/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/120520.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, May 20, 2012, Vol. 16, No. 139 Headlines 505 CLO I: S&P Affirms 'BB' Rating on Class D Notes ACA CLO 2005-1: S&P Affirms 'BB-' Rating on Class B-2L Notes ACCREDITED MORTGAGE: Moody's Cuts Ratings on 2 RMBS Tranches to C ACE SECURITIES: Moody's Cuts Rating on Class M-2 Tranche to 'B3' ADVANTA BUSINESS: S&P Lowers Ratings on 7 Classes to 'CC' AERCO LIMITED: Moody's Lowers Ratings on Two Note Classes to 'C' ALPHARETTA, GA: Fitch Cuts Rating on $18MM Revenue Bonds to 'CC' AMERIQUEST MORTGAGE: Moody's Corrects March 29 Ratings Release AMERIQUEST MORTGAGE: Moody's Cuts Ratings on 4 RMBS Tranches to C AMMC CLO III: S&P Hikes Rating on Class D Notes to 'B+'; Off Watch ARCAP 2003-1: S&P Lowers Ratings on 3 Certificate Classes to 'D' ARCAP 2004-1: S&P Affirms 'CCC-' Class F & Grantor Cert. Ratings ARES XVIII: S&P Raises Ratings on 2 Classes From 'BB+' ATLAS SENIOR: S&P Assigns 'B' Rating on Class B-3L Notes AURUM CLO 2002-1: Moody's Hikes Ratings on 2 Note Classes to 'Ba1' AVENUE CLO III: S&P Raises Rating on Class B1L Notes to 'BB+' BABSON CLO 2008-II: S&P Withdraws 'BB+' Rating on Class E Notes BABSON CLO 2012-II: S&P Gives 'BB' Rating on Class D Notes BANC OF AMERICA: Fitch Affirms 'D' Rating on $34.8MM Loans BANC OF AMERICA: Moody's Lowers Ratings on 2 RMBS Tranches to 'C' BANC OF AMERICA: Fitch Downgrades Ratings on Seven Cert. Classes BAYVIEW FINANCIAL: Moody's Reviews 'Ca' Rating on Cl. M-2 Tranche BEAR STEARNS: Fitch Cuts Rating on $13.3MM H Certificates to CCsf BRASCAN REAL 2005-2: S&P Affirms 'B+' Rating on Class E Notes CENTURION CDO 8: S&P Raises Rating on Class D Notes to 'B-' CHL MORTGAGE: Moody's Lowers Ratings on 2 RMBS Tranches to 'C' COMM 2001-J2: S&P Lowers Rating on Class G Certificates to 'B-' COMM 2012-CCRE1: Moody's Assigns '(P) B2' Rating to Cl. G Certs. COMM MORTGAGE: Fitch Downgrades Rating on 5 Certificate Classes COMSTOCK FUNDING: S&P Raises Rating on Class D Notes to 'BB+' DIVERSIFIED GLOBAL: Moody's Raises Rating on Class C Notes to B1 FLAGSHIP CLO III: S&P Raises Rating on Class D Notes to 'BB+' FIRST NATIONAL: S&P Affirms 'BB' Ratings on 2 Note Series FRIEDBERGMILSTEIN PRIVATE: S&P Hikes Ratings on 2 Classes to 'BB+' FRONTIER EQUIPMENT: Moody's Cuts Rating on Class A Notes to 'C' GALAXY IV: Moody's Upgrades Ratings on Two Note Classes to 'Ba1' GE CAPITAL: Fitch Affirms 'Dsf' Rating on $5.5MM Class H Certs GEM VIII: Moody's Hikes Rating on US$600MM Q-3 Notes From 'Ba1' GRANITE VENTURES III: S&P Affirms 'B+' Rating on Class D Notes GREENWICH CAPITAL: Performance Declines Cue Fitch to Cut Ratings GREYLOCK SYNTHETIC: Moody's Lifts Rating on $87MM Notes to 'B3' GS MORTGAGE: Moody's Affirms Rating on Class X Certs. at 'Ba3' GS MORTGAGE: Moody's Assigns '(P)B2' Rating to Class F Certs. JPMCM 2003-ML1: Fitch Affirms 'B-sf' Rating on $4.6MM Cl. N Certs KATONAH V: Moody's Upgrades Rating on Class C Notes to 'Ba2' KINDER MORGAN 2002-6: S&P Affirms 'BB' Rating on $10.5MM Certs. KINGSLAND V: S&P Raises Rating on Class E Notes to 'B'; Off Watch LIGHTPOINT CLO IV: S&P Raises Rating on Class C Notes From 'BB+' LONG POINT RE III: S&P Gives 'BB+' Rating on Class A Notes MASTR ASSET: Moody's Upgrades Rating on Cl. A-6 Notes From 'Ba1' MERRILL LYNCH 2003-WMC1: Moody's Hikes B-1 Tranche Rating to Caa3 MORGAN STANLEY 1999-FNV1: Fitch Affirms Junk Rating on $7MM Certs. MORGAN STANLEY 2004-HQ4: S&P Lowers Rating on Class H to 'CCC-' MORTGAGE CAPITAL: Fitch Affirms 'CCC' Rating on $7.6MM Cl. K Certs N-STAR REAL: Moody's Lowers Rating on Class B Notes to 'Caa3' NORTHWOODS CAPITAL VII: S&P Hikes Rating on Class E Notes to 'BB+' NYLIM STRATFORD: Fitch Affirms Junk Rating on Three Note Classes PACIFIC BEACON: Fitch Affirms Rating on $56-Mil. Bonds at 'BB' PREFERRED TERM: Moody's Lifts Rating on $341MM Notes to 'Caa2' PUTNAM STRUCTURED: Moody's Affirms 'Caa3' Rating on Cl. A-2 Notes REAL ESTATE 2004-1: DBRS Confirms 'B' Rating on Class L Loans REAL ESTATE 2007-1: DBRS Confirms 'B(low)' Rating on Cl. L Loans SALOMON BROTHERS: Loses Prompts Fitch to Cut Ratings of 3 Certs. SALOMON MORTGAGE: Moody's Cuts Rating on Cl. B-2 Tranche to Caa3 SLM STUDENT 2004-2: Fitch Keeps BBsf Rating on Subordinate Notes SLM STUDENT 2004-5: Fitch Keeps BBsf Rating on Subordinate Notes SLM STUDENT 2004-8: Fitch Keeps BBsf Rating on Subordinate Notes SLM STUDENT 2004-10: Fitch Keeps BBsf Rating on Subordinate Notes SLM STUDENT 2008-1: Fitch Keeps BBsf Rating on Subordinate Notes SIGNATURE 7: Moody's Upgrades Rating on Class C Notes From 'Ba3' SOLAR TRUST 2003-CC1: DBRS Confirms 'B' Rating on Class K Loans STARWOOD VACATION 2005-A: Moody's Reviews 'B2' Rating on D Notes STRUCTURED ASSET: Moody's Cuts Ratings on 2 RMBS Tranches to 'C' SUGAR CREEK: Moody's Assigns '(P)Ba2' Rating to Class E Notes TIAA CMBS I: Fitch Affirms 'BB' Ratings on 2 Certificate Classes TRALEE CDO I: S&P Affirms 'B+' Rating on Class D Notes TRIMARAN CLO V: S&P Raises Rating on Class E Notes to 'B+' VENTURE V: Moody's Lifts Rating on $11.5MM Notes to 'B1(sf)' VENTURE X: Moody's Assigns '(P)Ba2' Rating to $13MM Class E Notes VENTURE X: S&P Gives 'BB-' Rating on Class F Deferrable Notes VERITAS CLO II: Moody's Hikes Rating on Class D Notes From 'Ba1' WHITEHORSE I: S&P Affirms 'BB-' Rating on Class B-1L Notes ZAIS INVESTMENT: Moody's Lifts Ratings on 2 Note Classes to 'Ba1' * Fitch Affirms 114 Distressed Bonds in 23 CMBS Transactions * Fitch Lowers Rating on 35 Bonds in 24 CMBS Transactions to 'D' * Fitch Downgrades Rating on 11 Bonds in Nine CRE CDOs to 'D' * Fitch Downgrades Rating on 276 Distressed Bonds to 'Dsf' * Moody's Takes Rating Actions on $33 Million Subprime RMBS * S&P Places Ratings on 16 Tranches From 9 CDos on Watch Positive * S&P Lowers Ratings on 15 Classes From 6 RMBS Transactions * S&P Raises Ratings on 12 Tranches From 9 U.S. TruPs CDO Deals * S&P Lowers Ratings on 9 Classes From US CMBS Transactions to 'D' * S&P Lowers Ratings on 668 Classes From 319 RMBS Deals to 'D' * S&P Lowers Ratings on 490 Classes From 17 US RMBS Transactions ********* 505 CLO I: S&P Affirms 'BB' Rating on Class D Notes --------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B and C notes from 505 CLO I Ltd., a collateralized loan obligation (CLO) transaction managed by CIT Asset Management LLC, and removed them from CreditWatch with positive implications. At the same time we affirmed the rating on the class D notes and withdrew our rating on the class A notes," S&P said. "The rating actions follow our performance review of the transaction and reflect the full paydown of the class A notes and $29.0 million in paydowns to the class B notes since our September 2011 rating actions, when we raised our ratings on the class B and C notes. Since our September 2011 rating actions, the transaction has paid down $338 million to the class A and B notes, causing the class B, C, and D overcollateralization (O/C) ratios to increase to 462%, 288%, and 222%," S&P said. "As of the April 2012 trustee report, the class D interest coverage test was failing and class D notes had accumulated $4.0 million in deferred interest. We affirmed the rating on the class D notes because it continues to defer interest and has sufficient of credit support at the current rating level," S&P said. "We withdrew our rating on the class A notes after the transaction paid down the notes in full on the April 16, 2012, payment date," 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 to support them 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 RATING AND CREDITWATCH ACTIONS 505 CLO I Ltd. Rating Class To From A NR AAA (sf) B AAA (sf) A+ (sf)/Watch Pos C AA+ (sf) A (sf)/Watch Pos NR-Not rated. RATING AFFIRMED 505 CLO I Ltd. Rating D BB (sf) ACA CLO 2005-1: S&P Affirms 'BB-' Rating on Class B-2L Notes ------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on four classes of notes from ACA CLO 2005-1 Ltd., a collateralized loan obligation (CLO) transaction backed by corporate loans. Apidos Capital Management LLC manages the transaction. "At the same time, we removed the ratings from CreditWatch with positive implications, where we placed them on April 18, 2012. We also affirmed our rating on one other class from the transaction and removed it from CreditWatch with positive implications," S&P said. The upgrades reflect principal payments to the class A-1L notes and improved credit quality within the transaction's underlying asset portfolio. The affirmation reflects credit support commensurate with the class's current rating level. "This transaction entered its amortization phase in October 2011. The transaction has paid down the class A-1L notes by $36.21 million since we lowered our ratings on the classes in February 2010. The class A-1L balance is now $179.21 million, which is 82.97% of its original balance. According to the April 2012 trustee report, the amount of defaulted assets within the asset portfolio decreased to $3.54 million from $10.32 million reported in the January 2010 trustee report, which we used for our February 2010 actions," S&P said. "Over the same time period, the amount of 'CCC' rated assets decreased to $5.33 million from $33.99 million. Due to these factors, the overcollateralization (O/C) ratios increased for the class A, B-1L, and B-2L notes," 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 Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS ACA CLO 2005-1 Ltd. Rating Class To From A-1L AAA (sf) AA+ (sf)/Watch Pos A-2L AA+ (sf) AA- (sf)/Watch Pos A-3L A+ (sf) A- (sf)/Watch Pos B-1L BBB (sf) BB+ (sf)/Watch Pos B-2L BB- (sf) BB- (sf)/Watch Pos ACCREDITED MORTGAGE: Moody's Cuts Ratings on 2 RMBS Tranches to C ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 24 tranches, upgraded the ratings of five tranches, and confirmed the rating of one tranche from six RMBS transactions backed by Subprime loans issued by Accredited Mortgage Loan Trust. Ratings Rationale The actions are a result of the recent performance review of Subprime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The rating actions reflect recent collateral performance, Moody's updated loss timing curves and detailed analysis of timing and amount of credit enhancement released due to step-down. Moody's captures structural nuances by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variations across the different pools and the structure of the transaction. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (11% for all vintages 2004 and prior). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The volatility of pool performance increases as the number of loans remaining in the pool decreases. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication listed above. When assigning the final ratings to senior bonds, in addition to the methodologies described, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). Certain securities are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Moody's Macroeconomic Board and Moody's Analytics (MA) still expect a below-trend growth for the US economy for 2012, with the unemployment rate remaining high between 8% to 9% and home prices dropping another 2-3% from the levels seen in 1Q 2011. Complete rating actions are as follows: Issuer: Accredited Mortgage Loan Trust 2002-1 Cl. A-1, Upgraded to Ba1 (sf); previously on Mar 24, 2011 Downgraded to B2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-2, Upgraded to A3 (sf); previously on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Upgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Accredited Mortgage Loan Trust 2002-2 Cl. A-1, Downgraded to Caa1 (sf); previously on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-2, Upgraded to Ba3 (sf); previously on Mar 24, 2011 Downgraded to B1 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-3, Upgraded to A2 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Accredited Mortgage Loan Trust 2003-1 Cl. A-1, Downgraded to Caa1 (sf); previously on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Accredited Mortgage Loan Trust 2003-2, Asset-Backed Notes, Series 2003-2 Cl. A-1, Downgraded to B3 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-2, Upgraded to Ba3 (sf); previously on Mar 24, 2011 Downgraded to B3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Accredited Mortgage Loan Trust 2004-3, Asset-Backed Notes, Series 2004-3 Cl. 1A4, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. 1A5, Downgraded to Baa1 (sf); previously on Jan 31, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. 1A6, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. 1M1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade Cl. 1M2, Downgraded to Caa2 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. 1M3, Downgraded to C (sf); previously on Mar 24, 2011 Downgraded to Ca (sf) Cl. 1M4, Downgraded to C (sf); previously on Mar 24, 2011 Downgraded to Ca (sf) Cl. 2A2, Confirmed at Aaa (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. 2A5, Downgraded to A1 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. 2A6, Downgraded to Baa2 (sf); previously on Jan 31, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. 2M1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Downgrade Cl. 2M2, Downgraded to Ba3 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. 2M3, Downgraded to B3 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. 2M4, Downgraded to Caa3 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. 2M5, Downgraded to Ca (sf); previously on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Downgrade Cl. 2M6, Downgraded to Ca (sf); previously on Mar 24, 2011 Downgraded to Caa3 (sf) Issuer: Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4 Cl. A-1B, Downgraded to Aa2 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. A-2C, Downgraded to A1 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. A-2D, Downgraded to Aa1 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. M-1, Downgraded to Baa3 (sf); previously on Jan 31, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Downgraded to B3 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. M-3, Downgraded to Caa3 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade A list of these actions including CUSIP identifiers may be found at http://moodys.com/viewresearchdoc.aspx?docid=PBS_SF285490 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255 ACE SECURITIES: Moody's Cuts Rating on Class M-2 Tranche to 'B3' ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of three tranches, backed by Subprime loans, issued by ACE Securities Corporation Home Equity Loan 1999-LB2. Complete rating actions are as follows: Issuer: ACE Securities Corp. Home Equity Loan 1999-LB2 A, Downgraded to A1 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade M-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade M-2, Downgraded to B3 (sf); previously on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade Ratings Rationale The actions are a result of the recent performance review of Subprime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The rating actions reflect recent collateral performance, Moody's updated loss timing curves and detailed analysis of timing and amount of credit enhancement released due to step-down. Moody's captures structural nuances by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variations across the different pools and the structure of the transaction. When assigning the final ratings to senior bonds, in addition to the methodologies described, Moody's considered the volatility of the projected losses and timeline of the expected defaults. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Moody's Macroeconomic Board and Moody's Analytics (MA) still expect a below-trend growth for the US economy for 2012, with the unemployment rate remaining high between 8% to 9% and home prices dropping another 2-3% from the levels seen in 1Q 2011. A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF284749 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255 ADVANTA BUSINESS: S&P Lowers Ratings on 7 Classes to 'CC' --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes and affirmed its ratings on five classes issued out of the Advanta Business Card Master Trust. "The rating actions conclude our recent review of credit card asset-backed securities (ABS) deals backed by bankcard receivables for the U.S. bank credit card ABS that we rate. As of the April 2012 payment date, the original class A invested amount of $2.8 billion had been fully repaid. The transaction has written down the class C and D notes to zero, leaving just the class B notes to receive principal payments and absorb losses (approximately 4.1% of the original class B note balance has been written down as of April 2012)," S&P said. "These principal write-downs reflect insufficient monthly allocable finance charge collections available to cover investor default amounts allocated to the trust. We currently expect that the class B notes will continue to experience principal write- downs given the trust's current performance. Despite these write- down amounts, the class B, C, and D noteholders are currently receiving full and timely interest based on their outstanding principal note balance. We expect this to continue until the earlier of their respective legal maturity dates or the date on which the sum of the adjusted invested amount (generally principal note balance adjusted for principal payments and write downs) for all classes of notes equal zero," 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 LOWERED Advanta Business Card Master Trust Rating Class To From B(2005-B1) CC (sf) CCC- (sf) B(2006-B1) CC (sf) CCC- (sf) B(2006-B2) CC (sf) CCC- (sf) B(2007-B1) CC (sf) CCC- (sf) B(2007-B2) CC (sf) CCC- (sf) C(2004-C1) CC (sf) CCC- (sf) C(2006-C1) CC (sf) CCC- (sf) RATINGS AFFIRMED Advanta Business Card Master Trust Class Rating D(2004-D1) CC (sf) D(2006-D1) CC (sf) D(2006-D2) CC (sf) D(2006-D3) CC (sf) D(2007-D1) CC (sf) AERCO LIMITED: Moody's Lowers Ratings on Two Note Classes to 'C' ---------------------------------------------------------------- Moody's Investors Service has downgraded three classes of pooled aircraft lease-backed notes issued by AerCo Limited Trust. The complete rating action is as follows: Issuer: AerCo Limited Trust Class A-3, Downgraded to B2 (sf); previously on February 23, 2007; Downgraded to Ba3 (sf) Class B-1, Downgraded to C (sf); previously on February 23, 2007; Downgraded to Caa3 (sf) Class B-2, Downgraded to C (sf); previously on February 23, 2007; Downgraded to Caa3 (sf) Ratings Rationale The downgrades were primarily driven by the relatively weakened value and performance of the aircraft portfolio relative to the previous ratings. Class A-3 is behind on its minimum principal by $92 million on its April 16, 2012, payment distribution, reflecting revenue decline, and Moody's expects no further interest and principal distributions to Class B,C and D notes. The current portfolio of aircraft backing the AerCo Notes comprises a large number of older-vintage aircraft; a segment which has experienced accelerated decline in demand and lease rates as a result of the global recession. The current loan-to-value (LTV) ratio, based on the April Adjusted Portfolio Value of the aircraft portfolio, is 153% on the Class B Notes, indicating a remote chance for any possible recovery for this Bond. The LTV ratio on the Class A Notes is 108%. Following the refinancing of the vehicle in 2000 the notes were backed by a pool of 63 aircraft. As of March 31, 2012, the portfolio comprised of 22 aircraft, four airframe and six engines with a total appraised base value of approximately $220 million. The principal methodology used in this rating was "Moody's Approach to Pooled Aircraft-Backed Securitization" published in March 1999. ALPHARETTA, GA: Fitch Cuts Rating on $18MM Revenue Bonds to 'CC' ---------------------------------------------------------------- Fitch Ratings has downgraded the rating on the $18.9 million of Development Authority of Alpharetta, Georgia (DAA) educational facilities revenue bonds (Fulton Science Academy project) (the bonds) to 'CC' from 'B'. The bonds remain on Rating Watch Negative. Fitch has also withdrawn the ratings as Fulton Science Academy has chosen to stop participating in the rating process. Therefore, Fitch will no longer have sufficient information to maintain the ratings. Accordingly, Fitch will no longer provide ratings or analytical coverage for Fulton Science Academy. SECURITY Joint and several general obligation of Fulton Science Academy (FSA), payable from all legally available revenues and secured by a first mortgage lien on the new campus. FSA (or the schools) includes Fulton Science Academy, Inc. (Fulton Science Academy Middle School, FSAMS, or the middle school), Fulton Educational Services, Inc. (Fulton Science Academy High School, or the high school), and Fulton Sunshine Academy (Fulton Science Academy Elementary School, or the elementary school). KEY RATING DRIVERS DEFAULT APPEARS PROBABLE: Following a recent denial from Georgia's State Board of Education (SBE), Fitch believes FSAMS has no further statutory recourse to remain open as a charter school beyond June 30, 2012. FSAMS' closure would likely result in an immediate event of default as defined in the loan agreement for the bonds. Under the trust indenture, the trustee could implement accelerated redemption provisions. LIMITED FUNDS AVAILABLE FOR BONDHOLDERS: According to a recent trustee account statement, approximately two-thirds of bond proceeds remain with the trustee. While these funds could be used to reimburse bondholders, it is unclear if and how the remaining one-third could be fully recouped in the event of accelerated redemption. NONCOOPERATION REQUIRES RATING WITHDRAWL: FSA's management team recently communicated to Fitch that it will no longer participate in the rating process. Fitch's revenue-supported rating criteria and sector-specific charter school rating criteria stress the importance of management participation in the rating process for charter schools. Without regular access to FSA's management, Fitch is unable to maintain accurate and timely ratings for the bonds. CREDIT PROFILE: On May 10, 2012, the SBE voted 10-0 (with one abstention) to deny FSAMS' petition for a state charter. The Georgia Department of Education (DOE) staff had recommended denial. Fitch reviewed the DOE recommendation and believes it reiterates many of the concerns regarding FSAMS' management noted in Fitch's most recent commentaries on the bonds. The DOE noted 11 specific 'substantive issues' reflecting failures in 'financial, governance, and accountability' matters. The SBE rejection leaves FSAMS with no statutory alternatives to maintain their charter in good standing beyond its June 30, 2012 expiration. This violates a covenant in the loan agreement between FSA and the issuer. The loan agreement specifies that any violations of covenants are events of default. The trust indenture between DAA and the trustee (formerly BNY Mellon, and now Wells Fargo) defines events of default to include events of default under the loan agreement. Upon an event of default, the trust indenture specifies that the trustee may accelerate bond redemption declaring all bonds immediately due and payable. The trustee must do so if so directed by a majority of owners in aggregate of principal amount of the bonds still outstanding. Fitch has not learned if and when the trustee would initiate acceleration. According to a March 31, 2012 BNY Mellon statement of accounts, $13.1 million remained in various accounts for the bonds. In a letter to SBE, FSA estimated $1.5 million in cash reserves were available at all three schools as of May 4, 2012. The full par amount for the bonds of $18.9 million remains outstanding. Should the bonds become immediately due and payable, Fitch does not believe FSA could immediately liquidate resources to fill the $4.3 million gap. Recent media reports indicate FSAMS could attempt conversion to an independent, tuition-based school following expiration of its charter. Due to a lack of management cooperation, Fitch was unable to accurately gauge the feasibility of such a conversion, and its possible effects on the related elementary and high school. All three schools are obligated for the bonds. AMERIQUEST MORTGAGE: Moody's Corrects March 29 Ratings Release -------------------------------------------------------------- Moody's Investors Service issued a correction to the March 29, 2011 ratings release of Ameriquest Mortgage Securities Inc. Correct the list of rating actions for issuer Ameriquest Mortgage Securities Inc., Series 2003-1 as follows: Cl. M-1, Downgraded to B1 (sf); previously on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Downgraded to Ca (sf); previously on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade AMERIQUEST MORTGAGE: Moody's Cuts Ratings on 4 RMBS Tranches to C ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 4 tranches, and confirmed the ratings of 2 tranche from 2 RMBS transactions, backed by Subprime loans, issued by Ameriquest. Ratings Rationale The actions are a result of the recent performance review of Subprime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008 and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The rating actions reflect recent collateral performance, Moody's updated loss timing curves and detailed analysis of timing and amount of credit enhancement released due to step-down. Moody's captures structural nuances by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variations across the different pools and the structure of the transaction. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (11% for all vintages 2004 and prior). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The volatility of pool performance increases as the number of loans remaining in the pool decreases. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication listed above. When assigning the final ratings to senior bonds, in addition to the methodologies described, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Moody's Macroeconomic Board and Moody's Analytics (MA) still expect a below-trend growth for the US economy for 2012, with the unemployment rate remaining high between 8% to 9% and home prices dropping another 2-3% from the levels seen in 1Q 2011. Complete rating actions are as follows: Issuer: Ameriquest Mortgage Securities Inc., Series 2002-D Cl. M-2, Downgraded to C (sf); previously on Mar 29, 2011 Downgraded to Ca (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2003-11 Cl. AV-2, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Upgrade Cl. AV-4, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Upgrade Cl. M-4B, Downgraded to C (sf); previously on Mar 29, 2011 Downgraded to Ca (sf) Cl. M-5, Downgraded to C (sf); previously on Mar 29, 2011 Downgraded to Ca (sf) Cl. M-6, Downgraded to C (sf); previously on Mar 29, 2011 Confirmed at Ca (sf) A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF284744 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255 AMMC CLO III: S&P Hikes Rating on Class D Notes to 'B+'; Off Watch ------------------------------------------------------------------ Standard & Poor's Ratings Services raised and removed from CreditWatch positive its ratings on the class B, C, and D notes from AMMC CLO III Ltd., a collateralized loan obligation (CLO) transaction managed by American Money Management Corp. "We also affirmed and removed from CreditWatch positive our rating on the class A notes," S&P said. "The upgrades reflect an increase in the level of credit support available to the notes as the deal continues to amortize and pay down the class A notes. Since our rating action in December 2009, the class A notes have paid down by just more than $37 million. As of the April 2012 payment date, the transaction used $2.4 million of the $26.3 million in principal cash to pay down the class A notes. Although the deal has passed its reinvestment period, it has the option of reinvesting proceeds received from unscheduled principal payments," S&P said. "Since our last rating action, the balance of defaulted assets has decreased to $3.5 million from $18.5 million. At the same time, however, loans in the deal's portfolio that have a maturity date beyond that of the transaction's legal maturity has increased to $8.5 million from $1.6 million in the same period. These changes and the paydowns to the senior notes contributed to the rise in the senior overcollateralization (O/C) test to 118.30% in April 2012 from 114.71% back in November 2009. The top obligor test drove the upgrades of the class C and D notes," S&P said. "The affirmation reflects the application of our counterparty criteria. The transaction has a structural feature that allows it to draw on the class B revolver notes to address losses arising on account of defaults and trades. In our review, we stressed the cash flow analysis to assess the credit support available to the class A notes without the benefit of drawing from the counterparty. Based on our analysis, we affirmed the 'AA+ (sf)' rating on the class A notes, as there is sufficient credit support at this rating level," 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 Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS AMMC CLO III Ltd. Rating Rating To From B revolving notes A+ (sf) BB+ (sf)/Watch Pos C BBB+ (sf) B+ (sf)/Watch Pos D B+ (sf) CCC- (sf)/Watch Pos A AA+ (sf) AA+ (sf)/Watch Pos ARCAP 2003-1: S&P Lowers Ratings on 3 Certificate Classes to 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on eight classes from ARCap 2003-1 Resecuritization Trust (ARCap 2003-1). "In addition, we lowered seven ratings from corresponding grantor trust certificates from the same series. We removed all of the ratings from CreditWatch with negative implications," S&P said. "The downgrades reflect our analysis of the ARCap 2003-1 transaction's liability structure and the credit characteristics of the underlying collateral using our global CDOs of pooled structured finance assets criteria. We also considered the transaction's exposure to underlying commercial mortgage-backed securities (CMBS) collateral that has experienced negative rating actions. The downgraded collateral securities are from four transactions and total $74.6 million (26.2% of the total asset balance). We downgraded classes F, G, and H to 'D (sf)' because we determined that the classes were unlikely to be repaid in full. At the same time, we lowered our ratings on classes F and G grantor trust certificates to 'D (sf)'," S&P said. "The global CDOs of pooled structured finance assets criteria include revisions to our assumptions on correlations, recovery rates, and the collateral's default patterns and timings. The criteria also include supplemental stress tests (largest obligor default test and largest industry default test) in our analysis," S&P said. "According to the April 20, 2012, trustee report, the transaction's collateral totaled $285.1 million, while the transaction's liabilities, including capitalized interest, totaled $422.4 million. This is up from $414.4 million in liabilities at issuance. The transaction's current asset pool includes 48 CMBS tranches from 12 distinct transactions issued between 1999 and 2003 ($285.1 million, 100%). About $139.0 million (48.8%) of the tranches have ratings or credit estimates at 'D (sf)'," S&P said. S&P's analysis of ARCap 2003-1 reflected exposure to these certificates that the ratings agency has lowered: - Credit Suisse First Boston Mortgage Securities Corp. series 2003-C3 (classes K, L, M, and N; $32.3 million, 11.3%); - Prudential Commercial Mortgage Trust series 2003-PWR1 (classes J, K, and L; $19.2 million, 6.7%); - Banc of America Commercial Mortgage Inc. series 2001-PB1 (classes N and O; $16.4 million, 5.8%); and - JPMorgan Chase Commercial Mortgage Securities Corp. (class J; $6.6 million, 2.3%). "ARCap 2003-1 is a multi-tiered structure, which issued 10 individual rated notes and seven rated grantor trust certificates. The class A through G notes were each repackaged into separate newly formed individual grantor trusts, each of which issued certificates. Each note receives cash flow from the underlying CMBS collateral, which is directly passed through to the corresponding grantor trust certificates. Accordingly, the ratings on the grantor trust certificates are dependent on the ratings on the corresponding notes," S&P said. "Standard & Poor's will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them 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 Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS LOWERED AND REMOVED FROM CREDITWATCH ARCap 2003-1 Resecuritization Trust Collateralized debt obligations Rating Class To From A BBB- (sf) AA (sf)/Watch Neg B BB (sf) AA- (sf)/Watch Neg C B+ (sf) A (sf)/Watch Neg D CCC+ (sf) BBB+ (sf)/Watch Neg E CCC- (sf) BB+ (sf)/Watch Neg F D (sf) BB (sf)/Watch Neg G D (sf) CCC- (sf)/Watch Neg H D (sf) CCC- (sf)/Watch Neg ARCap 2003-1 Resecuritization Trust, Class A Grantor Trust Certificate Rating To From BBB- (sf) AA (sf)/Watch Neg ARCap 2003-1 Resecuritization Trust, Class B Grantor Trust Certificate Rating To From BB (sf) AA- (sf)/Watch Neg ARCap 2003-1 Resecuritization Trust, Class C Grantor Trust Certificate Rating To From B+ (sf) A (sf)/Watch Neg ARCap 2003-1 Resecuritization Trust, Class D Grantor Trust Certificate Rating To From CCC+ (sf) BBB+ (sf)/Watch Neg ARCap 2003-1 Resecuritization Trust, Class E Grantor Trust Certificate Rating To From CCC- (sf) BB+ (sf)/Watch Neg ARCap 2003-1 Resecuritization Trust, Class F Grantor Trust Certificate Rating To From D (sf) BB (sf)/Watch Neg ARCap 2003-1 Resecuritization Trust, Class G Grantor Trust Certificate Rating To From D (sf) CCC- (sf)/Watch Neg ARCAP 2004-1: S&P Affirms 'CCC-' Class F & Grantor Cert. Ratings ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on nine classes from ARCap 2004-1 Resecuritization Trust (ARCap 2004-1). "In addition, we lowered our ratings on six corresponding grantor trust certificates from the same series. We affirmed our 'CCC- (sf)' ratings on class F and the corresponding grantor trust certificates. At the same time, we removed all the ratings in this review from CreditWatch with negative implications," S&P said. "The downgrades and affirmations reflect our analysis of the transaction's liability structure and the credit characteristics of the underlying collateral using our global ratings criteria for CDOs of pooled structured finance assets. We also considered the transaction's exposure to underlying commercial mortgage-backed securities (CMBS) collateral that we downgraded," S&P said. The downgraded collateral securities are from two transactions and total $20 million (8.6% of the total asset balance): Morgan Stanley Capital I Trust series 2003-IQ6 (classes J through N; $15.0 million, 6.4%); and JPMorgan Chase Commercial Mortgage Securities Corp. series 2002-C2 (class J; $5 million, 2.1%). "We downgraded classes G, H, J, and K to 'D (sf)' because we determined it unlikely that the classes would be repaid in full. At the same time, we lowered our rating on the class G grantor trust certificates to 'D (sf)'," S&P said. "The global criteria for rating CDOs of pooled structured finance assets include revisions to our assumptions on correlations, recovery rates, and the collateral's default patterns and timings. The criteria also include supplemental stress tests (largest obligor default test and largest industry default test) in our analysis," S&P said. "According to the April 18, 2012, trustee report, the transaction's collateral totaled $233.4 million while the transaction's liabilities, including capitalized interest, totaled $344.0 million. This is up from $340.9 million in liabilities at issuance. The transaction's current asset pool includes 53 CMBS tranches from 14 distinct transactions issued between 1999 and 2004 ($233.4 million, 100%). About $53.5 million (22.9%) of the tranches have ratings or credit estimates at 'D (sf)'," S&P said. ARCap 2004-1 is a multitiered structure that issued 10 individual rated notes and seven rated grantor trust certificates. The class A through G notes were each repackaged into separate newly formed individual grantor trusts, each of which issued certificates. Each note receives cash flow from the underlying CMBS collateral, which is directly passed through to the corresponding grantor trust certificates. Accordingly, the ratings on the grantor trust certificates are dependent on the ratings on the corresponding notes. 