86 CC (sf) EMC Mortgage Loan Trust 2004-A Series 2004-A Class CUSIP Rating B 268668DS6 CC (sf) Fieldstone Mortgage Investment Trust Series 2005-1 Series 2005-1 Class CUSIP Rating M6 31659TDF9 CCC (sf) M7 31659TDG7 CC (sf) GSAMP Trust 2005-HE2 Series 2005-HE2 Class CUSIP Rating M-2 36242DA60 CC (sf) M-3 36242DA78 CC (sf) B-1 36242DA86 CC (sf) GSRPM Mortgage Loan Trust 2003-2 Series 2003-2 Class CUSIP Rating A-1 36228FWH5 AAA (sf) M-1 36228FWJ1 AA (sf) B-1 36228FWL6 CC (sf) Home Equity Mortgage Loan Asset-Backed Trust, Series INABS 2005-A Series 2005-A Class CUSIP Rating M-1 43708AAR3 AA+ (sf) M-2 43708AAS1 AA (sf) M-3 43708AAT9 AA (sf) M-4 43708AAU6 AA- (sf) M-5 43708AAV4 BBB+ (sf) M-7 43708AAX0 CC (sf) M-9 43708AAZ5 CC (sf) Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2003-A Series SPMD2003-A Class CUSIP Rating AF-4 456606DV1 A- (sf) AF-5 456606DW9 AA- (sf) AV-2 456606EB4 AAA (sf) MV-3 456606EE8 CC (sf) MV-5 456606EG3 CC (sf) BV 456606EH1 CC (sf) HSI Asset Securitization Corporation Trust 2005-OPT1 Series 2005-OPT1 Class CUSIP Rating A-3 40430HBY3 AAA (sf) A-4 40430HBZ0 AAA (sf) M-3 40430HCC0 CC (sf) M-4 40430HCD8 CC (sf) M-5 40430HCE6 CC (sf) MASTR Adjustable Rate Mortgages Trust 2002-3 Series 2002-3 Class CUSIP Rating 1-A-1 576433BH8 BB (sf) 3-A-1 576433BL9 BB (sf) 4-A-1 576433BM7 BB (sf) B-2 576433BR6 CCC (sf) MASTR Adjustable Rate Mortgages Trust 2004-14 Series 2004-14 Class CUSIP Rating M-1 576433VB9 AA (sf) M-2 576433VC7 A (sf) B-2 576433VE3 CC (sf) Meritage Mortgage Loan Trust 2005-2 Series 2005-2 Class CUSIP Rating M-3 59001FCT6 CCC (sf) M-4 59001FCU3 CC (sf) Merrill Lynch Mortgage Investors Inc. Series 2002-NC1 Class CUSIP Rating B-1 589929ZC5 CC (sf) Merrill Lynch Mortgage Investors Trust Series MLCC 2006-2 Series 2006-2 Class CUSIP Rating I-A 590219AD3 AA (sf) II-A 590219AE1 AA (sf) M-1 590219AJ0 B+ (sf) M-3 590219AL5 CC (sf) Merrill Lynch Mortgage Investors Trust, Series 2004-WMC3 Series 2004-WMC3 Class CUSIP Rating M-2 59020UCP8 AA (sf) B-1 59020UCR4 CC (sf) Morgan Stanley Home Equity Loan Trust 2005-4 Series 2005-4 Class CUSIP Rating A-1 61744CVE3 AAA (sf) A-2c 61744CVH6 AAA (sf) M-2 61744CVK9 CC (sf) Quest Trust 2003-X4 Series 2003-X4 Class CUSIP Rating M-2 03072SMJ1 CC (sf) Quest Trust 2004-X2 Series 2004-X2 Class CUSIP Rating M-4 03072SSZ9 CC (sf) Quest Trust 2004-X3 Series 2004-X3 Class CUSIP Rating M-4 03072SWF8 CC (sf) Quest Trust 2005-X1 Series 2005-X1 Class CUSIP Rating M-1 03072SZJ7 AA (sf) M-5 03072SZN8 CCC (sf) M-6 03072SZP3 CC (sf) Soundview Home Equity Loan Trust 2005-2 Series 2005-2 Class CUSIP Rating M-7 83611MEW4 CCC (sf) Structured Asset Securities Corp. Series 2003-26A Class CUSIP Rating B1-I 86359AU43 CCC (sf) B2-1 86359AU68 CC (sf) B2-II 86359AU92 CC (sf) B3 86359AV26 CC (sf) Wachovia Mortgage Loan Trust, LLC Series 2005-WMC1 Class CUSIP Rating A-4 92977YAW1 AAA (sf) ********* 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, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2012. 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 ***