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 Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS LOWERED AND REMOVED FROM CREDITWATCH ARCap 2004-1 Resecuritization Trust Collateralized debt obligations Rating Class To From A BBB- (sf) A+ (sf)/Watch Neg B BB (sf) BBB+ (sf)/Watch Neg C B (sf) BB+ (sf)/Watch Neg D B- (sf) BB- (sf)/Watch Neg E CCC+ (sf) B- (sf)/Watch Neg G D (sf) CCC- (sf)/Watch Neg H D (sf) CCC- (sf)/Watch Neg J D (sf) CCC- (sf)/Watch Neg K D (sf) CCC- (sf)/Watch Neg ARCap 2004-1 Resecuritization Trust, Class A Grantor Trust Certificate Rating To From BBB- (sf) A+ (sf)/Watch Neg ARCap 2004-1 Resecuritization Trust, Class B Grantor Trust Certificate Rating To From BB (sf) BBB+ (sf)/Watch Neg ARCap 2004-1 Resecuritization Trust, Class C Grantor Trust Certificate Rating To From B (sf) BB+ (sf)/Watch Neg ARCap 2004-1 Resecuritization Trust, Class D Grantor Trust Certificate Rating To From B- (sf) BB- (sf)/Watch Neg ARCap 2004-1 Resecuritization Trust, Class E Grantor Trust Certificate Rating To From CCC+ (sf) B- (sf)/Watch Neg ARCap 2004-1 Resecuritization Trust, Class G Grantor Trust Certificate Rating To From D (sf) CCC- (sf)/Watch Neg RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH ARCap 2004-1 Resecuritization Trust Collateralized debt obligations Rating Class To From F CCC- (sf) CCC- (sf)/Watch Neg ARCap 2004-1 Resecuritization Trust, Class F Grantor Trust Certificate Rating To From CCC- (sf) CCC- (sf)/Watch Neg ARES XVIII: S&P Raises Ratings on 2 Classes From 'BB+' ------------------------------------------------------ Standard & Poor's Ratings Services raised five ratings on Ares XVIII CLO Ltd., a collateralized loan obligation (CLO) transaction managed by Ares CLO Management XVIII L.P. "We simultaneously removed three ratings from CreditWatch positive. We also affirmed our ratings on two classes from the same transaction," S&P said. "The upgrades reflect the increase in the level of credit support available to the notes as the deal continues to amortize and pay down the class A-1 notes. Since our last review, the class A-1 note has paid down by more than $130 million to 14.52% of the original issuance amount. The principal pay downs were a large factor in the increase of the class C overcollateralization test (O/C) to 116.98% in April 2012 from 110.50% back in May 2011," S&P said. "We affirmed our ratings on the class A-1 and D notes to reflect the availability of credit support at the current rating levels," S&P said. "We also noted that the transaction has roughly 11.9% of long- dated assets that have a maturity later than the legal final maturity of the transaction in August 2016. The transaction could be exposed to market-value risk at maturity. We took this into account in this rating action," 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 Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Ares XVIII CLO Ltd. Rating To From A-2 AAA (sf) AA+ (sf)/Watch Pos B-1 AA+ (sf) A- (sf)/Watch Pos B-2 AA+ (sf) A- (sf)/Watch Pos C-1 BBB+(sf) BB+ (sf) C-2 BBB+(sf) BB+ (sf) RATINGS AFFIRMED Ares XVIII CLO Ltd. Class Rating A-1 AAA (sf) D CCC- (sf) ATLAS SENIOR: S&P Assigns 'B' Rating on Class B-3L Notes -------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Atlas Senior Loan Fund Ltd./Atlas Senior Loan Fund LLC's $279.250 million fixed- and floating-rate notes. The note issuance is a collateralized loan obligation transaction backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of May 15, 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 asset manager's experienced management team. "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 0.34% to 12.53%," 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 reinvestment test, a failure of which, during the reinvestment period, will lead to the reclassification of up to 50% of excess interest proceeds into principal proceeds as described in the interest waterfall. 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 Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com PRELIMINARY RATINGS ASSIGNED Atlas Senior Loan Fund Ltd./Atlas Senior Loan Fund LLC Class Rating Amount (mil. $) A-1L AAA (sf) 191.00 A-2L AA (sf) 25.00 A-3F (deferrable) A (sf) 10.00 A-3L (deferrable) A (sf) 15.00 B-1L (deferrable) BBB (sf) 15.00 B-2L (deferrable) BB- (sf) 16.25 B-3L (deferrable) B (sf) 7.00 Class 1 subordinated notes NR 28.00 Class 2 subordinated notes NR 1.00 Subordinated Notes NR-Not rated. AURUM CLO 2002-1: Moody's Hikes Ratings on 2 Note Classes to 'Ba1' ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of the following notes issued by Aurum CLO 2002-1 Ltd.: U.S. $14,000,000 Class C Senior Secured Floating Rate Notes Due 2014, Upgraded to A2 (sf); previously on July 21, 2011 Upgraded to A3 (sf); U.S. $10,000,000 Class D-1 Senior Secured Floating Rate Notes Due 2014, Upgraded to Ba1 (sf); previously on July 21, 2011, Upgraded to B1 (sf); U.S. $3,000,000 Class D-2 Senior Secured Floating Rate Notes Due 2014, Upgraded to Ba1 (sf); previously on July 21, 2011, Upgraded to B1 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging and an increase in the transaction's overcollateralization ratios. Moody's notes that the Class A-2 Notes have been paid down approximately 99% or $56 million since the rating action in July 2011. As a result of the deleveraging, the overcollateralization ratios have increased since the last rating action. Based on the latest trustee report dated April 5, 2012, the Class A, Class B, Class C, and Class D overcollateralization ratios are reported at 519.56%, 177.83%, 136.07%, and 111.71%, respectively, versus June 2011 levels of 214.99%, 140.35%, 120.78%, and 106.94%, respectively. The April 2012 trustee reported overcollateralization levels do not reflect deleveraging of the Class A-2 Notes on the April 16, 2012 payment date. Additionally, Moody's notes that the underlying portfolio includes a number of investments in securities that mature after the maturity date of the notes. Based on the April 2012 trustee report, reference securities that mature after the maturity date of the notes currently make up approximately 30.5% of the underlying reference portfolio. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" 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 $68 million, defaulted par of $0.7 million, a weighted average default probability of 12.71% (implying a WARF of 3185), a weighted average recovery rate upon default of 48%, and a diversity score of 24. 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. Aurum CLO 2002-1 Ltd., issued in June 2002, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Please see the Credit Policy page on www.moodys.com for a copy of this methodology. 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, 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% (2548) Class A-2: 0 Class B: 0 Class C: +3 Class D-1: +1 Class D-1: +1 Moody's Adjusted WARF + 20% (3822) Class A-2: 0 Class B: 0 Class C: -1 Class D-1: -1 Class D-1: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2014 and 2016 which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described below: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging 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) Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes an asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. AVENUE CLO III: S&P Raises Rating on Class B1L Notes to 'BB+' ------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A1L, A2L, A3L, and B1L notes from Avenue CLO III Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Avenue Capital Management II L.P., and removed these ratings from CreditWatch, where S&P placed them with positive implications on Feb. 10, 2012. "Simultaneously, we affirmed the ratings on the class B2L and X notes," S&P said. This transaction is currently in its reinvestment phase and can reinvest in new collateral until the next distribution date in July 20, 2012. "The transaction has improved since our last rating action in Dec. 10, 2010. According to the April 2012 trustee report, the transaction's asset portfolio held about $18.37 million in defaulted assets, down from the $30.21 million noted in the Nov. 10, 2010, trustee report, which we referenced in our last upgrade," S&P said. "According to the transaction documents, the class X notes receive scheduled principal payments on each payment date based on its amortization schedule before its July 20, 2012, maturity date, which is also the end of the reinvestment period. As of April 20, 2012, trustee report, the class X notes have paid down to $0.43 million, from $2.98 million in November 2010. The class A1L notes also paid down its outstanding balance to $302 million from $320.66 million in November 2010," S&P said. "The reductions in defaults and 'CCC' rated assets, along with the paydowns, resulted in improvements of the overcollateralization (O/C) ratios. For instance, the senior class A O/C ratio went up by 5.76%, to 121.17% as noted in the April 2012 trustee report from 115.41% as of the November 2010 trustee report. The class A and class B1L O/C ratios have increased by more than 5%. Based on these credit improvements, we raised our ratings on the class A1L, A2L, A3L, and B1L notes and removed them from CreditWatch positive," S&P said. "The top obligor test drove the ratings on the B1L and B2L notes in our last rating action. The supplemental tests are the driving factors on the class B1L notes for this action, and we have raised the rating to 'BB+ (sf)' as a result. The class B2L continues to be driven by the top obligor test. We affirmed the 'CCC- (sf)' rating on these notes," S&P said. "We also note that according to the April 2012 trustee report, the class B2L O/C ratio is currently at 100.48%, which continues to fail its threshold of 101.75%. The B2L notes continue to have an accumulated periodic rate shortfall, and the current balance of the B2L notes is at 114.9% of the original balance higher than the 109.51% noted in November 2010," S&P said. "At the same time, we affirmed the 'AAA (sf)' rating on class X," 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 Avenue CLO III Ltd. Rating Class To From A1L AAA (sf) AA+ (sf)/ Watch Pos A2L AA+ (sf) A (sf)/ Watch Pos A3L A+ (sf) BB+ (sf)/ Watch Pos B1L BB+ (sf) CCC- (sf)/ Watch Pos RATINGS AFFIRMED Avenue CLO III Ltd. Class Rating X AAA (sf) B2L CCC- (sf) BABSON CLO 2008-II: S&P Withdraws 'BB+' Rating on Class E Notes --------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on 24 classes of notes from 10 collateralized debt obligation (CDO) transactions. The withdrawals follow the complete paydown of the notes on their most recent payment dates. ACAS Business Loan Trust 2004-1 is a cash flow collateralized loan obligation (CLO) which paid the class C notes down in full on the April 25, 2012, payment date, from an outstanding balance of $11.97 million. ACAS Business Loan Trust 2005-1 is a cash flow CLO. The transaction paid the class B notes down in full on the April 25, 2012, payment date, from an outstanding balance of $37.82 million. "Ares IIR CLO Ltd. is a cash flow CLO. The transaction paid the class A, B, C, D-1, and D-2 notes down in full following an April 20, 2012, notice of optional redemption. The transaction paid these classes down in full on the April 30, 2012, payment date, from outstanding balances of $88.46 million, $13.13 million, $13.13 million, $20.00 million, and $5.00 million," S&P said. Babson CLO Ltd. 2008-II is a cash flow CLO. The transaction paid the class A-1, A-2, B, C, D, and E notes down in full following a March 29, 2012, notice of redemption. The transaction paid these classes down in full on the April 12, 2012, payment date, from outstanding balances of $249.49 million, $10.00 million, $12.50 million, $20.50 million, $11.50 million, and $12.50 million. Bushnell Loan Fund II Ltd. is a cash flow CLO which paid the class A-1 and A-2 notes down in full on the April 30, 2012, payment date, from outstanding balances of $1.59 million and $7.75 million. Green Lane CLO Ltd. is a cash flow CLO. The transaction paid the class A-1, A-2, B, and C notes down in full on the April 30, 2012, payment date, from outstanding balances of $225.93 million, $25.10 million, $23.00 million, and $33.75 million. Integral Funding Ltd. is a cash flow CLO which paid the class A-1 notes down in full on the April 16, 2012, payment date, from an outstanding balance of $41.47 million. "Marathon CLO I Ltd. is a cash flow CLO. The transaction is structured so that a specified portion of excess interest proceeds are used to pay down the principal balance of class E notes. In this way, the transaction paid the class E notes down in full on the April 26, 2012, payment date, from an outstanding balance of $17,478.38," S&P said. Premium Loan Trust I Ltd. is a cash flow CLO. The transaction paid the class A notes down in full on the April 25, 2012, payment date, from an outstanding balance of $9.50 million. Stone Tower CLO II Ltd. is a cash flow CLO which paid the class C and D notes down in full on the April 24, 2012, payment date, from outstanding balances of $3.32 million and $8.00 million. 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 WITHDRAWN ACAS Business Loan Trust 2004-1 Rating Class To From C NR BBB+ (sf) ACAS Business Loan Trust 2005-1 Rating Class To From B NR AA+ (sf) Ares IIR CLO Ltd. Rating Class To From A NR AAA (sf) B NR AAA (sf) C NR AA+ (sf) D-1 NR A- (sf) D-2 NR A- (sf) Babson CLO Ltd. 2008-II Rating Class To From A-1 NR AA+ (sf) A-2 NR AA+ (sf) B NR AA (sf) C NR A (sf) D NR BBB+ (sf) E NR BB+ (sf) Bushnell Loan Fund II Ltd. Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) Green Lane CLO Ltd. Rating Class To From A-1 NR AA (sf) A-2 NR AA (sf) B NR A+ (sf) C NR BBB+ (sf) Integral Funding Ltd. Rating Class To From A-1 NR AAA (sf) Marathon CLO I Ltd. Rating Class To From E NR BBB+ (sf) Premium Loan Trust I Ltd. Rating Class To From A NR AA+ (sf) Stone Tower CLO II Ltd. Rating Class To From C NR A+ (sf) D NR B+ (sf) NR-Not rated. BABSON CLO 2012-II: S&P Gives 'BB' Rating on Class D Notes ---------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Babson CLO Ltd. 2012-II/Babson CLO 2012-II LLC's $369.0 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 May 14, 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 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%-11.5704%," S&P said. The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. 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 Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com PRELIMINARY RATINGS ASSIGNED Babson CLO Ltd. 2012-II/Babson CLO 2012-II LLC Class Rating Amount (mil. $) A-1 AAA (sf) 255.0 A-2 AA (sf) 42.0 B (deferrable) A (sf) 32.0 C (deferrable) BBB (sf) 22.0 D (deferrable) BB (sf) 18.0 Subordinated notes NR 39.8 NR-Not rated. BANC OF AMERICA: Fitch Affirms 'D' Rating on $34.8MM Loans ---------------------------------------------------------- Fitch Ratings has affirmed Banc of America Commercial Mortgage, series 2002-2. The rating affirmations reflect the increase in credit enhancement due to payoff since Fitch's last review offset by increasing loan concentration. Fitch modeled losses of 8.9 % of the remaining pool; expected losses of the original pool are at 6.5%, including losses already incurred to date. Fitch has designated eight loans (22.6%) as Fitch Loans of Concern, including seven specially serviced loans (14%). As of the May 2012 distribution date, the pool's aggregate principal balance has been paid down by approximately 86.2% to $237.6 million from $1.724 billion at issuance. Ten (50.1%) of the remaining 26 loans are defeased. Fitch expects losses associated with specially serviced loans will be absorbed by class K. Interest shortfalls are currently affecting classes J, K and the non-rated class O with cumulative unpaid interest totaling $0.8 million. The largest contributor to modeled losses (8.1%) is secured by a 264,664 square foot (sf) retail center in Fenton, MO. The anchors are Kohl's and Target, which owns its own store thus not part of the collateral. The servicer reported year-end (YE) 2011 debt service coverage ratio (DSCR) was 0.6 times (x), compared to 0.79x at YE2010 and 1.21x at issuance. The decline in performance is primarily due to the losses of two major tenants which filed for bankruptcy and vacated. YE2011 occupancy was 74%, decreased from 100% at issuance. The second largest contributor to modeled losses (3%) is secured by a 61,910 sf single tenant retail property in Waukesha, WI. The loan was transferred to the special servicer in March 2011 for imminent default. The property has apparently been dark at least two years. The lease expires in September 2019 and the tenant is still paying the rent. The servicer reported first-quarter 2011 DSCR was 1.34x. The third largest contributor to modeled losses (2.9%) is secured by a 52,840 sf retail property in Destin, FL. The loan was transferred to the special servicer in January 2012 due to maturity default. The loan matured on July 1, 2011 and was not paid off. The property is operated under a master lease with a triple net lease structure which expires in June 2021. The borrower has filed a lawsuit against the master lessee for deferred maintenance and other issues, which hindered the refinancing of the loan. The litigation remains ongoing. The servicer is negotiating with the borrower for a loan extension. The servicer reported DSCR as of September 2011 was 2.02x, compared to 1.32x at issuance. As of February 2012, the property was 45% occupied. Fitch has affirmed the following classes as indicated: -- $6.7 million class A-3 at 'AAA'; Outlook Stable; -- $64.7 million class B at 'AAA'; Outlook Stable; -- $17.2 million class C at 'AAA'; Outlook Stable; -- $12.9 million class D at 'AAA'; Outlook Stable; -- $17.2 million class E at 'AAA'; Outlook Stable; -- $21.6 million class F at 'AAA'; Outlook Stable; -- $21.6 million class G at 'AAA'; Outlook Stable. -- $19.4 million class H at 'AA'; Outlook Stable; -- $21.6 million class J at 'BBB-'; Outlook Negative; -- $34.8 million class K at 'D'; RE to 50% from 60%; Classes A-1 and A-2 have paid in full. Fitch affirms classes L, M, N and O at'D/RE0%', which have been depleted due to incurred losses. Fitch does not rate class P certificates. Fitch withdrew the ratings on the interest-only classes XC and XP at prior review. BANC OF AMERICA: Moody's Lowers Ratings on 2 RMBS Tranches to 'C' ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 91 tranches and confirmed the ratings of 52 tranches from 20 RMBS transactions, backed by prime jumbo loans, issued by Banc of America. Ratings Rationale The actions are a result of the recent performance review of Prime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The downgrades are a result of deteriorating performance and/or structural features resulting in higher expected losses for certain bonds than previously anticipated. For e.g., for shifting interest structures, back-ended liquidations could expose the seniors to tail-end losses. The subordinate bonds in the majority of these deals are currently receiving 100% of their principal payments, and thereby depleting the dollar enhancement available to the senior bonds. In its current approach, Moody's captures this risk by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural nuances of the transaction. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is set at 3% for Jumbo and which is typically higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans, the adjusted rate of new delinquency would be 3.03%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.75 to 2.5 for current delinquencies ranging from less than 2.5% to greater than 10% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication listed above. When assigning the final ratings to senior bonds, in addition to the methodologies described, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). Certain securities are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Moody's Macroeconomic Board and Moody's Analytics (MA) still expect a below-trend growth for the US economy for 2012, with the unemployment rate remaining high between 8% to 9% and home prices dropping another 2-3% from the levels seen in 1Q 2011. Complete rating actions are as follows: Issuer: Banc of America Funding 2004-D Trust Cl. 1-A-1, Downgraded to A1 (sf); previously on Jan 31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. 3-A-1, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. 4-A-1, Downgraded to B2 (sf); previously on Apr 25, 2011 Downgraded to B1 (sf) Cl. 5-A-2, Downgraded to B3 (sf); previously on Apr 25, 2011 Downgraded to B2 (sf) Cl. B-1, Downgraded to C (sf); previously on Apr 25, 2011 Downgraded to Caa3 (sf) Issuer: Banc of America Mortgage 2002-L Trust Cl. 1-A-1, Confirmed at Ba2 (sf); previously on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-2, Confirmed at Ba2 (sf); previously on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-3, Confirmed at Ba2 (sf); previously on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-1, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-2, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-3, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-4, Confirmed at Ba2 (sf); previously on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Issuer: Banc of America Mortgage 2003-10 Trust Cl. 1-A-1, Downgraded to Aa2 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. 1-A-2, Downgraded to A2 (sf); previously on Apr 25, 2011 Downgraded to Aa1 (sf) Cl. 1-A-3, Downgraded to A1 (sf); previously on Apr 25, 2011 Downgraded to Aa1 (sf) Cl. 1-A-7, Downgraded to Aa2 (sf); previously on Apr 25, 2011 Confirmed at Aaa (sf) Cl. 1-A-8, Downgraded to Aa3 (sf); previously on Apr 25, 2011 Confirmed at Aa1 (sf) Cl. 1-A-9, Downgraded to A1 (sf); previously on Apr 25, 2011 Downgraded to Aa1 (sf) Cl. 2-A-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-7, Downgraded to Ba2 (sf); previously on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-8, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. 3-A-1, Downgraded to Baa3 (sf); previously on Apr 25, 2011 Downgraded to A3 (sf) Cl. 4-A-1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. 4-A-2, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. 30-IO, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. 15-IO, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Issuer: Banc of America Mortgage 2003-9 Trust Cl. I-A-4, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. I-A-9, Confirmed at Aa1 (sf); previously on Jan 31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. I-A-11, Downgraded to Baa1 (sf); previously on Apr 25, 2011 Downgraded to A3 (sf) Cl. I-A-17, Confirmed at Aa2 (sf); previously on Jan 31, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. I-A-18, Confirmed at Aa2 (sf); previously on Jan 31, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-3, Downgraded to A1 (sf); previously on Jan 31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-4, Downgraded to A1 (sf); previously on Jan 31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-5, Downgraded to A3 (sf); previously on Apr 25, 2011 Downgraded to A1 (sf) Cl. 4-A-1, Confirmed at Aa1 (sf); previously on Jan 31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. 4-A-2, Confirmed at Aa3 (sf); previously on Jan 31, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. 30-IO, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. 15-IO, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. X-B-1, Downgraded to B1 (sf); previously on Apr 25, 2011 Downgraded to Ba3 (sf) Cl. X-B-2, Downgraded to Caa2 (sf); previously on Apr 25, 2011 Downgraded to B3 (sf) Cl. X-B-4, Downgraded to C (sf); previously on Apr 25, 2011 Downgraded to Ca (sf) Issuer: Banc of America Mortgage 2003-C Trust Cl. 1-A-1, Confirmed at Ba2 (sf); previously on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-2, Confirmed at Ba2 (sf); previously on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-3, Confirmed at Ba3 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-1, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-2, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-3, Confirmed at Ba3 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade Cl. 3-A-1, Downgraded to Aa3 (sf); previously on Jan 31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade Issuer: Banc of America Mortgage 2003-D Trust Cl. 2-A-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-2, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-3, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-4, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-5, Downgraded to Baa3 (sf); previously on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-6, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. 3-A-1, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Cl. A-P, Downgraded to Ba1 (sf); previously on Apr 25, 2011 Downgraded to Baa3 (sf) Issuer: Banc of America Mortgage 2003-E Trust Cl. 1-A-1, Downgraded to Baa2 (sf); previously on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-2, Downgraded to Baa2 (sf); previously on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-3, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-1, Downgraded to Baa1 (sf); previously on Apr 25, 2011 Downgraded to A1 (sf) Cl. 2-A-2, Downgraded to Baa1 (sf); previously on Apr 25, 2011 Downgraded to A1 (sf) Cl. 3-A-1, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. 4-A-1, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. A-P, Downgraded to Baa2 (sf); previously on Apr 25, 2011 Downgraded to Baa1 (sf) Issuer: Banc of America Mortgage 2003-G Trust Cl. 1-A-1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-2, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-1, Downgraded to Ba1 (sf); previously on Apr 25, 2011 Downgraded to Baa3 (sf) Cl. 3-A-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Downgrade Issuer: Banc of America Mortgage 2003-H Trust Cl. 2-A-1, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-2, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-3, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-4, Downgraded to B2 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade Cl. 3-A-1, Downgraded to Baa3 (sf); previously on Apr 25, 2011 Downgraded to A2 (sf) Issuer: Banc of America Mortgage 2003-I Trust Cl. 1-A-1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-6, Downgraded to Ba2 (sf); previously on Apr 25, 2011 Downgraded to Baa3 (sf) Cl. 3-A-1, Downgraded to A1 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. B-1, Downgraded to Caa2 (sf); previously on Apr 25, 2011 Downgraded to Caa1 (sf) Issuer: Banc of America Mortgage 2003-J Trust Cl. 1-A-1, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-2, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-3, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-1, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-2, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-8, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Cl. 3-A-1, Downgraded to Baa3 (sf); previously on Jan 31, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. 3-A-2, Downgraded to Baa3 (sf); previously on Jan 31, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. 4-A-1, Downgraded to A3 (sf); previously on Apr 25, 2011 Downgraded to A1 (sf) Cl. B-2, Downgraded to Ca (sf); previously on Apr 25, 2011 Downgraded to Caa3 (sf) Cl. B-3, Downgraded to C (sf); previously on Apr 25, 2011 Downgraded to Ca (sf) Issuer: Banc of America Mortgage 2003-K Trust Cl. 1-A-1, Downgraded to B1 (sf); previously on Apr 25, 2011 Downgraded to Ba1 (sf) Cl. 1-A-2, Downgraded to B1 (sf); previously on Apr 25, 2011 Downgraded to Ba1 (sf) Cl. 1-A-3, Downgraded to B2 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-2, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Cl. 3-A-1, Downgraded to B1 (sf); previously on Apr 25, 2011 Downgraded to Baa3 (sf) Cl. B-1, Downgraded to Caa3 (sf); previously on Jan 31, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade Issuer: Banc of America Mortgage 2003-L Trust Cl. 1-A-1, Confirmed at Ba2 (sf); previously on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-3, Confirmed at Ba3 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-1, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-2, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Issuer: Banc of America Mortgage 2004-10 Trust Cl. 1-A-1, Downgraded to Ba2 (sf); previously on Apr 25, 2011 Downgraded to A3 (sf) Cl. 1-A-3, Downgraded to Ba1 (sf); previously on Apr 25, 2011 Downgraded to A3 (sf) Cl. 1-A-4, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-5, Downgraded to Ba2 (sf); previously on Apr 25, 2011 Downgraded to A3 (sf) Cl. 1-A-9, Downgraded to Ba2 (sf); previously on Apr 25, 2011 Downgraded to A3 (sf) Cl. X-PO, Downgraded to Ba2 (sf); previously on Apr 25, 2011 Downgraded to A2 (sf) Cl. 30-IO, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. 15-IO, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Issuer: Banc of America Mortgage 2004-2 Trust Cl. 1-A-7, Downgraded to Baa1 (sf); previously on Apr 25, 2011 Downgraded to A2 (sf) Cl. 1-A-8, Downgraded to A3 (sf); previously on Apr 25, 2011 Downgraded to A2 (sf) Cl. 2-A-2, Downgraded to Baa3 (sf); previously on Apr 25, 2011 Downgraded to A3 (sf) Cl. 2-A-3, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-4, Downgraded to Caa1 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-5, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. 5-A-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Downgrade Cl. A-PO, Downgraded to Ba1 (sf); previously on Apr 25, 2011 Downgraded to Baa2 (sf) Cl. 4-15-IO, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. 5-A-IO, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. 30-IO, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. 15-IO, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. 3-B-1, Downgraded to Caa1 (sf); previously on Apr 25, 2011 Downgraded to B3 (sf) Cl. 5-B-2, Downgraded to Caa3 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade Cl. 5-B-3, Downgraded to Ca (sf); previously on Jan 31, 2012 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Banc of America Mortgage 2004-F Trust Cl. 1-A-1, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-6, Confirmed at B1 (sf); previously on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-7, Confirmed at B1 (sf); previously on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Upgrade Cl. 3-A-1, Confirmed at B3 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade Cl. 4-A-1, Downgraded to B2 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Banc of America Mortgage 2004-G Trust Cl. 1-A-1, Downgraded to B2 (sf); previously on Apr 25, 2011 Downgraded to Ba3 (sf) Cl. 3-A-2, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf) Placed Under Review for Possible Upgrade Cl. 4-A-1, Downgraded to Caa1 (sf); previously on Apr 25, 2011 Downgraded to B3 (sf) Issuer: Banc of America Mortgage 2004-H Trust Cl. 1-A-1, Downgraded to Caa1 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-2, Downgraded to Caa1 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-1, Downgraded to B1 (sf); previously on Apr 25, 2011 Downgraded to Ba2 (sf) Cl. 2-A-2, Downgraded to B1 (sf); previously on Apr 25, 2011 Downgraded to Ba2 (sf) Issuer: Banc of America Mortgage 2004-I Trust Cl. 1-A-1, Downgraded to B2 (sf); previously on Apr 25, 2011 Downgraded to Ba3 (sf) Cl. 1-A-2, Downgraded to B2 (sf); previously on Apr 25, 2011 Downgraded to Ba3 (sf) Cl. 2-A-1, Downgraded to B1 (sf); previously on Apr 25, 2011 Downgraded to Ba2 (sf) Cl. 2-A-2, Downgraded to B1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-3, Downgraded to Caa2 (sf); previously on Apr 25, 2011 Downgraded to B3 (sf) Cl. 3-A-1, Confirmed at A1 (sf); previously on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Upgrade Cl. 3-A-2, Confirmed at A1 (sf); previously on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Upgrade Issuer: Banc of America Mortgage 2004-L Trust Cl. 3-A-1, Downgraded to Caa1 (sf); previously on Apr 25, 2011 Downgraded to B2 (sf) Cl. 4-A-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF284636 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243269 BANC OF AMERICA: Fitch Downgrades Ratings on Seven Cert. Classes ---------------------------------------------------------------- Fitch Ratings has downgraded seven classes from Banc of America Commercial Mortgage Inc., commercial mortgage pass-through certificates, series 2005-1. The downgrades reflect an increase in Fitch modeled losses across the pool, primarily attributed to declining performance and therefore increased loss expectations on two loans which had transferred to special servicing since Fitch's last rating action. Eight loans (19.6% of the pool) are in special servicing. Fitch modeled losses of 8.46% of the outstanding pool. The expected losses of the original pool are at 7.07%, which includes 2.09% in losses realized to date. Fitch has designated 32 loans (34.63%) as Fitch Loans of Concern, which include the eight specially serviced loans (19.60%). Six of the Fitch Loans of Concern (21.34% of the pool) are within the transaction's top 15 loans by unpaid principal balance. As of the April 2012 distribution date, the pool's aggregate principal balance has reduced by 41.24% (including realized losses) to $1.36 billion from $2.32 billion at issuance. Six loans (6.26%) are currently defeased. Interest shortfalls are affecting classes G through P. The largest contributor to Fitch's modeled loss is the Tri-Estates Manufactured Housing Community loan(2.94%) which is secured by a 902-pad manufactured housing community located in Bourbonnais, IL, about 50 miles south of Chicago. he loan transferred to special servicing in August 2010 for imminent default. The special servicer filed for foreclosure in October 2010. Foreclosure had been delayed due to the borrower filing for bankruptcy. The bankruptcy stay was lifted in June 2011 and a receiver was appointed in September 2011. The receiver is working to stabilize the property while foreclosure proceedings continue. The second largest contributor to modeled loss is secured by 576,620 square foot (sf) office building in downtown Cleveland, OH (2.57%). The loan, which matured on April 1, 2012, had transferred to special servicing in January 2012 for imminent maturity default. The special servicer and borrower have entered into a 30 day forbearance agreement while workout options are being discussed. The next contributor to loss consists of a 288,175 sf office property in Atlanta, GA (1.1%). The loan on this property, which transferred to special servicing in June 2009 for imminent default, was modified in December 2009. Terms of the modification included an extension to the original loan term and bifurcation of the loan into a senior and junior component. Although losses are not expected imminently, any recovery to the B-note is contingent upon full recovery to the A-note proceeds at the loan's maturity in 2016. Unless collateral performance improves, recovery to the B-note component is unlikely. Fitch downgrades the following classes and assigns Recovery Estimates (REs) as indicated: -- $43.5 million class D to 'Bsf' from 'BBBsf'; Outlook Stable; -- $20.3 million class E to 'CCCsf' from 'BBsf'; RE 90%; -- $26.1 million class F to 'CCsf' from 'Bsf'; RE 0%; -- $20.3 million class G to 'CCsf' from 'CCCsf'; RE 0%; -- $34.8 million class H to 'Csf' from 'CCCsf'; RE 0%; -- $5.8 million class J to 'Csf' from 'CCsf'; RE 0%; -- $8.7 million class K to 'Csf' from 'CCsf'; RE 0%. In addition, Fitch affirms the following classes and revises the Rating Outlooks as indicated: -- $107 million class A-1A at 'AAAsf'; Outlook Stable; -- $54 million class A-3 at 'AAAsf'; Outlook Stable; -- $343.1 million class A-4 at 'AAAsf'; Outlook Stable; -- $63.3 million class A-SB at 'AAAsf'; Outlook Stable; -- $381.2 million class A-5 at 'AAAsf'; Outlook Stable; -- $168.4 million class A-J at 'AAAsf'; Outlook Stable; -- $61 million class B at 'AAsf'; Outlook to Negative from Stable; -- $20.3 million class C at 'Asf'; Outlook to Negative from Stable. Classes A-1 and A-2 have repaid in full. Classes L through O will remain at 'Dsf', RE 0% due to realized losses. Fitch does not rate class P, which has been reduced to zero due to realized losses. Fitch also affirms the ratings and Outlooks of the following classes: -- $2.1 million class SM-A at 'BB+sf'; Outlook Stable; -- $2 million class SM-B at 'BB+sf'; Outlook Stable; -- $6.3 million class SM-C at 'BBsf'; Outlook Stable; -- $2.5 million class SM-D at 'BB-sf'; Outlook Stable; -- $1.9 million class SM-E at 'BB-sf'; Outlook Stable; -- $4.8 million class SM-F at 'B+sf'; Outlook Stable; -- $4.1 million class SM-G at 'Bsf'; Outlook Stable; -- $5.4 million class SM-H at 'B-sf'; Outlook Stable. The SM rake classes represent the B-note for the Southdale Mall. The $118.6 million A-note is included in the pooled portion of the trust. Fitch does not rate the SM-J rake class. Fitch also does not rate the LM rake class, which is specific to the Landmark Mall $280,196 B-note. A $2.9 million A-note for the Landmark Mall is included in the pooled portion of the trust. Rake classes FM-A, FM-B, FM-C, and FM-D have paid in full. Fitch had previously withdrawn the rating on the interest-only class XW. BAYVIEW FINANCIAL: Moody's Reviews 'Ca' Rating on Cl. M-2 Tranche ----------------------------------------------------------------- Moody's Investors Service has placed on downgrade review ratings of three tranches issued by Bayview Financial Revolving Asset Trust 2004-B. Ratings Rationale The actions are a result of the recent downgrade review on the underlying bonds issued by various Bayview Commercial Asset Trusts. The underlying deals are backed by commercial real estate loans. The principal methodology used in this rating was "Moody's Approach to Rating US Resecuritized Residential Mortgage-Backed Securities" published in February 2011. The review on the resecuritization bonds will be completed once the review on the underlying bonds is completed. Primary sources of assumption uncertainty on the underlying bonds placed on review are the general economic environment, commercial property values, and the ability of small businesses to recover from the recession. Complete rating actions are as follows: Issuer: Bayview Financial Revolving Asset Trust 2004-B Cl. A-1, B1 (sf) Placed Under Review for Possible Downgrade; previously on Dec 18, 2009 Downgraded to B1 (sf) Cl. A-2, B1 (sf) Placed Under Review for Possible Downgrade; previously on Dec 18, 2009 Downgraded to B1 (sf) Cl. M-1, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Dec 18, 2009 Downgraded to Caa2 (sf) Cl. M-2, Ca (sf) Placed Under Review for Possible Downgrade; previously on Dec 18, 2009 Downgraded to Ca (sf) A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF285764 BEAR STEARNS: Fitch Cuts Rating on $13.3MM H Certificates to CCsf ----------------------------------------------------------------- Fitch Ratings downgrades one class of Bear Stearns Commercial Mortgage Securities Trust commercial mortgage pass through certificates, series 2000-WF1. The downgrade to the distressed class is a result of increased certainty of losses from the loan in special servicing and incurred interest shortfalls. The affirmation reflects sufficient credit enhancement after consideration for both defeased loans and expected losses. Although the balance of class G has sufficient proceeds from defeasance to repay the class, the class is affirmed due to concentration concerns, longer dated maturities of the defeased loans and the potential for interest shortfalls to be incurred. As of the April 2012 distribution date, the pool's certificate balance has paid down 97.4% to $23.0 million from $888.3 million at issuance. There are 23 remaining loans from the original 181 loans at issuance. Of the remaining loans, nine loans (42.3%) have defeased and one loan (13.2%) is in special servicing. The largest contributor to losses is a 29,812 square foot (sf) office property in Las Vegas, NV. The subject was foreclosed upon in March 2010 and is being marketed for sale. Occupancy as of February 2012 was 25.2%. Fitch downgrades the rating for the following class as indicated: -- $13.3 million class H to 'CCsf' from 'CCCsf'; 'RE 10%'. Fitch affirms the rating for the following class as indicated: -- $7.0 million class G at 'A+sf'; Outlook Stable. Fitch does not rate class M. Classes A-1, A-2, B, C, D, E and F have paid in full. Fitch maintains the rating of 'Dsf, RE 0%' on classes I, J, K and L. Additionally, Fitch previously withdrew the ratings of the interest only class X. BRASCAN REAL 2005-2: S&P Affirms 'B+' Rating on Class E Notes ------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on the class D and E notes from Brascan Real Estate CDO 2004-1 Ltd. and the class E notes from Brascan Structured Notes 2005-2 Ltd., both of which are commercial real estate collateralized debt obligation (CRE CDO) transactions, and removed them from CreditWatch with negative implications. "The affirmations reflect our analysis of the transactions' liability structures and the credit characteristics of the underlying collateral using our criteria in 'Global CDOs Of Pooled Structured Finance Assets: Methodology And Assumptions,' published Feb. 21, 2012. This criteria includes revisions to our assumptions on correlations, recovery rates, and default patterns and timings of the collateral. The criteria also includes supplemental stress tests (largest obligor default test and largest industry default test), which we considered in our analysis. In our analysis, we also considered the amount of defaulted assets held in the portfolio and our expected recovery for the transactions," S&P said. Brascan Real Estate CDO 2004-1 Ltd. "According to the April 16, 2012, trustee report, the transaction's collateral totaled $62.6 million, while its liabilities totaled $54.6 million, subsequent to the April 20, 2012, distribution date. This is down from $300.7 million at issuance," S&P said. The transaction's current asset pool includes these: Nine CMBS tranches from nine distinct transactions issued between 2001 and 2007 ($48.5 million, 77.5%); and One subordinate-interest loan ($14.1 million, 22.5%). Two of the assets classified as CMBS securities are raked bonds which derive 100% of their cashflow from subordinate nonpooled components of loans held in the commercial mortgage-backed securities (CMBS) transactions. "The trustee report noted one defaulted loan asset, the 100 W. Putnam B-1 Subordinate Loan ($14.1 million, 22.5%). Standard & Poor's estimated an asset-specific recovery rate which we based on information the collateral manager provided," S&P said. Brascan Structured Notes 2005-2 Ltd. According to the April 30, 2012, trustee report, the transaction's collateral totaled $100.7 million, including principal proceeds, while its liabilities totaled $87.3 million. This is down from $300.0 million at issuance. The transaction's current asset pool includes these: Six subordinate-interest loans ($100.6 million, 99.9%); Principal proceeds ($86,109, 0.1%). "The trustee report noted four defaulted loan assets ($47.9 million, 47.6%). Standard & Poor's estimated asset-specific recovery rates which we based on information the collateral manager provided," S&P said. The defaulted loan assets are listed: Stuyvesant Town /Peter Cooper Village Mezz Loan ($20.0 million, 19.9%); Stuyvesant Town /Peter Cooper Village Mezz Loan ($5.0 million, 5.0%); 100 W. Putnam B-2 Subordinate Loan ($18.5 million, 18.4%); and 100 W. Putnam B-3 Subordinate Loan ($4.4 million, 4.4%). "The class E notes from Brascan 2005-2 are the only rated outstanding notes in the transaction and have paid down to roughly 18% of the original balance," S&P said. "We reviewed the credit characteristics of the publicly rated underlying collateral using Standard & Poor's issued ratings. We based our analyses on the unrated collateral on information provided by Brascan Real Estate Financial Partners LLC, and trustee, U.S. Bank, National Association, as well as market and valuation data from third-party providers," S&P said. Both deals are passing all overcollateralization and interest coverage tests. 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 determines 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 RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH Brascan Real Estate CDO 2004-1 Ltd. Rating Class To From D BBB (sf) BBB (sf)/Watch Neg E BBB- (sf) BBB- (sf)/Watch Neg Brascan Structured Notes 2005-2 Ltd. Rating Class To From E B+ (sf) B+ (sf)/Watch Neg CENTURION CDO 8: S&P Raises Rating on Class D Notes to 'B-' ----------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A, B-1, B-2, C, and D notes from Centurion CDO 8 Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Columbia Management Investment Advisers LLC. "We removed the ratings from CreditWatch, where we placed them with positive implications on Feb. 10, 2012. At the same time, we withdrew our rating on the class G combination securities," S&P said. "The upgrades reflect principal paydowns and improved credit performance we have observed in the underlying asset pool since February 2011," S&P said. This transaction is currently in its amortization phase. The class A notes have been paid down by $40.36 million since the April 2010 rating action. The class A balance is now $410.21 million, which is 88.22% of its original balance. "The transaction has also benefited from improved credit quality of the underlying asset portfolio since our last rating action on April 1, 2010. According to the March 2012 trustee report, the amount of defaulted assets decreased to $4.23 million from $31.31 million reported in the March 2010 report, which we used for our April 2010 action," S&P said. "We also observed that 3.45% of the portfolio assets have a maturity date after the legal final maturity of the transaction according to the March 28, 2012, trustee report. Our analysis accounted for the potential market value and/or settlement related risk arising from the potential liquidation of the remaining securities on the legal final maturity date of the transaction," S&P said. "The class G combination securities consisted of a portion of class C and subordinated notes. We withdrew our rating on this class after the noteholder exchanged the composite note in whole for the classes represented by its components," 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 Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Centurion CDO 8 Ltd. Rating Class To From A AA+ (sf) AA- (sf)/Watch Pos B-1 A- (sf) BB+ (sf)/Watch Pos B-2 A- (sf) BB+ (sf)/Watch Pos C BB+ (sf) BB- (sf)/Watch Pos D B- (sf) CCC+ (sf)/Watch Pos G combo sec NR BB- (sf)/Watch Pos NR-Not rated. CHL MORTGAGE: Moody's Lowers Ratings on 2 RMBS Tranches to 'C' -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 18 tranches, and confirmed the ratings of eight tranches from five RMBS transactions, backed by Alt-A and Option ARM loans, issued by Countrywide. Ratings Rationale The actions are a result of the recent performance review of Alt-A and Option ARM pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The rating action constitute of a number of downgrades. The downgrades are a result of deteriorating performance and/or structural features resulting in higher expected losses for certain bonds than previously anticipated. For e.g., for shifting interest structures, back-ended liquidations could expose the seniors to tail-end losses. The subordinate bonds in the majority of these deals are currently receiving 100% of their principal payments, and thereby depleting the dollar enhancement available to the senior bonds. In its current approach, Moody's captures this risk by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural nuances of the transaction The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 10.10%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication listed above. When assigning the final ratings to senior bonds, in addition to the methodologies described, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Moody's Macroeconomic Board and Moody's Analytics (MA) still expect a below-trend growth for the US economy for 2012, with the unemployment rate remaining high between 8% to 9% and home prices dropping another 2-3% from the levels seen in 1Q 2011. Complete rating actions are as follows: Issuer: CHL Mortgage Pass-Through Trust 2003-52 Cl. A-1, Confirmed at Ba3 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade Cl. A-2, Downgraded to B3 (sf); previously on Mar 3, 2011 Downgraded to Ba3 (sf) Cl. M, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf) Placed Under Review for Possible Upgrade Issuer: CHL Mortgage Pass-Through Trust 2004-25 Cl. 1-A-3, Downgraded to Caa1 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade Cl. 1-X, Confirmed at Ca (sf); previously on Feb 22, 2012 Ca (sf) Placed Under Review for Possible Downgrade Cl. 2-A-4, Downgraded to C (sf); previously on Jan 31, 2012 Caa2 (sf) Placed Under Review for Possible Downgrade Cl. 2-X, Confirmed at Ca (sf); previously on Feb 22, 2012 Ca (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2004-29 Cl. 1-A-1, Downgraded to Baa1 (sf); previously on Mar 3, 2011 Downgraded to A1 (sf) Cl. 1-A-2, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. 1-X, Downgraded to B1 (sf); previously on Feb 22, 2012 Downgraded to Ba2 (sf) and Placed Under Review for Possible Downgrade Cl. 2-A-1, Downgraded to Caa1 (sf); previously on Mar 3, 2011 Downgraded to B3 (sf) Cl. 2-X, Confirmed at Caa2 (sf); previously on Feb 22, 2012 Downgraded to Caa2 (sf) and Placed Under Review for Possible Downgrade Cl. 3-A-1, Downgraded to Caa3 (sf); previously on Mar 3, 2011 Downgraded to Caa2 (sf) Cl. 3-X, Downgraded to Caa3 (sf); previously on Mar 3, 2011 Downgraded to Caa2 (sf) Cl. 3-PO, Downgraded to C (sf); previously on Mar 3, 2011 Downgraded to Ca (sf) Cl. I-M-1, Downgraded to Caa3 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2004-HYB8 Cl. 4-A-1, Downgraded to Caa2 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade Cl. 5-A-1, Downgraded to Caa1 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade Cl. 6-A-1, Downgraded to Caa2 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade Cl. 7-A-1, Downgraded to Caa2 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade Cl. 8-A-1, Downgraded to Caa2 (sf); previously on Mar 3, 2011 Downgraded to B3 (sf) Cl. II-X, Downgraded to Caa2 (sf); previously on Feb 22, 2012 B3 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-1, Confirmed at B2 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade Cl. I-X, Confirmed at B2 (sf); previously on Feb 22, 2012 B2 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2004-HYB9 Cl. 1-A-1, Confirmed at Caa1 (sf); previously on Jan 31, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-1, Downgraded to Caa1 (sf); previously on Mar 3, 2011 Downgraded to B3 (sf) A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF285301 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237256 COMM 2001-J2: S&P Lowers Rating on Class G Certificates to 'B-' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating to 'B- (sf)' from 'BB+ (sf)' on the class G commercial mortgage pass-through certificates from COMM 2001-J2, a U.S. commercial mortgage-backed securities (CMBS) transaction. "Concurrently, we affirmed our ratings on 11 other classes from the same transaction," S&P said. "Our rating actions reflect our analysis of the transaction, which included our revaluation of the collateral securing the Willowbrook Mall loan ($149.5 million, 43.5% of the pooled trust balance), which is one of the two remaining loans in the pool. The other loan, the AT&T Building loan ($193.8 million, 56.5%) has been defeased. Our analysis also considered the deal structure, liquidity available to the trust, and current and potential interest shortfalls affecting the trust. We constrained our ratings because of the potential for additional interest shortfalls from additional workout fees if and when the two remaining loans pay off in full. The Willowbrook Mall loan and the defeased AT&T Building loan were previously with the special servicer, Berkadia Commercial Mortgage LLC (Berkadia), and have been returned as corrected mortgage loans to the master servicer, also Berkadia. Pursuant to the transaction documents, the special servicer is entitled to a workout fee equal to 1.0% of all future and principal and interest payments on the loans if they continue to perform and remain with the master servicer. As of the April 16, 2012, trustee remittance report, the trust shorted interest totaling $26,896 for the two remaining loans," S&P said. "We lowered our rating on the class G certificates to 'B- (sf)' because we believe the accumulated interest shortfalls will remain outstanding for the foreseeable future. Class G has accumulated interest shortfalls outstanding for 11 months," 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 ratings on the class EIO, X, and XC interest-only (IO) certificates based on our current criteria," S&P said. "The Willowbrook Mall loan has a trust and whole-loan balance of $149.5 million (43.5%) and is secured by 496,656 sq. ft. of a 1.5 million-sq.-ft. super-regional mall, in Wayne, N.J. The loan was modified on Dec. 30, 2009. The modification terms include, among other items, a maturity extension to June 30, 2016 (with no additional extension options), a new monthly amortization schedule, and an agreement that the sponsor will repay legal, title, and appraisals expenses. As of the April 16, 2012, trustee remittance report, the trust incurred a monthly workout fee of $11,434. The master servicer reported an in-trust debt service coverage (DSC) of 2.22x for year-end 2011 and an occupancy of 97.6% as of the Dec. 31, 2011, rent roll. Our adjusted valuation, using a 7.75% capitalization rated, yielded a stressed in-trust loan-to-value (LTV) ratio of 48.4%," S&P said. "The defeased AT&T Building loan has a trust balance of $193.8 million. Prior to the defeasance, the loan was transferred to the special servicer and subsequently modified. The commercial real estate securing the AT&T building loan was released from its lien and substituted with defeasance collateral consisting of U.S. government obligations. As of the April 16, 2012, trustee remittance report, a monthly workout fee of $15,462 was in effect for the loan. The loan matures on Aug. 1, 2016," 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 Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING LOWERED COMM 2001-J2 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) G B- (sf) BB+ (sf) 3.49 RATINGS AFFIRMED COMM 2001-J2 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A2 AAA (sf) 97.80 A2F AAA (sf) 97.80 B AAA (sf) 71.05 C AAA (sf) 37.28 D AA (sf) 28.07 E A+ (sf) 17.10 ECS A+ (sf) 17.10 F A- (sf) 13.16 EIO A+ (sf) N/A X AAA (sf) N/A XC AAA (sf) N/A N/A - Not applicable. COMM 2012-CCRE1: Moody's Assigns '(P) B2' Rating to Cl. G Certs. ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to thirteen classes of CMBS securities, issued by COMM 2012-CCRE1, Commercial Mortgage Pass-Through Certificates, Series 2012-CCRE1. Cl. A-1, Assigned (P) Aaa (sf) Cl. A-2, Assigned (P) Aaa (sf) Cl. A-3, Assigned (P) Aaa (sf) Cl. A-SB, Assigned (P) Aaa (sf) Cl. X-A, Assigned (P) Aaa (sf) Cl. A-M, Assigned (P) Aaa (sf) Cl. B, Assigned (P) Aa2 (sf) Cl. C, Assigned (P) A2 (sf) Cl. X-B, Assigned (P) Ba3 (sf) Cl. D, Assigned (P) Baa3 (sf) Cl. E, Assigned (P) Ba2 (sf) Cl. F, Assigned (P) Ba2 (sf) Cl. G, Assigned (P) B2 (sf) Ratings Rationale The Certificates are collateralized by 54 fixed rate loans secured by 76 properties. The ratings are based on the collateral and the structure of the transaction. Moody's CMBS ratings methodology combines both commercial real estate and structured finance analysis. Based on commercial real estate analysis, Moody's determines the credit quality of each mortgage loan and calculates an expected loss on a loan specific basis. Under structured finance, the credit enhancement for each certificate typically depends on the expected frequency, severity, and timing of future losses. Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's LTV ratio. The Moody's Actual DSCR of 1.52X is greater than the 2007 conduit/fusion transaction average of 1.31X. The Moody's Stressed DSCR of 1.11X is greater than the 2007 conduit/fusion transaction average of 0.92X. Moody's Trust LTV ratio of 94.9% is lower than the 2007 conduit/fusion transaction average of 110.6%. Moody's Total LTV ratio (inclusive of subordinated debt) of 95.0% is also considered when analyzing various stress scenarios for the rated debt. Moody's also considers both loan level diversity and property level diversity when selecting a ratings approach. With respect to loan level diversity, the pool's loan level (includes cross collateralized and cross defaulted loans) Herfindahl score is 23.9. The transaction's loan level diversity is at the higher end of the band of Herfindahl scores found in most multi-borrower transactions issued since 2009. With respect to property level diversity, the pool's property level Herfindahl score is 25.0. The transaction's property diversity profile is higher than the indices calculated in most multi-borrower transactions issued since 2009. This deal has a super-senior Aaa class with 30% credit enhancement. Although the additional enhancement offered to the senior most certificate holders provides additional protection against pool loss, the super-senior structure is credit negative for the certificate that supports the super-senior class. If the support certificate were to take a loss, the loss would have the potential to be quite large on a percentage basis. Thin tranches need more subordination to reduce the probability of default in recognition that their loss-given default is higher. This adjustment helps keep expected loss in balance and consistent across deals. The transaction was structured with additional subordination at class A-M to mitigate the potential increased severity to class A-M. Moody's also grades properties on a scale of 1 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 2.2, which is higher than the indices calculated in most multi-borrower transactions since 2009. 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 analysis employs the excel-based CMBS Conduit Model v2.50 which derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level DSCR and LTV ratios. Major adjustments to determining proceeds include loan structure, property type, sponsorship, and diversity. Moody's analysis also uses the CMBS IO calculator ver1.0, which references 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 V Score for this transaction is assessed as Low/Medium, the same as the V Score assigned to the U.S. Conduit and CMBS sector. This reflects typical volatility with respect to the critical assumptions used in the rating process as well as an average disclosure of securitization collateral and ongoing performance. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling, and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If Moody's value of the collateral used in determining the initial rating were decreased by 5%, 14%, and 23%, the model-indicated rating for the currently rated Aaa Super Senior class would be Aaa, Aaa, and Aa1, respectively; for the most junior Aaa rated class A-M would be Aa1, Aa2, and A1, respectively. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time; rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. These ratings: (a) are based solely on information in the public domain and/or information communicated to Moody's by the issuer at the date it was prepared and such information has not been independently verified by Moody's; (b) must be construed solely as a statement of opinion and not a statement of fact or an offer, invitation, inducement or recommendation to purchase, sell or hold any securities or otherwise act in relation to the issuer or any other entity or in connection with any other matter. Moody's does not guarantee or make any representation or warranty as to the correctness of any information, rating or communication relating to the issuer. Moody's shall not be liable in contract, tort, statutory duty or otherwise to the issuer or any other third party for any loss, injury or cost caused to the issuer or any other third party, in whole or in part, including by any negligence (but excluding fraud, dishonesty and/or willful misconduct or any other type of liability that by law cannot be excluded) on the part of, or any contingency beyond the control of Moody's, or any of its employees or agents, including any losses arising from or in connection with the procurement, compilation, analysis, interpretation, communication, dissemination, or delivery of any information or rating relating to the issuer. COMM MORTGAGE: Fitch Downgrades Rating on 5 Certificate Classes --------------------------------------------------------------- Fitch Ratings has downgraded five classes of COMM Mortgage Trust 2004-LNB2, commercial mortgage pass-through certificates. The downgrades are due to an increase in Fitch expected losses attributed to the deterioration in performance of several Fitch loans of concern since its last rating action. Fitch modeled losses of 5.36% of the outstanding pool. The expected losses of the original pool are at 3.71%, which includes 0.45% to date. Cumulative interest shortfalls totaling $2.9 million are affecting classes J through P. As of the May 2012 distribution date, the pool's certificate balance has paid down 38.7% to $586.6 million from $963.7 million. Fitch identified 12 (9.7%) Fitch Loans of Concern, including three (4.8%) real estate owned (REO) assets. In addition, there are eight loans (one partial), representing 24.7% of the pool defeased. The largest contributor to modeled losses is a 94,543 square foot (sf) REO office building located in Trevose, PA (2.3% of the pool). The special servicer took title to the property via foreclosure in April 2011. CBRE was engaged as receiver and retained as property manager and leasing agent. The second largest contributor to expected losses is a 66,285 sf REO office building located in Bensalem, PA (1.7%). The loan transferred to special servicing in June 2009 for monetary default and the special servicer took title to the property via foreclosure in April 2011. CBRE is the property manager and leasing agent for this property as well. The third largest contributor to Fitch expected losses is an REO asset with four apartment buildings comprising of 281 units located in Huntsville, AL (0.76%). The special servicer had taken the property through foreclosure in April 2011. The property was subsequently put up for sale and its second contract for sale fell through last month. The special servicer reports that they are currently addressing deferred maintenance issues at the property before returning it to the market. Fitch downgrades the following classes, revises Outlooks and assigns Recovery Estimates (REs) as indicated: -- $9.6 million class F to 'BBBsf' from 'Asf'; Outlook Stable; -- $10.8 million class G to 'BBsf' from 'BBB-sf'; Outlook to Negative from Stable; -- $4.8 million class J to 'CCCsf' from 'B-sf'; RE 100%; -- $6 million class K to 'CCsf' from 'CCCsf'; RE 10%; -- $4.8 million class M to 'Csf' from 'CCsf'; RE 0%. Fitch affirms the following classes, revises Outlooks and assigns Recovery Estimates (REs) as indicated: -- $460.8 million class A-4 at 'AAAsf'; Outlook Stable; -- $25.2 million class B at 'AAAsf'; Outlook Stable; -- $9.6 million class C at 'AAAsf'; Outlook Stable; -- $19.2 million class D at 'AAsf'; Outlook Stable; -- $8.4 million class E at 'AAsf'; Outlook Stable; -- $10.8 million class H at 'Bsf'; Outlook to Negative from Stable; -- $3.6 million class L at 'CCsf'; RE 0%; -- $2.4 million class N at 'Csf'; RE 0%; -- $1.2 million class O at 'Csf'; RE 0%. Fitch does not rate class P. Classes A-1, A-2, and A-3 have paid in full. Fitch had previously withdrawn the ratings on the interest-only classes X-1 and X-2. COMSTOCK FUNDING: S&P Raises Rating on Class D Notes to 'BB+' ------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1A, A-1B, A-3, B, and D notes from Comstock Funding Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Silvermine Capital Management LLC, and affirmed the ratings on the class A-2 and C notes. "Simultaneously, we removed our ratings on the class A-1A, A-1B, A-2, and A-3 notes from CreditWatch, where we placed them with positive implications on Feb. 10, 2012," S&P said. "We upgraded the class A-1A, A-1B, A-3, B, and D tranches due to an increase in their credit support at the prior rating levels," S&P said. "All overcollateralization (O/C) ratios increased since our last rating action in July 2011 primarily due to (a) smaller haircut in the O/C numerator, and (b) additional income notes issued in October 2011," S&P said. "According to the transaction documents, when calculating O/Cs, the trustee haircuts SF securities that fall under specific rating categories," S&P said. "The haircut was approximately $17.9 million (or 4.4%) of the performing collateral (including principal proceeds) in the June 2011 monthly trustee report that we used for the July 2011 rating action. This haircut had decreased to $2.78 million (or 0.65%) of the performing collateral (including principal proceeds) in the April 2012 monthly trustee report," S&P said. In addition, the transaction received $13 million in the form of income notes in October 2011 that increased the O/C ratios. Standard & Poor's also notes that the transaction resumed its reinvestment activities in November 2011 following the removal of the restriction in its reinvestment activities. Following the reinvestment, the 'CCC' rated obligations declined to 3.51% in April 2012 from 5.86% in June 2011. The improved credit quality of the assets decreased the scenario default rates of the portfolio that in-turn increased the credit support to the rated notes. The current balances of the class A-1A and A-1B (pari-passu notes) are 86.24% of the original balance. These notes were paid down in the past due to failure of coverage tests. Similarly, the current balance of the class D notes is 92.22% of its original balance. This was due to paydowns in the past following failure of the class D coverage test. The transaction structure applies available interest proceeds upon failure of the class D coverage test to pay down the class D notes. "All coverage tests are currently passing and the transaction has not paid down any of the note balances since our last rating actions," S&P said. "We affirmed the ratings on the class A-2 and C notes based on our opinion that the credit support available at the current rating level is sufficient," 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 Comstock Funding Ltd. Rating Class To From A-1A AAA (sf) AA+ (sf)/Watch Pos A-1B AAA (sf) AA+ (sf)/Watch Pos A-2 AA+ (sf) AA+ (sf)/Watch Pos A-3 AA+ (sf) AA- (sf)/Watch Pos B A+ (sf) A (sf) D BB+ (sf) BB (sf) RATING AFFIRMED Comstock Funding Ltd. Class Rating C BBB (sf) DIVERSIFIED GLOBAL: Moody's Raises Rating on Class C Notes to B1 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of two classes of notes issued by Diversified Global Securities Limited II, Ltd. The notes affected by the rating action are as follows: U.S.$12,000,000 Class B Fixed Rate Senior Subordinate Notes, Due December 17, 2017 (current outstanding balance of $193,142), Upgraded to Aaa (sf); previously on October 10, 2011 Upgraded to Baa2 (sf); and U.S.$12,000,000 Class C Floating Rate Subordinate Notes, Due December 17, 2017, Upgraded to B1 (sf) ; previously on October 10, 2011 Upgraded to B3 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes are primarily a result of delevering of the Class B Notes and an increase in the transaction's overcollateralization ratios since the rating action in October 2011. Moody's notes that the Class B Notes have been paid down by approximately 98% or $11.8 million since the last rating action. Based on the latest trustee report dated April 10, 2012, the Class A/B and Class C overcollateralization ratios are reported at 10696.20% and 191.13%, respectively, versus October 2011 levels of 261.83% and 142.34%, respectively. Diversified Global Securities Limited II is a collateralized debt obligation backed primarily by a portfolio of Collateralized Loan Obligations. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in May 2012. 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 pool. 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 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 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 Assets notched up by 2 rating notches: Class B: 0 Class C: 0 Moody's Caa Assets notched down by 2 rating notches: Class B: 0 Class C: -2 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the performance of the underlying assets, which are Collateralized Loan Obligations whose assets are primarily speculative-grade debt maturing between 2014 and 2016. CDO notes' performance may also be impacted by divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties include pace of delevering and weighted average life assumption on the underlying assets. FLAGSHIP CLO III: S&P Raises Rating on Class D Notes to 'BB+' ------------------------------------------------------------- Standard & Poor's Ratings Services raised and removed from CreditWatch positive its ratings on three classes of notes from Flagship CLO III, a collateralized loan obligation (CLO) transaction managed by Deutsche Asset Management Inc. "We also affirmed our ratings on two classes from the same transaction," S&P said. "The rating actions reflect the increased level of credit support available to rated notes as the deal continues to amortize and pay down the class A notes. Since our last review, the class A notes, collectively, have paid down by more than $122 million to 27% of their original issuance amount. The principal pay downs were a large factor in the increase of the class D overcollateralization (O/C) test to 108.80% in April 2012 from 105.64%, in August 2011. The balance of 'CCC' rated assets is $5.5 million, 2.4% of the total portfolio balance," S&P said. "The balance of long dated securities is $5.3 million, which now represents 4.16% of the performing portfolio balance. Although we expect this percentage to rise as the portfolio continues to amortize, the credit risks due to market values is less pronounced given the high O/C levels," 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 ACTIONS Flagship CLO III Rating Class To From B AA+ (sf) A+ (sf)/Watch Pos C A+ (sf) BBB- (sf)/Watch Pos D BB+ (sf) B+ (sf)/Watch Pos RATINGS AFFIRMED Flagship CLO III Class Rating A Funded AAA (sf) A Revolving AAA (sf) FIRST NATIONAL: S&P Affirms 'BB' Ratings on 2 Note Series --------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on seven classes of notes issued out of First National Master Note Trust. "The affirmations concluded our recent review of credit card asset-backed securities (ABS) deals backed by bankcard receivables for the U.S. bank credit card ABS that we rate. The overall collateral performance of the credit card receivables backing the trust has stabilized during the last 18-24 months. As part of the review, we updated, in certain instances, our base-case assumptions and stresses to the key performance variables (yield, loss, and payment rates) that we use in modeling and rating credit card ABS," S&P said. Current Previous Base case yield 14 - 16% 14 - 16% AAA stressed 10.00% 9.50% AA stressed 10.50% 10.00% A stressed 11.00% 10.50% BB stressed 12.00% 11.25% BB stressed 12.75% 12.00% Current Previous Base case loss 6.5 - 8.5% 10 - 12% AAA stressed 34.00% 37.40% AA stressed 27.75% N/A A stressed 21.25% 26.40% BBB stressed 15.00% 16.50% BB stressed 12.00% 13.75% Current Previous Base case payment rate 12 - 14% 12 - 14% AAA stressed 6.50% 6.50% AA stressed 7.15% 7.15% A stressed 7.80% 7.80% BBB stressed 9.75% 9.75% BB stressed 10.40% 10.40% Purchase rate Current Previous AAA stressed 1 - 3% 1 - 3% AA stressed 1.5 - 3.5% 1.5 - 3.5% A stressed 3 - 5% 3 - 5% BBB stressed Flat* Flat BB stressed Flat Flat *Flat means we assume a non-declining principal receivables balance in this rating scenario. 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 AFFIRMED First National Master Note Trust Series Class Rating 2008-2 B A (sf) 2008-2 C BBB (sf) 2008-2 D BB (sf) 2009-3 A AAA (sf) 2009-3 B A (sf) 2009-3 C BBB (sf) 2009-3 D BB (sf) FRIEDBERGMILSTEIN PRIVATE: S&P Hikes Ratings on 2 Classes to 'BB+' ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on all six rated classes from FriedbergMilstein Private Capital Fund I, a U.S. collateralized loan obligation (CLO) transaction managed by FriedbergMilstein LLC. "In addition, we removed these ratings from CreditWatch with positive implications," S&P said. "The upgrades reflect principal paydowns and improved credit performance we have observed in the underlying asset pool since January 2011," S&P said. "This transaction is currently in its amortization phase. Since Jan. 10, 2010, the transaction has paid down the class A notes in full. Class B-1 and B-2 receive principal distribution on a prorata basis, and both notes have paid down to 89.85% of their original balances. Since January 2010, the class D-1 and D-2 notes have paid back $2.57 million of deferred interest but have not paid back all previously deferred interest," S&P said. "The credit quality of the transaction's underlying asset portfolio has improved since our last rating action on Feb. 9, 2011. This has benefited the rated notes with a decrease in the amounts of 'CCC' rated and defaulted obligations held in the transaction. The 'CCC' rated and defaulted obligations have decreased by $17.27 million and $24.31 million between January 2011 and April 2012," S&P said. "When calculating the overcollateralization (O/C) ratios, the trustee haircuts 'CCC' assets which are in excess of 12.5% of the aggregate collateral balance. In the April 5, 2012, trustee report, there was a $5.1 million haircut (compared with no haircut in Jan. 10, 2011). Despite this haircut, overall O/C ratios improved due to principal paydowns. For example, the class A/B O/C ratio was 216.71% in April 2012, up from 140.62% in January 2011," 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 Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS FriedbergMilstein Private Capital Fund I Rating Class To From B-1 AAA (sf) AA+ (sf)/Watch Pos B-2 AAA (sf) AA+ (sf)/Watch Pos C-1 AAA (sf) A+ (sf)/Watch Pos C-2 AAA (sf) A+ (sf)/Watch Pos D-1 BB+ (sf) B+ (sf)/Watch Pos D-2 BB+ (sf) B+ (sf)/Watch Pos FRONTIER EQUIPMENT: Moody's Cuts Rating on Class A Notes to 'C' --------------------------------------------------------------- Moody's Investors Service downgraded the Class A notes from Frontier Equipment Receivables Trust 2004-1. The securitized pool consists of equipment loans, primarily backed by coin laundry and car wash equipment. The transaction is serviced by Frontier Leasing Corporation. The complete rating action is as follows: Issuer: Frontier Equipment Receivables Trust 2004-1 Cl. A, Downgraded to C (sf); previously on Mar 29, 2010 Downgraded to Caa2 (sf) The rating action was prompted by the fact that the Class A Notes are currently undercollateralized in the amount of $196 thousand. As of the March 2012 payment date, only four performing contracts remain in the pool. Because there is no cash left in the reserve account, and both Classes B and C have been written down, the Class A will absorb any future collateral losses. The Class A note has a legal final maturity of November 15, 2012, by which time it will likely receive 5-10% of the current bond balance. The primary source of uncertainty in the performance of this transaction is the current macroeconomic environment. The principal methodology used in this rating was "Moody's Approach to Rating Securities Backed by Equipment Leases and Loans," published March 2007. GALAXY IV: Moody's Upgrades Ratings on Two Note Classes to 'Ba1' ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Galaxy IV CLO, Ltd.: $21,000,000 Class B Senior Floating Rate Notes Due 2017, Upgraded to Aaa (sf); previously on August 3, 2011 Upgraded to Aa1 (sf); $25,000,000 Class C Deferrable Mezzanine Notes Due 2017, Upgraded to A1 (sf); previously on August 3, 2011 Upgraded to Baa1 (sf); $14,500,000 Class D Deferrable Mezzanine Floating Rate Notes Due 2017, Upgraded to Ba1 (sf); previously on August 3, 2011 Upgraded to Ba2 (sf); and $5,500,000 Class D Deferrable Mezzanine Fixed Rate Notes Due 2017, Upgraded to Ba1 (sf); previously on August 3, 2011 Upgraded to Ba2 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging and an increase in the transaction's overcollateralization ratios. Moody's notes that the Class A Notes have been paid down approximately 37% or $100 million since the rating action in August 2011. As a result of the deleveraging, the overcollateralization ratios have increased since the last rating action. Based on the latest trustee report dated April 5, 2012, the Senior and Mezzanine overcollateralization ratios are reported at 128.87% and 108.02%, respectively, versus July 2011 levels of 121.42% and 106.32%, respectively. The April 2012 trustee reported overcollateralization ratios do not reflect deleveraging on the April 17, 2012 payment date. Notwithstanding the deleveraging of the transaction, Moody's notes that the credit quality of the underlying portfolio has deteriorated since the rating action in August 2011. In particular, the trustee reported weighted average rating factor is currently 2723 compared to 2561 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 $257 million, zero defaulted par, a weighted average default probability of 16% (implying a WARF of 2879), a weighted average recovery rate upon default of 51.4%, and a diversity score of 57. 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. Galaxy IV CLO, Ltd., issued in March 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The methodologies used in this rating were "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011 and "Using the Structured Note Methodology to Rate CDO Combo-Notes" published in February 2004. 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, 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% (2303) Class A-1: 0 Class A-2: 0 Class B: 0 Class C: +1 Class D Floating: +2 Class D Fixed: +2 Class Z Combination: 0 Moody's Adjusted WARF + 20% (3454) Class A-1: 0 Class A-2: 0 Class B: 0 Class C: -1 Class D Floating: -1 Class D Fixed: -1 Class Z Combination: 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. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described below: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging 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) Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes an asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. GE CAPITAL: Fitch Affirms 'Dsf' Rating on $5.5MM Class H Certs -------------------------------------------------------------- Fitch Ratings has affirmed four classes of GE Capital Commercial Mortgage Corporation's commercial mortgage pass-through certificates, series 2000-1. The affirmations are due to sufficient credit enhancement after consideration for both the defeased loan and expected losses from the specially serviced loans. As of the April 2012 distribution date, the pool's aggregate principal balance has been reduced by 95.6% to $31.1 million from $707 million at issuance. Fitch expects the pool to incur a total of 6.75% in losses of the original pool balance including 5.1% experienced to date. The pool is concentrated with only nine loans remaining. One loan (2.6%) has been defeased. There are currently four specially serviced loans (84.2%) in the pool. Interest shortfalls are affecting classes G through M. The largest contributor to Fitch-modeled losses (31.8%) is a specially-serviced loan secured by 153,074 square foot (sf) office building located in Denver, CO. The loan transferred to special servicing on March 16, 2010 and was scheduled to mature in November 2010. The property is now under contract for sale. Fitch affirms the following classes and revises Outlooks as indicated: -- $1.7 million class F at 'BBB-sf'; Outlook to Stable from Negative; -- $23.9 million class G at 'Csf'; RE 15%; -- $5.5 million class H at 'Dsf'; RE 0%; -- Class I at 'Dsf'; RE 0%. Classes A-1, A-2 and B through E have paid in full. Fitch does not rate class M. The ratings on classes X and J through L have previously been withdrawn. GEM VIII: Moody's Hikes Rating on US$600MM Q-3 Notes From 'Ba1' --------------------------------------------------------------- Moody's Investors Service has taken action on the ratings of the following notes issued by GEM VIII Limited: U.S. $25,000,000 A-3 Notes, Upgraded to Aaa (sf); previously on June 29, 2005 Assigned Aa2 (sf); U.S. $40,000,000 B Notes, Upgraded to Aa1 (sf); previously on June 29, 2005 Assigned A3 (sf); U.S. $10,000,000 Q-1 Notes, Upgraded to Aa1 (sf); previously on September 16, 2010 Upgraded to A1 (sf); U.S. $6,000,000 Q-3 Notes, Upgraded to Baa2 (sf); previously on September 16, 2010 Upgraded to Ba1 (sf). Ratings Rationale According to Moody's, the upgrade actions taken on the Class A-3 Notes and Class B Notes are primarily a result of the deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the rating action in September 2010. Moody's notes that the Class A-1A Notes and Class A-1B Notes have been paid down by approximately 41% or $81.6 million and $10.2 million respectively, since the last rating action. Based on the latest trustee report dated April 15, 2012, the Class A, Class B, Class C and Class D overcollateralization ratios are reported at 164.2%, 138.4%, 122.9% and 116.0%, respectively, versus July 2010 levels of 149.5%, 132.2%, 121.0% and 115.8%, 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 2010. Based on the April 2012 trustee report, the weighted average rating factor is currently 1,560 compared to 1,698 in July 2011. The rating actions taken on the Class Q1 combination Notes and Class Q3 combination Notes result primarily from the reduction of the Stated Principal balances due to consistent distributions from their underlying note components, which include the Income Notes, the Class B Notes, and the Class D-1 Notes. The Stated Principal balances for the Class Q-1 combination Notes and the Class Q-3 combination Notes are reduced by any distributions to the combination notes. The combination notes are now overcollateralized by their respective rated note components. According to the April 2012 payment date report, the Class Q-1 combination Notes have a Stated Principal balance of $4.4 million which is supported by $6.5 million of Class B Notes and $3.5 million of Income Notes. The Class Q-3 combination Notes have a Stated Principal balance of $0.3 million which is supported by $2 million of Class D-1 Notes and $4 million of Income Notes. Moody's ratings of the Class Q-1 combination Notes and Class Q-3 combination Notes addresses solely the repayment of the Stated Principal. Additionally, Moody's notes that the underlying portfolio includes a number of investments in securities that mature after the maturity date of the notes. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. Moody's factored in the rating actions the added volatility due to the Notes' exposure to this market risk. Based on the April 2012 trustee report, reference securities that mature after the maturity date of the notes currently make up approximately 18% of the portfolio. Moody's generally assumes an asset's terminal value upon liquidation at the transaction maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. The average market value of securities that mature after the maturity date of the notes is currently estimated to be in excess of 100%, while the average of the assumed liquidation values is about 38% in this transaction. Notably, given that optional redemptions of these assets can potentially eliminate exposure to the above mentioned liquidation market risk, and given the high current market values on these assets, Moody's assumed as a central case a liquidation value of 75% and ran sensitivity analyses using 38% and 100%. The analyses indicates that the Class C Notes, Class D-1 Notes, and the Class D-2 Notes are particularly sensitive to the long dated assets' liquidation value assumption. 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 and weighted average recovery rate, may be different from the trustee's reported numbers. In its central case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $344 million, defaulted par of $20.1 million, a weighted average default probability of 11.53% (implying a WARF of 2,134), a weighted average mean recovery rate upon default of 28.7%. The default and recovery properties of the collateral pool are simulated in a CDOROM model to generate a loss distribution then incorporated in a cash flow model analysis. The default probability of each exposure is derived from the senior unsecured rating and expected weighted average life. The average recovery rate to be realized on future defaults is based primarily on the variable recovery rate assumptions under CDOROM v2.8 and a mean of 40% and a standard deviation of 30% for sovereign exposures. Historical and market performance trends, and collateral manager latitude for trading the collateral are also factors. GEM VIII limited, issued in June 2005, is a collateralized debt obligation backed primarily by a portfolio of senior unsecured loans and bonds from emerging market corporate and sovereign issuers. The principal methodologies used in this rating were "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011 and "Using the Structured Note Methodology to Rate CDO Combo-Notes" published in February 2004. Other factors used in this rating are described in "Moody's Revises Its Methodology For Emerging Market CDOs" published in April 2007. Moody's modeled the transaction using CDOROM v2.8 to simulate a loss distribution then applied to a cash flow model, similar to the approach used for static cashflow structured finance CDOs, as described in Section 3.3.3 and 3.3.4 of the "Moody's Approach to Rating SF CDOs" rating methodology published in November 2010. In addition to the central case analysis described, Moody's also performed sensitivity analyses to test the impact on all rated notes of various liquidation value at maturity for the bucket of assets maturing after the maturity date of the transaction. Below is a summary of the impact of different liquidation value 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: Long Dated Liquidation value at 38% Class A-1A: 0 Class A-1B: 0 Class A2: 0 Class A3: 0 Class B: - 3 Class C: - 5 Class D1: - 7 Class D2: - 6 Class Q1: - 1 Class Q2: 0 Class Q3: 0 Long Dated Liquidation value at 100% Class A-1A: 0 Class A-1B: 0 Class A2: 0 Class A3: 0 Class B: 0 Class C: + 3 Class D1: + 2 Class D2: + 2 Class Q1: 0 Class Q2: + 1 Class Q3: 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) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the bond and 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 assets not rated by Moody's: The deal is exposed to a number of securities for which default probabilities cannot be derived from Moody's public ratings. When no Moody's rating is outstanding, and in the event that Moody's does not have the necessary information to assign or update a credit estimate, the transaction may be impacted by any default probability stresses Moody's may assume in lieu of updated credit estimates. GRANITE VENTURES III: S&P Affirms 'B+' Rating on Class D Notes -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2, B, and C notes from Granite Ventures III Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Stone Tower Debt Advisors LLC. "At the same time, we removed our ratings from CreditWatch, where we had placed them with positive implications on Feb. 10, 2012. Simultaneously, we affirmed the ratings on the class A-1 and D notes and removed the rating on the class D notes from CreditWatch with positive implications," S&P said. "The transaction is currently in its amortization phase. Since our last rating action in June 2011, the transaction has paid down the class A-1 notes to $84.74 million, or 27.16% of the original balance, from $209.04 million, or 67% of the original balance," S&P said. The lower balance of the class A-1 note improved the overcollateralization (O/C) ratios. The trustee reported these O/C ratios in the April 2012 monthly report: * The class A O/C ratio was 143.54%, compared with a reported ratio of 126.34% as observed in May 2011 ,which we used at our last review; * The class B O/C ratio was 125.43%, compared with a reported ratio of 116.15% as observed in May 2011; * The class C O/C ratio was 113.28%, compared with a reported ratio of 108.70% as observed in May 2011; and * The class D O/C ratio was 108.93%, compared with a reported ratio of 105.91% as observed in May 2011. "Based on the increased credit support, we raised our ratings on the class A-2, B, and C notes, and removed the ratings from CreditWatch positive," S&P said. "We affirmed our rating on the class A-1 notes to reflect our view that the credit support available is commensurate with the current rating level at 'AAA' (sf)," S&P said. "The rating on the class D notes reflects the application of the largest obligor default test, a supplemental stress test we introduced as a part of our September 2009 corporate criteria update," 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 Granite Ventures III Ltd. Rating Rating Class To From A-2 AAA (sf) AA+ (sf)/ Watch Pos B AA+ (sf) A- (sf)/ Watch Pos C BBB+ (sf) BB+ (sf)/ Watch Pos D B+ (sf) B+ (sf)/ Watch Pos RATING AFFIRMED Granite Ventures III Ltd. Class Rating A-1 AAA (sf) GREENWICH CAPITAL: Performance Declines Cue Fitch to Cut Ratings ---------------------------------------------------------------- Fitch Ratings has downgraded five classes of Greenwich Capital Commercial Funding Corp. commercial mortgage pass-through certificates, series 2004-FL2 (GCCFC 2004-FL2). The downgrades classes reflect performance declines of the only loan remaining in the pool, Southfield Town Center. The class L remains at 'D' due to $375,585 in principal losses from non- recoverable advances. Southfield Town Center loan is secured by a 2.2 million square foot office complex located in Southfield, Michigan. Occupancy has been declining over the last three years, reported at 67.2% as of March 2012, compared to 70.5% at year-end (YE) 2010 and 75% at YE 2009. The Southfield submarket of Detroit reported a vacancy of 30.6% as of first quarter 2012, which indicates the subject is performing in-line with the market. Tenancy is diverse with no tenant comprising more than 5% of the space. The three largest tenants are Fifth Third Bank, Microsoft and Alix Partners LLP. Rollover averages about 10% per year over the next three years, which may put further pressure on occupancy. The YE 2011 net operating income (NOI) declined 17% compared to YE 2010 due to a decline in rental revenues combined with higher expenses. The loan exercised its final extension in July 2011, and matures in July 2012. The borrower has not yet indicated if it will pay off the loan at maturity. Fitch has downgraded the following classes: -- $19.5 million class G to 'AAsf' from 'AAAsf'; Outlook Stable; -- $14.5 million class H to 'Asf' from 'AAsf'; Outlook Stable; -- $23.1 million class J to 'BBB-sf' from 'A-sf'; Outlook to Stable from Negative; -- $103 million class K to'BBsf' from 'BBBsf'; Outlook to Stable from Negative; -- $7.4 million class N-SO to 'B-sf' from'BBB-sf'; Outlook Negative. Fitch has affirmed the following classes: -- $4.2 million class C at 'AAAsf'; Outlook Stable; -- $22.7 million class D at 'AAAsf'; Outlook Stable; -- $12.4 million class E at 'AAAsf'; Outlook Stable; -- $22.8 million class F at 'AAAsf'; Outlook Stable; -- $15.3 million class L at 'Dsf/RE 90%'; GREYLOCK SYNTHETIC: Moody's Lifts Rating on $87MM Notes to 'B3' --------------------------------------------------------------- Moody's Investors Service announced the following rating actions on tranches of Greylock Synthetic CDO, a collateralized debt obligation transaction (the " Collateralized Synthetic Obligation" or "CSO"). The CSO references a portfolio of senior unsecured corporate bonds. The CSO is due in 2014. Series 1 $105,000,000 Sub-Class A3-$LMS Notes Due 2014 (current balance $65,000,000), Upgraded to B1(sf); previously on Jun 3, 2011 Upgraded to B2(sf) Series 1 $87,000,000 Sub-Class A4-$L Notes Due 2014 (current balance $80,000,000), Upgraded to B3(sf); previously on Jun 3, 2011 Upgraded to Caa1(sf) Series 3 EUR15,000,000 Sub-Class A1-ELMS Notes Due 2014, Upgraded to Baa3(sf); previously on Jun 3, 2011 Upgraded to Ba1(sf) Series 6 $100,000,000 Sub-Class A1A-$LMS Notes Due 2014 (current balance $57,990,000), Upgraded to Baa3(sf); previously on Jun 3, 2011 Upgraded to Ba1(sf) Ratings Rationale Moody's rating action is the result of the shortened time to maturity of the CSO and the level of credit enhancement remaining in the transaction. In addition to these positive factors is the stable credit quality of the reference portfolio. Since the last rating review in July 2011, the ten year weighted average rating factor (WARF) of the portfolio remained stable. There are 14 reference entities with a negative outlook compared to 9 that are positive, and 10 entities on watch for downgrade compared to none on watch for upgrade. The portfolio has experienced six credit events, equivalent to 3.72% of the portfolio based on the portfolio notional value at closing. Since inception, the subordination of the rated tranches have been reduced by approximately 1.5% due to credit events. There have been no additional credit events since the previous rating action In addition, the portfolio is exposed to Clear Channel Enterprises, which has not had a credit event, but nonetheless is rated Ca. The tranches have a remaining life of 1.9 years. The principal methodology used in this rating was "Moody's Approach to Rating Corporate Collateralized Synthetic Obligations" published in September 2009. Moody's analysis for this transaction is based on CDOROM v2.8. Moody's rating action factors in a number of sensitivity analyses and stress scenarios, discussed below. Results are given in terms of the number of notches' difference versus the base case, where higher notches correspond to lower expected losses, and vice- versa: - Moody's reviews a scenario consisting of reducing the maturity of the CSO by six months, keeping all other things equal. Compared to the base case, the results of this run is half a notch to one notch higher. - Market Implied Ratings ("MIRS") are modeled in place of the corporate fundamental ratings to derive the default probability of the reference entities in the portfolio. The gap between an MIR and a Moody's corporate fundamental rating is an indicator of the extent of the divergence in credit view between Moody's and the market. The result of this run is half a notch to two notches lower than in the base case. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Corporate Synthetic Obligations", key model inputs used by Moody's in its analysis may be different from the manager/arranger's reported numbers. In particular, rating assumptions for all publicly rated corporate credits in the underlying portfolio have been adjusted for "Review for Possible Downgrade", "Review for Possible Upgrade", or "Negative Outlook". 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 analysis of CSOs is subject to uncertainties, the primary sources of which include complexity, governance and leverage. Although the CDOROM model captures many of the dynamics of the Corporate CSO structure, it remains a simplification of the complex reality. Of greatest concern are (a) variations over time in default rates for instruments with a given rating, (b) variations in recovery rates for instruments with particular seniority/security characteristics and (c) uncertainty about the default and recovery correlations characteristics of the reference pool. Similarly on the legal/structural side, the legal analysis although typically based in part on opinions (and sometimes interpretations) of legal experts at the time of issuance, is still subject to potential changes in law, case law and the interpretations of courts and (in some cases) regulatory authorities. The performance of this CSO is also dependent on on- going decisions made by one or several parties, including the Manager and the Trustee. Although the impact of these decisions is mitigated by structural constraints, anticipating the quality of these decisions necessarily introduces some level of uncertainty in Moody's assumptions. Given the tranched nature of CSO liabilities, rating transitions in the reference pool may have leveraged rating implications for the ratings of the CSO liabilities, thus leading to a high degree of volatility. All else being equal, the volatility is likely to be higher for more junior or thinner liabilities. The base case scenario modeled fits into the central macroeconomic scenario predicted by Moody's of a sluggish recovery scenario in the corporate universe. Should macroeconomics conditions evolve, the CSO ratings will change to reflect the new economic developments. GS MORTGAGE: Moody's Affirms Rating on Class X Certs. at 'Ba3' -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of two pooled classes and one interest-only class of GS Mortgage Securities Corporation II, Commercial Pass Through Certificates, Series 2007- EOP. Moody's rating action is as follows: Cl. A-1, Affirmed at Aaa (sf); previously on Jun 27, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed at Aaa (sf); previously on Jun 27, 2007 Definitive Rating Assigned Aaa (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. The loan benefits from a consistent cash flow derived from a portfolio of 95 office properties across the United States. 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 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 along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. 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 healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, 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, any or all of which will continue to constrain 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 8.4. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. The model incorporates the CMBS IO calculator ver1.0 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 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 September 29, 2011. DEAL PERFORMANCE As of the May 6, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 35% to $4.8 billion from $6.9 billion at securitization. The Certificates are collateralized by a single floating rate mortgage loan secured by 95 individual office properties. The properties total approximately 33 million owned square feet and are located in 13 states and the District of Columbia. The properties are also encumbered with additional debt in the form of mezzanine financing totaling $1.6 billion. The loan is secured by first priority mortgage liens as well as unencumbered equity pledges of borrower's joint venture interests, unencumbered cash flow pledges of the borrower's joint venture interests, encumbered cash flow pledges of the borrower's joint venture interests, and other collateral including covenants to apply proceeds and collateral note assignments. Moody's attributes value to only the mortgage properties for the rated classes. The loan was modified in December of 2010. Terms of the modification include a term extension with an initial maturity of February 2012 and two one-year extension options; a increased spread payable to certificate holders; fixed amortization; additional collateral; and 100% of the release price of released properties will be applied to the mortgage loan. Modification fees will be paid by the borrower. Moody's weighted average pooled loan to value (LTV) ratio is 101% and Moody's stressed debt service coverage ratio (DSCR) is 1.24X. Both LTV and DSCR are similar to the last review. GS MORTGAGE: Moody's Assigns '(P)B2' Rating to Class F Certs. ------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to thirteen classes of CMBS securities, issued by GS Mortgage Securities Trust Commercial Mortgage Pass-Through Certificates, Series 2012-GCJ7. Cl. A-1, Assigned (P) Aaa (sf) Cl. A-2, Assigned (P) Aaa (sf) Cl. A-3, Assigned (P) Aaa (sf) Cl. A-4, Assigned (P) Aaa (sf) Cl. A-AB, Assigned (P) Aaa (sf) Cl. X-A, Assigned (P) Aaa (sf) Cl. X-B, Assigned (P) Ba3 (sf) Cl. A-S, Assigned (P) Aaa (sf) Cl. B, Assigned (P) Aa3 (sf) Cl. C, Assigned (P) A3 (sf) Cl. D, Assigned (P) Baa3 (sf) Cl. E, Assigned (P) Ba2 (sf) Cl. F, Assigned (P) B2 (sf) RATINGS RATIONALE The Certificates are collateralized by 79 fixed rate loans secured by 175 properties. The ratings are based on the collateral and the structure of the transaction. Moody's CMBS ratings methodology combines both commercial real estate and structured finance analysis. Based on commercial real estate analysis, Moody's determines the credit quality of each mortgage loan and calculates an expected loss on a loan specific basis. Under structured finance, the credit enhancement for each certificate typically depends on the expected frequency, severity, and timing of future losses. Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's LTV ratio. The Moody's Actual DSCR of 1.42X is greater than the 2007 conduit/fusion transaction average of 1.31X. The Moody's Stressed DSCR of 1.09X is greater than the 2007 conduit/fusion transaction average of 0.92X. Moody's Trust LTV ratio of 97.8% is lower than the 2007 conduit/fusion transaction average of 110.6%. Moody's Total LTV ratio, (inclusive of subordinated debt) of 101.4% is also considered when analyzing various stress scenarios for the rated debt. Moody's also considers both loan level diversity and property level diversity when selecting a ratings approach. With respect to loan level diversity, the pool's loan level (includes cross collateralized and cross defaulted loans) Herfindahl Index is 33.9. The transaction's loan level diversity is at the higher end of the band of Herfindahl scores found in most multi-borrower transactions issued since 2009. With respect to property level diversity, the pool's property level Herfindahl Index is 40.2. The transaction's property diversity profile is higher than the indices calculated in most multi-borrower transactions issued since 2009. This deal has a super-senior Aaa class with 30% credit enhancement. Although the additional enhancement offered to the senior most certificate holders provides additional protection against pool loss, the super-senior structure is credit negative for the certificate that supports the super-senior class. If the support certificate were to take a loss, the loss would have the potential to be quite large on a percentage basis. Thin tranches need more subordination to reduce the probability of default in recognition that their loss-given default is higher. This adjustment helps keep expected loss in balance and consistent across deals. The transaction was structured with additional subordination at class A-S to mitigate the potential increased severity to class A-S. Moody's also grades properties on a scale of 1 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 2.5, which is higher than the indices calculated in most multi-borrower transactions since 2009. 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 analysis employs the excel-based CMBS Conduit Model v2.60 which derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level DSCR and LTV ratios. Major adjustments to determining proceeds include loan structure, property type, sponsorship and diversity. Moody's analysis also uses the CMBS IO calculator ver1.0 which references 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 V Score for this transaction is assessed as Low/Medium, the same as the V score assigned to the U.S. Conduit and CMBS sector. This reflects typical volatility with respect to the critical assumptions used in the rating process as well as an average disclosure of securitization collateral and ongoing performance. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling, and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If Moody's value of the collateral used in determining the initial rating were decreased by 5%, 14%, or 23%, the model-indicated rating for the currently rated junior Aaa class would be Aa1, Aa2, A1, respectively. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time; rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. These ratings: (a) are based solely on information in the public domain and/or information communicated to Moody's by the issuer at the date it was prepared and such information has not been independently verified by Moody's; (b) must be construed solely as a statement of opinion and not a statement of fact or an offer, invitation, inducement or recommendation to purchase, sell or hold any securities or otherwise act in relation to the issuer or any other entity or in connection with any other matter. Moody's does not guarantee or make any representation or warranty as to the correctness of any information, rating or communication relating to the issuer. Moody's shall not be liable in contract, tort, statutory duty or otherwise to the issuer or any other third party for any loss, injury or cost caused to the issuer or any other third party, in whole or in part, including by any negligence (but excluding fraud, dishonesty and/or willful misconduct or any other type of liability that by law cannot be excluded) on the part of, or any contingency beyond the control of, Moody's, or any of its employees or agents, including any losses arising from or in connection with the procurement, compilation, analysis, interpretation, communication, dissemination, or delivery of any information or rating relating to the issuer. JPMCM 2003-ML1: Fitch Affirms 'B-sf' Rating on $4.6MM Cl. N Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of J.P. Morgan Commercial Mortgage Securities Corp. 2003-ML1, commercial mortgage pass- through certificates. The affirmations are due to sufficient credit enhancement and stable performance of the pool. Fitch modeled losses of 2.46% of the remaining pool; expected losses of the original pool are at 2.19%, including 0.69% in realized losses to date. There are considerable upcoming maturities with 81.47% maturing by the end of 2013, of which 28.76% is defeased. Class NR is experiencing current cumulative interest shortfalls of $197,565. As of the April 2012 distribution date, the pool's certificate balance has paid down 38.2% to $568.3 million from $929.8 million. There are 20 (30.2%) defeased loans within the pool. Fitch identified 17 (14.75%) Loans of Concern, of which two (1.96%) are specially serviced. The largest contributor to modeled losses is a loan (1.13%) secured by a 33,412 square foot (SF) suburban office building located in Santa Monica, CA. The property has suffered from declining performance as a result of lower occupancy. As per the property's rent roll, the occupancy as of March 2012 was 40.3%. The servicer reported 2011 year-end debt service coverage ratio (DSCR) was 0.43 times (x) compared to 1.53x at issuance. The second largest contributor to modeled losses is a loan (0.95%) secured by a 122,253 SF office building located in Sacramento, CA. The loan transferred to special servicing in April 2011 due to monetary default. The special servicer reports that negotiations with the borrower are on-going while pursuing all rights and remedies for the trust. The third largest contributor to Fitch modeled losses is a loan (0.22%) secured by 11 two-story multifamily apartment buildings with 83 units in North Olmsted, OH. The property has been suffering from declining performance due to lower occupancy and DSCR for the last three years. Servicer reports that occupancy and DSCR as of September 2011 was 78.3% and 0.74x, respectively. Fitch affirms the following classes and revises Outlooks as indicated: -- $17.8 million class A-1 at 'AAAsf'; Outlook Stable; -- $387.1 million class A-2 at 'AAAsf'; Outlook Stable; -- $26.7 million class B at 'AAAsf'; Outlook Stable; -- $10.4 million class C at 'AAAsf'; Outlook Stable; -- $22 million class D at 'AAAsf'; Outlook Stable; -- $12.7 million class E at 'AAAsf'; Outlook Stable; -- $23.2 million class F at 'AAAsf'; Outlook Stable; -- $9.2 million class G at 'AAsf'; Outlook Stable; -- $16.2 million class H at 'Asf'; Outlook Stable; -- $10.4 million class J at 'BBBsf'; Outlook Stable; -- $5.8 million class K at 'BBsf'; Outlook Stable; -- $5.8 million class L at 'B+sf'; Outlook Stable; -- $6.9 million class M at 'Bsf'; Outlook to Negative from Stable; - -$4.6 million class N at 'B-sf'; Outlook Negative. Fitch does not rate class NR. Fitch has previously withdrawn the ratings on the interest-only class X-1. Class X-2 has paid in full. KATONAH V: Moody's Upgrades Rating on Class C Notes to 'Ba2' ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of the following notes issued by Katonah V, Ltd.: U.S.$14,000,000 Class B-1 Floating Rate Notes Due 2015, Upgraded to Aa3 (sf); previously on July 8, 2011 Upgraded to A2 (sf); U.S.$4,000,000 Class B-2 Floating Rate Notes Due 2015, Upgraded to Aa3 (sf); previously on July 8, 2011 Upgraded to A2 (sf); U.S.$9,500,000 Class C Floating Rate Notes Due 2015, Upgraded to Ba2 (sf); previously on July 8, 2011 Upgraded to Ba3 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes are primarily a result of delevering of the senior notes and an increase in the transaction's overcollateralization ratios since the last rating action in July 2011. The Class A Notes have been paid down by approximately 57% or $20.8 million since the last rating action. Based on the latest trustee report dated April 10, 2012, the Class A, Class B, and Class C overcollateralization ratios are reported at 236.36%, 139.11%, and 114.29%, respectively, versus June 2011 levels of 157.84%, 120.96% and 107.68%, respectively. The Class D Notes' overcollateralization ratio declined slightly to 95.19% from 95.97% and remains out of compliance with its test. 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 April 2012 trustee report, the weighted average rating factor is currently 3326 compared to 3254 in June 2011. Additionally, Moody's notes that the underlying portfolio includes a number of investments in securities that mature after the maturity date of the notes. Based on the April 2012 trustee report, securities that mature after the maturity date of the notes currently make up approximately 9.2% of the underlying portfolio. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" 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 $60 million, defaulted par of $3.8 million, a weighted average default probability of 18.51% (implying a WARF of 3508), a weighted average recovery rate upon default of 46.32%, and a diversity score of 30. 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. Katonah V, Ltd., issued in May 2003, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis described, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2806) Class A-1: 0 Class A-2: 0 Class B-1: +2 Class B-2: +2 Class C: +2 Class D: 0 Moody's Adjusted WARF + 20% (4210) Class A-1: 0 Class A-2: 0 Class B-1: -2 Class B-2: -2 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. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are 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) Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes an asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. KINDER MORGAN 2002-6: S&P Affirms 'BB' Rating on $10.5MM Certs. --------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its 'BB' rating on Corporate Backed Trust Certificates Kinder Morgan Debenture-Backed Series 2002-6's $10.574 million trust certificates and removed it from CreditWatch with developing implications, where S&P placed it on Oct. 21, 2011. "Our rating on the certificates is dependent on our rating on the underlying security, Kinder Morgan Inc.'s 7.45% senior secured debentures due March 1, 2098 ('BB')," S&P said. "The rating action follows our April 26, 2012, affirmation of our 'BB' rating on the underlying security and its subsequent removal from CreditWatch with developing implications. We may take subsequent rating actions on the certificates due to changes in our rating on the underlying security," 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 KINGSLAND V: S&P Raises Rating on Class E Notes to 'B'; Off Watch ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2B, B, C, D-1, D-2, and E notes and affirmed its rating on class A-2R notes from Kingsland V Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Kingsland Capital Management LLC. "Simultaneously, we removed all of the ratings from CreditWatch, where we placed them with positive implications on Feb. 10, 2012," S&P said. "The rating actions reflect the improved performance of the transaction since we lowered our ratings on some of the classes in March 2010, primarily due to an improvement in the credit quality of the assets and a lower level of defaults," S&P said. "As of the April 2012 trustee report, the transaction's asset portfolio had approximately $2.861 million in defaulted assets, down from $8.791 million in the February 2010 trustee report, which we used for the analysis in the March 2010 rating actions," S&P said. "The transaction is in its reinvestment period that is scheduled to end in July 2014. The transaction is currently passing its reinvestment overcollateralization (O/C) test. The transaction is structured such that if it fails this test--measured during the reinvestment period in the interest proceeds section of the CLO's payment waterfall - the transaction will divert excess interest proceeds (equal to lesser of 50% of the available interest proceeds and the amount necessary to cure the test) to purchase additional collateral obligations. The transaction did not fail this test in the period since our March 2010 rating actions. Based on the April 2012 trustee report, the reinvestment O/C test result was 104.84%, compared with a required minimum of 103.30%," S&P said. In addition, the transaction's overcollateralization (O/C) ratios have increased since February 2010. The trustee reported these O/C ratios in the April 2012 monthly report: * The class B O/C ratio was 120.55%, compared with a reported ratio of 117.01% in February 2010; * The class C O/C ratio was 113.23%, compared with a reported ratio of 109.90% in February 2010; * The class D O/C ratio was 108.48%, compared with a reported ratio of 105.30% in February 2010; and * The class E O/C ratio was 104.84%, compared with a reported ratio of 101.77% in February 2010. "We also noted that the transaction has approximately 3% of long- dated assets that have a maturity later than the transaction's legal final maturity in July 2021. The transaction could be exposed to market value risk at maturity. We took this into account in this rating action," S&P said. Standard & Poor's will continue to review whether, in its opinion, 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 Kingsland V Ltd. Rating Class To From A-1 AA (sf) A+ (sf)/Watch Pos A-2B AA (sf) A+ (sf)/Watch Pos A-2R AA+ (sf) AA+ (sf)/Watch Pos B A+ (sf) BBB+ (sf)/Watch Pos C BBB+ (sf) BB+ (sf)/Watch Pos D-1 BB+ (sf) B+ (sf)/Watch Pos D-2 BB+ (sf) B+ (sf)/Watch Pos E B (sf) CCC- (sf)/Watch Pos TRANSACTION INFORMATION Issuer: Kingsland V Ltd. Coissuer: Kingsland V Corp. Collateral manager: Kingsland Capital Management LLC. Indenture trustee: The Bank of New York Mellon Transaction type: Cash flow CDO LIGHTPOINT CLO IV: S&P Raises Rating on Class C Notes From 'BB+' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class A-2A notes from LightPoint CLO IV Ltd., a collateralized loan obligation (CLO) transaction managed by Neuberger Berman Inc. "At the same time, we affirmed our ratings on the class A-1 and A-2B notes and raised our ratings on the class B and C notes," S&P said. "The transaction has an APEX revolver feature that provides protection against trading losses and asset defaults, with Wells Fargo Bank N.A. (Wells Fargo; AA-/Negative/A-1+) as counterparty. Based on our analysis of cash flow runs generated with and without the support of the APEX feature and the application of our counterparty criteria, we determined that the ratngs assigned to the transaction should be limited to the ICR for Wells Fargo plus one notch," S&P said. "Accordingly, we lowered the rating on the class A-2A notes to 'AA (sf)' from 'AA+ (sf)' and affirmed our ratings on the class A-1 and A-2B notes at 'AA (sf)'," S&P said. "Additionally, based on improved performance, we raised our ratings on the class B notes to 'A+ (sf)' from 'A- (sf)' and the C notes to 'BBB (sf)' from 'BB+ (sf)'. The upgrades reflect improved performance of the transaction's underlying asset portfolio since our March 2010 rating actions, including a decrease in the amount of 'CCC' rated and defaulted assets held in the transaction," 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 Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS LightPoint CLO IV Ltd. Rating Class To From A-2A AA (sf) AA+ (sf) B A+ (sf) A- (sf) C BBB (sf) BB+ (sf) RATINGS AFFIRMED LightPoint CLO IV Ltd. Class Rating A-1 AA (sf) A-2B AA (sf) LONG POINT RE III: S&P Gives 'BB+' Rating on Class A Notes ---------------------------------------------------------- Standard & Poor's Ratings Services assigned its 'BB+(sf)' preliminary rating to the Series 2012-1 Class A notes to be issued by Long Point Re III Ltd. The notes cover losses in the covered area on a per-occurrence basis. The preliminary rating is based on the lower of the rating on the catastrophe risk (BB+), the rating on the assets in the collateral account (AAAm), and the risk of nonpayment by the ceding insurer, certain operating subsidiaries of The Travelers Cos. Inc. (AA/Stable/--). The subject (ceded) business is a subset, and a majority, of Travelers's overall insurance portfolio from its personal lines insurance business and its commercial lines business. The Class A notes will cover [_]% between the attachment point of $2.00 billion and the exhaustion point of $2.50 billion, of ultimate net losses of Travelers in the covered area. RATINGS LIST Preliminary Rating Long Point Re III Ltd. Series 2012-1 Class A Notes BB+(sf) MASTR ASSET: Moody's Upgrades Rating on Cl. A-6 Notes From 'Ba1' ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of bonds A-5 and A-6 issued by MASTR Asset Securitization Trust 2004-P7. Complete rating actions are as follows: Issuer: MASTR Asset Securitization Trust 2004-P7 Cl. A-5, Upgraded to A3 (sf); previously on Jun 2, 2011 Downgraded to Baa2 (sf) Cl. A-6, Upgraded to Baa3 (sf); previously on Jun 2, 2011 Downgraded to Ba1 (sf) Ratings Rationale These actions reflect the correction of an error wherein the balances of the underlying bonds pledged to this deal were input incorrectly. The ratings on the resecuritization are derived from the ratings of the underlying bonds weighed by the pledged balances. The principal methodology used in these ratings is described in the "Surveillance Approach for Resecuritized Transactions" section in "Moody's Approach to Rating US Resecuritized Residential Mortgage-Backed Securities" published in February 2011. The resecuritization is backed by two underlying bonds - Class 2A issued by ABN AMRO 2003-12 and Class 4A4 issued by MASTR 2003-5. The underlying certificates are backed primarily by prime Jumbo loans. Moody's ratings on the resecuritization notes are based on: 1. The updated expected loss on the pools of loans backing the underlying certificates and the updated ratings on the underlying certificates, 2. The credit enhancement available to the underlying certificates, and 3. The structure of the resecuritization transaction. The principal methodology used in determining the ratings of the underlying bonds is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. For other methodologies used for estimating losses on Prime Jumbo pools, please refer to the methodology publication " Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Moody's Macroeconomic Board and Moody's Analytics (MA) still expect a below-trend growth for the US economy for 2012, with the unemployment rate remaining high, between 8% to 9%, and home prices dropping another 2 to 3% from the levels seen in 1Q 2011. As part of the sensitivity analysis, Moody's stressed the updated expected loss on the underlying bonds by an additional 10% and found that the implied ratings of the resecuritization bonds do not change. A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF285538 MERRILL LYNCH 2003-WMC1: Moody's Hikes B-1 Tranche Rating to Caa3 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 3 tranches from Merrill Lynch Mortgage Investors, Inc. 2003-WMC1, backed by Subprime loans. Complete rating actions are as follows: Issuer: Merrill Lynch Mortgage Investors, Inc. 2003-WMC1 Cl. S, Upgraded to Caa2 (sf); previously on Feb 22, 2012 Downgraded to Caa3 (sf) and Placed Under Review for Possible Upgrade Cl. M-2, Upgraded to Baa3 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade Cl. B-1, Upgraded to Caa3 (sf); previously on Mar 21, 2011 Downgraded to Ca (sf) Ratings Rationale The actions are a result of the recent performance review of Subprime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008 and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The rating actions reflect recent collateral performance, Moody's updated loss timing curves and detailed analysis of timing and amount of credit enhancement released due to step-down. Moody's captures structural nuances by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variations across the different pools and the structure of the transaction. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The volatility of pool performance increases as the number of loans remaining in the pool decreases. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication listed above. When assigning the final ratings to senior bonds, in addition to the methodologies described, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Moody's Macroeconomic Board and Moody's Analytics (MA) still expect a below-trend growth for the US economy for 2012, with the unemployment rate remaining high between 8% to 9% and home prices dropping another 2-3% from the levels seen in 1Q 2011. A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF284746 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255 MORGAN STANLEY 1999-FNV1: Fitch Affirms Junk Rating on $7MM Certs. ------------------------------------------------------------------ Fitch Ratings affirms Morgan Stanley Capital I Inc., commercial mortgage pass-through certificates, series 1999-FNV1, as follows: -- $5.9 million class H at 'BBBsf'; Outlook Stable; -- $9.5 million class J at 'BB-sf'; Outlook Stable; -- $7.9 million class K at 'Csf'/RE 90%. Classes L, M, and, N remain at 'Dsf'/RE 0% due to losses incurred. As of the April 2012 distribution date, the pool's collateral balance has paid down 96% to $24.3 million from $632.1 million at issuance. Of the five remaining loans in the transaction, one loan is defeased (10.6%). Fitch expects minimal, if any losses to incur from the remaining loans. The pool has incurred 4.3% in losses to date. In addition, there is $4.2 million in outstanding unpaid interest shortfalls to classes K through O, which Fitch believes is not likely to be recoverable. The remaining four non-defeased loans are performing and with the master servicer. The largest of these is a Fitch Loan of Concern, a multifamily property in Tampa, FL (72% of the pool). MORGAN STANLEY 2004-HQ4: S&P Lowers Rating on Class H to 'CCC-' --------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on two classes from Morgan Stanley Capital I Trust 2004-HQ4, a U.S. commercial mortgage-backed securities (CMBS) transaction. "In addition, we lowered our ratings on two other classes and affirmed our ratings on seven other classes from the same transaction," S&P said. "The rating actions reflect our analysis of the credit characteristics of the remaining collateral in the pool, the transaction structure, and the liquidity available to the trust. The upgrades reflect credit enhancement and liquidity levels that provide adequate support through various stress scenarios," S&P said. "The downgrades reflect credit support erosion that we anticipate will occur upon the eventual resolution of four ($37.6 million, 3.8%) of the six assets ($56.0 million, 5.7%) that are with the special servicer, as well as reduced liquidity support due to ongoing interest shortfalls from the specially serviced assets," 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)' ratings on the class X-1 and X-2 interest-only (IO) certificates based on our current criteria," S&P said. "Using servicer-provided financial information, we calculated an adjusted debt service coverage (DSC) of 1.79x and a loan-to-value (LTV) ratio of 77.4%. We further stressed the loans' cash flows under our 'AAA' scenario to yield a weighted average DSC of 1.33x and an LTV ratio of 100.1%. The implied defaults and loss severity under the 'AAA' scenario were 30.0% and 29.9%. The DSC and LTV calculations noted above exclude four ($37.6 million, 3.8%) of the six assets ($56.0 million, 5.7%) that are with the special servicer, six ($31.9 million, 3.2%) defeased loans, and two ($50.2 million, 5.1%) loans secured by land interest. We separately estimated losses for the excluded specially serviced assets and included them in our 'AAA' scenario implied default and loss severity figures," S&P said. TRANSACTION SUMMARY "As of the April 16, 2012, trustee remittance report, the collateral pool had an aggregate trust balance of $989.2 million, down from $1.4 billion at issuance. The pool comprises 76 loans and three real estate owned (REO) assets, down from 92 loans at issuance. The master servicer, Wells Fargo Bank N.A., provided financial information for 97.8% of the nondefeased loans in the pool (by balance), most of which reflected full-year 2010, interim-2011, or full-year 2011 data," S&P said. "We calculated a weighted average DSC of 1.92x for the loans in the pool based on the servicer-reported figures. Our adjusted DSC and LTV were 1.79x and 77.4%. Our adjusted figures exclude four ($37.6 million, 3.8%) of the six assets ($56.0 million, 5.7%) that are with the special servicer, six ($31.9 million, 3.2%) defeased loans, and two ($50.2 million, 5.1%) loans secured by land interest. The transaction has experienced $28.7 million in principal losses from six assets. Twelve loans ($80.8 million, 8.2%) in the pool are on the master servicer's watchlist, two of which are top 10 real estate assets and are discussed below. Fourteen loans ($107.3 million, 10.9%) have a reported DSC of less than 1.10x, 11 of which ($98.9 million, 10.0%) have a reported DSC of less than 1.00x," S&P said. SUMMARY OF TOP 10 LOANS SECURED BY REAL ESTATE "The top 10 loans secured by real estate have an aggregate outstanding trust balance of $645.1 million (65.2%). Using servicer-reported numbers (excluding one REO asset with the special servicer)) we calculated a weighted average DSC of 2.21x for these nine loans. Our adjusted DSC and LTV were 1.99x and 71.8% for the top nine loans. Two of the top 10 loans ($42.4 million, 4.3%) are on the master servicer's watchlist," S&P said. "The A&P Mahwah loan ($22.0 million, 2.2%), the eighth-largest real estate loan in the pool, is on the master servicer's watchlist due to deferred maintenance noted on the 2011 property inspection report. The master servicer stated that it is waiting for a response on a deferred maintenance letter that was sent to the borrower. The loan is secured by a 110,249-sq.-ft., stand- alone retail building in Mahwah, N.J. According to the master servicer, the property is 100% occupied by A&P until January 2024. The reported DSC as of year-end 2010 was 1.39x," S&P said. "The U-Haul Portfolio loan ($20.4 million, 2.1%), the ninth- largest real estate loan in the pool, is secured by three self storage properties totaling 238,160 sq. ft. in New York, Florida, and Texas. The loan is on the master servicer's watchlist due to deferred maintenance noted on the 2011 property inspection report for the 152,540-sq.-ft., self storage property in the Bronx, N.Y. The master servicer indicated that it is waiting for a response on a deferred maintenance letter that was sent to the borrower. The reported DSC and occupancy as of year-end 2011, was 1.83x and 93.4%," S&P said. CREDIT CONSIDERATIONS "As of the April 16, 2012, trustee remittance report, six assets ($56.0 million, 5.7%) in the pool were with the special servicer, CWCapital Asset Management LLC (CWCapital). The reported payment status for the six specially serviced assets were: three are REO ($30.6 million, 3.2%), one is in foreclosure ($14.1 million, 1.4%), one is 90-plus-days delinquent ($7.0 million, 0.7%), and one is current ($4.3 million, 0.4%). According to both the master and special servicer, the 215 Avenue I loan ($4.3 million, 0.4%) was returned to the master servicer on March 29, 2012, which will be reflected in the May 2012 trustee remittance report. Appraisal reduction amounts (ARAs) totaling $17.0 million are in effect against three of the six specially serviced assets. Details of the two largest specially serviced assets, one of which is a top 10 asset, are as set forth," S&P said. "The Roseville Office Portfolio asset ($18.3 million, 1.9%), the 10th-largest asset in the pool, is the largest specially serviced asset and has a total reported exposure of $21.7 million. The collateral consists of three office buildings totaling 109,290 sq. ft. in Roseville, Calif. The loan was transferred to the special servicer on Oct. 8, 2008, due to imminent monetary default and the property became REO on April 7, 2011. An ARA of $9.4 million is in effect against this asset. The special servicer stated that the property was 43.8% leased as of February 2012 and is currently evaluating various liquidation strategies. Standard & Poor's expects a significant loss upon the resolution of this asset," S&P said. "The North Park Plaza - Pittsburg CA loan ($14.1 million, 1.4%) is the second-largest specially serviced asset and has a total reported exposure of $14.6 million. The loan is secured by a 178,523 sq. ft., anchored retail center in Pittsburg, Calif. The loan was transferred to the special servicer on Feb. 18, 2011, due to monetary default. According to CWCapital, a portion of the property was taken by condemnation for a highway widening project, which the borrower claims has impeded access and visibility, resulting in poor tenant performance. Condemnation proceeds were sent to the master servicer. CWCapital stated that it is dual- tracking a potential loan modification and foreclosure, but has indicated that a modification is likely. The reported DSC and occupancy as of year-end 2010, was 0.98x and 90.0%," S&P said. "The four remaining assets with the special servicer have individual balances that represent less than 0.9% of the total trust balance. ARAs totaling $7.6 million are in effect against two of these assets. We estimated losses for three of the four remaining assets, arriving at a weighted-average loss severity of 46.3%. The remaining asset was returned to the master servicer," S&P said. "Standard & Poor's stressed the pool collateral according to its 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 Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS RAISED Morgan Stanley Capital I Trust 2004-HQ4 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) B A+ (sf) A- (sf) 11.82 C A- (sf) BBB+ (sf) 9.91 RATINGS LOWERED Morgan Stanley Capital I Trust 2004-HQ4 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) G B- (sf) BB- (sf) 3.85 H CCC- (sf) CCC+ (sf) 2.64 RATINGS AFFIRMED Morgan Stanley Capital I Trust 2004-HQ4 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-6 AAA (sf) 13.38 A-7 AAA (sf) 13.38 D BBB (sf) 8.53 E BB+ (sf) 6.11 F BB (sf) 5.07 X-1 AAA (sf) N/A X-2 AAA (sf) N/A N/A-Not applicable. MORTGAGE CAPITAL: Fitch Affirms 'CCC' Rating on $7.6MM Cl. K Certs ------------------------------------------------------------------ Fitch Ratings has affirmed four classes of Mortgage Capital Funding, Inc.'s (MCF) commercial mortgage pass-through certificates, series 1998-MC2. The affirmations are due to sufficient credit enhancement to the remaining Fitch rated classes. As of the April 2012 distribution date, the pool's aggregate principal balance has been reduced by 96.7% to $33.4 million from $1 billion at issuance. There are currently no delinquent, specially serviced, or defeased loans remaining in the transaction. Interest shortfalls are affecting only the non-rated class L. Fitch expects the pool to incur minimal future losses, which will be absorbed by class L; the pool has incurred 1.51% of realized losses to date. Eleven loans within the pool (46.3%) have the same sponsor and are located in Columbus, OH. The loans are cross-defaulted and cross- collateralized and secured by various property types: retail (nine loans), office (one loan), and multifamily (one loan). The combined year-end 2011 debt service coverage ratio (DSCR) for the properties was 1.13 times (x). Ten of the 11 loans are fully amortizing and all the loans have a maturity date of March 1, 2018. Fitch affirms the following classes as indicated: -- $0.7 million class G at 'AAsf'; Outlook Stable; -- $7.6 million class H at 'BBB-sf'; Outlook Stable; -- $15.1 million class J at 'B+sf'; Outlook Stable; -- $7.6 million class K at 'CCC/sf'; RE 100%'. Classes A-1, A-2 and B through F have paid in full. Fitch does not rate class L. The rating on class X has previously been withdrawn. N-STAR REAL: Moody's Lowers Rating on Class B Notes to 'Caa3' ------------------------------------------------------------- Moody's Investors Service has downgraded four and affirmed four classes of Notes issued by N-Star Real Estate CDO VII, Ltd. The downgrades are due to the deterioration in the credit quality of the underlying portfolio as evidenced by an increase in the weighted average rating factor (WARF) and an increase in defaulted securities. 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. Moody's rating action is as follows: Cl. A-1, Downgraded to Ba3 (sf); previously on Jul 27, 2011 Downgraded to Baa3 (sf) Cl. A-2, Downgraded to Caa1 (sf); previously on Jul 27, 2011 Downgraded to B1 (sf) Cl. A-3, Downgraded to Caa2 (sf); previously on Jul 27, 2011 Downgraded to B3 (sf) Cl. B, Downgraded to Caa3 (sf); previously on Jul 27, 2011 Downgraded to Caa2 (sf) Cl. C, Affirmed at Caa3 (sf); previously on Jul 27, 2011 Downgraded to Caa3 (sf) Cl. D-FL, Affirmed at Caa3 (sf); previously on Aug 11, 2010 Downgraded to Caa3 (sf) Cl. D-FX, Affirmed at Caa3 (sf); previously on Aug 11, 2010 Downgraded to Caa3 (sf) Cl. E, Affirmed at Ca (sf); previously on Aug 11, 2010 Downgraded to Ca (sf) Ratings Rationale N-Star Real Estate CDO VII, Ltd. is a currently static CRE CDO transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (90.3% of the pool balance), CRE CDOs (8.2%), and franchise loan backed securities (1.5%). As of the April 19, 2012 Trustee report, the aggregate Note balance of the transaction has decreased to $407.8 million from $550.0 at issuance. The reinvestment period ended on June 27, 2011. There are forty-one assets with a par balance of $228.9 million (41.2% of the current pool balance) that are considered defaulted securities as of the April 19, 2012 Trustee report. Thirty-eight of these assets (95.0% of the defaulted balance) are CMBS, and three assets (5.0%) are CRE CDO. While there have been no realized losses to date, Moody's does expect significant losses to occur once they are realized. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated credit estimates for the non-Moody's rated reference obligations. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 5,960 compared to 5,191 at last review. WAL acts to adjust the probability of default of the reference obligations in the pool for time. Moody's modeled to a WAL of 4.2 years compared to 5.7 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 12.6% on non-Defaulted Securities, compared to 18.8% 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 19.7% compared to 12.5% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R) v3.2.1.1, 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 12.6% to 2.6% or up to 22.6% would result in average rating movement on the rated tranches of 0 to 2 notches 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 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 along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. 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 healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, 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, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating SF CDOs" published in May 2012, and "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011. NORTHWOODS CAPITAL VII: S&P Hikes Rating on Class E Notes to 'BB+' ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class B, C, D, and E notes from Northwoods Capital VII Ltd. and removed them from CreditWatch with positive implications. "At the same time, we affirmed our ratings on the class A-1, A-2, A-3, and A-4 notes and removed the ratings on the class A-1, A-2, and A-4 notes from CreditWatch with positive implications (see list). Northwoods Capital VII Ltd. is a collateralized loan obligation (CLO) transaction managed by Angelo, Gordon & Company L.P.," S&P said. "The transaction's reinvestment period ends in October 2013. 's upgrades reflect the improved credit quality of the transaction's underlying asset portfolio since our February 2011 rating actions. The transaction has used proceeds designated for reinvestments to build additional collateral in the portfolio. We also note that the amount of defaulted assets and 'CCC' rated obligations held in the portfolio has decreased over the same period. As a result, the senior overcollateralization (O/C) ratio has increased," S&P said. The affirmations reflect the sufficient credit support available to the notes at the current rating levels. "The rating on the class D notes is driven by the application of the largest obligor test, a supplemental stress test we introduced as part of our corporate CDO criteria update," 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 Northwoods Capital VII Ltd. Rating Class To From A-1 AA+ (sf) AA+ (sf)/Watch Pos A-2 AA+ (sf) AA+ (sf)/Watch Pos A-4 AA+ (sf) AA+ (sf)/Watch Pos B AA (sf) AA- (sf)/Watch Pos C A+ (sf) A (sf)/Watch Pos D BBB+ (sf) BBB (sf)/Watch Pos E BB+ (sf) BB (sf)/Watch Pos RATING AFFIRMED Northwoods Capital VII Ltd. Class Rating A-3 AAA (sf) NYLIM STRATFORD: Fitch Affirms Junk Rating on Three Note Classes ---------------------------------------------------------------- Fitch Ratings has affirmed three classes of notes issued by NYLIM Stratford CDO 2001-1, Ltd./Inc. (NYLIM 2001-1) as follows: -- $32,704,381 class B notes at 'CCCsf'; -- $35,160,441 class C notes at 'Csf'; -- $16,000,000 Preference Shares at 'Csf'. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model (SF PCM) for projecting future default levels for the underlying portfolio. These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs', for the class B notes. Fitch also considered additional qualitative factors in its analysis, as described below. The affirmation of the class B notes is due to the continued deleveraging of the transaction. Since last review, the class A notes have paid in full after receiving $18.8 million, while the class B notes amortized by $7.3 million, or 18.2% of their previous outstanding balance. While the cash flow modeling results indicate passing ratings generally a category higher than 'CCCsf', the remaining collateral is increasingly concentrated. As of the April 2012 trustee report, the portfolio consists of 25 obligors compared to 39 at last review, with the top five largest borrowers representing approximately 58.3% of the underlying portfolio. The out-of-money interest rate hedge in the transaction does not expire until 2013, and a substantial portion of proceeds is currently being used to finance the swap payments on each distribution date. Due to the passing senior coverage test, the class C notes continue to receive their interest which is now partially supported by principal proceeds. In addition, the interest rate swap counterparty, Goldman Sachs Mitsui Marine Derivative Products, L.P. is not rated by Fitch and as such is not in compliance with Fitch's criteria 'Counterparty Criteria for Structured Finance Transactions'. In Fitch's opinion, a 'CCCsf' rating continues to appropriately capture these risk elements for the class B notes. The class C notes and preference shares remain undercollateralized, indicating that default in principal repayment appears inevitable for these classes. Therefore the class C notes and preference shares are affirmed at 'Csf'. NYLIM 2001-1 is a SF CDO that closed on April 12, 2001 and is monitored by New York Life Investment Management, LLC. The portfolio is comprised of asset-backed securities (37.1%), residential mortgage-backed securities (25.1%), corporate bonds (20.1%), real estate investment trusts (10.4%), commercial mortgage-backed securities (4%), and corporate CDOs (3.3%), from 1995 through 2004 vintage transactions. PACIFIC BEACON: Fitch Affirms Rating on $56-Mil. Bonds at 'BB' -------------------------------------------------------------- Fitch Ratings has affirmed its ratings on the following classes of Pacific Beacon LLC, military housing taxable revenue bonds (Naval Base San Diego Unaccompanied Housing Project), 2006 series A (the bonds): -- $187 million class I bonds at 'AA-'; -- $64 million class II bonds at 'A-'; -- $56 million class III bonds at 'BB'. The Rating Outlook for the class I and II bonds is Stable. The Outlook on the class III bonds is revised to Stable from Negative. SECURITY The bonds are special limited obligations of the issuer primarily secured by pledged revenues from the operation of the unaccompanied housing project known as Pacific Beacon at the San Diego Naval Base. The absence of a cash funded debt service reserve fund limits protections afforded bondholders. KEY RATING DRIVERS ADEQUATE DEBT SERVICE COVERAGE: The ratings on the class I, II and III bonds are being affirmed based on the 2011 debt service coverage ratios (DSCR) of 1.81x, 1.36x and 1.11x which modestly exceeded projections of 1.71x, 1.29x and 1.06x. Management has projected DSCRs of 1.69x, 1.28x and 1.05x for 2012. CAPABLE PROJECT MANAGEMENT: Current project operating data for year end 2011 demonstrated net operating income (NOI) slightly above budget projections due to management's control of expenses. Management's ability to realize lower project operating expenses is critical to maintaining adequate DSCRs. FUTURE BAH FLUCTUATIONS: Future annual fluctuations in basic allowance for housing (BAH) rates for the San Diego market area will impact future revenue levels and DSCRs. WHAT COULD TRIGGER A DOWNGRADE ON THE BONDS -- A material decrease in BAH for the San Diego market area in the near term; -- Management's inability to maintain current occupancy levels and/or control project operating expenses. CREDIT PROFILE: PROJECT OVERVIEW The project, which is located at Naval Base San Diego, consists of 1,199 units made up of Pacific Beacon (1,882 beds) and Palmer Hall (1,032 beds) and operates under the name Pacific Beacon. The original scope included upgrading and renovating existing two- bedroom residential units at Palmer Hall and the construction of three new buildings/towers known as Pacific Beacon with two- bedroom units. The project includes a fitness facility, a multiuse area and parking. OCCUPANCY AND TENANT MIX The project is currently 96% occupied and demonstrated 95% occupancy for the 12-month period ending December 2011. Management reports that the project experiences nearly 100% turnover per year which is largely driven by the deployment of existing tenants. Together, project occupancy levels and the rank of the tenant base occupying the units play key roles in determining the amount of revenue generated by the project, as BAH amounts vary by rank level. Currently 85% of the beds are leased to service members with a rank of E4 or below. Management reports that it does not expect that the large percentage of beds being leased to this segment of the service member population will change in the near future. The Department of Defense has the ability (but is not required) to distribute a higher percentage of the BAH to the E4 and below service members who occupy this project. The property will begin paying property management fees in 2012 after being waived in 2010 and 2011. Project is currently accruing approximately $10 million in deferred fees. PROJECTED DEBT SERVICE COVERAGE The 2012 budget for the property incorporates a 10% economic vacancy assumption, assumes no change in BAH and demonstrates the following expectation for debt service coverage ratios for 2012: -- Class I bonds: 1.69x -- Class II bonds: 1.28x -- Class III bonds: 1.05x Debt service, as originally planned, increased dramatically to $19.6 million in 2011 (from $16.3 million in 2010) with principal starting to amortize. Debt service remains level throughout the life of the bonds. Fitch views unaccompanied military housing projects as having more risk than military family housing projects given the varied profile of the respective tenant bases. Unaccompanied housing projects tend to be subject to higher levels of physical wear and higher annual turn over which leads to higher operating expenses. Therefore, Fitch expects that the DSCRs for an unaccompanied project will be higher than those of military family housing transactions at the same rating level to account for this dynamic. PREFERRED TERM: Moody's Lifts Rating on $341MM Notes to 'Caa2' -------------------------------------------------------------- Moody's Investors Service has upgraded the rating on the following notes issued by Preferred Term Securities IV, Ltd.: U.S. $341,000,000 Floating Rate Mezzanine Notes Due December 23, 2031 (current balance of $41,600,000), Upgraded to Caa2 (sf); previously on March 27, 2009 Downgraded to Ca (sf). Ratings Rationale According to Moody's, the rating upgrade action taken is primarily the result of a decrease in the dollar amount of assets that Moody's treats as defaulted in its analysis, to $38 million from $18 million, since the last rating action in March 2009, which resulted in an increase in the Mezzanine Notes' overcollateralization ratio, to 124% from 75%, based on Moody's calculation. The deal also benefited from an improvement in the credit quality of the underlying portfolio. In particular, the weighted average rating factor (WARF) based on Moody's calculation decreased to 1452 from 1625 as of the last rating action date. Moody's notes that the transaction is highly concentrated and its portfolio performance depends to a large extent on the credit conditions of four performing obligors. The deal's lack of granularity could introduce high volatility to the performance of the deal. Preferred Term Securities IV, Ltd, issued on December 18, 2001, is a collateralized debt obligation backed by a portfolio of bank trust preferred securities (the 'TruPS CDO'). On March 27, 2009, the last rating action date, Moody's downgraded three class of notes as a result of the deterioration in the credit quality of the transaction's underlying portfolio. In Moody's opinion, the banking sector outlook remains negative although there have been some recent signs of stabilization. The pace of FDIC bank failures continues to decline in 2012 compared to 2011, 2010 and 2009, and some of the previously deferring banks have resumed interest payment on their trust preferred securities. The portfolio of this CDO is mainly composed of trust preferred securities issued by small to medium sized U.S. community banks that are generally not publicly rated by Moody's. To evaluate their credit quality, Moody's uses RiskCalc model, an econometric model developed by Moody's KMV, to derive credit scores for these non-publicly rated bank trust preferred securities. Moody's evaluation of the credit risk for a majority of bank obligors in the pool relies on FDIC financial data received as of Q4-2011. Moody's also evaluates the sensitivity of the rated transactions to the volatility of the credit estimates, as described in Moody's Rating Implementation Guidance "Updated Approach to the Usage of Credit Estimates in Rated Transactions," October 2009. Moody's performed a number of sensitivity analyses of the results to some of the key factors driving the ratings. The sensitivity of the model results to changes in the WARF (representing a slight improvement and a slight deterioration in the credit quality of the collateral pool) was examined. If WARF is increased by 318 points from the base case of 1452, the model results in an expected loss that is one notch worse than the result of the base case for the Mezzanine Notes. Similarly, if the WARF is decreased by 252 points, expected losses are one notch better than the base case results. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. Moody's considers as well the structural protections in the transaction, the risk of triggering an Event of Default, the recent deal performance in the current market conditions, the legal environment, and specific documentation features. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. The principal methodology used in this rating was "Moody's Approach to Rating TRUP CDOs" published in May 2011. Due to the impact of revised and updated key assumptions referenced in these rating methodologies, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, Moody's Asset Correlation, and weighted average recovery rate, may be different from the trustee's reported numbers. The transaction's portfolio was modeled, according to Moody's rating approach, using CDOROM v.2.8 to develop the default distribution from which the Moody's Asset Correlation parameter was obtained. This parameter was then used as an input in a cash flow model using CDOEdge. CDOROM v.2.8 is available on moodys.com under Products and Solutions -- Analytical models, upon return of a signed free license agreement. PUTNAM STRUCTURED: Moody's Affirms 'Caa3' Rating on Cl. A-2 Notes ----------------------------------------------------------------- Moody's Investors Service has upgraded 11 and affirmed one classes of Notes issued by Putnam Structured Product CDO 2002-1 Ltd. The upgrades are due to realized full amortization of certain collateral since last review providing additional collateral coverage for the senior notes. The affirmation is due to key transaction parameters performing within levels commensurate with the existing rating levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and Re-Remic) transactions. U.S.$176,000,000 Class A-1MT -a Medium Term Floating Rate Notes Du 2038, Upgraded to Baa2 (sf); previously on Mar 4, 2010 Downgraded to Ba1 (sf) U.S.$176,000,000 Class A-1MT -b Medium Term Floating Rate Notes Due 2038, Upgraded to Baa2 (sf); previously on Mar 4, 2010 Downgraded to Ba1 (sf) U.S.$176,000,000 Class A-1MT -c Medium Term Floating Rate Notes Due 2038, Upgraded to Baa2 (sf); previously on Mar 4, 2010 Downgraded to Ba1 (sf) U.S.$176,000,000 Class A-1MM -d Floating Rate Notes Due 2038, Upgraded to Baa2 (sf); previously on Mar 4, 2010 Downgraded to Ba1 (sf) U.S.$176,000,000 Class A-1MM -e Floating Rate Notes Due 2038, Upgraded to Baa2 (sf); previously on Mar 4, 2010 Downgraded to Ba1 (sf) U.S.$176,000,000 Class A-1MM -f Floating Rate Notes Due 2038, Upgraded to Baa2 (sf); previously on Mar 4, 2010 Downgraded to Ba1 (sf) U.S.$176,000,000 Class A-1MM -g Floating Rate Notes Due 2038, Upgraded to Baa2 (sf); previously on Mar 4, 2010 Downgraded to Ba1 (sf) U.S.$176,000,000 Class A-1MM -h Floating Rate Notes Due 2038, Upgraded to Baa2 (sf); previously on Mar 4, 2010 Downgraded to Ba1 (sf) U.S.$176,000,000 Class A-1MM -i Floating Rate Notes Due 2038, Upgraded to Baa2 (sf); previously on Mar 4, 2010 Downgraded to Ba1 (sf) U.S.$176,000,000 Class A-1MM -j Floating Rate Notes Due 2038, Upgraded to Baa2 (sf); previously on Mar 4, 2010 Downgraded to Ba1 (sf) U.S.$80,000,000 Class A-2 Floating Rate Notes Due 2038, Affirmed at Caa3 (sf); previously on Mar 4, 2010 Downgraded to Caa3 (sf) U.S.$150,000,000 Class B Participating Notes Due 2038, Upgraded to Ba3 (sf); previously on Feb 15, 2012 Upgraded to B3 (sf) Ratings Rationale Putnam Structured Product CDO 2002-1 Ltd. is a static cash CRE CDO transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (60.5% of the pool balance), asset backed securities (ABS) (30.2%, of which 44.1% are government-sponsored enterprise guaranteed mortgage bonds, the remainder are primarily in the form of subprime and Alt-A residential mortgage backed securities (RMBS)), and CDOs (9.4%) . As of the April 10, 2012 Trustee Note Valuation Report, the aggregate Note balance of the transaction, including the outstanding balance of Class B and Class C Notes, is $1.4 billion from $2.0 billion at issuance, including $101.6 million additional pay-down to Class A Notes since last review. The paydown has been directed to the Class A Notes, which amortize pro-rata as long as certain conditions are met, as a result of regular amortization of the underlying collateral. The rated principal amount of Class B and Class C has also been reduced in accordance with a turbo feature as outlined in the transaction governing documents. 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 1,490 compared to 1,313 at last review. The distribution of current ratings and credit estimates is as follows: Aaa-Aa3 (61.3% compared to 63.2% at last review), A1-A3 (4.6% compared to 4.3% at last review), Baa1-Baa3 (6.9% compared to 7.0% at last review), Ba1-Ba3 (4.8% compared to 7.7% at last review), B1-B3 (7.2% compared to 4.1% at last review), and Caa1-C (15.2% compared to 13.7% 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 4.3 years compared to 3.7 at last review. The increased WAL reflects the current collateral profile along with Moody's assumptions about extensions. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Due to the speculative-grade collateral, Moody's modeled a fixed 53.8% WARR, the same as at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 0.0% compared to 1.2% at last review. The low MAC reflects the high diversity of the collateral pool by both number of names and asset types along with a diverse credit range. 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) v3.2.1.1, 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 53.8% to 43.8% or up to 63.8% would result in average rating movement on the rated tranches of 0 to 2 notches downward and 0 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 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 along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. 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 healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, 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, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating SF CDOs" published in May 2012, and "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011. REAL ESTATE 2004-1: DBRS Confirms 'B' Rating on Class L Loans ------------------------------------------------------------- DBRS has confirmed the following classes of Real Estate Asset Liquidity Trust, Series 2004-1 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at AAA (sf) -- Class X at AAA (sf) -- Class E1 at A (low) (sf) -- Class E2 at A (low) (sf) -- Class F at BBB (sf) -- Class G at BBB (low) (sf) -- Class H at BB (sf) -- Class J at B (high) (sf) -- Class K at B (sf) -- Class L at B (low) (sf) DBRS has also upgraded the following classes of Real Estate Asset Liquidity Trust, Series 2004-1 as follows: -- Class C to AA (high) (sf) from AA (sf) -- Class D1 to A (high) (sf) from A (sf) -- Class D2 to A (high) (sf) from A (sf) In addition, DBRS has placed Classes C through G on Positive trend. The trends on all other classes are Stable. The upgrades and trend changes are a result of the continued health and performance of the pool overall. The collateral in this transaction has been reduced by approximately 47.3% since issuance. The current weighted-average (WA) Debt Service Coverage Ratio (DSCR) and WA Debt Yield are 2.1 times (x) and 22.9%, respectively. In comparison, the WA DSCR and WA Debt Yield for the pool at issuance were 1.6x and 13.4%, respectively. The fifteen largest loans represent 59.8% of the current pool balance. There are two loans on the servicer watchlist, representing 3.8% of the current pool balance. 8655 Foucher Street/600-675 Cremazie Blvd (Prospectus ID#27, 2.08% of the current pool balance) is secured by a multifamily property with a ground floor retail component in Montreal and was placed on the servicer watchlist in July 2010 because of a low DSCR - a result of declining rental rates. The borrower reportedly indicated the drop in rates was necessary in order to maintain occupancy and remain competitive in the area. On a positive note, the DSCR improved to 1.0x at YE2011 from 0.91x at YE2010. Occupancy has been stable, and was reported to be 93% in Q4 2011. Victoria House (Prospectus ID# 35, 1.72% of the current pool balance) is secured by an independent living property in Orillia, Ontario. This loan was placed on the servicer watchlist in April 2011 because of a decline in DSCR. According to the most recent servicer site inspection, the property is well maintained and in Good condition. The property has been well occupied historically. Approximately 37.1% of the pool is deemed investment grade by DBRS. DBRS currently maintains investment-grade shadow ratings on two loans in this transaction, and fully defeased loans represent an additional 24.9% of the current pool balance. REAL ESTATE 2007-1: DBRS Confirms 'B(low)' Rating on Cl. L Loans ---------------------------------------------------------------- DBRS has confirmed the following classes of Real Estate Asset Liquidity Trust, Series 2007-1 as follows: Classes A-1, A-2, XP-1, XP-2, XC-1 and XC-2 at AAA (sf) Class B at AA (sf) Class C at A (sf) Class D1 at BBB (sf) Class D2 at BBB (sf) Class E1 at BBB (low) (sf) Class E2 at BBB (low) (sf) Class F at BB (high) (sf) Class G at BB (sf) Class H at BB (low) (sf) Class J at B (high) (sf) Class K at B (sf) Class L at B (low) (sf) DBRS has placed Classes H through L on trend Negative due to concerns over loans in special servicing. The trend on the remaining classes is Stable. There are two loans in special servicing, representing 3.2% of the current pool balance. Impero Properties (Prospectus ID#13, 1.95% of the current pool balance) is secured by three office properties in Edmonton and was previously on the servicer's watchlist for an unapproved second mortgage held against the collateral. The second mortgage was originally scheduled to mature in November 2009 and the borrower advised it would be unable to repay the loan. The trust loan transferred to special servicing in February 2011 for payment default. The borrower has been historically late making payments on the subject loan, but no formal workout strategy has been determined. As of the April 2012 remittance, the loan was paid through March 2012. DBRS will continue to monitor this loan. 771-785 Industriel Boulevard (Prospectus ID#68, 0.26% of the current pool balance) is secured by an industrial property located approximately 43 kilometres northwest of Montreal. This loan was previously on the servicer's watchlist as a result of declining occupancy. According to a May 2011 rent roll, the property was 32% occupied, down from 43% at YE2009. Payments on the loan became delinquent and it was transferred to special servicing in December 2011. The YE2010 debt service coverage ratio (DSCR) shows a significant decline in cash flow since issuance, at -0.03 times (x), but a slight improvement over YE2009, when the DSCR was -0.18x. This loan was scheduled to mature on April 1, 2012. A workout strategy has not yet been confirmed by the servicer. Any loss associated with this loan would be contained within the non- rated Class M. The rest of the pool has exhibited stable performance. Since the last surveillance review, two loans paid out of the pool at maturity. The current weighted-average (WA) DSCR and WA debt yield for the pool are 1.6x and 12.8%, respectively. In comparison, the WADSCR and WA debt yield for the pool at issuance was 1.4x and 10.6%, respectively. DBRS currently maintains investment-grade shadow ratings on two loans in this transaction. SALOMON BROTHERS: Loses Prompts Fitch to Cut Ratings of 3 Certs. ---------------------------------------------------------------- Fitch Ratings downgrades three classes of Salomon Brothers Mortgage Securities VII, Inc., commercial mortgage pass through certificates, series 2000-C2. The downgrades are due to the expectation of losses on specially serviced loans in addition to interest shortfalls being incurred or imminent on these classes. The Negative Outlooks reflect the uncertainty on timing for resolution of REO loans that are in special servicing which may result in an increase in fees and expenses. Based on Fitch's current estimates, losses from assets in special servicing may affect classes H, J and K. As of the April 2012 distribution date, the pool's certificate balance has paid down 90.1% to $77.7 million from $781.6 million at issuance. There are 22 remaining loans from the original 193 loans at issuance. There are eight specially serviced loans (83.0%) in the pool. Of the eight loans, two loans (8.7%) are in foreclosure, five loans (41.2%) are real estate owned (REO), and one loan (33.1%) is current. The largest contributor to Fitch expected losses is a 251,365 sf retail center in Baltimore, MA. The asset has been real estate- owned (REO) since February 2006. Litigation against the guarantor over carve-out claims has concluded and no further appeals are available to the borrowing parties, although pursuit of related borrower entities continues. The property is currently being marketed for sale. Fitch anticipates significant losses upon sale of the asset based on valuations obtained by the special servicer. The second largest contributor to losses is a 201,148 sf office building in Milwaukee, WI. The asset has been real estate-owned (REO) since December 2009. The servicer is working to increase occupancy of the property and position the asset for sale. Fitch downgrades and assigns Outlooks to following classes as indicated: -- $11.7 million class E to 'Asf' from 'AAAsf'; Outlook Stable; -- $13.7 million class F to 'BBBsf' from 'Asf'; Outlook Negative; -- $9.8 million class G to 'BBsf' from 'BBBsf'; Outlook Negative. Classes E, F and G have been removed from Rating Watch Negative. Fitch affirms and revises the Recovery Estimates of the following classes as indicated: -- $4.8 million class D at 'AAAsf'; Outlook Stable; -- $21.5 million class H at 'Csf'; RE to 30% from 35%; -- $13.7 million class J at 'Csf'; RE 0%; -- $2.6 million class K at 'Dsf'; RE 0%. Fitch does not rate class P. Classes A-1, A-2, B and C have paid in full. Fitch maintains the rating of 'D' on classes L, M and N. Fitch has withdrawn the rating of class X. SALOMON MORTGAGE: Moody's Cuts Rating on Cl. B-2 Tranche to Caa3 ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 2 tranches from C-BASS's 2002-CB3, backed by Subprime loans. Ratings Rationale The actions are a result of the recent performance review of Subprime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The rating actions reflect recent collateral performance, Moody's updated loss timing curves and detailed analysis of timing and amount of credit enhancement released due to step-down. Moody's captures structural nuances by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variations across the different pools and the structure of the transaction. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The volatility of pool performance increases as the number of loans remaining in the pool decreases. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication listed above. When assigning the final ratings to senior bonds, in addition to the methodologies described, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Moody's Macroeconomic Board and Moody's Analytics (MA) still expect a below-trend growth for the US economy for 2012, with the unemployment rate remaining high between 8% to 9% and home prices dropping another 2-3% from the levels seen in 1Q 2011. Complete rating actions are as follows: Issuer: Salomon Mortgage Loan Trust, Series 2002-CB3 C-BASS Mortgage Loan Asset-Backed Certificates Cl. B-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. B-2, Downgraded to Caa3 (sf); previously on Jan 31, 2012 Caa2 (sf) Placed Under Review for Possible Downgrade A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF285515 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255 SLM STUDENT 2004-2: Fitch Keeps BBsf Rating on Subordinate Notes ---------------------------------------------------------------- Fitch Ratings affirms the senior student loan notes at 'AAAsf' and subordinate notes at 'BBsf' issued by SLM Student Loan Trust 2004- 2. The Rating Outlook on the senior notes, which is tied to the sovereign rating of the U.S. government, remains Negative, while the Rating Outlook on the subordinate note remains Stable. Fitch used its 'Global Structured Finance Rating Criteria', and 'U.S. FFELP Student Loan ABS Surveillance Criteria', as well as 'Rating U.S. Federal Family Education Loan Program Student Loan ABS' to review the ratings. The ratings on the senior and subordinate notes are affirmed based on the sufficient level of credit enhancement to cover the applicable risk factor stresses. Credit enhancement for the senior notes consists of overcollateralization, subordination provided by the class B note, and projected minimum excess spread, while the subordinated notes benefit from projected excess spread only. Fitch has taken the following rating actions: SLM Student Loan Trust 2004-2: -- Class A-4 affirmed at 'AAAsf'; Outlook Negative; -- Class A-5 affirmed at 'AAAsf'; Outlook Negative; -- Class A-6 affirmed at 'AAAsf'; Outlook Negative; -- Class B affirmed at 'BBsf'; Outlook Stable. SLM STUDENT 2004-5: Fitch Keeps BBsf Rating on Subordinate Notes ---------------------------------------------------------------- Fitch Ratings affirms the senior student loan notes at 'AAAsf' and subordinate notes at 'BBsf' issued by SLM Student Loan Trust 2004- 5. The Rating Outlook on the senior notes, which is tied to the sovereign rating of the U.S. government, remains Negative, while the Rating Outlook on the subordinate note remains Stable. Fitch used its 'Global Structured Finance Rating Criteria', and 'U.S. FFELP Student Loan ABS Surveillance Criteria', as well as 'Rating U.S. Federal Family Education Loan Program Student Loan ABS' to review the ratings. The ratings on the senior and subordinate notes are affirmed based on the sufficient level of credit enhancement to cover the applicable risk factor stresses. Credit enhancement for the senior notes consists of overcollateralization, subordination provided by the class B note, and projected minimum excess spread, while the subordinated notes benefit from projected excess spread only. Fitch has taken the following rating actions: SLM Student Loan Trust 2004-5: -- Class A-4 affirmed at 'AAAsf'; Outlook Negative; -- Class A-5 affirmed at 'AAAsf'; Outlook Negative; -- Class A-6 affirmed at 'AAAsf'; Outlook Negative; -- Class B affirmed at 'BBsf'; Outlook Stable. SLM STUDENT 2004-8: Fitch Keeps BBsf Rating on Subordinate Notes ---------------------------------------------------------------- Fitch Ratings affirms the senior student loan notes at 'AAAsf' and subordinate notes at 'BBsf' issued by SLM Student Loan Trust 2004- 8. The Rating Outlook on the senior notes, which is tied to the sovereign rating of the U.S. government, remains Negative, while the Rating Outlook on the subordinate note remains Stable. Fitch used its 'Global Structured Finance Rating Criteria', and 'U.S. FFELP Student Loan ABS Surveillance Criteria', as well as 'Rating U.S. Federal Family Education Loan Program Student Loan ABS' to review the ratings. The ratings on the senior and subordinate notes are affirmed based on the sufficient level of credit enhancement to cover the applicable risk factor stresses. Credit enhancement for the senior notes consists of overcollateralization, subordination provided by the class B note, and projected minimum excess spread, while the subordinated notes benefit from projected excess spread only. Fitch has taken the following rating actions: SLM Student Loan Trust 2004-8: -- Class A-4 affirmed at 'AAAsf'; Outlook Negative; -- Class A-5 affirmed at 'AAAsf'; Outlook Negative; -- Class A-6 affirmed at 'AAAsf'; Outlook Negative; -- Class B affirmed at 'BBsf'; Outlook Stable. SLM STUDENT 2004-10: Fitch Keeps BBsf Rating on Subordinate Notes ----------------------------------------------------------------- Fitch Ratings affirms the senior student loan notes at 'AAAsf' and subordinate notes at 'BBsf' issued by SLM Student Loan Trust 2004- 10. The Rating Outlook on the senior notes, which is tied to the sovereign rating of the U.S. government, remains Negative, while the Rating Outlook on the subordinate note remains Stable. Fitch used its 'Global Structured Finance Rating Criteria', and 'U.S. FFELP Student Loan ABS Surveillance Criteria', as well as 'Rating U.S. Federal Family Education Loan Program Student Loan ABS' to review the ratings. The ratings on the senior and subordinate notes are affirmed based on the sufficient level of credit enhancement to cover the applicable risk factor stresses. Credit enhancement for the senior notes consists of overcollateralization, subordination provided by the class B note, and projected minimum excess spread, while the subordinated notes benefit from projected excess spread only. Fitch has taken the following rating actions: SLM Student Loan Trust 2004-10: -- Class A-4 affirmed at 'AAAsf'; Outlook Negative; -- Class A-5A affirmed at 'AAAsf'; Outlook Negative; -- Class A-5B affirmed at 'AAAsf'; Outlook Negative; -- Class A-6A affirmed at 'AAAsf'; Outlook Negative; -- Class A-6B affirmed at 'AAAsf'; Outlook Negative; -- Class A-7A affirmed at 'AAAsf'; Outlook Negative; -- Class A-7B affirmed at 'AAAsf'; Outlook Negative; -- Class A-8 affirmed at 'AAAsf'; Outlook Negative; -- Class B affirmed at 'BBsf'; Outlook Stable. SLM STUDENT 2008-1: Fitch Keeps BBsf Rating on Subordinate Notes ---------------------------------------------------------------- Fitch Ratings affirms both the senior and subordinate student loan notes at 'AAAsf' and 'BBsf' issued by Nelnet Student Loan Trust series 2008-1. The Rating Outlook on the senior notes, which is tied to the sovereign rating of the U.S. government, remains Negative, while the Rating Outlook on the subordinate note remains Stable. Fitch used its 'Global Structured Finance Rating Criteria', and 'U.S. FFELP Student Loan ABS Surveillance Criteria', as well as 'Rating U.S. Federal Family Education Loan Program Student Loan ABS' to review the ratings. The ratings on the senior and subordinate notes are affirmed based on the sufficient level of credit to cover the applicable risk factor stresses. Credit enhancement for the senior and subordinate notes consists of overcollateralization and projected minimum excess spread, while the senior notes also benefit from subordination provided by the class B notes. Fitch has taken the following rating actions: Nelnet Student Loan Trust, Series 2008-1: -- Class A-2 affirmed at 'AAAsf; Outlook Negative; -- Class A-3 affirmed at 'AAAsf'; Outlook Negative; -- Class B affirmed at 'BBsf'; Outlook Stable. SIGNATURE 7: Moody's Upgrades Rating on Class C Notes From 'Ba3' ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Signature 7 L.P.: U.S.$15,085,000 Class B Deferrable Floating Rate Notes Due July 28, 2019, Upgraded to Aaa (sf); previously on October 11, 2011 Upgraded to A3 (sf); U.S.$12,930,000 Class C Deferrable Floating Rate Notes Due July 28, 2019 (current outstanding balance of $11,432,978), Upgraded to Baa1 (sf); previously on October 11, 2011 Upgraded to Ba3 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes are primarily a result of delevering of the senior notes and an increase in the transaction's overcollateralization ratios since the rating action in October 2011. Moody's notes that the Class A Notes have been paid down by approximately 58% or $15.8 million since the last rating action. Based on the latest trustee report dated April 18, 2012 the Class A, B, and C overcollateralization ratios are reported at 462.80%, 200.42%, and 140.19%, respectively, versus August 2011 levels of 235.19%, 151.54%, and 119.34%, 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 April 2012 trustee report, the weighted average rating factor is currently 1834 compared to 1739 in August 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 $53.9 million, defaulted par of $1.8 million, a weighted average default probability of 16.60% (implying a WARF of 2697), a weighted average recovery rate upon default of 33.56%, and a diversity score of 20. 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. Signature 7 L.P., issued in July 2004, is a collateralized bond obligation backed primarily by a portfolio of senior unsecured bonds. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Please see the Credit Policy page on www.moodys.com for a copy of this methodology. This publication incorporates rating criteria that apply to both collateralized loan obligations and collateralized bond obligations. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. 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% (2158) Class A: 0 Class B: 0 Class C: +2 Moody's Adjusted WARF + 20% (3236) Class A: 0 Class B: -1 Class C: -3 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 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 bond 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. 4) The deal has a pay-fixed receive-floating interest rate swap that is currently out of the money. If fixed rate assets prepay or default, there would be a more substantial mismatch between the swap notional and the amount of fixed assets. In such cases, payments to hedge counterparties may consume a large portion or all of the interest proceeds, leaving the transaction, even with respect to the senior notes, with poor interest coverage. Payment timing mismatches between assets and liabilities may cause additional concerns. If the deal does not receive sufficient projected principal proceeds on the payment date to supplement the interest proceeds shortfall, a heightened risk of interest payment default could occur. Similarly, if principal proceeds are used to pay interest, there may ultimately be a risk of payment default on the principal of the notes. SOLAR TRUST 2003-CC1: DBRS Confirms 'B' Rating on Class K Loans --------------------------------------------------------------- DBRS has confirmed the following classes of Solar Trust, Series 2003-CC1 as follows: -- Class A-2 at AAA (sf) -- Class B at AAA (sf) -- Class C at AAA (sf) -- Class IO-1 at AAA (sf) -- Class IO-2 at AAA (sf) -- Class D1 at AA (sf) -- Class D2 at AA (sf) -- Class E at A (high) (sf) -- Class F at A (sf) -- Class G at BBB (sf) -- Class H at BBB (low) (sf) -- Class J at BB (low) (sf) -- Class K at B (sf) The collateral in this transaction has been reduced by approximately 43.1% since issuance. As a whole, the pool has continued to perform well over time. The current weighted-average (WA) debt service coverage ratio (DSCR) and WA debt yield are 2.6 times (x) and 26.8%, respectively. In comparison, the WADSCR and WA debt yield for the pool at issuance was 1.5x and 12.5%, respectively. The top fifteen largest loans represent 66.3% of the current pool balance. Approximately $127.9 million in outstanding debt in this deal is scheduled to be repaid by the end of 2012. This would pay down a significant portion of the remaining balance to Class A-2 and improve subordination levels to the bonds. The WADSCR and WA debt yield for reporting loans maturing in 2012 is 1.87x and 19.8%, respectively. These loans also have a WA loan-to-value ratio (LTV) of 52.9%. Based on these metrics, and the overall health of the pool, DBRS has changed the trends on Classes D1 through G to Positive. The trend on the remaining classes is Stable. There are nine loans on the servicer's watchlist, representing 14.5% of the current pool balance. TLC Building (Prospectus ID#30, 1.62% of the current pool balance) is the third largest loan currently on the servicer's watchlist. The collateral is a 60,000 square foot office building in Mississauga, Ontario, which suffered a drop in occupancy when the sole tenant vacated. A replacement tenant was found to occupy 67% of the net rentable area (NRA) on a lease that is scheduled to expire in November 2012, concurrent with the loan's scheduled maturity. This loan has recourse to the Canada Mortgage and Housing Corporation, a government-guaranteed entity. Two loans of concern will be placed on the servicer's watchlist with the May 2012 remittance. The first is Matheson Boulevard (Prospectus ID#9, 5.61% of the current pool balance), which is secured by a Class A office building located within the Airport Corporate Centre in Mississauga. As of a December 2011 rent roll, the property was 87.8% occupied; however, the largest tenant, Daimler Chrysler Financial, will be vacating its 24.3% of the NRA by May 1, 2012, bringing occupancy down significantly. Available space at the property is being marketed by Altus InSite. This loan is scheduled to mature in October 2012. 500-522 King Street (Prospectus ID#14, 4.67% of the current pool balance) is secured by an office property with a retail component, comprising a total of approximately 130,000 square feet in the King West Central market of downtown Toronto. Although the property was 100% occupied, according to the most recent rent roll, Cossette Communication Group, representing 73.5% of the NRA, will be vacating its space by May 1, 2012. The space is already being marketed by Altus InSite. The success of finding one or more tenants to lease this space will likely play a role in this loan's ability to refinance ahead of its scheduled August 2012 maturity. A mitigating factor is that the sponsor, Allied Properties REIT, provides recourse for this loan. Allied Properties REIT's Toronto portfolio, comprising 3.2 million square feet, was 97% occupied at YE2011. Additionally, property is very well located and well maintained. STARWOOD VACATION 2005-A: Moody's Reviews 'B2' Rating on D Notes ---------------------------------------------------------------- Moody's Investors Service placed on review for possible upgrade the Class D note from SVO 2005-A VOI Mortgage Corp, and the Class A, Class B, Class C, and Class D notes from SVO 2006-A VOI Mortgage Corp, which are both sponsored by Starwood Vacation Ownership Portfolio Services, Inc. (Starwood). The underlying collateral consists of timeshare loan receivables serviced by Starwood. The completed rating actions are as follow: Issuer: SVO 2005-A VOI Mortgage Corp. Cl. D, B1 (sf) Placed Under Review for Possible Upgrade; previously on Jul 29, 2009 Downgraded to B1 (sf) Issuer: SVO 2006-A VOI Mortgage Corp. Cl. A, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Jul 29, 2009 Downgraded to Aa1 (sf) Cl. B, A1 (sf) Placed Under Review for Possible Upgrade; previously on Jul 29, 2009 Downgraded to A1 (sf) Cl. C, Baa2 (sf) Placed Under Review for Possible Upgrade; previously on Jul 29, 2009 Downgraded to Baa2 (sf) Cl. D, B2 (sf) Placed Under Review for Possible Upgrade; previously on Jul 29, 2009 Downgraded to B2 (sf) Ratings Rationale The review actions for possible upgrade are prompted by the continued improvement in pool performance observed over the past year. Sixty day plus delinquencies have retreated from their peak recessionary levels of 5-6% and now remain stable within 2-3% of the current pool balance. Gross charge-off rates in both transactions have also reduced significantly within the past 12 months and continue their downward trajectory. In addition, overcollateralization as a percentage of outstanding pool balance has reached its target level of 7.25% in the 2005 deal and 6.0% in the 2006 deal. Reserves in both deals are at their target floor 0.5% of original pool balance, and are non- declining. The performance evaluation of the deal for the review action was based on the adequacy of the available credit enhancement for each class of notes relative to performance on the underlying pool. Moody's considered the following sources of credit enhancement: overcollateralization, reserve fund, subordination, excess spread, as well as the protection provided by structural features of the transactions. Methodology: Moody's analysis primarily focuses on the ratio of credit enhancement to expected gross charge-offs on the remaining pool. During the review period, Moody's will analyze pool performance and project updated expected losses for the deals. Several approaches are utilized to quantitatively assess the lifetime gross charge-offs for timeshare deals, from which remaining expected charge-offs are derived. The primary method for assessing lifetime charge-offs is based on the level and shape of the cumulative gross charge-off curves and cumulative gross charge-off to liquidation curves, with additional consideration given to the current economic environment and the nature of the asset class. The level where the two curves converge will be the lifetime gross charge-offs of the pool. In cases where the gross charge-off to liquidation curve is still above the cumulative charge-off curve, or where the expected convergence point of the curves is not clear, a cash flow approach is utilized. The cash flow approach measures monthly charge-offs, scheduled amortization, and prepayments, and assumes that the observed elevated average charge-off rate and low prepayment rate of the last 12 months will decrease and increase, respectively, over the course of the next 12 months, to a stabilized level based on historical averages. The charge-off and prepayment rates are then assumed to remain at the stabilized level for the remaining life of the pool. A third metric employed to triangulate estimated lifetime charge-offs is the average gross charge-off to liquidation rate taken over a 6 month and 12 month rolling basis. In order to arrive at appropriate ratings, the ratio of credit enhancement to expected remaining net losses is then compared with timeshare transactions with similar remaining net losses to determine the appropriate ratings. The ratio to achieve a certain rating may be reduced based on the seasoning of the underlying pools. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of uncertainty with regard to expected losses are the weak economic environment, which adversely impacts the income-generating ability of the borrowers. STRUCTURED ASSET: Moody's Cuts Ratings on 2 RMBS Tranches to 'C' ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 43 tranches, upgraded the ratings of 17 tranches and confirmed the ratings of 17 tranches from 15 RMBS transactions, backed by Alt-A loans, issued by Structured Asset Securities Corp. Trust. Ratings Rationale The actions are a result of the recent performance review of Alt-A pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage- Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The rating action constitute of a number of upgrades as well as downgrades. The upgrades are due to significant improvement in collateral performance, and/ or rapid build-up in credit enhancement due to high prepayments. The downgrades are a result of deteriorating performance and/or structural features resulting in higher expected losses for certain bonds than previously anticipated. For e.g., for shifting interest structures, back-ended liquidations could expose the seniors to tail-end losses. In its current approach, Moody's captures this risk by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural nuances of the transaction The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (10%, 5% and 3% for the 2004, 2003 and 2002 and prior vintage respectively). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 10.10%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.5 to 2.0 for current delinquencies ranging from less than 2.5% to greater than 30% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication listed above. When assigning the final ratings to senior bonds, in addition to the methodologies described, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). Certain securities are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Moody's Macroeconomic Board and Moody's Analytics (MA) still expect a below-trend growth for the US economy for 2012, with the unemployment rate remaining high between 8% to 9% and home prices dropping another 2-3% from the levels seen in 1Q 2011. Complete rating actions are as follows: Issuer: Structured Asset Securities Corp Trust 2004-11XS Cl. 1-A4A, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade Cl. 1-A4B, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade Cl. 1-A5A, Downgraded to B3 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. 1-A5B, Downgraded to B3 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade Underlying Rating: Downgraded to B3 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: MBIA Insurance Corporation (B3 placed on review for possible downgrade on Dec 19, 2011) Cl. 1-A6, Downgraded to B1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Underlying Rating: Downgraded to B1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: MBIA Insurance Corporation (B3 placed on review for possible downgrade on Dec 19, 2011) Cl. 2-A2, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. 1-M1, Downgraded to C (sf); previously on Mar 2, 2011 Downgraded to Ca (sf) Cl. 2-M1, Downgraded to B1 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-12H Cl. 1A-IO, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Ba3 (sf) Placed Under Review Direction Uncertain Cl. 2A, Confirmed at B3 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Downgrade Cl. 1B1, Downgraded to C (sf); previously on Mar 21, 2011 Downgraded to Ca (sf) Cl. 2B1, Downgraded to C (sf); previously on Mar 21, 2011 Downgraded to Ca (sf) Issuer: Structured Asset Securities Corp Trust 2004-13 Cl. 1-A3, Downgraded to B1 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A1, Downgraded to B1 (sf); previously on Mar 21, 2011 Downgraded to Ba3 (sf) Issuer: Structured Asset Securities Corp Trust 2004-15 Cl. 3-A1, Downgraded to B1 (sf); previously on Mar 21, 2011 Downgraded to Ba2 (sf) Cl. 3-A7, Downgraded to Caa2 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Downgrade Cl. 3-A8, Downgraded to Caa2 (sf); previously on Mar 21, 2011 Downgraded to B2 (sf) Cl. 3-PAX, Downgraded to B1 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. 3-AX, Downgraded to B1 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. AX, Confirmed at B2 (sf); previously on Feb 22, 2012 B2 (sf) Placed Under Review Direction Uncertain Cl. PAX, Confirmed at B2 (sf); previously on Feb 22, 2012 B2 (sf) Placed Under Review Direction Uncertain Issuer: Structured Asset Securities Corp Trust 2004-16XS Cl. A3A, Confirmed at B3 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade Cl. A3B, Confirmed at B3 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade Underlying Rating: Confirmed at B3 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade Financial Guarantor: MBIA Insurance Corporation (B3 placed on review for possible downgrade on Dec 19, 2011) Cl. A4A, Upgraded to B1 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade Cl. A4B, Upgraded to B1 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade Underlying Rating: Upgraded to B1 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade Financial Guarantor: MBIA Insurance Corporation (B3 placed on review for possible downgrade on Dec 19, 2011) Cl. M1, Confirmed at C (sf); previously on Jan 31, 2012 C (sf) Placed Under Review for Possible Upgrade Issuer: Structured Asset Securities Corp Trust 2004-17XS Cl. A3A, Upgraded to B1 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade Underlying Rating: Upgraded to B1 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade* Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A3B, Upgraded to B1 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade Cl. A4A, Upgraded to Ba3 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade Underlying Rating: Upgraded to Ba3 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade* Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A4B, Upgraded to Ba3 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade Issuer: Structured Asset Securities Corp Trust 2004-19XS Cl. A3A, Downgraded to Baa3 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. A3B, Downgraded to B1 (sf); previously on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade Cl. A4, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. A6B, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-21XS Cl. 1-A5, Upgraded to Ba3 (sf); previously on Mar 2, 2011 Downgraded to B2 (sf) Cl. 2-A3, Upgraded to Aa2 (sf); previously on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Upgrade Cl. 2-A4B, Downgraded to Ba1 (sf); previously on Mar 2, 2011 Downgraded to Baa3 (sf) Cl. 2-A5A, Downgraded to Baa3 (sf); previously on Mar 2, 2011 Downgraded to Baa2 (sf) Cl. 2-A5B, Downgraded to B1 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A6A, Downgraded to Baa2 (sf); previously on Mar 2, 2011 Downgraded to Baa1 (sf) Cl. 2-A6B, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-23XS Cl. 1-A3A, Upgraded to Baa1 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Upgrade Cl. 1-A3B, Upgraded to Ba1 (sf); previously on Jan 31, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade Cl. 1-A3C, Upgraded to Baa2 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade Cl. 1-A3D, Upgraded to Baa2 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade Cl. 1-A4, Upgraded to Baa1 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Upgrade Cl. 2-A1, Upgraded to Ba1 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade Cl. 2-A2, Upgraded to Ba1 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade Cl. 2-A3, Upgraded to Ba3 (sf); previously on Jan 31, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade Cl. M1, Upgraded to Ca (sf); previously on Jan 31, 2012 C (sf) Placed Under Review for Possible Upgrade Issuer: Structured Asset Securities Corp Trust 2004-2AC Cl. A1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. A2, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-3 Cl. 1-A1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. 2-A1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. 3-A1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. 4-A1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. 3-PAX, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. AP, Downgraded to Ba3 (sf); previously on Mar 21, 2011 Downgraded to Baa2 (sf) Cl. AX, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-4XS Cl. 1-A3A, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. 1-A3B, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. 1-A5, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. 1-A6, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 1-M1, Downgraded to Ca (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-6XS Cl. A3, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. A5A, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. A5B, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Underlying Rating: Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A6, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. M1, Downgraded to Caa3 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-7 Cl. 1-A1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. 2-A1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. 3-A1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. AP, Downgraded to Ba3 (sf); previously on Mar 21, 2011 Downgraded to Baa2 (sf) Cl. AX, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. PAX, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp Trust 2004-9XS Cl. 2A1, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. 2-M1, Confirmed at Caa1 (sf); previously on Jan 31, 2012 Caa1 (sf) Placed Under Review for Possible Downgrade A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF285297 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237256 SUGAR CREEK: Moody's Assigns '(P)Ba2' Rating to Class E Notes ------------------------------------------------------------- Moody's Investors Service has assigned the following provisional ratings to notes to be issued by Sugar Creek CLO, Ltd. (the "Issuer" or "Sugar Creek CLO"): U.S. $180,000,000 Class A Senior Secured Floating Rate Notes due June 2022 (the "Class A Notes"), Assigned (P)Aaa (sf); U.S. $12,500,000 Class D Secured Deferrable Floating Rate Notes due June 2022 (the "Class D Notes"), Assigned (P)Baa3 (sf); and U.S. $10,250,000 Class E Secured Deferrable Floating Rate Notes due June 2022 (the "Class E Notes," and together with the Class A Notes and the Class D Notes, the "Notes"), Assigned (P)Ba2 (sf). Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating (if any) may differ from a provisional rating. Ratings Rationale Moody's provisional ratings of the Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of loans, the transaction's legal structure, and the characteristics of the underlying assets. Sugar Creek CLO is a managed cash flow CLO. The issued notes are collateralized primarily by broadly syndicated first-lien senior secured corporate loans. At least 95% of the portfolio must be invested in senior secured loans or eligible investments and up to 5% of the portfolio may consist of second-lien loans, bonds and senior secured notes. The underlying collateral pool is expected to be 80% ramped up as of the closing date. 40|86 Advisors, Inc. will direct the selection, acquisition and disposition of collateral on behalf of the Issuer and may engage in trading activity during the transaction's three-year reinvestment period, including discretionary trading. Thereafter, sales of securities that are defaulted, credit improved, or credit risk are allowed but purchases of additional collateral obligations are not permitted. In addition to the Class A Notes, Class D and Class E Notes rated by Moody's, the Issuer will issue three other tranches, including subordinated 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. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. For modeling purposes, Moody's used the following base-case assumptions: Par amount of $275,733,000 Diversity of 45 WARF of 2300 Weighted Average Spread of 3.30% Weighted Average Coupon of 7.0% Weighted Average Recovery Rate of 44.0% Weighted Average Life of 8.5 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 ratings assigned to the 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 D Notes and the Class E 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% (2645) Class A Notes: 0 Class D Notes: -1 Class E Notes: -1 Moody's WARF +30% (2990) Class A Notes: -1 Class D Notes: -2 Class E Notes: -2. 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 rating the Notes was "Moody's Approach to Rating Collateralized Loan Obligations," published in June 2011. TIAA CMBS I: Fitch Affirms 'BB' Ratings on 2 Certificate Classes ---------------------------------------------------------------- Fitch Ratings affirms TIAA CMBS I Trust's commercial mortgage pass-through certificates, series 2001-C1. The rating affirmations reflect the stable performance of the pool. There have been no losses to date. There are no specially serviced loans. Approximately 37% of the pool matures in 2013. As of the April 2012 distribution date, the pool's aggregate principal balance has been paid down by approximately 88.2% to $171.9 million from $1.46 billion at issuance. Eight (16.2%) of the remaining 79 loans are defeased. Interest shortfalls are currently affecting the non-rated class O. The largest loan in the pool (9.4%) is a secured by a 357,771 square foot (SF) retail property in Pittsburgh, PA. The anchor is Kmart. Servicer reported third quarter 2011 (3Q11) DSCR was 1.72x, compared to a DSCR of 1.69x at issuance. Occupancy as of March 31, 2011 was 94.8%, The second largest loan in the pool (6.8%) is secured by a 331,130 sf retail property in College Point, NY. Servicer report year-end 2011 DSCR was 1.88x, compared to 1.35x at issuance. As of April 20, 2012, the property is 100% leased. The third largest in the pool (5.2%) is a secured by a 411 unit multifamily property in East Brunswick, NJ. Servicer report year- end 2011 DSCR was 1.82x, compared to 1.88x at issuance. As of Dec. 31, 2012, the property was 85.5% occupied. Fitch affirms the following classes as indicated: -- $18.9 million class D at 'AAA'; Outlook Stable; -- $14.7 million class E at 'AAA'; Outlook Stable; -- $18.3 million class F at 'AAA'; Outlook Stable; -- $14.7 million class G at 'AAA'; Outlook Stable; -- $33 million class H at 'AAA'; Outlook Stable; -- $14.7 million class J at 'AAA'; Outlook Stable; -- $11 million class K at 'AA'; Outlook Stable; -- $14.7 million class L at 'BBB'; Outlook Stable; -- $7.3 million class M at 'BB'; Outlook Stable; -- $7.3 million class N at 'BB'; Outlook Stable. Fitch does not rate the $17.5 million class O. Classes A-1, A2, A3, A4, A-5, B and C have been paid in full. Fitch withdrew the rating on the interest-only class X at prior review. TRALEE CDO I: S&P Affirms 'B+' Rating on Class D Notes ------------------------------------------------------ Standard & Poor's Ratings Services affirmed its ratings on the class A-1, A-2a, A-2b, B, C, and D notes from Tralee CDO I Ltd., a collateralized loan obligation (CLO) transaction managed by Par IV Capital Management. "Simultaneously, we removed the rating on the class A-1 notes from CreditWatch with positive implications," S&P said. "We based the affirmations on the classes' existing credit support and overcollateralization levels that, in our opinion, are sufficient to support the current rating levels," S&P said. "The transaction is in its reinvestment period, which is scheduled to end in 2014. The transaction's overcollateralization (O/C) ratios have increased marginally since January 2011 rating action (when we used December 2010 report)," S&P said. The trustee reported these O/C ratios in the April 2012 monthly report: * The class A-2b O/C ratio was 124.58%, compared with a reported ratio of 123.68% in December 2010; * The class B O/C ratio was 116.80% compared with a reported ratio of 115.96% in December 2010; * The class C O/C ratio was 109.87%, compared with a reported ratio of 109.08% in December 2010; and * The class D O/C ratio was 105.46%, compared with a reported ratio of 104.70% in December 2010. Standard & Poor's will continue to review whether, in its opinion, 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 Tralee CDO I Ltd. Rating Class To From A-1 AA+ (sf) AA+ (sf)/Watch Pos A-2a AA (sf) AA (sf) A-2b AA (sf) AA (sf) B A (sf) A (sf) C BBB (sf) BBB (sf) D B+ (sf) B+ (sf) TRANSACTION INFORMATION Issuer: Tralee CDO I Ltd. Coissuer: Tralee CDO I Corp. Collateral manager: Par IV Capital Management Underwriter: JPMorgan Chase Bank Indenture trustee: The Bank of New York Mellon Transaction type: Cash flow CDO TRIMARAN CLO V: S&P Raises Rating on Class E Notes to 'B+' ---------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A2, B, C, D, and E notes from Trimaran CLO V Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Trimaran Advisors LLC. "At the same time, we removed these ratings from CreditWatch, where we placed them with positive implications on Feb. 10, 2012. We also affirmed the rating on the class A1 notes," S&P said. "The transaction is in its reinvestment period until March 2013. The rating actions reflect the improvement in the credit support available to the notes, primarily due to the increased credit quality of the assets held in the transaction, specifically, the lower level of defaults since our last rating action in February 2010," S&P said. "Standard & Poor's notes that the amount of defaulted assets in the collateral pool decreased significantly to $2.8 million (or 1.0% of the total portfolio) in the April 2012 trustee report, from $11.4 million (4.0%) in the January 2010 trustee monthly report, which we used for the February 2010 rating action," S&P said. "The reduced level of defaults, combined with other factors, has contributed to the overall improvement of the overcollateralization (O/C) ratios. The class A/B O/C ratio increased by 1.81% to 122.58% as of in April 2012 trustee report, from 120.77% as of January 2010. We observed similar improvements in the O/C ratios for the other classes," S&P said. "Based on these credit improvements, we raised our ratings on the class A2, B, C, D, and E notes, and removed the ratings from CreditWatch positive. We affirmed our rating on class A1 notes to reflect our belief that the credit support available is commensurate with 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 Trimaran CLO V Ltd. Rating Class To From A2 AAA (sf) AA+ (sf)/Watch Pos B AA (sf) A+ (sf)/Watch Pos C A- (sf) BBB+ (sf)/Watch Pos D BB+ (sf) B+ (sf)/Watch Pos E B+ (sf) CCC+ (sf)/Watch Pos RATING AFFIRMED Trimaran CLO V Ltd. Rating Class A1 AAA (sf) VENTURE V: Moody's Lifts Rating on $11.5MM Notes to 'B1(sf)' ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of the following notes issued by Venture V CDO Limited: U.S. $27,500,000 Class A-2 Floating Rate Notes Due 2018, Upgraded to Aa1 (sf); previously on August 30, 2011 Upgraded to Aa3 (sf); U.S. $20,500,000 Class B Deferrable Floating Rate Notes Due 2018, Upgraded to A2 (sf); previously on August 30, 2011 Upgraded to A3 (sf); U.S. $13,500,000 Class C Floating Rate Notes Due 2018, Upgraded to Baa3 (sf); previously on August 30, 2011 Upgraded to Ba1 (sf); U.S. $11,500,0000 Class D Floating Rate Notes Due 2018, Upgraded to Ba3 (sf); previously on August 30, 2011 Upgraded to B1 (sf); U.S. $25,000,000 Class J Blended Securities Due 2018 (current rated amount of $12,453,796.77), Upgraded to A1 (sf); previously on August 30, 2011 Upgraded to A2 (sf); U.S. $5,000,000 Class K Blended Securities Due 2018 (current rated amount of $406,967.83), Upgraded to Baa1 (sf); previously on August 30, 2011 Upgraded to Ba2 (sf). RATINGS RATIONALE According to Moody's, rating actions taken on the notes reflect the benefit of the end of the deal's reinvestment period in May 2012. In consideration of the inability to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming that the collateral pool characteristics will continue to maintain a positive "cushion" relative to certain covenant requirements as seen in the actual collateral quality measurements. In particular, the deal is assumed to benefit from higher spread levels compared to the levels assumed at the last rating action in August 2011. Moody's modeled the spread level at 4.0% compared to 3.2% at the time of the last rating action. Moody's also notes that the transaction's reported collateral quality and overcollateralization ratios are stable since the last rating action. 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 balance, including principal proceeds, of $379.4 million, defaulted par of $12.4 million, a weighted average default probability of 20.1% (implying a WARF of 2760), a weighted average recovery rate upon default of 48.4%, and a diversity score of 91. These default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends, and collateral manager latitude for trading the collateral are also factors. Venture V CDO Limited, issued in December 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The methodologies used in this rating were "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, and "Using the Structured Note Methodology to Rate CDO Combo- Notes" published in February 2004. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. 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% (2208) Class A-1: 0 Class A-2: +1 Class B: +2 Class C: +2 Class D: +2 Class J: +3 Class K: +2 Moody's Adjusted WARF + 20% (3312) Class A-1: 0 Class A-2: -2 Class B: -2 Class C: -1 Class D: -0 Class J: -2 Class K: -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 managers' investment strategies and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are: 1. Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence and at what pace when the deal ends its reinvestment period on May 22, 2012. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2. Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus selling defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. VENTURE X: Moody's Assigns '(P)Ba2' Rating to $13MM Class E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned the following provisional ratings to notes to be issued by Venture X CLO, Limited (the "Issuer" or "Venture X"): U.S. $263,500,000 Class A Senior Secured Floating Rate Notes due 2022 (the "Class A Notes"), Assigned (P)Aaa (sf) U.S. $13,750,000 Class E Senior Secured Deferrable Floating Rate Notes due 2022 (the "Class E Notes"), Assigned (P)Ba2 (sf) Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating (if any) may differ from a provisional rating. Ratings Rationale Moody's provisional ratings of the Class A Notes and the Class E Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of loans, the transaction's legal structure, and the characteristics of the underlying assets. Venture X is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first-lien senior secured corporate loans. At least 95% of the portfolio must be invested in senior secured loans or eligible investments and up to 5% of the portfolio may consist of second-lien loans, unsecured loans and bonds. The underlying portfolio is expected to be 60% ramped as of the closing date. In addition to the Class A Notes and Class E 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 notes in order of seniority. MJX Assets 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, sales of securities that are defaulted, credit improved, or credit risk are allowed, but purchases of additional collateral obligations are only permitted with the proceeds of prepayments and sales of credit risk obligations and are subject to certain conditions. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. For modeling purposes, Moody's used the following base-case assumptions: Par amount of $408,000,000 Diversity of 50 WARF of 2450 Weighted Average Spread of 3.75% Weighted Average Coupon of 5.0% Weighted Average Recovery Rate of 47.50% Weighted Average Life of 7 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 ratings assigned to the Class A Notes and the Class E 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 and the Class E 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% (2818) Class A Notes: 0 Class E Notes: -1 Moody's WARF +30% (3185) Class A Notes: 0 Class E Notes: -2. 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. Further details regarding Moody's analysis of this transaction may be found in the upcoming Pre-Sale Report, available soon on Moodys.com. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations," published in June 2011. VENTURE X: S&P Gives 'BB-' Rating on Class F Deferrable Notes ------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary credit ratings to Venture X CLO Ltd./Venture X CLO Corp.'s $361.0 million floating-rate notes. The note issuance is a CLO securitization backed by a revolving pool consisting primarily of broadly syndicated senior-secured loans. The preliminary ratings are based on information as of May 15, 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 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 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 0.34%-12.26%," 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," S&P said. 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 Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com PRELIMINARY RATINGS ASSIGNED Venture X CLO Ltd./Venture X CLO Corp. Class Rating Amount (mil. $) A AAA (sf) 248.0 B AA (sf) 52.5 C (deferrable) A (sf) 25.5 D (deferrable) BBB (sf) 17.5 E (deferrable) BB (sf) 13.0 F (deferrable) BB- (sf) 4.5 Subordinated notes NR 39.0 NR-Not rated. VERITAS CLO II: Moody's Hikes Rating on Class D Notes From 'Ba1' ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Veritas CLO II, Ltd.: U.S. $20,600,000 Class C Fourth Priority Mezzanine Secured Floating Rate Deferrable Interest Notes Due July 11, 2021, Upgraded to A2 (sf); previously on September 7, 2011 Upgraded to A3 (sf); U.S. $10,500,000 Class D Fifth Priority Mezzanine Secured Floating Rate Deferrable Interest Notes Due July 11, 2021, Upgraded to Baa3 (sf); previously on September 7, 2011 Upgraded to Ba1 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes reflect the benefit of the short period of time remaining before the end of the deal's reinvestment period in July 2012. In consideration of the reinvestment restrictions applicable during the amortization period, and therefore limited ability to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will continue to maintain a positive "cushion" relative to certain covenant requirements. In particular, the deal is assumed to benefit from lower WARF and higher diversity and spread levels compared to the levels assumed at the last rating action in September 2011. Moody's currently models WARF, diversity and spread at the actual levels of 2578, 75 and 3.52%, respectively, compared to the WARF, spread and diversity of 2684, 68 and 2.94%, respectively, that Moody's modeled at the last rating action. 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 $312.6 million, defaulted par of $1.9 million, a weighted average default probability of 18.47% (implying a WARF of 2578), a weighted average recovery rate upon default of 49.4%, and a diversity score of 75. 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. Veritas CLO II, Ltd., issued in June 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using a cash flow model based on 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, 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% (2062) Class A-1T: 0 Class A-1R: 0 Class A-2: 0 Class B: +1 Class C: +3 Class D: +3 Class E: +1 Moody's Adjusted WARF + 20% (3094) Class A-1T: 0 Class A-1R: 0 Class A-2: 0 Class B: -2 Class C: -1 Class D: -1 Class E: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 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 begin and at what pace when the deal enters its amortization period in July 2012. 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) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. WHITEHORSE I: S&P Affirms 'BB-' Rating on Class B-1L Notes ---------------------------------------------------------- Standard & Poor's Ratings Services raised and removed from CreditWatch positive its ratings on two classes of notes from WhiteHorse I Ltd., a collateralized loan obligation (CLO) transaction managed by WhiteHorse Capital Partners L.P. "We also affirmed our ratings on two classes from the same transaction and removed one from CreditWatch positive," S&P said. "The upgrades and affirmations reflect the increase in the level of credit support available to the senior and mezzanine notes as the deal continues to amortize and pay down the class A-1 notes. Since our last review, the transaction has paid down the class A-1 notes by more than $46 million. The class A-lLA note has paid off in full, while the class A-1LB note has paid down to 92% of its original issuance amount. As a result, the class B-1L overcollateralization test (O/C) has increased to 113.45% in April 2012 from 108.03% in January 2011," S&P said. The affirmation of the class B-1L note reflects the availability of sufficient credit support at the current rating level. "We also noted that the transaction has approximately 12.7% of long-dated assets that have a maturity later than the legal final maturity of the transaction. The transaction could be exposed to market value risk at maturity. We took this into account in this rating action," 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 Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS WhiteHorse I Ltd. Rating To From A-2L AAA (sf) AA (sf)/Watch Pos A-3L A (sf) BBB+ (sf)/Watch Pos B-1L BB- (sf) BB- (sf)/Watch Pos RATING AFFIRMED WhiteHorse I Ltd. Rating A-1LB AAA (sf) ZAIS INVESTMENT: Moody's Lifts Ratings on 2 Note Classes to 'Ba1' ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by ZAIS Investment Grade Limited II: U.S.$96,000,000 Class A-1 Floating Rate Notes due May 17, 2015 (current outstanding balance of $10,288,008), Upgraded to Aaa (sf); previously on August 30, 2011 Upgraded to Ba1 (sf); U.S.$304,000,000 Class A-2 Floating Rate Notes due May 17, 2015 (current outstanding balance of $32,578,692), Upgraded to Aaa (sf); previously on August 30, 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 Class A notes and an increase in the transaction's overcollateralization ratios since the rating action in August 2011. Moody's notes that the Class A-1 and Class A-2 Notes have been paid down by approximately 70% or $23.5 million and $74.5 million, respectively, since the last rating action. Based on the latest trustee report dated March 30, 2012, the Class A overcollateralization ratio is reported at 294.0% versus the July 2011 level of 157.3%. ZAIS Investment Grade Limited II is a collateralized debt obligation backed primarily by a portfolio of Collateralized Loan Obligations. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in May 2012. 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 rating action factors in a number of sensitivity analyses and stress scenarios. 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 Assets notched up by 2 rating notches: Class A-1: 0 Class A-2: 0 Class B-1: 0 Class B-2: 0 Moody's Caa Assets notched down by 2 rating notches: Class A-1: 0 Class A-2: 0 Class B-1: 0 Class B-2: 0 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the performance of the underlying assets, which are Collateralized Loan Obligations whose assets are primarily speculative-grade debt maturing between 2014 and 2016. CDO notes' performance may also be impacted by divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties include pace of delevering and weighted average life assumption on the underlying assets. * Fitch Affirms 114 Distressed Bonds in 23 CMBS Transactions ------------------------------------------------------------ Fitch Ratings has affirmed 114 distressed bonds in 23 U.S. commercial mortgage-backed securities (CMBS) transactions. Two classes have been downgraded. The bonds are all rated 'D' or 'C'. The ratings are based on realized or expected losses on the remaining rated bonds. The action is limited to just transactions with only distressed bonds outstanding. The transactions were reviewed as part of Fitch's ongoing surveillance. Fitch will continue to monitor these transactions for additional ratings actions and/or recovery estimates. A full-text copy of the spreadsheet detailing Fitch's actions is available for free at http://is.gd/atUWKf * Fitch Lowers Rating on 35 Bonds in 24 CMBS Transactions to 'D' ---------------------------------------------------------------- Fitch Ratings has downgraded 35 bonds in 24 U.S. commercial mortgage-backed securities (CMBS) transactions to 'D', as the bonds have incurred a principal write-down. The bonds were all previously rated 'CC' or 'C' which indicates that Fitch expected a default. The action is limited to just the bonds with write-downs. The remaining bonds in these transactions have not been analyzed as part of this review. Fitch has downgraded the bonds to 'D' as part of the ongoing surveillance process and will continue to monitor these transactions for additional defaults. A spreadsheet detailing Fitch's rating actions on the affected transactions is available at http://is.gd/3aHkLw * Fitch Downgrades Rating on 11 Bonds in Nine CRE CDOs to 'D' ------------------------------------------------------------- Fitch Ratings has downgraded 11 bonds in nine commercial real estate collateralized debt obligations (CRE CDOs) transactions to 'D', as the bonds have incurred a principal write-down. The bonds were all previously rated 'C' which indicates that Fitch expected a default. The action is limited to just the bonds with write-downs. The remaining bonds in these transactions have not been analyzed as part of this review. Fitch has downgraded the bonds to 'D' as part of the ongoing surveillance process and will continue to monitor these transactions for additional defaults. A spreadsheet detailing Fitch's ratings actions on the affected transactions is available at http://is.gd/OvbAJH * Fitch Downgrades Rating on 276 Distressed Bonds to 'Dsf' ---------------------------------------------------------- Fitch Ratings has downgraded 276 distressed bonds in 152 U.S. RMBS transactions to 'Dsf'. The downgrades indicate that the bonds have incurred a principal write-down. Of the bonds downgraded to 'Dsf', all classes were previously rated 'Csf' or 'CCsf'. All ratings below 'Bsf' indicate a default is expected. As part of this review, the Recovery Estimates of the defaulted bonds were not revised. Additionally, the review only focused on the bonds which defaulted and did not include any other bonds in the affected transactions. Of the 276 classes affected by these downgrades, 164 are Prime, 61 are Alt-A, and 48 are Subprime. The remaining transaction types are other sectors. The majority of the bonds (53.3%) have a Recovery Estimate of 50% - 90%, which indicates that the bonds will recover 50% - 90% of the current outstanding balance, while 28.9% have a Recovery Estimate of 0%. A spreadsheet detailing Fitch's ratings actions on the affected transactions is available at http://is.gd/o8p0k7 These actions were reviewed by a committee of Fitch analysts. The spreadsheet provides the contact information for the performance analyst. The spreadsheet also details Fitch's assignment of Recovery Estimates (REs) to the transactions. The Recovery Estimate scale is based upon the expected relative recovery characteristics of an obligation. For structured finance, Recovery Estimates are designed to estimate recoveries on a forward-looking basis. * Moody's Takes Rating Actions on $33 Million Subprime RMBS ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of eight tranches and confirmed the rating of one tranche from three subprime RMBS transactions issued by Bear Stearns and New Century. Ratings Rationale The actions are a result of the recent performance review of Subprime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The rating actions reflect recent collateral performance and detailed analysis of timing and amount of credit enhancement released due to step-down. This individual pool level analysis incorporates performance variations across the different pools and the structure of the transaction. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (11% for all vintages 2004 and prior). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The volatility of pool performance increases as the number of loans remaining in the pool decreases. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication listed above. When assigning the final ratings to senior bonds, in addition to the methodologies, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Moody's Macroeconomic Board and Moody's Analytics (MA) still expect a below-trend growth for the US economy for 2012, with the unemployment rate remaining high between 8% to 9% and home prices dropping another 2-3% from the levels seen in 1Q 2011. Complete rating actions are as follows: Issuer: Bear Stearns Asset Backed Securities, Inc., Series 1999-2 AF-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade AF-2, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade MF-1, Downgraded to Caa3 (sf); previously on Mar 11, 2011 Downgraded to Caa1 (sf) Issuer: New Century Asset-Backed Floating Rate Certificates, Series 1998-NC6 A, Downgraded to Ba3 (sf); previously on Mar 18, 2011 Downgraded to A3 (sf) M-1, Downgraded to Caa1 (sf); previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Downgrade Issuer: New Century Home Equity Loan Trust, Series 2003-A Cl. A, Confirmed at Aaa (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. M-1, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Downgraded to B1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. M-3, Downgraded to Caa1 (sf); previously on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF285523 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255 * S&P Places Ratings on 16 Tranches From 9 CDos on Watch Positive ----------------------------------------------------------------- Standard & Poor's Ratings Services placed its ratings on 16 tranches from nine corporate-backed synthetic collateralized debt obligation (CDO) transactions on CreditWatch positive. "At the same time, we placed our ratings on one tranche from one corporate-backed synthetic CDO transaction on CreditWatch negative. In addition, we affirmed two tranche ratings from two corporate-backed synthetic CDO transactions and removed one from CreditWatch negative and one from CreditWatch positive. The rating actions followed our monthly review of U.S. synthetic CDO transactions," S&P said. "The CreditWatch positive placements reflect seasoning of the transactions, rating stability of the obligors in the underlying reference portfolios over the past few months, and synthetic rated overcollateralization (SROC) ratios that had risen above 100% at the next highest rating level. The CreditWatch negative placements reflect negative rating migration in the respective portfolios and SROC ratios that had fallen below 100% as of the April month-end run. The affirmations reflect SROC ratios that were at or above 100% 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 Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Credit Default Swap US$10 mil Swap Risk Rating-Protection Buyer, CDS Reference #CA1119131 Rating Class To From Tranche BB-srb (sf)/Watch Pos BB-srb (sf) Credit Linked Notes Ltd. 2006-1 Rating Class To From Notes B- (sf) B- (sf)/Watch Neg Credit-Linked Trust Certificates Series 2005-I Rating Class To From 2005-I-H AA- (sf)/Watch Pos AA- (sf) 2005-I-J A- (sf)/Watch Pos A- (sf) Mistletoe ORSO Trust 3 Rating Class To From 5 Cr Link CCC- (sf) CCC- (sf)/Watch Pos Morgan Stanley ACES SPC Series 2007-8 Rating Class To From A1 CCC- (sf)/Watch Pos CCC- (sf) A2 CCC+ (sf)/Watch Pos CCC+ (sf) Senior BB (sf)/Watch Pos BB (sf) Morgan Stanley ACES SPC Series 2008-8 Rating Class To From IA AA- (sf)/Watch Neg AA- (sf) Morgan Stanley Managed ACES SPC Series 2005-1 Rating Class To From II A BBB- (sf)/Watch Pos BBB- (sf) II B BBB- (sf)/Watch Pos BBB- (sf) Morgan Stanley Managed ACES SPC Series 2006-4 Rating Class To From II BBB- (sf)/Watch Pos BBB- (sf) IIIB BB (sf)/Watch Pos BB (sf) North Street Referenced Linked Notes 2005-9 Ltd. Rating Class To From E A (sf)/Watch Pos A (sf) F B- (sf)/Watch Pos B- (sf) PARCS-R Master Trust Series 2007-12 Rating Class To From Trust Unit BB+ (sf)/Watch Pos BB+ (sf) Repacs Trust Series: Bayshore I Rating Class To From A BB (sf)/Watch Pos BB (sf) B BB- (sf)/Watch Pos BB- (sf) Rutland Rated Investments EUR5 mil, US$197 mil Dryden XII - IG Synthetic CDO 2006-1 Rating Class To From A2-$LS BBB+ (sf)/Watch Pos BBB+ (sf) * S&P Lowers Ratings on 15 Classes From 6 RMBS Transactions ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 15 classes from six residential mortgage-backed securities (RMBS) resecuritized real estate mortgage investment conduit (re-REMIC) transactions issued between 2008 and 2010. "In addition, we affirmed our ratings on 201 classes from the six transactions with lowered ratings and 10 other transactions. We also withdrew our ratings on six classes from two transactions," S&P said. "Thirteen transactions in this review pay interest on a pro rata basis and three (RBSSP Resecuritization Trust 2009-5, RBSSP Resecuritization Trust 2009-7, and CSMC Series 2009-1R) 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. "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 2005 5.5 18.25 2006 9.25 38.25 2007 11.75 48.50 Table 2 Lifetime Loss Projections For Alternative-A RMBS (Percent of original balance) Fixed/ Aggregate long-reset Vintage 2005 13.75 12.75 2006 29.50 25.25 2007 36.00 31.75 Short-reset hybrid Option ARM Vintage 2005 13.25 15.50 2006 30.00 34.75 2007 41.00 43.50 "We also based our downgrades on our assessment of projected interest shortfalls and/or projected principal losses from the underlying securities that would impair the re-REMIC classes at the applicable rating stresses," 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 from the current ratings," S&P said. "We withdrew our ratings on three classes from Citigroup Mortgage Loan Trust 2010-9 to reflect the application of our IO criteria. We also withdrew our ratings on three classes from JMAC Master Resecuritization Trust I Series 2009-A, which were paid in full," 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 Citigroup Mortgage Loan Trust 2009-10 Series 2009-10 Rating Class CUSIP To From 6A2 17316AAZ3 B (sf) BB+ (sf) Citigroup Mortgage Loan Trust 2010-6 Series 2010-06 Rating Class CUSIP To From 7A1 17316YAS7 B- (sf) A (sf) 6A1 17316YAQ1 B- (sf) A (sf) Citigroup Mortgage Loan Trust 2010-9 Series 2010-9 Rating Class CUSIP To From 5A1IO 17317JBG4 NR BBB (sf) 4A4IO 17317JAP5 NR BBB (sf) 4A1IO 17317JAT7 NR A (sf) CSMC Series 2009-1R Series 2009-1R Rating Class CUSIP To From 4-A-2 12640XAQ1 BB- (sf) AA- (sf) Jefferies Resecuritization Trust 2008-R2 Series 2008-R2 Rating Class CUSIP To From I-A1 472321AA6 BB+ (sf) AA (sf) I-A2 472321AB4 CCC (sf) BB (sf) I-A3 472321AG3 CC (sf) CCC (sf) II-A1 472321AC2 B+ (sf) BB (sf) II-A2 472321AD0 CCC (sf) B (sf) II-A3 472321AH1 CC (sf) CCC (sf) JMAC Master Resecuritization Trust I Series 2009-A Series 2009-A Rating Class CUSIP To From 43-A 46633LBU4 NR BBB (sf) 25-A 46633LBA8 NR AAA (sf) 35-A 46633LBL4 NR AAA (sf) RBSSP Resecuritization Trust 2009-5 Series 2009-5 Rating Class CUSIP To From 7-A2 74928WAX1 CC (sf) CCC (sf) 6-A2 74928WAV5 CC (sf) CCC (sf) RBSSP Resecuritization Trust 2009-7 Series 2009-7 Rating Class CUSIP To From 3-A4 75524MAM2 CC (sf) BB (sf) 3-A2 75524MAK6 CC (sf) BB (sf) 3-A6 75524MAP5 CC (sf) BB (sf) RATINGS AFFIRMED Banc of America Funding 2009-R15 Trust Series 2009-R15 Class CUSIP Rating 5-A-2 05955PAK4 AAA (sf) 5-A-1 05955PAJ7 AAA (sf) 1-A-1 05955PAA6 AAA (sf) Banc of America Funding 2009-R17 Trust Series 2009-R17 Class CUSIP Rating 4-A-1A 05955QAM8 AAA (sf) 4-A-1 05955QAH9 AAA (sf) 3-A-1 05955QAE6 AAA (sf) 4-A-1B 05955QAN6 AAA (sf) 3-A-1B 05955QAL0 AAA (sf) 3-A-1A 05955QAK2 AAA (sf) Banc of America Funding 2010-R4 Trust Series 2010-R4 Class CUSIP Rating 7-A-1 05952XAZ7 BB- (sf) 2-A-2 05952XAJ3 A (sf) 1-A-1 05952XAA2 AA (sf) 1-A-IO 05952XAB0 AA (sf) 2-A-1 05952XAG9 AA (sf) 4-A-1 05952XAR5 A (sf) 1-A-7 05952XBF0 BBB (sf) 1-A-3 05952XAD6 BBB (sf) 2-A-3 05952XAK0 BBB (sf) 6-A-1 05952XAV6 BB- (sf) 3-A-2 05952XAP9 AAA (sf) 1-A-2 05952XAC8 A (sf) 5-A-1 05952XAT1 BB- (sf) 2-A-7 05952XBH6 BBB (sf) 2-A-IO 05952XAH7 AA (sf) 3-A-1 05952XAN4 AAA (sf) BCAP LLC 2009-RR5 Trust Series 2009-RR5 Class CUSIP Rating VI-A-3 05531UAY6 B- (sf) VI-A-1 05531UAL4 AAA (sf) VI-A-2 05531UAM2 AAA (sf) VIII-A-1 05531UAQ3 A+ (sf) Citigroup Mortgage Loan Trust 2009-10 Series 2009-10 Class CUSIP Rating 6A1 17316AAY6 AAA (sf) 5A2 17316AAX8 BBB+ (sf) 1A1 17316AAA8 AAA (sf) 3A1 17316AAN0 AAA (sf) 1A2 17316AAB6 AAA (sf) 5A1 17316AAW0 AAA (sf) Citigroup Mortgage Loan Trust 2010-6 Series 2010-06 Class CUSIP Rating 8A1IO 17316YAV0 AA (sf) 2A1 17316YAC2 AAA (sf) 5A4 17316YAP3 A (sf) 8A3 17316YAX6 AA (sf) 5A3 17316YAN8 A (sf) 8A4 17316YAY4 AAA (sf) 8A1 17316YAU2 AA (sf) 8A4IO 17316YAZ1 AAA (sf) 8A6 17316YBB3 AAA (sf) 5A1 17316YAL2 A (sf) Citigroup Mortgage Loan Trust 2010-8 Series 2010-8 Class CUSIP Rating 4A1IO 17317HAM6 AAA (sf) 1A1IO 17317HAB0 AAA (sf) 4A2 17317HAN4 BBB (sf) 2A1 17317HAG9 AAA (sf) 3A1 17317HAJ3 AAA (sf) 1A2 17317HAC8 BBB (sf) 1A1 17317HAA2 AAA (sf) 4A1 17317HAL8 AAA (sf) Citigroup Mortgage Loan Trust 2010-9 Series 2010-9 Class CUSIP Rating 5A7 17317JBN9 BBB (sf) 4A8 17317JAY6 BBB (sf) 4A13 17317JBD1 AAA (sf) 5A5 17317JBL3 BBB (sf) 4A12 17317JBC3 A (sf) 4A14 17317JBE9 A (sf) 1A1 17317JAA8 A (sf) 4A7IO 17317JAX8 AAA (sf) 4A4 17317JAS9 BBB (sf) 5A6 17317JBM1 AA (sf) 4A1 17317JAN0 A (sf) 5A4 17317JBK5 A (sf) 4A11 17317JBB5 AA (sf) 5A1 17317JBF6 BBB (sf) 4A7 17317JAW0 AAA (sf) 2A1 17317JAC4 AAA (sf) 5A9 17317JBQ2 BBB (sf) 5A8 17317JBP4 AAA (sf) CSMC Series 2009-1R Series 2009-1R Class CUSIP Rating 2-A-1 12640XAE8 AAA (sf) 4-A-1 12640XAN8 AAA (sf) CSMC Series 2010-8R Series 2010-8R Class CUSIP Rating 6-A-1 12644KJG8 AAA (sf) 5-A-1 12644KHU9 AAA (sf) 2-A-4 12644KGA4 BBB (sf) 2-A-1 12644KFX5 AAA (sf) 4-A-10 12644KHN5 AAA (sf) 8-A-7 12644KKU5 AAA (sf) 4-A-2 12644KHE5 AA (sf) 3-A-9 12644KGW6 AAA (sf) 3-A-8 12644KGV8 AAA (sf) 8-A-9 12644KKW1 AAA (sf) 4-A-7 12644KHK1 AAA (sf) 7-A-4 12644KKA9 BBB (sf) 1-A-9 12644KFQ0 AAA (sf) 6-A-2 12644KJH6 AA (sf) 1-A-3 12644KFJ6 A (sf) 5-A-3 12644KHW5 A (sf) 1-A-2 12644KFH0 AA (sf) 6-A-10 12644KJR4 AAA (sf) 2-A-7 12644KGD8 AAA (sf) 1-A-1 12644KFG2 AAA (sf) 3-A-11 12644KGY2 AAA (sf) 8-A-10 12644KKX9 AAA (sf) 9-A-4 12644KLG5 BBB (sf) 6-A-8 12644KJP8 AAA (sf) 3-A-2 12644KGP1 AA (sf) 5-A-8 12644KJB9 AAA (sf) 1-A-10 12644KFR8 AAA (sf) 9-A-7 12644KLK6 AAA (sf) 5-A-6 12644KHZ8 AAA (sf) 4-A-1 12644KHD7 AAA (sf) 6-A-4 12644KJK9 BBB (sf) 1-A-4 12644KFK3 BBB (sf) 2-A-10 12644KGG1 AAA (sf) 6-A-11 12644KJS2 AAA (sf) 9-A-2 12644KLE0 AA (sf) 2-A-11 12644KGH9 AAA (sf) 1-A-11 12644KFS6 AAA (sf) 3-A-1 12644KGN6 AAA (sf) 3-A-10 12644KGX4 AAA (sf) 4-A-11 12644KHP0 AAA (sf) 5-A-10 12644KJD5 AAA (sf) 8-A-1 12644KKN1 AAA (sf) 3-A-3 12644KGQ9 A (sf) 9-A-3 12644KLF7 A (sf) 4-A-3 12644KHF2 A (sf) 2-A-9 12644KGF3 AAA (sf) 9-A-10 12644KLN0 AAA (sf) 1-A-7 12644KFN7 AAA (sf) 5-A-7 12644KJA1 AAA (sf) 9-A-9 12644KLM2 AAA (sf) 9-A-11 12644KLP5 AAA (sf) 4-A-9 12644KHM7 AAA (sf) 2-A-8 12644KGE6 AAA (sf) 8-A-3 12644KKQ4 A (sf) 9-A-1 12644KLD2 AAA (sf) 8-A-4 12644KKR2 BBB (sf) 4-A-8 12644KHL9 AAA (sf) 5-A-2 12644KHV7 AA (sf) 6-A-9 12644KJQ6 AAA (sf) 8-A-2 12644KKP6 AA (sf) 6-A-3 12644KJJ2 A (sf) 1-A-8 12644KFP2 AAA (sf) 8-A-11 12644KKY7 AAA (sf) 4-A-4 12644KHG0 BBB (sf) 3-A-4 12644KGR7 BBB (sf) 5-A-4 12644KHX3 BBB (sf) 3-A-7 12644KGU0 AAA (sf) 6-A-7 12644KJN3 AAA (sf) 2-A-2 12644KFY3 AA (sf) 2-A-3 12644KFZ0 A (sf) 9-A-8 12644KLL4 AAA (sf) 8-A-8 12644KKV3 AAA (sf) 5-A-9 12644KJC7 AAA (sf) J.P. Morgan Resecuritization Trust Series 2010-7 Series 2010-7 Class CUSIP Rating 2-A-5 46635BAP6 AA (sf) 2-A-2 46635BAL5 AA (sf) 2-A-1 46635BAK7 AAA (sf) 2-A-6 46635BAQ4 A (sf) 2-A-3 46635BAM3 A (sf) Jefferies Resecuritization Trust 2008-R2 Series 2008-R2 Class CUSIP Rating III-A1 472321AJ7 B (sf) III-A2 472321AK4 CCC (sf) Jefferies Resecuritization Trust 2009-R11 Series 2009-R11 Class CUSIP Rating 2-A1-2 47233DAL5 AAA (sf) 2-A2B 47233DAH4 B (sf) 2-A2 47233DAF8 B (sf) 2-A2A 47233DAG6 B (sf) 2-A1-1 47233DAK7 AAA (sf) JMAC Master Resecuritization Trust I Series 2009-A Series 2009-A Class CUSIP Rating 13-A 46633LAN1 AAA (sf) 4-A 46633LAD3 AA (sf) 26-A 46633LBB6 AAA (sf) 18-A 46633LAT8 AAA (sf) 3-A 46633LAC5 AAA (sf) 31-A 46633LBG5 AAA (sf) 17-A 46633LAS0 AAA (sf) 32-A 46633LBH3 AA (sf) 9-A 46633LAJ0 BBB (sf) 23-A 46633LAY7 AAA (sf) 34-A 46633LBK6 AAA (sf) 19-A 46633LAU5 AAA (sf) 50-A 46633LCB5 A (sf) 11-A 46633LAL5 AAA (sf) 10-A 46633LAK7 BBB (sf) 2-A 46633LAB7 AAA (sf) 15-A 46633LAQ4 AAA (sf) 24-A 46633LAZ4 AAA (sf) 28-A 46633LBD2 AAA (sf) 33-A 46633LBJ9 AA (sf) 21-A 46633LAW1 AAA (sf) 1-A 46633LAA9 AAA (sf) 27-A 46633LBC4 AAA (sf) 7-A 46633LAG6 AAA (sf) 16-A 46633LAR2 AAA (sf) 6-A 46633LAF8 AAA (sf) 20-A 46633LAV3 AAA (sf) 30-A 46633LBF7 AAA (sf) 45-A 46633LBW0 AAA (sf) 8-A 46633LAH4 AAA (sf) 36-A 46633LBM2 AAA (sf) 12-A 46633LAM3 AAA (sf) 29-A 46633LBE0 AAA (sf) 22-A 46633LAX9 AAA (sf) 44-A 46633LBV2 AAA (sf) 14-A 46633LAP6 AAA (sf) 5-A 46633LAE1 AAA (sf) RBSSP Resecuritization Trust 2009-5 Series 2009-5 Class CUSIP Rating 8-A1 74928WAY9 AAA (sf) 7-A1 74928WAW3 AAA (sf) 6-A1 74928WAU7 AAA (sf) RBSSP Resecuritization Trust 2009-7 Series 2009-7 Class CUSIP Rating 3-A3 75524MAL4 AA (sf) 3-A5 75524MAN0 A (sf) 3-A1 75524MAJ9 AAA (sf) * S&P Raises Ratings on 12 Tranches From 9 U.S. TruPs CDO Deals --------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on 12 tranches from nine U.S. collateralized debt obligation (CDO) transactions backed by pools of trust preferred securities (TruPs) and removed 11 from CreditWatch with positive implications. The upgraded tranches have a total issuance amount of $2.30 billion. "In addition, we lowered our ratings on two tranches from one CDO transaction on account of credit deterioration and we affirmed our ratings on eight tranches from five U.S. TruPs CDO transactions," S&P said. "The rating actions reflect the application of our updated criteria for rating CDOs backed by TruPs. Some of the trust preferred CDO transactions have also benefitted from improvements in their underlying collateral portfolios, including cessation of deferrals that had been occurring and changes in the credit quality of the small banks that issued the TruPs collateralizing the CDOs. Some of the rating actions also reflect significant paydowns made to the transaction's senior notes," S&P said. "Trust preferred CDOs are collateralized by hybrid (or TruPs) securities issued by banks, insurance companies, and REITs. The assets collateralizing bank trust preferred CDOs rated by Standard & Poor's are deeply subordinated, long-dated securities issued predominantly by small community banks with speculative-grade credit profiles. Further, many of these banks have significant real estate exposures, and it is our view that their performance in times of economic and/or credit stress may be highly correlated," S&P said. "The updated criteria incorporate several elements, including a decreased emphasis on front-loaded defaults (which are generally more stressful on the transaction's cash flows) for lower rating categories; a potential deferral cure (PDC) credit in our cash flow analysis for prospective deferring and currently deferring bank TruPs; and an assumption that larger banks may redeem their TruPs due to U.S. regulatory changes that phase out Tier 1 capital credit for such securities," S&P said. "Given the current rating distribution of the TruPs CDOs, incorporating the differentiated default patterns in our cash flow scenarios will have the most impact on the current ratings of the affected transactions," S&P said. "Some tranches in our analysis had breakeven default rates (BDRs) that failed to exceed the 'CCC-' scenario default rate (SDR) generated by CDO Evaluator. We lowered our ratings on these tranches to 'CC (sf)' if, in our view, the transaction collateral even absent further deferrals was insufficient to cover the currently outstanding tranche balance. Otherwise, we assigned a 'CCC- (sf)' rating," S&P said. "We intend to review the remaining transactions with ratings on CreditWatch in connection with our TruPs CDO criteria update and resolve the CreditWatch status of the affected tranches within the next three months," S&P said. RATING ACTIONS Alesco Preferred Funding XI Ltd. Rating Class To From A-1A BBB- (sf) CCC+ (sf)/Watch Pos A-1B BBB- (sf) CCC+ (sf)/Watch Pos Preferred Term Securities X Ltd. Rating Class To From A-1 B+ (sf) CCC- (sf)/Watch Pos A-2 CCC- (sf) CCC- (sf) A-3 CCC- (sf) CCC- (sf) Preferred Term Securities XI Ltd. Rating Class To From A-1 BB+ (sf) CCC+ (sf)/Watch Pos A-2 CCC (sf) CCC (sf) TPref Funding III Ltd. Rating Class To From A-1 A+ (sf) BB+ (sf)/Watch Pos A-2 BB+ (sf) BB- (sf)/Watch Pos Trapeza CDO II LLC Rating Class To From A1B BB+ (sf) BB- (sf)/Watch Pos Trapeza CDO IX Ltd. Rating Class To From A-1 BB+ (sf) CCC+ (sf)/Watch Pos Trapeza CDO X Ltd. Rating Class To From A-1 CCC (sf) CCC- (sf)/Watch Pos A-2 CCC- (sf) CCC- (sf) B CC (sf) CC (sf) Trapeza CDO XI Ltd. Rating Class To From A-1 CCC+ (sf) CCC- (sf)/Watch Pos A-2 CCC- (sf) CCC- (sf) A-3 CCC- (sf) CCC- (sf) B CC (sf) CCC- (sf) C CC (sf) CCC- (sf) Trapeza CDO XII Ltd. Rating Class To From A-1 B+ (sf) CCC- (sf)/Watch Pos A-2 CCC+ (sf) CCC- (sf) R A (sf) A (sf) * S&P Lowers Ratings on 9 Classes From US CMBS Transactions to 'D' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 16 classes of commercial mortgage pass-through certificates from four U.S. commercial mortgage-backed securities (CMBS) transactions due to current and potential interest shortfalls. "We lowered our ratings on nine of these classes to 'D (sf)' because we expect the accumulated interest shortfalls to remain outstanding for the foreseeable future. The nine classes that we downgraded to 'D (sf)' have had accumulated interest shortfalls outstanding between five and 12 months," S&P said. The recurring interest shortfalls for these certificates are primarily due to one or more of these factors: * Appraisal subordinate entitlement reduction (ASER) amounts in effect for specially serviced assets; and * Special servicing fees. "Standard & Poor's analysis primarily considered the ASER amounts based on appraisal reduction amounts (ARAs) calculated using recent Member of the Appraisal Institute (MAI) appraisals. We also considered special servicing fees that are likely, in our view, to cause recurring interest shortfalls," S&P said. "The servicer implements ARAs and resulting ASER amounts in accordance with each respective transaction's terms. Typically, these terms call for the automatic implementation of an ARA equal to 25% of the stated principal balance of a loan when a loan is 60 days past due and an appraisal or other valuation is not available within a specified timeframe. We primarily considered ASER amounts based on ARAs calculated from MAI appraisals when deciding which classes from the affected transactions to downgrade to 'D (sf)'. This is because ARAs based on a principal balance haircut is highly subject to change, or even reversal, once the special servicer obtains the MAI appraisals," S&P said. "We detail the 16 downgraded classes from the four U.S. CMBS transactions," S&P said. First Union Commercial Mortgage Trust Series 1999-C1 "We lowered our rating to 'D (sf)' on the class G certificate from First Union Commercial Mortgage Trust's series 1999-C1 due to accumulated interest shortfalls outstanding for six months, primarily from ASER amounts ($89,800) related to one ($19.4 million; 9.7%) of the four loans ($30.2 million; 15.2%) that are currently with the special servicer, LNR Partners LLC (LNR), and special servicing fees ($6,530). As of the April 17, 2012, trustee remittance report, an ARA of $11.5 million was in effect for one of the specially serviced loans. The reported net ASER amount was $63,322, which reflected a one-time $26,478 ASER recovery from a liquidated specially serviced asset," S&P said. The reported net monthly interest shortfalls totaled $69,852. LB-UBS Commercial Mortgage Trust 2001-C3 "We lowered our ratings on the class H, J, K, L, and M certificates from LB-UBS Commercial Mortgage Trust 2001-C3. We lowered our ratings on the class L and M certificates to 'D (sf)' to reflect accumulated interest shortfalls outstanding for seven and 12 months primarily due to ASER amounts related to five ($38.6 million; 23.7%) of the seven ($78.0 million; 47.8%) assets that are currently with the special servicer, LNR, and special servicing fees ($16,266). We lowered our ratings on classes H, J, and K due to reduced liquidity support available to these classes and the potential for these classes to experience interest shortfalls in the future related to the specially serviced assets. As of the April 17, 2012, trustee remittance report, ARAs totaling $7.2 million were in effect for five of the seven specially serviced assets. The total reported monthly ASER amount was $61,254. The reported monthly interest shortfalls totaled $83,430 and have affected all of the classes subordinate to and including class L," S&P said. LB-UBS Commercial Mortgage Trust 2004-C6 "We lowered our ratings on the class E, F, G H, J, K, L, and M certificates from LB-UBS Commercial Mortgage Trust 2004-C6. We lowered our ratings on the class J, K, L, and M certificates to 'D (sf)' to reflect accumulated interest shortfalls outstanding between seven and 10 months, primarily due to ASER amounts related to four ($74.6 million; 10.0%) of the six assets ($80.4 million; 10.8%) that are currently with the special servicer, LNR, and special servicing fees ($18,890). We lowered our ratings on classes G and H due the potential for these classes to experience interest shortfalls in the future related to the specially serviced assets. In addition, class H has experienced accumulated interest shortfalls for one month. We lowered our ratings on classes E and F due to reduced liquidity support available to these classes resulting from the continued interest shortfalls. As of the April 17, 2012, trustee remittance report, ARAs totaling $38.0 million were in effect for four of the six specially serviced assets, and the total reported ASER amount was $203,631. The reported net monthly interest shortfalls totaled $226,046 and have affected all of the classes subordinate to and including class H," S&P said. Morgan Stanley Capital I Trust 2005-HQ5 "We lowered our ratings on the class J and K certificates from Morgan Stanley Capital I Trust 2005-HQ5 to 'D (sf)' to reflect accumulated interest shortfalls outstanding for five and eight months, respectively. The interest shortfalls were primarily due to ASER amounts related to six ($44.1 million; 4.2%) of the eight assets ($60.7 million; 5.8%) that are currently with the special servicer, CWCapital Asset Management LLC, and special servicing fees ($11,041). As of the April 16, 2012, trustee remittance report, ARAs totaling $24.8 million were in effect for six of the eight specially serviced assets, and the total reported ASER amount was $117,805. The reported monthly interest shortfalls totaled $129,219 and have affected all of the classes subordinate to and including class J," 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 LOWERED First Union Commercial Mortgage Trust Commercial mortgage pass-through certificates series 1999-C1 Reported Rating Credit Interest shortfalls Class To From enhcmt(%) Current Accumulated G D (sf) B (sf) 9.44 (16,196) 44,263 LB-UBS Commercial Mortgage Trust 2001-C3 Commercial mortgage pass-through certificates Reported Rating Credit interest shortfalls Class To From enhcmt(%) Current Accumulated H B+ (sf) BB (sf) 28.49 0 0 J CCC+ (sf) B+ (sf) 15.80 0 0 K CCC- (sf) B (sf) 11.57 0 0 L D (sf) CCC+ (sf) 5.23 39,636 240,208 M D (sf) CCC- (sf) 3.11 17,720 197,683 LB-UBS Commercial Mortgage Trust 2004-C6 Commercial mortgage pass-through certificates Reported Rating Credit interest shortfalls Class To From enhcmt(%) Current Accumulated E BBB (sf) A (sf) 11.73 0 0 F BB (sf) BBB+ (sf) 9.70 0 0 G B (sf) BBB- (sf) 8.12 0 0 H CCC- (sf) BB- (sf) 6.54 670 670 J D (sf) B- (sf) 5.41 40,601 133,709 K D (sf) CCC (sf) 3.16 82,250 589,394 L D (sf) CCC (sf) 2.93 7,325 64,155 M D (sf) CCC- (sf) 2.03 29,305 293,054 Morgan Stanley Capital I Trust 2005-HQ5 Commercial mortgage pass-through certificates Reported Rating Credit interest shortfalls Class To From enhcmt(%) Current Accumulated J D (sf) CCC (sf) 2.68 11,337 33,025 K D (sf) CCC- (sf) 2.14 23,870 149,871 * S&P Lowers Ratings on 668 Classes From 319 RMBS Deals to 'D' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D (sf)' from 'CC (sf)' on 668 classes from 319 U.S. residential mortgage- backed securities (RMBS) net interest margin securities (NIMS) transactions issued from 2003 through 2007. "In addition, we affirmed our ratings on seven classes from seven NIMS transactions (one transaction with downgraded ratings and six other transactions)," S&P said. The complete rating list is available for free at: http://bankrupt.com/misc/S&P_US_RMBS_RA_5_11_12.pdf "The downgrades reflect our view that the NIM classes are not receiving cash flow to pay the applicable interest and principal amounts that are due to the NIM holders. We attribute these interest shortfalls to the underlying transactions' inability to maintain sufficient overcollateralization (O/C) needed for residual interest to be released to the applicable NIM classes. Generally, for each of these NIM classes, the O/C levels for the underlying deals have been below their targets for a period of 12 months or longer, and as a result, the NIM classes have experienced interest shortfalls during this time. Additionally, based on our observations of the performance trends of products and vintages consistent with the underlying transactions, we believe that it is unlikely that residual interest will be available for the NIM classes going forward. The downgrades incorporate our interest shortfall criteria," S&P said. "Six of the downgraded classes are junior classes from NIM transactions where the payment waterfall does not permit payment of any interest and principal to these classes until the class balances of the respective senior classes are reduced to zero. Therefore these classes have not yet experienced any shortfalls. However, the downgrades reflect our view that it is unlikely that residual interest will be available for these junior NIM classes going forward based on the poor performance of the underlying transactions and the inadequate cash flows to the senior classes to date. Twenty-seven of the downgraded classes are principal-only classes, which have also not experienced any shortfalls, but in our view will likely not be reimbursed its principal amount based on the poor performance of the underlying deal," S&P said. "The 'CC (sf)' affirmations reflect NIMS classes that are receiving sufficient cash flows to make appropriate payments due to a bond insurer or a reserve fund. The two 'AA- (sf)' affirmations reflect the higher of the rating on the related bond insurer and Standard & Poor's underlying rating (SPUR) on the securities," 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 * S&P Lowers Ratings on 490 Classes From 17 US RMBS Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 490 classes from 117 U.S. residential mortgage-backed securities (RMBS) transactions. "In addition, we raised our ratings on nine classes from four transactions and affirmed our ratings on 1,530 classes from 129 of the transactions reviewed. We also withdrew our rating on one additional class based on our IO criteria," S&P said. The complete rating list is available for free at: http://bankrupt.com/misc/S&P_RMBS_RA_5_15_12.pdf The 131 RMBS transactions included in our review are backed by prime jumbo mortgage loan collateral. A combination of subordination and bond insurance provides credit support for the affected transactions. "In accordance with our published criteria, these rating actions reflect our view of the recent performance of the collateral backing these transactions, our current projected losses, the timing of the projected defaults and losses, and the projected credit support to cover those losses. The actions also reflect our view of structural features such as cross collateralization, payment allocations, and super-senior/subordinate senior relationships," S&P said. "The downgrades reflect our belief that projected credit enhancement for the affected classes will likely be insufficient to cover the projected losses we applied at the previous rating stresses. The downgrade to class B-5 from GSR Mortgage Loan Trust 2004-6F reflects a principal write-down the class incurred. The downgrade of class B-2 from Structured Asset Securities Corp. 2004-20 incorporates our interest shortfall criteria," S&P said. "The upgrades reflect our assessment that the projected credit enhancement for each of the upgraded classes will be more than sufficient to cover projected losses at the revised rating levels due to either improved delinquencies or an accelerated payment priority; however, we limited the extent of the upgrades to reflect our view of the ongoing market risk. The upgrades to classes IIB2 and IIB3 from Bear Stearns ARM Trust 2003-6 and classes 1A1, 1A2, 1A3, and 2A from GMACM Mortgage Loan Trust 2005- AR1 reflect our view of a decrease in delinquencies within the structures associated with these classes. This has reduced the remaining projected losses for these structures, allowing these classes to withstand more stressful scenarios. The upgrade of class 3A1 from Banc of America Funding 2005-5 Trust is due to the accelerated principal payment priority to this class, allowing this class to withstand a higher rating stress scenario due to projected pay down," S&P said. The affirmations reflect our belief that projected credit enhancement available for these classes will likely be sufficient to cover projected losses associated with these rating levels. "We withdrew our rating on class 30-IO from Banc of America Funding 2005-5 Trust due to our interest-only criteria," S&P said. "Classes rated 'CCC (sf)' and 'CC (sf)' reflect our assessment that the credit enhancement for these classes will remain insufficient to cover projected losses," S&P said. "In order to maintain a 'B (sf)' rating on a class from a prime jumbo transaction, 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 (sf)', we assessed whether a class could withstand losses exceeding the base-case loss assumptions at a percentage specific to each rating category, up to 235% of remaining losses for an 'AAA (sf)' rating. For example, in general, we would assess whether one class could withstand approximately 127% of our remaining base-case loss assumption to maintain a 'BB (sf)' rating, while we would assess whether a different class could withstand approximately 154% of our remaining base-case loss assumption to maintain a 'BBB (sf)' rating. Each class that we affirmed at 'AAA (sf)' can, in our view, withstand approximately 235% of our remaining base-case loss assumption 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 ********* 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 ***